# EDGAR Filing Document

**Accession Number:** 0000915092
**File Stem:** 0001193125-23-061519
**Filing Date:** 2023-3
**Character Count:** 2631750
**Document Hash:** 1a061e1b081ca6b14246a412c7efa1e8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-23-061519.hdr.sgml**: 20230306

**ACCESSION NUMBER**: 0001193125-23-061519

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 48

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230306

**DATE AS OF CHANGE**: 20230306

**EFFECTIVENESS DATE**: 20230306

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MASTER INVESTMENT PORTFOLIO
- **CENTRAL INDEX KEY:** 0000915092
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08162
- **FILM NUMBER:** 23709641

**BUSINESS ADDRESS:**
- **STREET 1:** 400 HOWARD STREET
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94105
- **BUSINESS PHONE:** 617 937 5524

**MAIL ADDRESS:**
- **STREET 1:** 200 CLARENDON STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116

## Series and Classes Contracts Data

### Diversified Equity Master Portfolio (Series ID: S000004282)

| Class ID   | Class Name                          | Ticker Symbol   |
|:---|:---|:---|
| C000012004 | Diversified Equity Master Portfolio |  |

### Money Market Master Portfolio (Series ID: S000004283)

| Class ID   | Class Name                    | Ticker Symbol   |
|:---|:---|:---|
| C000012005 | Money Market Master Portfolio |  |

### S&amp;P 500 Index Master Portfolio (Series ID: S000004285)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000012007 | S&amp;P 500 Index Master Portfolio |  |

### Treasury Money Market Master Portfolio (Series ID: S000004286)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000012008 | Treasury Money Market Master Portfolio |  |

### U.S. Total Bond Index Master Portfolio (Series ID: S000004287)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000012009 | U.S. Total Bond Index Master Portfolio |  |

### Large Cap Index Master Portfolio (Series ID: S000033023)

| Class ID   | Class Name                       | Ticker Symbol   |
|:---|:---|:---|
| C000101834 | Large Cap Index Master Portfolio |  |

### Total International ex U.S. Index Master Portfolio (Series ID: S000033771)

| Class ID   | Class Name                                         | Ticker Symbol   |
|:---|:---|:---|
| C000104371 | Total International ex U.S. Index Master Portfolio |  |

### International Tilts Master Portfolio (Series ID: S000043688)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000135466 | International Tilts Master Portfolio |  |

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR** 

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT** 

**INVESTMENT COMPANIES** 

Investment Company Act file number: 811-07332 and 811-08162

Name of Fund: BlackRock Funds III

BlackRock Cash Funds: Institutional

BlackRock Cash Funds: Treasury

BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund

BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund

BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund

BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund

BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund

BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund

BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund

BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund

BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund

BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund

iShares MSCI Total International Index Fund

iShares Russell 1000 Large-Cap Index Fund

iShares S&P 500 Index Fund

iShares U.S. Aggregate Bond Index Fund

Master Investment Portfolio

Diversified Equity Master Portfolio

International Tilts Master Portfolio

Large Cap Index Master Portfolio

Money Market Master Portfolio

S&P 500 Index Master Portfolio

Total International ex U.S. Index Master Portfolio

Treasury Money Market Master Portfolio

U.S. Total Bond Index Master Portfolio

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Funds III and Master Investment Portfolio, 50 Hudson Yards, New York, NY 10001

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

Date of fiscal year end: 12/31/2022

Date of reporting period: 12/31/2022

------

Item 1 – Report to Stockholders

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Report to Shareholders is attached herewith.

------

---

| | |
|:---|:---|
| ![LOGO](g457049g42l24.jpg)  | **DECEMBER 31, 2022** |

---

**2022 Annual Report**

**BlackRock Funds III** 

· BlackRock Cash Funds: Institutional

· BlackRock Cash Funds: Treasury

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Not FDIC Insured • May Lose Value • No Bank Guarantee** <br>

------

The Markets in Review

Dear Shareholder,

Significant economic headwinds emerged during the 12-month reporting period ended December 31, 2022, as investors navigated changing economic conditions and volatile markets. The U.S. economy shrank in the first half of 2022 before returning to modest growth in the third quarter, marking a shift to a more challenging post-reopening economic environment. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high before beginning to moderate. Moreover, while the foremost effect of Russia's invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.

Equity prices fell as interest rates rose, particularly during the first half of the reporting period. Both large- and small-capitalization U.S. stocks fell, although equities began to recover in the second half of the year as inflation eased and economic growth resumed. Emerging market stocks and international equities from developed markets declined overall, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield rose notably during the reporting period, driving its price down, as investors reacted to fluctuating inflation data and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and heightened uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the "Fed"), acknowledging that inflation has been more persistent than expected, raised interest rates seven times. Furthermore, the Fed wound down its bond-buying programs and is accelerating the reduction of its balance sheet. While the Fed suggested that additional rate hikes were likely, it also gave indications that the pace of increases would slow if inflation continued to subside.

The pandemic's restructuring of the economy brought an ongoing mismatch between supply and demand, contributing to the current inflationary regime. While growth slowed in 2022, we believe that taming inflation requires a more dramatic economic decline to bring demand back to a level more in line with the economy's capacity. The Fed has been raising interest rates at the fastest pace in decades, and seems set to overtighten in its effort to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, but this prospect has not yet been fully priced in by markets. Investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions.

In this environment, while we favor an overweight to equities in the long-term, the market's concerns over excessive rate hikes from central banks moderate our outlook. Rising input costs and a deteriorating economic backdrop are likely to challenge corporate earnings, so we are underweight equities overall in the near term. However, we see better opportunities in credit, where valuations are attractive and higher yields provide income opportunities. We believe that global investment-grade corporates, global inflation-linked bonds, and U.S. mortgage-backed securities offer strong opportunities for a six- to twelve-month horizon.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit **blackrock.com** for further insight about investing in today's markets.

Sincerely,

![LOGO](g457049sig_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

![LOGO](g457049photo_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

---

| | | |
|:---|:---|:---|
| **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** |
|  | *6-Month* | *12-Month* |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. large cap equities<br>(S&P 500<sup>®</sup> Index) | 2.31% | &nbsp;&nbsp;&nbsp;&nbsp;(18.11)% |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. small cap equities<br>(Russell 2000<sup>®</sup> Index) | 3.91 | (20.44) |
| &nbsp;&nbsp;&nbsp;&nbsp; International equities<br>(MSCI Europe, Australasia, Far East Index) | 6.36 | (14.45) |
| &nbsp;&nbsp;&nbsp;&nbsp; Emerging market equities<br>(MSCI Emerging Markets Index)  | (2.99) | (20.09) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3-month Treasury bills<br>(ICE BofA 3-Month<br>U.S. Treasury Bill Index) | 1.32 | 1.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury securities<br>(ICE BofA 10-Year<br>U.S. Treasury Index) | (5.58) | (16.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. investment grade bonds<br>(Bloomberg U.S. Aggregate Bond Index) | (2.97) | (13.01) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tax-exempt municipal bonds<br>(Bloomberg Municipal Bond Index) | 0.50 | &nbsp;&nbsp;&nbsp;&nbsp;(8.53) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. high yield bonds<br>(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | 3.50 | (11.18) |
| <br> Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | <br> Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | <br> Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |

---

2 T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T

------

**Table of Contents**

---

| | |
|:---|:---|
| | **Page** |
|  [The Markets in Review](#tx457049_1) | 2 |
|  **[Annual Report:](#tx457049_2)** |  |
|  [Money Market Overview](#tx457049_3) | 4 |
|  [Fund Summary](#tx457049_4) | 5 |
|  [Disclosure of Expenses](#tx457049_5) | 7 |
|  [Fund Financial Statements:](#tx457049_6) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statements of Assets and Liabilities](#tx457049_7) | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statements of Operations](#tx457049_8) | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statements of Changes in Net Assets](#tx457049_9) | 10 |
|  [Fund Financial Highlights](#tx457049_10) | 11 |
|  [Fund Notes to Financial Statements](#tx457049_11) | 14 |
|  [Fund Report of Independent Registered Public Accounting Firm](#tx457049_12) | 18 |
|  [Important Tax Information](#tx457049_13) | 19 |
|  [Master Portfolio Information](#tx457049_14) | 20 |
|  [Master Portfolio Financial Statements:](#tx457049_15) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Schedules of Investments](#tx457049_16) | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statements of Assets and Liabilities](#tx457049_17) | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statements of Operations](#tx457049_18) | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statements of Changes in Net Assets](#tx457049_19) | 31 |
|  [Master Portfolio Financial Highlights](#tx457049_20) | 32 |
|  [Master Portfolio Notes to Financial Statements](#tx457049_21) | 34 |
|  [Master Portfolio Report of Independent Registered Public Accounting Firm](#tx457049_22) | 39 |
|  [Trustee and Officer Information](#tx457049_23) | 40 |
|  [Additional Information](#tx457049_24) | 44 |
|  [Glossary of Terms Used in this Report](#tx457049_25) | 45 |
|  [Important Fund Information](#tx457049_26) | 45 |

---

![LOGO](g457049new.jpg)

3.0 ------

Money Market Overview For the 12-Month Period Ended December 31, 2022

**Market Review** 

2022 began with a heightened sense of uncertainty surrounding the global economy due to the Russia-Ukraine conflict, which spurred continued inflationary pressures through disruptions in trade and food and fuel price shocks. Economic conditions in the United States were tight throughout most of 2022 and several key barometers indicated that the Fed would need to step in. The unemployment rate rose to 4.0% in January 2022 and remained strong, ending the year at 3.5%. The consumer price index ("CPI") started the year at 7.5% but decreased to 6.5% by the end of December 2022 largely due to Fed intervention.

Recession fears grew across different economic sectors. At the end of the second and third quarters in 2022, real gross domestic product ("GDP") decreased at an annual rate of 1.60% and 0.60%, respectively. The strength of the labor market and inflation in the United States prompted the Fed to begin a series of aggressive rates hikes. From March through December 2022, the Fed hiked rates a total of 425 basis points (or 4.25%) in an effort to stem spiraling price pressures, which had sent inflation to a peak of 9.1% in June 2022. This would prove to be the fastest pace of hikes in over four decades.

In December, the Federal Open Market Committee (the "FOMC" or the "Committee") reiterated its commitment to return inflation to its 2% objective and that the FOMC again will consider "the cumulative tightening of monetary policy, the lags with which monetary policy affects economic activity and inflation, and economic and financial developments" when "determining the pace of future increases in the target range." Additionally, the Committee announced that it will continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities, as described in the Plans for Reducing the Size of the Federal Reserve's Balance Sheet that were issued in May 2022.

Given generally insufficient near-term Treasury bill ("T-bill") supply and uncertainty surrounding the Fed's rate hiking path, daily utilization of the Fed's reverse repurchase agreement ("RRP") facility surged in 2022, averaging nearly $2 trillion per day. On December 31, 2022 the RRP facility hit an all-time high with a balance of over $2.6 trillion. The secured overnight financing rate ("SOFR") — a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities — had been pegged at 0.05% from January until the FOMC's first 25 bp rate hike in March 2022, when it rose to 0.30%. SOFR closed 2022 at 4.30% and averaged 1.64% for the year.

The 3-month London Inter-bank Offered Rate ("LIBOR"), which started the year at 0.22%, trended upward in 2022, ending the year at 4.77%. 3-month LIBOR averaged 2.40% throughout the year and hit an all-time high of 4.78% on November 30, 2022. The 3-month LIBOR-Overnight Indexed Swap spread ("L-OIS") – a gauge of stress in the financial system – hit an all-time low of -0.12% in September 2022 and averaged 0.16% for the year. Industry-wide money market mutual funds ("MMFs") experienced net inflows of approximately $32 billion during the year. Of this, assets of prime and municipal MMFs experienced $214 billion and $21 billion of inflows, respectively, while government MMFs fell $204 billion.

**Portfolio Review** 

The prevailing investment themes in 2022 included the tightening of monetary policy by the FOMC and other central banks, the large and growing supply versus demand imbalance for front-end securities, and rising inflation. Yields across the balance of the Treasury curve rose as the Fed delivered rate hikes in an attempt to quell inflation. Since the beginning of this rate hiking cycle, we have preferred a below-neutral profile across our government funds. We continue to remain selective with respect to adding duration until we see more policy certainty from the central bank.

Approaching year-end, the market approached an inflection point. While Chair Jerome Powell and other Committee members continue to push a "hawkish" narrative, market yields toward the back-half of 2023 reflect interest rate cuts. This contrasting movement at the longer points of the Treasury bill curve versus FOMC rhetoric indicates market concerns that an over-tightening of policy will force the FOMC to reverse course midpoint next year.

**Outlook** 

A short-term outlook for inflation above the FOMC's preferred range and "hawkish" rhetoric from officials suggests increases in the target range for the federal funds rate further into "restrictive territory" are possible through at least the midpoint of 2023. The market has been in a near constant state of repricing since the FOMC first lifted rates off the zero lower bound. Pricing volatility should persist at least until the FOMC reaches its terminal rate. Continued defensive positioning by investors will likely contribute, in our estimation, to elevated usage of the Federal Reserve's Overnight Reverse Repurchase Agreement Program by eligible counterparties.

The U.S. Treasury is approaching its borrowing limit. This event will negatively impact issuance of net new Treasury Bill supply. The U.S. Treasury can invoke "extraordinary measures" to expand borrowing capacity which would temporarily increase net new supply. Ultimately, Congress would need to act on the debt ceiling before the U.S. Treasury exhausts all accounting measures. At this time, our estimate is that the true borrowing limit could be reached toward the end of 2023.

Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

4 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock Cash Funds: Institutional** |

---

**Investment Objective** 

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

---

| | | |
|:---|:---|:---|
|  **CURRENT SEVEN-DAY YIELDS** | **CURRENT SEVEN-DAY YIELDS** | **CURRENT SEVEN-DAY YIELDS** |
|  | 7-Day<br>SEC Yield | 7-Day <br> Yield  |
|  SL Agency | 4.53% | 4.53% |

---

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

**Expense Example** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Actual  | Actual  | Actual  | | Hypothetical 5% Return  | Hypothetical 5% Return  | Hypothetical 5% Return  | |
|  | *Beginning<br>Account Value<br>(07/01/22)*  | *Ending<br>Account Value<br>(12/31/22)*  | *Expenses<br>Paid During<br>the Period* <br> *<br><sup>(a)</sup>*  | | *Beginning<br>Account Value<br>(07/01/22)*  | *Ending<br>Account Value<br>(12/31/22)*  | *Expenses<br>Paid During<br>the Period* <br> *<br><sup>(a)</sup>*  | *Annualized<br>Expense<br>Ratio*  |
|  SL Agency | $1000.00  | $1000.00  | $0.45  |  | $1000.00  | $1024.75  | $0.46  | 0.09 %  |

---

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

See "Disclosure of Expenses" for further information on how expenses were calculated.

Past performance is not an indication of future results.

F U N D S U M M A R Y 5

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock Cash Funds: Treasury** |

---

**Investment Objective** 

**BlackRock Cash Funds: Treasury's (the "Fund")** investment objective is to seek current income as is consistent with liquidity and stability of principal.

---

| | | |
|:---|:---|:---|
|  **CURRENT SEVEN-DAY YIELDS** | **CURRENT SEVEN-DAY YIELDS** | **CURRENT SEVEN-DAY YIELDS** |
|  | 7-Day<br>SEC Yield | 7-Day <br>Yield |
|  Institutional | 4.09% | 4.09% |
|  SL Agency | 4.12 | 4.12 |

---

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

**Expense Example** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Actual  | Actual  | Actual  | | Hypothetical 5% Return  | Hypothetical 5% Return  | Hypothetical 5% Return  | |
|  | *Beginning<br>Account Value<br>(07/01/22)*  | *Ending<br>Account Value<br>(12/31/22)*  | *Expenses<br>Paid During<br>the Period* <br> *<br><sup>(a)</sup>*  | | *Beginning<br>Account Value<br>(07/01/22)*  | *Ending<br>Account Value<br>(12/31/22)*  | *Expenses<br>Paid During<br>the Period* <br> *<br><sup>(a)</sup>*  | *Annualized<br>Expense<br>Ratio*  |
|  Institutional | $1000.00 | $1000.00 | $0.60 |  | $1000.00 | $1024.60 | $0.61 | 0.12% |
|  SL Agency | <br> 1000.00<br>| <br> 1000.00<br>| <br> 0.45<br>|  | <br> 1000.00<br>| <br> 1024.75<br>| <br> 0.46<br>| <br> 0.09<br>|

---

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

See "Disclosure of Expenses" for further information on how expenses were calculated.

Past performance is not an indication of future results.

6 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Disclosure of Expenses

Shareholders of each Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including administration fees, service and distribution fees, and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.

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

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

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

D I S C L O S U R E O F E X P E N S E S 7

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Statements of Assets and Liabilities

December 31, 2022

---

| | | |
|:---|:---|:---|
|  | BlackRock<br> Cash Funds:<br>Institutional | BlackRock<br> Cash Funds:<br> Treasury |
|  **ASSETS** |  |  |
|  Investments, at value — from the applicable Master Portfolio | $74621617686 | $18599381371 |
|  Total assets | 74621617686 | 18599381371 |
|  **LIABILITIES** |  |  |
|  Payables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration fees | 1279176 | 413154 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital gains distributions |  | 12224 |
| &nbsp;&nbsp;&nbsp;&nbsp; Income dividend distributions | 292805833 | 47707482 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 11569 | 11577 |
|  Total liabilities | 294096578 | 48144437 |
|  NET ASSETS | $74327521108 | $18551236934 |
|  **NET ASSETS CONSIST OF** |  |  |
|  Paid-in capital | $74348281443 | $18555162768 |
|  Accumulated loss | (20760335) | (3925834) |
|  NET ASSETS | $74327521108 | $18551236934 |
|  **NET ASSET VALUE** |  |  |
|  **Institutional** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | N/A | $4071845196 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | N/A | 4072671777 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | N/A | $1.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | N/A | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | N/A | No par value |
|  **SL Agency** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $74327521108 | $14479391738 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 74327854413 | 14482490993 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $1.0000 | $1.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value |

---

*See notes to financial statements.* 

8 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statements of Operations

Year Ended December 31, 2022

---

| | | |
|:---|:---|:---|
| | BlackRock<br> Cash Funds:<br>Institutional | BlackRock<br> Cash Funds:<br>Treasury |
|  **INVESTMENT INCOME** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income allocated from the applicable Master Portfolio: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | $1286672904 | $292761809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses | (67356832) | (17778140) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived | 20401971 | 5450449 |
|  Total investment income | 1239718043 | 280434118 |
|  FUND EXPENSES |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration — class specific | 13405609 | 4744436 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 10945 | 10948 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 2326 | 728 |
|  Total expenses | 13418880 | 4756112 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Administrator | (10945) | (259141) |
|  Total expenses after fees waived and/or reimbursed | 13407935 | 4496971 |
|  Net investment income | 1226310108 | 275937147 |
|  **REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM THE MASTER PORTFOLIO** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | 377973 | (194460) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | 5367947 |  |
|  Net realized and unrealized gain (loss) | 5745920 | (194460) |
|  NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $1232056028 | $275742687 |

---

*See notes to financial statements.* 

F U N D F I N A N C I A L S T A T E M E N T S 9

------

Statements of Changes in Net Assets

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock Cash Funds: Institutional | BlackRock Cash Funds: Institutional | BlackRock Cash Funds: Treasury | BlackRock Cash Funds: Treasury |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income  | $1226310108 | $73513935 | $275937147 | $567364 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss)  | 377973 | 127838 | (194460) | 613425 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation)  | 5367947 | (13855488) |  |  |
|  Net increase in net assets resulting from operations  | 1232056028 | 59786285 | 275742687 | 1180789 |
|  **DISTRIBUTIONS TO SHAREHOLDERS**<sup>(a)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  | (60329696) | (520307) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SL Agency | (1249685273) | (79345112) | (219621645) | (1468203) |
|  Decrease in net assets resulting from distributions to shareholders  | (1249685273) | (79345112) | (279951341) | (1988510) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |  |  |
|  Net increase (decrease) in net assets derived from capital share transactions  | 8679547243 | 5092739270 | (4616524316) | 3152790946 |
|  *NET ASSETS* |  |  |  |  |
|  Total increase (decrease) in net assets  | 8661917998 | 5073180443 | (4620732970) | 3151983225 |
|  Beginning of year  | 65665603110 | 60592422667 | 23171969904 | 20019986679 |
|  End of year  | $74327521108 | $65665603110 | $18551236934 | $23171969904 |

---

<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

10 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock Cash Funds: Institutional | BlackRock Cash Funds: Institutional | BlackRock Cash Funds: Institutional | BlackRock Cash Funds: Institutional | BlackRock Cash Funds: Institutional |
|  | SL Agency | SL Agency | SL Agency | SL Agency | SL Agency |
|  | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $1.0003 | $1.0006 | $1.0004 | $1.0001 | $1.0001 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | 0.0178 | 0.0012 | 0.0078 | 0.0238 | 0.0206 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (0.0003)<sup>(a)</sup> | (0.0003) | 0.0002 | 0.0003 | 0.0000 <sup>(b)</sup> |
|  Net increase from investment operations | 0.0175 | 0.0009 | 0.0080 | 0.0241 | 0.0206 |
|  **Distributions**<sup>(c)</sup> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.0178) | (0.0012) | (0.0078) | (0.0238) | (0.0206) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.0000)<sup>(d)</sup> | (0.0000)<sup>(d)</sup> | (0.0000)<sup>(d)</sup> |  |  |
|  Total distributions | (0.0178) | (0.0012) | (0.0078) | (0.0238) | (0.0206) |
|  **Net asset value, end of year** | $1.0000 | $1.0003 | $1.0006 | $1.0004 | $1.0001 |
|  **Total Return**<sup>(e)</sup> |  |  |  |  |  |
|  Based on net asset value | 1.79% | 0.09% | 0.80% | 2.43% | 2.08% |
|  **Ratios to Average Net Assets** |  |  |  |  |  |
|  Total expenses | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% |
|  Total expenses after fees waived and/or reimbursed | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% |
|  Net investment income | 1.83% | 0.11% | 0.75% | 2.36% | 2.05% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $74327521 | $65665603 | $60592423 | $54357819 | $47238155 |

---

<sup>(a)</sup> The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund's underlying securities. 

<sup>(b)</sup> Amount is less than $0.00005 per share. 

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Amount is greater than $(0.00005) per share. 

<sup>(e)</sup> Where applicable, assumes the reinvestment of distributions.

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 11

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock Cash Funds: Treasury | BlackRock Cash Funds: Treasury | BlackRock Cash Funds: Treasury | BlackRock Cash Funds: Treasury | BlackRock Cash Funds: Treasury |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
|  | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | 0.0155 | 0.0001 | 0.0040 | 0.0210 | 0.0175 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain | 0.0000 <sup>(a)(b)</sup> | 0.0000 <sup>(a)</sup> | 0.0001 | 0.0000 <sup>(a)</sup> | 0.0000 <sup>(a)</sup> |
|  Net increase from investment operations | 0.0155 | 0.0001 | 0.0041 | 0.0210 | 0.0175 |
|  **Distributions**<sup>(c)</sup>  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.0155) | (0.0001) | (0.0040) | (0.0210) | (0.0175) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.0000)<sup>(d)</sup> | (0.0000)<sup>(d)</sup> | (0.0001) | (0.0000)<sup>(d)</sup> |  |
|  Total distributions | (0.0155) | (0.0001) | (0.0041) | (0.0210) | (0.0175) |
|  **Net asset value, end of year** | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
|  **Total Return**<sup>(e)</sup>  |  |  |  |  |  |
|  Based on net asset value | 1.56% | 0.01% | 0.41% | 2.12% | 1.76% |
|  **Ratios to Average Net Assets** |  |  |  |  |  |
|  Total expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% |
|  Total expenses after fees waived and/or reimbursed | 0.12% | 0.06% | 0.12% | 0.12% | 0.12% |
|  Net investment income | 1.46% | 0.00 %<sup>(f)</sup> | 0.23% | 2.06% | 1.76% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $4071845 | $4357983 | $9011269 | $1813191 | $1182627 |

---

<sup>(a)</sup> Amount is less than $0.00005 per share. 

<sup>(b)</sup> The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund's underlying securities. 

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Amount is greater than $(0.00005) per share. 

<sup>(e)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(f)</sup> Amount is less than 0.005%. 

*See notes to financial statements.* 

12 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock Cash Funds: Treasury (continued) | BlackRock Cash Funds: Treasury (continued) | BlackRock Cash Funds: Treasury (continued) | BlackRock Cash Funds: Treasury (continued) | BlackRock Cash Funds: Treasury (continued) |
|  | SL Agency | SL Agency | SL Agency | SL Agency | SL Agency |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | 0.0157 | 0.0001 | 0.0042 | 0.0213 | 0.0178 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain | 0.0000 <sup>(a)(b)</sup> | 0.0000 <sup>(a)</sup> | 0.0001 | 0.0000 <sup>(a)</sup> | 0.0000 <sup>(a)</sup> |
|  Net increase from investment operations | 0.0157 | 0.0001 | 0.0043 | 0.0213 | 0.0178 |
|  **Distributions**<sup>(c)</sup>  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.0157) | (0.0001) | (0.0042) | (0.0213) | (0.0178) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.0000)<sup>(d)</sup> | (0.0000)<sup>(d)</sup> | (0.0001) | (0.0000)<sup>(d)</sup> |  |
|  Total distributions | (0.0157) | (0.0001) | (0.0043) | (0.0213) | (0.0178) |
|  **Net asset value, end of year** | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
|  **Total Return**<sup>(e)</sup> |  |  |  |  |  |
|  Based on net asset value | 1.58% | 0.01% | 0.43% | 2.15% | 1.79% |
|  **Ratios to Average Net Assets** |  |  |  |  |  |
|  Total expenses | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% |
|  Total expenses after fees waived and/or reimbursed | 0.09% | 0.06% | 0.09% | 0.09% | 0.09% |
|  Net investment income | 1.60% | 0.00 %<sup>(f)</sup> | 0.37% | 2.10% | 1.78% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $14479392 | $18813987 | $11008718 | $10620209 | $5399030 |

---

<sup>(a)</sup> Amount is less than $0.00005 per share. 

<sup>(b)</sup> The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund's underlying securities. 

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Amount is greater than $(0.00005) per share. 

<sup>(e)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(f)</sup> Amount is less than 0.005%. 

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 13

------

Notes to Financial Statements

***1. ORGANIZATION***

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

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Herein Referred To As* | *Diversification<br>Classification* |
|  BlackRock Cash Funds: Institutional | Institutional | Diversified |
|  BlackRock Cash Funds: Treasury | Treasury | Diversified |

---

Each Fund seeks to achieve its investment objective by investing all of its assets in a corresponding series of Master Investment Portfolio ("MIP"): Money Market Master Portfolio and Treasury Money Market Master Portfolio (each, a "Master Portfolio" and together, the "Master Portfolios"). MIP is an affiliate of the Trust. Each Master Portfolio has the same investment objective and strategies as its corresponding Fund. The value of each Fund's investment in its corresponding Master Portfolio reflects the Fund's proportionate interest in the net assets of the Master Portfolio. The performance of each Fund is directly affected by the performance of the Master Portfolios. At December 31, 2022, the percentage of each Master Portfolio owned by its corresponding Fund was as follows: Institutional owned 100% of Money Market Master Portfolio and Treasury owned 93.3% of Treasury Money Market Master Portfolio. The financial statements of the Master Portfolios, including the Schedules of Investments, are included elsewhere in this report and should be read in conjunction with the Funds' financial statements.

Institutional only offers SLAgency Shares and is only available for certain eligible investors. Treasury offers multiple classes of shares. Institutional, Select, SLAgency, Capital, Premium and Trust Shares are sold without a sales charge and only to certain eligible investors. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, and differ principally with respect to administration fees.

The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the "Board" and the members are referred to as "Trustees."

Treasury operates as a "government money market fund" under Rule 2a-7 under the 1940 Act. The Fund is not subject to liquidity fees or temporary suspensions of redemptions due to declines in the Fund's weekly liquid assets.

Institutional prices and transacts its shares at a net asset value ("NAV") per share calculated to four decimal places, reflecting market-based values of its portfolio holdings (i.e., at a "floating" NAV).

With respect to Institutional, the Board is permitted to impose a liquidity fee of up to 2% on the value of shares redeemed or temporarily restrict redemptions from Institutional for up to 10 business days during a 90 day period, in the event that Institutional's weekly liquid assets fall below certain thresholds.

The Funds, together with certain other registered investment companies advised by BlackRock Fund Advisors ("BFA" or the "Manager") or its affiliates, are included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

***2. SIGNIFICANT ACCOUNTING POLICIES***

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

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

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

**Liquidity Fees:** Any liquidity fees imposed on the value of shares redeemed in the event that Institutional's weekly liquid assets fall below certain thresholds are recorded as paid-in-capital. The liquidity fees are collected and retained by Institutional for the benefit of Institutional's remaining shareholders.

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

**Other:** Expenses directly related to a Fund or its classes are charged to that Fund or the applicable class. Expenses directly related to the Funds and other shared expenses prorated to the Funds are allocated daily to each class based on their relative net assets or other appropriate methods. Other operating expenses shared by several funds, including other funds managed by BlackRock Advisors, LLC (the "Administrator"), are prorated among those funds on the basis of relative net assets or other appropriate methods.

14 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

***3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS***

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

***4. ADMINISTRATION AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES***

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Capital* | *Institutional* | *Premium* | *Select* | *SL Agency* | *Trust* |
|  Institutional | N/A | N/A | N/A | N/A | 0.02% | N/A |
|  Treasury | 0.07 %<sup>(a)</sup> | 0.05% | 0.10 %<sup>(a)</sup> | 0.15 %<sup>(a)</sup> | 0.02 | 0.38 %<sup>(a)</sup> |

---

<sup>(a)</sup> No shares outstanding as of December 31, 2022.

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

For the year ended December 31, 2022, the following table shows the class specific administration fees borne directly by each share class of each Fund:

---

| | | | |
|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *SL Agency* | *Total* |
|  Institutional | $— | $13405609 | $13405609 |
|  Treasury | 2039661 | 2704775 | 4744436 |

---

As of December 31, 2022, the only investors for the SL Agency Shares of Institutional are investment companies for which (i) BFA, BlackRock Institutional Trust Company, N.A. ("BTC"), or an affiliate provides investment advisory or administration services, or (ii) BTC acts as securities lending agent and which have directed BTC on their behalf to invest securities lending cash collateral in SL Agency Shares of Institutional. Affiliated shareholders in the SL Agency Shares of the Funds represent a significant portion of the outstanding shares and net assets of Institutional and Treasury.

**Distribution Fees:** The Trust, on behalf of each Fund, entered into a Distribution Agreement with BlackRock Investments, LLC ("BRIL"), an affiliate of the Administrator. Shareholders of Capital, Institutional, Premium, Select, SL Agency and Trust Shares of the Funds do not pay any fees for distribution services.

**Expense Waivers and Reimbursements:** The Administrator contractually agreed to waive a portion of its administration fees for the Select Shares of Treasury through June 30, 2023. After giving effect to such contractual expense waiver, the administration fees for the Select Shares of Treasury will be 0.13%.

The fees and expenses of the Fund's trustees who are not "interested persons" of the Trust, as defined in the 1940 Act ("Independent Trustees"), counsel to the Independent Trustees and the Funds' independent registered public accounting firm (together, the "independent expenses") are paid directly by the Funds. The Administrator has contractually agreed to reimburse the Funds or provide an offsetting credit against the administration fees paid by the Funds in an amount equal to these independent expenses through June 30, 2023. These amounts are included in fees waived and/or reimbursed by the Administrator in the Statements of Operations. For the year ended December 31, 2022, the amounts waived were as follows:

---

| | |
|:---|:---|
| *Fund Name* | *Fees Waived and/or Reimbursed <br>by the Administrator* |
|  Institutional | $10945 |
|  Treasury | 10948 |

---

The Administrator has also voluntarily agreed to waive and/or reimburse a portion of their respective administration fees to enable the Fund to maintain minimum levels of daily net investment income if applicable. These amounts, if any, are reported in the Statement of Operations as fees waived and/or reimbursed by the Administrator. The Administrator may discontinue the waiver and/or reimbursement at any time. With respect to Treasury, for the year ended December 31, 2022, the amounts waived and/or reimbursed was $248,193.

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the U.S. Securities and Exchange Commission ("SEC"), each Fund may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund's investment policies and restrictions. Each Fund is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S 15

------

Notes to Financial Statements (continued)

During the year ended December 31, 2022, the Funds did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of the Trust are directors and/or officers of BlackRock, Inc. ("BlackRock") or its affiliates.

***5. INCOME TAX INFORMATION***

It is each Fund's policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Fund's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds' financial statements.

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name*<br>| *Year Ended<br>12/31/22* | *Year Ended<br>12/31/21* |
|  Institutional |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $1249685273 | $79345112 |
|  Treasury |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $279935854 | $1942772 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 15487 | 45738 |
|  | $279951341 | $1988510 |

---

As of December 31, 2022, the tax components of accumulated earnings (loss) were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name*<br>| *Undistributed<br>Long-Term<br>Capital Gains* | *Non-Expiring<br>Capital Loss<br>Carryforwards<sup>(a)</sup>* | *Net Unrealized<br>Gains (Losses)* | *Total* |
|  Institutional | $45621 | $— | $(20805956) | $(20760335) |
|  Treasury |  | (194460) | (3731374) | (3925834) |

---

<sup>(a)</sup> Amounts available to offset future realized capital gains. 

***6. CAPITAL SHARE TRANSACTIONS***

The number of shares sold, reinvested and redeemed for Institutional were transacted at each class's floating NAV per share calculated to four decimal places.

Transactions in capital shares for each class of Institutional were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *Fund Name / Share Class*<br>| *Shares* | *Amounts* | *Shares* | *Amounts* |
|  Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; SL Agency |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 340532789595 | $340551735236 | 295375820800 | $295532215106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 11031 | 11034 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (331851421519) | (331872199027) | (290286668679) | (290439475836) |
|  | 8681379107 | $8679547243 | 5089152121 | $5092739270 |
|  | 8681379107 | $8679547243 | 5089152121 | $5092739270 |

---

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

16 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

Transactions in capital shares for each class of Treasury were as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name / Share Class* | *Year Ended*<br> *12/31/22* | *Year Ended*<br> *12/31/21* |
|  Treasury |  |  |
|  Institutional |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares sold  | 36268615974 | 15745033072 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions  | 59074614 | 516489 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed  | (36612942944) | (20398402430) |
|  | (285252356) | (4652852869) |
|  SL Agency |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares sold  | 354705253711 | 266853258115 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions  | 19988904 | 42778 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed  | (359056514575) | (259047657078) |
|  | (4331271960) | 7805643815 |
|  | (4616524316) | 3152790946 |

---

***7. SUBSEQUENT EVENTS***

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

F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S 17

------

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of BlackRock Funds III and Shareholders of each of the two funds listed in the table below

**Opinions on the Financial Statements** 

We have audited the accompanying statements of assets and liabilities of each of the funds listed in the table below (two of the series constituting BlackRock Funds III, hereafter collectively referred to as the "Funds") as of December 31, 2022, the related statements of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2022 and each of the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

BlackRock Cash Funds: Institutional

BlackRock Cash Funds: Treasury

**Basis for Opinions** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the accounting agent of the Master Portfolios. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 14, 2023

We have served as the auditor of one or more BlackRock investment companies since 2000.

18 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Important Tax Information (unaudited)

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate as noted below, for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *20% Rate Long-Term<br>Capital Gain Dividends* |
|  Treasury  | $15487 |

---

The Funds hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Federal Obligation<br>Interest* |
|  Treasury | $46109097 |

---

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

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Interest<br>Dividends* |
|  Institutional | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1226310108 |
|  Treasury | 275937147 |

---

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends and qualified short-term capital gains eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended December 31, 2022:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Interest* <br> *Related* <br> *Dividends*  | *Qualified<br>Short-Term<br>Capital Gains* |
|  Institutional | $1022655521 | $332352 |
|  Treasury | 275937147 |  |

---

I M P O R T A N T T A X I N F O R M A T I O N 19

------

Master Portfolio Information as of December 31, 2022

**PORTFOLIO ALLOCATION** 

---

| | |
|:---|:---|
| *Money Market Master Portfolio* | *Percent of<br>Net Assets* |
|  Repurchase Agreements | 39.3% |
|  Certificates of Deposit | 32.9 |
|  Commercial Paper | 16.9 |
|  Time Deposits | 5.2 |
|  Municipal Bonds | 1.6 |
|  Corporate Bonds | 0.6 |
|  Other Assets Less Liabilities | 3.5 |

---

**PORTFOLIO ALLOCATION** 

---

| | |
|:---|:---|
| *Treasury Money Market Master Portfolio* | *Percent of<br>Net Assets* |
|  Repurchase Agreements | 77.4% |
|  U.S. Treasury Obligations | 17.1 |
|  Other Assets Less Liabilities | 5.5 |

---

20 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments <br> December 31, 2022 | **Money Market Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Certificates of Deposit — 32.9%** |  |  |
| **Domestic — 4.1%** |  |  |
|  Bank of America NA, 5.80%, 01/08/24<sup>(a)</sup> | $170000 | $170079397 |
|  Citibank N.A. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.16%, 08/25/23 | 135000 | 133880502 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.16%, 09/01/23 | 64000 | 63445179 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series CD, 5.54%, 09/21/23<sup>(a)</sup> | 190000 | 189965029 |
|  First Republic Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 01/04/23 | 2000000 | 1999997760 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 01/06/23 | 464000 | 464042688 |
|  |  | 3021410555 |
|  **Yankee — 28.8%** |  |  |
|  Banco Santander SA/New York<sup>(a)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 01/06/23<sup>(b)</sup> | 240000 | 240020414 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 02/17/23<sup>(b)</sup> | 238000 | 238085121 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.54%, 01/18/23<sup>(b)</sup> | 207000 | 207049160 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 05/30/23 | 200000 | 200141388 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 05/03/23<sup>(b)</sup> | 150000 | 150173382 |
|  Bank of Montreal/Chicago<sup>(a)(b)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 01/09/23 | 334000 | 334018918 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 07/03/23 | 156000 | 156153011 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.74%, 06/01/23 | 178000 | 178268969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 09/05/23 | 250000 | 250256243 |
|  Bank of Nova Scotia/Houston<sup>(a)(b)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 05/05/23 | 230000 | 230131268 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.32%, 07/10/23 | 55950 | 55989780 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.46%, 05/12/23 | 143000 | 143128054 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.54%, 05/12/23 | 189000 | 189190588 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 09/15/23 | 238000 | 238287925 |
|  Barclays Bank PLC/New York<sup>(a)(b)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 02/16/23 | 200000 | 200002414 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 02/03/23 | 342000 | 342032562 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.54%, 04/05/23 | 200000 | 200129580 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 06/08/23 | 200000 | 200159956 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 03/31/23 | 210000 | 210175069 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 08/17/23 | 331000 | 331414743 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 09/21/23 | 200000 | 200117500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.06%, 11/22/23 | 350000 | 350575662 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series CD, 4.90%, 02/15/23 | 50000 | 50001626 |
|  Canadian Imperial Bank of Commerce/New York<sup>(a)(b)</sup>5.30%, 05/08/23 | 200000 | 200186740 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.32%, 03/15/23 | 100000 | 100048239 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 07/03/23 | 341000 | 341652844 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 07/21/23 | 107400 | 107681325 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 10/20/23 | 200000 | 200504462 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.30%), 4.90%, 01/06/23 | 335000 | 335014137 |
|  Credit Agricole Corporate and Investment Bank/New York<sup>(a)(b)</sup><br>5.30%, 03/17/23 | 236000 | 236159619 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.48%, 03/06/23 | 175000 | 175137484 |
|  Credit Industriel et Commercial/New York, 5.28%, 07/10/23<sup>(a)(b)</sup> | 83500 | 83523362 |
|  Credit Suisse AG/New York<sup>(a)(b)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 02/09/23 | 395000 | 394758572 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.92%, 04/05/23 | 240000 | 239921520 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.99%, 05/01/23 | 225000 | 224828642 |
|  Kookmin Bank/New York<sup>(a)(b)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.92%, 08/18/23 | 142000 | 142095117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.30%, 12/14/23 | 194000 | 194272570 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Yankee (continued)** |  |  |
|  Landesbank Baden-Wuerttemberg/New York, 4.31%, 01/06/23<sup>(b)</sup> | $225000 | $&nbsp;&nbsp;&nbsp;&nbsp;225016650 |
|  Lloyds Bank Corporate Markets PLC<sup>(a)(b)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 02/03/23 | 157000 | 157010744 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 02/06/23 | 85000 | 85004695 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.64%, 04/06/23 | 237000 | 237084047 |
|  Lloyds Bank Corporate Markets PLC/New York, 5.90%, 06/12/23<sup>(a)(b)</sup> | 148000 | 148218375 |
|  Mizuho Bank Ltd./New York<sup>(a)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 01/27/23<sup>(b)</sup> | 300000 | 300030300 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.28%, 01/06/23 | 244000 | 244022163 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.34%, 03/17/23<sup>(b)</sup> | 268000 | 268137326 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 03/10/23<sup>(b)</sup> | 189000 | 189105199 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 01/09/23<sup>(b)</sup> | 130000 | 130016320 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 04/27/23<sup>(b)</sup> | 150000 | 150267201 |
|  MUFG Bank Ltd./New York<sup>(a)(b)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 01/23/23 | 250000 | 250013635 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 01/24/23 | 250000 | 250014240 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/10/23 | 375000 | 374946667 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/13/23 | 255000 | 254964601 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.36%, 06/07/23 | 150000 | 150081591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 01/04/23 | 240000 | 240013920 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/08/23 | 210000 | 210087879 |
|  Natixis SA/New York<sup>(a)(b)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 02/07/23 | 287000 | 287033883 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 06/01/23 | 80000 | 80082443 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 09/08/23 | 200000 | 200133882 |
|  Nordea Bank Abp/New York,<br>5.46%, 03/02/23<sup>(a)(b)</sup> | 225000 | 225121059 |
|  Oversea-Chinese Banking Corp. Ltd./New York, 5.34%, 03/13/23<sup>(a)(b)</sup> | 100000 | 100028033 |
|  Royal Bank of Canada/New York |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/13/23<sup>(b)</sup> | 246000 | 244456618 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.08%, 07/14/23 | 95000 | 94437309 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 01/11/23<sup>(a)(b)</sup> | 85000 | 85003340 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 07/03/23<sup>(a)</sup> | 191000 | 191262606 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 10/19/23<sup>(a)(b)</sup> | 200000 | 200366288 |
|  Standard Chartered Bank/New York<sup>(a)(b)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/13/23 | 316000 | 316040941 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 05/04/23 | 175000 | 175154870 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/01/23 | 202000 | 202125741 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.52%, 01/31/23 | 305000 | 305121295 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.52%, 05/18/23 | 92000 | 92109992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 09/11/23 | 250000 | 250242080 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 08/11/23 | 378000 | 378618298 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 07/05/23 | 250000 | 250470667 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 08/24/23 | 188000 | 188338690 |
|  Sumitomo Mitsui Banking Corp./New York<sup>(a)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 01/03/23<sup>(b)</sup> | 475000 | 475003710 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 01/20/23<sup>(b)</sup> | 240000 | 239992198 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 01/23/23<sup>(b)</sup> | 397000 | 396971083 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 01/30/23<sup>(b)</sup> | 239000 | 238952814 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 02/13/23<sup>(b)</sup> | 233000 | 232894707 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 05/03/23 | 260000 | 260225659 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.54%, 01/24/23<sup>(b)</sup> | 210000 | 210030547 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.54%, 02/02/23<sup>(b)</sup> | 250000 | 250019150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.64%, 06/01/23<sup>(b)</sup> | 350000 | 350420063 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 08/18/23<sup>(b)</sup> | 250000 | 250282722 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 09/28/23<sup>(b)</sup> | 86000 | 86080765 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 08/01/23 | 95000 | 95187178 |
|  Sumitomo Mitsui Trust Bank Ltd./New York<sup>(a)(b)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 01/06/23 | 240000 | 240021334 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/24/23 | 196000 | 196061383 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 21

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Money Market Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Yankee (continued)** |  |  |
|  Sumitomo Mitsui Trust Bank Ltd./New York<sup>(a)(b)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.54%, 01/31/23 | $263000 | $263103659 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.54%, 02/02/23 | 300000 | 300126882 |
|  Svenska Handelsbanken/New York<sup>(a)(b)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.62%, 07/03/23 | 294000 | 294450346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 05/31/23 | 178000 | 178203297 |
|  Toronto-Dominion Bank/New York |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 05/08/23<sup>(b)</sup> | 225000 | 223337840 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 06/06/23<sup>(b)</sup> | 204000 | 202096537 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 05/01/23 | 102000 | 101613248 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 09/13/23<sup>(b)</sup> | 132000 | 131103279 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 06/02/23<sup>(a)(b)</sup> | 333000 | 333340153 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 07/26/23<sup>(a)</sup> | 139500 | 139787590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 09/05/23<sup>(a)(b)</sup> | 220000 | 220000000 |
|  |  | 21510777698 |
|  |  | 24532188253 |
|  **Commercial Paper — 16.9%** |  |  |
|  Alinghi Funding Co. LLC<sup>(c)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.44%, 02/15/23 | 93000 | 92625649 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 04/13/23 | 95000 | 93957639 |
|  Bank of Montreal |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.84%, 02/13/23<sup>(a)</sup> | 231000 | 231018150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 03/22/23<sup>(a)</sup> | 285000 | 285236311 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 05/12/23 | 200000 | 198500244 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 06/06/23<sup>(a)</sup> | 246000 | 246233238 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.30%), 4.95%, 01/13/23<sup>(a)(d)</sup> | 336000 | 336014078 |
|  Bank of Nova Scotia<sup>(a)(d)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.32%, 01/30/23 | 174000 | 174000000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.86%, 07/27/23 | 171000 | 171365545 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.92%, 11/01/23 | 180000 | 180315707 |
|  Bank of Nova Scotia/The, 5.78%, 12/07/23<sup>(a)(d)</sup> | 237000 | 236999389 |
|  Bayerische Landesbank/New York<sup>(c)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.34%, 01/13/23 | 100000 | 99831028 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.36%, 01/17/23 | 500000 | 498911750 |
|  Bedford Row Funding Corp., 4.81%, 01/13/23<sup>(a)(d)</sup> | 95000 | 94998670 |
|  Bennington Stark Capital Co. LLC<sup>(c)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.36%, 01/03/23 | 259000 | 258875506 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 01/05/23 | 564895 | 564487428 |
|  BofA Securities, Inc.<sup>(a)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/03/23 | 238000 | 238102673 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.74%, 06/12/23 | 15000 | 15019530 |
|  BPCE SA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/03/23<sup>(a)(d)</sup> | 248000 | 248168325 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.46%, 06/01/23<sup>(a)(d)</sup> | 175000 | 175166418 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/01/23<sup>(c)</sup> | 238000 | 229656810 |
|  Chesham Finance Ltd./Chesham Finance LLC,<br>4.34%, 01/05/23<sup>(c)</sup> | 1000000 | 999278500 |
|  Citigroup Global Markets, Inc.,<br>5.60%, 09/21/23<sup>(a)(d)</sup> | 432000 | 431755350 |
|  Crown Point Capital Co. LLC, Series A, 5.80%, 03/28/23<sup>(a)(d)</sup> | 144000 | 144139680 |
|  DNB Bank ASA, 5.46%, 03/23/23<sup>(a)(d)</sup> | 142000 | 142096466 |
|  Great Bear Funding LLC,<br>4.36%, 01/17/23<sup>(c)</sup> | 59000 | 58872147 |
|  HSBC Bank PLC, 5.50%, 06/06/23<sup>(a)(d)</sup> | 283000 | 283063316 |
|  ING U.S. Funding LLC<sup>(a)(d)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 08/16/23 | 300000 | 300358746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 09/07/23 | 233000 | 233109184 |
|  Legacy Capital Co. LLC, Series A,<br>4.90%, 02/21/23<sup>(a)(d)</sup> | 400000 | 399982000 |
|  LMA-Americas LLC, 4.32%, 01/03/23<sup>(c)</sup> | 120000 | 119942400 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Commercial Paper (continued)** |  |  |
|  Macquarie Bank Ltd.<sup>(a)(d)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.94%, 02/28/23 | $&nbsp;&nbsp;&nbsp;&nbsp;250000 | $250031750 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/02/23 | 285000 | 285131670 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.74%, 03/24/23 | 238000 | 238203966 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 07/03/23 | 268000 | 268407092 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.35%), 5.00%, 01/04/23 | 400000 | 400000000 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.35%), 5.00%, 01/09/23 | 455000 | 455008190 |
|  National Australia Bank Ltd.,<br>5.10%, 04/05/23<sup>(a)(d)</sup> | 39000 | 39004095 |
|  NatWest Markets PLC, 4.28%, 08/22/23<sup>(c)</sup> | 285000 | 275128629 |
|  PSP Capital, Inc.<sup>(c)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 08/10/23 | 40000 | 38786880 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.01%, 08/15/23 | 50000 | 48446433 |
|  Royal Bank of Canada, 5.32%, 01/04/23<sup>(a)(d)</sup> | 200000 | 200000000 |
|  Skandinaviska Enskilda Banken AB<sup>(a)(d)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.74%, 05/31/23 | 177000 | 177228861 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 08/02/23 | 160000 | 160279029 |
|  Svenska Handelsbanken AB/New York, 5.70%, 07/13/23<sup>(a)(d)</sup> | 129000 | 129135990 |
|  Swedbank AB, 5.48%, 03/02/23<sup>(a)</sup> | 246000 | 246160033 |
|  Toronto-Dominion Bank/New York,<br>5.30%, 03/31/23<sup>(a)</sup> | 188000 | 188121215 |
|  Toyota Motor Credit Corp., 5.20%, 06/16/23<sup>(a)</sup> | 280000 | 280025200 |
|  UBS AG, 5.00%, 02/23/23<sup>(a)(d)</sup> | 300000 | 300000000 |
|  UBS AG/London<sup>(a)(d)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.74%, 09/01/23 | 220000 | 220126570 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.92%, 09/15/23 | 274000 | 274317588 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 09/26/23 | 100000 | 100028164 |
|  Westpac Securities NZ Ltd./London,<br>5.44%, 09/20/23<sup>(a)(d)</sup> | 255000 | 255017595 |
|  |  | 12610670827 |
| **Corporate Bonds — 0.6%** |  |  |
| **Automobiles — 0.3%** |  |  |
|  Toyota Motor Credit Corp.<sup>(a)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 07/25/23 | 86285 | 86342067 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 12/11/23 | 106452 | 106614072 |
|  |  | 192956139 |
| **Banks — 0.1%** |  |  |
|  Kookmin Bank, (1 day SOFR + 0.70%), 4.95%, 06/09/23<sup>(a)(d)</sup> | 110000 | 109978835 |
| **Insurance — 0.2%** |  |  |
|  Protective Life Global Funding, (1 day SOFR + 0.55%), 4.87%, 03/31/23<sup>(a)(d)</sup> | 171535 | 171482356 |
|  |  | 474417330 |
| **Municipal Bonds — 1.6%** |  |  |
| **Arizona — 0.2%** |  |  |
|  Mizuho Floater/Residual Trust, RB, Series 2021, VRDN, 4.59%, 02/03/23<sup>(a)(d)(e)</sup> | 112367 | 112366786 |
| **Montana — 0.0%** |  |  |
|  Taxable Municipal Funding Trust, RB<sup>(a)(d)(e)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018, VRDN, 4.57%, 02/03/23 | 3900 | 3900000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4, VRDN, (AGM-CR), 4.43%, 01/06/23 | 3155 | 3155000 |
|  |  | 7055000 |
| **New Hampshire — 0.0%** |  |  |
|  New Hampshire Business Finance Authority, RB, Series A, VRDN,<br>4.40%, 01/06/23<sup>(a)(d)(e)</sup> | 12500 | 12500000 |
| **New York — 1.3%** |  |  |
|  Jets Stadium Development LLC, RB<sup>(a)(d)(e)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A-4A, VRDN, 4.65%, 01/06/23 | 38855 | 38855000 |

---

22 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Money Market Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **New York (continued)** |  |  |
|  Jets Stadium Development LLC, RB<sup>(a)(d)(e)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A-4B, VRDN, 4.65%, 01/06/23 | $2400 | $2400000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A-4C, VRDN, 4.65%, 01/06/23 | 33800 | 33800000 |
|  Jets Stadium Finance Issuer 2015 LLC, RB, VRDN,<br>4.65%, 01/06/23<sup>(a)(d)(e)</sup> | 118395 | 118395000 |
|  Mizuho Floater/Residual Trust, RB, M/F Housing, Series 2021, VRDN,<br>4.59%, 02/03/23<sup>(a)(d)(e)</sup> | 8770 | 8770000 |
|  Taxable Municipal Funding Trust, RB <sup>(a)(d)(e)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; VRDN, 4.57%, 02/03/23 | 1215 | 1215000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20, VRDN, 4.56%, 02/03/23 | 66535 | 66535000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019, VRDN, 4.42%, 01/06/23 | 61385 | 61385000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021, VRDN, 4.57%, 02/03/23 | 488420 | 488420000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021, VRDN, 4.57%, 02/03/23 | 71300 | 71300000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022, VRDN, 4.57%, 02/03/23 | 101400 | 101400000 |
|  Taxable Municipal Funding Trust, Refunding RB, Series 2019-F, VRDN,<br>4.57%, 02/03/23<sup>(a)(d)(e)</sup> | 2565 | 2565000 |
|  Tender Option Bond Trust Receipts/Certificates,<br>Refunding RB, Series 2021, VRDN,<br>4.52%, 01/06/23<sup>(a)(d)(e)</sup> | 2000 | 2000000 |
|  |  | 997040000 |
|  **Ohio — 0.1%** |  |  |
|  Mizuho Floater/Residual Trust, RB, Series 2020, VRDN, 4.57%, 01/06/23<sup>(a)(d)(e)</sup> | 34170 | 34170000 |
|  **Wisconsin — 0.0%** |  |  |
|  Taxable Municipal Funding Trust, RB, Series 2019-B, VRDN, 4.57%, 02/03/23<sup>(a)(d)(e)</sup> | 6145 | 6145000 |
|  |  | 1169276786 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Time Deposits — 5.2%** |  |  |
|  Banco Santander SA/New York,<br>4.32%, 01/05/23 | $1500000 | $1500000000 |
|  Credit Agricole CIB TD, 4.30%, 01/03/23 | 63000 | 63000000 |
|  Landesbank Hessen-Thueringen Girozentrale |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.34%, 01/03/23 | 168000 | 168000000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.37%, 01/05/23 | 400000 | 400000000 |
|  Royal Bank of Canada, 4.32%, 01/03/23  | 1705000 | 1705000000 |
|  Skandinaviska Enskilda Banken AB,<br>4.31%, 01/03/23 | 35000 | 35000000 |
|  |  | 3871000000 |
|  **Total Short-Term Securities — 57.2%<br>(Cost: $42,656,129,558)** |  | 42657553196 |
|  **Total Repurchase Agreements — 39.3%<br>(Cost: $29,333,900,000)** |  | 29333900000 |
|  **Total Investments — 96.5%<br>(Cost: $71,990,029,558<sup>(f)</sup>)**  |  | 71991453196 |
|  **Other Assets Less Liabilities — 3.5%** |  | 2630164490 |
|  **Net Assets — 100.0%** |  | $74621617686 |

---

<sup>(a)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

<sup>(b)</sup> Issuer is a U.S. branch of foreign domiciled bank.

<sup>(c)</sup> Rates are the current rate or a range of current rates as of period end.

<sup>(d)</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

<sup>(e)</sup> Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

<sup>(f)</sup> Cost for U.S. federal income tax purposes.

**Repurchase Agreements** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Collateral | Collateral | Collateral |
| *Counterparty* | *Coupon<br>Rate* | *Purchase<br>Date* | *Maturity<br>Date* | *Par* <br> *(000)*  | *At Value<br>(000)* | *Proceeds<br>Including<br>Interest* | *Position* | *Original Par* | *Position<br>Received,<br>at Value* |
|  Barclays Bank PLC | 4.42 %<sup>(a)</sup> | 12/30/22 | 01/03/23 | $&nbsp;&nbsp;&nbsp;&nbsp;338000 | $&nbsp;&nbsp;&nbsp;&nbsp;338000 | $&nbsp;&nbsp;&nbsp;&nbsp;338165996 | Corporate Debt/Obligation,<br>1.98% to 8.63%,<br>due 9/25/23 to 10/27/82 | $&nbsp;&nbsp;&nbsp;&nbsp;389307000 | $&nbsp;&nbsp;&nbsp;&nbsp;354900113 |
|  | 4.44 <sup>(a)</sup> | 12/30/22 | 01/03/23 | 327000 | 327000 | 327161320 | Corporate Debt/Obligation,<br>1.67% to 7.41%,<br>due 11/01/23 to 11/15/57 | 347080000 | 349892392 |
|  | 4.54 <sup>(a)</sup> | 12/30/22 | 01/03/23 | 30000 | 30000 | 30015133 | Corporate Debt/Obligation,<br>4.00% to 10.50%,<br>due 2/15/26 to 12/31/49 | 40961000 | 33955236 |
|  | 4.55 <sup>(a)</sup> | 12/30/22 | 02/03/23 | 75000 | 75000 | 75331771 | Corporate Debt/Obligation,<br>3.67% to 7.50%,<br>due 1/15/26 to 3/15/49 | 75090000 | 80251177 |
|  Total Barclays Bank PLC |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;770000 |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;818998918 |
|  Barclays Capital, Inc. | 4.55 <sup>(a)</sup> | 12/30/22 | 02/03/23 | 226000 | 226000 | 226999736 | Corporate Debt/Obligation, 0.00%, due 1/03/23 | 237914772 | 237300000 |
|  BNP Paribas S.A. | 4.42 <sup>(a)</sup> | 12/30/22 | 01/03/23 | 219000 | 219000 | 219107553 | Corporate Debt/Obligation,<br>0.25% to 13.43%,<br>due 4/06/23 to 4/08/68 | 267276152 | 243429106 |
|  | 4.67 <sup>(a)</sup> | 12/30/22 | 04/04/23 | 85000 | 85000 | 86047507 | Corporate Debt/Obligation,<br>0.75% to 11.50%,<br>due 4/06/23 to 2/12/52 | 115150539 | 97135925 |
|  Total BNP Paribas S.A. |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;304000 |  |  |  | $340565031 |
|  BofA Securities, Inc. | 4.54 <sup>(a)</sup> | 12/30/22 | 02/03/23 | 100000 | 100000 | 100441389 | Corporate Debt/Obligation,<br>0.50% to 6.88%,<br>due 3/15/23 to 12/01/52 | 117098000 | 105000255 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 23

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Money Market Master Portfolio** |

---

**Repurchase Agreements (continued)** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Collateral | Collateral | Collateral |
| *Counterparty* | *Coupon<br>Rate* | *Purchase<br>Date* | *Maturity<br>Date* | *Par*<br> *(000)* | *At Value<br>(000)* | *Proceeds<br>Including<br>Interest* | *Position* | *Original Par* | *Position<br>Received,<br>at Value* |
|  BofA Securities, Inc. (continued) | 4.64 %<sup>(a)</sup> | 12/30/22 | 02/03/23 | $305000 | $305000 | $306375889 | Corporate Debt/Obligation,<br>2.30% to 5.30%,<br>due 5/15/36 to 12/15/72 | $366300629 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;326350000 |
|  | 4.82 <sup>(a)</sup> | 12/30/22 | 03/05/23 | 198000 | 198000 | 199723150 | Corporate Debt/Obligation,<br>3.00% to 3.64%,<br>due 10/25/58 to 10/25/59 | 316291089 | 237600000 |
|  | 4.30 | 12/30/22 | 01/03/23 | 10500 | 10500 | 10505017 | U.S. Government Sponsored Agency Obligation,<br>2.62% to 4.13%,<br>due 12/12/25 to 12/16/36 | 12373000 | 10710139 |
|  Total BofA Securities, Inc. |  |  |  |  | $613500 |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;679660394 |
|  Citigroup Global Markets,<br>Inc.<sup>(b)</sup> | 4.37 <sup>(a)</sup> | 12/30/22 | 01/03/23 | 150000 | 150000 | 150072833 | Corporate Debt/Obligation,<br>0.00% to 2.75%,<br>due 1/03/23 to 12/22/23 | 157685644 | 157500001 |
|  | 4.63 <sup>(a)</sup> | 12/30/22 | 04/01/23 | 179000 | 179000 | 181117968 | Corporate Debt/Obligation,<br>0.00% to 6.17%,<br>due 2/25/23 to 8/25/67 | 2020266007 | 193324148 |
|  | 4.25 | 12/30/22 | 01/03/23 | 58000 | 58000 | 58027389 | U.S. Treasury Obligation,<br>0.25% to 3.00%,<br>due 10/31/25 to 1/15/26 | 48784623 | 59166384 |
|  Total Citigroup Global Markets, Inc. |  |  |  |  | $387000 |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;409990533 |
|  Credit Agricole Corp.<sup>(b)</sup> | 4.25 | 12/30/22 | 01/03/23 | 101000 | 101000 | 101047694 | U.S. Treasury Obligation,<br>0.25% to 3.88%,<br>due 8/31/25 to 8/15/30 | 116547594 | 103020001 |
|  | 4.43 <sup>(a)</sup> | 12/30/22 | 01/06/23 | 1206000 | 1206000 | 1207038835 | Corporate Debt/Obligation,<br>0.00% to 13.00%,<br>due 5/02/23 to 5/01/79 | 1397318619 | 1287812048 |
|  | 4.30 | 12/30/22 | 01/03/23 | 50000 | 50000 | 50023889 | U.S. Treasury Obligation,<br>0.75% to 1.13%,<br>due 3/31/26 to 2/29/28 | 57892400 | 51000084 |
|  Total Credit Agricole Corp. |  |  |  |  | $1357000 |  |  |  | $1441832133 |
|  Credit Suisse Securities (USA) LLC | 4.91 <sup>(a)</sup> | 12/30/22 | 02/17/23 | 550000 | 550000 | 553675681 | U.S. Treasury Obligation,<br>0.00% to 15.50%,<br>due 9/22/23 to 12/15/67 | 5901525701 | 587083102 |
|  Federal Reserve Bank of New York | 4.30 | 12/30/22 | 01/03/23 | 20950000 | 20950000 | 20960009444 | U.S. Treasury Obligation,<br>0.13% to 6.00%,<br>due 2/15/26 to 2/15/47 | 23564768400 | 20960009533 |
|  HSBC Securities (USA), Inc. | 4.44 <sup>(a)</sup> | 12/30/22 | 01/03/23 | 59000 | 59000 | 59029107 | Corporate Debt/Obligation,<br>1.50% to 6.00%,<br>due 8/09/24 to 9/09/52 | 68078000 | 61950123 |
|  J.P. Morgan Securities LLC | 4.33 <sup>(a)</sup> | 12/30/22 | 01/06/23 | 249000 | 249000 | 249209644 | U.S. Government Sponsored Agency Obligation,<br>0.00% to 5.50%,<br>due 11/25/26 to 9/16/61 | 2986463144 | 261450000 |
|  | 4.40 <sup>(a)</sup> | 12/30/22 | 01/03/23 | 97000 | 97000 | 97047422 | Corporate Debt/Obligation,<br>0.00%,<br>due 1/03/23 to 4/19/23 | 102317767 | 99910000 |
|  | 4.42 <sup>(a)</sup> | 12/30/22 | 01/03/23 | 285000 | 285000 | 285139967 | Corporate Debt/Obligation, 0.00%,<br>due 1/03/23 | 299023108 | 293550000 |
|  | 4.44 <sup>(a)</sup> | 12/30/22 | 01/03/23 | 115000 | 115000 | 115056733 | Corporate Debt/Obligation,<br>0.00% to 4.85%,<br>due 2/01/23 to 11/10/25 | 120332509 | 119031689 |
|  | 4.50 <sup>(a)</sup> | 12/30/22 | 01/03/23 | 90000 | 90000 | 90045000 | Corporate Debt/Obligation,<br>0.31% to 4.44%,<br>due 4/25/52 to 8/25/57 | 134265888 | 96300000 |
|  | 4.62 <sup>(a)</sup> | 12/30/22 | 01/06/23 | 581000 | 581000 | 581521932 | Corporate Debt/Obligation,<br>0.00% to 10.50%,<br>due 1/03/23 to 9/15/2119 | 4671773947 | 623759407 |

---

24 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Money Market Master Portfolio** |

---

**Repurchase Agreements (continued)** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Collateral | Collateral | Collateral |
| *Counterparty* | *Coupon<br>Rate* | *Purchase<br>Date* | *Maturity*<br> *Date* | *Par*<br> *(000)* | *At Value<br>(000)* | *Proceeds*<br> *Including*<br> *Interest* | *Position* | *Original Par* | *Position<br>Received,<br>at Value* |
|  J.P. Morgan Securities LLC (continued) | 4.65 %<sup>(a)</sup> | 12/30/22 | 01/06/23 | $1025000 | $1025000 | $1025926771 | Corporate Debt/Obligation, 0.00% to 10.63%,<br>due 1/03/23 to 10/25/75 | $1541736045 | $1117276185 |
|  | 4.67 <sup>(a)</sup> | 12/30/22 | 01/03/23 | 90000 | 90000 | 90046700 | Corporate Debt/Obligation, 0.00% to 7.37%,<br>due 12/01/24 to 1/15/87 | 118977017 | 96334377 |
|  | 4.73 <sup>(a)</sup> | 12/30/22 | 03/31/23 | 175000 | 175000 | 177092368 | Corporate Debt/Obligation, 0.00% to 8.33%,<br>due 2/15/23 to 8/15/52 | 240859592 | 186258567 |
|  | 4.77 <sup>(a)</sup> | 12/30/22 | 03/30/23 | 143000 | 143000 | 144705275 | Corporate Debt/Obligation, 0.00% to 12.79%,<br>due 9/24/24 to 4/15/70 | 243169472 | 156429856 |
|  | 4.78 <sup>(a)</sup> | 12/30/22 | 03/30/23 | 205000 | 205000 | 207449750 | Corporate Debt/Obligation, 0.00% to 11.44%,<br>due 1/03/23 to 4/25/65 | 407952295 | 228151246 |
|  | 4.30 | 12/30/22 | 01/03/23 | 8900 | 8900 | 8904252 | U.S. Government Sponsored Agency Obligation,<br>2.50% to 5.00%,<br>due 1/15/39 to 3/20/47 | 394182168 | 9078000 |
|  Total J.P. Morgan Securities LLC  |  |  |  |  | $3063900 |  |  |  | $3287529327 |
|  Mizuho Security USA, Inc. | 4.47 <sup>(a)</sup> | 12/30/22 | 01/03/23 | 24000 | 24000 | 24011920 | Corporate Debt/Obligation, 5.25%, due 10/01/57 | 23380000 | 25681274 |
|  | 4.77 <sup>(a)</sup> | 12/30/22 | 02/03/23 | 67000 | 67000 | 67310713 | Corporate Debt/Obligation, 4.00% to 5.50%,<br>due 5/15/35 to 5/15/62 | 69035000 | 71694445 |
|  | 4.87 <sup>(a)</sup> | 12/30/22 | 03/31/23 | 110000 | 110000 | 111354131 | Corporate Debt/Obligation, 2.30% to 7.20%,<br>due 3/20/25 to 6/25/52 | 129210856 | 117700234 |
|  Total Mizuho Security USA, Inc.  |  |  |  |  | $201000 |  |  |  | $215075953 |
|  Natixis SA | 4.45 <sup>(a)</sup> | 12/30/22 | 01/06/23 | 125000 | 125000 | 125108160 | Corporate Debt/Obligation, 1.00% to 7.63%,<br>due 6/10/24 to 7/01/50 | 149138101 | 131250000 |
|  | 4.53 <sup>(a)</sup> | 12/30/22 | 01/06/23 | 125000 | 125000 | 125110104 | Corporate Debt/Obligation, 0.00% to 8.25%,<br>due 5/09/24 to 1/01/2999 | 252740942 | 136199456 |
|  Total Natixis SA  |  |  |  |  | $250000 |  |  |  | $267449456 |
|  TD Securities (USA) LLC | 4.40 <sup>(a)</sup> | 12/30/22 | 01/03/23 | 131000 | 131000 | 131064044 | Corporate Debt/Obligation, 0.87% to 5.05%,<br>due 12/01/23 to 3/09/52 | 156843000 | 137550911 |
|  | 4.64 <sup>(a)</sup> | 12/30/22 | 02/03/23 | 53000 | 53000 | 53239089 | Corporate Debt/Obligation, 1.18% to 9.70%,<br>due 12/20/24 to 6/30/51 | 58633000 | 56135699 |
|  Total TD Securities (USA) LLC  |  |  |  |  | $184000 |  |  |  | $193686610 |
|  Wells Fargo Securities LLC | 4.85 | 11/30/22 | 02/02/23 | 85000 | 85000 | 85732889 | Corporate Debt/Obligation, 1.32% to 8.32%,<br>due 12/16/24 to 10/25/59 | 130279906 | 94792539 |
|  | 4.60 | 12/02/22 | 02/06/23 | 150000 | 150000 | 151265000 | Corporate Debt/Obligation, 0.00% to 7.82%,<br>due 7/22/24 to 2/20/46 | 192260267 | 160500000 |

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M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 25

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Money Market Master Portfolio** |

---

**Repurchase Agreements (continued)** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Collateral | Collateral | Collateral |
| *Counterparty* | *Coupon<br>Rate* | *Purchase<br>Date* | *Maturity<br>Date* | *Par<br>(000)* | *At Value<br>(000)* | *Proceeds<br>Including<br>Interest* | *Position* | *Original Par* | *Position*<br> *Received,<br>at Value* |
|  Wells Fargo Securities LLC (continued) | 4.47% | 12/29/22 | 01/05/23 | $83500 | $83500 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83572575 | Corporate Debt/Obligation, 0.00% to 5.12%,<br>due 3/06/23 to 10/05/26 | $87428000 | $87675210 |
|  | 4.31 | 12/30/22 | 01/03/23 | 100000 | 100000 | 100047889 | U.S. Government Sponsored Agency Obligation,<br>2.00% to 6.50%,<br>due 9/01/31 to 12/01/52 | 130068950 | 103000000 |
|  Total Wells Fargo Securities LLC |  |  |  |  | 418500 |  |  |  | 445967749 |
|  |  |  |  |  | $29333900 |  |  |  | $29947098862 |

---

<sup>(a)</sup> Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

<sup>(b)</sup> Traded in a joint account.

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Certificates of Deposit | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $24532188253 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $24532188253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Paper |  | 12610670827 |  | 12610670827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 474417330 |  | 474417330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 1169276786 |  | 1169276786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Repurchase Agreements |  | 29333900000 |  | 29333900000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Time Deposits |  | 3871000000 |  | 3871000000 |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;71991453196 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $71991453196 |

---

*See notes to financial statements.* 

26 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments <br> December 31, 2022 | **Treasury Money Market Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
|  **U.S. Treasury Obligations — 17.1%** | **U.S. Treasury Obligations — 17.1%** | **U.S. Treasury Obligations — 17.1%** |
|  U.S. Treasury Bills <sup>(a)</sup>  | U.S. Treasury Bills <sup>(a)</sup>  | U.S. Treasury Bills <sup>(a)</sup>  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.26%, 01/10/23 | $120000 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;119904600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.64%, 01/26/23 | 103035 | 102989932 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.08%, 02/23/23 | 67285 | 67180785 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.58%, 03/16/23 | 730580 | 725376444 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.16%, 05/18/23 | 378830 | 375802059 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.97%, 06/15/23 | 46540 | 45929234 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.49%, 08/10/23 | 12000 | 11752664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.57%, 11/30/23 | 41550 | 39871406 |
|  U.S. Treasury Floating Rate Notes<sup>(b)</sup>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo.Treasury money market yield + 0.05%), 4.50%, 01/31/23 | 706425 | 706430822 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo.Treasury money market yield + 0.03%), 4.46%, 04/30/23 - 07/31/23 | 494015 | 494021217 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo.Treasury money market yield + 0.04%), 4.47%, 10/31/23 | 130000 | 130000000 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo.Treasury money market yield - 0.02%), 4.37%, 01/31/24 | 143905 | 143904773 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo.Treasury money market yield - 0.08%), 4.25%, 04/30/24 | 43650 | 43608302 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **U.S. Treasury Obligations (continued)** | **U.S. Treasury Obligations (continued)** | **U.S. Treasury Obligations (continued)** |
|  U.S. Treasury Floating Rate Notes<sup>(b)</sup> (continued) | U.S. Treasury Floating Rate Notes<sup>(b)</sup> (continued) | U.S. Treasury Floating Rate Notes<sup>(b)</sup> (continued) |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo.Treasury money market yield - 0.14%), 4.68%, 10/31/24 | $227000 | $226673176 |
|  U.S. Treasury Notes | U.S. Treasury Notes | U.S. Treasury Notes |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.13%, 01/31/23 - 04/30/23 | 145125 | 144681188 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 02/28/23 - 03/31/23 | 28970 | 28990638 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 03/31/23 | 5975 | 5992848 |
|  **Total Short-Term Securities —17.1%<br>(Cost: $3,413,110,088)** |  | 3413110088 |
|  **Total Repurchase Agreements — 77.4%<br>(Cost: $15,443,000,566).** |  | 15443000566 |
|  **Total Investments — 94.5%<br>(Cost: $18,856,110,654<sup>(c)</sup>)** |  | 18856110654 |
|  **Other Assets Less Liabilities — 5.5%**  |  | 1088169140 |
|  **Net Assets — 100.0%** |  | $19944279794 |

---

<sup>(a)</sup> Rates are the current rate or a range of current rates as of period end.

<sup>(b)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

<sup>(c)</sup> Cost for U.S. federal income tax purposes.

**Repurchase Agreements** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Collateral | Collateral | Collateral |
| *Counterparty* | *Coupon<br>Rate* | *Purchase<br>Date* | *Maturity<br>Date* | *Par*<br> *(000)* | *At Value*<br> *(000)* | *Proceeds*<br> *Including*<br> *Interest* | *Position* | *Original Par* | *Position*<br> *Received,*<br> *at Value* |
|  Bank of Nova Scotia  | 4.25% | 12/30/22 | 01/03/23 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;109000 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;109000 | $109051472 | U.S. Treasury Obligation, 0.13% to 4.38%, due 7/15/23 to 5/15/52 | $115191600 | $111232515 |
|  Barclays Bank PLC  | 4.30 | 12/30/22 | 01/03/23 | 1000000 | 1000000 | 1000477778 | U.S. Treasury Obligation, 0.75% to 4.50%, due 4/30/26 to 2/15/52 | 1114402800 | 1020000036 |
|  BNP Paribas S.A. | 4.25 | 12/30/22 | 01/03/23 | 50000 | 50000 | 50023611 | U.S. Treasury Obligation, 1.88%, due 2/15/51 to 11/15/51 | 78658300 | 51000032 |
|  | 4.25 | 12/30/22 | 01/03/23 | 1125000 | 1125000 | 1125531250 | U.S. Treasury Obligation, 0.00% to 4.00%, due 2/15/23 to 11/15/52 | 1452947527 | 1147500000 |
|  Total BNP Paribas S.A. | Total BNP Paribas S.A. | Total BNP Paribas S.A. | Total BNP Paribas S.A. | Total BNP Paribas S.A. | $1175000 |  |  |  | $1198500032 |
|  BofA Securities, Inc. | 4.25 | 12/30/22 | 01/03/23 | 3000 | 3000 | 3001417 | U.S. Treasury Obligation, 1.50%, due 2/15/25 | 3232600 | 3060045 |
|  Citigroup Global Markets,<br>Inc.<sup>(a)</sup>  | 4.25 | 12/30/22 | 01/03/23 | 25000 | 25000 | 25011805 | U.S. Treasury Obligation, 1.63% to 2.88%, due 4/30/29 to 8/15/29 | 29075800 | 25500067 |
|  | 4.25 | 12/30/22 | 01/03/23 | 217000 | 217000 | 217102472 | U.S. Treasury Obligation, 0.25% to 3.00%, due 10/31/25 to 1/15/26 | 182521777 | 221363886 |
|  | 4.25 | 12/30/22 | 01/03/23 | 750000 | 750000 | 750354167 | U.S. Treasury Obligation, 0.00% to 3.38%, due 1/03/23 to 8/15/52 | 824167800 | 765000076 |
|  Total Citigroup Global Markets, Inc. | Total Citigroup Global Markets, Inc. | Total Citigroup Global Markets, Inc. | Total Citigroup Global Markets, Inc. | Total Citigroup Global Markets, Inc. | $992000 |  |  |  | $1011864029 |
|  Credit Agricole Corp.<sup>(a)</sup>  | 4.25 | 12/30/22 | 01/03/23 | 249000 | 249000 | 249117583 | U.S. Treasury Obligation, 0.25% to 3.88%, due 8/31/25 to 8/15/30 | 287330206 | 253980000 |
|  Federal Reserve Bank of New York  | 4.30 | 12/30/22 | 01/03/23 | 10900000 | 10900000 | 10905207778 | U.S. Treasury Obligation, 2.25% to 2.50%, due 8/15/23 to 5/15/29 | 11563699800 | 10905207862 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Treasury Money Market Master Portfolio** |

---

**Repurchase Agreements (continued)** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Collateral | Collateral | Collateral |
| *Counterparty* | *Coupon<br>Rate* | *Purchase<br>Date* | *Maturity<br>Date* | *Par<br>(000)* | *At Value<br>(000)* | *Proceeds<br>Including<br>Interest* | *Position* | *Original Par* | *Position*<br> *Received,*<br> *at Value* |
|  Fixed Income Clearing Corporation - JPM. | 4.27% | 12/30/22 | 01/03/23 | $250001 | $250001 | $250119178 | U.S. Treasury Obligation,<br>3.00%, due 2/15/48 | $306307000 | $255000578 |
|  HSBC Securities (USA), Inc. | 4.25 <sup>(b)</sup> | 12/30/22 | 01/03/23 | 225000 | 225000 | 225106250 | U.S. Treasury Obligation,<br>0.00% to 2.50%, due 2/15/23 to 11/15/50 | 414100611 | 229500001 |
|  Natixis SA  | 4.25 | 12/30/22 | 01/03/23 | 5000 | 5000 | 5002361 | U.S. Treasury Obligation,<br>1.63% to 4.00%, due 12/15/25 to 8/15/46 | 7004800 | 5100016 |
|  | 4.25 <sup>(b)</sup> | 12/30/22 | 01/03/23 | 100000 | 100000 | 100047222 | U.S. Treasury Obligation,<br>0.00% to 4.13%, due 9/30/23 to 2/15/49 | 109700100 | 102000002 |
|  Total Natixis SA |  |  |  |  | $105000 |  |  |  | $107100018 |
|  SG Americas Securities LLC | 4.25 | 12/30/22 | 01/03/23 | 430000 | 430000 | 430203056 | U.S. Treasury Obligation, 0.63% to 3.00%, due 1/31/24 to 8/15/30 | 485074200 | 438600050 |
|  TD Securities (USA) LLC | 4.27 | 12/30/22 | 01/03/23 | 5000 | 5000 | 5002372 | U.S. Treasury Obligation, 0.13% to 3.88%, due 2/28/23 to 9/30/29 | 5408500 | 5100027 |
|  |  |  |  |  | $15443001 |  |  |  | $15539145193 |

---

<sup>(a)</sup> Traded in a joint account.

<sup>(b)</sup> Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the Master Portfolio's financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Repurchase Agreements | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $15443000566 | $— | $15443000566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations |  | 3413110088 |  | 3413110088 |
|  | $— | $18856110654 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $18856110654 |

---

*See notes to financial statements.* 

28 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statements of Assets and Liabilities

December 31, 2022

---

| | | |
|:---|:---|:---|
| | Money Market<br> Master<br> Portfolio | Treasury<br> Money Market<br> Master<br> Portfolio |
|  **ASSETS** |  |  |
|  Investments, at value — unaffiliated<sup>(a)</sup> | $42657553196 | $3413110088 |
|  Cash | 2498662567 | 987474640 |
|  Repurchase agreements, at value<sup>(b)</sup> | 29333900000 | 15443000566 |
|  Receivables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold |  | 83855000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 136314990 | 18104699 |
|  Total assets | 74626430753 | 19945544993 |
|  **LIABILITIES** |  |  |
|  Payables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 4485925 | 1153647 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees | 60458 | 44818 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 266684 | 66734 |
|  Total liabilities | 4813067 | 1265199 |
|  NET ASSETS | $74621617686 | $19944279794 |
|  **NET ASSETS CONSIST OF** |  |  |
|  Investors' capital | $74620194048 | $19944279794 |
|  Net unrealized appreciation (depreciation) | 1423638 |  |
|  NET ASSETS | $74621617686 | $19944279794 |
|  <sup>(a)</sup> Investments, at cost — unaffiliated | $42656129558 | $3413110088 |
|  <sup>(b)</sup> Repurchase agreements, at cost | $29333900000 | $15443000566 |

---

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L S T A T E M E N T S 29

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Statements of Operations

Year Ended December 31, 2022

---

| | | |
|:---|:---|:---|
| | Money Market<br> Master<br> Portfolio | Treasury<br> Money Market<br>Master<br> Portfolio |
|  **INVESTMENT INCOME** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | $1286672904 | $317066232 |
|  Total investment income | 1286672904 | 317066232 |
|  EXPENSES |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 67075830 | 19102435 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees | 249961 | 156673 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 29156 | 19747 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 1885 | 2135 |
|  Total expenses | 67356832 | 19280990 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (20401971) | (5911083) |
|  Total expenses after fees waived and/or reimbursed | 46954861 | 13369907 |
|  Net investment income | 1239718043 | 303696325 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | 377973 | (215219) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | 5367947 |  |
|  Net realized and unrealized gain (loss) | 5745920 | (215219) |
|  NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $1245463963 | $303481106 |

---

*See notes to financial statements.* 

30 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statements of Changes in Net Assets

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Money Market Master Portfolio | Money Market Master Portfolio | Treasury Money Market Master Portfolio | Treasury Money Market Master Portfolio |
| | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $1239718043 | $86810661 | $303696325 | $1091424 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 377973 | 127838 | (215219) | 655711 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 5367947 | (13855488) |  |  |
|  Net increase in net assets resulting from operations | 1245463963 | 73083011 | 303481106 | 1747135 |
|  **CAPITAL TRANSACTIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from contributions | 340551735236 | 295532215106 | 392420697296 | 284012686597 |
| &nbsp;&nbsp;&nbsp;&nbsp; Value of withdrawals | (332848241295) | (290536982552) | (397324622000) | (280628392519) |
|  Net increase (decrease) in net assets derived from capital transactions | 7703493941 | 4995232554 | (4903924704) | 3384294078 |
|  *NET ASSETS* |  |  |  |  |
|  Total increase (decrease) in net assets | 8948957904 | 5068315565 | (4600443598) | 3386041213 |
|  Beginning of year | 65672659782 | 60604344217 | 24544723392 | 21158682179 |
|  End of year | $74621617686 | $65672659782 | $19944279794 | $24544723392 |

---

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L S T A T E M E N T S 31

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Financial Highlights

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Money Market Master Portfolio | Money Market Master Portfolio | Money Market Master Portfolio | Money Market Master Portfolio | Money Market Master Portfolio |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Total Return** |  |  |  |  |  |
|  Total return | 1.81% | 0.11% | 0.82% | 2.45% | 2.10% |
|  **Ratios to Average Net Assets** |  |  |  |  |  |
|  Total expenses | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
|  Total expenses after fees waived and/or reimbursed | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
|  Net investment income | 1.85% | 0.13% | 0.77% | 2.38% | 2.06% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $&nbsp;&nbsp;&nbsp;&nbsp;74621618 | $&nbsp;&nbsp;&nbsp;&nbsp;65672660 | $&nbsp;&nbsp;&nbsp;&nbsp;60604344 | $&nbsp;&nbsp;&nbsp;&nbsp;54443686 | $&nbsp;&nbsp;&nbsp;&nbsp;47340213 |

---

*See notes to financial statements.* 

32 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Financial Highlights (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Treasury Money Market Master Portfolio | Treasury Money Market Master Portfolio | Treasury Money Market Master Portfolio | Treasury Money Market Master Portfolio | Treasury Money Market Master Portfolio |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Total Return** |  |  |  |  |  |
|  Total return | 1.60% | 0.03% | 0.45% | 2.17% | 1.81% |
|  **Ratios to Average Net Assets** |  |  |  |  |  |
|  Total expenses | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
|  Total expenses after fees waived and/or reimbursed | 0.07% | 0.06% | 0.07% | 0.07% | 0.07% |
|  Net investment income | 1.59% | 0.01% | 0.37% | 2.12% | 1.76% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $19944280 | $24544723 | $21158682 | $13699249 | $8052437 |

---

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L H I G H L I G H T S 33

------

Notes to Financial Statements

***1. ORGANIZATION***

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

Treasury Money Market Master Portfolio operates as a "government money market fund" under Rule 2a-7 under the 1940 Act. The Master Portfolio is not subject to liquidity fees or temporary suspensions of redemptions due to declines in the Master Portfolio's weekly liquid assets.

With respect to Money Market Master Portfolio, the Board of Trustees of MIP (the "Board") is permitted to impose a liquidity fee of up to 2% on the value of shares redeemed or temporarily restrict redemptions from Money Market Master Portfolio for up to 10 business days during a 90 day period, in the event that such Money Market Master Portfolio's weekly liquid assets fall below certain thresholds.

The Master Portfolios, together with certain other registered investment companies advised by BlackRock Fund Advisors ("BFA" or the "Manager") or its affiliates, are included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

***2. SIGNIFICANT ACCOUNTING POLICIES***

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

**Investment Transactions and Income Recognition:** For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.

**Liquidity Fees:** Any liquidity fees imposed on the value of shares redeemed in the event that the Money Market Master Portfolio's weekly liquid assets fall below certain thresholds are recorded as paid-in-capital. The liquidity fees are collected and retained by the Money Market Master Portfolio for the benefit of the Money Market Master Portfolio's remaining interest holders.

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

**Other:** Expenses directly related to a Master Portfolio are charged to that Master Portfolio. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

***3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS***

**Investment Valuation Policies (Money Market Master Portfolio):** The Master Portfolio's investments are valued at fair value (also referred to as "market value" within the financial statements) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board has approved the designation of the Master Portfolio's Manager as the valuation designee for the Master Portfolio. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager's policies. If a security's market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager's policies and procedures as reflecting fair value. The Manager has formed a committee (the "Valuation Committee") to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

**Investment Valuation Policies (Treasury Money Market Master Portfolio):** U.S. GAAP defines fair value as the price the Master Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Master Portfolio's investments are valued under the amortized cost method which approximates current market value in accordance with Rule 2a-7 under the 1940 Act. Under this method, investments are valued at cost when purchased and, thereafter, a constant proportionate accretion of discounts and amortization of premiums are recorded until the maturity of the security. The Master Portfolio seeks to maintain the net asset value ("NAV") per share of its feeder funds at $1.00, although there is no assurance that it will be able to do so on a continuing basis.

**Fair Value Inputs and Methodologies:** The following methods and inputs are used to establish the fair value of the Money Market Master Portfolio's assets and liabilities:

&nbsp;&nbsp;&nbsp;&nbsp;• Investments are valued on the basis of prices provided by dealers or pricing services. In determining the value of a
particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various
relationships between investments.

&nbsp;&nbsp;&nbsp;&nbsp;• Fixed-income investments for which market quotations are readily available are generally valued using the last available
bid price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or

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Notes to Financial Statements (continued)

dealers as obtained from a third-party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. <br>

&nbsp;&nbsp;&nbsp;&nbsp;• Repurchase agreements are valued at amortized cost, which approximates market value.

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

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each
Master Portfolio has the ability to access;

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

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

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

***4. SECURITIES AND OTHER INVESTMENTS***

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

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

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

***5. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES***

**Investment Advisory:** MIP, on behalf of each Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolios' investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. ("BlackRock"), to provide investment advisory services. The Manager is responsible for the management of each Master Portfolio's portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Master Portfolio.

For such services, each Master Portfolio pays the Manager a monthly fee at an annual rate equal to 0.10% of the average daily value of each Master Portfolio's net assets.

**Administration:** MIP, on behalf of each Master Portfolio, entered into an Administration Agreement with BlackRock Advisors, LLC ("BAL"), which has agreed to provide general administrative services (other than investment advice and related portfolio activities). BAL has agreed to bear all of the Master Portfolios' ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by each Master Portfolio.

BAL is not entitled to compensation for providing administrative services to the Master Portfolios, for so long as BAL (or an affiliate) is entitled to compensation for providing administrative services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolios, or BAL (or an affiliate) receives investment advisory fees from the Master Portfolios.

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Notes to Financial Statements (continued)

With respect to Money Market Master Portfolio, the Manager entered into a sub-advisory agreement with BlackRock International Limited ("BIL"), an affiliate of the Manager. The Manager pays BIL for services it provides for that portion of the Master Portfolio for which BIL acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by the Master Portfolio to the Manager.

**Expense Waivers and Reimbursements:** The Manager contractually agreed to waive a portion of its investment advisory fees equal to the annual rate of 0.03% of the average daily value of each Master Portfolio's net assets through June 30, 2023. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2022, the amounts waived were as follows:

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| | |
|:---|:---|
| *Master Portfolio Name* | *Fees Waived and/or Reimbursed<br>by the Manager* |
|  Money Market Master Portfolio | $20122854 |
|  Treasury Money Market Master Portfolio | 5730730 |

---

The Manager and BAL have also voluntarily agreed to waive a portion of their respective management investments advisory fees to enable the feeders that invest in the Master Portfolios to maintain minimum levels of daily net investment income, if applicable. The Manager and BAL may discontinue the waiver at any time. The amount waived is included in fees waived and/or reimbursed by the Manager in the Statements of Operations. With respect to Treasury Money Market Master Portfolio, for the year ended December 31, 2022, the amount waived and/or reimbursed was $3,933.

The fees and expenses of the MIP's trustees who are not "interested persons" of MIP, as defined in the 1940 Act ("Independent Trustees"), counsel to the Independent Trustees and the Master Portfolios' independent registered public accounting firm (together, the "independent expenses") are paid directly by the Master Portfolios. The Manager has contractually agreed to reimburse the Master Portfolios or provide an offsetting credit against the investment advisory fees paid by the Master Portfolios in an amount equal to these independent expenses through June 30, 2023. These amounts waived are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2022, the amounts waived were as follows:

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| | |
|:---|:---|
| *Fund Name* | *Fees Waived and/or Reimbursed<br>by the Manager* |
|  Money Market Master Portfolio | $279117 |
|  Treasury Money Market Master Portfolio | 176420 |

---

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the SEC, the Master Portfolios may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Master Portfolio's investment policies and restrictions. Each Master Portfolio is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended December 31, 2022, the Master Portfolios did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of MIP are directors and/or officers of BlackRock or its affiliates.

***6. INCOME TAX INFORMATION***

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

Treasury Money Market Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Master Portfolio's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Treasury Money Market Master Portfolio as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio's financial statements.

Money Market Master Portfolio is disregarded as an entity separate from its owner for tax purposes. As such, the owner of the Master Portfolio is treated as the owner of the net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no U.S. federal income tax provision is required. It is intended that the Master Portfolio's assets will be managed so the owner of the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

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Notes to Financial Statements (continued)

***7. PRINCIPAL RISKS***

In the normal course of business, the Master Portfolios invest in securities or other instruments and may enter into certain transactions, and such activities subject each Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolios and their investments. Each Master Portfolio's prospectus provides details of the risks to which each Master Portfolio is subject.

Certain obligations held by the Money Market Master Portfolio have a credit enhancement or liquidity feature that may, under certain circumstances, provide for repayment of principal and interest on the obligation when due. These enhancements, which may include letters of credit, stand-by bond purchase agreements and/or third-party insurance, are issued by financial institutions. The value of the obligations may be affected by changes in creditworthiness of the entities that provide the credit enhancements or liquidity features. The Money Market Master Portfolio monitors its exposure by reviewing the creditworthiness of the issuers, as well as the financial institutions issuing the credit enhancements and by limiting the amount of holdings with credit enhancements from one financial institution.

Certain affiliates indirectly invest in the Master Portfolios through the SL Agency Shares of BlackRock Cash Funds. As of period end, these affiliated investors represent a significant portion of the net assets of Money Market Master Portfolio and Treasury Money Market Master Portfolio.

**Market Risk:** Each Master Portfolio may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Master Portfolio to reinvest in lower yielding securities. Each Master Portfolio may also be exposed to reinvestment risk, which is the risk that income from each Master Portfolio's portfolio will decline if each Master Portfolio invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Master Portfolio portfolio's current earnings rate.

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

**Infectious Illness Risk:** An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

**Valuation Risk:** The price the Money Market Master Portfolio could receive upon the sale of any particular portfolio investment may differ from the Money Market Master Portfolio's valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Money Market Master Portfolio's results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Money Market Master Portfolio, and the Money Market Master Portfolio could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Money Market Master Portfolio's ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.

**Counterparty Credit Risk:** The Master Portfolios may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Master Portfolios manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolios to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolios' exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Master Portfolios.

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

The Master Portfolios invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Master Portfolios may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. The Federal Reserve has recently begun to raise the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Master Portfolio's performance.

**Significant Shareholder Redemption Risk:** Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund's NAV, increase the fund's brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 37

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Notes to Financial Statements (continued)

**LIBOR Transition Risk:** The United Kingdom's Financial Conduct Authority announced a phase out of the London Interbank Offered Rate ("LIBOR"). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Master Portfolios may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Master Portfolios is uncertain.

***8. SUBSEQUENT EVENTS***

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

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Master Investment Portfolio and Investors of each of the two funds listed in the table below

**Opinions on the Financial Statements** 

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (two of the series constituting Master Investment Portfolio, hereafter collectively referred to as the "Master Portfolios") as of December 31, 2022, the related statements of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Master Portfolios as of December 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2022 and each of the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

Money Market Master Portfolio

Treasury Money Market Master Portfolio

**Basis for Opinions** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 14, 2023

We have served as the auditor of one or more BlackRock investment companies since 2000.

M A S T E R P O R T F O L I O R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M 39

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Trustee and Officer Information

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>**  | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During<br>Past 5 Years** |
| **Mark Stalnecker**<br> 1951 | Chair of the Board<br> (Since 2019) and Trustee<br> (Since 2015) | Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees' Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014. | 28 RICs consisting of 164 Portfolios |  |
| **Susan J. Carter**<br> 1956 | Trustee<br> (Since 2016) | Trustee, Financial Accounting Foundation from 2017 to 2021; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business from 1997 to 2021; Director, Pacific Pension Institute from 2014 to 2018; Senior Advisor, Commonfund Capital, Inc. ("CCI") (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof since 2018; Advisory Board Member, Bridges Fund Management since 2016; Practitioner Advisory Board Member, Private Capital Research Institute ("PCRI") since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019; Advisor to Finance Committee, Altman Foundation since 2020; Investment Committee Member, Tostan since 2021. | 28 RICs consisting of 164 Portfolios |  |
| **Collette Chilton**<br> 1958 | Trustee<br> (Since 2015) | Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006; Director, Boys and Girls Club of Boston since 2017; Director, B1 Capital since 2018; Director, David and Lucile Packard Foundation since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Neil A. Cotty**<br> 1954 | Trustee<br> (Since 2016) | Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002. | 28 RICs consisting of 164 Portfolios |  |
| **Lena G. Goldberg**<br> 1949 | Trustee<br> (Since 2019) | Director, Charles Stark Draper Laboratory, Inc. from 2013 to 2021; Senior Lecturer, Harvard Business School from 2008 to 2021; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985. | 28 RICs consisting of 164 Portfolios |  |

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>**  | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During<br>Past 5 Years** |
| **Henry R. Keizer**<br> 1956 | Trustee<br> (Since 2019) | Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010. | 28 RICs consisting of 164 Portfolios | Hertz Global Holdings (car rental) from 2015 to 2021; GrafTech International Ltd. (materials manufacturing); WABCO (commercial vehicle safety systems) from 2015 to 2020; Sealed Air Corp. (packaging) from 2015 to 2021 |
| **Cynthia A. Montgomery**<br> 1952 | Trustee<br> (Since 2009) | Professor, Harvard Business School since 1989. | 28 RICs consisting of 164 Portfolios |  |
| **Donald C. Opatrny**<br> 1952 | Trustee<br> (Since 2019) | Director, Athena Capital Advisors LLC (investment management firm) from 2013 to 2020; Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University from 2004 to 2019; President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018; Member of the Board and Investment Committee, University School from 2007 to 2018; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyoming since 2017; Member, Investment Funds Committee, State of Wyoming since 2017; Trustee, Phoenix Art Museum since 2018; Trustee, Arizona Community Foundation and Member of Investment Committee since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Joseph P. Platt**<br> 1947 | Trustee<br> (Since 2009) | General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, Basic Health International (non-profit) since 2015. | 28 RICs consisting of 164 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company); Consol Energy Inc. |
| **Kenneth L. Urish**<br> 1951 | Trustee<br> (Since 2009) | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past- Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since founding in 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter- Tel from 2006 to 2007; Member, Advisory Board, ESG Competent Boards since 2020. | 28 RICs consisting of 164 Portfolios |  |

---

T R U S T E E A N D O F F I C E R I N F O R M A T I O N 41

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Trustee and Officer Information (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>**  | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During<br>Past 5 Years** |
| **Claire A. Walton**<br> 1957 | Trustee<br> (Since 2016) | Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; General Partner of Neon Liberty Capital Management, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Woodstock Ski Runners since 2013; Director, Massachusetts Council on Economic Education from 2013 to 2015. | 28 RICs consisting of 164 Portfolios |  |
| **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>**  | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies<br>("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships**<br> **Held During**<br> **Past 5 Years** |
| **Robert Fairbairn**<br> 1965 | Trustee<br> (Since 2018) | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock's Global Executive and Global Operating Committees; Co-Chair of BlackRock's Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock's Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock's Retail and iShares<sup>®</sup> businesses from 2012 to 2016. | 98 RICs consisting of 266 Portfolios |  |
| **John M. Perlowski**<sup>(e)</sup><br> 1964 | Trustee (Since 2015) President and Chief Executive Officer<br> (Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 100 RICs consisting of 268 Portfolios |  |

---

<sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

<sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.

<sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. 

<sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.

<sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund.

42 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Trustee and Officer Information (continued)

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| | | |
|:---|:---|:---|
| **Officers Who Are Not Trustees<sup>(a)</sup>**  | **Officers Who Are Not Trustees<sup>(a)</sup>**  | **Officers Who Are Not Trustees<sup>(a)</sup>**  |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)** | **Principal Occupation(s) During Past 5 Years** |
| **Roland Villacorta**<br> 1971 | Vice President<br> (Since 2022) | Managing Director of BlackRock, Inc. since 2022; Head of Global Cash Management and Head of Securities Lending within BlackRock's Portfolio Management Group since 2022; Member of BlackRock's Global Operating Committee since 2022; Head of Portfolio Management in BlackRock's Financial Markets Advisory Group within BlackRock Solutions from 2008 to 2015; Co-Head of BlackRock Solutions' Portfolio Analytics Group; previously Mr. Villacorta was Co-Head of Fixed Income within BlackRock's Risk & Quantitative Analysis Group. |
| **Jennifer McGovern**<br> 1977 | Vice President<br> (Since 2014) | Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock's Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock's U.S. Wealth Advisory Group from 2013 to 2019. |
| **Trent Walker**<br> 1974 | Chief Financial Officer<br> (Since 2021) | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. |
| **Jay M. Fife**<br> 1970 | Treasurer<br> (Since 2009) | Managing Director of BlackRock, Inc. since 2007. |
| **Charles Park**<br> 1967 | Chief Compliance Officer<br> (Since 2014) | Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares<sup>®</sup> Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors ("BFA") since 2006; Chief Compliance Officer for the BFA-advised iShares<sup>®</sup> exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. |
| **Lisa Belle**<br> 1968 | Anti-Money Laundering Compliance Officer<br> (Since 2019) | Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012. |
| **Janey Ahn**<br> 1975 | Secretary<br> (Since 2019) | Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. |

---

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

<sup>(b)</sup> Officers of the Trust/MIP serve at the pleasure of the Board.

Further information about the Trust's/MIP's Trustees and Officers is available in the Trust's/MIP's Statement of Additional Information, which can be obtained without charge by calling (888) 204-3956.

Effective March 31, 2022, Thomas Callahan resigned as a Vice President of the Trust/MIP and effective May 10, 2022, Roland Villacorta was appointed as a Vice President of the Trust/MIP.

Effective December 31, 2022, Joseph P. Platt retired as a Trustee of the Trust/MIP.

T R U S T E E A N D O F F I C E R I N F O R M A T I O N 43

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Additional Information

**Householding** 

The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called "householding" and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Transfer Agent at (888) 204-3956.

**Availability of Quarterly Schedule of Investments** 

The Funds/Master Portfolios file their complete schedules of portfolio holdings with the SEC each month on Form N-MFP. The Funds'/Master Portfolios' reports on Form N-MFP are available on the SEC's website at **sec.gov**. Additionally, each Fund/Master Portfolio makes portfolio holdings available to shareholders/interest holders on its website at **blackrock.com**.

**Availability of Proxy Voting Policies, Procedures and Voting Records** 

A description of the policies and procedures that the Funds/Master Portfolios use to determine how to vote proxies relating to portfolio securities and information about how the Funds/Master Portfolios voted proxies relating to securities held in the Funds'/Master Portfolios' portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 626-1960; (2) on the BlackRock website at **blackrock.com**; and (3) on the SEC's website at **sec.gov**.

**BlackRock Privacy Principles** 

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, "Clients") and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

**Fund and/or MIP Service Providers** 

---

| | |
|:---|:---|
| **Investment Adviser** | **Transfer Agent** |
| BlackRock Fund Advisors | State Street Bank and Trust Company |
| San Francisco, CA 94105 | North Quincy, MA 02171 |
| **Administrator** | **Distributor** |
| BlackRock Advisors, LLC | BlackRock Investments, LLC |
| Wilmington, DE 19809 | New York, NY 10022 |
| **Sub-Adviser** | **Independent Registered Public Accounting Firm** |
| BlackRock International Limited<sup>(a)</sup> | PricewaterhouseCoopers LLP |
| Edinburgh, EH3 8BL | Philadelphia, PA 19103 |
| United Kingdom |  |
|  | **Legal Counsel** |
| **Accounting Agent and Custodian** | Sidley Austin LLP |
| State Street Bank and Trust Company | New York, NY 10019 |
| Boston, MA 02111 |  |
|  | **Address of the Trust/MIP** |
| <sup>(a)</sup>For Money Market Master Portfolio. | 400 Howard Street |
|  | San Francisco, CA 94105 |

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44 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Glossary of Terms Used in this Report

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| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| AGM-CR | AGM Insured Custodial Receipt |
| CD | Certificate of Deposit |
| CR | Custodian Receipt |
| M/F | Multi-Family |
| RB | Revenue Bond |
| SOFR | Secured Overnight Financing Rate |
| VRDN | Variable Rate Demand Note |

---

Important Fund Information

**The following applies to BlackRock Cash Funds: Institutional and its corresponding Master Portfolio:** This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund's current prospectus. You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund's liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund's sponsor has no legal obligation to provide financial support to the Fund at any time. Performance data quoted represents past performance and does not guarantee future results. Total return information assumes reinvestment of all distributions. Current performance may be higher or lower than the performance data quoted. For current month-end performance information, call (800) 626-1960. The Fund's current 7-day yield more closely reflects the current earnings of the Fund than the total returns quoted. Statements and other information herein are as dated and are subject to change.

**The following applies to BlackRock Cash Funds:Treasury and its corresponding Master Portfolio:** This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund's current prospectus. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund's sponsor has no legal obligation to provide financial support to the Fund at any time. Performance data quoted represents past performance and does not guarantee future results. Total return information assumes reinvestment of all distributions. Current performance may be higher or lower than the performance data quoted. For current month-end performance information, call (800) 626-1960. The Fund's current 7-day yield more closely reflects the current earnings of the Fund than the total returns quoted. Statements and other information herein are as dated and are subject to change.

G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T 45

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**Want to know more?** 

blackrock.com \| 888-204-3956

MMF3-12/22-AR

---

| | |
|:---|:---|
| ![LOGO](g457049g42l24.jpg)  | ![LOGO](g457049leaf.jpg) |

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| | |
|:---|:---|
| ![LOGO](g458023g42l24.jpg)  | **DECEMBER 31, 2022** |

---

<br> **2022 Annual Report**<br>

**BlackRock Funds III** 

· BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund

· BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund

· BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund

· BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund

· BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund

· BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund

· BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund

· BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund

· BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund

· BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund

&nbsp;&nbsp;&nbsp;**Not FDIC Insured • May Lose Value • No Bank Guarantee**

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The Markets in Review

Dear Shareholder,

Significant economic headwinds emerged during the 12-month reporting period ended December 31, 2022, as investors navigated changing economic conditions and volatile markets. The U.S. economy shrank in the first half of 2022 before returning to modest growth in the third quarter, marking a shift to a more challenging post-reopening economic environment. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high before beginning to moderate. Moreover, while the foremost effect of Russia's invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.

Equity prices fell as interest rates rose, particularly during the first half of the reporting period. Both large- and small-capitalization U.S. stocks fell, although equities began to recover in the second half of the year as inflation eased and economic growth resumed. Emerging market stocks and international equities from developed markets declined overall, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield rose notably during the reporting period, driving its price down, as investors reacted to fluctuating inflation data and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and heightened uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the "Fed"), acknowledging that inflation has been more persistent than expected, raised interest rates seven times. Furthermore, the Fed wound down its bond-buying programs and is accelerating the reduction of its balance sheet. While the Fed suggested that additional rate hikes were likely, it also gave indications that the pace of increases would slow if inflation continued to subside.

The pandemic's restructuring of the economy brought an ongoing mismatch between supply and demand, contributing to the current inflationary regime. While growth slowed in 2022, we believe that taming inflation requires a more dramatic economic decline to bring demand back to a level more in line with the economy's capacity. The Fed has been raising interest rates at the fastest pace in decades, and seems set to overtighten in its effort to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, but this prospect has not yet been fully priced in by markets. Investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions.

In this environment, while we favor an overweight to equities in the long-term, the market's concerns over excessive rate hikes from central banks moderate our outlook. Rising input costs and a deteriorating economic backdrop are likely to challenge corporate earnings, so we are underweight equities overall in the near term. However, we see better opportunities in credit, where valuations are attractive and higher yields provide income opportunities. We believe that global investment-grade corporates, global inflation-linked bonds, and U.S. mortgage-backed securities offer strong opportunities for a six- to twelve-month horizon.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit **blackrock.com** for further insight about investing in today's markets.

Sincerely,

![LOGO](g458023sig_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

![LOGO](g458023sp2.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

---

| | | |
|:---|:---|:---|
| **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** |
|  | *6-Month* | *12-Month* |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. large cap equities<br>(S&P 500<sup>®</sup> Index) | 2.31% | (18.11)% |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. small cap equities<br>(Russell 2000<sup>®</sup> Index) | 3.91 | (20.44) |
| &nbsp;&nbsp;&nbsp;&nbsp; International equities<br>(MSCI Europe, Australasia,Far East Index) | 6.36 | (14.45) |
| &nbsp;&nbsp;&nbsp;&nbsp; Emerging market equities<br>(MSCI Emerging Markets Index) | (2.99) | (20.09) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3-month Treasury bills<br>(ICE BofA 3-Month<br>U.S. Treasury Bill Index) | 1.32 | &nbsp;&nbsp;&nbsp;&nbsp;1.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury securities<br>(ICE BofA 10-Year<br>U.S. Treasury Index) | (5.58) | (16.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. investment grade bonds<br>(Bloomberg U.S. Aggregate Bond Index) | (2.97) | (13.01) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tax-exempt municipal bonds<br>(Bloomberg Municipal Bond Index) | 0.50 | &nbsp;&nbsp;&nbsp;&nbsp;(8.53) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. high yield bonds<br>(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | 3.50 | (11.18) |
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |

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2 T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T

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**Table of Contents**

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| | |
|:---|:---|
| | **Page** |
|  [The Markets in Review](#tx458023_1) | 2 |
|  **Annual Report:** |  |
|  [Fund Summary](#tx458023_2) | 4 |
|  [About Fund Performance](#tx458023_3) | 26 |
|  [Disclosure of Expenses](#tx458023_4) | 26 |
|  [Derivative Financial Instruments](#tx458023_5) | 29 |
|  Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Schedules of Investments](#tx458023_6) | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Assets and Liabilities](#tx458023_7) | 71 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Operations](#tx458023_8) | 77 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Changes in Net Assets](#tx458023_9) | 80 |
|  [Financial Highlights](#tx458023_10) | 85 |
|  [Notes to Financial Statements](#tx458023_11) | 135 |
|  [Report of Independent Registered Public Accounting Firm](#tx458023_12) | 153 |
|  [Important Tax Information](#tx458023_13) | 154 |
|  [Statement Regarding Liquidity Risk Management Program](#tx458023_14) | 155 |
|  [Trustee and Officer Information](#tx458023_15) | 156 |
|  [Additional Information](#tx458023_16) | 160 |
|  [Glossary of Terms Used in this Report](#tx458023_17) | 162 |

---

![LOGO](g458023br03.jpg)

3.0 ------

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| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic Funds** |

---

**Portfolio Management Commentary** 

**How did each Fund perform?** 

The BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund along with the BlackRock LifePath<sup>®</sup> Dynamic Funds with target dates of 2025, 2030, 2035, 2040, 2045, 2050, 2055, 2060 and 2065 are referred to as the "LifePath Dynamic Funds" or the "Funds".

For the 12-month period ended December 31, 2022, for the LifePath<sup>®</sup> Dynamic Retirement Fund, the Fund's Institutional and Class K Shares outperformed its respective custom benchmark, while the Fund's Investor C and Class R Shares underperformed its respective custom benchmark, and its Investor A Shares performed in line.

For the LifePath Dynamic Funds with the vintages of 2025 and 2045, the Funds' Institutional, Investor A, and Class K Shares outperformed their respective custom benchmarks, while the Funds' Investor C Shares underperformed their respective custom benchmarks, and their Class R Shares performed in line.

For the LifePath Dynamic Funds with the vintages of 2030, 2035 and 2040, the Funds' Institutional, Investor A, Class K and Class R Shares outperformed their respective custom benchmarks, while the Funds' Investor C Shares underperformed their respective custom benchmarks.

For the LifePath Dynamic Funds with the vintages of 2050, 2055 and 2060, all of the Funds' share classes underperformed their respective custom benchmarks.

For the LifePath Dynamic Fund with the vintage of 2065, all of the Fund's share classes underperformed its respective custom benchmark with the exception of its Class K Shares which performed in line.

Relative performance is driven by a combination of tactical macroeconomic themes and underlying actively managed strategies. The following discussion of relative performance pertains to each Fund's custom benchmark.

**What factors influenced performance?** 

The global equity and fixed-income markets both lost ground in 2022. Financial assets were hurt by central banks' decision to combat surging inflation by winding down their quantitative easing policies and raising interest rates aggressively. The rapid increase in rates, in turn, fueled worries about a potential global recession and weaker corporate earnings in 2023. Growth stocks were especially weak performers, while the value style held up much better in relative terms due in part to the strength in the energy sector and outperformance for more defensive market segments. Bonds suffered meaningful weakness, with both rate- and credit-sensitive investments experiencing losses.

With regard to macro themes, the Funds' positioning in fixed income was the largest contributor to returns. The shorter-dated vintages held short positions in U.S. 30- and 5-year Treasuries throughout most of the year, which added value at a time of rising interest rates. (The value of a short position rises when the price of the underlying security declines. Bond prices and yields move in opposite directions.) An overweight in equities, particularly Japan, also contributed to performance. With respect to underlying actively managed strategies, Diversified Equity Master Portfolio (a U.S. equity strategy) and BlackRock Tactical Opportunities Fund (a macro trading strategy) both helped results.

The Funds' currency positioning was the most notable detractor, driven by an overweight in the Euro against a basket of developed-market currencies. Among the underlying actively managed strategies, BlackRock Advantage Emerging Markets Fund (an emerging markets equity strategy) was the largest detractor. Advantage CoreAlpha Bond Master Portfolio (a domestic fixed-income strategy) also weighed on returns in the earlier vintages.

Some of the LifePath Dynamic Funds had higher-than-normal cash positions at the close of the period. This did not affect performance, and the Funds were not in a defensive investment position.

**Describe recent portfolio activity.** 

The investment adviser entered the year with a positive view regarding global growth. This formed the basis for an overweight in equities, with a preference for Europe and Japan. The Funds were also underweight in U.S. bonds and overweight in the euro. The investment adviser removed the overweight in the euro in March 2022, and it finished the year with no active currency positions.

In fixed income, the Funds were short in both U.S. five- and 30-year issues throughout most of 2022. As rates climbed steadily over the course of the year, the mispricing that the investment adviser previously identified began to diminish. It used this as an opportunity to take profits late in the third quarter of 2022 by reducing the 30-year position and removing the five-year position. Around the same time, the investment adviser added an overweight in U.S. 10-year bonds. It also established an overweight in high yield bonds, where weak performance had created an attractive opportunity to add risk.

**Describe portfolio positioning at period end.** 

The Funds were overweight U.S. and developed-market international equities, high yield bonds, and U.S. 10-year bond futures, and they were short U.S. 30-year bond futures and underweight in global real estate.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

4 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock LifePath**<sup>®</sup> **Dynamic Funds** |

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**Glide Path Evolution** 

Under normal circumstances, the asset allocation of each LifePath Dynamic Fund will change over time according to a predetermined "glide path" as each LifePath Dynamic Fund approaches its respective target date. The glide path represents the shifting of asset classes over time. Each LifePath Dynamic Fund's asset allocations become more conservative prior to retirement as time elapses. This reflects the need for reduced investment risks as retirement approaches and the need for lower volatility of each LifePath Dynamic Fund, which may be a primary source of income after retirement. As each LifePath Dynamic Fund approaches its target date, its asset allocation will shift so that each LifePath Dynamic Fund invests a greater percentage of its assets in fixed-income index funds. The asset allocation targets are established by the portfolio managers. The investment team, including the portfolio managers, meets regularly to assess market conditions, review the asset allocation targets of each LifePath Dynamic Fund, and determine whether any changes are required to enable each LifePath Dynamic Fund to achieve its investment objective. Because the BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund is in its most conservative phase, its allocation generally does not become more conservative over time, although its allocation may change to maintain its risk profile.

Although the asset allocation targets listed for the glide path are general, long-term targets, BlackRock Fund Advisors ("BFA" or the "Manager") may periodically adjust the proportion of equity index funds and fixed-income index funds in each LifePath Dynamic Fund, based on an assessment of the current market conditions, the potential contribution of each asset class to the expected risk and return characteristics of each LifePath Dynamic Fund, reallocations of each LifePath Dynamic Fund's composition to reflect intra-year movement along the glide path and other factors. In general, such adjustments will be limited; however, BFA may determine that a greater degree of variation is warranted to protect a LifePath Dynamic Fund or achieve its investment objective.

F U N D S U M M A R Y 5

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| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic Retirement Fund** |

---

**Investment Objective** 

The investment objective of **BlackRock LifePath**<sup>®</sup> **Dynamic Retirement Fund ("LifePath Dynamic Retirement Fund" or the "LifePath Dynamic Fund")** is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath Dynamic Retirement Fund will be broadly diversified across global asset classes.

**GROWTH OF $10,000 INVESTMENT**![LOGO](g458023sp6.jpg)

<sup>(a)</sup> Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

<sup>(b)</sup> The LifePath Dynamic Retirement Fund compares its performance to that of a customized weighted index (the "LifePath Dynamic Retirement Fund Custom Benchmark"). Prior to July 29, 2022, the LifePath Dynamic Retirement Fund Custom Benchmark was comprised of the Bloomberg U.S. Aggregate Bond Index, Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000<sup>®</sup> Index and Russell 2000<sup>®</sup> Index. Effective July 29, 2022, the LifePath Dynamic Retirement Fund Custom Benchmark was changed to remove Bloomberg U.S. Aggregate Bond Index and to add Bloomberg U.S. Long Credit Bond Index, Bloomberg U.S. Intermediate Credit Bond Index, Bloomberg U.S. Long Government Bond Index, Bloomberg U.S. Intermediate Government Bond Index and Bloomberg U.S. Securitized: MBS, ABS and CMBS Index. The investment adviser believes that the updated LifePath Dynamic Retirement Fund Custom Benchmark is more representative of the sectors in which the LifePath Dynamic Retirement Fund invests. The investment adviser adjusts the weightings of the indexes in the LifePath Dynamic Retirement Fund Custom Benchmark periodically based upon its evaluation and adjustment of the LifePath Dynamic Retirement Fund's asset allocation strategy. The weightings are presented annually but they are adjusted quarterly. 

The LifePath Dynamic Fund's custom benchmark consists of the following:

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | *Period* | *Bloomberg*<br> *U.S. Aggregate*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S.*<br> *Intermediate*<br> *Credit Bond*<br> *Index* | *Bloomberg*<br> *U.S.*<br> *Intermediate*<br> *Government*<br> *Bond Index* | *Bloomberg*<br> *U.S. Long*<br> *Credit*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Long*<br> *Government*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Securitized:*<br> *MBS, ABS*<br> *and*<br> *CMBS*<br> *Index* | *Bloomberg*<br> *U.S. Treasury*<br> *Inflation*<br> *Protected*<br> *Securities*<br> *(TIPS) Index*<br> *(Series-L)* | *Bloomberg*<br> *Commodity*<br> *Index* | *FTSE*<br> *EPRA Nareit*<br> *Developed*<br> *Index* | *MSCI*<br> *ACWI ex USA*<br> *IMI Index* | *Russell*<br> *1000*<sup>®</sup><br> *Index* | *Russell*<br> *2000*<sup>®</sup><br> *Index* |
|  | 01/01/13 to 12/31/13 | 52.9% | N/A | N/A | N/A | N/A | N/A | 9.1% | 3.7% | 0.1% | 10.1% | 19.7% | 4.4% |
|  | 01/01/14 to 12/31/14 | 52.6 | N/A | N/A | N/A | N/A | N/A | 9.0 | 3.8 | 0.2 | 10.2 | 19.9 | 4.3 |
|  | 01/01/15 to 12/31/15 | 51.1 | N/A | N/A | N/A | N/A | N/A | 8.8 | 3.8 | 0.5 | 11.0 | 21.0 | 3.8 |
|  | 01/01/16 to 12/31/16 | 51.1 | N/A | N/A | N/A | N/A | N/A | 8.8 | 3.7 | 0.5 | 11.3 | 20.9 | 3.7 |
|  | 01/01/17 to 12/31/17 | 51.2 | N/A | N/A | N/A | N/A | N/A | 8.8 | 3.7 | 0.5 | 11.3 | 20.3 | 4.2 |
|  | 01/01/18 to 12/31/18 | 51.2 | N/A | N/A | N/A | N/A | N/A | 8.8 | N/A | 0.5 | 13.7 | 21.8 | 4.0 |
|  | 01/01/19 to 12/31/19 | 52.0 | N/A | N/A | N/A | N/A | N/A | 8.0 | N/A | 2.3 | 12.3 | 22.1 | 3.3 |
|  | 01/01/20 to 12/31/20 | 52.0 | N/A | N/A | N/A | N/A | N/A | 8.0 | N/A | 2.2 | 12.9 | 21.6 | 3.3 |
|  | 01/01/21 to 12/31/21 | 52.0 | N/A | N/A | N/A | N/A | N/A | 8.0 | N/A | 2.2 | 13.3 | 20.9 | 3.6 |
|  | 01/01/22 to 12/31/22 | 26.1 | 3.7% | 9.6% | 1.6% | 3.3% | 7.8% | 8.0 | N/A | 2.2 | 13.5 | 21.1 | 3.1 |

---

See "About Fund Performance" for descriptions of the indexes.

6 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock LifePath**<sup>®</sup> **Dynamic Retirement Fund** |

---

**Performance** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> |
|  | 1 Year | 1 Year | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *Without*<br> *Sales*<br> *Charge* | *With*<br> *Sales*<br> *Charge* | *Without*<br> *Sales*<br> *Charge* | *With*<br> *Sales<br>Charge* | *Without*<br> *Sales*<br> *Charge* | *With*<br> *Sales*<br> *Charge* |
|  Institutional | (14.85)% | N/A | 2.94% | N/A | 4.13% | N/A |
|  Investor A | (15.08) | (19.54)% | 2.68 | 1.57% | 3.87 | 3.31% |
|  Investor C | (15.75) | (16.59) | 1.87 | 1.87 | 3.22 | 3.22 |
|  Class K | (14.64) | N/A | 3.17 | N/A | 4.40 | N/A |
|  Class R | (15.25) | N/A | 2.47 | N/A | 3.63 | N/A |
|  **LifePath Dynamic Retirement Fund Custom Benchmark** | (15.07) | N/A | 2.68 | N/A | 3.99 | N/A |
|  **Bloomberg U.S. Aggregate Bond Index** | (13.01) | N/A | 0.02 | N/A | 1.06 | N/A |
|  **Bloomberg U.S. Intermediate Credit Bond Index** | (9.10) | N/A | 1.08 | N/A | 1.76 | N/A |
|  **Bloomberg U.S. Intermediate Government Bond Index** | (7.73) | N/A | 0.46 | N/A | 0.69 | N/A |
|  **Bloomberg U.S. Long Credit Bond Index** | (25.29) | N/A | (0.77) | N/A | 2.13 | N/A |
|  **Bloomberg U.S. Long Government Bond Index** | (29.19) | N/A | (2.19) | N/A | 0.61 | N/A |
|  **Bloomberg U.S. Securitized: MBS, ABS and CMBS Index** | (11.67) | N/A | (0.43) | N/A | 0.80 | N/A |
|  **Bloomberg U.S. TIPS Index (Series-L)** | (11.85) | N/A | 2.11 | N/A | 1.12 | N/A |
|  **FTSE EPRA Nareit Developed Index** | (25.09) | N/A | (0.23) | N/A | 2.99 | N/A |
|  **MSCI ACWI ex USA IMI Index** | (16.58) | N/A | 0.85 | N/A | 3.98 | N/A |
|  **Russell 1000**<sup>®</sup> **Index** | (19.13) | N/A | 9.13 | N/A | 12.37 | N/A |
|  **Russell 2000**<sup>®</sup> **Index** | (20.44) | N/A | 4.13 | N/A | 9.01 | N/A |

---

<sup>(a)</sup> Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related sales charges and fees. 

<sup>(b)</sup> LifePath Dynamic Retirement Fund normally invests its assets in underlying funds according to an asset allocation strategy designed for investors who are currently withdrawing, or plan in the near future to begin withdrawing, a substantial portion of their investment. LifePath Dynamic Retirement Fund's returns prior to March 31, 2018 are the returns of LifePath Dynamic Retirement Fund when its assets could be allocated to underlying funds that invest primarily in commodities. LifePath Dynamic Retirement Fund's returns between December 14, 2015 and November 7, 2016 are the returns of LifePath Dynamic Retirement Fund when it incorporated different allocations in its glidepath and had a different investment strategy. LifePath Dynamic Retirement Fund's returns prior to December 14, 2015 are the returns of LifePath Dynamic Retirement Fund under a different investment strategy. LifePath Dynamic Retirement Fund's returns prior to November 28, 2014 are the returns of LifePath Dynamic Retirement Fund when it had a different target asset allocation. 

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

Past performance is not an indication of future results.

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

---

| | |
|:---|:---|
| **PORTFOLIO ALLOCATION** | **PORTFOLIO ALLOCATION** |
| *Asset Type* | *Percent of*<br> *Net Assets* |
|  Fixed-Income Funds | 54.2% |
|  Equity Funds | 39.6 |
|  Money Market Funds | 10.9 |
|  Liabilities in Excess of Other Assets | (4.7) |

---

---

| | |
|:---|:---|
| **TEN LARGEST HOLDINGS** | **TEN LARGEST HOLDINGS** |
| *Security* | *Percent of*<br> *Net Assets* |
|  Diversified Equity Master Portfolio | 22.1% |
|  Advantage CoreAlpha Bond Master Portfolio | 18.2 |
|  Master Total Return Portfolio | 13.6 |
|  iShares Core U.S. Aggregate Bond ETF | 13.4 |
|  iShares TIPS Bond ETF | 7.9 |
|  International Tilts Master Portfolio | 6.9 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 5.9 |
|  BlackRock Tactical Opportunities Fund, Class K | 5.2 |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 5.0 |
|  iShares MSCI EAFE Small-Cap ETF | 2.5 |

---

F U N D S U M M A R Y 7

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| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2025 Fund** |

---

**Investment Objective** 

The investment objective of **BlackRock LifePath**<sup>®</sup> **Dynamic 2025 Fund ("LifePath Dynamic 2025 Fund" or the "LifePath Dynamic Fund")** is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath Dynamic 2025 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

**GROWTH OF $10,000 INVESTMENT**![LOGO](g458023sp8.jpg)

<sup>(a)</sup> Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

<sup>(b)</sup> The LifePath Dynamic 2025 Fund compares its performance to that of a customized weighted index (the "LifePath Dynamic 2025 Fund Custom Benchmark"). Prior to July 29, 2022, the LifePath Dynamic 2025 Fund Custom Benchmark was comprised of the Bloomberg U.S. Aggregate Bond Index, Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000 Index and Russell 2000 Index. Effective July 29, 2022, the LifePath Dynamic 2025 Fund Custom Benchmark was changed to remove Bloomberg U.S. Aggregate Bond Index and to add Bloomberg U.S. Long Credit Bond Index, Bloomberg U.S. Intermediate Credit Bond Index, Bloomberg U.S. Long Government Bond Index, Bloomberg U.S. Intermediate Government Bond Index and Bloomberg U.S. Securitized: MBS, ABS and CMBS Index. The investment adviser believes that the updated LifePath Dynamic 2025 Fund Custom Benchmark is more representative of the sectors in which the LifePath Dynamic 2025 Fund invests.The investment adviser adjusts the weightings of the indexes in the LifePath Dynamic 2025 Fund Custom Benchmark periodically based upon its evaluation and adjustment of the LifePath Dynamic 2025 Fund's asset allocation strategy. The weightings are presented annually but they are adjusted quarterly. 

The LifePath Dynamic Fund's custom benchmark consists of the following:

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Period* | *Bloomberg*<br> *U.S. Aggregate*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S.*<br> *Intermediate*<br> *Credit Bond*<br> *Index* | *Bloomberg*<br> *U.S.*<br> *Intermediate*<br> *Government*<br> *Bond Index* | *Bloomberg*<br> *U.S. Long*<br> *Credit*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Long*<br> *Government*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Securitized:*<br> *MBS, ABS*<br> *and*<br> *CMBS*<br> *Index* | *Bloomberg*<br> *U.S. Treasury*<br> *Inflation*<br> *Protected*<br> *Securities*<br> *(TIPS) Index*<br> *(Series-L)* | *Bloomberg*<br> *Commodity*<br> *Index* | *FTSE*<br> *EPRA Nareit*<br> *Developed*<br> *Index* | *MSCI*<br> *ACWI ex USA*<br> *IMI Index* | *Russell*<br> *1000*<sup>®</sup>*<br>Index* | *Russell*<br> *2000*<sup>®</sup>*<br>Index* |
| 01/01/13 to 12/31/13 | 33.7% | N/A | N/A | N/A | N/A | N/A | 5.2% | 3.8% | 4.3% | 17.1% | 32.6% | 3.3% |
| 01/01/14 to 12/31/14 | 34.3 | N/A | N/A | N/A | N/A | N/A | 5.3 | 3.8 | 4.5 | 17.3 | 31.5 | 3.3 |
| 01/01/15 to 12/31/15 | 31.0 | N/A | N/A | N/A | N/A | N/A | 5.0 | 3.8 | 5.3 | 18.8 | 33.1 | 3.0 |
| 01/01/16 to 12/31/16 | 32.4 | N/A | N/A | N/A | N/A | N/A | 5.2 | 3.8 | 5.2 | 18.5 | 32.0 | 2.9 |
| 01/01/17 to 12/31/17 | 34.9 | N/A | N/A | N/A | N/A | N/A | 5.7 | 3.8 | 4.7 | 18.0 | 29.8 | 3.1 |
| 01/01/18 to 12/31/18 | 36.5 | N/A | N/A | N/A | N/A | N/A | 5.9 | N/A | 4.5 | 19.3 | 30.7 | 3.1 |
| 01/01/19 to 12/31/19 | 38.1 | N/A | N/A | N/A | N/A | N/A | 7.1 | N/A | 2.5 | 19.5 | 29.8 | 3.0 |
| 01/01/20 to 12/31/20 | 40.9 | N/A | N/A | N/A | N/A | N/A | 7.3 | N/A | 2.4 | 18.5 | 28.0 | 2.9 |
| 01/01/21 to 12/31/21 | 43.3 | N/A | N/A | N/A | N/A | N/A | 7.5 | N/A | 2.2 | 17.6 | 26.2 | 3.2 |
| 01/01/22 to 12/31/22 | 22.6 | 3.4% | 7.4% | 1.9% | 3.5% | 6.9% | 7.6 | N/A | 2.1 | 16.4 | 25.3 | 2.9 |

---

See "About Fund Performance" for descriptions of the indexes.

8 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock LifePath**<sup>®</sup> **Dynamic 2025 Fund** |

---

**Performance** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> |
|  | 1 Year | 1 Year | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* |
|  Institutional | (15.28)% | N/A | 3.46% | N/A | 5.37% | N/A |
|  Investor A | (15.54) | (19.97)% | 3.20 | 2.09% | 5.10 | 4.54% |
|  Investor C | (16.12) | (16.95) | 2.40 | 2.40 | 4.45 | 4.45 |
|  Class K | (15.06) | N/A | 3.70 | N/A | 5.56 | N/A |
|  Class R | (15.65) | N/A | 3.00 | N/A | 4.89 | N/A |
|  **LifePath Dynamic 2025 Fund Custom Benchmark** | (15.63) | N/A | 3.21 | N/A | 5.27 | N/A |
|  **Bloomberg U.S. Aggregate Bond Index** | (13.01) | N/A | 0.02 | N/A | 1.06 | N/A |
|  **Bloomberg U.S. Intermediate Credit Bond Index** | (9.10) | N/A | 1.08 | N/A | 1.76 | N/A |
|  **Bloomberg U.S. Intermediate Government Bond Index** | (7.73) | N/A | 0.46 | N/A | 0.69 | N/A |
|  **Bloomberg U.S. Long Credit Bond Index** | (25.29) | N/A | (0.77) | N/A | 2.13 | N/A |
|  **Bloomberg U.S. Long Government Bond Index** | (29.19) | N/A | (2.19) | N/A | 0.61 | N/A |
|  **Bloomberg U.S. Securitized: MBS, ABS and CMBS Index** | (11.67) | N/A | (0.43) | N/A | 0.80 | N/A |
|  **Bloomberg U.S. TIPS Index (Series-L)** | (11.85) | N/A | 2.11 | N/A | 1.12 | N/A |
|  **FTSE EPRA Nareit Developed Index** | (25.09) | N/A | (0.23) | N/A | 2.99 | N/A |
|  **MSCI ACWI ex USA IMI Index** | (16.58) | N/A | 0.85 | N/A | 3.98 | N/A |
|  **Russell 1000**<sup>®</sup> **Index** | (19.13) | N/A | 9.13 | N/A | 12.37 | N/A |
|  **Russell 2000**<sup>®</sup> **Index** | (20.44) | N/A | 4.13 | N/A | 9.01 | N/A |

---

<sup>(a)</sup> Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related sales charges and fees. 

<sup>(b)</sup> LifePath Dynamic 2025 Fund normally invests its assets in underlying funds according to an asset allocation strategy designed for investors expecting to retire or begin withdrawing assets around the year 2025. Effective November 7, 2016, the LifePath Dynamic Fund changed its investment strategy to (i) incorporate a Global Tactical Asset Allocation into its glidepath, (ii) increase the flexibility of its equity allocations and (iii) diversify its fixed-income strategies. Performance for the periods shown between December 14, 2015 and November 7, 2016 is based on the prior investment strategy. Effective December 14, 2015, the LifePath Dynamic Fund changed its investment strategy to (i) incorporate a dynamic glidepath and (ii) invest directly in securities and derivatives, as well as in underlying funds. Performance for the periods shown prior to December 14, 2015 is based on the prior investment strategy. Effective November 28, 2014, the Fund changed its glide path and target asset allocation to target higher levels of equity exposure for the LifePath Dynamic Fund throughout the glide path. Performance for the periods shown prior to November 28, 2014 is based on the prior glide path and target asset allocation. 

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

Past performance is not an indication of future results.

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

---

| | |
|:---|:---|
| **PORTFOLIO ALLOCATION** | **PORTFOLIO ALLOCATION** |
| *Asset Type* | *Percent of*<br> *Net Assets* |
|  Fixed-Income Funds | 49.9% |
|  Equity Funds | 44.6 |
|  Money Market Funds | 7.4 |
|  Liabilities in Excess of Other Assets | (1.9) |

---

---

| | |
|:---|:---|
| **TEN LARGEST HOLDINGS** | **TEN LARGEST HOLDINGS** |
| *Security* | *Percent of*<br> *Net Assets* |
|  Diversified Equity Master Portfolio | 26.8% |
|  Advantage CoreAlpha Bond Master Portfolio | 16.7 |
|  Master Total Return Portfolio | 12.5 |
|  iShares Core U.S. Aggregate Bond ETF | 12.3 |
|  International Tilts Master Portfolio | 7.9 |
|  iShares TIPS Bond ETF | 7.4 |
|  BlackRock Tactical Opportunities Fund, Class K | 5.1 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 4.5 |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 2.9 |
|  iShares MSCI EAFE Small-Cap ETF | 2.4 |

---

F U N D S U M M A R Y 9

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| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2030 Fund** |

---

**Investment Objective** 

The investment objective of **BlackRock LifePath**<sup>®</sup> **Dynamic 2030 Fund ("LifePath Dynamic 2030 Fund" or the "LifePath Dynamic Fund")** is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath Dynamic 2030 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

**GROWTH OF $10,000 INVESTMENT**![LOGO](g458023sp10.jpg)

<sup>(a)</sup> Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

<sup>(b)</sup> The LifePath Dynamic 2030 Fund compares its performance to that of a customized weighted index (the "LifePath Dynamic 2030 Fund Custom Benchmark"). Prior to July 29, 2022, the LifePath Dynamic 2030 Fund Custom Benchmark was comprised of the Bloomberg U.S. Aggregate Bond Index, Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000<sup>®</sup> Index and Russell 2000<sup>®</sup> Index. Effective July 29, 2022, the LifePath Dynamic 2030 Fund Custom Benchmark was changed to remove Bloomberg U.S. Aggregate Bond Index and to add Bloomberg U.S. Long Credit Bond Index, Bloomberg U.S. Intermediate Credit Bond Index, Bloomberg U.S. Long Government Bond Index, Bloomberg U.S. Intermediate Government Bond Index and Bloomberg U.S. Securitized: MBS, ABS and CMBS Index. The investment adviser believes that the updated LifePath Dynamic 2030 Fund Custom Benchmark is more representative of the sectors in which the LifePath Dynamic 2030 Fund invests. The investment adviser adjusts the weightings of the indexes in the LifePath Dynamic 2030 Fund Custom Benchmark periodically based upon its evaluation and adjustment of the LifePath Dynamic 2030 Fund's asset allocation strategy. The weightings are presented annually but they are adjusted quarterly. 

The LifePath Dynamic Fund's custom benchmark consists of the following:

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| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Period* | *Bloomberg*<br> *U.S. Aggregate*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S.*<br> *Intermediate*<br> *Credit Bond*<br> *Index* | *Bloomberg*<br> *U.S.*<br> *Intermediate*<br> *Government*<br> *Bond Index* | *Bloomberg*<br> *U.S. Long*<br> *Credit*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Long*<br> *Government*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Securitized:*<br> *MBS, ABS*<br> *and*<br> *CMBS*<br> *Index* | *Bloomberg*<br> *U.S. Treasury*<br> *Inflation*<br> *Protected*<br> *Securities*<br> *(TIPS) Index*<br> *(Series-L)* | *Bloomberg*<br> *Commodity*<br> *Index* | *FTSE*<br> *EPRA Nareit*<br> *Developed*<br> *Index* | *MSCI*<br> *ACWI ex USA*<br> *IMI Index* | *Russell*<br> *1000*<sup>®</sup><br> *Index* | *Russell*<br> *2000*<sup>®</sup><br> *Index* |
| 01/01/13 to 12/31/13 | 27.6% | N/A | N/A | N/A | N/A | N/A | 4.0% | 3.9% | 5.7% | 19.3% | 36.6% | 2.9% |
| 01/01/14 to 12/31/14 | 27.5 | N/A | N/A | N/A | N/A | N/A | 4.0 | 3.9 | 6.1 | 19.8 | 35.8 | 2.9 |
| 01/01/15 to 12/31/15 | 21.8 | N/A | N/A | N/A | N/A | N/A | 3.4 | 3.9 | 7.7 | 22.2 | 38.5 | 2.5 |
| 01/01/16 to 12/31/16 | 24.5 | N/A | N/A | N/A | N/A | N/A | 3.6 | 3.9 | 7.6 | 21.9 | 36.0 | 2.5 |
| 01/01/17 to 12/31/17 | 25.9 | N/A | N/A | N/A | N/A | N/A | 4.0 | 3.9 | 7.4 | 21.4 | 35.0 | 2.4 |
| 01/01/18 to 12/31/18 | 27.1 | N/A | N/A | N/A | N/A | N/A | 4.2 | N/A | 7.5 | 22.5 | 36.2 | 2.5 |
| 01/01/19 to 12/31/19 | 27.0 | N/A | N/A | N/A | N/A | N/A | 6.0 | N/A | 3.1 | 25.2 | 36.0 | 2.7 |
| 01/01/20 to 12/31/20 | 29.9 | N/A | N/A | N/A | N/A | N/A | 6.2 | N/A | 3.0 | 23.9 | 34.5 | 2.5 |
| 01/01/21 to 12/31/21 | 32.1 | N/A | N/A | N/A | N/A | N/A | 6.5 | N/A | 2.9 | 22.9 | 33.1 | 2.5 |
| 01/01/22 to 12/31/22 | 16.9 | 2.5% | 4.6% | 2.4% | 2.7% | 5.2% | 6.7 | N/A | 2.7 | 21.1 | 32.9 | 2.3 |

---

See "About Fund Performance" for descriptions of the indexes.

10 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock LifePath**<sup>®</sup> **Dynamic 2030 Fund** |

---

**Performance** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> |
|  | 1 Year | 1 Year | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* |
|  Institutional | (15.83)% | N/A | 4.12% | N/A | 6.11% | N/A |
|  Investor A | (15.98) | (20.39)% | 3.87 | 2.75% | 5.86 | 5.29% |
|  Investor C | (16.62) | (17.44) | 3.06 | 3.06 | 5.20 | 5.20 |
|  Class K | (15.63) | N/A | 4.35 | N/A | 6.39 | N/A |
|  Class R | (16.21) | N/A | 3.64 | N/A | 5.62 | N/A |
|  **LifePath Dynamic 2030 Fund Custom Benchmark** | (16.32) | N/A | 3.81 | N/A | 5.97 | N/A |
|  **Bloomberg U.S. Aggregate Bond Index** | (13.01) | N/A | 0.02 | N/A | 1.06 | N/A |
|  **Bloomberg U.S. Intermediate Credit Bond Index** | (9.10) | N/A | 1.08 | N/A | 1.76 | N/A |
|  **Bloomberg U.S. Intermediate Government Bond Index** | (7.73) | N/A | 0.46 | N/A | 0.69 | N/A |
|  **Bloomberg U.S. Long Credit Bond Index** | (25.29) | N/A | (0.77) | N/A | 2.13 | N/A |
|  **Bloomberg U.S. Long Government Bond Index** | (29.19) | N/A | (2.19) | N/A | 0.61 | N/A |
|  **Bloomberg U.S. Securitized: MBS, ABS and CMBS Index** | (11.67) | N/A | (0.43) | N/A | 0.80 | N/A |
|  **Bloomberg U.S. TIPS Index (Series-L)** | (11.85) | N/A | 2.11 | N/A | 1.12 | N/A |
|  **FTSE EPRA Nareit Developed Index** | (25.09) | N/A | (0.23) | N/A | 2.99 | N/A |
|  **MSCI ACWI ex USA IMI Index** | (16.58) | N/A | 0.85 | N/A | 3.98 | N/A |
|  **Russell 1000**<sup>®</sup> **Index** | (19.13) | N/A | 9.13 | N/A | 12.37 | N/A |
|  **Russell 2000**<sup>®</sup> **Index** | (20.44) | N/A | 4.13 | N/A | 9.01 | N/A |

---

<sup>(a)</sup> Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related sales charges and fees. 

<sup>(b)</sup> LifePath Dynamic 2030 Fund normally invests its assets in underlying funds according to an asset allocation strategy designed for investors expecting to retire or begin withdrawing assets around the year 2030. LifePath Dynamic 2030 Fund's returns prior to March 31, 2018 are the returns of LifePath Dynamic 2030 Fund when its assets could be allocated to underlying funds that invest primarily in commodities. LifePath Dynamic 2030 Fund's returns between December 14, 2015 and November 7, 2016 are the returns of LifePath Dynamic 2030 Fund when it incorporated different allocations in its glidepath and had a different investment strategy. LifePath Dynamic 2030 Fund's returns prior to December 14, 2015 are the returns of LifePath Dynamic 2030 Fund under a different investment strategy. LifePath Dynamic 2030 Fund's returns prior to November 28, 2014 are the returns of LifePath Dynamic 2030 Fund when it had a different target asset allocation. 

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

Past performance is not an indication of future results.

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

**PORTFOLIO ALLOCATION** 

---

| | |
|:---|:---|
| *Asset Type* | *Percent of<br>Net Assets* |
|  Equity Funds | 57.9% |
|  Fixed-Income Funds | 38.5 |
|  Money Market Funds | 6.1 |
|  Liabilities in Excess of Other Assets | (2.5) |

---

**TEN LARGEST HOLDINGS** 

---

| | |
|:---|:---|
| *Security* | *Percent of<br>Net Assets* |
|  Diversified Equity Master Portfolio | 34.3% |
|  Advantage CoreAlpha Bond Master Portfolio | 11.1 |
|  International Tilts Master Portfolio | 10.6 |
|  Master Total Return Portfolio | 8.4 |
|  iShares Core U.S. Aggregate Bond ETF | 8.2 |
|  iShares TIPS Bond ETF | 6.9 |
|  BlackRock Tactical Opportunities Fund, Class K | 5.0 |
|  iShares MSCI EAFE Small-Cap ETF | 3.6 |
|  BlackRock Advantage Emerging Markets Fund, Class K | 3.5 |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 3.4 |

---

F U N D S U M M A R Y 11

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2035 Fund** |

---

**Investment Objective** 

The investment objective of **BlackRock LifePath**<sup>®</sup> **Dynamic 2035 Fund ("LifePath Dynamic 2035 Fund" or the "LifePath Dynamic Fund")** is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath Dynamic 2035 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

**GROWTH OF $10,000 INVESTMENT**![LOGO](g458023sp12a.jpg)

<sup>(a)</sup> Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

<sup>(b)</sup> The LifePath Dynamic 2035 Fund compares its performance to that of a customized weighted index (the "LifePath Dynamic 2035 Fund Custom Benchmark"). Prior to July 29, 2022, the LifePath Dynamic 2035 Fund Custom Benchmark was comprised of the Bloomberg U.S. Aggregate Bond Index, Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000<sup>®</sup> Index and Russell 2000<sup>®</sup> Index. Effective July 29, 2022, the LifePath Dynamic 2035 Fund Custom Benchmark was changed to remove Bloomberg U.S. Aggregate Bond Index and to add Bloomberg U.S. Long Credit Bond Index, Bloomberg U.S. Intermediate Credit Bond Index, Bloomberg U.S. Long Government Bond Index, Bloomberg U.S. Intermediate Government Bond Index and Bloomberg U.S. Securitized: MBS, ABS and CMBS Index. The investment adviser believes that the updated LifePath Dynamic 2035 Fund Custom Benchmark is more representative of the sectors in which the LifePath Dynamic 2035 Fund invests. The investment adviser adjusts the weightings of the indexes in the LifePath Dynamic 2035 Fund Custom Benchmark periodically based upon its evaluation and adjustment of the LifePath Dynamic 2035 Fund's asset allocation strategy. The weightings are presented annually but they are adjusted quarterly. 

The LifePath Dynamic Fund's custom benchmark consists of the following:

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Period* | *Bloomberg<br>U.S. Aggregate<br>Bond Index* | *Bloomberg<br>U.S.<br>Intermediate<br>Credit Bond<br>Index* | *Bloomberg<br>U.S.<br>Intermediate<br>Government<br>Bond Index* | *Bloomberg<br>U.S. Long<br>Credit<br>Bond<br>Index* | *Bloomberg<br>U.S. Long<br>Government<br>Bond*<br> *Index* | *Bloomberg<br>U.S. Securitized:<br>MBS, ABS*<br> *and*<br> *CMBS*<br> *Index* | *Bloomberg<br>U.S. Treasury<br>Inflation<br>Protected<br>Securities<br>(TIPS) Index<br>(Series-L)* | *Bloomberg<br>Commodity<br>Index* | *FTSE<br>EPRA Nareit<br>Developed<br>Index* | *MSCI<br>ACWI ex USA<br>IMI Index* | *Russell<br>1000*<sup>®</sup><br> *Index* | *Russell<br>2000*<sup>®</sup><br> *Index* | |
|  01/01/13 to<br> 12/31/13 | 22.1% | N/A | N/A | N/A | N/A | N/A | 2.9% | 3.9% | 6.9% | 21.3% | 40.3% | 2.6% |  |
|  01/01/14 to<br> 12/31/14 | 21.4 | N/A | N/A | N/A | N/A | N/A | 2.8 | 3.9 | 7.6 | 22.2 | 39.6 | 2.5 |  |
|  01/01/15 to<br> 12/31/15 | 13.2 | N/A | N/A | N/A | N/A | N/A | 1.9 | 3.9 | 9.8 | 25.4 | 43.6 | 2.2 |  |
|  01/01/16 to<br> 12/31/16 | 14.7 | N/A | N/A | N/A | N/A | N/A | 2.2 | 3.9 | 9.9 | 25.1 | 42.1 | 2.1 |  |
|  01/01/17 to<br> 12/31/17 | 17.1 | N/A | N/A | N/A | N/A | N/A | 2.5 | 4.0 | 10.0 | 24.6 | 40.1 | 1.7 |  |
|  01/01/18 to<br> 12/31/18 | 18.4 | N/A | N/A | N/A | N/A | N/A | 2.7 | N/A | 10.3 | 25.5 | 41.3 | 1.8 |  |
|  01/01/19 to<br> 12/31/19 | 17.1 | N/A | N/A | N/A | N/A | N/A | 4.6 | N/A | 3.7 | 30.4 | 41.8 | 2.4 |  |
|  01/01/20 to<br> 12/31/20 | 19.7 | N/A | N/A | N/A | N/A | N/A | 4.9 | N/A | 3.6 | 29.1 | 40.6 | 2.1 |  |
|  01/01/21 to<br> 12/31/21 | 21.8 | N/A | N/A | N/A | N/A | N/A | 5.2 | N/A | 3.5 | 28.0 | 39.6 | 1.9 |  |
|  01/01/22 to<br> 12/31/22 | 11.7 | 1.8% | 2.5% | 2.3% | 2.0% | 3.6% | 5.5 | N/A | 3.3 | 25.5 | 39.9 | 1.9 |  |

---

See "About Fund Performance" for descriptions of the indexes.

12 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock LifePath**<sup>®</sup> **Dynamic 2035 Fund** |

---

**Performance** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> |
|  | 1 Year | 1 Year | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* |
|  Institutional | (16.56)% | N/A | 4.57% | N/A | 6.71% | N/A |
|  Investor A | (16.79) | (21.16)% | 4.29 | 3.18% | 6.44 | 5.87% |
|  Investor C | (17.38) | (18.19) | 3.49 | 3.49 | 5.78 | 5.78 |
|  Class K | (16.32) | N/A | 4.81 | N/A | 7.03 | N/A |
|  Class R | (16.91) | N/A | 4.10 | N/A | 6.22 | N/A |
|  **LifePath Dynamic 2035 Fund Custom Benchmark** | (16.98) | N/A | 4.37 | N/A | 6.62 | N/A |
|  **Bloomberg U.S. Aggregate Bond Index** | (13.01) | N/A | 0.02 | N/A | 1.06 | N/A |
|  **Bloomberg U.S. Intermediate Credit Bond Index** | (9.10) | N/A | 1.08 | N/A | 1.76 | N/A |
|  **Bloomberg U.S. Intermediate Government Bond Index** | (7.73) | N/A | 0.46 | N/A | 0.69 | N/A |
|  **Bloomberg U.S. Long Credit Bond Index** | (25.29) | N/A | (0.77) | N/A | 2.13 | N/A |
|  **Bloomberg U.S. Long Government Bond Index** | (29.19) | N/A | (2.19) | N/A | 0.61 | N/A |
|  **Bloomberg U.S. Securitized: MBS, ABS and CMBS Index** | (11.67) | N/A | (0.43) | N/A | 0.80 | N/A |
|  **Bloomberg U.S. TIPS Index (Series-L)** | (11.85) | N/A | 2.11 | N/A | 1.12 | N/A |
|  **FTSE EPRA Nareit Developed Index** | (25.09) | N/A | (0.23) | N/A | 2.99 | N/A |
|  **MSCI ACWI ex USA IMI Index** | (16.58) | N/A | 0.85 | N/A | 3.98 | N/A |
|  **Russell 1000**<sup>®</sup> **Index** | (19.13) | N/A | 9.13 | N/A | 12.37 | N/A |
|  **Russell 2000**<sup>®</sup> **Index** | (20.44) | N/A | 4.13 | N/A | 9.01 | N/A |

---

<sup>(a)</sup> Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related sales charges and fees. 

<sup>(b)</sup> LifePath Dynamic 2035 Fund normally invests its assets in underlying funds according to an asset allocation strategy designed for investors expecting to retire or begin withdrawing assets around the year 2035. Effective November 7, 2016, the LifePath Dynamic Fund changed its investment strategy to (i) incorporate a Global Tactical Asset Allocation into its glidepath, (ii) increase the flexibility of its equity allocations and (iii) diversify its fixed-income strategies. Performance for the periods shown between December 14, 2015 and November 7, 2016 is based on the prior investment strategy. Effective December 14, 2015, the LifePath Dynamic Fund changed its investment strategy to (i) incorporate a dynamic glidepath and (ii) invest directly in securities and derivatives, as well as in underlying funds. Performance for the periods shown prior to December 14, 2015 is based on the prior investment strategy. Effective November 28, 2014, the Fund changed its glide path and target asset allocation to target higher levels of equity exposure for the LifePath Dynamic Fund throughout the glide path. Performance for the periods shown prior to November 28, 2014 is based on the prior glide path and target asset allocation. 

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

Past performance is not an indication of future results.

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

**PORTFOLIO ALLOCATION** 

---

| | |
|:---|:---|
| *Asset Type* | *Percent of<br>Net Assets* |
|  Equity Funds | 67.4% |
|  Fixed-Income Funds | 26.4 |
|  Money Market Funds | 9.8 |
|  Liabilities in Excess of Other Assets | (3.6) |

---

**TEN LARGEST HOLDINGS** 

---

| | |
|:---|:---|
| *Security* | *Percent of<br>Net Assets* |
|  Diversified Equity Master Portfolio | 40.3% |
|  International Tilts Master Portfolio | 11.8 |
|  Advantage CoreAlpha Bond Master Portfolio | 6.4 |
|  iShares TIPS Bond ETF | 5.5 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 5.1 |
|  BlackRock Tactical Opportunities Fund, Class K | 4.9 |
|  Master Total Return Portfolio | 4.8 |
|  iShares Core U.S. Aggregate Bond ETF | 4.7 |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 4.7 |
|  iShares MSCI EAFE Small-Cap ETF | 4.6 |

---

F U N D S U M M A R Y 13

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2040 Fund** |

---

**Investment Objective** 

The investment objective of **BlackRock LifePath**<sup>®</sup> **Dynamic 2040 Fund ("LifePath Dynamic 2040 Fund" or the "LifePath Dynamic Fund")** is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath Dynamic 2040 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

**GROWTH OF $10,000 INVESTMENT**![LOGO](g458023sp14a.jpg)

<sup>(a)</sup> Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

<sup>(b)</sup> The LifePath Dynamic 2040 Fund compares its performance to that of a customized weighted index (the "LifePath Dynamic 2040 Fund Custom Benchmark"). Prior toJuly 29, 2022, the LifePath Dynamic 2040 Fund Custom Benchmark was comprised of the Bloomberg U.S. Aggregate Bond Index, Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000<sup>®</sup> Index and Russell 2000<sup>®</sup> Index. Effective July 29, 2022, the LifePath Dynamic 2040 Fund Custom Benchmark was changed to remove Bloomberg U.S. Aggregate Bond Index and to add Bloomberg U.S. Long Credit Bond Index, Bloomberg U.S. Intermediate Credit Bond Index, Bloomberg U.S. Long Government Bond Index, Bloomberg U.S. Intermediate Government Bond Index and Bloomberg U.S. Securitized: MBS, ABS and CMBS Index. The investment adviser believes that the updated LifePath Dynamic 2040 Fund Custom Benchmark is more representative of the sectors in which the LifePath Dynamic 2040 Fund invests. The investment adviser adjusts the weightings of the indexes in the LifePath Dynamic 2040 Fund Custom Benchmark periodically based upon its evaluation and adjustment of the LifePath Dynamic 2040 Fund's asset allocation strategy. The weightings are presented annually but they are adjusted quarterly. 

The LifePath Dynamic Fund's custom benchmark consists of the following:

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | *Period* | *Bloomberg<br>U.S. Aggregate<br>Bond*<br> *Index* | *Bloomberg<br>U.S.<br>Intermediate<br>Credit Bond<br>Index* | *Bloomberg<br>U.S.<br>Intermediate<br>Government<br>Bond Index* | *Bloomberg<br>U.S. Long<br>Credit<br>Bond<br>Index* | *Bloomberg<br>U.S. Long<br>Government<br>Bond*<br> *Index* | *Bloomberg<br>U.S. Securitized:<br>MBS, ABS and<br>CMBS Index* | *Bloomberg<br>U.S. Treasury<br>Inflation<br>Protected<br>Securities<br>(TIPS) Index<br>(Series-L)* | *Bloomberg<br>Commodity<br>Index* | *FTSE<br>EPRA Nareit<br>Developed<br>Index* | *MSCI<br>ACWI ex USA<br>IMI Index* | *Russell<br>1000*<sup>®</sup>*<br>Index* | *Russell<br>2000*<sup>®</sup>*<br>Index* |
|  | 01/01/13 to 12/31/13 | 17.3% | N/A | N/A | N/A | N/A | N/A | 1.7% | 3.9% | 8.1% | 23.1% | 43.6% | 2.3% |
|  | 01/01/14 to 12/31/14 | 16.1 | N/A | N/A | N/A | N/A | N/A | 1.6 | 3.9 | 9.0 | 24.2 | 42.9 | 2.3 |
|  | 01/01/15 to 12/31/15 | 5.7 | N/A | N/A | N/A | N/A | N/A | 0.7 | 4.1 | 12.1 | 28.1 | 47.3 | 2.0 |
|  | 01/01/16 to 12/31/16 | 8.4 | N/A | N/A | N/A | N/A | N/A | 0.9 | 4.1 | 12.1 | 28.0 | 44.0 | 2.5 |
|  | 01/01/17 to 12/31/17 | 9.2 | N/A | N/A | N/A | N/A | N/A | 1.2 | 4.1 | 12.3 | 27.6 | 44.4 | 1.2 |
|  | 01/01/18 to 12/31/18 | 10.3 | N/A | N/A | N/A | N/A | N/A | 1.4 | N/A | 12.8 | 28.2 | 46.0 | 1.3 |
|  | 01/01/19 to 12/31/19 | 8.4 | N/A | N/A | N/A | N/A | N/A | 3.0 | N/A | 4.2 | 35.2 | 47.0 | 2.2 |
|  | 01/01/20 to 12/31/20 | 10.8 | N/A | N/A | N/A | N/A | N/A | 3.2 | N/A | 4.1 | 33.9 | 46.2 | 1.8 |
|  | 01/01/21 to 12/31/21 | 12.6 | N/A | N/A | N/A | N/A | N/A | 3.6 | N/A | 4.0 | 32.7 | 45.7 | 1.4 |
|  | 01/01/22 to 12/31/22 | 7.0 | 0.8% | 0.9% | 2.2% | 1.2% | 2.2% | 4.0 | N/A | 3.9 | 29.7 | 46.7 | 1.4 |

---

See "About Fund Performance" for descriptions of the indexes.

14 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock LifePath**<sup>®</sup> **Dynamic 2040 Fund** |

---

**Performance** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> |
|  | 1 Year | 1 Year | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* |
|  Institutional | (17.09)% | N/A | 4.99% | N/A | 7.26% | N/A |
|  Investor A | (17.32) | (21.66)% | 4.72 | 3.60% | 7.00 | 6.42% |
|  Investor C | (17.94) | (18.74) | 3.91 | 3.91 | 6.33 | 6.33 |
|  Class K | (16.90) | N/A | 5.22 | N/A | 7.54 | N/A |
|  Class R | (17.48) | N/A | 4.50 | N/A | 6.76 | N/A |
|  **LifePath Dynamic 2040 Fund Custom Benchmark** | (17.60) | N/A | 4.84 | N/A | 7.18 | N/A |
|  **Bloomberg U.S. Aggregate Bond Index** | (13.01) | N/A | 0.02 | N/A | 1.06 | N/A |
|  **Bloomberg U.S. Intermediate Credit Bond Index** | (9.10) | N/A | 1.08 | N/A | 1.76 | N/A |
|  **Bloomberg U.S. Intermediate Government Bond Index** | (7.73) | N/A | 0.46 | N/A | 0.69 | N/A |
|  **Bloomberg U.S. Long Credit Bond Index** | (25.29) | N/A | (0.77) | N/A | 2.13 | N/A |
|  **Bloomberg U.S. Long Government Bond Index** | (29.19) | N/A | (2.19) | N/A | 0.61 | N/A |
|  **Bloomberg U.S. Securitized: MBS, ABS and CMBS Index** | (11.67) | N/A | (0.43) | N/A | 0.80 | N/A |
|  **Bloomberg U.S. TIPS Index (Series-L)** | (11.85) | N/A | 2.11 | N/A | 1.12 | N/A |
|  **FTSE EPRA Nareit Developed Index** | (25.09) | N/A | (0.23) | N/A | 2.99 | N/A |
|  **MSCI ACWI ex USA IMI Index** | (16.58) | N/A | 0.85 | N/A | 3.98 | N/A |
|  **Russell 1000**<sup>®</sup> **Index** | (19.13) | N/A | 9.13 | N/A | 12.37 | N/A |
|  **Russell 2000**<sup>®</sup> **Index** | (20.44) | N/A | 4.13 | N/A | 9.01 | N/A |

---

<sup>(a)</sup> Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related sales charges and fees. 

<sup>(b)</sup> LifePath Dynamic 2040 Fund normally invests its assets in underlying funds according to an asset allocation strategy designed for investors expecting to retire or begin withdrawing assets around the year 2040. LifePath Dynamic 2040 Fund's returns prior to March 31, 2018 are the returns of LifePath Dynamic 2040 Fund when its assets could be allocated to underlying funds that invest primarily in commodities. LifePath Dynamic 2040 Fund's returns between December 14, 2015 and November 7, 2016 are the returns of LifePath Dynamic 2040 Fund when it incorporated different allocations in its glidepath and had a different investment strategy. LifePath Dynamic 2040 Fund's returns prior to December 14, 2015 are the returns of LifePath Dynamic 2040 Fund under a different investment strategy. LifePath Dynamic 2040 Fund's returns prior to November 28, 2014 are the returns of LifePath Dynamic 2040 Fund when it had a different target asset allocation. 

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

Past performance is not an indication of future results.

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

**PORTFOLIO ALLOCATION** 

---

| | |
|:---|:---|
| *Asset Type* | *Percent of<br>Net Assets* |
|  Equity Funds | 79.1% |
|  Fixed-Income Funds | 17.1 |
|  Money Market Funds | 9.1 |
|  Liabilities in Excess of Other Assets | (5.3) |

---

**TEN LARGEST HOLDINGS** 

---

| | |
|:---|:---|
| *Security* | *Percent of<br>Net Assets* |
|  Diversified Equity Master Portfolio | 47.9% |
|  International Tilts Master Portfolio | 14.6 |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 6.0 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 5.4 |
|  BlackRock Tactical Opportunities Fund, Class K | 5.1 |
|  iShares MSCI EAFE Small-Cap ETF | 4.9 |
|  BlackRock Advantage Emerging Markets Fund, Class K | 4.7 |
|  iShares TIPS Bond ETF | 3.9 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 3.1 |
|  Advantage CoreAlpha Bond Master Portfolio | 2.7 |

---

F U N D S U M M A R Y 15

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2045 Fund** |

---

**Investment Objective** 

The investment objective of **BlackRock LifePath**<sup>®</sup> **Dynamic 2045 Fund ("LifePath**<sup>®</sup> **Dynamic 2045 Fund" or the "LifePath Dynamic Fund")** is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath Dynamic 2045 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

**GROWTH OF $10,000 INVESTMENT**![LOGO](g458023sp16a.jpg)

<sup>(a)</sup> Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

<sup>(b)</sup> The LifePath Dynamic 2045 Fund compares its performance to that of a customized weighted index (the "LifePath Dynamic 2045 Fund Custom Benchmark"). Prior to July 29, 2022, the LifePath Dynamic 2045 Fund Custom Benchmark was comprised of the Bloomberg U.S. Aggregate Bond Index, Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000<sup>®</sup> Index and Russell 2000<sup>®</sup> Index. Effective July 29, 2022, the LifePath Dynamic 2045 Fund Custom Benchmark was changed to remove Bloomberg U.S. Aggregate Bond Index and to add Bloomberg U.S. Long Credit Bond Index, Bloomberg U.S. Intermediate Credit Bond Index, Bloomberg U.S. Long Government Bond Index, Bloomberg U.S. Intermediate Government Bond Index and Bloomberg U.S. Securitized: MBS, ABS and CMBS Index. The investment adviser believes that the updated LifePath Dynamic 2045 Fund Custom Benchmark is more representative of the sectors in which the LifePath Index 2045 Fund invests. The investment adviser adjusts the weightings of the indexes in the LifePath Dynamic 2045 Fund Custom Benchmark periodically based upon its evaluation and adjustment of the LifePath Dynamic 2045 Fund's asset allocation strategy. The weightings are presented annually but they are adjusted quarterly. 

The LifePath Dynamic Fund's custom benchmark consists of the following:

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Period* | *Bloomberg<br>U.S. Aggregate<br>Bond*<br> *Index* | *Bloomberg<br>U.S.<br>Intermediate<br>Credit Bond<br>Index* | *Bloomberg<br>U.S.<br>Intermediate<br>Government<br>Bond Index* | *Bloomberg<br>U.S. Long<br>Credit<br>Bond<br>Index* | *Bloomberg<br>U.S. Long<br>Government<br>Bond*<br> *Index* | *Bloomberg<br>U.S. Securitized:<br>MBS, ABS*<br> *and*<br> *CMBS*<br> *Index* | *Bloomberg<br>U.S. Treasury<br>Inflation<br>Protected<br>Securities<br>(TIPS) Index<br>(Series-L)* | *Bloomberg<br>Commodity<br>Index* | *FTSE<br>EPRA Nareit<br>Developed<br>Index* | *MSCI<br>ACWI ex USA<br>IMI Index* | *Russell<br>1000*<sup>®</sup>*<br>Index* | *Russell<br>2000*<sup>®</sup>*<br>Index* | |
| 01/01/13 to 12/31/13 | 13.5% | N/A | N/A | N/A | N/A | N/A | N/A | 3.9% | 9.1% | 24.8% | 46.7% | 2.0% |  |
| 01/01/14 to 12/31/14 | 12.5 | N/A | N/A | N/A | N/A | N/A | N/A | 3.9 | 10.1 | 25.9 | 45.6 | 2 |  |
| 01/01/15 to 12/31/15 | 1.8 | N/A | N/A | N/A | N/A | N/A | 0.2% | 4.2 | 13.4 | 29.6 | 48.8 | 2 |  |
| 01/01/16 to 12/31/16 | 2.3 | N/A | N/A | N/A | N/A | N/A | 0.2 | 4.3 | 13.6 | 29.8 | 48 | 1.8 |  |
| 01/01/17 to 12/31/17 | 3.4 | N/A | N/A | N/A | N/A | N/A | 0.3 | 4.3 | 14.4 | 29.9 | 46.7 | 1 |  |
| 01/01/18 to 12/31/18 | 4 | N/A | N/A | N/A | N/A | N/A | 0.4 | N/A | 15 | 30.6 | 48.9 | 1.1 |  |
| 01/01/19 to<br> 12/31/19 | 3 | N/A | N/A | N/A | N/A | N/A | 1.4 | N/A | 4.6 | 38.5 | 50.5 | 2 |  |
| 01/01/20 to 12/31/20 | 4.3 | N/A | N/A | N/A | N/A | N/A | 1.6 | N/A | 4.5 | 37.6 | 50.5 | 1.5 |  |
| 01/01/21 to 12/31/21 | 5.3 | N/A | N/A | N/A | N/A | N/A | 1.9 | N/A | 4.5 | 36.6 | 50.6 | 1.1 |  |
| 01/01/22 to 12/31/22 | 3.1 | 0.0% | 0.0% | 2.1% | 0.3% | 1.0% | 2.2 | N/A | 4.4 | 33.3 | 52.5 | 1.1 |  |

---

See "About Fund Performance" for descriptions of the indexes.

16 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock LifePath**<sup>®</sup> **Dynamic 2045 Fund** |

---

**Performance** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> |
|  | 1 Year | 1 Year | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With <br>Sales <br>Charge* |
|  Institutional | (17.68)% | N/A | 5.13% | N/A | 7.58% | N/A |
|  Investor A | (17.89) | (22.20)% | 4.86 | 3.74% | 7.31 | 6.73% |
|  Investor C | (18.51) | (19.31) | 4.06 | 4.06 | 6.65 | 6.65 |
|  Class K | (17.44) | N/A | 5.38 | N/A | 7.86 | N/A |
|  Class R | (18.03) | N/A | 4.65 | N/A | 7.08 | N/A |
|  **LifePath Dynamic 2045 Fund Custom Benchmark** | (18.08) | N/A | 5.21 | N/A | 7.64 | N/A |
|  **Bloomberg U.S. Aggregate Bond Index** | (13.01) | N/A | 0.02 | N/A | 1.06 | N/A |
|  **Bloomberg U.S. Intermediate Credit Bond Index** | (9.10) | N/A | 1.08 | N/A | 1.76 | N/A |
|  **Bloomberg U.S. Intermediate Government Bond Index** | (7.73) | N/A | 0.46 | N/A | 0.69 | N/A |
|  **Bloomberg U.S. Long Credit Bond Index** | (25.29) | N/A | (0.77) | N/A | 2.13 | N/A |
|  **Bloomberg U.S. Long Government Bond Index** | (29.19) | N/A | (2.19) | N/A | 0.61 | N/A |
|  **Bloomberg U.S. Securitized: MBS, ABS and CMBS Index** | (11.67) | N/A | (0.43) | N/A | 0.80 | N/A |
|  **Bloomberg U.S. TIPS Index (Series-L)** | (11.85) | N/A | 2.11 | N/A | 1.12 | N/A |
|  **FTSE EPRA Nareit Developed Index** | (25.09) | N/A | (0.23) | N/A | 2.99 | N/A |
|  **MSCI ACWI ex USA IMI Index** | (16.58) | N/A | 0.85 | N/A | 3.98 | N/A |
|  **Russell 1000**<sup>®</sup> **Index** | (19.13) | N/A | 9.13 | N/A | 12.37 | N/A |
|  **Russell 2000**<sup>®</sup> **Index**<br>| (20.44) | N/A | 4.13 | N/A | 9.01 | N/A |

---

<sup>(a)</sup> Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related sales charges and fees. 

<sup>(b)</sup> LifePath Dynamic 2045 Fund normally invests its assets in underlying funds according to an asset allocation strategy designed for investors expecting to retire or begin withdrawing assets around the year 2045. Effective November 7, 2016, the LifePath Dynamic Fund changed its investment strategy to (i) incorporate a Global Tactical Asset Allocation into its glidepath, (ii) increase the flexibility of its equity allocations and (iii) diversify its fixed-income strategies. Performance for the periods shown between December 14, 2015 and November 7, 2016 is based on the prior investment strategy. Effective December 14, 2015, the LifePath Dynamic Fund changed its investment strategy to (i) incorporate a dynamic glidepath and (ii) invest directly in securities and derivatives, as well as in underlying funds. Performance for the periods shown prior to December 14, 2015 is based on the prior investment strategy. Effective November 28, 2014, the Fund changed its glide path and target asset allocation to target higher levels of equity exposure for the LifePath Dynamic Fund throughout the glide path. Performance for the periods shown prior to November 28, 2014 is based on the prior glide path and target asset allocation. 

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

Past performance is not an indication of future results.

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

**PORTFOLIO ALLOCATION** 

---

| | |
|:---|:---|
| *Asset Type* | *Percent of<br>Net Assets* |
|  Equity Funds | 85.4% |
|  Money Market Funds | 10.4 |
|  Fixed-Income Funds | 8.7 |
|  Liabilities in Excess of Other Assets | (4.5) |

---

**TEN LARGEST HOLDINGS** 

---

| | |
|:---|:---|
| *Security* | *Percent of<br>Net Assets* |
|  Diversified Equity Master Portfolio | 52.9% |
|  International Tilts Master Portfolio | 15.7 |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 5.5 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 5.4 |
|  iShares MSCI EAFE Small-Cap ETF | 5.3 |
|  BlackRock Tactical Opportunities Fund, Class K | 5.0 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 4.9 |
|  BlackRock Advantage Emerging Markets Fund, Class K | 3.9 |
|  iShares Developed Real Estate Index Fund, Class K | 2.6 |
|  iShares TIPS Bond ETF | 2.2 |

---

F U N D S U M M A R Y 17

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2050 Fund** |

---

**Investment Objective** 

The investment objective of **BlackRock LifePath**<sup>®</sup> **Dynamic 2050 Fund ("LifePath Dynamic 2050 Fund" or the "LifePath Dynamic Fund")** is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath Dynamic 2050 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

**GROWTH OF $10,000 INVESTMENT**![LOGO](g458023sp18a.jpg)

<sup>(a)</sup> Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

<sup>(b)</sup> The LifePath Dynamic 2050 Fund compares its performance to that of a customized weighted index (the "LifePath Dynamic 2050 Fund Custom Benchmark"). Prior to July 29, 2022, the LifePath Dynamic 2050 Fund Custom Benchmark was comprised of the Bloomberg U.S. Aggregate Bond Index, Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000<sup>®</sup> Index and Russell 2000<sup>®</sup> Index. Effective July 29, 2022, the LifePath Dynamic 2050 Fund Custom Benchmark was changed to remove Bloomberg U.S. Aggregate Bond Index and to add Bloomberg U.S. Long Credit Bond Index, Bloomberg U.S. Intermediate Credit Bond Index, Bloomberg U.S. Long Government Bond Index, Bloomberg U.S. Intermediate Government Bond Index and Bloomberg U.S. Securitized: MBS, ABS and CMBS Index. The investment adviser believes that the updated LifePath Dynamic 2050 Fund Custom Benchmark is more representative of the sectors in which the LifePath Dynamic 2050 Fund invests. The investment adviser adjusts the weightings of the indexes in the LifePath Dynamic 2050 Fund Custom Benchmark periodically based upon its evaluation and adjustment of the LifePath Dynamic 2050 Fund's asset allocation strategy. The weightings are presented annually but they are adjusted quarterly. 

The LifePath Dynamic Fund's custom benchmark consists of the following:

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Period* | *Bloomberg<br>U.S.<br>Aggregate<br>Bond<br>Index* | *Bloomberg<br>U.S.<br>Intermediate<br>Credit Bond<br>Index* | *Bloomberg<br>U.S.<br>Intermediate<br>Government<br>Bond Index* | *Bloomberg<br>U.S. Long<br>Credit<br>Bond<br>Index* | *Bloomberg<br>U.S. Long<br>Government<br>Bond*<br> *Index* | *Bloomberg<br>U.S. Securitized:<br>MBS, ABS*<br> *and*<br> *CMBS*<br> *Index* | *Bloomberg<br>U.S. Treasury<br>Inflation<br>Protected<br>Securities<br>(TIPS) Index<br>(Series-L)* | *Bloomberg<br>Commodity<br>Index* | *FTSE<br>EPRA<br>Nareit<br>Developed<br>Index* | *MSCI<br>ACWI ex USA<br>IMI Index* | *Russell<br>1000*<sup>®</sup>*<br>Index* | *Russell<br>2000*<sup>®</sup>*<br>Index* |
| 01/01/13 to 12/31/13 | 8.2% | N/A | N/A | N/A | N/A | N/A | N/A | 4.0% | 10.1% | 26.3% | 49.6% | 1.8% |
| 01/01/14 to 12/31/14 | 8.2 | N/A | N/A | N/A | N/A | N/A | N/A | 3.9 | 11 | 27.3 | 47.8 | 1.8 |
| 01/01/15 to 12/31/15 | 1 | N/A | N/A | N/A | N/A | N/A | N/A | 4.2 | 13.7 | 29.9 | 49.2 | 2 |
| 01/01/16 to 12/31/16 | 1 | N/A | N/A | N/A | N/A | N/A | N/A | 4.4 | 14.1 | 30.3 | 48.4 | 1.8 |
| 01/01/17 to 12/31/17 | 1 | N/A | N/A | N/A | N/A | N/A | N/A | 4.3 | 15.3 | 30.9 | 47.5 | 1 |
| 01/01/18 to 12/31/18 | 1.2 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | 16 | 31.7 | 50.1 | 1 |
| 01/01/19 to 12/31/19 | 1 | N/A | N/A | N/A | N/A | N/A | 0.4% | N/A | 4.8 | 39.9 | 52 | 1.9 |
| 01/01/20 to 12/31/20 | 1.3 | N/A | N/A | N/A | N/A | N/A | 0.5 | N/A | 4.7 | 39.5 | 52.7 | 1.3 |
| 01/01/21 to 12/31/21 | 1.6 | N/A | N/A | N/A | N/A | N/A | 0.6 | N/A | 4.7 | 38.8 | 53.3 | 1 |
| 01/01/22 to 12/31/22 | 1 | 0.0% | 0.0% | 1.0% | 0.0% | 0.0% | 0.8 | N/A | 4.7 | 35.6 | 55.9 | 1 |

---

See "About Fund Performance" for descriptions of the indexes.

18 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock LifePath**<sup>®</sup> **Dynamic 2050 Fund** |

---

**Performance** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> |
|  | 1 Year | 1 Year | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* |
|  Institutional | (18.71)% | N/A | 5.03% | N/A | 7.70% | N/A |
|  Investor A | (18.90) | (23.16)% | 4.78 | 3.66% | 7.43 | 6.86% |
|  Investor C | (19.50) | (20.29) | 3.97 | 3.97 | 6.76 | 6.76 |
|  Class K | (18.47) | N/A | 5.28 | N/A | 7.98 | N/A |
|  Class R | (19.05) | N/A | 4.57 | N/A | 7.20 | N/A |
|  **LifePath Dynamic 2050 Fund Custom Benchmark** | (18.34) | N/A | 5.40 | N/A | 7.91 | N/A |
|  **Bloomberg U.S. Aggregate Bond Index** | (13.01) | N/A | 0.02 | N/A | 1.06 | N/A |
|  **Bloomberg U.S. Intermediate Credit Bond Index** | (9.10) | N/A | 1.08 | N/A | 1.76 | N/A |
|  **Bloomberg U.S. Intermediate Government Bond Index** | (7.73) | N/A | 0.46 | N/A | 0.69 | N/A |
|  **Bloomberg U.S. Long Credit Bond Index** | (25.29) | N/A | (0.77) | N/A | 2.13 | N/A |
|  **Bloomberg U.S. Long Government Bond Index** | (29.19) | N/A | (2.19) | N/A | 0.61 | N/A |
|  **Bloomberg U.S. Securitized: MBS, ABS and CMBS Index** | (11.67) | N/A | (0.43) | N/A | 0.80 | N/A |
|  **Bloomberg U.S. TIPS Index (Series-L)** | (11.85) | N/A | 2.11 | N/A | 1.12 | N/A |
|  **FTSE EPRA Nareit Developed Index** | (25.09) | N/A | (0.23) | N/A | 2.99 | N/A |
|  **MSCI ACWI ex USA IMI Index** | (16.58) | N/A | 0.85 | N/A | 3.98 | N/A |
|  **Russell 1000**<sup>®</sup> **Index** | (19.13) | N/A | 9.13 | N/A | 12.37 | N/A |
|  **Russell 2000**<sup>®</sup> **Index** | (20.44) | N/A | 4.13 | N/A | 9.01 | N/A |

---

<sup>(a)</sup> Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related sales charges and fees. 

<sup>(b)</sup> LifePath Dynamic 2050 Fund normally invests its assets in underlying funds according to an asset allocation strategy designed for investors expecting to retire or begin withdrawing assets around the year 2050. LifePath Dynamic 2050 Fund's returns prior to March 31, 2018 are the returns of LifePath Dynamic 2050 Fund when its assets could be allocated to underlying funds that invest primarily in commodities. LifePath Dynamic 2050 Fund's returns between December 14, 2015 and November 7, 2016 are the returns of LifePath Dynamic 2050 Fund when it incorporated different allocations in its glidepath and had a different investment strategy. LifePath Dynamic 2050 Fund's returns prior to December 14, 2015 are the returns of LifePath Dynamic 2050 Fund under a different investment strategy. LifePath Dynamic 2050 Fund's returns prior to November 28, 2014 are the returns of LifePath Dynamic 2050 Fund when it had a different target asset allocation. 

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

Past performance is not an indication of future results.

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

---

| | |
|:---|:---|
| **PORTFOLIO ALLOCATION** | **PORTFOLIO ALLOCATION** |
| *Asset Type* | *Percent of*<br> *Net Assets* |
|  Equity Funds | 91.2% |
|  Money Market Funds | 9.7 |
|  Fixed-Income Funds | 4.3 |
|  Liabilities in Excess of Other Assets | (5.2) |

---

---

| | |
|:---|:---|
| **TEN LARGEST HOLDINGS** | **TEN LARGEST HOLDINGS** |
| *Security* | *Percent of*<br> *Net Assets* |
|  Diversified Equity Master Portfolio | 55.8% |
|  International Tilts Master Portfolio | 16.4 |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 5.9 |
|  iShares MSCI EAFE Small-Cap ETF | 5.7 |
|  BlackRock Advantage Emerging Markets Fund, Class K | 5.5 |
|  BlackRock Tactical Opportunities Fund, Class K | 5 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 3.8 |
|  iShares Developed Real Estate Index Fund, Class K | 2.8 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 2.5 |
|  BlackRock High Yield Bond Portfolio, Class K | 1 |

---

F U N D S U M M A R Y 19

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2055 Fund** |

---

**Investment Objective** 

The investment objective of **BlackRock LifePath**<sup>®</sup> **Dynamic 2055 Fund ("LifePath Dynamic 2055 Fund" or the "LifePath Dynamic Fund")** is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath Dynamic 2055 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

**GROWTH OF $10,000 INVESTMENT**![LOGO](g458023sp20a.jpg)

<sup>(a)</sup> Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

<sup>(b)</sup> The LifePath Dynamic 2055 Fund compares its performance to that of a customized weighted index (the "LifePath Dynamic 2055 Fund Custom Benchmark"). Prior to July 29, 2022, the LifePath Dynamic 2055 Fund Custom Benchmark was comprised of the Bloomberg U.S. Aggregate Bond Index, Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000<sup>®</sup> Index and Russell 2000<sup>®</sup> Index. Effective July 29, 2022, 2022, the LifePath Dynamic 2055 Fund Custom Benchmark was changed to remove Bloomberg U.S. Aggregate Bond Index and to add Bloomberg U.S. Long Credit Bond Index, Bloomberg U.S. Intermediate Credit Bond Index, Bloomberg U.S. Long Government Bond Index, Bloomberg U.S. Intermediate Government Bond Index and Bloomberg U.S. Securitized: MBS, ABS and CMBS Index. The investment adviser believes that the updated LifePath Dynamic 2055 Fund Custom Benchmark is more representative of the sectors in which the LifePath Dynamic 2055 Fund invests. The investment adviser adjusts the weightings of the indexes in the LifePath Dynamic 2055 Fund Custom Benchmark periodically based upon its evaluation and adjustment of the LifePath Dynamic 2055 Fund's asset allocation strategy. The weightings are presented annually but they are adjusted quarterly. 

The LifePath Dynamic Fund's custom benchmark consists of the following:

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | *Period* | *Bloomberg*<br> *U.S.*<br> *AggregateBond*<br> *Index* | *Bloomberg*<br> *U.S.*<br> *Intermediate*<br> *Credit Bond*<br> *Index* | *Bloomberg*<br> *U.S.*<br> *Intermediate*<br> *Government*<br> *Bond Index* | *Bloomberg*<br> *U.S. Long*<br> *Credit*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Long*<br> *Government*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Securitized:*<br> *MBS, ABS*<br> *and*<br> *CMBS*<br> *Index* | *Bloomberg*<br> *U.S. Treasury*<br> *Inflation*<br> *Protected*<br> *Securities*<br> *(TIPS) Index*<br> *(Series-L)* | *Bloomberg*<br> *Commodity*<br> *Index* | *FTSE*<br> *EPRA*<br> *Nareit*<br> *Developed*<br> *Index* | *MSCI*<br> *ACWI ex USA*<br> *IMI Index* | *Russell*<br> *1000*<sup>®</sup><br> *Index* | *Russell*<br> *2000*<sup>®</sup><br> *Index* |
|  | 01/01/13 to 12/31/13 | 3.1% | N/A | N/A | N/A | N/A | N/A | N/A | 4.1% | 11.5% | 27.8% | 51.7% | 1.8% |
|  | 01/01/14 to 12/31/14 | 4 | N/A | N/A | N/A | N/A | N/A | N/A | 4 | 12.2 | 28.6 | 49.4 | 1.8 |
|  | 01/01/15 to 12/31/15 | 1 | N/A | N/A | N/A | N/A | N/A | N/A | 4.2 | 13.7 | 29.9 | 49.2 | 2 |
|  | 01/01/16 to 12/31/16 | 1 | N/A | N/A | N/A | N/A | N/A | N/A | 4.4 | 14.1 | 30.4 | 48.3 | 1.8 |
|  | 01/01/17 to 12/31/17 | 1 | N/A | N/A | N/A | N/A | N/A | N/A | 4.3 | 15.3 | 30.9 | 47.5 | 1 |
|  | 01/01/18 to 12/31/18 | 1 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | 16.1 | 31.8 | 50.1 | 1 |
|  | 01/01/19 to 12/31/19 | 0.8 | N/A | N/A | N/A | N/A | N/A | 0.2% | N/A | 4.8 | 40.2 | 52 | 2 |
|  | 01/01/20 to 12/31/20 | 0.8 | N/A | N/A | N/A | N/A | N/A | 0.2 | N/A | 4.8 | 39.9 | 52.9 | 1.4 |
|  | 01/01/21 to 12/31/21 | 0.9 | N/A | N/A | N/A | N/A | N/A | 0.2 | N/A | 4.8 | 39.3 | 53.8 | 1 |
|  | 01/01/22 to 12/31/22 | 0.5 | 0.0% | 0.0% | 0.4% | 0.0% | 0.0% | 0.2 | N/A | 4.8 | 36.3 | 56.8 | 1 |

---

See "About Fund Performance" for descriptions of the indexes.

20 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock LifePath**<sup>®</sup> **Dynamic 2055 Fund** |

---

**Performance** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> |
|  | 1 Year | 1 Year | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* |
|  Institutional | (18.75)% | N/A | 5.17% | N/A | 7.86% | N/A |
|  Investor A | (18.90) | (23.16)% | 4.92 | 3.80% | 7.60 | 7.02% |
|  Investor C | (19.53) | (20.32) | 4.10 | 4.10 | 6.94 | 6.94 |
|  Class K | (18.49) | N/A | 5.43 | N/A | 8.18 | N/A |
|  Class R | (19.09) | N/A | 4.69 | N/A | 7.36 | N/A |
|  **LifePath Dynamic 2055 Fund Custom Benchmark** | (18.40) | N/A | 5.44 | N/A | 8.05 | N/A |
|  **Bloomberg U.S. Aggregate Bond Index** | (13.01) | N/A | 0.02 | N/A | 1.06 | N/A |
|  **Bloomberg U.S. Intermediate Credit Bond Index** | (9.10) | N/A | 1.08 | N/A | 1.76 | N/A |
|  **Bloomberg U.S. Intermediate Government Bond Index** | (7.73) | N/A | 0.46 | N/A | 0.69 | N/A |
|  **Bloomberg U.S. Long Credit Bond Index** | (25.29) | N/A | (0.77) | N/A | 2.13 | N/A |
|  **Bloomberg U.S. Long Government Bond Index** | (29.19) | N/A | (2.19) | N/A | 0.61 | N/A |
|  **Bloomberg U.S. Securitized: MBS, ABS and CMBS Index** | (11.67) | N/A | (0.43) | N/A | 0.80 | N/A |
|  **Bloomberg U.S. TIPS Index (Series-L)** | (11.85) | N/A | 2.11 | N/A | 1.12 | N/A |
|  **FTSE EPRA Nareit Developed Index** | (25.09) | N/A | (0.23) | N/A | 2.99 | N/A |
|  **MSCI ACWI ex USA IMI Index** | (16.58) | N/A | 0.85 | N/A | 3.98 | N/A |
|  **Russell 1000**<sup>®</sup> **Index** | (19.13) | N/A | 9.13 | N/A | 12.37 | N/A |
|  **Russell 2000**<sup>®</sup> **Index** | (20.44) | N/A | 4.13 | N/A | 9.01 | N/A |

---

<sup>(a)</sup> Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related sales charges and fees. 

<sup>(b)</sup> LifePath Dynamic 2055 Fund normally invests its assets in underlying funds according to an asset allocation strategy designed for investors expecting to retire or begin withdrawing assets around the year 2055. Effective November 7, 2016, the LifePath Dynamic Fund changed its investment strategy to (i) incorporate a Global Tactical Asset Allocation into its glidepath, (ii) increase the flexibility of its equity allocations and (iii) diversify its fixed-income strategies. Performance for the periods shown between December 14, 2015 and November 7, 2016 is based on the prior investment strategy. Effective December 14, 2015, the LifePath Dynamic Fund changed its investment strategy to (i) incorporate a dynamic glidepath and (ii) invest directly in securities and derivatives, as well as in underlying funds. Performance for the periods shown prior to December 14, 2015 is based on the prior investment strategy. Effective November 28, 2014, the Fund changed its glide path and target asset allocation to target higher levels of equity exposure for the LifePath Dynamic Fund throughout the glide path. Performance for the periods shown prior to November 28, 2014 is based on the prior glide path and target asset allocation. 

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

Past performance is not an indication of future results.

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

---

| | |
|:---|:---|
| **PORTFOLIO ALLOCATION** | **PORTFOLIO ALLOCATION** |
| *Asset Type* | *Percent of*<br> *Net Assets* |
|  Equity Funds | 91.3% |
|  Money Market Funds | 11.7 |
|  Fixed-Income Funds | 2.0 |
|  Liabilities in Excess of Other Assets | (5.0) |

---

---

| | |
|:---|:---|
| **TEN LARGEST HOLDINGS** | **TEN LARGEST HOLDINGS** |
| *Security* | *Percent of*<br> *Net Assets* |
|  Diversified Equity Master Portfolio | 56.2% |
|  International Tilts Master Portfolio | 16.3 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 5.9 |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 5.8 |
|  BlackRock Advantage Emerging Markets Fund, Class K | 5.7 |
|  iShares MSCI EAFE Small-Cap ETF | 5.3 |
|  BlackRock Tactical Opportunities Fund, Class K | 4.9 |
|  iShares Developed Real Estate Index Fund, Class K | 2.9 |
|  BlackRock High Yield Bond Portfolio, Class K | 1.1 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 0.7 |

---

F U N D S U M M A R Y 21

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2060 Fund** |

---

**Investment Objective** 

The investment objective of **BlackRock LifePath**<sup>®</sup> **Dynamic 2060 Fund ("LifePath Dynamic 2060 Fund" or the "LifePath Dynamic Fund")** is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath Dynamic 2060 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

**GROWTH OF $10,000 INVESTMENT**![LOGO](g458023sp22a.jpg)

The LifePath Dynamic Fund commenced operations on May 31, 2017.

<sup>(a)</sup> Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

<sup>(b)</sup> The LifePath Dynamic 2060 Fund compares its performance to that of a customized weighted index (the "LifePath Dynamic 2060 Fund Custom Benchmark"). Prior to July 29, 2022, the LifePath Dynamic 2060 Fund Custom Benchmark was comprised of the Bloomberg U.S. Aggregate Bond Index, Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000<sup>®</sup> Index and Russell 2000<sup>®</sup> Index. Effective July 29, 2022, the LifePath Dynamic 2060 Fund Custom Benchmark was changed to remove Bloomberg U.S. Aggregate Bond Index and to add Bloomberg U.S. Long Credit Bond Index, Bloomberg U.S. Intermediate Credit Bond Index, Bloomberg U.S. Long Government Bond Index, Bloomberg U.S. Intermediate Government Bond Index and Bloomberg U.S. Securitized: MBS, ABS and CMBS Index. The investment adviser believes that the updated LifePath Dynamic 2060 Fund Custom Benchmark is more representative of the sectors in which the LifePath Dynamic 2060 Fund invests. The investment adviser adjusts the weightings of the indexes in the LifePath Dynamic 2060 Fund Custom Benchmark periodically based upon its evaluation and adjustment of the LifePath Dynamic 2060 Fund's asset allocation strategy. The weightings are presented annually but they are adjusted quarterly. 

The LifePath Dynamic Fund's custom benchmark consists of the following:

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Period<sup>(a)</sup>* | *Bloomberg<br>U.S.*<br> *Aggregate*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S.*<br> *Intermediate*<br> *Credit Bond*<br> *Index* | *Bloomberg*<br> *U.S.*<br> *Intermediate*<br> *Government*<br> *Bond Index* | *Bloomberg*<br> *U.S. Long*<br> *Credit*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Long*<br> *Government*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Securitized:*<br> *MBS, ABS*<br> *and*<br> *CMBS*<br> *Index* | *Bloomberg*<br> *U.S. Treasury*<br> *Inflation*<br> *Protected*<br> *Securities*<br> *(TIPS) Index*<br> *(Series-L)* | *Bloomberg*<br> *Commodity*<br> *Index* | *FTSE*<br> *EPRA*<br> *Nareit*<br> *Developed*<br> *Index* | *MSCI*<br> *ACWI ex USA*<br> *IMI Index* | *Russell*<br> *1000*<sup>®</sup><br> *Index* | *Russell*<br> *2000*<sup>®</sup><br> *Index* |
| 05/31/17 to 12/31/17 | 1.0% | N/A | N/A | N/A | N/A | N/A | N/A | 4.3% | 15.3% | 30.9% | 47.5% | 1.0% |
| 01/01/18 to 12/31/18 | 1 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | 16.1 | 31.8 | 50.1 | 1 |
| 01/01/19 to 12/31/19 | 1 | N/A | N/A | N/A | N/A | N/A | 0.1% | N/A | 4.8 | 40.1 | 52 | 2 |
| 01/01/20 to 12/31/20 | 0.9 | N/A | N/A | N/A | N/A | N/A | 0.1 | N/A | 4.8 | 39.9 | 52.9 | 1.4 |
| 01/01/21 to 12/31/21 | 0.9 | N/A | N/A | N/A | N/A | N/A | 0.1 | N/A | 4.8 | 39.3 | 53.9 | 1 |
| 01/01/22 to 12/31/22 | 0.6 | 0.0% | 0.0% | 0.4% | 0.0% | 0.0% | 0.1 | N/A | 4.8 | 36.3 | 56.8 | 1 |

---

<sup>(a)</sup> The LifePath Dynamic Fund commenced operations on May 31, 2017.

See "About Fund Performance" for descriptions of the indexes.

22 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock LifePath**<sup>®</sup> **Dynamic 2060 Fund** |

---

**Performance** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> |
|  | 1 Year | 1 Year | 5 Years | 5 Years | Since<br>Inception<sup>(c)</sup> | Since<br>Inception<sup>(c)</sup> |
|  | *Without*<br> *Sales*<br> *Charge* | *With*<br> *Sales*<br> *Charge* | *Without*<br> *Sales*<br> *Charge* | *With*<br> *Sales*<br> *Charge* | *Without*<br> *Sales*<br> *Charge* | *With*<br> *Sales*<br> *Charge* |
|  Institutional | (18.64)% | N/A | 4.90% | N/A | 6.46% | N/A |
|  Investor A | (18.88) | (23.14)% | 4.62 | 3.50% | 6.18 | 5.16% |
|  Investor C | (19.48) | (20.28) | 3.80 | 3.80 | 5.36 | 5.36 |
|  Class K | (18.51) | N/A | 5.12 | N/A | 6.68 | N/A |
|  Class R | (19.04) | N/A | 4.42 | N/A | 5.97 | N/A |
|  **LifePath Dynamic 2060 Fund Custom Benchmark** | (18.40) | N/A | 5.44 | N/A | 6.82 | N/A |
|  **Bloomberg U.S. Aggregate Bond Index** | (13.01) | N/A | 0.02 | N/A | 0.22 | N/A |
|  **Bloomberg U.S. Intermediate Credit Bond Index** | (9.10) | N/A | 1.08 | N/A | 1.16 | N/A |
|  **Bloomberg U.S. Intermediate Government Bond Index** | (7.73) | N/A | 0.46 | N/A | 0.36 | N/A |
|  **Bloomberg U.S. Long Credit Bond Index** | (25.29) | N/A | (0.77) | N/A | 0.44 | N/A |
|  **Bloomberg U.S. Long Government Bond Index** | (29.19) | N/A | (2.19) | N/A | (1.39) | N/A |
|  **Bloomberg U.S. Securitized: MBS, ABS and CMBS Index** | (11.67) | N/A | (0.43) | N/A | (0.26) | N/A |
|  **Bloomberg U.S. TIPS Index (Series-L)** | (11.85) | N/A | 2.11 | N/A | 2.10 | N/A |
|  **FTSE EPRA Nareit Developed Index** | (25.09) | N/A | (0.23) | N/A | 0.85 | N/A |
|  **MSCI ACWI ex USA IMI Index** | (16.58) | N/A | 0.85 | N/A | 2.85 | N/A |
|  **Russell 1000**<sup>®</sup> **Index** | (19.13) | N/A | 9.13 | N/A | 10.38 | N/A |
|  **Russell 2000**<sup>®</sup> **Index** | (20.44) | N/A | 4.13 | N/A | 5.98 | N/A |

---

<sup>(a)</sup> Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related sales charges and fees. 

<sup>(b)</sup> LifePath Dynamic 2060 Fund normally invests its assets in underlying funds according to an asset allocation strategy designed for investors planning to retire or begin withdrawing assets around the year 2060. LifePath Dynamic 2060 Fund's returns prior to March 31, 2018 are the returns of LifePath Dynamic 2060 Fund when its assets could be allocated to underlying funds that invest primarily in commodities. 

<sup>(c)</sup> The LifePath Dynamic Fund commenced operations on May 31, 2017.

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

Past performance is not an indication of future results.

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

---

| | |
|:---|:---|
| **PORTFOLIO ALLOCATION** | **PORTFOLIO ALLOCATION** |
| *Asset Type* | *Percent of*<br> *Net Assets* |
|  Equity Funds | 88.0% |
|  Money Market Funds | 13.4 |
|  Fixed-Income Funds | 1.9 |
|  Liabilities in Excess of Other Assets | (3.3) |

---

---

| | |
|:---|:---|
| **TEN LARGEST HOLDINGS** | **TEN LARGEST HOLDINGS** |
| *Security* | *Percent of*<br> *Net Assets* |
|  Diversified Equity Master Portfolio | 51.5% |
|  International Tilts Master Portfolio | 15.7 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 9.3 |
|  BlackRock Advantage Emerging Markets Fund, Class K | 5.4 |
|  BlackRock Tactical Opportunities Fund, Class K | 4.7 |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 4.1 |
|  iShares MSCI EAFE Small-Cap ETF | 3.2 |
|  iShares MSCI Canada ETF | 2.9 |
|  iShares Developed Real Estate Index Fund, Class K | 2.8 |
|  iShares MSCI EAFE ETF | 1.3 |

---

F U N D S U M M A R Y 23

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2065 Fund** |

---

**Investment Objective** 

The investment objective of **BlackRock LifePath**<sup>®</sup> **Dynamic 2065 Fund ("LifePath Dynamic 2065 Fund" or the "LifePath Dynamic Fund")** is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath Dynamic 2065 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

**GROWTH OF $10,000 INVESTMENT**![LOGO](g458023sp24a.jpg)

The LifePath Dynamic Fund commenced operations on October 30, 2019.

<sup>(a)</sup> Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

<sup>(b)</sup> The LifePath Dynamic 2065 Fund compares its performance to that of a customized weighted index (the "LifePath Dynamic 2065 Fund Custom Benchmark"). Prior to July 29, 2022, the LifePath Dynamic 2065 Fund Custom Benchmark was comprised of the Bloomberg U.S. Aggregate Bond Index, Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000<sup>®</sup> Index and Russell 2000<sup>®</sup> Index. EffectiveJuly 29, 2022, the LifePath Dynamic 2065 Fund Custom Benchmark was changed to remove Bloomberg U.S. Aggregate Bond Index and to add Bloomberg U.S. Long Credit Bond Index, Bloomberg U.S. Intermediate Credit Bond Index, Bloomberg U.S. Long Government Bond Index, Bloomberg U.S. Intermediate Government Bond Index and Bloomberg U.S. Securitized: MBS, ABS and CMBS Index. The investment adviser believes that the updated LifePath Dynamic 2065 Fund Custom Benchmark is more representative of the sectors in which the LifePath Dynamic 2065 Fund invests. The investment adviser adjusts the weightings of the indexes in the LifePath Dynamic 2065 Fund Custom Benchmark periodically based upon its evaluation and adjustment of the LifePath Dynamic 2065 Fund's asset allocation strategy. The weightings are presented annually but they are adjusted quarterly. 

The LifePath Dynamic Fund's custom benchmark consists of the following:

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Period<sup>(a)</sup>* | *Bloomberg*<br> *U.S. Aggregate*<br> *Bond Index* | *Bloomberg<br>U.S. Intermediate<br>Credit*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Intermediate*<br> *Government*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Long*<br> *Credit*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Long*<br> *Government*<br> *Bond*<br> *Index* | *Bloomberg*<br> *U.S. Securitized:*<br> *MBS, ABS*<br> *and*<br> *CMBS*<br> *Index* | *Bloomberg*<br> *U.S. Treasury*<br> *Inflation*<br> *Protected*<br> *Securities*<br> *(TIPS) Index*<br> *(Series-L)* | *FTSE*<br> *EPRA Nareit*<br> *Developed*<br> *Index* | *MSCI*<br> *ACWI ex USA*<br> *IMI Index* | *Russell*<br> *1000*<sup>®</sup><br> *Index* | *Russell*<br> *2000*<sup>®</sup><br> *Index* |
| 10/30/19 to 12/31/19 | 1.0% | N/A | N/A | N/A | N/A | N/A | 0.0% | 4.8% | 40.2% | 52.0% | 2.0% |
| 01/01/20 to 12/31/20 | 1 | N/A | N/A | N/A | N/A | N/A | 0 | 4.8 | 39.9 | 52.9 | 1.4 |
| 01/01/21 to 12/31/21 | 1.1 | N/A | N/A | N/A | N/A | N/A | 0 | 4.8 | 39.3 | 53.8 | 1 |
| 01/01/22 to 12/31/22 | 0.6 | 0.0% | 0.0% | 0.5% | 0.0% | 0.0% | 0 | 4.8 | 36.3 | 56.8 | 1 |

---

<sup>(a)</sup> The LifePath Dynamic Fund commenced operations on October 30, 2019.

See "About Fund Performance" for descriptions of the indexes.

24 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **BlackRock LifePath**<sup>®</sup> **Dynamic 2065 Fund** |

---

**Performance** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> | Average Annual Total Returns<sup>(a)(b)</sup> |
|  | 1 Year | 1 Year | Since<br>Inception<sup>(c)</sup> | Since<br>Inception<sup>(c)</sup> |
|  | *Without*<br> *Sales*<br> *Charge* | *With*<br> *Sales*<br> *Charge* | *Without*<br> *Sales*<br> *Charge* | *With*<br> *Sales*<br> *Charge* |
|  Institutional | (18.55)% | N/A | 4.75% | N/A |
|  Investor A | (18.71) | (22.98)% | 4.50 | 2.74% |
|  Investor C | (19.38) | (20.17) | 3.70 | 3.70 |
|  Class K | (18.37) | N/A | 4.99 | N/A |
|  Class R | (18.92) | N/A | 4.26 | N/A |
|  **LifePath Dynamic 2065 Fund Custom Benchmark** | (18.40) | N/A | 5.36 | N/A |
|  **Bloomberg U.S. Aggregate Bond Index** | (13.01) | N/A | (2.45) | N/A |
|  **Bloomberg U.S. Intermediate Credit Bond Index** | (9.10) | N/A | (0.93) | N/A |
|  **Bloomberg U.S. Intermediate Government Bond Index** | (7.73) | N/A | (1.27) | N/A |
|  **Bloomberg U.S. Long Credit Bond Index** | (25.29) | N/A | (4.96) | N/A |
|  **Bloomberg U.S. Long Government Bond Index** | (29.19) | N/A | (7.48) | N/A |
|  **Bloomberg U.S. Securitized: MBS, ABS and CMBS Index** | (11.67) | N/A | (2.75) | N/A |
|  **Bloomberg U.S. TIPS Index (Series-L)** | (11.85) | N/A | 1.49 | N/A |
|  **FTSE EPRA Nareit Developed Index** | (25.09) | N/A | (4.84) | N/A |
|  **MSCI ACWI ex USA IMI Index** | (16.58) | N/A | 1.91 | N/A |
|  **Russell 1000**<sup>®</sup> **Index** | (19.13) | N/A | 9.07 | N/A |
|  **Russell 2000**<sup>®</sup> **Index** | (20.44) | N/A | 4.98 | N/A |

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<sup>(a)</sup> Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related sales charges and fees. 

<sup>(b)</sup> LifePath Dynamic 2065 Fund normally invests its assets in underlying funds according to an asset allocation strategy designed for investors planning to retire or begin withdrawing assets around the year 2065.

<sup>(c)</sup> The LifePath Dynamic Fund commenced operations on October 30, 2019.

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

Past performance is not an indication of future results.

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

---

| | |
|:---|:---|
| **PORTFOLIO ALLOCATION** | **PORTFOLIO ALLOCATION** |
| *Asset Type* | *Percent of*<br> *Net Assets* |
|  Equity Funds | 87.5% |
|  Money Market Funds | 17.5 |
|  Fixed-Income Funds | 2.0 |
|  Liabilities in Excess of Other Assets | (7.0) |

---

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| | |
|:---|:---|
| **TEN LARGEST HOLDINGS** | **TEN LARGEST HOLDINGS** |
| *Security* | *Percent of*<br> *Net Assets* |
|  Diversified Equity Master Portfolio | 53.2% |
|  International Tilts Master Portfolio | 12.8 |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 8.8 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 8.7 |
|  BlackRock Advantage Emerging Markets Fund, Class K | 5.4 |
|  BlackRock Tactical Opportunities Fund, Class K | 4.9 |
|  iShares MSCI EAFE Small-Cap ETF | 3.4 |
|  iShares MSCI Canada ETF | 2.9 |
|  iShares Developed Real Estate Index Fund, Class K | 2.6 |
|  iShares MSCI EAFE ETF | 1.3 |

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F U N D S U M M A R Y 25

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About Fund Performance

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

**Investor A Shares** are subject to a maximum initial sales charge (front-end load) of 5.25% and a service fee of 0.25% per year (but no distribution fee). Certain redemptions of these shares may be subject to a contingent deferred sales charge ("CDSC") where no initial sales charge was paid at the time of purchase. These shares are generally available through financial intermediaries.

**Investor C Shares** are subject to a 1.00% CDSC if redeemed within one year of purchase. In addition, these shares are subject to a distribution fee of 0.75% per year and a service fee of 0.25% per year. These shares are generally available through financial intermediaries. These shares automatically convert to Investor A Shares after approximately eight years.

**Class R Shares** are not subject to any sales charge. These shares are subject to a distribution fee of 0.25% per year and a service fee of 0.25% per year. These shares are available only to certain employer-sponsored retirement plans.

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

BlackRock Fund Advisors ("BFA" or the "Manager") and BlackRock Advisors, LLC ("BAL" or the "Administrator"), LifePath Dynamic Funds' Manager and Administrator respectively, have contractually and/or voluntarily agreed to waive and/or reimburse a portion of each LifePath Dynamic Fund's expenses. Without such waivers and/or reimbursements, each LifePath Dynamic Fund's performance would have been lower. With respect to each LifePath Dynamic Fund's voluntary waivers, if any, the Manager and Administrator are under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waivers may be reduced or discontinued at any time. With respect to each LifePath Dynamic Fund's contractual waivers, if any, the Manager and the Administrator are under no obligation to continue waiving and/or reimbursing their fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.

The LifePath Dynamic Funds' custom benchmarks are hypothetical representations of the performance of the respective LifePath Dynamic Fund's asset classes according to their weightings as of the most recent quarter-end. The weightings of the various indexes that are included in the LifePath Dynamic Funds' custom benchmarks are adjusted quarterly to reflect the LifePath Dynamic Funds' changing asset allocations over time. As of December 31, 2022, the following indexes are used to calculate the LifePath Dynamic Funds' custom benchmarks: Bloomberg U.S. Intermediate Credit Bond Index, Bloomberg U.S. Intermediate Government Bond Index, Bloomberg U.S. Long Credit Bond Index, Bloomberg U.S. Long Government Bond Index, Bloomberg U.S. Securitized: MBS, ABS and CMBS Index, Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000<sup>®</sup> Index and Russell 2000<sup>®</sup> Index. Effective July 29, 2022, Bloomberg U.S. Aggregate Bond Index was removed from the LifePath Dynamic Funds' custom benchmark.

The Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The Bloomberg U.S. Intermediate Credit Bond Index measures the investment grade, US dollar-denominated, fixed-rate, taxable corporate and government-related bond markets with a maturity greater than 1 year and less than 10 years. The Bloomberg U.S. Intermediate Government Bond Index includes US dollar-denominated, fixed-rate, nominal US Treasuries and US agency debentures with a maturity greater 1 year and less than 10 years. The Bloomberg U.S. Long Credit Bond Index measures the investment grade, US dollar-denominated, fixed-rate, taxable corporate and government-related bond markets with a maturity greater than 10 years. The Bloomberg U.S. Long Government Bond Index includes US dollar-denominated, fixed-rate, nominal US Treasuries and US agency debentures with a maturity greater than 10 years. The Bloomberg U.S. Securitized: MBS, ABS and CMBS Index measures the performance of residential mortgage backed securities issued by Government Sponsored Enterprises, asset backed securities and commercial mortgage backed securities. The Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) is an unmanaged index that measures the performance of the inflation-protected public obligations of the U.S. Treasury. The FTSE EPRA Nareit Developed Index is a global market capitalization weighted index composed of listed real estate securities from developed market countries in North America, Europe, and Asia. The MSCI ACWI ex USA IMI Index is a free float-adjusted market capitalization weighted index that measures the equity market performance of the developed (excluding the U.S.) and emerging investable market universe. The Russell 1000<sup>®</sup> Index is an index that measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000<sup>®</sup> Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The Index represents approximately 93% of the U.S. market. The Russell 2000<sup>®</sup> Index is an index that measures the performance of the small-cap segment of the U.S. equity universe. It is a subset of the Russell 3000<sup>®</sup> Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership.

Disclosure of Expenses

Shareholders of each LifePath Dynamic Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees, administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense

26 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Disclosure of Expenses (continued)

examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each LifePath Dynamic Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their LifePath Dynamic Fund and share class under the heading entitled "Expenses Paid During the Period."

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

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

**Expense Example** 

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Actual | Actual | Actual | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | |
| | Beginning<br>Account Value<br>(07/01/22) | Ending<br> Account Value<br>(12/31/22) | Expenses<br> Paid During<br>the Period <sup>(a)</sup> | Beginning<br> Account Value<br>(07/01/22) | Ending<br>Account Value<br>(12/31/22) | Expenses<br> Paid During<br> the Period <sup>(a)</sup> |<br>Annualized<br> Expense<br> Ratio |
|  **LifePath Dynamic Retirement Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | $1000.00 | $998.40 | $2.37 | $1000.00 | $1022.84 | $2.40 | 0.47% |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 1000.00 | 998.10 | 3.63 | 1000.00 | 1021.58 | 3.67 | 0.72 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C | 1000.00 | 992.90 | 7.38 | 1000.00 | 1017.80 | 7.48 | 1.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 1000.00 | 999.50 | 1.11 | 1000.00 | 1024.10 | 1.12 | 0.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R | 1000.00 | 996.20 | 4.63 | 1000.00 | 1020.57 | 4.69 | 0.92 |
|  **LifePath Dynamic 2025 Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | 1000.00 | 999.60 | 2.47 | 1000.00 | 1022.74 | 2.50 | 0.49 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 1000.00 | 997.90 | 3.73 | 1000.00 | 1021.48 | 3.77 | 0.74 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C | 1000.00 | 994.50 | 7.49 | 1000.00 | 1017.69 | 7.58 | 1.49 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 1000.00 | 1000.40 | 1.21 | 1000.00 | 1024.00 | 1.22 | 0.24 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R | 1000.00 | 997.00 | 4.78 | 1000.00 | 1020.42 | 4.84 | 0.95 |
|  **LifePath Dynamic 2030 Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | 1000.00 | 1007.30 | 2.43 | 1000.00 | 1022.79 | 2.45 | 0.48 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 1000.00 | 1006.80 | 3.69 | 1000.00 | 1021.53 | 3.72 | 0.73 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C | 1000.00 | 1003.10 | 7.47 | 1000.00 | 1017.74 | 7.53 | 1.48 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 1000.00 | 1008.20 | 1.11 | 1000.00 | 1024.10 | 1.12 | 0.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R | 1000.00 | 1004.80 | 4.70 | 1000.00 | 1020.52 | 4.74 | 0.93 |
|  **LifePath Dynamic 2035 Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | 1000.00 | 1010.10 | 2.33 | 1000.00 | 1022.89 | 2.35 | 0.46 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 1000.00 | 1008.60 | 3.59 | 1000.00 | 1021.63 | 3.62 | 0.71 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C | 1000.00 | 1004.80 | 7.38 | 1000.00 | 1017.85 | 7.43 | 1.46 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 1000.00 | 1011.40 | 1.06 | 1000.00 | 1024.15 | 1.07 | 0.21 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R | 1000.00 | 1007.80 | 4.66 | 1000.00 | 1020.57 | 4.69 | 0.92 |
|  **LifePath Dynamic 2040 Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | 1000.00 | 1018.20 | 2.29 | 1000.00 | 1022.94 | 2.29 | 0.45 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 1000.00 | 1017.10 | 3.56 | 1000.00 | 1021.68 | 3.57 | 0.70 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C | 1000.00 | 1013.00 | 7.41 | 1000.00 | 1017.85 | 7.43 | 1.46 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 1000.00 | 1019.50 | 1.02 | 1000.00 | 1024.20 | 1.02 | 0.20 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R | 1000.00 | 1015.70 | 4.62 | 1000.00 | 1020.62 | 4.63 | 0.91 |
|  **LifePath Dynamic 2045 Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | 1000.00 | 1022.10 | 2.29 | 1000.00 | 1022.94 | 2.29 | 0.45 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 1000.00 | 1020.70 | 3.57 | 1000.00 | 1021.68 | 3.57 | 0.70 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C | 1000.00 | 1016.80 | 7.37 | 1000.00 | 1017.90 | 7.38 | 1.45 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 1000.00 | 1023.90 | 1.02 | 1000.00 | 1024.20 | 1.02 | 0.20 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R | 1000.00 | 1020.10 | 4.63 | 1000.00 | 1020.62 | 4.63 | 0.91 |
|  **LifePath Dynamic 2050 Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | 1000.00 | 1020.70 | 2.39 | 1000.00 | 1022.84 | 2.40 | 0.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 1000.00 | 1019.70 | 3.67 | 1000.00 | 1021.58 | 3.67 | 0.72 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C | 1000.00 | 1015.50 | 7.47 | 1000.00 | 1017.80 | 7.48 | 1.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 1000.00 | 1022.30 | 1.12 | 1000.00 | 1024.10 | 1.12 | 0.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R | 1000.00 | 1018.70 | 4.68 | 1000.00 | 1020.57 | 4.69 | 0.92 |
|  **LifePath Dynamic 2055 Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | 1000.00 | 1021.90 | 2.40 | 1000.00 | 1022.84 | 2.40 | 0.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 1000.00 | 1020.70 | 3.67 | 1000.00 | 1021.58 | 3.67 | 0.72 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C | 1000.00 | 1016.90 | 7.47 | 1000.00 | 1017.80 | 7.48 | 1.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 1000.00 | 1023.60 | 1.12 | 1000.00 | 1024.10 | 1.12 | 0.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R | 1000.00 | 1019.40 | 4.68 | 1000.00 | 1020.57 | 4.69 | 0.92 |
|  **LifePath Dynamic 2060 Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | 1000.00 | 1022.20 | 2.34 | 1000.00 | 1022.89 | 2.35 | 0.46 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | 1000.00 | 1020.40 | 3.62 | 1000.00 | 1021.63 | 3.62 | 0.71 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C | 1000.00 | 1016.80 | 7.42 | 1000.00 | 1017.85 | 7.43 | 1.46 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 1000.00 | 1023.10 | 1.02 | 1000.00 | 1024.20 | 1.02 | 0.20 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R | 1000.00 | 1019.50 | 4.63 | 1000.00 | 1020.62 | 4.63 | 0.91 |
|  **LifePath Dynamic 2065 Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional | 1000.00 | 1023.30 | 2.29 | 1000.00 | 1022.94 | 2.29 | 0.45 |

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D I S C L O S U R E O F E X P E N S E S 27

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Disclosure of Expenses (continued)

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Actual | Actual | Actual | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | |
| | Beginning<br>Account Value<br>(07/01/22) | Ending<br> Account Value<br>(12/31/22) | Expenses<br> Paid During<br>the Period <sup>(a)</sup> | Beginning<br> Account Value<br>(07/01/22) | Ending<br>Account Value<br>(12/31/22) | Expenses<br> Paid During<br> the Period <sup>(a)</sup> |<br>Annualized<br> Expense<br> Ratio |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A | $1000.00 | $1023.30 | $3.57 | $1000.00 | $1021.68 | $3.57 | 0.70% |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C | 1000.00 | 1018.30 | 7.38 | 1000.00 | 1017.90 | 7.38 | 1.45 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K | 1000.00 | 1024.30 | 1.02 | 1000.00 | 1024.20 | 1.02 | 0.20 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R | 1000.00 | 1021.30 | 4.59 | 1000.00 | 1020.67 | 4.58 | 0.90 |

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<sup>(a)</sup> For each class of the LifePath Dynamic Funds, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown).

28 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Derivative Financial Instruments

The LifePath Dynamic Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the LifePath Dynamic Funds must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The LifePath Dynamic Funds' successful use of a derivative financial instrument depends on the investment adviser's ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a LifePath Dynamic Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The LifePath Dynamic Funds' investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

D E R I V A T I V E F I N A N C I A L I N S T R U M E N T S 29

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| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic Retirement Fund**<br> **(Percentages shown are based on Net Assets)** |

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| | | |
|:---|:---|:---|
| *Security* | *Shares/*<br> *Investment Value* | *Value* |
|  **Investment Companies<sup>(a)</sup>** | **Investment Companies<sup>(a)</sup>** | **Investment Companies<sup>(a)</sup>** |
| **Equity Funds — 39.6%** | **Equity Funds — 39.6%** | **Equity Funds — 39.6%** |
|  BlackRock Advantage Emerging Markets Fund, Class K | 543955 | $4862956 |
|  BlackRock Tactical Opportunities Fund, Class K | 729450 | 10518675 |
|  Diversified Equity Master Portfolio | $44883274 | 44883274 |
|  International Tilts Master Portfolio | $13959667 | 13959667 |
|  iShares Developed Real Estate Index Fund, Class K | 103959 | 925233 |
|  iShares MSCI EAFE Small-Cap ETF<sup>(b)</sup> | 89072 | 5030786 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80180591 |
| **Fixed-Income Funds — 54.2%** | **Fixed-Income Funds — 54.2%** | **Fixed-Income Funds — 54.2%** |
|  Advantage CoreAlpha Bond Master Portfolio | $36823399 | 36823399 |
|  BlackRock High Yield Bond Portfolio, Class K | 345439 | 2293716 |
|  iShares Core U.S. Aggregate Bond ETF<sup>(b)</sup> | 279942 | 27151575 |
|  iShares TIPS Bond ETF | 149232 | 15884254 |
|  Master Total Return Portfolio | $27630376 | 27630376 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;109783320 |

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| | | |
|:---|:---|:---|
| *Security* | <br> *Shares* | *Value* |
| **Money Market Funds — 10.9%** | **Money Market Funds — 10.9%** | **Money Market Funds — 10.9%** |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%<sup>(c)(d)</sup> | 10167424 | $10170474 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%<sup>(c)</sup> | 12049934 | 12049934 |
|  |  | 22220408 |
|  **Total Investments — 104.7%<br>(Cost: $152,956,433)** | **Total Investments — 104.7%<br>(Cost: $152,956,433)** | 212184319 |
|  **Liabilities in Excess of Other Assets — (4.7)%** | **Liabilities in Excess of Other Assets — (4.7)%** | (9559176) |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | $202625143 |

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<sup>(a)</sup> Affiliate of the Fund.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Annualized 7-day yield as of period end.

<sup>(d)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the LifePath Dynamic Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at*<br> *12/31/21* | *Purchases*<br> *at Cost* | *Proceeds*<br> *from Sales* | *Net*<br> *Realized*<br> *Gain (Loss)* | *Change in*<br> *Unrealized*<br> *Appreciation*<br> *(Depreciation)* | *Value at<br>12/31/22* | *Shares/*<br> *Investment Value*<br> *Held at*<br> *12/31/22* | *Income* | *Capital Gain*<br> *Distributions*<br> *from*<br> *Underlying<br>Funds* |
|  Advantage CoreAlpha Bond Master Portfolio | $55070280 | $— | $(9584993)<sup>(a)(b)</sup> | $(4417480) | $(4244408) | $36823399 | $36823399 | $1152248 | $– |
|  BlackRock Advantage Emerging Markets Fund, Class K | 11776496 |  | (3993504)<sup>(a)</sup> | (646360) | (2273676) | 4862956 | 543955 | 184046 | – |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 7813537 | 2380636 <sup>(a)</sup> |  | (25670) | 1971 | 10170474 | 10167424 | 37869 <sup>(c)</sup> | – |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 4135736 | 7914198 <sup>(a)</sup> |  |  |  | 12049934 | 12049934 | 157919 | – |
|  BlackRock High Yield Bond Portfolio, Class K |  | 2246194 <sup>(a)</sup> |  |  | 47522 | 2293716 | 345439 | 37365 | – |
|  BlackRock Tactical Opportunities Fund, Class K | 16072201 |  | (5825912)<sup>(a)</sup> | 105305 | 167081 | 10518675 | 729450 | 363972 | – |
|  Diversified Equity Master Portfolio | 69392534 |  | (11664715)<sup>(a)(b)</sup> | 1018387 | (13862932) | 44883274 | $44883274 | 577506 | – |
|  International Tilts Master Portfolio | 16178960 | 458474 <sup>(a)(b)</sup> |  | (1197091) | (1480676) | 13959667 | $13959667 | 458474 | – |
|  iShares Core U.S. Aggregate Bond ETF | 47008033 | 3492066 | (16978657) | (2490341) | (3879526) | 27151575 | 279942 | 791280 | – |
|  iShares Developed Real Estate Index Fund, Class K | 7152836 | 425876 | (4831209) | (865671) | (956599) | 925233 | 103959 | 51875 | – |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF<sup>(d)</sup> | 5297885 |  | (4581454) | (792205) | 75774 |  |  | 63031 | – |
|  iShares MSCI EAFE Small-Cap ETF | 6510272 |  |  |  | (1479486) | 5030786 | 89072 | 100204 | – |
|  iShares TIPS Bond ETF | 24067634 | 710001 | (4895148) | 88182 | (4086415) | 15884254 | 149232 | 1276047 | – |
|  Master Total Return Portfolio | 39411367 |  | (5781842)<sup>(a)(b)</sup> | (2754579) | (3244570) | 27630376 | $27630376 | 683057 | – |
|  |  |  |  | $(11977523) | $(35215940) | $212184319 |  | $5934893 | $– |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

<sup>(b)</sup> Inclusive of income and expense allocated from the Master Portfolio.

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

<sup>(d)</sup> As of period end, the entity is no longer held.

30 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic Retirement Fund** |

---

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Notional*<br> *Amount (000)* | *Value/*<br> *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P/TSE 60 Index | 16 | 03/16/23 | $2765 | $(98546) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 23 | 03/17/23 | 2242 | (55218) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 63 | 03/17/23 | 3022 | (81003) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 75 | 03/17/23 | 6641 | (238256) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 21 | 03/17/23 | 4054 | (143353) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Micro E-Mini Index | 183 | 03/17/23 | 3533 | (37831) |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 57 | 03/22/23 | 6392 | (33153) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Long Bond | 26 | 03/22/23 | 3242 | (66192) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5-Year U.S. Treasury Note | 81 | 03/31/23 | 8734 | (48751) |
|  |  |  |  | (802303) |
|  Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 5 | 03/22/23 | 668 | 1611 |
|  |  |  |  | $(800692) |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  CAD 3,195,169 | USD | 2375460 | Morgan Stanley & Co. International PLC | 03/15/23 | $(14338) |
|  USD 39,243 | EUR | 37000 | Deutsche Bank AG | 03/15/23 | (554) |
|  USD 205,323 | JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27289000 | Bank of America N.A. | 03/15/23 | (4558) |
|  |  |  |  |  | $(19450) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Commodity*<br> *Contracts* | *Credit*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Equity*<br> *Contracts* | *Foreign*<br> *Currency*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Exchange*<br> *Contracts* | *Interest*<br> *Rate*<br> *Contracts* | *Other*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup> | $— | $— | $— | $— | $1611 | $— | $1611 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $654207 | $— | $148096 | $— | $802303 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 19450 |  |  | 19450 |
|  | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;654207 | $19450 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;148096 | $— | $821753 |

---

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

S C H E D U L E O F I N V E S T M E N T S 31

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic Retirement Fund** |

---

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Commodity*<br> *Contracts* | *Credit*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Equity*<br> *Contracts* | *Foreign*<br> *Currency*<br> *Exchange*<br> *Contracts* | *Interest*<br> *Rate*<br> *Contracts* | *Other*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(695264) | $— | $582708 | $— | $(112556) |
|  Forward foreign currency exchange contracts |  |  |  | (444327) |  |  | (444327) |
|  | $— | $— | $(695264) | $(444327) | $582708 | $— | $(556883) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(1042502) | $— | $(120032) | $— | $(1162534) |
|  Forward foreign currency exchange contracts |  |  |  | (118197) |  |  | (118197) |
|  | $— | $— | $(1042502) | $&nbsp;&nbsp;&nbsp;&nbsp;(118197) | $&nbsp;&nbsp;&nbsp;&nbsp;(120032) | $— | $(1280731) |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $36553899 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $15113265 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $4417552 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $6675035 |

---

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

**Derivative Financial Instruments — Offsetting as of Period End** 

The LifePath Dynamic Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $— | $189191 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts |  | 19450 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities |  | 208641 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") |  | (189191) |
|  Total derivative assets and liabilities subject to an MNA | $— | $19450 |

---

The following table presents the LifePath Dynamic Fund's derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the LifePath Dynamic Fund:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  *Counterparty* | *Derivative*<br> *Liabilities*<br> *Subject to*<br> *an MNA by*<br> *Counterparty* | <br>| <br>| *Net Amount*<br> *of Derivative*<br> *Liabilities* | <br>*<sup>(a)(b)</sup>*  |
|  Bank of America N.A. | $4558 |  | $– | $4558 |  |
|  Deutsche Bank AG | 554 |  | – | 554 |  |
|  Morgan Stanley & Co. International PLC | 14338 |  | – | 14338 |  |
|  | $19450 |  | $– | $19450 |  |

---

<sup>(a)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(b)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

32 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic Retirement Fund** |

---

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the LifePath Dynamic Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the LifePath Dynamic Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Funds | $21337650 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $21337650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fixed-Income Funds | 45329545 |  |  | 45329545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 22220408 |  |  | 22220408 |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;88887603 | $— | $— | 88887603 |
|  Investments Valued at NAV<sup>(a)</sup> |  |  |  | 123296716 |
|  |  |  |  | $212184319 |
|  Derivative Financial Instruments<sup>(b)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | $1611 | $— | $— | $1611 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | (654207) |  |  | (654207) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (19450) |  | (19450) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (148096) |  |  | (148096) |
|  | $(800692) | $(19450) | $— | $(820142) |

---

<sup>(a)</sup> Certain investments of the Fund were fair valued using NAV as a practical expedient or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

<sup>(b)</sup> Derivative financial instruments are futures contracts and forward foreign currency exchange contracts. Futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

S C H E D U L E O F I N V E S T M E N T S 33

------

---

| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2025 Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares/*<br> *Investment Value* | *Value* |
|  **Investment Companies<sup>(a)</sup>** |  |  |
| **Equity Funds — 44.6%** |  |  |
|  BlackRock Advantage Emerging Markets Fund, Class K | 192520 | $1721128 |
|  BlackRock Tactical Opportunities Fund, Class K | 274415 | 3957066 |
|  Diversified Equity Master Portfolio | $20677976 | 20677976 |
|  International Tilts Master Portfolio | $6121791 | 6121791 |
|  iShares Developed Real Estate Index Fund, Class K | 11233 | 99974 |
|  iShares MSCI EAFE Small-Cap ETF<sup>(b)</sup> | 33192 | 1874683 |
|  |  | 34452618 |
| **Fixed-Income Funds — 49.9%** |  |  |
|  Advantage CoreAlpha Bond Master Portfolio | $12933897 | 12933897 |
|  BlackRock High Yield Bond Portfolio, Class K | 115217 | 765042 |
|  iShares Core U.S. Aggregate Bond ETF<sup>(b)</sup> | 98403 | 9544108 |
|  iShares TIPS Bond ETF<sup>(b)</sup> | 53744 | 5720511 |
|  Master Total Return Portfolio | $9661315 | 9661315 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38624873 |

---

---

| | | |
|:---|:---|:---|
| *Security* | <br> *Shares* | *Value* |
| **Money Market Funds — 7.4%** |  |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%<sup>(c)(d)</sup> | 2272898 | $2273580 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%<sup>(c)</sup> | 3446028 | 3446028 |
|  |  | 5719608 |
|  **Total Investments — 101.9%<br>(Cost: $80,655,634)** |  | 78797099 |
|  **Liabilities in Excess of Other Assets — (1.9)%** |  | (1457306) |
|  **Net Assets — 100.0%** |  | $77339793 |

---

<sup>(a)</sup> Affiliate of the Fund.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Annualized 7-day yield as of period end.

<sup>(d)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the LifePath Dynamic Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at*<br> *12/31/21* | *Purchases*<br> *at Cost* | *Proceeds*<br> *from Sales* | *Net*<br> *Realized*<br> *Gain (Loss)* | *Change in*<br> *Unrealized*<br> *Appreciation*<br> *(Depreciation)* | *Value at*<br> *12/31/22* | *Shares/*<br> *Investment Value*<br> *Held at*<br> *12/31/22* | *Income* | *Capital Gain*<br> *Distributions*<br> *from*<br> *Underlying*<br> *Funds* |
|  Advantage CoreAlpha Bond Master Portfolio | $16890298 | $— | $(1009226)<sup>(a)(b)</sup> | $(1456183) | $(1490992) | $12933897 | $12933897 | $390066 | $— |
|  BlackRock Advantage Emerging Markets Fund, Class K | 5962749 |  | (2692406)<sup>(a)</sup> | (744435) | (804780) | 1721128 | 192520 | 65159 |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 5472571 |  | (3193373)<sup>(a)</sup> | (6573) | 955 | 2273580 | 2272898 | 14952<sup>(c</sup><sup>)</sup> |  |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 4272517 |  | (826489)<sup>(a)</sup> |  |  | 3446028 | 3446028 | 41518 |  |
|  BlackRock High Yield Bond Portfolio, Class K |  | 746032 <sup>(a)</sup> |  | 2839 | 16171 | 765042 | 115217 | 13458 |  |
|  BlackRock Tactical Opportunities Fund, Class K | 5969512 |  | (2126446)<sup>(a)</sup> | 35197 | 78803 | 3957066 | 274415 | 136924 |  |
|  Diversified Equity Master Portfolio | 33067999 |  | (6269985)<sup>(a)(b)</sup> | (430351) | (5689687) | 20677976 | $20677976 | 274936 |  |
|  International Tilts Master Portfolio | 9029397 |  | (1245366)<sup>(a)(b)</sup> | (895267) | (766973) | 6121791 | $6121791 | 250736 |  |
|  iShares Core U.S. Aggregate Bond ETF | 14468538 | 1056865 | (3832823) | (694671) | (1453801) | 9544108 | 98403 | 272466 |  |
|  iShares Developed Real Estate Index |  |  |  |  |  |  |  |  |  |
|  Fund, Class K | 2723889 | 201493 | (2149177) | (285162) | (391069) | 99974 | 11233 | 19494 |  |
|  iShares iBoxx $ Investment Grade |  |  |  |  |  |  |  |  |  |
|  Corporate Bond ETF<sup>(d)</sup> | 1359523 |  | (1175675) | (192041) | 8193 |  |  | 16175 |  |
|  iShares MSCI EAFE Small-Cap ETF | 3498234 |  | (746803) | (173584) | (703164) | 1874683 | 33192 | 53843 |  |
|  iShares TIPS Bond ETF | 8664023 | 1065549 | (2523649) | (288415) | (1196997) | 5720511 | 53744 | 475749 |  |
|  Master Total Return Portfolio | 11677402 | 34488 <sup>(a)(b)</sup> |  | (924404) | (1126171) | 9661315 | $9661315 | 226777 |  |
|  |  |  |  | $(6053050) | $(13519512) | $78797099 |  | $2252253 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

<sup>(b)</sup> Inclusive of income and expense allocated from the Master Portfolio.

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

<sup>(d)</sup> As of period end, the entity is no longer held.

34 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2025 Fund** |

---

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Notional*<br> *Amount (000)* | *Value/*<br> *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P/TSE 60 Index | 6 | 03/16/23 | $1037 | $(36953) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 8 | 03/17/23 | 780 | (19206) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 45 | 03/17/23 | 2159 | (57850) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 25 | 03/17/23 | 2214 | (78887) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 8 | 03/17/23 | 1544 | (54611) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Micro E-Mini Index | 27 | 03/17/23 | 521 | (998) |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 15 | 03/22/23 | 1682 | (8724) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Long Bond | 12 | 03/22/23 | 1496 | (25778) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 6 | 03/22/23 | 801 | (15293) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5-Year U.S. Treasury Note | 7 | 03/31/23 | 755 | (11658) |
|  |  |  |  | $(309958) |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  JPY 3,359,000 | USD | 25273 | Bank of America N.A. | 03/15/23 | $561 |
|  CAD 1,611,518 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1197796 | Morgan Stanley & Co. International PLC | 03/15/23 | (6938) |
|  USD 13,788 | EUR | 13000 | Deutsche Bank AG | 03/15/23 | (194) |
|  |  |  |  |  | (7132) |
|  |  |  |  |  | $(6571) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Commodity*<br> *Contracts* | *Credit*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Equity*<br> *Contracts* | *Foreign*<br> *Currency*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Exchange*<br> *Contracts* | *Interest*<br> *Rate*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Other*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts | $— | $— | $— | $561 | $— | $— | $561 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $248505 | $— | $61453 | $— | $309958 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 7132 |  |  | 7132 |
|  | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;248505 | $7132 | $61453 | $— | $317090 |

---

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

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2025 Fund** |

---

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Commodity*<br> *Contracts* | *Credit*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Equity*<br> *Contracts* | *Foreign*<br> *Currency*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Exchange*<br> *Contracts* | *Interest*<br> *Rate*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Other*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(22069) | $— | $163158 | $— | $141089 |
|  Forward foreign currency exchange contracts |  |  |  | (192807) |  |  | (192807) |
|  | $— | $— | $(22069) | $(192807) | $163158 | $— | $(51718) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(378992) | $— | $(77414) | $— | $(456406) |
|  Forward foreign currency exchange contracts |  |  |  | (47188) |  |  | (47188) |
|  | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(378992) | $(47188) | $(77414) | $— | $(503594) |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $14392922 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $5782432 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $1622077 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $2903085 |

---

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

**Derivative Financial Instruments — Offsetting as of Period End** 

The LifePath Dynamic Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $— | $93379 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 561 | 7132 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities | 561 | 100511 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") |  | (93379) |
|  Total derivative assets and liabilities subject to an MNA | $561 | $7132 |

---

The following table presents the LifePath Dynamic Fund's derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the LifePath Dynamic Fund:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  *Counterparty* | *Derivative*<br> *Assets*<br> *Subject to*<br> *an MNA by*<br> &nbsp;&nbsp;&nbsp;&nbsp;*Counterparty* | <br>| <br>| *Net Amount*<br> *of Derivative*<br> *Assets* | <br>*<sup>(a)(b)</sup>*  |
|  Bank of America N.A. | $561 |  | $– | $561 |  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  *Counterparty* | *Derivative*<br> *Liabilities*<br> *Subject to*<br> *an MNA by*<br> &nbsp;&nbsp;&nbsp;&nbsp;*Counterparty* | <br>| <br>| *Net Amount*<br> *of Derivative*<br> *Liabilities* | <br>*<sup>(a)(c)</sup>*  |
|  Deutsche Bank AG | $194 |  | $– | $194 |  |
|  Morgan Stanley & Co. International PLC | 6938 |  | – | 6938 |  |
|  | $7132 |  | $– | $7132 |  |

---

<sup>(a)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(b)</sup> Net amount represents the net amount receivable from the counterparty in the event of default. 

<sup>(c)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

36 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2025 Fund** |

---

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the LifePath Dynamic Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the LifePath Dynamic Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Funds | $7652851 | $— | $— | $7652851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fixed-Income Funds | 16029661 |  |  | 16029661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 5719608 |  |  | 5719608 |
|  | $29402120 | $— | $— | 29402120 |
|  Investments Valued at NAV<sup>(a)</sup> |  |  |  | 49394979 |
|  |  |  |  | $78797099 |
|  Derivative Financial Instruments<sup>(b)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | $— | $561 | $— | $561 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | (248505) |  |  | (248505) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (7132) |  | (7132) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (61453) |  |  | (61453) |
|  | $(309958) | $(6571) | $— | $(316529) |

---

<sup>(a)</sup> Certain investments of the Fund were fair valued using NAV as a practical expedient or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

<sup>(b)</sup> Derivative financial instruments are futures contracts and forward foreign currency exchange contracts. Futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

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

------

---

| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2030 Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares/<br>Investment Value* | *Value* |
|  **Investment Companies<sup>(a)</sup>**  |  |  |
| **Equity Funds — 57.9%** |  |  |
|  BlackRock Advantage Emerging Markets Fund, Class K | 983705 | $8794319 |
|  BlackRock Tactical Opportunities Fund, Class K | 882961 | 12732302 |
|  Diversified Equity Master Portfolio | $86456694 | 86456694 |
|  International Tilts Master Portfolio | $26770164 | 26770164 |
|  iShares Developed Real Estate Index Fund, Class K | 240741 | 2142595 |
|  iShares MSCI EAFE Small-Cap ETF<sup>(b)</sup>  | 162993 | 9205845 |
|  |  | 146101919 |
| **Fixed-Income Funds — 38.5%** |  |  |
|  Advantage CoreAlpha Bond Master Portfolio | $28061565 | 28061565 |
|  BlackRock High Yield Bond Portfolio, Class K | 412940 | 2741923 |
|  iShares Core U.S. Aggregate Bond ETF | 213893 | 20745482 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 68056 | 7175144 |
|  iShares TIPS Bond ETF | 162397 | 17285537 |
|  Master Total Return Portfolio | $21075700 | 21075700 |
|  |  | 97085351 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *<br>Shares* | *Value* |
| **Money Market Funds — 6.1%** |  |  |
|  BlackRock Cash Funds: Institutional,<br>SL Agency Shares, 4.53%<sup>(c)(d)</sup>  | 8569042 | $8571613 |
|  BlackRock Cash Funds: Treasury,<br>SL Agency Shares, 4.12%<sup>(c)</sup>  | 6815020 | 6815020 |
|  |  | 15386633 |
|  **Total Investments — 102.5%<br>(Cost: $260,414,413)** | **Total Investments — 102.5%<br>(Cost: $260,414,413)** | 258573903 |
|  **Liabilities in Excess of Other Assets — (2.5)%** | **Liabilities in Excess of Other Assets — (2.5)%** | (6205703) |
|  **Net Assets — 100.0%** |  | $&nbsp;&nbsp;&nbsp;&nbsp;252368200 |

---

<sup>(a)</sup> Affiliate of the Fund.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Annualized 7-day yield as of period end.

<sup>(d)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the LifePath Dynamic Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net*<br> *Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares/*<br> *Investment Value*<br> *Held at*<br> *12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  Advantage CoreAlpha Bond Master Portfolio | $35607173 | $— | $(1677101)<sup>(a)(b)</sup> | $(2911391) | $(2957116) | $28061565 | $28061565 | $804014 | $— |
|  BlackRock Advantage Emerging Markets Fund, Class K | 21379944 |  | (7084848)<sup>(a)</sup> | (1821171) | (3679606) | 8794319 | 983705 | 332840 |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 19322309 |  | (10733369)<sup>(a)</sup> | (20159) | 2832 | 8571613 | 8569042 | 40213 <sup>(c)</sup> |  |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 6201970 | 613050 <sup>(a)</sup> |  |  |  | 6815020 | 6815020 | 99595 |  |
|  BlackRock High Yield Bond Portfolio, Class K |  | 2685104 <sup>(a)</sup> |  |  | 56819 | 2741923 | 412940 | 44667 |  |
|  BlackRock Tactical Opportunities Fund, Class K | 17749006 |  | (5348843)<sup>(a)</sup> | 50247 | 281892 | 12732302 | 882961 | 440569 |  |
|  Diversified Equity Master Portfolio | 116363571 |  | (7418363)<sup>(a)(b)</sup> | (456935) | (22031579) | 86456694 | $86456694 | 1023138 |  |
|  International Tilts Master Portfolio | 34138077 |  | (1447806)<sup>(a)(b)</sup> | (2948781) | (2971326) | 26770164 | $26770164 | 959129 |  |
|  iShares Core U.S. Aggregate Bond ETF | 30329651 |  | (5217607) | (925978) | (3440584) | 20745482 | 213893 | 562620 |  |
|  iShares Developed Real Estate Index Fund, Class K | 10114689 | 472974 | (5894304) | (1475979) | (1074785) | 2142595 | 240741 | 75978 |  |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 3187901 | 5807579 | (676618) | (220416) | (923302) | 7175144 | 68056 | 173501 |  |
|  iShares MSCI EAFE Small-Cap ETF | 13638155 |  | (1201453) | (290582) | (2940275) | 9205845 | 162993 | 209913 |  |
|  iShares TIPS Bond ETF | 21841777 | 3331966 | (4122161) | (272403) | (3493642) | 17285537 | 162397 | 1213221 |  |
|  Master Total Return Portfolio | 25389129 |  | (299701)<sup>(a)(b)</sup> | (1857619) | (2156109) | 21075700 | $21075700 | 462757 |  |
|  |  |  |  | $(13151167) | $(45326781) | $258573903 |  | $6442155 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

<sup>(b)</sup> Inclusive of income and expense allocated from the Master Portfolio.

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

38 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2030 Fund** |

---

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P/TSE 60 Index | 26 | 03/16/23 | $4493 | $(160140) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 18 | 03/17/23 | 1754 | (43214) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 128 | 03/17/23 | 6140 | (164578) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 63 | 03/17/23 | 5578 | (198755) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 25 | 03/17/23 | 4826 | (170659) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Micro E-Mini Index | 190 | 03/17/23 | 3668 | (20107) |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 45 | 03/22/23 | 5046 | (26173) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Long Bond | 17 | 03/22/23 | 2120 | (47130) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 37 | 03/22/23 | 4941 | (28982) |
|  |  |  |  | $(859738) |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| CAD | 5498116 | USD | 4087595 | Morgan Stanley & Co. International PLC | 03/15/23 | $(24673) |
| USD | 44545 | EUR | 42000 | Morgan Stanley & Co. International PLC | 03/15/23 | (630) |
| USD | 170957 | JPY | 22723000 | Bank of America N.A. | 03/15/23 | (3807) |
|  |  |  |  |  |  | $(29110) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup>  | $— | $— | $757453 | $— | $102285 | $— | $859738 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 29110 |  |  | 29110 |
|  | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;757453 | $29110 | $102285 | $— | $888848 |

---

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

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2030 Fund** |

---

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest*<br> *Rate*<br> *Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $617126 | $— | $849590 | $— | $1466716 |
|  Forward foreign currency exchange contracts |  |  |  | (588274) |  |  | (588274) |
|  | $— | $— | $617126 | $(588274) | $849590 | $— | $878442 |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(1150388) | $— | $(111967) | $— | $(1262355) |
|  Forward foreign currency exchange contracts |  |  |  | (96705) |  |  | (96705) |
|  | $— | $— | $(1150388) | $(96705) | $(111967) | $— | $(1359060) |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $40670947 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $16367813 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $5745968 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $10231799 |

---

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

**Derivative Financial Instruments — Offsetting as of Period End** 

The LifePath Dynamic Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $— | $266915 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts |  | 29110 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities |  | 296025 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") |  | (266915) |
|  Total derivative assets and liabilities subject to an MNA | $— | $29110 |

---

The following table presents the LifePath Dynamic Fund's derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the LifePath Dynamic Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* |  | *Net Amount<br>of Derivative<br>Liabilities* | *<br><sup>(a)(b)</sup>* |
|  Bank of America N.A | $3807 | $– | $3807 |  |
|  Morgan Stanley & Co. International PLC | 25303 | – | 25303 |  |
|  | $29110 | $– | $29110 |  |

---

<sup>(a)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(b)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

40 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2030 Fund** |

---

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the LifePath Dynamic Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the LifePath Dynamic Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Funds | $32875061 | $— | $— | $32875061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fixed-Income Funds | 47948086 |  |  | 47948086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 15386633 |  |  | 15386633 |
|  | $96209780 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 96209780 |
|  Investments Valued at NAV<sup>(a)</sup>  |  |  |  | 162364123 |
|  |  |  |  | $258573903 |
|  Derivative Financial Instruments<sup>(b)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | $(757453) | $— | $— | $(757453) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (29110) |  | (29110) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (102285) |  |  | (102285) |
|  | $(859738) | $(29110) | $— | $(888848) |

---

<sup>(a)</sup> Certain investments of the Fund were fair valued using NAV as a practical expedient or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

<sup>(b)</sup> Derivative financial instruments are futures contracts and forward foreign currency exchange contracts. Futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

S C H E D U L E O F I N V E S T M E N T S 41

------

---

| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2035 Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares/<br>Investment Value* | *Value* |
|  **Investment Companies<sup>(a)</sup>**  |  |  |
| **Equity Funds — 67.4%** |  |  |
|  BlackRock Advantage Emerging Markets Fund, Class K | 531054 | $4747624 |
|  BlackRock Tactical Opportunities Fund, Class K | 379522 | 5472714 |
|  Diversified Equity Master Portfolio | $44677848 | &nbsp;&nbsp;&nbsp;&nbsp;44677848 |
|  International Tilts Master Portfolio | $13143743 | 13143743 |
|  iShares Developed Real Estate Index Fund, Class K | 181731 | 1617404 |
|  iShares MSCI EAFE Small-Cap ETF<sup>(b)</sup>  | 90015 | 5084047 |
|  |  | 74743380 |
| **Fixed-Income Funds — 26.4%** |  |  |
|  Advantage CoreAlpha Bond Master Portfolio | $7129318 | 7129318 |
|  BlackRock High Yield Bond Portfolio, Class K | 180823 | 1200667 |
|  iShares Core U.S. Aggregate Bond ETF | 54372 | 5273540 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 41056 | 4328534 |
|  iShares TIPS Bond ETF | 56873 | 6053563 |
|  Master Total Return Portfolio | $5338301 | 5338301 |
|  |  | 29323923 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *<br>Shares* | *Value* |
| **Money Market Funds — 9.8%** |  |  |
|  BlackRock Cash Funds: Institutional,<br>SL Agency Shares, 4.53%<sup>(c)(d)</sup>  | 5241256 | $5242829 |
|  BlackRock Cash Funds: Treasury,<br>SL Agency Shares, 4.12%<sup>(c)</sup>  | 5621338 | 5621338 |
|  |  | 10864167 |
|  **Total Investments — 103.6%<br>(Cost: $113,988,497)** | **Total Investments — 103.6%<br>(Cost: $113,988,497)** | 114931470 |
|  **Liabilities in Excess of Other Assets — (3.6)%** | **Liabilities in Excess of Other Assets — (3.6)%** | (4045562) |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | $&nbsp;&nbsp;&nbsp;&nbsp;110885908 |

---

<sup>(a)</sup> Affiliate of the Fund.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Annualized 7-day yield as of period end.

<sup>(d)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the LifePath Dynamic Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares/<br>Investment Value<br>Held at*<br> *12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  Advantage CoreAlpha Bond Master Portfolio | $9268834 | $— | $(519012)<sup>(a)(b)</sup> | $(830041) | $(790463) | $7129318 | $7129318 | $219977 | $— |
|  BlackRock Advantage Emerging Markets Fund, Class K | 11148347 |  | (3511511)<sup>(a)</sup> | (1488489) | (1400723) | 4747624 | 531054 | 179682 |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 2730475 | 2516641 <sup>(a)</sup> |  | (4751) | 464 | 5242829 | 5241256 | 12890 <sup>(c)</sup> |  |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 6179482 |  | (558144)<sup>(a)</sup> |  |  | 5621338 | 5621338 | 80371 |  |
|  BlackRock High Yield Bond Portfolio, Class K |  | 1175786 <sup>(a)</sup> |  |  | 24881 | 1200667 | 180823 | 19559 |  |
|  BlackRock Tactical Opportunities Fund, Class K | 6960939 |  | (1644244)<sup>(a)</sup> | 14068 | 141951 | 5472714 | 379522 | 189369 |  |
|  Diversified Equity Master Portfolio | 57118326 |  | (999855)<sup>(a)(b)</sup> | (2440601) | (9000022) | 44677848 | $44677848 | 523185 |  |
|  International Tilts Master Portfolio | 16570955 |  | (568543)<sup>(a)(b)</sup> | (1752765) | (1105904) | 13143743 | $13143743 | 466025 |  |
|  iShares Core U.S. Aggregate Bond ETF | 7862964 | 452202 | (1850842) | (342492) | (848292) | 5273540 | 54372 | 150632 |  |
|  iShares Developed Real Estate Index Fund, Class K | 5057687 | 902273 | (3019358) | (631377) | (691821) | 1617404 | 181731 | 40905 |  |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 916111 | 4728795 | (721766) | (229654) | (364952) | 4328534 | 41056 | 95528 |  |
|  iShares MSCI EAFE Small-Cap ETF | 6579196 |  |  |  | (1495149) | 5084047 | 90015 | 101265 |  |
|  iShares TIPS Bond ETF | 7541533 | 1405212 | (1560169) | (186135) | (1146878) | 6053563 | 56873 | 426533 |  |
|  Master Total Return Portfolio | 6463902 | 11908 <sup>(a)(b)</sup> |  | (522088) | (615421) | 5338301 | $5338301 | 130902 |  |
|  |  |  |  | $(8414325) | $(17292329) | $114931470 |  | $2636823 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

<sup>(b)</sup> Inclusive of income and expense allocated from the Master Portfolio.

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

42 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2035 Fund** |

---

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P/TSE 60 Index | 14 | 03/16/23 | $2419 | $(86180) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 10 | 03/17/23 | 975 | (24008) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 69 | 03/17/23 | 3310 | (88718) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 22 | 03/17/23 | 1948 | (69421) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 11 | 03/17/23 | 2124 | (75090) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Micro E-Mini Index | 143 | 03/17/23 | 2761 | (49048) |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 19 | 03/22/23 | 2131 | (11051) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Long Bond | 10 | 03/22/23 | 1247 | (26683) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 18 | 03/22/23 | 2404 | (14099) |
|  |  |  |  | $(444298) |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| CAD | 2958099 | USD | 2198670 | Morgan Stanley & Co. International PLC | 03/15/23 | $(12735) |
| USD | 28636 | EUR | 27000 | Deutsche Bank AG | 03/15/23 | (404) |
| USD | 84849 | JPY | 11277000 | Bank of America N.A. | 03/15/23 | (1884) |
|  |  |  |  |  |  | $(15023) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup>  | $— | $— | $392465 | $— | $51833 | $— | $444298 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 15023 |  |  | 15023 |
|  | $— | $— | $392465 | $15023 | $51833 | $— | $&nbsp;&nbsp;&nbsp;&nbsp;459321 |

---

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

S C H E D U L E O F I N V E S T M E N T S 43

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2035 Fund** |

---

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(111944) | $— | $572007 | $— | $460063 |
|  Forward foreign currency exchange contracts |  |  |  | (257690) |  |  | (257690) |
|  | $— | $— | $(111944) | $(257690) | $572007 | $— | $202373 |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(594471) | $— | $(51778) | $— | $(646249) |
|  Forward foreign currency exchange contracts |  |  |  | (48478) |  |  | (48478) |
|  | $— | $— | $(594471) | $(48478) | $(51778) | $— | $(694727) |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $19332767 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $6290499 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $2570828 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $4856452 |

---

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

**Derivative Financial Instruments — Offsetting as of Period End** 

The LifePath Dynamic Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $— | $138812 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts |  | 15023 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities |  | 153835 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") |  | (138812) |
|  Total derivative assets and liabilities subject to an MNA | $— | $15023 |

---

The following table presents the LifePath Dynamic Fund's derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the LifePath Dynamic Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* |  | *Net Amount<br>of Derivative<br>Liabilities* | *<br><sup>(a)(b)</sup>* |
|  Bank of America N.A | $1884 | $– | $1884 |  |
|  Deutsche Bank AG | 404 | – | 404 |  |
|  Morgan Stanley & Co. International PLC | 12735 | – | 12735 |  |
|  | $15023 | $– | $15023 |  |

---

<sup>(a)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(b)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

44 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2035 Fund** |

---

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the LifePath Dynamic Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the LifePath Dynamic Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Funds | $16921789 | $— | $— | $16921789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fixed-Income Funds | 16856304 |  |  | 16856304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 10864167 |  |  | 10864167 |
|  | $44642260 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 44642260 |
|  Investments Valued at NAV<sup>(a)</sup>  |  |  |  | 70289210 |
|  |  |  |  | $114931470 |
|  Derivative Financial Instruments<sup>(b)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | $(392465) | $— | $— | $(392465) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (15023) |  | (15023) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (51833) |  |  | (51833) |
|  | $(444298) | $(15023) | $— | $(459321) |

---

<sup>(a)</sup> Certain investments of the Fund were fair valued using NAV as a practical expedient or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

<sup>(b)</sup> Derivative financial instruments are futures contracts and forward foreign currency exchange contracts. Futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

S C H E D U L E O F I N V E S T M E N T S 45

------

---

| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2040 Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares/<br>Investment Value* | *Value* |
|  **Investment Companies<sup>(a)</sup>**  |  |  |
| **Equity Funds — 79.1%** |  |  |
|  BlackRock Advantage Emerging Markets Fund, Class K | 1196614 | $10697725 |
|  BlackRock Tactical Opportunities Fund, Class K | 809532 | 11673447 |
|  Diversified Equity Master Portfolio | $110498719 | 110498719 |
|  International Tilts Master Portfolio | $33710252 | 33710252 |
|  iShares Developed Real Estate Index Fund, Class K | 481067 | 4281498 |
|  iShares MSCI EAFE Small-Cap ETF<sup>(b)</sup>  | 201125 | 11359539 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;182221180 |
| **Fixed-Income Funds — 17.1%** |  |  |
|  Advantage CoreAlpha Bond Master Portfolio | $6271174 | 6271174 |
|  BlackRock High Yield Bond Portfolio, Class K | 365372 | 2426072 |
|  iShares Core U.S. Aggregate Bond ETF<sup>(b)</sup>  | 48030 | 4658430 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 118225 | 12464462 |
|  iShares TIPS Bond ETF | 84151 | 8957032 |
|  Master Total Return Portfolio | $4692680 | 4692680 |
|  |  | 39469850 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *<br>Shares* | *Value* |
| **Money Market Funds — 9.1%** |  |  |
|  BlackRock Cash Funds: Institutional,<br>SL Agency Shares, 4.53%<sup>(c)(d)</sup>  | 13784692 | $13788827 |
|  BlackRock Cash Funds: Treasury,<br>SL Agency Shares, 4.12%<sup>(c)</sup>  | 7202351 | 7202351 |
|  |  | 20991178 |
|  **Total Investments — 105.3%<br>(Cost: $221,012,094)** | **Total Investments — 105.3%<br>(Cost: $221,012,094)** | 242682208 |
|  **Liabilities in Excess of Other Assets — (5.3)%** | **Liabilities in Excess of Other Assets — (5.3)%** | (12126081) |
|  **Net Assets — 100.0%** |  | $&nbsp;&nbsp;&nbsp;&nbsp;230556127 |

---

<sup>(a)</sup> Affiliate of the Fund.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Annualized 7-day yield as of period end.

<sup>(d)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the LifePath Dynamic Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares/<br>Investment Value<br>Held at<br>12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  Advantage CoreAlpha Bond Master Portfolio | $11010625 | $— | $(3109858)<sup>(a)(b)</sup> | $(889720) | $(739873) | $6271174 | $6271174 | $218599 | $— |
|  BlackRock Advantage Emerging Markets Fund, Class K | 27271662 |  | (9445377)<sup>(a)</sup> | (2325859) | (4802701) | 10697725 | 1196614 | 404896 |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 2808483 | 10984691 <sup>(a)</sup> |  | (6831) | 2484 | 13788827 | 13784692 | 30365 <sup>(c)</sup> |  |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 8643640 |  | (1441289)<sup>(a)</sup> |  |  | 7202351 | 7202351 | 76515 |  |
|  BlackRock High Yield Bond Portfolio, Class K |  | 2375785 <sup>(a)</sup> |  |  | 50287 | 2426072 | 365372 | 39522 |  |
|  BlackRock Tactical Opportunities Fund, Class K | 14827225 |  | (3467278)<sup>(a)</sup> | 42737 | 270763 | 11673447 | 809532 | 403930 |  |
|  Diversified Equity Master Portfolio | 137197917 | 1003804 <sup>(a)(b)</sup> |  | (2756673) | (24946329) | 110498719 | $110498719 | 1278360 |  |
|  International Tilts Master Portfolio | 41922691 |  | (1026370)<sup>(a)(b)</sup> | (3794397) | (3391672) | 33710252 | $33710252 | 1180400 |  |
|  iShares Core U.S. Aggregate Bond ETF | 9086814 |  | (3262885) | (475051) | (690448) | 4658430 | 48030 | 145977 |  |
|  iShares Developed Real Estate Index Fund, Class K | 12510663 | 1044866 | (6096245) | (1361666) | (1816120) | 4281498 | 481067 | 103161 |  |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 1493103 | 13220269 | (850617) | (277098) | (1121195) | 12464462 | 118225 | 250335 |  |
|  iShares MSCI EAFE Small-Cap ETF | 16281821 |  | (1101573) | (294822) | (3525887) | 11359539 | 201125 | 250604 |  |
|  iShares TIPS Bond ETF | 10785358 | 1372230 | (1256100) | (51406) | (1893050) | 8957032 | 84151 | 628581 |  |
|  Master Total Return Portfolio | 8151206 |  | (2293733)<sup>(a)(b)</sup> | (541564) | (623229) | 4692680 | $4692680 | 137745 |  |
|  |  |  |  | $(12732350) | $(43226970) | $242682208 |  | $5148990 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

<sup>(b)</sup> Inclusive of income and expense allocated from the Master Portfolio.

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

46 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2040 Fund** |

---

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P/TSE 60 Index | 33 | 03/16/23 | $5703 | $(203254) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 8 | 03/17/23 | 780 | (19206) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 178 | 03/17/23 | 8539 | (228867) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 33 | 03/17/23 | 2922 | (104131) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 23 | 03/17/23 | 4440 | (157006) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Micro E-Mini Index | 202 | 03/17/23 | 3900 | (33019) |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 39 | 03/22/23 | 4373 | (22684) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 25 | 03/22/23 | 3338 | (47830) |
|  |  |  |  | $(815997) |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| CAD | 8203945 | USD | 6099254 | Morgan Stanley & Co. International PLC | 03/15/23 | $(36816) |
| USD | 246256 | CAD | 335000 | Bank of America N.A. | 03/15/23 | (1298) |
| USD | 39242 | EUR | 37000 | Morgan Stanley & Co. International PLC | 03/15/23 | (554) |
| USD | 155966 | JPY | 20729000 | Bank of America N.A. | 03/15/23 | (3462) |
|  |  |  |  |  |  | $(42130) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup>  | $— | $— | $745483 | $— | $70514 | $— | $815997 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 42130 |  |  | 42130 |
|  | $— | $— | $745483 | $42130 | $70514 | $— | $858127 |

---

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

S C H E D U L E O F I N V E S T M E N T S 47

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2040 Fund** |

---

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $178980 | $— | $1536660 | $— | $1715640 |
|  Forward foreign currency exchange contracts |  |  |  | (684607) |  |  | (684607) |
|  | $— | $— | $178980 | $(684607) | $1536660 | $— | $1031033 |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(1152078) | $— | $(54014) | $— | $(1206092) |
|  Forward foreign currency exchange contracts |  |  |  | (125170) |  |  | (125170) |
|  | $— | $— | $(1152078) | $(125170) | $(54014) | $— | $(1331262) |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $34420358 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $12758773 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $5436911 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $11646483 |

---

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

**Derivative Financial Instruments — Offsetting as of Period End** 

The LifePath Dynamic Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $— | $278418 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts |  | 42130 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities |  | 320548 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") |  | (278418) |
|  Total derivative assets and liabilities subject to an MNA | $— | $42130 |

---

The following table presents the LifePath Dynamic Fund's derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the LifePath Dynamic Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* |  | *Net Amount<br>of Derivative<br>Liabilities* | *<br><sup>(a)(b)</sup>* |
|  Bank of America N.A | $4760 | $– | $4760 |  |
|  Morgan Stanley & Co. International PLC | 37370 | – | 37370 |  |
|  | $42130 | $– | $42130 |  |

---

<sup>(a)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(b)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

48 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2040 Fund** |

---

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the LifePath Dynamic Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the LifePath Dynamic Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Funds | $38012209 | $— | $— | $38012209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fixed-Income Funds | 28505996 |  |  | 28505996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 20991178 |  |  | 20991178 |
|  | $87509383 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 87509383 |
|  Investments Valued at NAV<sup>(a)</sup>  |  |  |  | 155172825 |
|  |  |  |  | $242682208 |
|  Derivative Financial Instruments<sup>(b)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | $(745483) | $— | $— | $(745483) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (42130) |  | (42130) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (70514) |  |  | (70514) |
|  | $(815997) | $(42130) | $— | $(858127) |

---

<sup>(a)</sup> Certain investments of the Fund were fair valued using NAV as a practical expedient or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

<sup>(b)</sup> Derivative financial instruments are futures contracts and forward foreign currency exchange contracts. Futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

S C H E D U L E O F I N V E S T M E N T S 49

------

---

| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2045 Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares/<br>Investment Value* | *Value* |
|  **Investment Companies<sup>(a)</sup>**  |  |  |
| **Equity Funds — 85.4%** |  |  |
|  BlackRock Advantage Emerging Markets Fund, Class K | 392122 | $3505569 |
|  BlackRock Tactical Opportunities Fund, Class K | 309717 | 4466115 |
|  Diversified Equity Master Portfolio | $47496004 | &nbsp;&nbsp;&nbsp;&nbsp;47496004 |
|  International Tilts Master Portfolio | $14037452 | 14037452 |
|  iShares Developed Real Estate Index Fund, Class K | 266202 | 2369198 |
|  iShares MSCI EAFE Small-Cap ETF<sup>(b)</sup>  | 83858 | 4736300 |
|  |  | 76610638 |
| **Fixed-Income Funds — 8.7%** |  |  |
|  BlackRock High Yield Bond Portfolio, Class K | 148583 | 986590 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF<sup>(b)</sup>  | 46069 | 4857055 |
|  iShares TIPS Bond ETF | 18686 | 1988938 |
|  |  | 7832583 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *<br>Shares* | *Value* |
| **Money Market Funds — 10.4%** |  |  |
|  BlackRock Cash Funds: Institutional,<br>SL Agency Shares, 4.53%<sup>(c)(d)</sup>  | 4919084 | $4920559 |
|  BlackRock Cash Funds: Treasury,<br>SL Agency Shares, 4.12%<sup>(c)</sup>  | 4374799 | 4374799 |
|  |  | 9295358 |
|  **Total Investments — 104.5%<br>(Cost: $90,378,549)** | **Total Investments — 104.5%<br>(Cost: $90,378,549)** | 93738579 |
|  **Liabilities in Excess of Other Assets — (4.5)%** | **Liabilities in Excess of Other Assets — (4.5)%** | (4033072) |
|  **Net Assets — 100.0%** |  | $&nbsp;&nbsp;&nbsp;&nbsp;89705507 |

---

<sup>(a)</sup> Affiliate of the Fund.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Annualized 7-day yield as of period end.

<sup>(d)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the LifePath Dynamic Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares/<br>Investment Value<br>Held at*<br> *12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  Advantage CoreAlpha Bond Master Portfolio<sup>(a)</sup> | $1551682 | $— | $(1524767)<sup>(b)(c)</sup> | $(89512) | $62597 | $— | $— | $19317 | $— |
|  BlackRock Advantage Emerging Markets Fund, Class K | 12207963 |  | (5386402)<sup>(b)</sup> | (2303071) | (1012921) | 3505569 | 392122 | 132725 |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 8373082 |  | (3448858)<sup>(b)</sup> | (4262) | 597 | 4920559 | 4919084 | 8926 <sup>(d)</sup> |  |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 3338716 | 1036083 <sup>(b)</sup> |  |  |  | 4374799 | 4374799 | 62588 |  |
|  BlackRock High Yield Bond Portfolio, Class K |  | 966142 <sup>(b)</sup> |  |  | 20448 | 986590 | 148583 | 16072 |  |
|  BlackRock Tactical Opportunities Fund, Class K | 5541674 |  | (1204100)<sup>(b)</sup> | 8011 | 120530 | 4466115 | 309717 | 154538 |  |
|  Diversified Equity Master Portfolio | 60217695 |  | (84968)<sup>(b)(c)</sup> | (3711251) | (8925472) | 47496004 | $47496004 | 564472 |  |
|  International Tilts Master Portfolio | 17360706 |  | (281673)<sup>(b)(c)</sup> | (1974013) | (1067568) | 14037452 | $14037452 | 489066 |  |
|  iShares Core U.S. Aggregate Bond ETF<sup>(a)</sup>  | 1137606 |  | (1037683) | (134379) | 34456 |  |  | 10321 |  |
|  iShares Developed Real Estate Index Fund, Class K | 5426822 | 766387 | (2411521) | (538578) | (873912) | 2369198 | 266202 | 47194 |  |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 311024 | 5805517 | (702997) | (135908) | (420581) | 4857055 | 46069 | 97694 |  |
|  iShares MSCI EAFE Small-Cap ETF | 6734220 |  | (421406) | (193546) | (1382968) | 4736300 | 83858 | 103651 |  |
|  iShares TIPS Bond ETF | 2197692 | 215409 |  |  | (424163) | 1988938 | 18686 | 138422 |  |
|  Master Total Return Portfolio<sup>(a)</sup>  | 1053452 |  | (1133089)<sup>(b)(c)</sup> | (37113) | 116750 |  | $— | 7765 |  |
|  |  |  |  | $(9113622) | $(13752207) | $93738579 |  | $1852751 | $— |

---

<sup>(a)</sup> As of period end, the entity is no longer held.

<sup>(b)</sup> Represents net amount purchased (sold). 

<sup>(c)</sup> Inclusive of income and expense allocated from the Master Portfolio.

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

50 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2045 Fund** |

---

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P/TSE 60 Index | 14 | 03/16/23 | $2419 | $(86229) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 11 | 03/17/23 | 1072 | (26408) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 100 | 03/17/23 | 4797 | (128511) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 10 | 03/17/23 | 885 | (31555) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 9 | 03/17/23 | 1737 | (61437) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Micro E-Mini Index | 115 | 03/17/23 | 2220 | (35669) |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 16 | 03/22/23 | 1794 | (9306) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 2 | 03/22/23 | 267 | (8285) |
|  |  |  |  | $(387400) |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| CAD | 3145995 | USD | 2338641 | Morgan Stanley & Co. International PLC | 03/15/23 | $(13857) |
| USD | 91151 | CAD | 124000 | Bank of America N.A. | 03/15/23 | (480) |
| USD | 26515 | EUR | 25000 | Morgan Stanley & Co. International PLC | 03/15/23 | (375) |
| USD | 60873 | JPY | 8091000 | Bank of America N.A. | 03/15/23 | (1356) |
|  |  |  |  |  |  | $(16068) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup>  | $— | $— | $369809 | $— | $17591 | $— | $387400 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 16068 |  |  | 16068 |
|  | $— | $— | $369809 | $16068 | $17591 | $— | $403468 |

---

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

S C H E D U L E O F I N V E S T M E N T S 51

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2045 Fund** |

---

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(56420) | $— | $536562 | $— | $480142 |
|  Forward foreign currency exchange contracts |  |  |  | (273368) |  |  | (273368) |
|  | $— | $— | $(56420) | $(273368) | $536562 | $— | $206774 |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(551280) | $— | $(5017) | $— | $(556297) |
|  Forward foreign currency exchange contracts |  |  |  | (51602) |  |  | (51602) |
|  | $— | $— | $(551280) | $(51602) | $(5017) | $— | $(607899) |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $15968085 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $2988072 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $2305203 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $4874521 |

---

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

**Derivative Financial Instruments — Offsetting as of Period End** 

The LifePath Dynamic Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $— | $130110 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts |  | 16068 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities |  | 146178 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") |  | (130110) |
|  Total derivative assets and liabilities subject to an MNA | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $16068 |

---

The following table presents the LifePath Dynamic Fund's derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the LifePath Dynamic Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* |  | *Net Amount<br>of Derivative<br>Liabilities* | *<br><sup>(a)(b)</sup>* |
|  Bank of America N.A | $1836 | $– | $1836 |  |
|  Morgan Stanley & Co. International PLC | 14232 | – | 14232 |  |
|  | $16068 | $– | $16068 |  |

---

<sup>(a)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(b)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

52 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2045 Fund** |

---

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the LifePath Dynamic Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the LifePath Dynamic Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Funds | $15077182 | $— | $— | $15077182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fixed-Income Funds | 7832583 |  |  | 7832583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 9295358 |  |  | 9295358 |
|  | $32205123 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 32205123 |
|  Investments Valued at NAV<sup>(a)</sup>  |  |  |  | 61533456 |
|  |  |  |  | $93738579 |
|  Derivative Financial Instruments<sup>(b)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | $(369809) | $— | $— | $(369809) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (16068) |  | (16068) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (17591) |  |  | (17591) |
|  | $(387400) | $(16068) | $— | $(403468) |

---

<sup>(a)</sup> Certain investments of the Fund were fair valued using NAV as a practical expedient or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

<sup>(b)</sup> Derivative financial instruments are futures contracts and forward foreign currency exchange contracts. Futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

S C H E D U L E O F I N V E S T M E N T S 53

------

---

| | |
|:---|:---|
| Schedule of Investments <br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2050 Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares/<br>Investment Value* | *Value* |
|  **Investment Companies<sup>(a)</sup>**  | **Investment Companies<sup>(a)</sup>**  |  |
| **Equity Funds — 91.2%** |  |  |
|  BlackRock Advantage Emerging Markets Fund, Class K | 790648 | $7068394 |
|  BlackRock Tactical Opportunities Fund, Class K | 440794 | 6356244 |
|  Diversified Equity Master Portfolio | $71371959 | 71371959 |
|  International Tilts Master Portfolio | $21042731 | 21042731 |
|  iShares Developed Real Estate Index Fund, Class K | 396335 | 3527378 |
|  iShares MSCI EAFE Small-Cap ETF<sup>(b)</sup>  | 129104 | 7291794 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;116658500 |
| **Fixed-Income Funds — 4.3%** |  |  |
|  BlackRock High Yield Bond Portfolio, Class K | 201392 | 1337245 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 29803 | 3142130 |
|  iShares TIPS Bond ETF | 9578 | 1019482 |
|  |  | 5498857 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *<br>Shares* | *Value* |
| **Money Market Funds — 9.7%** |  |  |
|  BlackRock Cash Funds: Institutional,<br>SL Agency Shares, 4.53%<sup>(c)(d)</sup>  | 7518057 | $7520313 |
|  BlackRock Cash Funds: Treasury,<br>SL Agency Shares, 4.12%<sup>(c)</sup>  | 4925239 | 4925239 |
|  |  | 12445552 |
|  **Total Investments — 105.2%<br>(Cost: $115,813,735)** | **Total Investments — 105.2%<br>(Cost: $115,813,735)** | 134602909 |
|  **Liabilities in Excess of Other Assets — (5.2)%** | **Liabilities in Excess of Other Assets — (5.2)%** | (6691485) |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | $&nbsp;&nbsp;&nbsp;&nbsp;127911424 |

---

<sup>(a)</sup> Affiliate of the Fund.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Annualized 7-day yield as of period end.

<sup>(d)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the LifePath Dynamic Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net*<br> *Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at*<br> *12/31/22* | *Shares/<br>Investment Value<br>Held at*<br> *12/31/22*  | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  Advantage CoreAlpha Bond Master Portfolio<sup>(a)</sup>  | $627347 | $— | $(569324)<sup>(b)(c)</sup> | $(35668) | $(22355) | $— | $— | $7778 | $— |
|  BlackRock Advantage Emerging Markets Fund, Class K | 18575551 |  | (6688767)<sup>(b)</sup> | (2566146) | (2252244) | 7068394 | 790648 | 267538 |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 320339 | 7202653 <sup>(b)</sup> |  | (2710) | 31 | 7520313 | 7518057 | 10698 <sup>(d)</sup> |  |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 10214291 |  | (5289052)<sup>(b)</sup> |  |  | 4925239 | 4925239 | 118404 |  |
|  BlackRock High Yield Bond Portfolio, Class K |  | 1309520 <sup>(b)</sup> |  |  | 27725 | 1337245 | 201392 | 21785 |  |
|  BlackRock Tactical Opportunities Fund, |  |  |  |  |  |  |  |  |  |
|  Class K |  | 6296954 <sup>(b)</sup> |  | 1058 | 58232 | 6356244 | 440794 | 219942 |  |
|  Diversified Equity Master Portfolio | 92923674 |  | (2637925)<sup>(b)(c)</sup> | (4500649) | (14413141) | 71371959 | $71371959 | 856601 |  |
|  International Tilts Master Portfolio | 25941682 |  | (455608)<sup>(b)(c)</sup> | (2613579) | (1829764) | 21042731 | $21042731 | 730972 |  |
|  iShares Core U.S. Aggregate Bond ETF<sup>(a)</sup>  | 1310779 |  | (1195645) | (126851) | 11717 |  |  | 11893 |  |
|  iShares Developed Real Estate Index Fund, Class K | 8365119 | 686583 | (3398757) | (749412) | (1376155) | 3527378 | 396335 | 71325 |  |
|  iShares iBoxx $ Investment Grade |  |  |  |  |  |  |  |  |  |
|  Corporate Bond ETF | 314470 | 3412866 | (238019) | (75641) | (271546) | 3142130 | 29803 | 62583 |  |
|  iShares MSCI EAFE Small-Cap ETF | 10297358 |  | (599784) | (265598) | (2140182) | 7291794 | 129104 | 158493 |  |
|  iShares TIPS Bond ETF | 1032437 | 168853 |  |  | (181808) | 1019482 | 9578 | 59959 |  |
|  Master Total Return Portfolio<sup>(a)</sup>  | 467731 |  | (478691)<sup>(b)(c)</sup> | (16479) | 27439 |  | $— | 3447 |  |
|  |  |  |  | $(10951675) | $(22362051) | $134602909 |  | $2601418 | $— |

---

<sup>(a)</sup> As of period end, the entity is no longer held.

<sup>(b)</sup> Represents net amount purchased (sold). 

<sup>(c)</sup> Inclusive of income and expense allocated from the Master Portfolio.

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

54 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2050 Fund** |

---

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P/TSE 60 Index | 21 | 03/16/23 | $3629 | $(129343) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 17 | 03/17/23 | 1657 | (39215) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 120 | 03/17/23 | 5756 | (154192) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 15 | 03/17/23 | 1328 | (47333) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 13 | 03/17/23 | 2510 | (88743) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Micro E-Mini Index | 223 | 03/17/23 | 4305 | (80895) |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 21 | 03/22/23 | 2355 | (12214) |
|  |  |  |  | (551935) |
|  Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 4 | 03/22/23 | 534 | 3098 |
|  |  |  |  | $(548837) |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| CAD | 4791444 | USD | 3561344 | Morgan Stanley & Co. International PLC | 03/15/23 | $(20628) |
| USD | 218486 | EUR | 206000 | Deutsche Bank AG | 03/15/23 | (3085) |
|  |  |  |  |  |  | $(23713) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup>  | $— | $— | $— | $— | $3098 | $— | $3098 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup>  | $— | $— | $539721 | $— | $12214 | $— | $551935 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 23713 |  |  | 23713 |
|  | $— | $— | $539721 | $23713 | $12214 | $— | $575648 |

---

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

S C H E D U L E O F I N V E S T M E N T S 55

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2050 Fund** |

---

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(275251) | $— | $(32342) | $— | $(307593) |
|  Forward foreign currency exchange contracts |  |  |  | (443307) |  |  | (443307) |
|  | $— | $— | $(275251) | $(443307) | $(32342) | $— | $(750900) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(708408) | $— | $(9116) | $— | $(717524) |
|  Forward foreign currency exchange contracts |  |  |  | (76401) |  |  | (76401) |
|  | $— | $— | $(708408) | $(76401) | $(9116) | $— | $(793925) |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $15772466 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $1003355 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $3094559 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $7038227 |

---

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

**Derivative Financial Instruments — Offsetting as of Period End** 

The LifePath Dynamic Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $5125 | $175046 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts |  | 23713 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities | 5125 | 198759 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") | (5125) | (175046) |
|  Total derivative assets and liabilities subject to an MNA | $— | $23713 |

---

The following table presents the LifePath Dynamic Fund's derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the LifePath Dynamic Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* |  | *Net Amount<br>of Derivative<br>Liabilities* | *<br><sup>(a)(b)</sup>* |
|  Deutsche Bank AG | $3085 | $– | $3085 |  |
|  Morgan Stanley & Co. International PLC | 20628 | – | 20628 |  |
|  | $23713 | $– | $23713 |  |

---

<sup>(a)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(b)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

56 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2050 Fund** |

---

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the LifePath Dynamic Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the LifePath Dynamic Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Funds | $24243810 | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $24243810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fixed-Income Funds | 5498857 |  |  | 5498857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 12445552 |  |  | 12445552 |
|  | $42188219 | $— | $— | 42188219 |
|  Investments Valued at NAV<sup>(a)</sup>  |  |  |  | 92414690 |
|  |  |  |  | $134602909 |
|  Derivative Financial Instruments<sup>(b)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | $3098 | $— | $— | $3098 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | (539721) |  |  | (539721) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (23713) |  | (23713) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (12214) |  |  | (12214) |
|  | $(548837) | $(23713) | $— | $(572550) |

---

<sup>(a)</sup> Certain investments of the Fund were fair valued using NAV as a practical expedient or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

<sup>(b)</sup> Derivative financial instruments are futures contracts and forward foreign currency exchange contracts. Futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

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

------

---

| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2055 Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares/<br>Investment Value* | *Value* |
|  **Investment Companies<sup>(a)</sup>**  |  |  |
|  **Equity Funds — 91.3%** |  |  |
|  BlackRock Advantage Emerging Markets Fund, Class K | 397632 | $3554832 |
|  BlackRock Tactical Opportunities Fund, Class K | 211104 | 3044115 |
|  Diversified Equity Master Portfolio | $34929927 | 34929927 |
|  International Tilts Master Portfolio | $10109696 | 10109696 |
|  iShares Developed Real Estate Index Fund, Class K | 201494 | 1793301 |
|  iShares MSCI EAFE Small-Cap ETF<sup>(b)</sup>  | 58524 | 3305435 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;56737306 |
| **Fixed-Income Funds — 2.0%** |  |  |
|  BlackRock High Yield Bond Portfolio, Class K | 98743 | 655652 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF<sup>(b)</sup>  | 4269 | 450081 |
|  iShares TIPS Bond ETF | 1139 | 121235 |
|  |  | 1226968 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *<br>Shares* | *Value* |
| **Money Market Funds — 11.7%** |  |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%<sup>(c)(d)</sup>  | 3577658 | $3578731 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%<sup>(c)</sup>  | 3678707 | 3678707 |
|  |  | 7257438 |
|  **Total Investments — 105.0%<br>(Cost: $62,605,215)** |  | 65221712 |
|  **Liabilities in Excess of Other Assets — (5.0)%** | **Liabilities in Excess of Other Assets — (5.0)%** | (3090987) |
|  **Net Assets — 100.0%** |  | $&nbsp;&nbsp;&nbsp;&nbsp;62130725 |

---

<sup>(a)</sup> Affiliate of the Fund.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Annualized 7-day yield as of period end.

<sup>(d)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the LifePath Dynamic Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares/<br>Investment Value<br>Held at<br>12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  Advantage CoreAlpha Bond Master Portfolio<sup>(a)</sup>  | $202531 | $— | $(186065)<sup>(b)(c)</sup> | $(11600) | $(4866) | $— | $— | $2543 | $— |
|  BlackRock Advantage Emerging Markets Fund, Class K | 8960966 |  | (2957002)<sup>(b)</sup> | (1638341) | (810791) | 3554832 | 397632 | 134556 |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 4934355 |  | (1355046)<sup>(b)</sup> | (1200) | 622 | 3578731 | 3577658 | 3818 <sup>(d)</sup> |  |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 7640006 |  | (3961299)<sup>(b)</sup> |  |  | 3678707 | 3678707 | 82486 |  |
|  BlackRock High Yield Bond Portfolio, Class K |  | 642064 <sup>(b)</sup> |  |  | 13588 | 655652 | 98743 | 10681 |  |
|  BlackRock Tactical Opportunities Fund, Class K |  | 3015330 <sup>(b)</sup> |  | 897 | 27888 | 3044115 | 211104 | 105331 |  |
|  Diversified Equity Master Portfolio | 43149867 | 1092875 <sup>(b)(c)</sup> |  | (3464880) | (5847935) | 34929927 | $34929927 | 424009 |  |
|  International Tilts Master Portfolio | 12088942 | 58831 <sup>(b)(c)</sup> |  | (1394802) | (643275) | 10109696 | $10109696 | 341573 |  |
|  iShares Core U.S. Aggregate Bond ETF<sup>(a)</sup>  | 480961 |  | (438715) | (48948) | 6702 |  |  | 4364 |  |
|  iShares Developed Real Estate Index Fund, Class K | 3937332 | 929869 | (2002523) | (464734) | (606643) | 1793301 | 201494 | 35979 |  |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 135303 | 698710 | (288408) | (56067) | (39457) | 450081 | 4269 | 13000 |  |
|  iShares MSCI EAFE Small-Cap ETF | 4689966 |  | (287267) | (131940) | (965324) | 3305435 | 58524 | 72186 |  |
|  iShares TIPS Bond ETF | 147159 |  |  |  | (25924) | 121235 | 1139 | 8438 |  |
|  Master Total Return Portfolio<sup>(a)</sup>  | 136828 |  | (140371)<sup>(b)(c)</sup> | (4821) | 8364 |  | $— | 1006 |  |
|  |  |  |  | $(7216436) | $(8887051) | $65221712 |  | $1239970 | $— |

---

<sup>(a)</sup> As of period end, the entity is no longer held.

<sup>(b)</sup> Represents net amount purchased (sold). 

<sup>(c)</sup> Inclusive of income and expense allocated from the Master Portfolio.

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

58 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2055 Fund** |

---

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P/TSE 60 Index | 10 | 03/16/23 | $1728 | $(61590) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 15 | 03/17/23 | 1462 | (36012) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 56 | 03/17/23 | 2686 | (71930) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 7 | 03/17/23 | 620 | (22088) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 6 | 03/17/23 | 1158 | (40958) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Micro E-Mini Index | 126 | 03/17/23 | 2432 | (60731) |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 11 | 03/22/23 | 1234 | (6398) |
|  |  |  |  | (299707) |
|  Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 3 | 03/22/23 | 401 | 2323 |
|  |  |  |  | $(297384) |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| CAD | 2155734 | USD | 1602510 | Morgan Stanley & Co. International PLC | 03/15/23 | $(9495) |
| USD | 103940 | EUR | 98000 | Deutsche Bank AG | 03/15/23 | (1468) |
|  |  |  |  |  |  | $(10963) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup>  | $— | $— | $— | $— | $2323 | $— | $2323 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup>  | $— | $— | $293309 | $— | $6398 | $— | $299707 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 10963 |  |  | 10963 |
|  | $— | $— | $293309 | $10963 | $6398 | $— | $310670 |

---

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

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2055 Fund** |

---

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(544228) | $— | $1564 | $— | $(542664) |
|  Forward foreign currency exchange contracts |  |  |  | (221105) |  |  | (221105) |
|  | $— | $— | $(544228) | $(221105) | $1564 | $— | $(763769) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(419172) | $— | $(4075) | $— | $423247) |
|  Forward foreign currency exchange contracts |  |  |  | (37876) |  |  | (37876) |
|  | $— | $— | $(419172) | $(37876) | $(4075) | $— | $(461123) |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $10447704 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $565529 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $1500882 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $3480084 |

---

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

**Derivative Financial Instruments — Offsetting as of Period End** 

The LifePath Dynamic Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $— | $89538 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts |  | 10963 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities |  | 100501 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") |  | (89538) |
|  Total derivative assets and liabilities subject to an MNA | $— | $10963 |

---

The following table presents the LifePath Dynamic Fund's derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the LifePath Dynamic Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* |  | *Net Amount<br>of Derivative<br>Liabilities* | *<br><sup>(a)(b)</sup>* |
|  Deutsche Bank AG | $1468 | $– | $1468 |  |
|  Morgan Stanley & Co. International PLC | 9495 | – | 9495 |  |
|  | $10963 | $– | $10963 |  |

---

<sup>(a)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(b)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

60 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2055 Fund** |

---

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the LifePath Dynamic Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the LifePath Dynamic Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Funds | $11697683 | $— | $— | $11697683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fixed-Income Funds | 1226968 |  |  | 1226968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 7257438 |  |  | 7257438 |
|  | $20182089 | $— | $— | 20182089 |
|  Investments Valued at NAV<sup>(a)</sup>  |  |  |  | 45039623 |
|  |  |  |  | $65221712 |
|  Derivative Financial Instruments<sup>(b)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | $2323 | $— | $— | $2323 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | (293309) |  |  | (293309) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (10963) |  | (10963) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (6398) |  |  | (6398) |
|  | $(297384) | $(10963) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $(308347) |

---

<sup>(a)</sup> Certain investments of the Fund were fair valued using NAV as a practical expedient or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

<sup>(b)</sup> Derivative financial instruments are futures contracts and forward foreign currency exchange contracts. Futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

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

------

---

| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2060 Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares/<br>Investment Value* | *Value* |
|  **Investment Companies<sup>(a)</sup>**  | **Investment Companies<sup>(a)</sup>**  | **Investment Companies<sup>(a)</sup>**  |
| **Equity Funds — 88.0%** | **Equity Funds — 88.0%** | **Equity Funds — 88.0%** |
|  BlackRock Advantage Emerging Markets Fund, Class K | 96478 | $862511 |
|  BlackRock Tactical Opportunities Fund, Class K | 52387 | 755425 |
|  Diversified Equity Master Portfolio | $8261583 | 8261583 |
|  International Tilts Master Portfolio | $2513942 | 2513942 |
|  iShares Developed Real Estate Index Fund, Class K | 49765 | 442911 |
|  iShares MSCI Canada ETF<sup>(b)</sup>  | 14137 | 462704 |
|  iShares MSCI EAFE ETF<sup>(b)</sup>  | 3295 | 216284 |
|  iShares MSCI EAFE Small-Cap ETF<sup>(b)</sup>  | 9051 | 511200 |
|  iShares Russell 2000 ETF<sup>(b)</sup>  | 418 | 72882 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;14099442 |
| **Fixed-Income Funds — 1.9%** |  |  |
|  BlackRock High Yield Bond Portfolio, Class K | 23759 | 157759 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 1385 | 146021 |
|  iShares TIPS Bond ETF | 70 | 7451 |
|  |  | 311231 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *<br>Shares* | *<br>Value* |
| **Money Market Funds — 13.4%** |  |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%<sup>(c)(d)</sup>  | 652633 | $652829 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%<sup>(c)</sup> | 1488220 | 1488220 |
|  |  | 2141049 |
|  **Total Investments — 103.3%<br>(Cost: $15,874,542)** |  | 16551722 |
|  **Liabilities in Excess of Other Assets — (3.3)%** | **Liabilities in Excess of Other Assets — (3.3)%** | (522714) |
|  **Net Assets — 100.0%** |  | $&nbsp;&nbsp;&nbsp;&nbsp;16029008 |

---

<sup>(a)</sup> Affiliate of the Fund.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Annualized 7-day yield as of period end.

<sup>(d)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the LifePath Dynamic Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares/<br>Investment Value<br>Held at<br>12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  Advantage CoreAlpha Bond Master Portfolio<sup>(a)</sup> | $44304 | $— | $(38623)<sup>(b)(c)</sup> | $(2547) | $(3134) | $— | $— | $578 | $— |
|  BlackRock Advantage Emerging Markets Fund, Class K | 2243016 |  | (755109)<sup>(b)</sup> | (477918) | (147478) | 862511 | 96478 | 32576 |  |
|  BlackRock Cash Funds: Institutional,<br>SL Agency Shares | 29974 | 622941 <sup>(b)</sup> |  | (306) | 220 | 652829 | 652633 | 4395 <sup>(d)</sup> |  |
|  BlackRock Cash Funds: Treasury,<br>SL Agency Shares | 985996 | 502224 <sup>(b)</sup> |  |  |  | 1488220 | 1488220 | 22081 |  |
|  BlackRock High Yield Bond Portfolio, Class K |  | 154491 <sup>(b)</sup> |  |  | 3268 | 157759 | 23759 | 2552 |  |
|  BlackRock Tactical Opportunities Fund, Class K |  | 748289 <sup>(b)</sup> |  | 215 | 6921 | 755425 | 52387 | 26140 |  |
|  Diversified Equity Master Portfolio | 11090476 |  | (428058)<sup>(b)(c)</sup> | (1102565) | (1298270) | 8261583 | $8261583 | 108064 |  |
|  International Tilts Master Portfolio | 2913606 | 82714 <sup>(b)(c)</sup> |  | (359761) | (122617) | 2513942 | $2513942 | 82525 |  |
|  iShares Core U.S. Aggregate Bond ETF<sup>(a)</sup>  | 167356 |  | (152658) | (16873) | 2175 |  |  | 1518 |  |
|  iShares Developed Real Estate Index Fund, Class K | 1009671 | 411659 | (701460) | (141645) | (135314) | 442911 | 49765 | 9860 |  |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 29552 | 225224 | (81336) | (15040) | (12379) | 146021 | 1385 | 3886 |  |
|  iShares MSCI Canada ETF | 523993 | 190537 | (159356) | (18597) | (73873) | 462704 | 14137 | 11425 |  |
|  iShares MSCI EAFE ETF |  | 193432 |  |  | 22852 | 216284 | 3295 | 884 |  |
|  iShares MSCI EAFE Small-Cap ETF | 1154822 |  | (380632) | (144326) | (118664) | 511200 | 9051 | 15959 |  |
|  iShares Russell 2000 ETF | 168172 | 41399 | (92870) | (7354) | (36465) | 72882 | 418 | 1546 |  |

---

62 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2060 Fund** |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares/<br>Investment Value<br>Held at<br>12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  iShares TIPS Bond ETF | $9044 | $— | $— | $— | $(1593) | $7451 | 70 | $519 | $— |
|  Master Total Return Portfolio<sup>(a)</sup>  | 16426 |  | (16521)<sup>(b)(c)</sup> | (579) | 674 |  | $— | 119 |  |
|  |  |  |  | $(2287296) | $(1913677) | $16551722 |  | $324627 | $— |

---

<sup>(a)</sup> As of period end, the entity is no longer held.

<sup>(b)</sup> Represents net amount purchased (sold). 

<sup>(c)</sup> Inclusive of income and expense allocated from the Master Portfolio.

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

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 6 | 03/17/23 | $585 | $(11862) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 15 | 03/17/23 | 720 | (16569) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 1 | 03/17/23 | 89 | (3155) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Micro E-Mini Index | 81 | 03/17/23 | 1564 | (43445) |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 3 | 03/22/23 | 336 | (1745) |
|  |  |  |  | (76776) |
|  Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 1 | 03/22/23 | 134 | 774 |
|  |  |  |  | $(76002) |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| USD | 47577 | CAD | 64000 | Bank of America N.A. | 03/15/23 | $284 |
| CAD | 22000 | USD | 16295 | Bank of America N.A. | 03/15/23 | (38) |
| USD | 24395 | EUR | 23000 | Standard Chartered Bank | 03/15/23 | (344) |
|  |  |  |  |  |  | (382) |
|  |  |  |  |  |  | $(98) |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2060 Fund** |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup>  | $— | $— | $— | $— | $774 | $— | $774 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts |  |  |  | 284 |  |  | 284 |
|  | $— | $— | $— | $284 | $774 | $— | $1058 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup>  | $— | $— | $75031 | $— | $1745 | $— | $76776 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 382 |  |  | 382 |
|  | $— | $— | $75031 | $382 | $1745 | $— | $77158 |

---

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

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(89773) | $— | $(858) | $— | $(90631) |
|  Forward foreign currency exchange contracts |  |  |  | (25436) |  |  | (25436) |
|  | $— | $— | $(89773) | $(25436) | $(858) | $— | $(116067) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(89274) | $— | $(971) | $— | $(90245) |
|  Forward foreign currency exchange contracts |  |  |  | (331) |  |  | (331) |
|  | $— | $— | $(89274) | $(331) | $(971) | $— | $(90576) |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $2616972 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $129653 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $407088 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $385721 |

---

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

64 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2060 Fund** |

---

**Derivative Financial Instruments — Offsetting as of Period End** 

The LifePath Dynamic Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  **Derivative Financial Instruments** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $1281 | $25073 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 284 | 382 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1565 | 25455 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") | (1281) | (25073) |
|  Total derivative assets and liabilities subject to an MNA | $284 | $382 |

---

The following table presents the LifePath Dynamic Fund's derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the LifePath Dynamic Fund:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative*<br> *Assets*<br> *Subject to*<br> *an MNA by<br>Counterparty* | <br>** <br>| *Derivatives*<br> *Available<br>for Offset* | <br> **<br>| *Net Amount*<br> *of Derivative<br>Assets* | <br> *<br><sup>(b)(c)</sup>*  |
|  Bank of America N.A | $284 |  | $(38) | $– | $246 |  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset <br><sup>(a)</sup>* |  | *Net Amount<br>of Derivative<br>Liabilities* | *<br><sup>(b)(d)</sup>* |
|  Bank of America N.A | $38 | $(38) | $– | $— |  |
|  Standard Chartered Bank | 344 |  | – | 344 |  |
|  | $382 | $(38) | $– | $344 |  |

---

<sup>(a)</sup> The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. 

<sup>(b)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(c)</sup> Net amount represents the net amount receivable from the counterparty in the event of default. 

<sup>(d)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the LifePath Dynamic Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the LifePath Dynamic Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Funds | $3323917 | $— | $— | $3323917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fixed-Income Funds | 311231 |  |  | 311231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 2141049 |  |  | 2141049 |
|  | $5776197 | $— | $— | 5776197 |
|  Investments Valued at NAV<sup>(a)</sup>  |  |  |  | 10775525 |
|  |  |  |  | $16551722 |
|  Derivative Financial Instruments<sup>(b)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | $— | $284 | $— | $284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | 774 |  |  | 774 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | (75031) |  |  | (75031) |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2060 Fund** |

---

**Fair Value Hierarchy as of Period End (continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | $— | $(382) | $— | $(382) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (1745) |  |  | (1745) |
|  | $(76002) | $(98) | $— | $(76100) |

---

<sup>(a)</sup> Certain investments of the Fund were fair valued using NAV as a practical expedient or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

<sup>(b)</sup> Derivative financial instruments are futures contracts and forward foreign currency exchange contracts. Futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

66 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2065 Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares/<br>Investment Value* | *Value* |
|  **Investment Companies<sup>(a)</sup>**  |  |  |
| **Equity Funds — 87.5%** |  |  |
|  BlackRock Advantage Emerging Markets Fund, Class K | 36825 | $329216 |
|  BlackRock Tactical Opportunities Fund, Class K | 20867 | 300901 |
|  Diversified Equity Master Portfolio | $3260123 | &nbsp;&nbsp;&nbsp;&nbsp;3260123 |
|  International Tilts Master Portfolio | $783503 | 783503 |
|  iShares Developed Real Estate Index Fund, Class K | 17716 | 157669 |
|  iShares MSCI Canada ETF<sup>(b)</sup>  | 5489 | 179655 |
|  iShares MSCI EAFE ETF<sup>(b)</sup>  | 1248 | 81919 |
|  iShares MSCI EAFE Small-Cap ETF<sup>(b)</sup>  | 3641 | 205643 |
|  iShares Russell 2000 ETF<sup>(b)</sup>  | 346 | 60329 |
|  |  | 5358958 |
| **Fixed-Income Funds — 2.0%** |  |  |
|  BlackRock High Yield Bond Portfolio, Class K | 9154 | 60781 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 484 | 51028 |
|  Master Total Return Portfolio | $10043 | 10043 |
|  |  | 121852 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *<br>Shares* | *Value* |
| **Money Market Funds — 17.5%** |  |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%<sup>(c)(d)</sup>  | 540793 | $540955 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%<sup>(c)</sup>  | 533437 | 533437 |
|  |  | 1074392 |
|  **Total Investments — 107.0%<br>(Cost: $6,259,561)** |  | 6555202 |
|  **Liabilities in Excess of Other Assets — (7.0)%** | **Liabilities in Excess of Other Assets — (7.0)%** | (431126) |
|  **Net Assets — 100.0%** |  | $&nbsp;&nbsp;&nbsp;&nbsp;6124076 |

---

<sup>(a)</sup> Affiliate of the Fund.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Annualized 7-day yield as of period end.

<sup>(d)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the LifePath Dynamic Fund during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares/<br>Investment Value<br>Held at<br>12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  Advantage CoreAlpha Bond Master Portfolio<sup>(a)</sup>  | $17289 | $— | $(15471)<sup>(b)(c)</sup> | $(960) | $(858) | $— | $— | $216 | $— |
|  BlackRock Advantage Emerging Markets Fund, Class K | 770169 |  | (235077)<sup>(b)</sup> | (116218) | (89658) | 329216 | 36825 | 12436 |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | 11449 | 529594 <sup>(b)</sup> |  | (204) | 116 | 540955 | 540793 | 1628 <sup>(d)</sup> |  |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 449277 | 84160 <sup>(b)</sup> |  |  |  | 533437 | 533437 | 5315 |  |
|  BlackRock High Yield Bond Portfolio, Class K |  | 59523 <sup>(b)</sup> |  |  | 1258 | 60781 | 9154 | 1004 |  |
|  BlackRock Tactical Opportunities Fund, Class K |  | 298112 <sup>(b)</sup> |  | 32 | 2757 | 300901 | 20867 | 10412 |  |
|  Diversified Equity Master Portfolio | 3713727 | 337046 <sup>(b)(c)</sup> |  | (281824) | (508826) | 3260123 | $3260123 | 36345 |  |
|  International Tilts Master Portfolio | 1025426 |  | (58837)<sup>(b)(c)</sup> | (116092) | (66994) | 783503 | $783503 | 29226 |  |
|  iShares Core U.S. Aggregate Bond ETF<sup>(a)</sup>  | 58067 |  | (52967) | (6444) | 1344 |  |  | 527 |  |
|  iShares Developed Real Estate Index Fund, Class K | 342280 | 89921 | (184052) | (49221) | (41259) | 157669 | 17716 | 3108 |  |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF | 11264 | 77138 | (29015) | (4168) | (4191) | 51028 | 484 | 1390 |  |
|  iShares MSCI Canada ETF | 186462 | 24206 |  |  | (31013) | 179655 | 5489 | 4213 |  |
|  iShares MSCI EAFE ETF |  | 73257 |  |  | 8662 | 81919 | 1248 | 335 |  |
|  iShares MSCI EAFE Small-Cap ETF | 387742 | 201281 | (266453) | (74083) | (42844) | 205643 | 3641 | 8325 |  |
|  iShares Russell 2000 ETF | 56725 | 16830 |  |  | (13226) | 60329 | 346 | 858 |  |
|  Master Total Return Portfolio | 11651 | 47 <sup>(b)(c)</sup> |  | (185) | (1470) | 10043 | $10043 | 47 |  |
|  |  |  |  | $(649367) | $(786202) | $6555202 |  | $115385 | $— |

---

<sup>(a)</sup> As of period end, the entity is no longer held.

<sup>(b)</sup> Represents net amount purchased (sold). 

<sup>(c)</sup> Inclusive of income and expense allocated from the Master Portfolio.

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

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2065 Fund** |

---

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 4 | 03/17/23 | $390 | $(9603) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 6 | 03/17/23 | 288 | (7715) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Micro E-Mini Index | 27 | 03/17/23 | 521 | (15101) |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 1 | 03/22/23 | 112 | (582) |
|  |  |  |  | $(33001) |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  CAD | 9000 | USD | 6593 | Goldman Sachs International | 03/15/23 | $58 |
|  USD | 22299 | CAD | 30000 | Bank of America N.A. | 03/15/23 | 130 |
|  |  |  |  |  |  | 188 |
|  USD | 8486 | EUR | 8000 | Morgan Stanley & Co. International PLC | 03/15/23 | (119) |
|  |  |  |  |  |  | $69 |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts | $— | $— | $— | $188 | $— | $— | $188 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup>  | $— | $— | $32419 | $— | $582 | $— | $33001 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 119 |  |  | 119 |
|  | $— | $— | $32419 | $119 | $582 | $— | $33120 |

---

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

68 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2065 Fund** |

---

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $58403 | $— | $— | $— | $58403 |
|  Forward foreign currency exchange contracts |  |  |  | (4377) |  |  | (4377) |
|  | $— | $— | $58403 | $(4377) | $— | $— | $54026 |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(38867) | $— | $(582) | $— | $(39449) |
|  Forward foreign currency exchange contracts |  |  |  | 123 |  |  | 123 |
|  | $— | $— | $(38867) | $123 | $(582) | $— | $(39326) |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $710345 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $29622 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $114804 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $98928 |

---

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

**Derivative Financial Instruments — Offsetting as of Period End** 

The LifePath Dynamic Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $10125 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 188 | 119 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities | 188 | 10244 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") |  | (10125) |
|  Total derivative assets and liabilities subject to an MNA | $188 | $119 |

---

The following table presents the LifePath Dynamic Fund's derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the LifePath Dynamic Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Assets<br>Subject to<br>an MNA by<br>Counterparty* |  | *Net Amount<br>of Derivative<br>Assets* | *<br><sup>(a)(b)</sup>* |
|  Bank of America N.A | $130 | $– | $130 |  |
|  Goldman Sachs International | 58 | – | 58 |  |
|  | $188 | $– | $188 |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* |  | *Net Amount<br>of Derivative<br>Liabilities* | *<br><sup>(a)(c)</sup>* |
|  Morgan Stanley & Co. International PLC | $119 | $– | $119 |  |

---

<sup>(a)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(b)</sup> Net amount represents the net amount receivable from the counterparty in the event of default. 

<sup>(c)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock LifePath**<sup>®</sup> **Dynamic 2065 Fund** |

---

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the LifePath Dynamic Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the LifePath Dynamic Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Funds | $1315332 | $— | $— | $1315332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fixed-Income Funds | 111809 |  |  | 111809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 1074392 |  |  | 1074392 |
|  | $2501533 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 2501533 |
|  Investments Valued at NAV<sup>(a)</sup>  |  |  |  | 4053669 |
|  |  |  |  | $6555202 |
|  Derivative Financial Instruments<sup>(b)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | $— | $188 | $— | $188 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | (32419) |  |  | (32419) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (119) |  | (119) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (582) |  |  | (582) |
|  | $(33001) | $69 | $— | $(32932) |

---

<sup>(a)</sup> Certain investments of the Fund were fair valued using NAV as a practical expedient or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

<sup>(b)</sup> Derivative financial instruments are futures contracts and forward foreign currency exchange contracts. Futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

70 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statements of Assets and Liabilities

December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>Retirement Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2025 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2030 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2035 Fund |
|  **ASSETS** |  |  |  |  |
|  Investments, at value — affiliated<sup>(a)(b)</sup>  | $212184319 | $78797099 | $258573903 | $114931470 |
|  Cash pledged for futures contracts | 1520000 | 599000 | 1745000 | 884000 |
|  Foreign currency, at value<sup>(c)</sup>  | 618529 | 281999 | 904413 | 388167 |
|  Receivables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated | 2161 | 1175 | 4275 | 1092 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares sold | 282187 | 77400 | 456977 | 139761 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 51516 | 15222 | 40982 | 23424 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts |  | 561 |  |  |
|  Total assets | 214658712 | 79772456 | 261725550 | 116367914 |
|  **LIABILITIES** |  |  |  |  |
|  Collateral on securities loaned | 10173508 | 2274949 | 8572187 | 5243374 |
|  Payables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 13039 | 4349 | 15587 | 6825 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration fees | 39614 | 7346 | 46103 | 10791 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 1524941 | 5662 | 350194 | 25752 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 17003 | 6280 | 15777 | 5735 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' and Officer's fees | 1745 | 1601 | 1816 | 1609 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 24921 | 24374 | 25708 | 24369 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service and distribution fees | 30157 | 7591 | 33953 | 9716 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 189191 | 93379 | 266915 | 138812 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts | 19450 | 7132 | 29110 | 15023 |
|  Total liabilities | 12033569 | 2432663 | 9357350 | 5482006 |
|  NET ASSETS | $202625143 | $77339793 | $252368200 | $110885908 |
|  **NET ASSETS CONSIST OF** |  |  |  |  |
|  Paid-in capital | $149449147 | $84947947 | $272394962 | $116543847 |
|  Accumulated earnings (loss) | 53175996 | (7608154) | (20026762) | (5657939) |
|  NET ASSETS | $202625143 | $77339793 | $252368200 | $110885908 |
|  <sup>(a) </sup>Investments, at cost — affiliated | $152956433 | $80655634 | $260414413 | $113988497 |
|  <sup>(b) </sup>Securities loaned, at value | $9892914 | $2207906 | $8330405 | $5084047 |
|  <sup>(c)</sup> Foreign currency, at cost | $597034 | $282761 | $907136 | $386903 |

---

F I N A N C I A L S T A T E M E N T S 71

------

Statements of Assets and Liabilities (continued)

December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>Retirement Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2025 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2030 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2035 Fund |
|  **NET ASSET VALUE** |  |  |  |  |
|  **Institutional** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $36437670 | $6563201 | $40745558 | $10486070 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 3974657 | 544671 | 3499505 | 795199 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $9.17 | $12.05 | $11.64 | $13.19 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value | No par value | No par value |
|  **Investor A** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $116172701 | $18334733 | $133739604 | $24670258 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 15187944 | 1540395 | 12206558 | 1883036 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $7.65 | $11.90 | $10.96 | $13.10 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value | No par value | No par value |
|  **Investor C** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $1584656 | $2170138 | $2358782 | $3065853 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 177001 | 184509 | 209536 | 238555 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $8.95 | $11.76 | $11.26 | $12.85 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value | No par value | No par value |
|  **Class K** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $43137688 | $46517878 | $70367359 | $68520457 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 4725129 | 3902758 | 6054767 | 5106911 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $9.13 | $11.92 | $11.62 | $13.42 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value | No par value | No par value |
|  **Class R** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $5292428 | $3753843 | $5156897 | $4143270 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 586756 | 316354 | 451803 | 316864 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $9.02 | $11.87 | $11.41 | $13.08 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value | No par value | No par value |

---

72 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statements of Assets and Liabilities (continued)

December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2040 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2045 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2050 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2055 Fund |
|  **ASSETS** |  |  |  |  |
|  Investments, at value — affiliated<sup>(a)(b)</sup>  | $242682208 | $93738579 | $134602909 | $65221712 |
|  Cash pledged for futures contracts | 1601000 | 686000 | 1005000 | 527000 |
|  Foreign currency, at value<sup>(c)</sup>  | 714116 | 301639 | 309213 | 152203 |
|  Receivables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated | 5016 | 958 | 2497 | 941 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares sold | 496767 | 117705 | 227934 | 90623 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 35834 | 17885 | 20857 | 13509 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts |  |  | 5125 |  |
|  Total assets | 245534941 | 94862766 | 136173535 | 66005988 |
|  **LIABILITIES** |  |  |  |  |
|  Collateral on securities loaned | 13788451 | 4920559 | 7520313 | 3578867 |
|  Payables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 13791 | 5608 | 7602 | 3727 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration fees | 42565 | 7369 | 20595 | 5428 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 746393 | 41200 | 468335 | 153667 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 9487 | 3708 | 3772 | 1875 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' and Officer's fees | 1744 | 1554 | 1607 | 1561 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 25391 | 24359 | 24547 | 24308 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service and distribution fees | 30444 | 6724 | 16581 | 5329 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 278418 | 130110 | 175046 | 89538 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts | 42130 | 16068 | 23713 | 10963 |
|  Total liabilities | 14978814 | 5157259 | 8262111 | 3875263 |
|  NET ASSETS | $230556127 | $89705507 | $127911424 | $62130725 |
|  **NET ASSETS CONSIST OF** |  |  |  |  |
|  Paid-in capital | $209235358 | $93297961 | $123177664 | $65816287 |
|  Accumulated earnings (loss) | 21320769 | (3592454) | 4733760 | (3685562) |
|  NET ASSETS | $230556127 | $89705507 | $127911424 | $62130725 |
|  <sup>(a) </sup>Investments, at cost — affiliated | $221012094 | $90378549 | $115813735 | $62605215 |
|  <sup>(b) </sup>Securities loaned, at value | $13388064 | $4771197 | $7291794 | $3470856 |
|  <sup>(c)</sup> Foreign currency, at cost | $701477 | $293478 | $312373 | $152728 |

---

F I N A N C I A L S T A T E M E N T S 73

------

Statements of Assets and Liabilities (continued)

December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2040 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2045 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2050 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2055 Fund |
|  **NET ASSET VALUE** |  |  |  |  |
|  **Institutional** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $41098014 | $6317310 | $15422561 | $6013504 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 2809517 | 441462 | 844889 | 401100 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $14.63 | $14.31 | $18.25 | $14.99 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value | No par value | No par value |
|  **Investor A** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $121680359 | $17896362 | $64526362 | $14873239 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 9621172 | 1256434 | 3558816 | 999881 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $12.65 | $14.24 | $18.13 | $14.88 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value | No par value | No par value |
|  **Investor C** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $2210485 | $1284247 | $1689536 | $1341020 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 156020 | 92365 | 95435 | 92291 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $14.17 | $13.90 | $17.70 | $14.53 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value | No par value | No par value |
|  **Class K** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $60686856 | $60099564 | $42970714 | $37439260 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 4111083 | 4137577 | 2339607 | 2452498 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $14.76 | $14.53 | $18.37 | $15.27 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value | No par value | No par value |
|  **Class R** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $4880413 | $4108024 | $3302251 | $2463702 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 340043 | 289910 | 183390 | 166337 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $14.35 | $14.17 | $18.01 | $14.81 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value | No par value | No par value |

---

74 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statements of Assets and Liabilities (continued)

December 31, 2022

---

| | | |
|:---|:---|:---|
|  | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2060 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2065 Fund |
|  **ASSETS** |  |  |
|  Investments, at value — affiliated<sup>(a)(b)</sup>  | $16551722 | $6555202 |
|  Cash |  | 18079 |
|  Cash pledged for futures contracts | 150000 | 64000 |
|  Foreign currency, at value<sup>(c)</sup>  | 33345 | 12808 |
|  Receivables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold |  | 36481 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated | 560 | 355 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares sold | 62827 | 11160 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 4420 | 1840 |
| &nbsp;&nbsp;&nbsp;&nbsp; From the Administrator | 430 | 1207 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 1281 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts | 284 | 188 |
|  Total assets | 16804869 | 6701320 |
|  **LIABILITIES** |  |  |
|  Collateral on securities loaned | 653144 | 541043 |
|  Payables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 897 | 346 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 69177 | 98 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 433 | 187 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' and Officer's fees | 1524 | 1507 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 24347 | 23006 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service and distribution fees | 884 | 813 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 25073 | 10125 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts | 382 | 119 |
|  Total liabilities | 775861 | 577244 |
|  NET ASSETS | $16029008 | $6124076 |
|  **NET ASSETS CONSIST OF** |  |  |
|  Paid-in capital | $17287269 | $6329468 |
|  Accumulated loss | (1258261) | (205392) |
|  NET ASSETS | $16029008 | $6124076 |
|  <sup>(a) </sup>Investments, at cost — affiliated | $15874542 | $6259561 |
|  <sup>(b)</sup> Securities loaned, at value | $632435 | $524724 |
|  <sup>(c)</sup> Foreign currency, at cost | $34908 | $13267 |

---

F I N A N C I A L S T A T E M E N T S 75

------

Statements of Assets and Liabilities (continued)

December 31, 2022

---

| | | |
|:---|:---|:---|
| | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2060 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2065 Fund |
|  **NET ASSET VALUE** |  |  |
|  **Institutional** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $1596221 | $603840 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 143713 | 59972 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $11.11 | $10.07 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value |
|  **Investor A** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $1561644 | $867821 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 141049 | 86392 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $11.07 | $10.05 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value |
|  **Investor C** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $100146 | $552850 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 9110 | 55353 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $10.99 | $9.99 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value |
|  **Class K** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $11523538 | $3654946 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 1034973 | 362509 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $11.13 | $10.08 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value |
|  **Class R** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $1247459 | $444619 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 112775 | 44313 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $11.06 | $10.03 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value | No par value |

---

*See notes to financial statements.* 

76 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statements of Operations

Year Ended December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>Retirement Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2025 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2030 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2035 Fund |
|  **INVESTMENT INCOME** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | $3026698 | $1094787 | $3153279 | $1284204 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 16081 | 6244 | 18031 | 9358 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 36910 | 14951 | 39838 | 12530 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income allocated from the applicable affiliated Underlying Master Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 1523897 | 753826 | 2795068 | 1391584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest — affiliated | 1591892 | 494232 | 790918 | 100315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses | (403712) | (175686) | (572109) | (263434) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived | 159208 | 70143 | 235161 | 111624 |
|  Total investment income | 5950974 | 2258497 | 6460186 | 2646181 |
|  EXPENSES |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 787419 | 313767 | 914289 | 397367 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration — class specific | 563913 | 129466 | 616042 | 156567 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service and distribution — class specific | 381278 | 92785 | 411891 | 111479 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 23053 | 23001 | 23022 | 22976 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees and Officer | 6739 | 5778 | 7012 | 5953 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 2510 | 1137 | 2135 | 2135 |
|  Total expenses | 1764912 | 565934 | 1974391 | 696477 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Administrator/Manager | (540293) | (243911) | (719307) | (344218) |
|  Total expenses after fees waived and/or reimbursed | 1224619 | 322023 | 1255084 | 352259 |
|  Net investment income | 4726355 | 1936474 | 5205102 | 2293922 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (4626760) | (2346845) | (4976441) | (2868830) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | (444327) | (192807) | (588274) | (257690) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | (54639) | (16039) | (49111) | (18234) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (112556) | 141089 | 1466716 | 460063 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from investments, futures contracts, forward foreign currency exchange contracts and foreign currency transactions allocated from the applicable affiliated Underlying Master Portfolio | (7350763) | (3706205) | (8174726) | (5545495) |
|  | (12589045) | (6120807) | (12321836) | (8230186) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (12383354) | (4445689) | (15210651) | (5780519) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | (118197) | (47188) | (96705) | (48478) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations | 18675 | 4739 | 13649 | 7245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (1162534) | (456406) | (1262355) | (646249) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) from investments, futures contracts, forward foreign currency exchange contracts and foreign currency translations allocated from the applicable affiliated Underlying Master Portfolio | (22832586) | (9073823) | (30116130) | (11511810) |
|  | (36477996) | (14018367) | (46672192) | (17979811) |
|  Net realized and unrealized loss | (49067041) | (20139174) | (58994028) | (26209997) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(44340686) | $(18202700) | $(53788926) | $(23916075) |

---

*See notes to financial statements.* 

F I N A N C I A L S T A T E M E N T S 77

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Statements of Operations (continued)

Year Ended December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2040 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2045 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2050 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2055 Fund |
|  **INVESTMENT INCOME** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | $2303521 | $763205 | $991922 | $467021 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 16279 | 8001 | 9714 | 5692 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 30365 | 8926 | 10698 | 3818 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income allocated from the applicable affiliated Underlying Master Portfolio |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 3419641 | 1474592 | 2215879 | 1078063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest — affiliated | (258264) | (251933) | (405607) | (207004) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses | (606741) | (253401) | (378058) | (183313) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived | 260468 | 111362 | 166584 | 81385 |
|  Total investment income | 5165269 | 1860752 | 2611132 | 1245662 |
|  EXPENSES |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 821476 | 330463 | 465243 | 232034 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration — class specific | 562896 | 119140 | 282057 | 93657 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service and distribution — class specific | 369941 | 79196 | 199071 | 62286 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 22994 | 22989 | 23048 | 22983 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees and Officer | 6768 | 5778 | 6047 | 5622 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 2136 | 2191 | 2137 | 1399 |
|  Total expenses | 1786211 | 559757 | 977603 | 417981 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Administrator/Manager | (734562) | (317275) | (412797) | (216223) |
|  Total expenses after fees waived and/or reimbursed | 1051649 | 242482 | 564806 | 201758 |
|  Net investment income | 4113620 | 1618270 | 2046326 | 1043904 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (4749996) | (3301733) | (3785300) | (2340333) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | (684607) | (273368) | (443307) | (221105) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | (35537) | (10551) | 1836 | 1017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 1715640 | 480142 | (307593) | (542664) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from investments, futures contracts, forward foreign currency exchange contracts and foreign currency transactions allocated from the applicable affiliated Underlying Master Portfolio | (7982354) | (5811889) | (7166375) | (4876103) |
|  | (11736854) | (8917399) | (11700739) | (7979188) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (13525867) | (3938514) | (6124230) | (2399339) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | (125170) | (51602) | (76401) | (37876) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations | 18672 | 9527 | (991) | (149) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (1206092) | (556297) | (717524) | (423247) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) from investments, futures contracts, forward foreign currency exchange contracts and foreign currency translations allocated from the applicable affiliated Underlying Master Portfolio | (29701103) | (9813693) | (16237821) | (6487712) |
|  | (44539560) | (14350579) | (23156967) | (9348323) |
|  Net realized and unrealized loss | (56276414) | (23267978) | (34857706) | (17327511) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(52162794) | $(21649708) | $(32811380) | $(16283607) |

---

*See notes to financial statements.* 

78 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statements of Operations (continued)

Year Ended December 31, 2022

---

| | | |
|:---|:---|:---|
|  | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2060 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2065 Fund |
|  **INVESTMENT INCOME** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | $128946 | $47923 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 1379 | 492 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 4395 | 1628 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income allocated from the applicable affiliated Underlying Master Portfolio |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 270397 | 92485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest — affiliated | (53678) | (17932) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses | (46008) | (15716) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived | 20575 | 6997 |
|  Total investment income | 326006 | 115877 |
|  EXPENSES |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 60216 | 19939 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 22950 | 22941 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration — class specific | 16880 | 8285 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service and distribution — class specific | 8898 | 9192 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees and Officer | 5258 | 5167 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 2139 | 57 |
|  Total expenses | 116341 | 65581 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Administrator/Manager | (78357) | (45393) |
|  Total expenses after fees waived and/or reimbursed | 37984 | 20188 |
|  Net investment income | 288022 | 95689 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (821844) | (250306) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | (25436) | (4377) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | (1234) | (371) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (90631) | 58403 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from investments, futures contracts, forward foreign currency exchange contracts and foreign currency transactions allocated from the applicable affiliated Underlying Master Portfolio | (1465452) | (399061) |
|  | (2404597) | (595712) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (490330) | (208054) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | (331) | 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations | (943) | (433) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (90245) | (39449) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) from investments, futures contracts, forward foreign currency exchange contracts and foreign currency translations allocated from the applicable affiliated Underlying Master Portfolio | (1423347) | (578148) |
|  | (2005196) | (825961) |
|  Net realized and unrealized loss | (4409793) | (1421673) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(4121771) | $(1325984) |

---

*See notes to financial statements.* 

F I N A N C I A L S T A T E M E N T S 79

------

Statements of Changes in Net Assets

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>Retirement Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>Retirement Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2025 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2025 Fund |
|  | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $4726355 | $3999774 | $1936474 | $1553635 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (12589045) | 28703021 | (6120807) | 9407314 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (36477996) | (11744657) | (14018367) | (1403847) |
|  Net increase (decrease) in net assets resulting from operations | (44340686) | 20958138 | (18202700) | 9557102 |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(a)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income and net realized gain |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (206368) | (6734988) | (65309) | (1217834) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (810588) | (26074393) | (137327) | (2387906) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor C | (6877) | (281301) | (6890) | (259045) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (424413) | (10784844) | (610968) | (7903323) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R | (19063) | (813866) | (19023) | (390478) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (255350) |  | (60390) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (831199) |  | (140679) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor C | (4084) |  | (16204) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (393305) |  | (433153) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R | (25646) |  | (24354) |  |
|  Decrease in net assets resulting from distributions to shareholders | (2976893) | (44689392) | (1514297) | (12158586) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |  |  |
|  Net increase (decrease) in net assets derived from capital share transactions | (51828789) | (8118381) | (21166778) | 19720651 |
|  *NET ASSETS* |  |  |  |  |
|  Total increase (decrease) in net assets | (99146368) | (31849635) | (40883775) | 17119167 |
|  Beginning of year | 301771511 | 333621146 | 118223568 | 101104401 |
|  End of year | $202625143 | $301771511 | $77339793 | $118223568 |

---

<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

80 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statements of Changes in Net Assets (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2030 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2030 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2035 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2035 Fund |
|  | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $5205102 | $4023328 | $2293922 | $1684569 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (12321836) | 39795305 | (8230186) | 14563188 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (46672192) | (7432093) | (17979811) | 252954 |
|  Net increase (decrease) in net assets resulting from operations | (53788926) | 36386540 | (23916075) | 16500711 |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(a)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income and net realized gain |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (611763) | (8379543) | (131992) | (1438930) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (1961042) | (27647575) | (325747) | (2965279) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor C | (23721) | (391404) | (29701) | (380761) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (1433504) | (15168553) | (1294777) | (10464211) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R | (60794) | (792846) | (37314) | (385910) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (268428) |  | (64200) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (864267) |  | (152939) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor C | (14610) |  | (19915) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (539776) |  | (523051) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R | (30310) |  | (23213) |  |
|  Decrease in net assets resulting from distributions to shareholders | (5808215) | (52379921) | (2602849) | (15635091) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |  |  |
|  Net increase (decrease) in net assets derived from capital share transactions | (24773859) | 25459944 | (4274468) | 27236204 |
|  *NET ASSETS* |  |  |  |  |
|  Total increase (decrease) in net assets | (84371000) | 9466563 | (30793392) | 28101824 |
|  Beginning of year | 336739200 | 327272637 | 141679300 | 113577476 |
|  End of year | $252368200 | $336739200 | $110885908 | $141679300 |

---

<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

F I N A N C I A L S T A T E M E N T S 81

------

Statements of Changes in Net Assets (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2040 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2040 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2045 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2045 Fund |
|  | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $4113620 | $3177305 | $1618270 | $1264778 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (11736854) | 45155767 | (8917399) | 13450854 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (44539560) | (4356865) | (14350579) | 1866324 |
|  Net increase (decrease) in net assets resulting from operations | (52162794) | 43976207 | (21649708) | 16581956 |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(a)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income and net realized gain |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (696904) | (9839631) | (103812) | (980686) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (2315942) | (30980877) | (333280) | (2459605) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor C | (24902) | (430701) | (27279) | (150555) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (1392448) | (14800890) | (1526497) | (9293659) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R | (64050) | (860820) | (47361) | (330305) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (239903) |  | (35370) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (696033) |  | (107552) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor C | (12134) |  | (8536) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (416429) |  | (415085) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R | (25548) |  | (18112) |  |
|  Decrease in net assets resulting from distributions to shareholders | (5884293) | (56912919) | (2622884) | (13214810) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |  |  |
|  Net increase (decrease) in net assets derived from capital share transactions | (12473001) | 33393775 | (3753664) | 28612165 |
|  *NET ASSETS* |  |  |  |  |
|  Total increase (decrease) in net assets | (70520088) | 20457063 | (28026256) | 31979311 |
|  Beginning of year | 301076215 | 280619152 | 117731763 | 85752452 |
|  End of year | $230556127 | $301076215 | $89705507 | $117731763 |

---

<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

82 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statements of Changes in Net Assets (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2050 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2050 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2055 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2055 Fund |
|  | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $2046326 | $1539288 | $1043904 | $754451 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (11700739) | 22833787 | (7979188) | 8879277 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (23156967) | 690287 | (9348323) | 1561939 |
|  Net increase (decrease) in net assets resulting from operations | (32811380) | 25063362 | (16283607) | 11195667 |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(a)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income and net realized gain |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (310442) | (3203659) | (113199) | (867256) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (1204334) | (11591100) | (289899) | (1941240) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor C | (25925) | (286706) | (17944) | (141992) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (1306116) | (9511477) | (1055279) | (5712311) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R | (47333) | (466707) | (35746) | (234446) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (74398) |  | (28424) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (301993) |  | (71726) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor C | (7970) |  | (5766) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (264606) |  | (220361) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R | (13103) |  | (9919) |  |
|  Decrease in net assets resulting from distributions to shareholders | (3556220) | (25059649) | (1848263) | (8897245) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |  |  |
|  Net increase (decrease) in net assets derived from capital share transactions | (6209343) | 37963599 | (1558934) | 24778285 |
|  *NET ASSETS* |  |  |  |  |
|  Total increase (decrease) in net assets | (42576943) | 37967312 | (19690804) | 27076707 |
|  Beginning of year | 170488367 | 132521055 | 81821529 | 54744822 |
|  End of year | $127911424 | $170488367 | $62130725 | $81821529 |

---

<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

F I N A N C I A L S T A T E M E N T S 83

------

Statements of Changes in Net Assets (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2060 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2060 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2065 Fund | BlackRock<br>LifePath<sup>®</sup> Dynamic<br>2065 Fund |
|  | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $288022 | $203128 | $95689 | $65970 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (2404597) | 1768482 | (595712) | 841155 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (2005196) | 521903 | (825961) | 63867 |
|  Net increase (decrease) in net assets resulting from operations | (4121771) | 2493513 | (1325984) | 970992 |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(a)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income and net realized gain |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (18921) | (109730) | (10489) | (56505) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (18798) | (84115) | (16796) | (66727) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor C | (897) | (7496) | (6692) | (46986) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (289416) | (1421206) | (83852) | (403884) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R | (11288) | (63969) | (7188) | (47496) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (5900) |  | (2890) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (5533) |  | (4146) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor C | (394) |  | (2517) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (67871) |  | (20485) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R | (4320) |  | (2345) |  |
|  Decrease in net assets resulting from distributions to shareholders | (423338) | (1686516) | (157400) | (621598) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |  |  |
|  Net increase in net assets derived from capital share transactions | 262345 | 8576625 | 1010700 | 1351671 |
|  *NET ASSETS* |  |  |  |  |
|  Total increase (decrease) in net assets | (4282764) | 9383622 | (472684) | 1701065 |
|  Beginning of year | 20311772 | 10928150 | 6596760 | 4895695 |
|  End of year | $16029008 | $20311772 | $6124076 | $6596760 |

---

<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

84 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $10.89 | $11.68 | $11.04 | $9.69 | $11.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.20 | 0.16 | 0.19 | 0.28 | 0.25 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.81) | 0.63 | 1.20 | 1.35 | (0.64) |
|  Net increase (decrease) from investment operations | (1.61) | 0.79 | 1.39 | 1.63 | (0.39) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.01) | (0.43) | (0.22) | (0.19) | (0.27) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.04) | (1.15) | (0.53) | (0.09) | (0.65) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.06) |  |  |  |  |
|  Total distributions | (0.11) | (1.58) | (0.75) | (0.28) | (0.92) |
|  **Net asset value, end of year** | $9.17 | $10.89 | $11.68 | $11.04 | $9.69 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (14.85)% | 6.88% | 12.82% | 16.91% | (3.68)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.72% | 0.77% | 0.73% | 0.57% | 0.58% |
|  Total expenses after fees waived and/or reimbursed | 0.51% | 0.55% | 0.56% | 0.55% | 0.57% |
|  Net investment income | 2.03% | 1.34% | 1.68% | 2.61% | 2.26% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $36438 | $49943 | $59201 | $99249 | $25343 |
|  Portfolio turnover rate | 7 %<sup>(e)</sup> | 2 %<sup>(e)</sup> | 43 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 38 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 85

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) |
|  | <br> Investor A | <br> Investor A | <br> Investor A | <br> Investor A | <br> Investor A |
| | <br> Year Ended<br> 12/31/22 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br> 12/31/20 | <br> Year Ended<br> 12/31/19 | <br> Year Ended<br> 12/31/18 |
|  **Net asset value, beginning of year** | $9.12 | $10.03 | $9.58 | $8.45 | $9.72 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.14 | 0.11 | 0.13 | 0.23 | 0.20 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.51) | 0.54 | 1.05 | 1.16 | (0.57) |
|  Net increase (decrease) from investment operations | <br> (1.37)  | <br> 0.65 | <br> 1.18 | <br> 1.39 | <br> (0.37)  |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.01) | (0.40) | (0.20) | (0.17) | (0.25) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.04) | (1.16) | (0.53) | (0.09) | (0.65) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.05) |  |  |  |  |
|  Total distributions | (0.10) | (1.56) | (0.73) | (0.26) | (0.90) |
|  **Net asset value, end of year** | $7.65 | $9.12 | $10.03 | $9.58 | $8.45 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (15.08)% | 6.61% | 12.56% | 16.56% | (3.93)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.97% | 1.02% | 0.98% | 0.82% | 0.83% |
|  Total expenses after fees waived and/or reimbursed | 0.76% | 0.80% | 0.81% | 0.80% | 0.82% |
|  Net investment income | 1.77% | 1.09% | 1.40% | 2.43% | 2.05% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $116173 | $164481 | $190948 | $234757 | $65509 |
|  Portfolio turnover rate | 7 %<sup>(e)</sup> | 2 %<sup>(e)</sup> | 43 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 38 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

86 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) |
|  | <br> Investor C | <br> Investor C | <br> Investor C | <br> Investor C | <br> Investor C |
| | <br> Year Ended<br>12/31/22 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $10.69 | $11.50 | $10.87 | $9.57 | $10.87 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.10 | 0.04 | 0.06 | 0.18 | 0.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.78) | 0.63 | 1.20 | 1.30 | (0.63) |
|  Net increase (decrease) from investment operations | (1.68) | 0.67 | 1.26 | 1.48 | (0.50) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income |  | (0.33) | (0.10) | (0.09) | (0.15) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.04) | (1.15) | (0.53) | (0.09) | (0.65) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.02) |  |  |  |  |
|  Total distributions | (0.06) | (1.48) | (0.63) | (0.18) | (0.80) |
|  **Net asset value, end of year** | $8.95 | $10.69 | $11.50 | $10.87 | $9.57 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (15.75)% | 5.83% | 11.72% | 15.54% | (4.67)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.72% | 1.77% | 1.73% | 1.62% | 1.63% |
|  Total expenses after fees waived and/or reimbursed | 1.51% | 1.55% | 1.57% | 1.60% | 1.62% |
|  Net investment income | 1.02% | 0.35% | 0.55% | 1.66% | 1.20% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $1585 | $2249 | $2303 | $3846 | $672 |
|  Portfolio turnover rate | 7 %<sup>(e)</sup> | 2 %<sup>(e)</sup> | 43 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 38 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 87

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) |
|  | <br> Class K | <br> Class K | <br> Class K | <br> Class K | <br> Class K |
| | <br> Year Ended<br>12/31/22 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $10.83 | $11.63 | $10.99 | $9.65 | $10.96 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.21 | 0.19 | 0.21 | 0.32 | 0.27 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.79) | 0.63 | 1.21 | 1.32 | (0.64) |
|  Net increase (decrease) from investment operations | <br> (1.58)  | <br> 0.82 | <br> 1.42 | <br> 1.64 | <br> (0.37)  |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.02) | (0.47) | (0.25) | (0.21) | (0.29) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.04) | (1.15) | (0.53) | (0.09) | (0.65) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.06) |  |  |  |  |
|  Total distributions | (0.12) | (1.62) | (0.78) | (0.30) | (0.94) |
|  **Net asset value, end of year** | $9.13 | $10.83 | $11.63 | $10.99 | $9.65 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (14.64)% | 7.11% | 13.17% | 17.07% | (3.47)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.47% | 0.52% | 0.50% | 0.37% | 0.38% |
|  Total expenses after fees waived and/or reimbursed | 0.26% | 0.30% | 0.32% | 0.35% | 0.37% |
|  Net investment income | 2.17% | 1.61% | 1.88% | 2.99% | 2.54% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $43138 | $78916 | $74809 | $64913 | $14901 |
|  Portfolio turnover rate | 7 %<sup>(e)</sup> | 2 %<sup>(e)</sup> | 43 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 38 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

88 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund (continued) |
|  | <br> Class R | <br> Class R | <br> Class R | <br> Class R | <br> Class R |
| | <br> Year Ended<br>12/31/22 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $10.74 | $11.54 | $10.91 | $9.60 | $10.91 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.16 | 0.11 | 0.14 | 0.23 | 0.20 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.79) | 0.62 | 1.19 | 1.32 | (0.64) |
|  Net increase (decrease) from investment operations | <br> (1.63)  | <br> 0.73 | <br> 1.33 | <br> 1.55 | <br> (0.44)  |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income |  | (0.38) | (0.17) | (0.15) | (0.22) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.04) | (1.15) | (0.53) | (0.09) | (0.65) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.05) |  |  |  |  |
|  Total distributions | (0.09) | (1.53) | (0.70) | (0.24) | (0.87) |
|  **Net asset value, end of year** | $9.02 | $10.74 | $11.54 | $10.91 | $9.60 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (15.25)% | 6.41% | 12.41% | 16.24% | (4.11)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.17% | 1.22% | 1.19% | 1.02% | 1.03% |
|  Total expenses after fees waived and/or reimbursed | 0.95% | 1.00% | 1.01% | 1.00% | 1.02% |
|  Net investment income | 1.66% | 0.91% | 1.29% | 2.19% | 1.87% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $5292 | $6183 | $6360 | $5291 | $1036 |
|  Portfolio turnover rate | 7 %<sup>(e)</sup> | 2 %<sup>(e)</sup> | 43 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 38 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 89

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund |
|  | <br> Institutional | <br> Institutional | <br> Institutional | <br> Institutional | <br> Institutional |
| | <br> Year Ended<br>12/31/22 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $14.43 | $14.72 | $13.42 | $11.81 | $13.52 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.24 | 0.20 | 0.22 | 0.30 | 0.25 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.44) | 1.08 | 1.47 | 1.99 | (0.87) |
|  Net increase (decrease) from investment operations | <br> (2.20)  | <br> 1.28 | <br> 1.69 | <br> 2.29 | <br> (0.62)  |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.05) | (0.58) | (0.26) | (0.27) | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.04) | (0.99) | (0.13) | (0.41) | (0.85) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.18) | (1.57) | (0.39) | (0.68) | (1.09) |
|  **Net asset value, end of year** | $12.05 | $14.43 | $14.72 | $13.42 | $11.81 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (15.28)% | 8.82% | 12.87% | 19.46% | (4.66)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.75% | 0.80% | 0.78% | 0.57% | 0.57% |
|  Total expenses after fees waived and/or reimbursed | 0.50% | 0.54% | 0.55% | 0.55% | 0.55% |
|  Net investment income | 1.87% | 1.29% | 1.65% | 2.32% | 1.87% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $6563 | $11872 | $10690 | $2908 | $1519 |
|  Portfolio turnover rate | 15 %<sup>(e)</sup> | 6 %<sup>(e)</sup> | 45 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 38 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

90 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) |
|  | <br> Investor A | <br> Investor A | <br> Investor A | <br> Investor A | <br> Investor A |
| | <br> Year Ended<br>12/31/22 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $14.28 | $14.58 | $13.29 | $11.70 | $13.50 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.21 | 0.15 | 0.18 | 0.26 | 0.26 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.43) | 1.08 | 1.46 | 1.98 | (0.91) |
|  Net increase (decrease) from investment operations | <br> (2.22)  | <br> 1.23 | <br> 1.64 | <br> 2.24 | <br> (0.65)  |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.03) | (0.54) | (0.22) | (0.24) | (0.30) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.04) | (0.99) | (0.13) | (0.41) | (0.85) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.16) | (1.53) | (0.35) | (0.65) | (1.15) |
|  **Net asset value, end of year** | $11.90 | $14.28 | $14.58 | $13.29 | $11.70 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (15.54)% | 8.56% | 12.60% | 19.16% | (4.87)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.00% | 1.05% | 1.01% | 0.82% | 0.83% |
|  Total expenses after fees waived and/or reimbursed | 0.75% | 0.79% | 0.80% | 0.80% | 0.81% |
|  Net investment income | 1.71% | 1.02% | 1.34% | 1.97% | 1.94% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $18335 | $23788 | $24518 | $23298 | $25940 |
|  Portfolio turnover rate | 15 %<sup>(e)</sup> | 6 %<sup>(e)</sup> | 45 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 38 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 91

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) |
|  | <br> Investor C | <br> Investor C | <br> Investor C | <br> Investor C | <br> Investor C |
| | <br> Year Ended<br>12/31/22 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $14.16 | $14.49 | $13.20 | $11.63 | $13.44 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.12 | 0.04 | 0.06 | 0.16 | 0.16 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.40) | 1.07 | 1.47 | 1.96 | (0.92) |
|  Net increase (decrease) from investment operations | <br> (2.28)  | <br> 1.11 | <br> 1.53 | <br> 2.12 | <br> (0.76)  |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income |  | (0.45) | (0.11) | (0.14) | (0.20) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.04) | (0.99) | (0.13) | (0.41) | (0.85) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.08) |  |  |  |  |
|  Total distributions | (0.12) | (1.44) | (0.24) | (0.55) | (1.05) |
|  **Net asset value, end of year** | $11.76 | $14.16 | $14.49 | $13.20 | $11.63 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (16.12)% | 7.70% | 11.76% | 18.25% | (5.70)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.75% | 1.80% | 1.77% | 1.62% | 1.63% |
|  Total expenses after fees waived and/or reimbursed | 1.50% | 1.54% | 1.56% | 1.60% | 1.61% |
|  Net investment income | 0.97% | 0.28% | 0.49% | 1.25% | 1.17% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $2170 | $2763 | $2610 | $3416 | $2434 |
|  Portfolio turnover rate | 15 %<sup>(e)</sup> | 6 %<sup>(e)</sup> | 45 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 38 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

92 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) |
|  | <br> Class K | <br> Class K | <br> Class K | <br> Class K | <br> Class K |
| | <br> Year Ended<br>12/31/22 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $14.26 | $14.57 | $13.28 | $11.69 | $13.49 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.27 | 0.23 | 0.24 | 0.34 | 0.33 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.42) | 1.07 | 1.47 | 1.96 | (0.91) |
|  Net increase (decrease) from investment operations | (2.15) | 1.30 | 1.71 | 2.30 | (0.58) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.06) | (0.62) | (0.29) | (0.30) | (0.37) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.04) | (0.99) | (0.13) | (0.41) | (0.85) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.19) | (1.61) | (0.42) | (0.71) | (1.22) |
|  **Net asset value, end of year** | $11.92 | $14.26 | $14.57 | $13.28 | $11.69 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (15.06)% | 9.05% | 13.17% | 19.72% | (4.43)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.50% | 0.55% | 0.52% | 0.37% | 0.38% |
|  Total expenses after fees waived and/or reimbursed | 0.25% | 0.29% | 0.31% | 0.35% | 0.36% |
|  Net investment income | 2.12% | 1.55% | 1.84% | 2.62% | 2.44% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $46518 | $75927 | $59727 | $34027 | $9062 |
|  Portfolio turnover rate | 15 %<sup>(e)</sup> | 6 %<sup>(e)</sup> | 45 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 38 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 93

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund (continued) |
|  | <br> Class R | <br> Class R | <br> Class R | <br> Class R | <br> Class R |
| | <br> Year Ended<br>12/31/22 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $14.25 | $14.56 | $13.26 | $11.68 | $13.49 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.20 | 0.13 | 0.14 | 0.24 | 0.24 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.43) | 1.07 | 1.48 | 1.97 | (0.92) |
|  Net increase (decrease) from investment operations | (2.23) | 1.20 | 1.62 | 2.21 | (0.68) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.02) | (0.52) | (0.19) | (0.22) | (0.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.04) | (0.99) | (0.13) | (0.41) | (0.85) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.15) | (1.51) | (0.32) | (0.63) | (1.13) |
|  **Net asset value, end of year** | $11.87 | $14.25 | $14.56 | $13.26 | $11.68 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (15.65)% | 8.30% | 12.44% | 18.91% | (5.10)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.20% | 1.25% | 1.20% | 1.02% | 1.03% |
|  Total expenses after fees waived and/or reimbursed | 0.95% | 0.99% | 1.00% | 1.00% | 1.01% |
|  Net investment income | 1.59% | 0.85% | 1.05% | 1.82% | 1.77% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $3754 | $3875 | $3559 | $5479 | $5003 |
|  Portfolio turnover rate | 15 %<sup>(e)</sup> | 6 %<sup>(e)</sup> | 45 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 38 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

94 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund |
|  | <br> Institutional | <br> Institutional | <br> Institutional | <br> Institutional | <br> Institutional |
| | <br> Year Ended<br>12/31/22 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $14.10 | $14.80 | $13.65 | $11.90 | $14.26 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.23 | 0.19 | 0.20 | 0.29 | 0.29 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.46) | 1.48 | 1.52 | 2.32 | (1.04) |
|  Net increase (decrease) from investment operations | (2.23) | 1.67 | 1.72 | 2.61 | (0.75) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.10) | (0.75) | (0.23) | (0.30) | (0.31) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.06) | (1.62) | (0.34) | (0.56) | (1.30) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.07) |  |  |  |  |
|  Total distributions | (0.23) | (2.37) | (0.57) | (0.86) | (1.61) |
|  **Net asset value, end of year** | $11.64 | $14.10 | $14.80 | $13.65 | $11.90 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (15.83)% | 11.46% | 13.05% | 22.07% | (5.48)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.74% | 0.79% | 0.75% | 0.56% | 0.56% |
|  Total expenses after fees waived and/or reimbursed | 0.49% | 0.53% | 0.54% | 0.55% | 0.56% |
|  Net investment income | 1.88% | 1.25% | 1.51% | 2.18% | 2.01% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $40746 | $55606 | $58905 | $73530 | $59749 |
|  Portfolio turnover rate | 11 %<sup>(e)</sup> | 5 %<sup>(e)</sup> | 38 %<sup>(f)</sup> | 32 %<sup>(g)</sup> | 29 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 95

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) |
|  | <br> Investor A | <br> Investor A | <br> Investor A | <br> Investor A | <br> Investor A |
| | <br> Year Ended<br>12/31/22 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $13.30 | $14.09 | $13.02 | $11.39 | $13.72 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.19 | 0.15 | 0.16 | 0.24 | 0.25 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.31) | 1.40 | 1.45 | 2.22 | (1.00) |
|  Net increase (decrease) from investment operations | (2.12) | 1.55 | 1.61 | 2.46 | (0.75) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.09) | (0.72) | (0.20) | (0.27) | (0.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.06) | (1.62) | (0.34) | (0.56) | (1.30) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.07) |  |  |  |  |
|  Total distributions | (0.22) | (2.34) | (0.54) | (0.83) | (1.58) |
|  **Net asset value, end of year** | $10.96 | $13.30 | $14.09 | $13.02 | $11.39 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (15.98)% | 11.13% | 12.79% | 21.72% | (5.69)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.99% | 1.04% | 1.00% | 0.81% | 0.81% |
|  Total expenses after fees waived and/or reimbursed | 0.74% | 0.78% | 0.79% | 0.80% | 0.81% |
|  Net investment income | 1.64% | 1.00% | 1.24% | 1.89% | 1.80% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $133740 | $172296 | $183497 | $212100 | $212050 |
|  Portfolio turnover rate | 11 %<sup>(e)</sup> | 5 %<sup>(e)</sup> | 38 %<sup>(f)</sup> | 32 %<sup>(g)</sup> | 29 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

96 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) |
|  | Investor C | Investor C | Investor C | Investor C | Investor C |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $13.71 | $14.47 | $13.34 | $11.65 | $14.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.11 | 0.04 | 0.06 | 0.14 | 0.15 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.38) | 1.43 | 1.50 | 2.27 | (1.04) |
|  Net increase (decrease) from investment operations | (2.27) | 1.47 | 1.56 | 2.41 | (0.89) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.05) | (0.61) | (0.09) | (0.16) | (0.17) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.06) | (1.62) | (0.34) | (0.56) | (1.30) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.07) |  |  |  |  |
|  Total distributions | (0.18) | (2.23) | (0.43) | (0.72) | (1.47) |
|  **Net asset value, end of year** | $11.26 | $13.71 | $14.47 | $13.34 | $11.65 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (16.62)% | 10.29% | 12.00% | 20.76% | (6.53)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.74% | 1.79% | 1.76% | 1.61% | 1.61% |
|  Total expenses after fees waived and/or reimbursed | 1.49% | 1.53% | 1.55% | 1.60% | 1.61% |
|  Net investment income | 0.91% | 0.23% | 0.44% | 1.08% | 1.05% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $2359 | $2698 | $2925 | $3746 | $4117 |
|  Portfolio turnover rate | 11 %<sup>(e)</sup> | 5 %<sup>(e)</sup> | 38 %<sup>(f)</sup> | 32 %<sup>(g)</sup> | 29 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 97

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $14.06 | $14.77 | $13.62 | $11.88 | $14.24 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.25 | 0.24 | 0.23 | 0.34 | 0.32 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.44) | 1.46 | 1.52 | 2.29 | (1.04) |
|  Net increase (decrease) from investment operations | (2.19) | 1.70 | 1.75 | 2.63 | (0.72) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.12) | (0.79) | (0.26) | (0.33) | (0.34) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.06) | (1.62) | (0.34) | (0.56) | (1.30) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.07) |  |  |  |  |
|  Total distributions | (0.25) | (2.41) | (0.60) | (0.89) | (1.64) |
|  **Net asset value, end of year** | $11.62 | $14.06 | $14.77 | $13.62 | $11.88 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (15.63)% | 11.70% | 13.36% | 22.27% | (5.28)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.49% | 0.54% | 0.51% | 0.36% | 0.36% |
|  Total expenses after fees waived and/or reimbursed | 0.24% | 0.28% | 0.30% | 0.36% | 0.36% |
|  Net investment income | 2.08% | 1.54% | 1.73% | 2.52% | 2.27% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $70367 | $100750 | $77510 | $56168 | $28121 |
|  Portfolio turnover rate | 11 %<sup>(e)</sup> | 5 %<sup>(e)</sup> | 38 %<sup>(f)</sup> | 32 %<sup>(g)</sup> | 29 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

98 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund (continued) |
|  | Class R | Class R | Class R | Class R | Class R |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $13.86 | $14.59 | $13.46 | $11.76 | $14.12 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.18 | 0.13 | 0.14 | 0.24 | 0.24 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.42) | 1.45 | 1.50 | 2.27 | (1.05) |
|  Net increase (decrease) from investment operations | (2.24) | 1.58 | 1.64 | 2.51 | (0.81) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.08) | (0.69) | (0.17) | (0.25) | (0.25) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.06) | (1.62) | (0.34) | (0.56) | (1.30) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.07) |  |  |  |  |
|  Total distributions | (0.21) | (2.31) | (0.51) | (0.81) | (1.55) |
|  **Net asset value, end of year** | $11.41 | $13.86 | $14.59 | $13.46 | $11.76 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (16.21)% | 10.93% | 12.58% | 21.44% | (5.92)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.19% | 1.24% | 1.20% | 1.01% | 1.01% |
|  Total expenses after fees waived and/or reimbursed | 0.94% | 0.98% | 0.99% | 1.01% | 1.01% |
|  Net investment income | 1.50% | 0.84% | 1.10% | 1.78% | 1.70% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $5157 | $5389 | $4434 | $4646 | $2575 |
|  Portfolio turnover rate | 11 %<sup>(e)</sup> | 5 %<sup>(e)</sup> | 38 %<sup>(f)</sup> | 32 %<sup>(g)</sup> | 29 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 99

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $16.13 | $15.92 | $14.34 | $12.21 | $14.48 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.25 | 0.20 | 0.22 | 0.30 | 0.25 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.91) | 1.97 | 1.71 | 2.58 | (1.15) |
|  Net increase (decrease) from investment operations | (2.66) | 2.17 | 1.93 | 2.88 | (0.90) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.10) | (0.85) | (0.23) | (0.30) | (0.27) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.09) | (1.11) | (0.12) | (0.45) | (1.10) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.28) | (1.96) | (0.35) | (0.75) | (1.37) |
|  **Net asset value, end of year** | $13.19 | $16.13 | $15.92 | $14.34 | $12.21 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (16.56)% | 13.76% | 13.82% | 23.66% | (6.42)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.76% | 0.82% | 0.80% | 0.57% | 0.57% |
|  Total expenses after fees waived and/or reimbursed | 0.48% | 0.52% | 0.54% | 0.55% | 0.55% |
|  Net investment income | 1.80% | 1.19% | 1.55% | 2.20% | 1.71% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $10486 | $12898 | $11677 | $4004 | $2231 |
|  Portfolio turnover rate | 14 %<sup>(e)</sup> | 3 %<sup>(e)</sup> | 29 %<sup>(f)</sup> | 42 %<sup>(g)</sup> | 40 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

100 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $16.05 | $15.85 | $14.27 | $12.15 | $14.46 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.22 | 0.16 | 0.16 | 0.25 | 0.25 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.91) | 1.96 | 1.73 | 2.58 | (1.19) |
|  Net increase (decrease) from investment operations | (2.69) | 2.12 | 1.89 | 2.83 | (0.94) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.08) | (0.81) | (0.19) | (0.26) | (0.27) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.09) | (1.11) | (0.12) | (0.45) | (1.10) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.26) | (1.92) | (0.31) | (0.71) | (1.37) |
|  **Net asset value, end of year** | $13.10 | $16.05 | $15.85 | $14.27 | $12.15 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (16.79)% | 13.46% | 13.55% | 23.37% | (6.69)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.01% | 1.07% | 1.03% | 0.82% | 0.82% |
|  Total expenses after fees waived and/or reimbursed | 0.73% | 0.77% | 0.79% | 0.80% | 0.80% |
|  Net investment income | 1.57% | 0.93% | 1.18% | 1.85% | 1.75% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $24670 | $26304 | $28189 | $28656 | $27982 |
|  Portfolio turnover rate | 14 %<sup>(e)</sup> | 3 %<sup>(e)</sup> | 29 %<sup>(f)</sup> | 42 %<sup>(g)</sup> | 40 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 101

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) |
|  | Investor C | Investor C | Investor C | Investor C | Investor C |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $15.80 | $15.67 | $14.11 | $12.02 | $14.33 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.11 | 0.03 | 0.06 | 0.14 | 0.14 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.85) | 1.93 | 1.70 | 2.56 | (1.19) |
|  Net increase (decrease) from investment operations | (2.74) | 1.96 | 1.76 | 2.70 | (1.05) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.03) | (0.72) | (0.08) | (0.16) | (0.16) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.09) | (1.11) | (0.12) | (0.45) | (1.10) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.21) | (1.83) | (0.20) | (0.61) | (1.26) |
|  **Net asset value, end of year** | $12.85 | $15.80 | $15.67 | $14.11 | $12.02 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (17.38)% | 12.56% | 12.68% | 22.43% | (7.47)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.76% | 1.82% | 1.79% | 1.62% | 1.62% |
|  Total expenses after fees waived and/or reimbursed | 1.48% | 1.52% | 1.55% | 1.60% | 1.60% |
|  Net investment income | 0.80% | 0.20% | 0.42% | 1.07% | 0.99% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $3066 | $3637 | $3123 | $3173 | $2609 |
|  Portfolio turnover rate | 14 %<sup>(e)</sup> | 3 %<sup>(e)</sup> | 29 %<sup>(f)</sup> | 42 %<sup>(g)</sup> | 40 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

102 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) |
|  | Class K  | Class K  | Class K  | Class K  | Class K  |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $16.38 | $16.15 | $14.53 | $12.36 | $14.68 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.28 | 0.25 | 0.25 | 0.37 | 0.33 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.94) | 1.99 | 1.74 | 2.58 | (1.22) |
|  Net increase (decrease) from investment operations | (2.66) | 2.24 | 1.99 | 2.95 | (0.89) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.12) | (0.90) | (0.25) | (0.33) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.09) | (1.11) | (0.12) | (0.45) | (1.10) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.30) | (2.01) | (0.37) | (0.78) | (1.43) |
|  **Net asset value, end of year** | $13.42 | $16.38 | $16.15 | $14.53 | $12.36 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (16.32)% | 13.96% | 14.14% | 23.92% | (6.23)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.51% | 0.57% | 0.54% | 0.36% | 0.37% |
|  Total expenses after fees waived and/or reimbursed | 0.23% | 0.27% | 0.30% | 0.35% | 0.35% |
|  Net investment income | 1.97% | 1.47% | 1.77% | 2.63% | 2.25% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $68520 | $95154 | $67968 | $27720 | $6627 |
|  Portfolio turnover rate | 14 %<sup>(e)</sup> | 3 %<sup>(e)</sup> | 29 %<sup>(f)</sup> | 42 %<sup>(g)</sup> | 40 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 103

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund (continued) |
|  | Class R | Class R | Class R | Class R | Class R |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $16.03 | $15.85 | $14.26 | $12.15 | $14.46 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.19 | 0.13 | 0.13 | 0.24 | 0.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.89) | 1.95 | 1.73 | 2.57 | (1.19) |
|  Net increase (decrease) from investment operations | (2.70) | 2.08 | 1.86 | 2.81 | (0.97) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.07) | (0.79) | (0.15) | (0.25) | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.09) | (1.11) | (0.12) | (0.45) | (1.10) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.25) | (1.90) | (0.27) | (0.70) | (1.34) |
|  **Net asset value, end of year** | $13.08 | $16.03 | $15.85 | $14.26 | $12.15 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (16.91)% | 13.19% | 13.33% | 23.15% | (6.87)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.21% | 1.27% | 1.21% | 1.02% | 1.02% |
|  Total expenses after fees waived and/or reimbursed | 0.93% | 0.97% | 0.99% | 1.00% | 1.00% |
|  Net investment income | 1.40% | 0.77% | 0.91% | 1.71% | 1.55% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $4143 | $3687 | $2620 | $5541 | $3131 |
|  Portfolio turnover rate | 14 %<sup>(e)</sup> | 3 %<sup>(e)</sup> | 29 %<sup>(f)</sup> | 42 %<sup>(g)</sup> | 40 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

104 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $18.02 | $18.74 | $17.22 | $14.62 | $18.04 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.26 | 0.23 | 0.23 | 0.35 | 0.34 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.33) | 2.73 | 2.09 | 3.39 | (1.65) |
|  Net increase (decrease) from investment operations | (3.07) | 2.96 | 2.32 | 3.74 | (1.31) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.13) | (1.29) | (0.24) | (0.37) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.11) | (2.39) | (0.56) | (0.77) | (1.78) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.08) |  |  |  |  |
|  Total distributions | (0.32) | (3.68) | (0.80) | (1.14) | (2.11) |
|  **Net asset value, end of year** | $14.63 | $18.02 | $18.74 | $17.22 | $14.62 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (17.09)% | 16.04% | 13.98% | 25.72% | (7.49)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.76% | 0.81% | 0.77% | 0.55% | 0.55% |
|  Total expenses after fees waived and/or reimbursed | 0.47% | 0.52% | 0.53% | 0.55% | 0.55% |
|  Net investment income | 1.67% | 1.13% | 1.41% | 2.10% | 1.87% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $41098 | $54509 | $59328 | $60508 | $48056 |
|  Portfolio turnover rate | 13 %<sup>(e)</sup> | 6 %<sup>(e)</sup> | 39 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 39 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 105

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $15.66 | $16.71 | $15.44 | $13.22 | $16.53 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.19 | 0.16 | 0.17 | 0.27 | 0.27 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.89) | 2.45 | 1.87 | 3.06 | (1.50) |
|  Net increase (decrease) from investment operations | (2.70) | 2.61 | 2.04 | 3.33 | (1.23) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.13) | (1.26) | (0.21) | (0.34) | (0.30) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.11) | (2.40) | (0.56) | (0.77) | (1.78) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.07) |  |  |  |  |
|  Total distributions | (0.31) | (3.66) | (0.77) | (1.11) | (2.08) |
|  **Net asset value, end of year** | $12.65 | $15.66 | $16.71 | $15.44 | $13.22 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (17.32)% | 15.84% | 13.72% | 25.29% | (7.70)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.01% | 1.06% | 1.02% | 0.80% | 0.80% |
|  Total expenses after fees waived and/or reimbursed | 0.72% | 0.77% | 0.78% | 0.80% | 0.80% |
|  Net investment income | 1.43% | 0.89% | 1.14% | 1.81% | 1.66% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $121680 | $153955 | $157613 | $173103 | $168678 |
|  Portfolio turnover rate | 13 %<sup>(e)</sup> | 6 %<sup>(e)</sup> | 39 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 39 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

106 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) |
|  | Investor C | Investor C | Investor C | Investor C | Investor C |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $17.56 | $18.38 | $16.89 | $14.37 | $17.77 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.11 | 0.03 | 0.05 | 0.17 | 0.15 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.25) | 2.69 | 2.06 | 3.32 | (1.62) |
|  Net increase (decrease) from investment operations | (3.14) | 2.72 | 2.11 | 3.49 | (1.47) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.06) | (1.15) | (0.06) | (0.20) | (0.15) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.11) | (2.39) | (0.56) | (0.77) | (1.78) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.08) |  |  |  |  |
|  Total distributions | (0.25) | (3.54) | (0.62) | (0.97) | (1.93) |
|  **Net asset value, end of year** | $14.17 | $17.56 | $18.38 | $16.89 | $14.37 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (17.94)% | 14.97% | 12.80% | 24.35% | (8.47)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.76% | 1.81% | 1.77% | 1.60% | 1.60% |
|  Total expenses after fees waived and/or reimbursed | 1.47% | 1.52% | 1.55% | 1.60% | 1.60% |
|  Net investment income | 0.71% | 0.15% | 0.32% | 1.05% | 0.86% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $2210 | $2486 | $2325 | $3276 | $2541 |
|  Portfolio turnover rate | 13 %<sup>(e)</sup> | 6 %<sup>(e)</sup> | 39 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 39 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 107

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $18.16 | $18.85 | $17.32 | $14.70 | $18.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.29 | 0.29 | 0.26 | 0.41 | 0.38 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.35) | 2.75 | 2.11 | 3.38 | (1.66) |
|  Net increase (decrease) from investment operations | (3.06) | 3.04 | 2.37 | 3.79 | (1.28) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.15) | (1.34) | (0.28) | (0.40) | (0.37) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.11) | (2.39) | (0.56) | (0.77) | (1.78) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.08) |  |  |  |  |
|  Total distributions | (0.34) | (3.73) | (0.84) | (1.17) | (2.15) |
|  **Net asset value, end of year** | $14.76 | $18.16 | $18.85 | $17.32 | $14.70 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (16.90)% | 16.38% | 14.23% | 25.96% | (7.31)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.51% | 0.56% | 0.53% | 0.35% | 0.35% |
|  Total expenses after fees waived and/or reimbursed | 0.22% | 0.27% | 0.29% | 0.35% | 0.35% |
|  Net investment income | 1.87% | 1.44% | 1.58% | 2.42% | 2.09% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $60687 | $85150 | $57407 | $47987 | $28294 |
|  Portfolio turnover rate | 13 %<sup>(e)</sup> | 6 %<sup>(e)</sup> | 39 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 39 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

108 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund (continued) |
|  | Class R | Class R | Class R | Class R | Class R |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $17.73 | $18.51 | $17.02 | $14.48 | $17.89 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.19 | 0.14 | 0.16 | 0.28 | 0.25 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.28) | 2.70 | 2.06 | 3.34 | (1.63) |
|  Net increase (decrease) from investment operations | (3.09) | 2.84 | 2.22 | 3.62 | (1.38) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.10) | (1.23) | (0.17) | (0.31) | (0.25) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.11) | (2.39) | (0.56) | (0.77) | (1.78) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.08) |  |  |  |  |
|  Total distributions | (0.29) | (3.62) | (0.73) | (1.08) | (2.03) |
|  **Net asset value, end of year** | $14.35 | $17.73 | $18.51 | $17.02 | $14.48 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (17.48)% | 15.55% | 13.45% | 25.10% | (7.92)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.21% | 1.26% | 1.21% | 1.01% | 1.00% |
|  Total expenses after fees waived and/or reimbursed | 0.92% | 0.97% | 0.98% | 1.00% | 1.00% |
|  Net investment income | 1.28% | 0.72% | 0.96% | 1.70% | 1.41% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $4880 | $4977 | $3946 | $4005 | $2078 |
|  Portfolio turnover rate | 13 %<sup>(e)</sup> | 6 %<sup>(e)</sup> | 39 %<sup>(f)</sup> | 35 %<sup>(g)</sup> | 39 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 109

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $17.81 | $17.06 | $15.31 | $12.75 | $15.41 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.23 | 0.20 | 0.21 | 0.31 | 0.26 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.36) | 2.79 | 1.91 | 3.04 | (1.47) |
|  Net increase (decrease) from investment operations | (3.13) | 2.99 | 2.12 | 3.35 | (1.21) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.13) | (1.16) | (0.22) | (0.31) | (0.29) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.15) | (1.08) | (0.15) | (0.48) | (1.16) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.37) | (2.24) | (0.37) | (0.79) | (1.45) |
|  **Net asset value, end of year** | $14.31 | $17.81 | $17.06 | $15.31 | $12.75 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (17.68)% | 17.61% | 14.31% | 26.38% | (8.18)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.78% | 0.84% | 0.82% | 0.58% | 0.58% |
|  Total expenses after fees waived and/or reimbursed | 0.47% | 0.51% | 0.53% | 0.56% | 0.55% |
|  Net investment income | 1.49% | 1.07% | 1.43% | 2.13% | 1.68% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $6317 | $8641 | $7491 | $4656 | $2967 |
|  Portfolio turnover rate | 16 %<sup>(e)</sup> | — %<sup>(e)(f)</sup> | 26 %<sup>(g)</sup> | 49 %<sup>(h)</sup> | 47 %<sup>(h)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> Rounds to less than 1%. 

<sup>(g)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(h)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

110 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $17.75 | $17.02 | $15.27 | $12.72 | $15.40 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.19 | 0.16 | 0.16 | 0.26 | 0.24 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.35) | 2.77 | 1.92 | 3.05 | (1.50) |
|  Net increase (decrease) from investment operations | (3.16) | 2.93 | 2.08 | 3.31 | (1.26) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.12) | (1.12) | (0.18) | (0.28) | (0.26) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.15) | (1.08) | (0.15) | (0.48) | (1.16) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.08) |  |  |  |  |
|  Total distributions | (0.35) | (2.20) | (0.33) | (0.76) | (1.42) |
|  **Net asset value, end of year** | $14.24 | $17.75 | $17.02 | $15.27 | $12.72 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (17.89)% | 17.33% | 14.03% | 26.05% | (8.44)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.03% | 1.09% | 1.05% | 0.84% | 0.83% |
|  Total expenses after fees waived and/or reimbursed | 0.72% | 0.76% | 0.79% | 0.81% | 0.80% |
|  Net investment income | 1.23% | 0.84% | 1.12% | 1.82% | 1.56% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $17896 | $21856 | $17996 | $18811 | $17742 |
|  Portfolio turnover rate | 16 %<sup>(e)</sup> | — %<sup>(e)(f)</sup> | 26 %<sup>(g)</sup> | 49 %<sup>(h)</sup> | 47 %<sup>(h)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations. <sup></sup>

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> Rounds to less than 1%. 

<sup>(g)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(h)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 111

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) |
|  | Investor C | Investor C | Investor C | Investor C | Investor C |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $17.42 | $16.78 | $15.04 | $12.54 | $15.20 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.07 | 0.02 | 0.04 | 0.15 | 0.12 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.28) | 2.72 | 1.90 | 2.99 | (1.47) |
|  Net increase (decrease) from investment operations | (3.21) | 2.74 | 1.94 | 3.14 | (1.35) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.08) | (1.02) | (0.05) | (0.16) | (0.15) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.15) | (1.08) | (0.15) | (0.48) | (1.16) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.08) |  |  |  |  |
|  Total distributions | (0.31) | (2.10) | (0.20) | (0.64) | (1.31) |
|  **Net asset value, end of year** | $13.90 | $17.42 | $16.78 | $15.04 | $12.54 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (18.51)% | 16.40% | 13.16% | 25.07% | (9.13)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.78% | 1.84% | 1.81% | 1.64% | 1.63% |
|  Total expenses after fees waived and/or reimbursed | 1.47% | 1.51% | 1.55% | 1.61% | 1.60% |
|  Net investment income | 0.47% | 0.08% | 0.29% | 1.04% | 0.78% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $1284 | $1392 | $1129 | $1732 | $1535 |
|  Portfolio turnover rate | 16 %<sup>(e)</sup> | — %<sup>(e)(f)</sup> | 26 %<sup>(g)</sup> | 49 %<sup>(h)</sup> | 47 %<sup>(h)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> Rounds to less than 1%. 

<sup>(g)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(h)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

112 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $18.05 | $17.25 | $15.48 | $12.88 | $15.57 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.26 | 0.26 | 0.26 | 0.39 | 0.32 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.39) | 2.81 | 1.91 | 3.03 | (1.52) |
|  Net increase (decrease) from investment operations | (3.13) | 3.07 | 2.17 | 3.42 | (1.20) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.15) | (1.19) | (0.25) | (0.34) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.15) | (1.08) | (0.15) | (0.48) | (1.16) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.39) | (2.27) | (0.40) | (0.82) | (1.49) |
|  **Net asset value, end of year** | $14.53 | $18.05 | $17.25 | $15.48 | $12.88 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (17.44)% | 17.93% | 14.54% | 26.67% | (7.99)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.53% | 0.59% | 0.57% | 0.37% | 0.38% |
|  Total expenses after fees waived and/or reimbursed | 0.22% | 0.26% | 0.29% | 0.34% | 0.35% |
|  Net investment income | 1.68% | 1.35% | 1.73% | 2.60% | 2.04% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $60100 | $82853 | $56683 | $20936 | $4471 |
|  Portfolio turnover rate | 16 %<sup>(e)</sup> | — %<sup>(e)(f)</sup> | 26 %<sup>(g)</sup> | 49 %<sup>(h)</sup> | 47 %<sup>(h)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios. <sup></sup>

<sup>(f)</sup> Rounds to less than 1%. 

<sup>(g)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(h)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 113

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund (continued) |
|  | Class R | Class R | Class R | Class R | Class R |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $17.68 | $16.97 | $15.23 | $12.69 | $15.37 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.17 | 0.12 | 0.13 | 0.24 | 0.21 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.34) | 2.77 | 1.90 | 3.03 | (1.49) |
|  Net increase (decrease) from investment operations | (3.17) | 2.89 | 2.03 | 3.27 | (1.28) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.11) | (1.10) | (0.14) | (0.25) | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.15) | (1.08) | (0.15) | (0.48) | (1.16) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.08) |  |  |  |  |
|  Total distributions | (0.34) | (2.18) | (0.29) | (0.73) | (1.40) |
|  **Net asset value, end of year** | $14.17 | $17.68 | $16.97 | $15.23 | $12.69 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (18.03)% | 17.10% | 13.73% | 25.83% | (8.63)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.23% | 1.29% | 1.24% | 1.04% | 1.03% |
|  Total expenses after fees waived and/or reimbursed | 0.92% | 0.96% | 0.99% | 1.01% | 1.00% |
|  Net investment income | 1.17% | 0.64% | 0.87% | 1.65% | 1.38% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $4108 | $2989 | $2454 | $4104 | $3196 |
|  Portfolio turnover rate | 16 %<sup>(e)</sup> | — %<sup>(e)(f)</sup> | 26 %<sup>(g)</sup> | 49 %<sup>(h)</sup> | 47 %<sup>(h)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> Rounds to less than 1%. 

<sup>(g)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(h)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

114 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $22.99 | $22.78 | $20.39 | $17.13 | $21.54 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.28 | 0.26 | 0.24 | 0.41 | 0.36 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (4.56) | 3.83 | 2.67 | 4.09 | (2.07) |
|  Net increase (decrease) from investment operations | (4.28) | 4.09 | 2.91 | 4.50 | (1.71) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.20) | (1.69) | (0.26) | (0.42) | (0.42) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.17) | (2.19) | (0.26) | (0.82) | (2.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.46) | (3.88) | (0.52) | (1.24) | (2.70) |
|  **Net asset value, end of year** | $18.25 | $22.99 | $22.78 | $20.39 | $17.13 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (18.71)% | 18.15% | 14.80% | 26.38% | (8.27)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.78% | 0.84% | 0.79% | 0.56% | 0.56% |
|  Total expenses after fees waived and/or reimbursed | 0.49% | 0.54% | 0.54% | 0.55% | 0.55% |
|  Net investment income | 1.45% | 1.04% | 1.24% | 2.07% | 1.68% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $15423 | $21290 | $19215 | $16870 | $11376 |
|  Portfolio turnover rate | 16 %<sup>(e)</sup> | 1 %<sup>(e)</sup> | 31 %<sup>(f)</sup> | 42 %<sup>(g)</sup> | 43 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 115

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $22.87 | $22.69 | $20.31 | $17.06 | $21.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.24 | 0.19 | 0.19 | 0.34 | 0.31 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (4.54) | 3.82 | 2.66 | 4.10 | (2.07) |
|  Net increase (decrease) from investment operations | (4.30) | 4.01 | 2.85 | 4.44 | (1.76) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.18) | (1.64) | (0.21) | (0.37) | (0.37) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.17) | (2.19) | (0.26) | (0.82) | (2.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.44) | (3.83) | (0.47) | (1.19) | (2.65) |
|  **Net asset value, end of year** | $18.13 | $22.87 | $22.69 | $20.31 | $17.06 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (18.90)% | 17.88% | 14.50% | 26.11% | (8.51)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.03% | 1.09% | 1.04% | 0.81% | 0.81% |
|  Total expenses after fees waived and/or reimbursed | 0.75% | 0.79% | 0.79% | 0.80% | 0.80% |
|  Net investment income | 1.22% | 0.78% | 0.96% | 1.76% | 1.47% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $64526 | $77982 | $73608 | $75986 | $70181 |
|  Portfolio turnover rate | 16 %<sup>(e)</sup> | 1 %<sup>(e)</sup> | 31 %<sup>(f)</sup> | 42 %<sup>(g)</sup> | 43 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

116 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) |
|  | Investor C | Investor C | Investor C | Investor C | Investor C |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $22.42 | $22.36 | $20.02 | $16.86 | $21.26 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.09 | 0.01 | 0.04 | 0.20 | 0.14 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (4.44) | 3.75 | 2.62 | 4.02 | (2.05) |
|  Net increase (decrease) from investment operations | (4.35) | 3.76 | 2.66 | 4.22 | (1.91) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.11) | (1.51) | (0.06) | (0.24) | (0.21) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.17) | (2.19) | (0.26) | (0.82) | (2.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.37) | (3.70) | (0.32) | (1.06) | (2.49) |
|  **Net asset value, end of year** | $17.70 | $22.42 | $22.36 | $20.02 | $16.86 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (19.50)% | 17.00% | 13.60% | 25.10% | (9.25)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.78% | 1.84% | 1.80% | 1.61% | 1.61% |
|  Total expenses after fees waived and/or reimbursed | 1.50% | 1.54% | 1.55% | 1.60% | 1.60% |
|  Net investment income | 0.47% | 0.05% | 0.19% | 1.01% | 0.68% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $1690 | $2002 | $1477 | $1774 | $1299 |
|  Portfolio turnover rate | 16 %<sup>(e)</sup> | 1 %<sup>(e)</sup> | 31 %<sup>(f)</sup> | 42 %<sup>(g)</sup> | 43 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 117

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $23.10 | $22.86 | $20.46 | $17.18 | $21.59 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.32 | 0.33 | 0.29 | 0.50 | 0.37 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (4.56) | 3.83 | 2.68 | 4.06 | (2.05) |
|  Net increase (decrease) from investment operations | (4.24) | 4.16 | 2.97 | 4.56 | (1.68) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.23) | (1.73) | (0.31) | (0.46) | (0.45) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.17) | (2.19) | (0.26) | (0.82) | (2.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.49) | (3.92) | (0.57) | (1.28) | (2.73) |
|  **Net asset value, end of year** | $18.37 | $23.10 | $22.86 | $20.46 | $17.18 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (18.47)% | 18.45% | 15.07% | 26.67% | (8.11)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.53% | 0.59% | 0.55% | 0.36% | 0.36% |
|  Total expenses after fees waived and/or reimbursed | 0.24% | 0.29% | 0.30% | 0.35% | 0.35% |
|  Net investment income | 1.62% | 1.34% | 1.47% | 2.54% | 1.69% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $42971 | $66065 | $35574 | $16383 | $4504 |
|  Portfolio turnover rate | 16 %<sup>(e)</sup> | 1 %<sup>(e)</sup> | 31 %<sup>(f)</sup> | 42 %<sup>(g)</sup> | 43 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c</sup><sup>)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

118 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund (continued) |
|  | Class R | Class R | Class R | Class R | Class R |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $22.74 | $22.59 | $20.23 | $17.00 | $21.42 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.21 | 0.15 | 0.15 | 0.31 | 0.27 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (4.52) | 3.80 | 2.64 | 4.08 | (2.08) |
|  Net increase (decrease) from investment operations | (4.31) | 3.95 | 2.79 | 4.39 | (1.81) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.16) | (1.61) | (0.17) | (0.34) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.17) | (2.19) | (0.26) | (0.82) | (2.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.09) |  |  |  |  |
|  Total distributions | (0.42) | (3.80) | (0.43) | (1.16) | (2.61) |
|  **Net asset value, end of year** | $18.01 | $22.74 | $22.59 | $20.23 | $17.00 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (19.05)% | 17.65% | 14.23% | 25.92% | (8.74)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.23% | 1.29% | 1.24% | 1.01% | 1.01% |
|  Total expenses after fees waived and/or reimbursed | 0.94% | 0.99% | 1.00% | 1.00% | 1.00% |
|  Net investment income | 1.10% | 0.60% | 0.77% | 1.57% | 1.29% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $3302 | $3149 | $2647 | $2558 | $1620 |
|  Portfolio turnover rate | 16 %<sup>(e)</sup> | 1 %<sup>(e)</sup> | 31 %<sup>(f)</sup> | 42 %<sup>(g)</sup> | 43 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 119

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $18.90 | $17.94 | $15.90 | $13.19 | $15.86 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.22 | 0.20 | 0.20 | 0.32 | 0.26 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.75) | 3.07 | 2.18 | 3.16 | (1.56) |
|  Net increase (decrease) from investment operations | (3.53) | 3.27 | 2.38 | 3.48 | (1.30) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.14) | (1.24) | (0.21) | (0.31) | (0.29) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.17) | (1.07) | (0.13) | (0.46) | (1.08) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.07) |  |  |  |  |
|  Total distributions | (0.38) | (2.31) | (0.34) | (0.77) | (1.37) |
|  **Net asset value, end of year** | $14.99 | $18.90 | $17.94 | $15.90 | $13.19 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (18.75)% | 18.43% | 15.47% | 26.48% | (8.43)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.79% | 0.87% | 0.85% | 0.59% | 0.61% |
|  Total expenses after fees waived and/or reimbursed | 0.50% | 0.54% | 0.54% | 0.54% | 0.55% |
|  Net investment income | 1.40% | 0.99% | 1.30% | 2.14% | 1.65% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $6014 | $7814 | $6308 | $3461 | $1748 |
|  Portfolio turnover rate | 27 %<sup>(e)</sup> | 2 %<sup>(e)</sup> | 23 %<sup>(f)</sup> | 54 %<sup>(g)</sup> | 57 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

120 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $18.78 | $17.85 | $15.82 | $13.13 | $15.81 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.18 | 0.15 | 0.16 | 0.27 | 0.24 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.72) | 3.06 | 2.17 | 3.15 | (1.57) |
|  Net increase (decrease) from investment operations | (3.54) | 3.21 | 2.33 | 3.42 | (1.33) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.12) | (1.21) | (0.17) | (0.27) | (0.27) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.17) | (1.07) | (0.13) | (0.46) | (1.08) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.07) |  |  |  |  |
|  Total distributions | (0.36) | (2.28) | (0.30) | (0.73) | (1.35) |
|  **Net asset value, end of year** | $14.88 | $18.78 | $17.85 | $15.82 | $13.13 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (18.90)% | 18.13% | 15.17% | 26.12% | (8.63)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.04% | 1.12% | 1.09% | 0.85% | 0.86% |
|  Total expenses after fees waived and/or reimbursed | 0.75% | 0.79% | 0.80% | 0.80% | 0.80% |
|  Net investment income | 1.15% | 0.75% | 1.05% | 1.81% | 1.53% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $14873 | $17422 | $15871 | $13347 | $11583 |
|  Portfolio turnover rate | 27 %<sup>(e)</sup> | 2 %<sup>(e)</sup> | 23 %<sup>(f)</sup> | 54 %<sup>(g)</sup> | 57 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 121

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) |
|  | Investor C | Investor C | Investor C | Investor C | Investor C |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $18.42 | $17.59 | $15.58 | $12.95 | $15.62 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.07 | (0.00)<sup>(b)</sup> | 0.04 | 0.16 | 0.12 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.66) | 3.00 | 2.15 | 3.10 | (1.56) |
|  Net increase (decrease) from investment operations | (3.59) | 3.00 | 2.19 | 3.26 | (1.44) |
|  **Distributions<sup>(c)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.06) | (1.10) | (0.05) | (0.17) | (0.15) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.17) | (1.07) | (0.13) | (0.46) | (1.08) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.07) |  |  |  |  |
|  Total distributions | (0.30) | (2.17) | (0.18) | (0.63) | (1.23) |
|  **Net asset value, end of year** | $14.53 | $18.42 | $17.59 | $15.58 | $12.95 |
|  **Total Return<sup>(d)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (19.53)% | 17.19% | 14.32% | 25.17% | (9.36)% |
|  **Ratios to Average Net Assets<sup>(e)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.79% | 1.87% | 1.84% | 1.65% | 1.66% |
|  Total expenses after fees waived and/or reimbursed | 1.50% | 1.54% | 1.56% | 1.60% | 1.60% |
|  Net investment income | 0.45% | (0.00)% | 0.27% | 1.08% | 0.75% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $1341 | $1340 | $1071 | $1212 | $862 |
|  Portfolio turnover rate | 27 %<sup>(f)</sup> | 2 %<sup>(f)</sup> | 23 %<sup>(g)</sup> | 54 %<sup>(h)</sup> | 57 %<sup>(h)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Amount is greater than $(0.005) per share. 

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(</sup><sup>e</sup><sup>)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(f)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(g)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(h)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

122 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $19.21 | $18.19 | $16.12 | $13.36 | $16.06 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.25 | 0.26 | 0.25 | 0.40 | 0.32 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.79) | 3.11 | 2.20 | 3.16 | (1.60) |
|  Net increase (decrease) from investment operations | (3.54) | 3.37 | 2.45 | 3.56 | (1.28) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.16) | (1.28) | (0.25) | (0.34) | (0.34) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.17) | (1.07) | (0.13) | (0.46) | (1.08) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.07) |  |  |  |  |
|  Total distributions | (0.40) | (2.35) | (0.38) | (0.80) | (1.42) |
|  **Net asset value, end of year** | $15.27 | $19.21 | $18.19 | $16.12 | $13.36 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (18.49)% | 18.72% | 15.69% | 26.75% | (8.21)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.54% | 0.62% | 0.60% | 0.39% | 0.41% |
|  Total expenses after fees waived and/or reimbursed | 0.25% | 0.29% | 0.30% | 0.34% | 0.35% |
|  Net investment income | 1.57% | 1.28% | 1.58% | 2.58% | 1.99% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $37439 | $53041 | $30189 | $7240 | $1920 |
|  Portfolio turnover rate | 27 %<sup>(e)</sup> | 2 %<sup>(e)</sup> | 23 %<sup>(f)</sup> | 54 %<sup>(g)</sup> | 57 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 123

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund (continued) |
|  | Class R | Class R | Class R | Class R | Class R |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $18.72 | $17.82 | $15.78 | $13.11 | $15.80 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.16 | 0.12 | 0.13 | 0.24 | 0.21 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.72) | 3.03 | 2.17 | 3.15 | (1.58) |
|  Net increase (decrease) from investment operations | (3.56) | 3.15 | 2.30 | 3.39 | (1.37) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.11) | (1.18) | (0.13) | (0.26) | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.17) | (1.07) | (0.13) | (0.46) | (1.08) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.07) |  |  |  |  |
|  Total distributions | (0.35) | (2.25) | (0.26) | (0.72) | (1.32) |
|  **Net asset value, end of year** | $14.81 | $18.72 | $17.82 | $15.78 | $13.11 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (19.09)% | 17.83% | 14.96% | 25.89% | (8.87)% |
|  **Ratios to Average Net Assets<sup>(d)</sup>**  |  |  |  |  |  |
|  Total expenses | 1.24% | 1.32% | 1.28% | 1.04% | 1.06% |
|  Total expenses after fees waived and/or reimbursed | 0.95% | 0.99% | 1.00% | 1.00% | 1.00% |
|  Net investment income | 1.05% | 0.59% | 0.85% | 1.59% | 1.34% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $2464 | $2204 | $1306 | $2088 | $859 |
|  Portfolio turnover rate | 27 %<sup>(e)</sup> | 2 %<sup>(e)</sup> | 23 %<sup>(f)</sup> | 54 %<sup>(g)</sup> | 57 %<sup>(g)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(f)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(g)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Master Total Return Portfolio. 

*See notes to financial statements.* 

124 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $13.93 | $12.85 | $11.47 | $9.34 | $11.02 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.18 | 0.16 | 0.16 | 0.26 | 0.19 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.77) | 2.17 | 1.44 | 2.20 | (1.13) |
|  Net increase (decrease) from investment operations | (2.59) | 2.33 | 1.60 | 2.46 | (0.94) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.09) | (0.73) | (0.17) | (0.21) | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.09) | (0.52) | (0.05) | (0.12) | (0.50) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.05) |  |  |  |  |
|  Total distributions | (0.23) | (1.25) | (0.22) | (0.33) | (0.74) |
|  **Net asset value, end of year** | $11.11 | $13.93 | $12.85 | $11.47 | $9.34 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (18.64)% | 18.14% | 14.34% | 26.47 %<sup>(d)</sup> | (8.64)% |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 0.91% | 1.05% | 1.12% | 0.92% | 1.10% |
|  Total expenses after fees waived and/or reimbursed | 0.49% | 0.52% | 0.52% | 0.54% | 0.55% |
|  Net investment income | 1.54% | 1.09% | 1.40% | 2.39% | 1.73% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $1596 | $1314 | $1197 | $237 | $19 |
|  Portfolio turnover rate | 37 %<sup>(f)</sup> | 5 %<sup>(f)</sup> | 18 %<sup>(g)</sup> | 44 %<sup>(h)</sup> | 58 %<sup>(h)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Includes payment received from an affiliate, which impacted the Fund's total return. Excluding the payment from an affiliate, the Fund's total return is 26.36%. 

<sup>(e)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(f)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(g)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(h)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 125

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $13.91 | $12.84 | $11.46 | $9.33 | $11.02 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.15 | 0.12 | 0.12 | 0.23 | 0.17 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.77) | 2.17 | 1.45 | 2.21 | (1.13) |
|  Net increase (decrease) from investment operations | (2.62) | 2.29 | 1.57 | 2.44 | (0.96) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.08) | (0.70) | (0.14) | (0.19) | (0.23) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.09) | (0.52) | (0.05) | (0.12) | (0.50) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.05) |  |  |  |  |
|  Total distributions | (0.22) | (1.22) | (0.19) | (0.31) | (0.73) |
|  **Net asset value, end of year** | $11.07 | $13.91 | $12.84 | $11.46 | $9.33 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (18.88)% | 17.87% | 14.03% | 26.20 %<sup>(d)</sup> | (8.90)% |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 1.15% | 1.30% | 1.36% | 1.17% | 1.36% |
|  Total expenses after fees waived and/or reimbursed | 0.74% | 0.77% | 0.80% | 0.79% | 0.80% |
|  Net investment income | 1.31% | 0.84% | 1.14% | 2.11% | 1.61% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $1562 | $1054 | $580 | $390 | $75 |
|  Portfolio turnover rate | 37 %<sup>(f)</sup> | 5 %<sup>(f)</sup> | 18 %<sup>(g)</sup> | 44 %<sup>(h)</sup> | 58 %<sup>(h)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Includes payment received from an affiliate, which impacted the Fund's total return. Excluding the payment from an affiliate, the Fund's total return is 26.09%. 

<sup>(e)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(f)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(g)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(h)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

126 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) |
|  | Investor C | Investor C | Investor C | Investor C | Investor C |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $13.86 | $12.83 | $11.45 | $9.34 | $11.02 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.06 | 0.02 | 0.04 | 0.11 | 0.08 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.75) | 2.16 | 1.45 | 2.23 | (1.13) |
|  Net increase (decrease) from investment operations | (2.69) | 2.18 | 1.49 | 2.34 | (1.05) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.04) | (0.63) | (0.06) | (0.11) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.09) | (0.52) | (0.05) | (0.12) | (0.50) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.05) |  |  |  |  |
|  Total distributions | (0.18) | (1.15) | (0.11) | (0.23) | (0.63) |
|  **Net asset value, end of year** | $10.99 | $13.86 | $12.83 | $11.45 | $9.34 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (19.48)% | 16.98% | 13.16% | 25.09 %<sup>(d)</sup> | (9.60)% |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 1.90% | 2.05% | 2.11% | 2.03% | 2.16% |
|  Total expenses after fees waived and/or reimbursed | 1.49% | 1.51% | 1.55% | 1.61% | 1.60% |
|  Net investment income | 0.51% | 0.11% | 0.38% | 1.07% | 0.71% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $100 | $96 | $45 | $33 | $25 |
|  Portfolio turnover rate | 37 %<sup>(f)</sup> | 5 %<sup>(f)</sup> | 18 %<sup>(g)</sup> | 44 %<sup>(h)</sup> | 58 %<sup>(h)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(d)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return. 

<sup>(e)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(f)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(g)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(h)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 127

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $13.95 | $12.87 | $11.48 | $9.34 | $11.02 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.18 | 0.19 | 0.18 | 0.26 | 0.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.75) | 2.17 | 1.45 | 2.23 | (1.13) |
|  Net increase (decrease) from investment operations | (2.57) | 2.36 | 1.63 | 2.49 | (0.91) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.11) | (0.76) | (0.19) | (0.23) | (0.27) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.09) | (0.52) | (0.05) | (0.12) | (0.50) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.05) |  |  |  |  |
|  Total distributions | (0.25) | (1.28) | (0.24) | (0.35) | (0.77) |
|  **Net asset value, end of year** | $11.13 | $13.95 | $12.87 | $11.48 | $9.34 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (18.51)% | 18.43% | 14.62% | 26.74 %<sup>(d)</sup> | (8.45)% |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 0.65% | 0.80% | 0.87% | 0.77% | 0.90% |
|  Total expenses after fees waived and/or reimbursed | 0.24% | 0.27% | 0.29% | 0.36% | 0.35% |
|  Net investment income | 1.56% | 1.34% | 1.62% | 2.40% | 1.96% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $11524 | $17030 | $8747 | $3384 | $1862 |
|  Portfolio turnover rate | 37 %<sup>(f)</sup> | 5 %<sup>(f)</sup> | 18 %<sup>(g)</sup> | 44 %<sup>(h)</sup> | 58 %<sup>(h)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Includes payment received from an affiliate, which impacted the Fund's total return. Excluding the payment from an affiliate, the Fund's total return is 26.64%. 

<sup>(e)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(f)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(g)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(h)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

128 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund (continued) |
|  | Class R | Class R | Class R | Class R | Class R |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $13.91 | $12.85 | $11.46 | $9.34 | $11.02 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.14 | 0.09 | 0.10 | 0.40 | 0.15 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.78) | 2.17 | 1.45 | 2.02 | (1.13) |
|  Net increase (decrease) from investment operations | (2.64) | 2.26 | 1.55 | 2.42 | (0.98) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.07) | (0.68) | (0.11) | (0.18) | (0.20) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.09) | (0.52) | (0.05) | (0.12) | (0.50) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.05) |  |  |  |  |
|  Total distributions | (0.21) | (1.20) | (0.16) | (0.30) | (0.70) |
|  **Net asset value, end of year** | $11.06 | $13.91 | $12.85 | $11.46 | $9.34 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (19.04)% | 17.63% | 13.84% | 25.92 %<sup>(d)</sup> | (9.05)% |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 1.36% | 1.50% | 1.56% | 1.37% | 1.55% |
|  Total expenses after fees waived and/or reimbursed | 0.94% | 0.97% | 0.98% | 0.99% | 1.00% |
|  Net investment income | 1.19% | 0.66% | 0.89% | 3.67% | 1.30% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $1247 | $817 | $359 | $185 | $19 |
|  Portfolio turnover rate | 37 %<sup>(f)</sup> | 5 %<sup>(f)</sup> | 18 %<sup>(g)</sup> | 44 %<sup>(h)</sup> | 58 %<sup>(h)</sup> |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Includes payment received from an affiliate, which impacted the Fund's total return. Excluding the payment from an affiliate, the Fund's total return is 25.81%. 

<sup>(e)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(f)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(g)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(h)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 129

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund |
|  | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Period from<br> 10/30/19to 12/31/19<br><sup>(a)</sup>  |
|  **Net asset value, beginning of period** | $12.67 | $11.74 | $10.47 | $10.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.16 | 0.14 | 0.13 | 0.07 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.50) | 2.02 | 1.30 | 0.47 |
|  Net increase (decrease) from investment operations | (2.34) | 2.16 | 1.43 | 0.54 |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.11) | (0.78) | (0.16) | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.10) | (0.45) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.05) |  |  |  |
|  Total distributions | (0.26) | (1.23) | (0.16) | (0.07) |
|  **Net asset value, end of period** | $10.07 | $12.67 | $11.74 | $10.47 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |
|  Based on net asset value | (18.55)% | 18.43% | 13.99% | 5.36 %<sup>(e)</sup> |
|  **Ratios to Average Net Assets<sup>(f)</sup>** |  |  |  |  |
|  Total expenses | 1.20% | 1.47% | 1.23% | 0.83 %<sup>(g)(h)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.48% | 0.53% | 0.54% | 0.56 %<sup>(g)</sup> |
|  Net investment income | 1.54% | 1.09% | 1.34% | 4.23 %<sup>(g)</sup> |
|  **Supplemental Data** |  |  |  |  |
|  Net assets, end of period (000) | $604 | $596 | $486 | $419 |
|  Portfolio turnover rate | 26 %<sup>(i)</sup> | 8 %<sup>(i)</sup> | 45 %<sup>(j)</sup> | 3 %<sup>(k)</sup> |

---

<sup>(a)</sup> Commencement of operations.

<sup>(b)</sup> Based on average shares outstanding.

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(e)</sup> Not annualized.

<sup>(f)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(g)</sup> Annualized.

<sup>(h)</sup> Audit fees were not annualized in the calculation of expense ratios. If this expense was annualized, the total expenses would have been 2.14%. 

<sup>(i)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(j)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(k)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

130 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Period from<br> 10/30/19to 12/31/19<br><sup>(a)</sup>  |
|  **Net asset value, beginning of period** | $12.66 | $11.74 | $10.47 | $10.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.14 | 0.11 | 0.11 | 0.07 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.50) | 2.02 | 1.30 | 0.46 |
|  Net increase (decrease) from investment operations | (2.36) | 2.13 | 1.41 | 0.53 |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.10) | (0.76) | (0.14) | (0.06) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.10) | (0.45) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.05) |  |  |  |
|  Total distributions | (0.25) | (1.21) | (0.14) | (0.06) |
|  **Net asset value, end of period** | $10.05 | $12.66 | $11.74 | $10.47 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |
|  Based on net asset value | (18.71)% | 18.13% | 13.70% | 5.32 %<sup>(e)</sup> |
|  **Ratios to Average Net Assets<sup>(f)</sup>** |  |  |  |  |
|  Total expenses | 1.44% | 1.72% | 1.48% | 1.08 %<sup>(g)(h)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.72% | 0.78% | 0.79% | 0.81 %<sup>(g)</sup> |
|  Net investment income | 1.35% | 0.85% | 1.10% | 3.98 %<sup>(g)</sup> |
|  **Supplemental Data** |  |  |  |  |
|  Net assets, end of period (000) | $868 | $722 | $501 | $419 |
|  Portfolio turnover rate | 26 %<sup>(i)</sup> | 8 %<sup>(i)</sup> | 45 %<sup>(j)</sup> | 3 %<sup>(k)</sup> |

---

<sup>(a)</sup> Commencement of operations.

<sup>(b)</sup> Based on average shares outstanding.

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(e)</sup> Not annualized.

<sup>(f)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(g)</sup> Annualized.

<sup>(h)</sup> Audit fees were not annualized in the calculation of expense ratios. If this expense was annualized, the total expenses would have been 2.39%. 

<sup>(i)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(j)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(k)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

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

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) |
|  | Investor C | Investor C | Investor C | Investor C |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Period from<br> 10/30/19to 12/31/19<br><sup>(a)</sup>  |
|  **Net asset value, beginning of period** | $12.64 | $11.74 | $10.47 | $10.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.06 | 0.01 | 0.03 | 0.05 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.50) | 2.02 | 1.30 | 0.47 |
|  Net increase (decrease) from investment operations | (2.44) | 2.03 | 1.33 | 0.52 |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.06) | (0.68) | (0.06) | (0.05) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.10) | (0.45) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.05) |  |  |  |
|  Total distributions | (0.21) | (1.13) | (0.06) | (0.05) |
|  **Net asset value, end of period** | $9.99 | $12.64 | $11.74 | $10.47 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |
|  Based on net asset value | (19.38)% | 17.30% | 12.83% | 5.18 %<sup>(e)</sup> |
|  **Ratios to Average Net Assets<sup>(f)</sup>** |  |  |  |  |
|  Total expenses | 2.20% | 2.47% | 2.24% | 1.88 %<sup>(g)(h)</sup> |
|  Total expenses after fees waived and/or reimbursed | 1.48% | 1.53% | 1.55% | 1.61 %<sup>(g)</sup> |
|  Net investment income | 0.59% | 0.08% | 0.33% | 3.13 %<sup>(g)</sup> |
|  **Supplemental Data** |  |  |  |  |
|  Net assets, end of period (000) | $553 | $528 | $470 | $419 |
|  Portfolio turnover rate | 26 %<sup>(i)</sup> | 8 %<sup>(i)</sup> | 45 %<sup>(j)</sup> | 3 %<sup>(k)</sup> |

---

<sup>(a)</sup> Commencement of operations.

<sup>(b)</sup> Based on average shares outstanding.

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(e)</sup> Not annualized.

<sup>(f)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(g)</sup> Annualized.

<sup>(h)</sup> Audit fees were not annualized in the calculation of expense ratios. If this expense was annualized, the total expenses would have been 3.19%. 

<sup>(i)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(j)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(k)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

132 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) |
|  | Class K | Class K | Class K | Class K |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Period from<br> 10/30/19to 12/31/19<br><sup>(a)</sup>  |
|  **Net asset value, beginning of period** | $12.67 | $11.74 | $10.48 | $10.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.18 | 0.18 | 0.16 | 0.08 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.49) | 2.01 | 1.29 | 0.47 |
|  Net increase (decrease) from investment operations | (2.31) | 2.19 | 1.45 | 0.55 |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.13) | (0.81) | (0.19) | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.10) | (0.45) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.05) |  |  |  |
|  Total distributions | (0.28) | (1.26) | (0.19) | (0.07) |
|  **Net asset value, end of period** | $10.08 | $12.67 | $11.74 | $10.48 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |
|  Based on net asset value | (18.37)% | 18.72% | 14.15% | 5.49 %<sup>(e)</sup> |
|  **Ratios to Average Net Assets<sup>(f)</sup>** |  |  |  |  |
|  Total expenses | 0.95% | 1.22% | 0.99% | 0.63 %<sup>(g)(h)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.22% | 0.28% | 0.30% | 0.36 %<sup>(g)</sup> |
|  Net investment income | 1.72% | 1.35% | 1.59% | 4.43 %<sup>(g)</sup> |
|  **Supplemental Data** |  |  |  |  |
|  Net assets, end of period (000) | $3655 | $4242 | $2969 | $2514 |
|  Portfolio turnover rate | 26 %<sup>(i)</sup> | 8 %<sup>(i)</sup> | 45 %<sup>(j)</sup> | 3 %<sup>(k)</sup> |

---

<sup>(a)</sup> Commencement of operations.

<sup>(b)</sup> Based on average shares outstanding.

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(e)</sup> Not annualized.

<sup>(f)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(g)</sup> Annualized.

<sup>(h)</sup> Audit fees were not annualized in the calculation of expense ratios. If this expense was annualized, the total expenses would have been 1.94%. 

<sup>(i)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(j)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(k)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 133

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) | BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (continued) |
|  | Class R | Class R | Class R | Class R |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Period from<br> 10/30/19<br> to 12/31/19<br><sup>(a)</sup> <br>|
|  **Net asset value, beginning of period** | $12.65 | $11.74 | $10.47 | $10.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.11 | 0.08 | 0.09 | 0.07 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.49) | 2.01 | 1.30 | 0.46 |
|  Net increase (decrease) from investment operations | (2.38) | 2.09 | 1.39 | 0.53 |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.09) | (0.73) | (0.12) | (0.06) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.10) | (0.45) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.05) |  |  |  |
|  Total distributions | (0.24) | (1.18) | (0.12) | (0.06) |
|  **Net asset value, end of period** | $10.03 | $12.65 | $11.74 | $10.47 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |
|  Based on net asset value | (18.92)% | 17.86% | 13.47% | 5.28 %<sup>(e)</sup> |
|  **Ratios to Average Net Assets<sup>(f)</sup>** |  |  |  |  |
|  Total expenses | 1.65% | 1.92% | 1.68% | 1.28 %<sup>(g)(h)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.93% | 0.98% | 0.99% | 1.01 %<sup>(g)</sup> |
|  Net investment income | 1.05% | 0.63% | 0.89% | 3.78 %<sup>(g)</sup> |
|  **Supplemental Data** |  |  |  |  |
|  Net assets, end of period (000) | $445 | $509 | $470 | $419 |
|  Portfolio turnover rate | 26 %<sup>(i)</sup> | 8 %<sup>(i)</sup> | 45 %<sup>(j)</sup> | 3 %<sup>(k)</sup> |

---

<sup>(a)</sup> Commencement of operations.

<sup>(b)</sup> Based on average shares outstanding.

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(e)</sup> Not annualized.

<sup>(f)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(g)</sup> Annualized.

<sup>(h)</sup> Audit fees were not annualized in the calculation of expense ratios. If this expense was annualized, the total expenses would have been 2.59% 

<sup>(i)</sup> Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

<sup>(j)</sup> From January 1, 2020 through March 8, 2020, the rate includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and the Underlying Master Portfolios. Beginning March 9, 2020, the rate includes the LifePath Dynamic Fund's purchases and sales of the underlying funds and the Underlying Master Portfolios. 

<sup>(k)</sup> Includes the LifePath Dynamic Master Portfolio's purchases and sales of the underlying funds and Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio. 

*See notes to financial statements.* 

134 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements

***1.***  ***ORGANIZATION*** 

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

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Herein Referred To As* | *Diversification<br>Classification* |
|  BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund | LifePath Dynamic Retirement Fund | Diversified |
|  BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund | LifePath Dynamic 2025 Fund | Diversified |
|  BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund | LifePath Dynamic 2030 Fund | Diversified |
|  BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund | LifePath Dynamic 2035 Fund | Diversified |
|  BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund | LifePath Dynamic 2040 Fund | Diversified |
|  BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund | LifePath Dynamic 2045 Fund | Diversified |
|  BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund | LifePath Dynamic 2050 Fund | Diversified |
|  BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund | LifePath Dynamic 2055 Fund | Diversified |
|  BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund | LifePath Dynamic 2060 Fund | Diversified |
|  BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund | LifePath Dynamic 2065 Fund | Diversified |

---

As of period end,the investment of LifePath Dynamic Retirement Fund, LifePath Dynamic 2025 Fund, LifePath Dynamic 2030 Fund, LifePath Dynamic 2035 Fund, LifePath Dynamic 2040 Fund, LifePath Dynamic 2045 Fund, LifePath Dynamic 2050 Fund, LifePath Dynamic 2055 Fund, LifePath Dynamic 2060 Fund and LifePath Dynamic 2065 Fund in the Diversified Equity Master Portfolio represented 22.1%, 26.8%, 34.3%, 40.3%, 47.9%, 52.9%, 55.8%, 56.2%, 51.5% and 53.2% respectively, of net assets. As such, financial statements of the Diversified Equity Master Portfolio including the Schedules of Investments, should be read in conjunction with each respective Fund's financial statements. Diversified Equity Master Portfolio's financial statements are available, without charge, on the U.S. Securities and Exchange Commission's ("SEC's") website at **sec.gov**.

The Funds will generally invest in other registered investment companies (each, an "Underlying Fund" and collectively, the "Underlying Funds") that are managed by subsidiaries of BlackRock, Inc. ("BlackRock") and its affiliates, which are affiliates of the Funds. The Funds may also invest in other master portfolios ("Underlying Master Portfolios") that are managed by subsidiaries of BlackRock.

The value of a Fund's investment in each of Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolio reflects that Fund's proportionate interest in the net assets of that master portfolio. As of period end, the Funds held interests in Underlying Master Portfolios as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Diversified Equity<br>Master*<br> *Portfolio* | *Advantage CoreAlpha<br>Bond Master*<br> *Portfolio* | *International<br>Tilts Master<br>Portfolio* | *Master<br>Total Return<br>Portfolio* |
|  LifePath Dynamic Retirement Fund | 5.6% | 3.5% | 5.5% | 0.2% |
|  LifePath Dynamic 2025 Fund | 2.6 | 1.2 | 2.4 | 0.1 |
|  LifePath Dynamic 2030 Fund | 10.9 | 2.7 | 10.6 | 0.1 |
|  LifePath Dynamic 2035 Fund | 5.6 | 0.7 | 5.2 | —<sup>(a)</sup> |
|  LifePath Dynamic 2040 Fund | 13.9 | 0.6 | 13.3 | —<sup>(a)</sup> |
|  LifePath Dynamic 2045 Fund | 6 |  | 5.5 |  |
|  LifePath Dynamic 2050 Fund | 9 |  | 8.3 |  |
|  LifePath Dynamic 2055 Fund | 4.4 |  | 4 |  |
|  LifePath Dynamic 2060 Fund | 1 |  | 1 |  |
|  LifePath Dynamic 2065 Fund | 0.4 |  | 0.3 | —<sup>(a)</sup> |

---

<sup>(a)</sup> Amount is less than 0.1%. 

Each Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A, Investor C and Class R Shares bear certain expenses related to shareholder servicing of such shares, and Investor C and Class R Shares also bear certain expenses related to the distribution of such shares. Investor A and Investor C Shares are generally available through financial intermediaries. Class R Shares are sold only to certain employer-sponsored retirement plans. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures (except that Investor C shareholders may vote on material changes to the Investor A Shares distribution and service plan).

---

| | | | |
|:---|:---|:---|:---|
| *Share Class* | *Initial Sales Charge* | *CDSC* | *Conversion Privilege* |
|  Institutional, Class K and Class R Shares | No | No |  |
|  Investor A Shares | Yes | No <sup>(a)</sup> |  |
|  Investor C Shares | No | Yes <sup>(b)</sup> | To Investor A Shares after approximately 8 years |

---

<sup>(a)</sup> Investor A Shares may be subject to a contingent deferred sales charge ("CDSC") for certain redemptions where no initial sales charge was paid at the time of purchase.

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

The Funds, together with certain other registered investment companies advised by BlackRock Fund Advisors ("BFA" or the "Manager") or its affiliates, are included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

N O T E S T O F I N A N C I A L S T A T E M E N T S 135

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Notes to Financial Statements (continued)

***2.***  ***SIGNIFICANT ACCOUNTING POLICIES*** 

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

**Investment Transactions and Income Recognition:** For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Each Fund records daily its proportionate share of Diversified Equity Master Portfolio, Advantage CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio and Master Total Return Portfolios' income, expenses and realized and unrealized gains and losses.

**Foreign Currency Translation:** Each Fund's books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange ("NYSE"). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

**Collateralization:** If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

**Distributions:** Distributions paid by the Funds are recorded on the ex-dividend dates. Distributions from net investment income are declared quarterly and paid quarterly. Distributions of capital gains are recorded on the ex-dividend dates and made at least annually. The portion of distributions, if any, that exceeds a fund's current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

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

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

***3.***  ***INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*** 

**Investment Valuation Policies:** Each Fund's investments are valued at fair value (also referred to as "market value" within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of each Fund (the "Board") has approved the designation of each Fund's Manager as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager's policies. If a security's market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager's policies and procedures as reflecting fair value. The Manager has formed a committee (the "Valuation Committee") to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

**Fair Value Inputs and Methodologies:** The following methods and inputs are used to establish the fair value of each Fund's assets and liabilities:

&nbsp;&nbsp;&nbsp;&nbsp;• Exchange-traded funds ("ETFs") and closed-end funds traded on a recognized securities exchange are valued at
that day's official closing price, as applicable, on the exchange where the stock is primarily traded. ETFs and closed-end funds traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid
(long positions) or ask (short positions) price.

&nbsp;&nbsp;&nbsp;&nbsp;• Investments in open-end U.S. mutual funds (including money market funds) are valued at that day's published net
asset value ("NAV").

&nbsp;&nbsp;&nbsp;&nbsp;• Futures contracts are valued based on that day's last reported settlement or trade price on the exchange where the
contract is traded.

&nbsp;&nbsp;&nbsp;&nbsp;• Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as
of the close of trading on the NYSE based on that day's prevailing forward exchange rate for the underlying currencies.

136 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

&nbsp;&nbsp;&nbsp;&nbsp;• The Funds record their proportionate investment in the Underlying Master Portfolios at fair value, which is based upon
their pro rata ownership in the net assets of the Underlying Master Portfolios.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Funds use current market factors supplied by independent pricing services to value certain foreign instruments ("Systematic Fair Value Price"). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager's policies and procedures as reflecting fair value ("Fair Valued Investments"). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm's-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.

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

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

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

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

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

As of December 31, 2022, certain investments of the Funds were fair valued using NAV as a practical expedient or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

***4.***  ***SECURITIES AND OTHER INVESTMENTS*** 

**Securities Lending:** Certain Funds may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Funds collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. During the term of the loan, the Funds are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. ("BTC"), if any, is disclosed in the Schedules of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are disclosed in the Funds' Schedules of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value – affiliated and collateral on securities loaned, respectively.

Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an "MSLA"), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty's bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Funds can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties' obligations to return the securities or collateral to the other party are extinguished, and the parties can

N O T E S T O F I N A N C I A L S T A T E M E N T S 137

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Notes to Financial Statements (continued)

resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party's net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Funds' securities on loan by counterparty which are subject to offset under an MSLA:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  *LifePath Dynamic Fund Name/Counterparty* | | *Securities<br>Loaned at Value* | *Cash Collateral*<br> *Received* | *Non-Cash Collateral<br>Received, at Fair Value* | *<br><sup>(a)</sup>* | *Net<br>Amount* |
|  LifePath Dynamic Retirement Fund |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Scotia Capital (USA), Inc. |  | $106689 | $(106689) | $— |  | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank |  | 4161390 | (4161390) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo Bank N.A. |  | 5619187 | (5619187) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo Securities LLC |  | 5648 | (5648) |  |  |  |
|  |  | $9892914 | $(9892914) | $— |  | $— |
|  LifePath Dynamic 2025 Fund |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; HSBC Bank PLC |  | $87291 | $(87291) | $— |  | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank |  | 2055632 | (2055632) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo Bank N.A. |  | 64983 | (64983) |  |  |  |
|  |  | $2207906 | $(2207906) | $— |  | $— |
|  LifePath Dynamic 2030 Fund |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley |  | $536560 | $(536560) | $— |  | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank |  | 7793845 | (7793845) |  |  |  |
|  |  | $8330405 | $(8330405) | $— |  | $— |
|  LifePath Dynamic 2035 Fund |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Scotia Capital (USA), Inc. |  | $33888 | $(33888) | $— |  | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank |  | 5050159 | (5050159) |  |  |  |
|  |  | $5084047 | $(5084047) | $— |  | $— |
|  LifePath Dynamic 2040 Fund |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank |  | $9693380 | $(9693380) | $— |  | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo Bank N.A. |  | 3694684 | (3694684) |  |  |  |
|  |  | $13388064 | $(13388064) | $— |  | $— |
|  LifePath Dynamic 2045 Fund |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank |  | $4736300 | $(4736300) | $— |  | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo Bank N.A. |  | 34897 | (34897) |  |  |  |
|  |  | $4771197 | $(4771197) | $— |  | $— |
|  LifePath Dynamic 2050 Fund |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank |  | $7291794 | $(7291794) | $— |  | $— |
|  LifePath Dynamic 2055 Fund |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank |  | $2983500 | $(2983500) | $— |  | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo Bank N.A. |  | 487356 | (487356) |  |  |  |
|  |  | $3470856 | $(3470856) | $— |  | $— |
|  LifePath Dynamic 2060 Fund |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; BNP Paribas SA |  | $72882 | $(72882) | $— |  | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; J.P. Morgan Securities LLC |  | 62187 | (62187) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley |  | 111642 | (111642) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Nomura Securities International, Inc. |  | 216284 | (216284) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Scotia Capital (USA), Inc. |  | 169440 | (169440) |  |  |  |
|  |  | $632435 | $(632435) | $— |  | $— |
|  LifePath Dynamic 2065 Fund |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; BNP Paribas SA |  | $60329 | $(60329) | $— |  | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley |  | 179655 | (179655) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Nomura Securities International, Inc. |  | 79096 | (79096) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank |  | 205644 | (205644) |  |  |  |
|  |  | $524724 | $(524724) | $— |  | $— |

---

<sup>(a)</sup> Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund's Statements of Assets and Liabilities. 

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds benefit from a borrower default indemnity provided by BlackRock. BlackRock's indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with

138 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Funds.

***5.***  ***DERIVATIVE FINANCIAL INSTRUMENTS*** 

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or over-the-counter ("OTC").

**Futures Contracts:** Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract's size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract ("variation margin"). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

**Forward Foreign Currency Exchange Contracts:** Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Fund's risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.

**Master Netting Arrangements:** In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

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

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparties are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets

N O T E S T O F I N A N C I A L S T A T E M E N T S 139

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Notes to Financial Statements (continued)

***6.***  ***INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*** 

**Investment Advisory:** The Trust, on behalf of each Fund, entered into an Investment Advisory Agreement with the Manager, the Funds' investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of each Fund's portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, each Fund pays the Manager a monthly fee at an annual rate equal to 0.30% of the average daily value of each Fund's net assets. Prior to April 29, 2022, each Fund paid the Manager a monthly fee at an annual rate equal to 0.35% of the average daily value of each Fund's net assets.

With respect to each Fund, the Manager entered into separate sub-advisory agreements with each of BlackRock International Limited ("BIL") and BlackRock (Singapore) Limited ("BSL") (collectively, the "Sub-Advisers"), each an affiliate of the Manager. The Manager pays each Sub-Adviser for services it provides for that portion of each Fund for which BIL and BSL acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Fund to the Manager.

**Service and Distribution Fees:** The Trust, on behalf of each Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC ("BRIL"), an affiliate of the Manager. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, each Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of each Fund as follows:

---

| | | |
|:---|:---|:---|
| *Share Class* | *Service Fees* | *Distribution Fees* |
|  Investor A | 0.25% | N/A |
|  Investor C | 0.25 | 0.75% |
|  Class R | 0.25 | 0.25 |

---

BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the Funds. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to shareholders.

For the year ended December 31, 2022, the following table shows the class specific service and distribution fees borne directly by each share class of each Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Investor A* | *Investor C* | *Class R* | *Total* |
|  LifePath Dynamic Retirement Fund | $337338 | $17794 | $26146 | $381278 |
|  LifePath Dynamic 2025 Fund | 51348 | 23658 | 17779 | 92785 |
|  LifePath Dynamic 2030 Fund | 362019 | 24480 | 25392 | 411891 |
|  LifePath Dynamic 2035 Fund | 61104 | 31827 | 18548 | 111479 |
|  LifePath Dynamic 2040 Fund | 323618 | 22566 | 23757 | 369941 |
|  LifePath Dynamic 2045 Fund | 47873 | 15199 | 16124 | 79196 |
|  LifePath Dynamic 2050 Fund | 166958 | 17625 | 14488 | 199071 |
|  LifePath Dynamic 2055 Fund | 38974 | 12532 | 10780 | 62286 |
|  LifePath Dynamic 2060 Fund | 3126 | 890 | 4882 | 8898 |
|  LifePath Dynamic 2065 Fund | 2016 | 4896 | 2280 | 9192 |

---

**Administration:** The Trust, on behalf of each Fund, entered into an Administration Agreement with BlackRock Advisors, LLC ("BAL" or the "Administrator"), which has agreed to provide general administrative services (other than investment advice and related portfolio activities). BAL has agreed to bear all of the Funds' ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Funds. BAL is entitled to receive for these administrative services an annual fee of 0.29% based on the average daily net assets of each Fund's Institutional, Investor A and Investor C Shares, 0.04% of the average daily net assets of Class K Shares and 0.24% of the average daily net assets of Class R Shares.

Prior to April 29, 2022, BAL was entitled to receive for these administrative services an annual fee of 0.30% based on the average daily net assets of each Fund's Institutional, Investor A and Investor C Shares, 0.05% of the average daily net assets of Class K Shares and 0.25% of the average daily net assets of Class R Shares.

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

For the year ended December 31, 2022, the following table shows the class specific administration fees borne directly by each share class of each Fund:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Investor A* | *Investor C* | *Class K* | *Class R* | *Total* |
|  LifePath Dynamic Retirement Fund | $121716 | $396295 | $5226 | $27945 | $12731 | $563913 |
|  LifePath Dynamic 2025 Fund | 25914 | 60309 | 6944 | 27645 | 8654 | 129466 |
|  LifePath Dynamic 2030 Fund | 132057 | 425094 | 7185 | 39349 | 12357 | 616042 |
|  LifePath Dynamic 2035 Fund | 30118 | 71716 | 9341 | 36367 | 9025 | 156567 |
|  LifePath Dynamic 2040 Fund | 131006 | 380014 | 6620 | 33699 | 11557 | 562896 |
|  LifePath Dynamic 2045 Fund | 18490 | 56204 | 4458 | 32153 | 7835 | 119140 |
|  LifePath Dynamic 2050 Fund | 48316 | 196011 | 5174 | 25508 | 7048 | 282057 |
|  LifePath Dynamic 2055 Fund | 18139 | 45751 | 3677 | 20847 | 5243 | 93657 |
|  LifePath Dynamic 2060 Fund | 3907 | 3662 | 261 | 6680 | 2370 | 16880 |
|  LifePath Dynamic 2065 Fund | 1649 | 2363 | 1435 | 1728 | 1110 | 8285 |

---

140 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

**Transfer Agent:** Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Funds with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the year ended December 31, 2022, the Funds did not pay any amounts to affiliates in return for these services.

**Other Fees:** For the year ended December 31, 2022, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of each Fund's Investor A Shares as follows:

---

| | |
|:---|:---|
| *Fund Name* | *Investor A* |
|  LifePath Dynamic Retirement Fund | $65 |
|  LifePath Dynamic 2025 Fund | 234 |
|  LifePath Dynamic 2030 Fund | 602 |
|  LifePath Dynamic 2035 Fund | 860 |
|  LifePath Dynamic 2040 Fund | 865 |
|  LifePath Dynamic 2045 Fund | 974 |
|  LifePath Dynamic 2050 Fund | 886 |
|  LifePath Dynamic 2055 Fund | 859 |
|  LifePath Dynamic 2060 Fund | 521 |
|  LifePath Dynamic 2065 Fund | 566 |

---

For the year ended December 31, 2022, affiliates received CDSCs as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Investor A* | *Investor C* |
|  LifePath Dynamic Retirement Fund | $— | $296 |
|  LifePath Dynamic 2025 Fund |  | 9 |
|  LifePath Dynamic 2030 Fund | 31 | 81 |
|  LifePath Dynamic 2035 Fund |  | 744 |
|  LifePath Dynamic 2045 Fund |  | 3615 |
|  LifePath Dynamic 2050 Fund |  | 343 |

---

**Expense Waivers and Reimbursements:** With respect to each Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the "affiliated money market fund waiver") through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the trustees who are not "interested persons" of the Trust, as defined in the 1940 Act ("Independent Trustees"), or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are included in fees waived and/or reimbursed by the Administrator/Manager in the Statements of Operations. For the year ended December 31, 2022, the amounts waived were as follows:

---

| | |
|:---|:---|
| *Fund Name* | *Fees Waived and/or Reimbursed<br>by the Administrator/Manager* |
|  LifePath Dynamic Retirement Fund | $5180 |
|  LifePath Dynamic 2025 Fund | 2271 |
|  LifePath Dynamic 2030 Fund | 4661 |
|  LifePath Dynamic 2035 Fund | 3758 |
|  LifePath Dynamic 2040 Fund | 4135 |
|  LifePath Dynamic 2045 Fund | 3021 |
|  LifePath Dynamic 2050 Fund | 6353 |
|  LifePath Dynamic 2055 Fund | 4549 |
|  LifePath Dynamic 2060 Fund | 1105 |
|  LifePath Dynamic 2065 Fund | 219 |

---

The Manager and the Administrator have contractually agreed to reimburse each Fund for acquired fund fees and expenses up to a maximum amount equal to the combined investment advisory fee and administration fee of each share class through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are included in fees waived and/or reimbursed by the Administrator/Manager in the Statements of Operations. For the year ended December 31, 2022, the amounts waived were as follows:

---

| | |
|:---|:---|
| *LifePath Dynamic Fund Name* | *Fees Waived and/or Reimbursed<br>by the Administrator/Manager* |
|  LifePath Dynamic Retirement Fund | $505321 |
|  LifePath Dynamic 2025 Fund | 212861 |
|  LifePath Dynamic 2030 Fund | 684613 |
|  LifePath Dynamic 2035 Fund | 311531 |
|  LifePath Dynamic 2040 Fund | 700665 |
|  LifePath Dynamic 2045 Fund | 285487 |
|  LifePath Dynamic 2050 Fund | 377349 |
|  LifePath Dynamic 2055 Fund | 183069 |
|  LifePath Dynamic 2060 Fund | 49043 |
|  LifePath Dynamic 2065 Fund | 17067 |

---

N O T E S T O F I N A N C I A L S T A T E M E N T S 141

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Notes to Financial Statements (continued)

The fees and expenses of the Trust's Independent Trustees, counsel to the Independent Trustees and the Funds' independent registered public accounting firm (together, the "independent expenses") are paid directly by the Funds. Each of the Manager and the Administrator has contractually agreed to reimburse the Funds or provide an offsetting credit against the investment advisory fees paid by the Funds in an amount equal to these independent expenses through June 30, 2032. These amounts are included in fees waived and/or reimbursed by the Administrator/Manager in the Statements of Operations. For the year ended December 31, 2022, the amounts waived were as follows:

---

| | |
|:---|:---|
| *Fund Name* | *Fees Waived and/or Reimbursed<br>by the Administrator/Manager* |
|  LifePath Dynamic Retirement Fund | $29792 |
|  LifePath Dynamic 2025 Fund | 28779 |
|  LifePath Dynamic 2030 Fund | 30033 |
|  LifePath Dynamic 2035 Fund | 28929 |
|  LifePath Dynamic 2040 Fund | 29762 |
|  LifePath Dynamic 2045 Fund | 28767 |
|  LifePath Dynamic 2050 Fund | 29095 |
|  LifePath Dynamic 2055 Fund | 28605 |
|  LifePath Dynamic 2060 Fund | 28209 |
|  LifePath Dynamic 2065 Fund | 28107 |

---

**Securities Lending:** The SEC has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Funds are responsible for fees in connection with the investment of cash collateral received for securities on loan (the "collateral investment fees"). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Funds bear to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund's weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each Fund retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, each Fund retains 82% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by each Fund is shown as securities lending income — affiliated — net in the Statements of Operations. For the year ended December 31, 2022, each Fund paid BTC the following amounts for securities lending agent services:

---

| | |
|:---|:---|
| *Fund Name* | *Amounts* |
|  LifePath Dynamic Retirement Fund | $12672 |
|  LifePath Dynamic 2025 Fund | 5179 |
|  LifePath Dynamic 2030 Fund | 13313 |
|  LifePath Dynamic 2035 Fund | 4163 |
|  LifePath Dynamic 2040 Fund | 9563 |
|  LifePath Dynamic 2045 Fund | 2975 |
|  LifePath Dynamic 2050 Fund | 3253 |
|  LifePath Dynamic 2055 Fund | 1147 |
|  LifePath Dynamic 2060 Fund | 1100 |
|  LifePath Dynamic 2065 Fund | 410 |

---

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the SEC, each Fund may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund's investment policies and restrictions. Each Fund is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended December 31, 2022, the Funds did not participate in the Interfund Lending Program.

142 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

**Trustees and Officers:** Certain trustees and/or officers of the Trust are directors and/or officers of BlackRock or its affiliates.

**Other Transactions:** Each Fund may invest its positive cash balances in certain money market funds managed by the Manager or an affiliate. The income earned on these temporary cash investments is shown as income-affiliated in the Statements of Operations.

***7.***  ***PURCHASES AND SALES*** 

For the year ended December 31, 2022, purchases and sales of investments in the Underlying Funds and the Underlying Master Portfolios, excluding short-term securities, were as follows:

---

| | | |
|:---|:---|:---|
| *LifePath Dynamic Fund Name* | *Purchases* | *Sales* |
|  LifePath Dynamic Retirement Fund | $&nbsp;&nbsp;&nbsp;&nbsp;17048593 | $&nbsp;&nbsp;&nbsp;&nbsp;80699392 |
|  LifePath Dynamic 2025 Fund | 13779795 | 35583831 |
|  LifePath Dynamic 2030 Fund | 30850889 | 62169347 |
|  LifePath Dynamic 2035 Fund | 16498200 | 23551912 |
|  LifePath Dynamic 2040 Fund | 31989286 | 47679060 |
|  LifePath Dynamic 2045 Fund | 15419819 | 22931714 |
|  LifePath Dynamic 2050 Fund | 21711600 | 27698138 |
|  LifePath Dynamic 2055 Fund | 17322500 | 17954303 |
|  LifePath Dynamic 2060 Fund | 6251803 | 7201964 |
|  LifePath Dynamic 2065 Fund | 1840495 | 1570839 |

---

***8.***  ***INCOME TAX INFORMATION*** 

It is each Fund's policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Fund's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds' financial statements.

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

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Paid-in Capital* | *Accumulated<br>Earnings (Loss)* |
|  LifePath Dynamic Retirement Fund | $(268494) | $268494 |
|  LifePath Dynamic 2025 Fund | (208627) | 208627 |
|  LifePath Dynamic 2030 Fund | (2233303) | 2233303 |
|  LifePath Dynamic 2035 Fund | (1808815) | 1808815 |
|  LifePath Dynamic 2040 Fund | (5588565) | 5588565 |
|  LifePath Dynamic 2045 Fund | (2874776) | 2874776 |
|  LifePath Dynamic 2050 Fund | (4644258) | 4644258 |
|  LifePath Dynamic 2055 Fund | (2322976) | 2322976 |
|  LifePath Dynamic 2060 Fund | (506954) | 506954 |
|  LifePath Dynamic 2065 Fund | (174609) | 174609 |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Year Ended*<br> *12/31/22* | *Year Ended*<br> *12/31/21* |
|  LifePath Dynamic Retirement Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $447597 | $34634478 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 1019712 | 10054914 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 1509584 |  |
|  | $2976893 | $44689392 |
|  LifePath Dynamic 2025 Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $488966 | $10093028 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 350551 | 2065558 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 674780 |  |
|  | $1514297 | $12158586 |

---

N O T E S T O F I N A N C I A L S T A T E M E N T S 143

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Notes to Financial Statements (continued)

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Year Ended*<br> *12/31/22* | *Year Ended*<br> *12/31/21* |
|  LifePath Dynamic 2030 Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $2509165 | $42835495 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 1581659 | 9544426 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 1717391 |  |
|  | $5808215 | $52379921 |
|  LifePath Dynamic 2035 Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $1153741 | $13621081 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 665790 | 2014010 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 783318 |  |
|  | $2602849 | $15635091 |
|  LifePath Dynamic 2040 Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $2457482 | $47697870 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 2036764 | 9215049 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 1390047 |  |
|  | $5884293 | $56912919 |
|  LifePath Dynamic 2045 Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $1356493 | $11440670 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 681736 | 1774140 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 584655 |  |
|  | $2622884 | $13214810 |
|  LifePath Dynamic 2050 Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $1825985 | $21192293 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 1068165 | 3867356 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 662070 |  |
|  | $3556220 | $25059649 |
|  LifePath Dynamic 2055 Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $1026649 | $7760560 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 485418 | 1136685 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 336196 |  |
|  | $1848263 | $8897245 |
|  LifePath Dynamic 2060 Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $248288 | $1395073 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 91032 | 291443 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 84018 |  |
|  | $423338 | $1686516 |
|  LifePath Dynamic 2065 Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $76943 | $541591 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 48074 | 80007 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 32383 |  |
|  | $157400 | $621598 |

---

As of December 31, 2022, the tax components of accumulated earnings (loss) were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Non-Expiring<br>Capital Loss<br>Carryforwards<sup>(a)</sup>* | *Net Unrealized*<br> *Gains (Losses)<sup>(b)</sup>* | *Qualified<br>Late-Year Losses<sup>(c)</sup>* | *Total* |
|  LifePath Dynamic Retirement Fund | $(6388701) | $59564697 | $— | $53175996 |
|  LifePath Dynamic 2025 Fund | (3695580) | (3598068) | (314506) | (7608154) |
|  LifePath Dynamic 2030 Fund | (3803396) | (14809165) | (1414201) | (20026762) |
|  LifePath Dynamic 2035 Fund | (3637659) | (1285657) | (734623) | (5657939) |
|  LifePath Dynamic 2040 Fund | (69991) | 23221116 | (1830356) | 21320769 |
|  LifePath Dynamic 2045 Fund | (4024633) | 1220485 | (788306) | (3592454) |
|  LifePath Dynamic 2050 Fund | (4273814) | 10187751 | (1180177) | 4733760 |
|  LifePath Dynamic 2055 Fund | (4195943) | 1087501 | (577120) | (3685562) |
|  LifePath Dynamic 2060 Fund | (1514578) | 394766 | (138449) | (1258261) |
|  LifePath Dynamic 2065 Fund | (288472) | 138828 | (55748) | (205392) |

---

<sup>(a)</sup> Amounts available to offset future realized capital gains. 

<sup>(b)</sup> The difference between book-basis and tax-basis net unrealized gains was attributable primarily to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains(losses) on certain foreign currency contracts and futures contracts and the timing and recognition of partnerships. 

144 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

<sup>(c)</sup> The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

As of December 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Tax Cost* | *Gross Unrealized<br>Appreciation* | *Gross Unrealized<br>Depreciation* | *Net Unrealized<br>Appreciation<br>(Depreciation)* |
|  LifePath Dynamic Retirement Fund | $152540976 | $67470140 | $(7926937) | $59543203 |
|  LifePath Dynamic 2025 Fund | 82357462 | 1146011 | (4743317) | (3597306) |
|  LifePath Dynamic 2030 Fund | 273220246 | 424181 | (15230623) | (14806442) |
|  LifePath Dynamic 2035 Fund | 116132211 | 2629899 | (3916820) | (1286921) |
|  LifePath Dynamic 2040 Fund | 219270548 | 28141182 | (4932706) | 23208476 |
|  LifePath Dynamic 2045 Fund | 92440092 | 2630979 | (1418655) | 1212324 |
|  LifePath Dynamic 2050 Fund | 124282756 | 11909977 | (1719066) | 10190911 |
|  LifePath Dynamic 2055 Fund | 64072169 | 2087693 | (999667) | 1088026 |
|  LifePath Dynamic 2060 Fund | 16155416 | 530866 | (134537) | 396329 |
|  LifePath Dynamic 2065 Fund | 6415920 | 186069 | (46782) | 139287 |

---

***9.***  ***BANK BORROWINGS*** 

The Trust, on behalf of each Fund, along with certain other funds managed by the Manager and its affiliates ("Participating Funds"), are a party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate ("OBFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate ("SOFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2023 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2022, the Funds did not borrow under the credit agreement.

***10.***  ***PRINCIPAL RISKS*** 

In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund's prospectus provides details of the risks to which each Fund is subject.

The Funds may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

**Infectious Illness Risk:** An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

**Counterparty Credit Risk:** The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds' exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

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

N O T E S T O F I N A N C I A L S T A T E M E N T S 145

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Notes to Financial Statements (continued)

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

**Significant Shareholder Redemption Risk:** Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund's NAV, increase the fund's brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

**LIBOR Transition Risk:** The United Kingdom's Financial Conduct Authority announced a phase out of the London Interbank Offered Rate ("LIBOR"). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.

***11. CAPITAL SHARE TRANSACTIONS***

Transactions in capital shares for each class were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic Retirement Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 297837 | $2915992 | 488060 | $5807239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 49073 | 461427 | 602777 | 6729956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (960299) | (9128458) | (1570916) | (18746467) |
|  | (613389) | $(5751039) | (480079) | $(6209272) |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold and automatic conversion of shares | 2518610 | $20930555 | 2084340 | $21156438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 208996 | 1641787 | 2771959 | 26074394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (5582498) | (45317318) | (5851506) | (59028728) |
|  | (2854892) | $(22744976) | (995207) | $(11797896) |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 36430 | $337519 | 37075 | $434563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 1217 | 10962 | 25726 | 281301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed and automatic conversion of shares | (71083) | (664452) | (52604) | (614208) |
|  | (33436) | $(315971) | 10197 | $101656 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 1739588 | $16524484 | 1819072 | $21461764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 87079 | 817718 | 971319 | 10784844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (4390100) | (40409365) | (1935290) | (22698640) |
|  | (2563433) | $(23067163) | 855101 | $9547968 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 172101 | $1590231 | 128160 | $1495661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 4857 | 44709 | 69987 | 771413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (166200) | (1584580) | (173180) | (2027911) |
|  | 10758 | $50360 | 24967 | $239163 |
|  | (6054392) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(51828789) | (585021) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(8118381) |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2025 Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 117671 | $1523966 | 129101 | $1966729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 9959 | 125699 | 83250 | 1217834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (405625) | (5218124) | (115692) | (1765047) |
|  | (277995) | $(3568459) | 96659 | $1419516 |

---

146 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class (continued)* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2025 Fund (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold and automatic conversion of shares | 412530 | $5320821 | 447327 | $6741345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 22293 | 277940 | 165045 | 2387829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (560628) | (7052139) | (627726) | (9428824) |
|  | (125805) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1453378) | (15354) | $(299650) |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 21270 | $264583 | 31623 | $476473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 1886 | 23093 | 18078 | 259044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed and automatic conversion of shares | (33701) | (417807) | (34757) | (520097) |
|  | (10545) | $(130131) | 14944 | $215420 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 1697774 | $21109538 | 1985634 | $29873204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 83775 | 1044121 | 546510 | 7903323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (3202752) | (38698493) | (1307649) | (19779402) |
|  | (1421203) | $(16544834) | 1224495 | $17997125 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 151815 | $1861328 | 102250 | $1536990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 3427 | 42482 | 26436 | 381977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (110839) | (1373786) | (101199) | (1530727) |
|  | 44403 | $530024 | 27487 | $388240 |
|  | (1791145) | $(21166778) | 1348231 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19720651 |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2030 Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 288103 | $3526403 | 457588 | $7030100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 71817 | 878866 | 580377 | 8372161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (804948) | (9947867) | (1072915) | (16716346) |
|  | (445028) | $(5542598) | (34950) | $(1314085) |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold and automatic conversion of shares | 1610682 | $18849407 | 1241938 | $18268932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 244654 | 2824897 | 2027350 | 27645121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (2604584) | (30551442) | (3337844) | (48673951) |
|  | (749248) | $(8877138) | (68556) | $(2759898) |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 62421 | $756051 | 33067 | $496863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 3213 | 38331 | 27908 | 390879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed and automatic conversion of shares | (52917) | (636062) | (66384) | (1012136) |
|  | 12717 | $158320 | (5409) | $(124394) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 2337949 | $28574505 | 2167704 | $33321257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 161760 | 1973280 | 1055122 | 15168552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (3612758) | (41859617) | (1303916) | (20047131) |
|  | (1113049) | $(11311832) | 1918910 | $28442678 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 177183 | $2133912 | 144805 | $2187277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 7506 | 90307 | 55951 | 792671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (121771) | (1424830) | (115770) | (1764305) |
|  | 62918 | $799389 | 84986 | $1215643 |
|  | (2231690) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(24773859) | 1894981 | $25459944 |

---

N O T E S T O F I N A N C I A L S T A T E M E N T S 147

------

Notes to Financial Statements (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2035 Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 232939 | $3263720 | 137169 | $2331790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 14221 | 196193 | 88487 | 1438930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (251791) | (3683619) | (159116) | (2694922) |
|  | (4631) | $(223706) | 66540 | $1075798 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold and automatic conversion of shares | 564792 | $8031542 | 300647 | $5100186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 34754 | 478066 | 183138 | 2961409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (355768) | (5029140) | (622675) | (10409147) |
|  | 243778 | $3480468 | (138890) | $(2347552) |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 49364 | $673976 | 41902 | $697692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 3683 | 49616 | 23931 | 380599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed and automatic conversion of shares | (44663) | (610808) | (34942) | (589940) |
|  | 8384 | $112784 | 30891 | $488351 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 1992862 | $27760275 | 1925304 | $33068576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 129515 | 1817827 | 633873 | 10464211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (2824134) | (38369204) | (959255) | (16595771) |
|  | (701757) | $(8791102) | 1599922 | $26937016 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 180950 | $2472580 | 76583 | $1296077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 4422 | 60519 | 23922 | 385845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (98559) | (1386011) | (35783) | (599331) |
|  | 86813 | $1147088 | 64722 | $1082591 |
|  | (367413) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4274468) | 1623185 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27236204 |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2040 Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 358221 | $5635892 | 329218 | $6553364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 61178 | 936738 | 532577 | 9838851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (634381) | (9929072) | (1003772) | (20410866) |
|  | (214982) | $(3356442) | (141977) | $(4018651) |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold and automatic conversion of shares | 1291059 | $17484205 | 705134 | $12521448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 226922 | 3011451 | 1922347 | 30980176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (1730494) | (23583096) | (2224604) | (39351209) |
|  | (212513) | $(3087440) | 402877 | $4150415 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 38439 | $580342 | 17643 | $344833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 2498 | 37036 | 23970 | 430556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed and automatic conversion of shares | (26518) | (387868) | (26516) | (511440) |
|  | 14419 | $229510 | 15097 | $263949 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 1774496 | $27797817 | 1435124 | $28763844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 117299 | 1808877 | 797388 | 14800890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (2469371) | (36790037) | (588910) | (11833305) |
|  | (577576) | $(7183343) | 1643602 | $31731429 |

---

148 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class (continued)* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2040 Fund (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 109783 | $1634708 | 93641 | $1862801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 5984 | 89598 | 47487 | 860820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (56375) | (799592) | (73655) | (1456988) |
|  | 59392 | $924714 | 67473 | $1266633 |
|  | (931260) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(12473001) | 1987072 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33393775 |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2045 Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 131268 | $1978757 | 117501 | $2190996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 9364 | 139183 | 54880 | 980685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (184288) | (2974267) | (126378) | (2372547) |
|  | (43656) | $(856327) | 46003 | $799134 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold and automatic conversion of shares | 321065 | $4880740 | 316774 | $5884997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 29683 | 440520 | 138085 | 2457831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (325337) | (4791042) | (281044) | (5089449) |
|  | 25411 | $530218 | 173815 | $3253379 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 83011 | $1240173 | 17980 | $333815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 2467 | 35815 | 8624 | 150554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed and automatic conversion of shares | (73026) | (1045818) | (13984) | (262071) |
|  | 12452 | $230170 | 12620 | $222298 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 1482108 | $22838110 | 1411588 | $26489500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 128572 | 1940811 | 513064 | 9289105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (2062522) | (30211117) | (620428) | (11861968) |
|  | (451842) | $(5432196) | 1304224 | $23916637 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 152496 | $2234890 | 70143 | $1291442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 4454 | 65473 | 18628 | 330307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (36081) | (525892) | (64289) | (1201032) |
|  | 120869 | $1774471 | 24482 | $420717 |
|  | (336766) | $(3753664) | 1561144 | $28612165 |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2050 Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 176870 | $3436536 | 191098 | $4743957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 20032 | 384598 | 137349 | 3201622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (278078) | (5551593) | (246052) | (6189010) |
|  | (81176) | $(1730459) | 82395 | $1756569 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold and automatic conversion of shares | 634592 | $12290109 | 445766 | $10944830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 78847 | 1506230 | 500139 | 11590017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (564718) | (11033628) | (780092) | (19077560) |
|  | 148721 | $2762711 | 165813 | $3457287 |

---

N O T E S T O F I N A N C I A L S T A T E M E N T S 149

------

Notes to Financial Statements (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class (continued)* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2050 Fund (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 26909 | $520349 | 16983 | $414400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 1811 | 33895 | 12637 | 286706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed and automatic conversion of shares | (22564) | (432498) | (6384) | (152240) |
|  | 6156 | $121746 | 23236 | $548866 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 1142418 | $22551258 | 1225420 | $30444365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 81396 | 1570722 | 407268 | 9511477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (1743919) | (32303118) | (329285) | (8214927) |
|  | (520105) | $(8181138) | 1303403 | $31740915 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 82784 | $1543234 | 53662 | $1312981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 3196 | 60436 | 20247 | 466707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (41083) | (785873) | (52572) | (1319726) |
|  | 44897 | $817797 | 21337 | $459962 |
|  | (401507) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6209343) | 1596184 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37963599 |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2055 Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 123719 | $2023555 | 93975 | $1844990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 9084 | 141588 | 45733 | 867256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (145163) | (2441785) | (77814) | (1534485) |
|  | (12360) | $(276642) | 61894 | $1177761 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold and automatic conversion of shares | 297106 | $4714119 | 239813 | $4711448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 23367 | 361625 | 103053 | 1941240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (248300) | (3825551) | (304194) | (5792539) |
|  | 72173 | $1250193 | 38672 | $860149 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 37981 | $581683 | 17104 | $330001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 1571 | 23709 | 7688 | 141992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed and automatic conversion of shares | (20024) | (302182) | (12914) | (249612) |
|  | 19528 | $303210 | 11878 | $222381 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 1328271 | $21637543 | 1096274 | $21791848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 80397 | 1274839 | 296265 | 5707601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (1716779) | (26483371) | (291185) | (5828891) |
|  | (308111) | $(3570989) | 1101354 | $21670558 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 89454 | $1374070 | 59037 | $1152986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 2922 | 44971 | 12248 | 229938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (43747) | (683747) | (26887) | (535488) |
|  | 48629 | $735294 | 44398 | $847436 |
|  | (180141) | $(1558934) | 1258196 | $24778285 |

---

150 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2060 Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 75529 | $891804 | 69072 | $978745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 2106 | 24354 | 7698 | 107244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (28259) | (349356) | (75613) | (1083664) |
|  | 49376 | $566802 | 1157 | $2325 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold and automatic conversion of shares | 96469 | $1126740 | 28776 | $409834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 2082 | 23886 | 5872 | 81679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (33294) | (383854) | (3991) | (57692) |
|  | 65257 | $766772 | 30657 | $433821 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 2539 | $28814 | 3180 | $45432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 82 | 938 | 375 | 5205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed and automatic conversion of shares | (454) | (6216) | (93) | (1314) |
|  | 2167 | $23536 | 3462 | $49323 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 804834 | $9456296 | 615517 | $8761533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 26683 | 309690 | 84225 | 1175237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (1017542) | (11483546) | (158579) | (2283677) |
|  | (186025) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1717560) | 541163 | $7653093 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 71636 | $826848 | 28241 | $402825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 1323 | 15188 | 4426 | 61570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (18950) | (219241) | (1833) | (26332) |
|  | 54009 | $622795 | 30834 | $438063 |
|  | (15216) | $262345 | 607273 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8576625 |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2065 Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 14647 | $155695 | 5727 | $76345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 283 | 2972 | 591 | 7490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (1981) | (20751) | (678) | (8919) |
|  | 12949 | $137916 | 5640 | $74916 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold and automatic conversion of shares | 70377 | $755921 | 15244 | $198794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 1065 | 10910 | 1474 | 18665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (42065) | (438410) | (2400) | (31710) |
|  | 29377 | $328421 | 14318 | $185749 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 13448 | $129900 | 1674 | $21634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 87 | 878 | 146 | 1844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed and automatic conversion of shares | (1) | (15) | (1) | (15) |
|  | 13534 | $130763 | 1819 | $23463 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 144462 | $1534929 | 89648 | $1172991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 3704 | 38690 | 8058 | 102152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (120407) | (1199664) | (15781) | (210506) |
|  | 27759 | $373955 | 81925 | $1064637 |

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N O T E S T O F I N A N C I A L S T A T E M E N T S 151

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Notes to Financial Statements (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *LifePath Dynamic Fund Name / Share Class (continued)* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  LifePath Dynamic 2065 Fund (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 15349 | $153870 | 201 | $2702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 11 | 112 | 19 | 245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (11285) | (114337) | (3) | (41) |
|  | 4075 | $39645 | 217 | $2906 |
|  | 87694 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1010700 | 103919 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1351671 |

---

As of December 31, 2022, shares owned by BlackRock HoldCo 2, Inc., an affiliate of the Funds, were as follows:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Institutional* | *Investor A* | *Investor A* | *Investor C* | *Investor C* | *Class K* | *Class K* | *Class R* | *Class R* |
|  LifePath Dynamic 2045 Fund |  |  |  |  |  |  |  | 2003 |  |  |
|  LifePath Dynamic 2055 Fund |  |  |  |  |  |  |  | 2001 |  | 2000 |
|  LifePath Dynamic 2060 Fund |  | 2000 |  | 2000 |  | 2000 |  | 192000 |  | 2000 |

---

As of December 31, 2022, shares owned by BlackRock Financial Management, Inc., an affiliate of the Funds, were as follows:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Institutional* | *Institutional* | *Investor A* | *Investor A* | *Investor C* | *Investor C* | *Class K* | *Class K* | *Class R* | *Class R* |
|  LifePath Dynamic 2065 Fund |  | 40000 |  | 40000 |  | 40000 |  | 240000 |  | 40000 |

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***12.***  ***SUBSEQUENT EVENTS*** 

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

152 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of BlackRock Funds III and Shareholders of each of the ten funds listed in the table below

**Opinions on the Financial Statements** 

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (ten of the series constituting BlackRock Funds III, hereafter collectively referred to as the "Funds") as of December 31, 2022, the related statements of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2022 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund<br>

**Basis for Opinions** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian, accounting agent of the Underlying Master Portfolios, transfer agents and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 23, 2023

We have served as the auditor of one or more BlackRock investment companies since 2000.

R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M 153

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Important Tax Information (unaudited)

The LifePath Dynamic Funds hereby designate the following amounts, or maximum amounts allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate as noted below, for the fiscal year ended December 31, 2022:

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| | |
|:---|:---|
| *LifePath Dynamic Fund Name* | *20% Rate Long-Term*<br> *Capital Gain Dividends* |
|  LifePath Dynamic Retirement Fund | $1019712 |
|  LifePath Dynamic 2025 Fund | 350551 |
|  LifePath Dynamic 2030 Fund | 1581659 |
|  LifePath Dynamic 2035 Fund | 665790 |
|  LifePath Dynamic 2040 Fund | 2036764 |
|  LifePath Dynamic 2045 Fund | 681736 |
|  LifePath Dynamic 2050 Fund | 1068165 |
|  LifePath Dynamic 2055 Fund | 485418 |
|  LifePath Dynamic 2060 Fund | 91032 |
|  LifePath Dynamic 2065 Fund | 48074 |

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154 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statement Regarding Liquidity Risk Management Program

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), BlackRock Funds III (the "Trust") has adopted and implemented a liquidity risk management program (the "Program") for BlackRock LifePath<sup>®</sup> Dynamic Retirement Fund, BlackRock LifePath<sup>®</sup> Dynamic 2025 Fund, BlackRock LifePath<sup>®</sup> Dynamic 2030 Fund, BlackRock LifePath<sup>®</sup> Dynamic 2035 Fund, BlackRock LifePath<sup>®</sup> Dynamic 2040 Fund, BlackRock LifePath<sup>®</sup> Dynamic 2045 Fund, BlackRock LifePath<sup>®</sup> Dynamic 2050 Fund, BlackRock LifePath<sup>®</sup> Dynamic 2055 Fund, BlackRock LifePath<sup>®</sup> Dynamic 2060 Fund and BlackRock LifePath<sup>®</sup> Dynamic 2065 Fund (each, a "Fund" and collectively, the "Funds"), each a series of the Trust, which is reasonably designed to assess and manage each Fund's liquidity risk.

The Board of Trustees (the "Board") of the Trust, on behalf of the Funds, met on November 8-9, 2022 (the "Meeting") to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors ("BlackRock"), each an investment adviser to certain BlackRock funds, as the program administrator for each Fund's Program, as applicable. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the "Committee"). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund's Highly Liquid Investment Minimum ("HLIM") where applicable, and any material changes to the Program (the "Report"). The Report covered the period from October 1, 2021 through September 30, 2022 (the "Program Reporting Period").

The Report described the Program's liquidity classification methodology for categorizing each Fund's investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund's HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund's liquidity risk, as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***a)***  ***The Fund's investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed whether each Fund's strategy is appropriate for an open-end fund structure with a focus on funds with
more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund's concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a
fund participated in borrowings for investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program's calculation of a fund's liquidity bucketing. A fund's derivative
exposure was also considered in such calculation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***b)***  ***Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each Fund's reasonably anticipated trading size utilized for liquidity classifications.
Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a fund's shareholder ownership concentration
(which, depending on product type and distribution channel, may or may not be available), a fund's distribution channels, and the degree of certainty associated with a fund's short-term and long-term cash flow projections.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***c)***  ***Holdings of cash and cash equivalents, as well as borrowing arrangements.*** The Committee considered the terms
of the credit facility committed to each Fund, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is
specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V, and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). The Committee also considered other types of borrowing available to the
Funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.

There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program's classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

S T A T E M E N T R E G A R D I N G L I Q U I D I T Y R I S K M A N A G E M E N T P R O G R A M 155

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Trustee and Officer Information

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>**  | **Independent Trustees<sup>(a)</sup>**  | **Independent Trustees<sup>(a)</sup>**  | **Independent Trustees<sup>(a)</sup>**  | **Independent Trustees<sup>(a)</sup>**  |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>**  | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships Held**<br> **During**<br> **Past 5 Years** |
| **Mark Stalnecker**<br> 1951 | Chair of the Board<br> (Since 2019) and Trustee<br> (Since 2015) | Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees' Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014. | 28 RICs consisting of 164 Portfolios |  |
| **Susan J. Carter**<br> 1956 | Trustee<br> (Since 2016) | Trustee, Financial Accounting Foundation from 2017 to 2021; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business from 1997 to 2021; Director, Pacific Pension Institute from 2014 to 2018; Senior Advisor, Commonfund Capital, Inc. ("CCI") (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof since 2018; Advisory Board Member, Bridges Fund Management since 2016; Practitioner Advisory Board Member, Private Capital Research Institute ("PCRI") since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019; Advisor to Finance Committee, Altman Foundation since 2020; Investment Committee Member, Tostan since 2021. | 28 RICs consisting of 164 Portfolios |  |
| **Collette Chilton**<br> 1958 | Trustee<br> (Since 2015) | Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006; Director, Boys and Girls Club of Boston since 2017; Director, B1 Capital since 2018; Director, David and Lucile Packard Foundation since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Neil A. Cotty**<br> 1954 | Trustee<br> (Since 2016) | Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002. | 28 RICs consisting of 164 Portfolios |  |
| **Lena G. Goldberg**<br> 1949 | Trustee<br> (Since 2019) | Director, Charles Stark Draper Laboratory, Inc. from 2013 to 2021; Senior Lecturer, Harvard Business School from 2008 to 2021; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985. | 28 RICs consisting of 164 Portfolios |  |

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued)  | **Independent Trustees<sup>(a)</sup>** (continued)  | **Independent Trustees<sup>(a)</sup>** (continued)  | **Independent Trustees<sup>(a)</sup>** (continued)  | **Independent Trustees<sup>(a)</sup>** (continued)  |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>**  | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships Held**<br> **During**<br> **Past 5 Years** |
| **Henry R. Keizer**<br> 1956 | Trustee<br> (Since 2019) | Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010. | 28 RICs consisting of 164 Portfolios | Hertz Global Holdings (car rental) from 2015 to 2021; GrafTech International Ltd. (materials manufacturing); WABCO (commercial vehicle safety systems) from 2015 to 2020; Sealed Air Corp. (packaging) from 2015 to 2021 |
| **Cynthia A. Montgomery**<br> 1952 | Trustee<br> (Since 2009) | Professor, Harvard Business School since 1989. | 28 RICs consisting of 164 Portfolios |  |
| **Donald C. Opatrny**<br> 1952 | Trustee<br> (Since 2019) | Director, Athena Capital Advisors LLC (investment management firm) from 2013 to 2020; Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University from 2004 to 2019; President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018; Member of the Board and Investment Committee, University School from 2007 to 2018; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyoming since 2017; Member, Investment Funds Committee, State of Wyoming since 2017; Trustee, Phoenix Art Museum since 2018; Trustee, Arizona Community Foundation and Member of Investment Committee since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Joseph P. Platt**<br> 1947 | Trustee<br> (Since 2009) | General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, Basic Health International (non-profit) since 2015. | 28 RICs consisting of 164 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company); Consol Energy Inc. |
| **Kenneth L. Urish**<br> 1951 | Trustee<br> (Since 2009) | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past- Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since founding in 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter- Tel from 2006 to 2007; Member, Advisory Board, ESG Competent Boards since 2020. | 28 RICs consisting of 164 Portfolios |  |

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T R U S T E E A N D O F F I C E R I N F O R M A T I O N 157

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued)  | **Independent Trustees<sup>(a)</sup>** (continued)  | **Independent Trustees<sup>(a)</sup>** (continued)  | **Independent Trustees<sup>(a)</sup>** (continued)  | **Independent Trustees<sup>(a)</sup>** (continued)  |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>**  | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships Held**<br> **During**<br> **Past 5 Years** |
| **Claire A. Walton**<br> 1957 | Trustee<br> (Since 2016) | Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; General Partner of Neon Liberty Capital Management, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Woodstock Ski Runners since 2013; Director, Massachusetts Council on Economic Education from 2013 to 2015. | 28 RICs consisting of 164 Portfolios |  |
|  |  | **Interested Trustees<sup>(a)(d)</sup>** |  |  |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>**  | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships Held**<br> **During**<br> **Past 5 Years** |
| **Robert Fairbairn**<br> 1965 | Trustee<br> (Since 2018) | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock's Global Executive and Global Operating Committees; Co-Chair of BlackRock's Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock's Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock's Retail and iShares<sup>®</sup> businesses from 2012 to 2016. | 98 RICs consisting of 266 Portfolios |  |
| **John M. Perlowski<sup>(e)</sup>**<br> 1964 | Trustee<br> (Since 2015) President and Chief Executive Officer<br> (Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 100 RICs consisting of 268 Portfolios |  |
|  <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.<br> <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015.<br> <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.<br> <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.<br> <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015.<br> <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.<br> <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.<br> <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015.<br> <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.<br> <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.<br> <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015.<br> <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.<br> <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.<br> <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015.<br> <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.<br> <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. |

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Trustee and Officer Information (continued)

---

| | | |
|:---|:---|:---|
| **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)** | **Principal Occupation(s) During Past 5 Years** |
| **Roland Villacorta**<br> 1971 | Vice President<br> (Since 2022) | Managing Director of BlackRock, Inc. since 2022; Head of Global Cash Management and Head of Securities Lending within BlackRock's Portfolio Management Group since 2022; Member of BlackRock's Global Operating Committee since 2022; Head of Portfolio Management in BlackRock's Financial Markets Advisory Group within BlackRock Solutions from 2008 to 2015; Co-Head of BlackRock Solutions' Portfolio Analytics Group; previously Mr. Villacorta was Co-Head of Fixed Income within BlackRock's Risk & Quantitative Analysis Group. |
| **Jennifer McGovern**<br> 1977 | Vice President<br> (Since 2014) | Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock's Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock's U.S. Wealth Advisory Group from 2013 to 2019. |
| **Trent Walker**<br> 1974 | Chief Financial Officer<br> (Since 2021) | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. |
| **Jay M. Fife**<br> 1970 | Treasurer<br> (Since 2009) | Managing Director of BlackRock, Inc. since 2007. |
| **Charles Park**<br> 1967 | Chief Compliance Officer<br> (Since 2014) | Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares<sup>®</sup> Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors ("BFA") since 2006; Chief Compliance Officer for the BFA-advised iShares<sup>®</sup> exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. |
| **Lisa Belle**<br> 1968 | Anti-Money Laundering Compliance Officer<br> (Since 2019) | Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012. |
| **Janey Ahn**<br> 1975 | Secretary<br> (Since 2019) | Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. |
|  <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Officers of the Trust serve at the pleasure of the Board. | <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Officers of the Trust serve at the pleasure of the Board. | <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Officers of the Trust serve at the pleasure of the Board. |

---

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

Effective March 31, 2022, Thomas Callahan resigned as a Vice President of the Trust and effective May 10, 2022, Roland Villacorta was appointed as a Vice President of the Trust.

Effective December 31, 2022, Joseph P. Platt retired as a Trustee of the Trust.

T R U S T E E A N D O F F I C E R I N F O R M A T I O N 159

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Additional Information

**General Information** 

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock's website, which can be accessed at **blackrock.com.** Any reference to BlackRock's website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock's website in this report.

**Householding** 

The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called "householding" and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.

**Availability of Quarterly Schedule of Investments** 

The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds' Forms N-PORT are available on the SEC's website at **sec.gov.** Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at **blackrock.com/fundreports.**

**Availability of Proxy Voting Policies, Procedures and Voting Records** 

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds' portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at **blackrock.com;** and (3) on the SEC's website at **sec.gov.**

**BlackRock's Mutual Fund Family** 

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

**Shareholder Privileges** 

**Account Information** 

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit **blackrock.com** for more information.

**Automatic Investment Plans** 

Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

**Systematic Withdrawal Plans** 

Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.

**Retirement Plans** 

Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.

**BlackRock Privacy Principles** 

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, "Clients") and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

160 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Additional Information (continued)

**BlackRock Privacy Principles (continued)** 

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

**LifePath Dynamic Fund and Service Providers** 

---

| | |
|:---|:---|
| **Investment Adviser** | **Transfer Agent** |
| BlackRock Fund Advisors | BNY Mellon Investment Servicing (US) Inc. |
| San Francisco, CA 94105 | Wilmington, DE 19809 |
| **Administrator** | **Distributor** |
| BlackRock Advisors, LLC | BlackRock Investments, LLC |
| Wilmington, DE 19809 | New York, NY 10022 |
| **Sub-Adviser** | **Independent Registered Public Accounting Firm** |
| BlackRock International Limited | PricewaterhouseCoopers LLP |
| Edinburgh, EH3 8BL | Philadelphia, PA 19103 |
| United Kingdom |  |
|  | **Legal Counsel** |
| BlackRock (Singapore) Limited | Sidley Austin LLP |
| 079912 Singapore | New York, NY 10019 |
| **Accounting Agent and Custodian** | **Address of the Funds** |
| State Street Bank and Trust Company | 400 Howard Street |
| Boston, MA 02111 | San Francisco, CA 94105 |

---

A D D I T I O N A L I N F O R M A T I O N 161

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Glossary of Terms Used in this Report

---

| | |
|:---|:---|
| **Currency Abbreviation** | **Currency Abbreviation** |
| CAD | Canadian Dollar |
| EUR | Euro |
| JPY | Japanese Yen |
| USD | United States Dollar |
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| ETF | Exchange-Traded Fund |
| MSCI | Morgan Stanley Capital International |
| S&P | Standard & Poor's |

---

162 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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**Want to know more?** 

blackrock.com \| 800-441-7762

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Funds' current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

LPDYN-12/22-AR

---

| | |
|:---|:---|
| ![LOGO](g458023g42l24.jpg)  | ![LOGO](g458023leaf.jpg) |

---

------

---

| | |
|:---|:---|
| ![LOGO](g458983snap1.jpg)  | **DECEMBER 31, 2022** |

---

**2022 Annual Report**<br>

**BlackRock Funds III** 

· iShares MSCI Total International Index Fund

&nbsp;&nbsp;&nbsp;**Not FDIC Insured • May Lose Value • No Bank Guarantee** 

------

The Markets in Review

Dear Shareholder,

Significant economic headwinds emerged during the 12-month reporting period ended December 31, 2022, as investors navigated changing economic conditions and volatile markets. The U.S. economy shrank in the first half of 2022 before returning to modest growth in the third quarter, marking a shift to a more challenging post-reopening economic environment. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high before beginning to moderate. Moreover, while the foremost effect of Russia's invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.

Equity prices fell as interest rates rose, particularly during the first half of the reporting period. Both large- and small-capitalization U.S. stocks fell, although equities began to recover in the second half of the year as inflation eased and economic growth resumed. Emerging market stocks and international equities from developed markets declined overall, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield rose notably during the reporting period, driving its price down, as investors reacted to fluctuating inflation data and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and heightened uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the "Fed"), acknowledging that inflation has been more persistent than expected, raised interest rates seven times. Furthermore, the Fed wound down its bond-buying programs and is accelerating the reduction of its balance sheet. While the Fed suggested that additional rate hikes were likely, it also gave indications that the pace of increases would slow if inflation continued to subside.

The pandemic's restructuring of the economy brought an ongoing mismatch between supply and demand, contributing to the current inflationary regime. While growth slowed in 2022, we believe that taming inflation requires a more dramatic economic decline to bring demand back to a level more in line with the economy's capacity. The Fed has been raising interest rates at the fastest pace in decades, and seems set to overtighten in its effort to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, but this prospect has not yet been fully priced in by markets. Investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions.

In this environment, while we favor an overweight to equities in the long-term, the market's concerns over excessive rate hikes from central banks moderate our outlook. Rising input costs and a deteriorating economic backdrop are likely to challenge corporate earnings, so we are underweight equities overall in the near term. However, we see better opportunities in credit, where valuations are attractive and higher yields provide income opportunities. We believe that global investment-grade corporates, global inflation-linked bonds, and U.S. mortgage-backed securities offer strong opportunities for a six- to twelve-month horizon.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit **blackrock.com** for further insight about investing in today's markets.

Sincerely,

![LOGO](g458983dsp2sig.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

![LOGO](g458983g18r69.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

---

| | | |
|:---|:---|:---|
| **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** |
|  | *6-Month* | *12-Month* |
| &nbsp;&nbsp;&nbsp; U.S. large cap equities<br>(S&P 500<sup>®</sup> Index) | &nbsp;&nbsp;&nbsp;&nbsp;2.31% | &nbsp;&nbsp;&nbsp;&nbsp;(18.11)% |
| &nbsp;&nbsp;&nbsp; U.S. small cap equities<br>(Russell 2000<sup>®</sup> Index) | 3.91 | (20.44) |
| &nbsp;&nbsp;&nbsp; International equities<br>(MSCI Europe, Australasia,Far East Index) | 6.36 | (14.45) |
| &nbsp;&nbsp;&nbsp; Emerging market equities<br>(MSCI Emerging Markets Index) | &nbsp;&nbsp;&nbsp;&nbsp;(2.99) | (20.09) |
| &nbsp;&nbsp;&nbsp; 3-month Treasury bills<br>(ICE BofA 3-Month<br>U.S. Treasury Bill Index) | &nbsp;&nbsp;&nbsp;&nbsp;1.32 | &nbsp;&nbsp;&nbsp;&nbsp;1.47 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury securities<br>(ICE BofA 10-Year<br>U.S. Treasury Index) | &nbsp;&nbsp;&nbsp;&nbsp;(5.58) | (16.28) |
| &nbsp;&nbsp;&nbsp; U.S.investment grade bonds<br>(Bloomberg U.S. Aggregate<br>Bond Index) | &nbsp;&nbsp;&nbsp;&nbsp;(2.97) | (13.01) |
| &nbsp;&nbsp;&nbsp; Tax-exempt municipal bonds<br>(Bloomberg Municipal Bond Index) | &nbsp;&nbsp;&nbsp;&nbsp;0.50 | &nbsp;&nbsp;&nbsp;&nbsp;(8.53) |
| &nbsp;&nbsp;&nbsp; U.S. high yield bonds<br>(Bloomberg U.S. Corporate<br>High Yield 2% <br>Issuer Capped Index) | &nbsp;&nbsp;&nbsp;&nbsp;3.50 | (11.18) |
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |

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2 T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T

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**Table of Contents**

---

| | |
|:---|:---|
| | **Page** |
|  [The Markets in Review](#tx458983_1) | 2 |
|  **Annual Report:** |  |
|  [Fund Summary](#tx458983_2) | 4 |
|  [About Fund Performance](#tx458983_3) | 6 |
|  [Disclosure of Expenses](#tx458983_4) | 6 |
|  [Derivative Financial Instruments](#tx458983_5) | 6 |
|  Fund Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statement of Assets and Liabilities](#tx458983_6) | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statement of Operations](#tx458983_7) | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statements of Changes in Net Assets](#tx458983_8) | 10 |
|  [Fund Financial Highlights](#tx458983_9) | 11 |
|  [Fund Notes to Financial Statements](#tx458983_10) | 14 |
|  [Fund Report of Independent Registered Public Accounting Firm](#tx458983_11) | 17 |
|  [Important Tax Information](#tx458983_12) | 18 |
|  [Master Portfolio Information](#tx458983_13) | 19 |
|  Master Portfolio Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Schedule of Investments](#tx458983_14) | 20 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statement of Assets and Liabilities](#tx458983_15) | 41 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statement of Operations](#tx458983_16) | 42 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statements of Changes in Net Assets](#tx458983_17) | 43 |
|  [Master Portfolio Financial Highlights](#tx458983_18) | 44 |
|  [Master Portfolio Notes to Financial Statements](#tx458983_19) | 45 |
|  [Master Portfolio Report of Independent Registered Public Accounting Firm](#tx458983_20) | 52 |
|  [Statement Regarding Liquidity Risk Management Program](#tx458983_21) | 53 |
|  [Trustee and Officer Information](#tx458983_22) | 54 |
|  [Additional Information](#tx458983_23) | 58 |
|  [Glossary of Terms Used in this Report](#tx458983_24) | 60 |

---

![LOGO](g458983g01t09.jpg)

3.0 ------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **iShares MSCI Total International Index Fund** |

---

**Investment Objective** 

**iShares MSCITotal International Index Fund's (the "Fund")** investment objective is to match the performance of the MSCI All Country World Index ex USA Index (the "MSCI ACWI ex USA Index") in U.S. dollars with net dividends as closely as possible before the deduction of Fund expenses.

**Portfolio Management Commentary** 

**How did the Fund perform?** 

For the 12-month period ended December 31, 2022, the Fund's Institutional Shares returned (16.37)%, Investor A Shares returned (16.61)% and Class K Shares returned (16.39)%. The benchmark MSCI ACWI ex USA Index returned (16.00)% for the same period.

The Fund invests all of its assets in Total International ex U.S. Index Master Portfolio (the "Master Portfolio"), a series of Master Investment Portfolio.

**Describe the market environment.** 

As developed markets started recovering from the Omicron Variant, investors' attention shifted to rising inflation rates, the spike in commodity prices, and the financial and economic implications of the Russian invasion of Ukraine in February 2022. Those concerns dampened investors' sentiment and market performance over the first quarter.

In response to rising inflation rates, the European Central Bank ("ECB") announced their plan to end bond purchasing by the end of September 2022. Annual inflation in the eurozone rose from 5.9% in February 2022 to 7.5% in March 2022, fueled by increasing commodity prices. In the U.K., the Bank of England ("BoE") raised the interest rate by 0.5% over the quarter on top of an additional 0.15% raise in December 2021. The U.K. equity market proved more resilient than its developed markets peers, supported by its exposure to energy and materials.

In Japan, the manufacturing sector continued to suffer from supply chain disruption and the semiconductor shortage. The yen weakened and reached a six-year low against the U.S. dollar in March 2022.

Rising inflation and recession fears weighed down on developed markets performance. Global geopolitical tension intensified as the war in Ukraine continued with no sign of resolution. European countries were directly impacted by the reduction in gas supply from Russia and increased gas prices — peaking in the first half of June 2022 and driving inflation higher. Germany announced its energy emergency plan to prioritize industrial users with the allocation of gas supply. Similarly, the U.K. unveiled its new measures to help households facing larger energy bills in the upcoming fall.

As a result of the ongoing elevated inflation, the BoE raised the U.K. base rate to 1.25% in June 2022 while the ECB indicated a first-rate hike will likely be in July 2022 along with an end to asset purchase plan early in the third quarter of 2022. In Japan, the yen weakened against the U.S. dollar breaching the 130 level for the first time in the last two decades as Bank of Japan ("BoJ") kept its accommodative monetary policy unchanged.

Developed equity markets came under downward pressure over the quarter as recession fears remained elevated. Central banks' hawkish tone on bringing inflation rates down, despite inherent risk to the growth outlook, weighed down on both equity and bond markets over the quarter. The energy crisis in Europe intensified worries over supply and high costs.

In the Eurozone, recession loomed amid the intensifying energy crisis. This increased geopolitical tension and weakened the euro, which dropped to parity with the U.S. dollar for the first time since the 1980's. Inflation continued to rise particularly in the form of high gas and electricity prices. The ECB hiked policy rates by 0.75% in September 2022 with an expectation to bring the rates to 2% by year end.

In the U.K., the BoE used further tightening to contain inflation. U.K. markets reacted negatively to the fiscal policy announced by the newly formed government.

The Japanese Yen depreciated over the third quarter as the BoJ kept the policy rate unchanged. The Ministry of Finance intervened in the currency markets for the first time since 1998 which weighed down on investor sentiment and pushed equities into negative territory.

Ongoing concerns about an economic recession, tighter monetary policy, and geopolitical tension remained elevated. Developed markets posted strong positive gains over the fourth quarter on the back of optimism that inflation rates across developed markets had already peaked, and central banks would slow down the pace of tightening. However, in December 2022 central banks reiterated their plans to further tighten their monetary policy in their battle against high inflation rates.

In Europe, easing inflation pressures and the resolution of the fiscal and political turmoil in the U.K. supported the market performance during the fourth quarter. BoE and the ECB raised interest rates over the quarter to 3.5% and 2.0% respectively.

In Japan, companies reported strong earnings supported by weakened yen against the U.S. dollar. The BoJ surprised the market by loosening its yield curve control by 25 basis points as it dealt with the highest inflation in over 40 years.

**Describe recent portfolio activity.** 

During the period, as changes were made to the composition of the MSCI ACWI ex USA Index, the Master Portfolio purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index.

4 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **iShares MSCI Total International Index Fund** |

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**Describe portfolio positioning at period end.** 

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

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

![LOGO](g458983sdsp5.jpg)

<sup>(a)</sup> Assuming transaction costs and other operating expenses, including administration fees, if any.

<sup>(b)</sup> The Fund invests all of its assets in the Master Portfolio. The Master Portfolio will be substantially invested in equity securities in the MSCI ACWI ex USA Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI ACWI ex USA Index. 

<sup>(c)</sup> An index that captures large- and mid-cap representation across certain developed markets countries (excluding the U.S.) and certain emerging markets countries.

**Performance** 

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| | | | |
|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> |
|  | *1 Year* | *5 Years* | *10 Years* |
|  Institutional | (16.37)% | 0.77% | 3.51% |
|  Investor A | (16.61) | 0.50 | 3.24 |
|  Class K | (16.39) | 0.81 | 3.54 |
|  **MSCI ACWI ex USA Index** | (16.00) | 0.88 | 3.80 |

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<sup>(a)</sup> See "About Fund Performance" for a detailed description of share classes, including any related fees.

Past performance is not an indication of future results.

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

**Expense Example** 

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Actual | Actual | Actual | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | |
|  | *Beginning<br>Account Value<br>(07/01/22)* | *Ending<br>Account Value<br>(12/31/22)* | *Expenses<br>Paid During<br>the Period* *<br><sup>(a)</sup>* | *Beginning<br>Account Value<br>(07/01/22)* | *Ending<br>Account Value<br>(12/31/22)* | *Expenses<br>Paid During<br>the Period* *<br><sup>(a)</sup>* | *Annualized<br>Expense<br>Ratio* |
|  Institutional | $1000.00 | $1024.10 | $0.51 | $1000.00 | $1024.70 | $0.51 | 0.10% |
|  Investor A | 1000.00 | 1022.40 | 2.09 | 1000.00 | 1023.14 | 2.09 | 0.41 |
|  Class K | 1000.00 | 1023.30 | 0.46 | 1000.00 | 1024.75 | 0.46 | 0.09 |

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

See "Disclosure of Expenses" for further information on how expenses were calculated.

F U N D S U M M A R Y 5

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| | |
|:---|:---|
| About Fund Performance | **iShares MSCI Total International Index Fund** |

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

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

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

BlackRock Advisors, LLC (the "Administrator"), the Fund's administrator, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of the Fund's expenses. Without such waiver(s) and/or reimbursement(s), the Fund's performance would have been lower. With respect to the Fund's voluntary waiver(s), if any, the Administrator is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued at any time. With respect to the Fund's contractual waiver(s), if any, the Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.

Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown (which is based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense example provides information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund and share class under the heading entitled "Expenses Paid During the Period."

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

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

Derivative Financial Instruments

The Total International ex U.S. Index Master Portfolio (the "Master Portfolio") may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Master Portfolio must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Master Portfolio's successful use of a derivative financial instrument depends on the investment adviser's ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio's investments in these instruments, if any, are discussed in detail in the Master Portfolio Notes to Financial Statements.

6 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statement of Assets and Liabilities

December 31, 2022

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| | |
|:---|:---|
| | iShares<br>MSCI Total<br>International<br>Index Fund |
|  **ASSETS** |  |
|  Investments, at value — Master Portfolio | $1501261131 |
|  Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares sold | 3151787 |
| &nbsp;&nbsp;&nbsp;&nbsp; From the Manager | 27945 |
|  Prepaid expenses | 205123 |
|  Total assets | 1504645986 |
|  **LIABILITIES** |  |
|  Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services fees | 827 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 1818038 |
| &nbsp;&nbsp;&nbsp;&nbsp; Contributions to the Master Portfolio | 1333749 |
| &nbsp;&nbsp;&nbsp;&nbsp; Officer's fees | 222 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accrued expenses | 19991 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 32000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service fees | 10876 |
|  Total liabilities | 3215703 |
|  NET ASSETS | $1501430283 |
|  **NET ASSETS CONSIST OF** |  |
|  Paid-in capital | $1494784848 |
|  Accumulated earnings | 6645435 |
|  NET ASSETS | $1501430283 |

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F U N D F I N A N C I A L S T A T E M E N T S 7

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Statement of Assets and Liabilities (continued)

December 31, 2022

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| | |
|:---|:---|
| | iShares<br>MSCI Total<br>International<br>Index Fund |
|  **NET ASSET VALUE** |  |
| **Institutional** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $597193300 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 69742210 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $8.56 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | N/A |
| **Investor A** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $52025519 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 6072393 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $8.57 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | N/A |
| **Class K** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $&nbsp;&nbsp;&nbsp;&nbsp;852211464 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 96252507 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $8.85 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | N/A |

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*See notes to financial statements.* 

8 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statement of Operations

Year Ended December 31, 2022

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| | |
|:---|:---|
|  | iShares<br>MSCI Total<br>International<br>Index Fund |
|  **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income allocated from the Master Portfolio: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $47277984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 210534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 306450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | (5620238) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses | (1062639) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived | 83408 |
|  Total investment income | 41195499 |
|  FUND EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent — class specific | 204374 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration | 138363 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service — class specific | 136646 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration | 96178 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 67097 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage | 8553 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services | 4953 |
| &nbsp;&nbsp;&nbsp;&nbsp; Officer | 857 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 12489 |
|  Total expenses | 669510 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Administrator | (43329) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees waived and/or reimbursed by the Manager — class specific | (10683) |
|  Total expenses after fees waived and/or reimbursed | 615498 |
|  Net investment income | 40580001 |
|  **REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM THE MASTER PORTFOLIO** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated<sup>(a)</sup> | (68944650) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | 18589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | (86384) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (4459568) |
|  | (73472013) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated<sup>(b)</sup> | (202888933) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | 16310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | (5312) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations | 61927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (267460) |
|  | (203083468) |
|  Net realized and unrealized loss | (276555481) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(235975480) |
|  <sup>(a)</sup> Net of foreign capital gain tax and capital gain tax refund, if applicable of | $(371670) |
|  <sup>(b)</sup> Net of reduction in deferred capital gain tax of | $42496 |

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*See notes to financial statements.* 

F U N D F I N A N C I A L S T A T E M E N T S 9

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Statements of Changes in Net Assets

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| | | |
|:---|:---|:---|
|  | iShares MSCI Total<br> International Index Fund | iShares MSCI Total<br> International Index Fund |
| | Year Ended December 31,<br>2022 | Year Ended<br>12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |
|  **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $40580001 | $31633682 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized loss | (73472013) | (8213557) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (203083468) | 70851076 |
|  Net increase (decrease) in net assets resulting from operations | (235975480) | 94271201 |
|  **DISTRIBUTIONS TO SHAREHOLDERS**<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (13769061) | (10919966) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (1362762) | (5863998) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (22647677) | (23233137) |
|  Decrease in net assets resulting from distributions to shareholders | (37779500) | (40017101) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |
|  Net increase in net assets derived from capital share transactions | 372096857 | 142617090 |
|  *NET ASSETS* |  |  |
|  Total increase in net assets | 98341877 | 196871190 |
|  Beginning of year | 1403088406 | 1206217216 |
|  End of year | $1501430283 | $1403088406 |

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<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

10 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Financial Highlights

(For a share outstanding throughout each period)

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares MSCI Total International Index Fund | iShares MSCI Total International Index Fund | iShares MSCI Total International Index Fund | iShares MSCI Total International Index Fund | iShares MSCI Total International Index Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | <br> Year Ended<br>December 31, 2022 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $10.54 | $10.10 | $9.35 | $7.97 | $9.54 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.26 | 0.25 | 0.18 | 0.27 | 0.26 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.99) | 0.51 | 0.77 | 1.40 | (1.56) |
|  Net increase (decrease) from investment operations | (1.73) | 0.76 | 0.95 | 1.67 | (1.30) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.25) | (0.32) | (0.20) | (0.29) | (0.25) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  | (0.02) |
|  Total distributions | (0.25) | (0.32) | (0.20) | (0.29) | (0.27) |
|  **Net asset value, end of year** | $8.56 | $10.54 | $10.10 | $9.35 | $7.97 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (16.37)% | 7.60% | 10.72% | 21.18% | (13.94)% |
|  **Ratios to Average Net Assets<sup>(d)(e)(f)</sup>** |  |  |  |  |  |
|  Total expenses | 0.12% | 0.15% | 0.16% | 0.16 %<sup>(g)</sup> | 0.17 %<sup>(g)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.11% | 0.15% | 0.15% | 0.16% | 0.16% |
|  Net investment income | 2.90% | 2.31% | 2.08% | 3.08% | 2.83% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $597193 | $545767 | $156711 | $264845 | $159351 |
|  Portfolio turnover rate of the Master Portfolio | 28% | 13% | 23% | 5% | 40% |

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<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.

<sup>(e)</sup> Includes the Fund's share of the Master Portfolio's allocated fees waived of less than 0.01%. 

<sup>(f)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(g)</sup> Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio.

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 11

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Financial Highlights (continued)

(For a share outstanding throughout each period)

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares MSCI Total International Index Fund (continued) | iShares MSCI Total International Index Fund (continued) | iShares MSCI Total International Index Fund (continued) | iShares MSCI Total International Index Fund (continued) | iShares MSCI Total International Index Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | <br> Year Ended<br>December 31, 2022 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $10.55 | $10.07 | $9.32 | $7.95 | $9.52 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.24 | 0.23 | 0.17 | 0.25 | 0.23 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.00) | 0.51 | 0.76 | 1.39 | (1.56) |
|  Net increase (decrease) from investment operations | (1.76) | 0.74 | 0.93 | 1.64 | (1.33) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.22) | (0.26) | (0.18) | (0.27) | (0.22) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  | (0.02) |
|  Total distributions | (0.22) | (0.26) | (0.18) | (0.27) | (0.24) |
|  **Net asset value, end of year** | $8.57 | $10.55 | $10.07 | $9.32 | $7.95 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (16.61)% | 7.37% | 10.47% | 20.80% | (14.19)% |
|  **Ratios to Average Net Assets<sup>(d)(e)(f)</sup>** |  |  |  |  |  |
|  Total expenses | 0.42% | 0.40% | 0.42% | 0.41 %<sup>(g)</sup> | 0.42 %<sup>(g)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.41% | 0.39% | 0.41% | 0.41% | 0.41% |
|  Net investment income | 2.67% | 2.14% | 2.01% | 2.84% | 2.55% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $52026 | $63214 | $383705 | $341385 | $272066 |
|  Portfolio turnover rate of the Master Portfolio | 28% | 13% | 23% | 5% | 40% |

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<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.

<sup>(e)</sup> Includes the Fund's share of the Master Portfolio's allocated fees waived of less than 0.01%. 

<sup>(f)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(g)</sup> Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio.

*See notes to financial statements.* 

12 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares MSCI Total International Index Fund (continued) | iShares MSCI Total International Index Fund (continued) | iShares MSCI Total International Index Fund (continued) | iShares MSCI Total International Index Fund (continued) | iShares MSCI Total International Index Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | <br> Year Ended<br>December 31, 2022 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $10.89 | $10.42 | $9.64 | $8.21 | $9.82 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.27 | 0.27 | 0.20 | 0.28 | 0.27 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (2.06) | 0.53 | 0.79 | 1.44 | (1.61) |
|  Net increase (decrease) from investment operations | (1.79) | 0.80 | 0.99 | 1.72 | (1.34) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.25) | (0.33) | (0.21) | (0.29) | (0.25) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |  |  | (0.02) |
|  Total distributions | (0.25) | (0.33) | (0.21) | (0.29) | (0.27) |
|  **Net asset value, end of year** | $8.85 | $10.89 | $10.42 | $9.64 | $8.21 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | (16.39)% | 7.70% | 10.76% | 21.22% | (13.91)% |
|  **Ratios to Average Net Assets<sup>(d)(e)(f)</sup>** |  |  |  |  |  |
|  Total expenses | 0.10% | 0.10% | 0.12% | 0.11 %<sup>(g)</sup> | 0.12 %<sup>(g)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.10% | 0.10% | 0.11% | 0.11% | 0.11% |
|  Net investment income | 2.97% | 2.43% | 2.31% | 3.15% | 2.85% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $852211 | $794108 | $665801 | $488498 | $299520 |
|  Portfolio turnover rate of the Master Portfolio | 28% | 13% | 23% | 5% | 40% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income. <sup></sup>

<sup>(e)</sup> Includes the Fund's share of the Master Portfolio's allocated fees waived of less than 0.01%. 

<sup>(f)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(g)</sup> Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio.

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 13

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Notes to Financial Statements

***1.***  ***ORGANIZATION*** 

BlackRock Funds III (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. iShares MSCI Total International Index Fund (the "Fund") is a series of the Trust. The Fund is classified as diversified.

The Fund seeks to achieve its investment objective by investing all of its assets in Total International ex U.S. Index Master Portfolio (the "Master Portfolio"), a series of Master Investment Portfolio ("MIP") and an affiliate of the Trust, which has the same investment objective and strategies as the Fund. The value of the Fund's investment in the Master Portfolio reflects the Fund's proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At December 31, 2022, the percentage of the Master Portfolio owned by the Fund was 100.0%. The financial statements of the Master Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund's financial statements.

The Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Share Class* | *Initial Sales Charge* | *Initial Sales Charge* | *CDSC* | *CDSC* | *Conversion Privilege* | *Conversion Privilege* |
|  Institutional, Investor A and Class K Shares |  | No |  | No |  | None |

---

The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the "Board" and the members are referred to as "Trustees."

The Fund, together with certain other registered investment companies advised by BlackRock Fund Advisors ("BFA") or its affiliates, is included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

***2.***  ***SIGNIFICANT ACCOUNTING POLICIES*** 

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

**Investment Transactions and Income Recognition:** For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolio's income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

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

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

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

***3.***  ***INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*** 

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

***4.***  ***ADMINISTRATION AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*** 

**Administration:** The Trust, on behalf of the Fund, entered into an Administration Agreement with the Administrator, an indirect, wholly-owned subsidiary of BlackRock, Inc. ("BlackRock"), to provide administrative services (other than investment advice and related portfolio activities). For such services, the Fund pays the Administrator a monthly fee at an annual rate of 0.01% of the average daily net assets of the Fund. The Fund does not pay an investment advisory fee or investment management fee.

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

14 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

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

For the year ended December 31, 2022, the class specific service fees borne directly by Investor A Shares were $136,646.

**Transfer Agent:** Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Fund with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the year ended December 31, 2022, the Fund did not pay any amounts to affiliates in return for these services.

The Administrator maintains a call center that is responsible for providing certain shareholder services to the Fund. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the year ended December 31, 2022, the Fund reimbursed the Administrator the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statement of Operations:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Institutional* | *Investor A* | *Class K* | *Total* |
|  Reimbursed amounts | $596 | $4033 | $3415 | $8044 |

---

For the year ended December 31, 2022, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Institutional* | *Investor A* | *Class K* | *Total* |
|  Transfer agent fees — class specific | $120889 | $39322 | $44163 | $204374 |

---

**Expense Limitations, Waivers and Reimbursements:** With respect to the Fund, the Administrator contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund's business ("expense limitation"). The expense limitations as a percentage of average daily net assets are as follows:

---

| | |
|:---|:---|
| *Share Class* | *Expense Limitation* |
|  Institutional | 0.16% |
|  Investor A | 0.41 |
|  Class K | 0.11 |

---

The Administrator has agreed not to reduce or discontinue the contractual expense limitations through June 30, 2023, unless approved by the Board, including a majority of the trustees who are not "interested persons" of the Trust, as defined in the 1940 Act ("Independent Trustees"), or by a vote of a majority of the outstanding voting securities of the Fund. For the year ended December 31, 2022, the Administrator waived and/or reimbursed investment advisory fees of $43,329 which is included in fees waived and/or reimbursed by the Administrator in the Statement of Operations.

In addition, these amounts waived and/or reimbursed by the Manager are included in transfer agent fees waived and/or reimbursed-class specific in the Statement of Operations. For the year ended December 31, 2022, class specific expense waivers and/or reimbursements are as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Institutional* | *Investor A* | *Class K* | *Total* |
|  Transfer agent fees waived and/or reimbursed by the Manager — class specific | $25 | $4355 | $6303 | $10683 |

---

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the U.S. Securities and Exchange Commission ("SEC"), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund's investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended December 31, 2022, the Fund did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of the Fund are directors and/or officers of BlackRock or its affiliates. The Fund reimburses the Administrator for a portion of the compensation paid to the Fund's Chief Compliance Officer, which is included in Trustees and Officer in the Master Portfolio's Statement of Operations.

***5.***  ***INCOME TAX INFORMATION*** 

It is the Fund's policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S 15

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Notes to Financial Statements (continued)

The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Fund's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Fund as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund's financial statements.

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Year Ended<br>12/31/22* | *Year Ended<br>12/31/21* |
|  iShares MSCI Total International Index Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $37779500 | $40017101 |

---

As of December 31, 2022, the tax components of accumulated earnings (loss) were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Undistributed*<br> *Ordinary Income* | *Non-Expiring*<br> *Capital Loss*<br> *Carryforwards<sup>(a)</sup>* | *Net Unrealized*<br> *Gains(Losses)<sup>(b)</sup>* | *Total* |
|  iShares MSCI Total International Index Fund | $2755893 | $(88687417) | $92576959 | $6645435 |

---

<sup>(a)</sup> Amounts available to offset future realized capital gains. 

<sup>(b)</sup> The difference between book-basis and tax-basis net unrealized gains was attributable primarily to the timing and recognition of partnership income.

***6.***  ***CAPITAL SHARE TRANSACTIONS*** 

Transactions in capital shares for each class were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br>12/31/22 | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/21 |
| *Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  iShares MSCI Total International Index Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 59896906 | $509644196 | 40089148 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;436234144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 1628419 | 13769013 | 1042707 | 10919945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (43568446) | (371188980) | (4860731) | (51608254) |
|  | 17956879 | $152224229 | 36271124 | $395545835 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 1076933 | $9760108 | 4889048 | $51983230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 160443 | 1360746 | 553580 | 5860189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (1159493) | (10231571) | (37545137) | (407588212) |
|  | 77883 | $889283 | (32102509) | $(349744793) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 51270615 | $473869941 | 37491001 | $411998858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 2591085 | 22559468 | 2129220 | 23135434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (30546152) | (277446064) | (30555030) | (338318244) |
|  | 23315548 | $218983345 | 9065191 | $96816048 |
|  | 41350310 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;372096857 | 13233806 | $142617090 |

---

***7.***  ***SUBSEQUENT EVENTS*** 

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

16 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of BlackRock Funds III and Shareholders of iShares MSCI Total International Index Fund

**Opinion on the Financial Statements** 

We have audited the accompanying statement of assets and liabilities of iShares MSCI Total International Index Fund (one of the series constituting BlackRock Funds III, referred to hereafter as the "Fund") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the accounting agent of the Master Portfolio. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 23, 2023

We have served as the auditor of one or more BlackRock investment companies since 2000.

F U N D R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M 17

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Important Tax Information (unaudited)

The following amount, or maximum amount allowable by law, is hereby designated as qualified dividend income for individuals for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Qualified Dividend<br>Income* |
|  iShares MSCI Total International Index Fund | $37306541 |

---

The Fund intends to pass through to its shareholders the following amount, or maximum amount allowable by law, of foreign source income earned and foreign taxes paid for the fiscal year ended December 31, 2022:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Foreign Source<br>Income Earned* | *Foreign<br>Taxes Paid* |
|  iShares MSCI Total International Index Fund | $37779500 | $5575325 |

---

18 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Master Portfolio Information as of December 31, 2022 | **Total International ex U.S. Index Master Portfolio** |

---

**TEN LARGEST HOLDINGS** 

---

| | |
|:---|:---|
| *Security*<br>| <br> *Percent of<br>Net Assets* |
|  Taiwan Semiconductor Manufacturing Co. Ltd. | 1.6% |
|  Nestle SA, Registered Shares | 1.4 |
|  Tencent Holdings Ltd. | 1.2 |
|  Novo Nordisk A/S, Class B | 1 |
|  ASML Holding NV | 1 |
|  Roche Holding AG | 1 |
|  Samsung Electronics Co. Ltd. | 1 |
|  AstraZeneca PLC | 0.9 |
|  Shell PLC | 0.9 |
|  LVMH Moet Hennessy Louis Vuitton SE | 0.9 |

---

**GEOGRAPHIC ALLOCATION** 

---

| | |
|:---|:---|
| *Country/Geographic Region*<br>| <br> *Percent of<br>Net Assets* |
|  Japan | 13.9% |
|  China | 8.9 |
|  United Kingdom | 8.7 |
|  Canada | 7.6 |
|  France | 7.3 |
|  Switzerland | 6.5 |
|  United States | 5.7 |
|  Australia | 5.6 |
|  Germany | 5.1 |
|  India | 4.1 |
|  Taiwan | 3.8 |
|  South Korea | 3.2 |
|  Netherlands | 3.0 |
|  Hong Kong | 2.1 |
|  Sweden | 2.0 |
|  Denmark | 1.9 |
|  Spain | 1.6 |
|  Brazil | 1.5 |
|  Italy | 1.2 |
|  South Africa | 1.2 |
|  Saudi Arabia | 1.2 |
|  Other<sup>#</sup> | 8.9 |
|  Liabilities in Excess of Other Assets | (5.0) |

---

# Includes holdings within countries/geographic regions that are less than 1.0% of net assets. Please refer to the Schedule of Investments for such countries/geographic regions. 

M A S T E R P O R T F O L I O I N F O R M A T I O N 19

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---

| | |
|:---|:---|
| Schedule of Investments <br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Common Stocks** | **Common Stocks** | **Common Stocks** |
| **Australia — 5.6%** | **Australia — 5.6%** | **Australia — 5.6%** |
|  Ampol Ltd. | 14063 | $270325 |
|  ANZ Group Holdings Ltd. | 206720 | 3330035 |
|  APA Group | 76671 | 560419 |
|  Aristocrat Leisure Ltd. | 41901 | 863404 |
|  ASX Ltd. | 11217 | 516612 |
|  Aurizon Holdings Ltd. | 137482 | 348302 |
|  BHP Group Ltd., Class DI | 339148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10505768 |
|  BlueScope Steel Ltd. | 28378 | 323431 |
|  Brambles Ltd. | 86583 | 710033 |
|  Cochlear Ltd. | 4363 | 602562 |
|  Coles Group Ltd. | 99097 | 1123327 |
|  Commonwealth Bank of Australia | 111915 | 7773035 |
|  Computershare Ltd. | 37235 | 655933 |
|  CSL Ltd. | 31648 | 6171175 |
|  Dexus | 79034 | 414933 |
|  Endeavour Group Ltd. | 107538 | 467997 |
|  Fortescue Metals Group Ltd. | 117457 | 1641714 |
|  Glencore PLC | 657009 | 4381359 |
|  Goodman Group | 119761 | 1408432 |
|  GPT Group | 129031 | 367998 |
|  IDP Education Ltd. | 18953 | 349289 |
|  IGO Ltd. | 29749 | 272125 |
|  Insurance Australia Group Ltd. | 147382 | 473784 |
|  Lendlease Corp. Ltd. | 60379 | 320497 |
|  Lottery Corp. Ltd.<sup>(a)</sup> | 129358 | 394294 |
|  Macquarie Group Ltd. | 25279 | 2853707 |
|  Medibank Pvt Ltd. | 164677 | 328537 |
|  Mineral Resources Ltd. | 12953 | 679469 |
|  Mirvac Group | 235746 | 341059 |
|  National Australia Bank Ltd. | 205494 | 4172269 |
|  Newcrest Mining Ltd. | 59268 | 831074 |
|  Northern Star Resources Ltd. | 86833 | 649799 |
|  Orica Ltd. | 38278 | 391370 |
|  Origin Energy Ltd. | 123875 | 648352 |
|  Pilbara Minerals Ltd.<sup>(a)</sup> | 156835 | 397145 |
|  Qantas Airways Ltd.<sup>(a)</sup> | 53113 | 214986 |
|  QBE Insurance Group Ltd. | 102879 | 933287 |
|  Ramsay Health Care Ltd. | 12189 | 535232 |
|  REA Group Ltd. | 4822 | 362646 |
|  Reece Ltd.<sup>(b)</sup> | 18949 | 181128 |
|  Rio Tinto Ltd. | 23330 | 1841334 |
|  Rio Tinto PLC | 77986 | 5488966 |
|  Santos Ltd. | 204776 | 1007128 |
|  Scentre Group | 385356 | 750118 |
|  SEEK Ltd. | 20381 | 289751 |
|  Sonic Healthcare Ltd. | 30007 | 610673 |
|  South32 Ltd. | 293566 | 804849 |
|  Stockland | 198525 | 488939 |
|  Suncorp Group Ltd. | 75488 | 615137 |
|  Telstra Corp. Ltd. | 289312 | 782427 |
|  Transurban Group | 202986 | 1785841 |
|  Treasury Wine Estates Ltd. | 49291 | 455371 |
|  Vicinity Ltd. | 336191 | 453958 |
|  Washington H Soul Pattinson & Co. Ltd. | 18844 | 353538 |
|  Wesfarmers Ltd. | 72820 | 2271058 |
|  Westpac Banking Corp. | 230203 | 3644461 |
|  WiseTech Global Ltd. | 11145 | 383304 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Australia (continued)** |  |  |
|  Woodside Energy Group Ltd. | 123466 | $2990124 |
|  Woolworths Group Ltd. | 84197 | 1922673 |
|  |  | 84706493 |
| **Austria — 0.1%** |  |  |
|  Erste Group Bank AG | 23186 | 741841 |
|  OMV AG | 9141 | 470221 |
|  Verbund AG | 4162 | 349857 |
|  voestalpine AG | 8881 | 235250 |
|  |  | 1797169 |
| **Belgium — 0.6%** |  |  |
|  Ageas SA/NV | 9563 | 424328 |
|  Anheuser-Busch InBev SA | 56934 | 3429188 |
|  D'ieteren Group | 2016 | 386896 |
|  Elia Group SA | 2515 | 357539 |
|  Groupe Bruxelles Lambert NV | 6898 | 551272 |
|  KBC Group NV | 17126 | 1102662 |
|  Sofina SA | 925 | 204243 |
|  Solvay SA | 4759 | 481163 |
|  UCB SA | 8914 | 702365 |
|  Umicore SA | 13889 | 510835 |
|  Warehouses De Pauw CVA | 13801 | 395354 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8545845 |
| **Brazil — 1.1%** |  |  |
|  Ambev SA | 304175 | 831362 |
|  Americanas SA | 44055 | 80351 |
|  Atacadao SA | 57685 | 161658 |
|  B3 SA - Brasil Bolsa Balcao | 434625 | 1085964 |
|  Banco Bradesco SA | 96205 | 245249 |
|  Banco BTG Pactual SA | 89066 | 402886 |
|  Banco do Brasil SA | 51395 | 332496 |
|  Banco Santander Brasil SA | 25605 | 136880 |
|  BB Seguridade Participacoes SA | 53016 | 337538 |
|  BRF SA<sup>(a)</sup> | 92187 | 143459 |
|  CCR SA | 108443 | 222533 |
|  Centrais Eletricas Brasileiras SA | 68201 | 542108 |
|  Cia de Saneamento Basico do Estado de Sao Paulo | 21664 | 233231 |
|  Cia Siderurgica Nacional SA | 38838 | 105860 |
|  Cosan SA | 67148 | 217608 |
|  CPFL Energia SA | 19091 | 119983 |
|  Energisa SA | 7713 | 64606 |
|  Engie Brasil Energia SA | 24488 | 175842 |
|  Equatorial Energia SA | 70473 | 360969 |
|  Hapvida Participacoes e Investimentos SA<sup>(a)(c)</sup> | 196630 | 189479 |
|  Hypera SA | 36235 | 310707 |
|  JBS SA | 44372 | 185398 |
|  Klabin SA | 50466 | 190644 |
|  Localiza Rent a Car SA | 48197 | 478584 |
|  Lojas Renner SA | 59690 | 231349 |
|  Magazine Luiza SA<sup>(a)</sup> | 159612 | 82804 |
|  Natura & Co. Holding SA | 92910 | 201907 |
|  Petro Rio SA<sup>(a)</sup> | 52455 | 369481 |
|  Petroleo Brasileiro SA | 248852 | 1319580 |
|  Raia Drogasil SA | 83694 | 376928 |
|  Rede D'Or Sao Luiz SA<sup>(c)</sup> | 40523 | 226366 |
|  Rumo SA | 94600 | 334147 |
|  Sendas Distribuidora SA | 71970 | 265955 |
|  Suzano SA | 45386 | 419053 |
|  Telefonica Brasil SA | 36383 | 262813 |
|  TIM SA | 41040 | 96099 |

---

20 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Brazil (continued)** |  |  |
|  TOTVS SA | 46436 | $242124 |
|  Ultrapar Participacoes SA | 45628 | 108333 |
|  Vale SA | 246986 | 4184446 |
|  Vibra Energia SA | 77463 | 227122 |
|  WEG SA | 116451 | 845933 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16949835 |
| **Canada — 7.6%** |  |  |
|  Agnico Eagle Mines Ltd. | 31674 | 1645925 |
|  Air Canada<sup>(a)(b)</sup> | 13677 | 195862 |
|  Algonquin Power & Utilities Corp.<sup>(b)</sup> | 52297 | 340664 |
|  Alimentation Couche-Tard, Inc. | 53733 | 2361236 |
|  AltaGas Ltd.<sup>(b)</sup> | 16709 | 288520 |
|  ARC Resources Ltd.<sup>(b)</sup> | 50638 | 682528 |
|  Bank of Montreal<sup>(b)</sup> | 44574 | 4037996 |
|  Bank of Nova Scotia<sup>(b)</sup> | 79287 | 3884712 |
|  Barrick Gold Corp. | 123417 | 2115590 |
|  BCE, Inc.<sup>(b)</sup> | 533 | 23418 |
|  Brookfield Asset Management Ltd., Class A<sup>(a)</sup> | 24428 | 699463 |
|  Brookfield Corp. | 97710 | 3072741 |
|  BRP, Inc.<sup>(b)</sup> | 3536 | 269587 |
|  CAE, Inc.<sup>(a)(b)</sup> | 18506 | 357956 |
|  Cameco Corp.<sup>(b)</sup> | 29318 | 664527 |
|  Canadian Apartment Properties REIT | 5093 | 160539 |
|  Canadian Imperial Bank of Commerce<sup>(b)</sup> | 62552 | 2530261 |
|  Canadian National Railway Co.<sup>(b)</sup> | 39523 | 4694889 |
|  Canadian Natural Resources Ltd.<sup>(b)</sup> | 76832 | 4266616 |
|  Canadian Pacific Railway Ltd. | 62068 | 4627596 |
|  Canadian Tire Corp. Ltd., Class A<sup>(b)</sup> | 3349 | 349988 |
|  Canadian Utilities Ltd., Class A | 7661 | 207368 |
|  CCL Industries, Inc., Class B<sup>(b)</sup> | 9439 | 403214 |
|  Cenovus Energy, Inc.<sup>(b)</sup> | 96214 | 1866722 |
|  CGI, Inc.<sup>(a)</sup> | 15045 | 1296826 |
|  Constellation Software, Inc.<sup>(b)</sup> | 1342 | 2095225 |
|  Descartes Systems Group, Inc.<sup>(a)</sup> | 3661 | 255216 |
|  Dollarama, Inc. | 19228 | 1124568 |
|  Element Fleet Management Corp.<sup>(b)</sup> | 24611 | 335357 |
|  Emera, Inc. | 15570 | 595087 |
|  Empire Co. Ltd., Class A | 13424 | 353545 |
|  Enbridge, Inc.<sup>(b)</sup> | 136173 | 5322212 |
|  Fairfax Financial Holdings Ltd. | 1660 | 983335 |
|  First Quantum Minerals Ltd. | 44417 | 928033 |
|  FirstService Corp. | 2427 | 297209 |
|  Fortis, Inc.<sup>(b)</sup> | 25236 | 1009813 |
|  Franco-Nevada Corp. | 11456 | 1561620 |
|  George Weston Ltd.<sup>(b)</sup> | 4123 | 511538 |
|  GFL Environmental, Inc.<sup>(b)</sup> | 10858 | 317079 |
|  Gildan Activewear, Inc.<sup>(b)</sup> | 8732 | 239130 |
|  Great-West Lifeco, Inc.<sup>(b)</sup> | 18393 | 425185 |
|  Hydro One Ltd.<sup>(b)(c)</sup> | 22519 | 603223 |
|  iA Financial Corp., Inc. | 6622 | 387685 |
|  IGM Financial, Inc.<sup>(b)</sup> | 4062 | 113400 |
|  Imperial Oil Ltd. | 14693 | 715660 |
|  Intact Financial Corp.<sup>(b)</sup> | 12203 | 1756637 |
|  Ivanhoe Mines Ltd., Class A<sup>(a)(b)</sup> | 38741 | 306151 |
|  Keyera Corp. | 19644 | 429295 |
|  Kinross Gold Corp.<sup>(b)</sup> | 87836 | 358091 |
|  Loblaw Cos. Ltd. | 9397 | 830878 |
|  Lundin Mining Corp. | 38227 | 234613 |
|  Magna International, Inc.<sup>(b)</sup> | 19437 | 1091860 |
|  Manulife Financial Corp. | 135904 | 2423989 |
|  Metro, Inc. | 12264 | 679049 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Canada (continued)** |  |  |
|  National Bank of Canada<sup>(b)</sup> | 22649 | $1526047 |
|  Northland Power, Inc. | 14059 | 385532 |
|  Nutrien Ltd.<sup>(b)</sup> | 35091 | 2561850 |
|  Nuvei Corp.<sup>(a)(b)(c)</sup> | 3298 | 83814 |
|  Onex Corp. | 4171 | 201126 |
|  Open Text Corp.<sup>(b)</sup> | 16171 | 479158 |
|  Pan American Silver Corp.<sup>(b)</sup> | 12045 | 196599 |
|  Parkland Corp.<sup>(b)</sup> | 13910 | 305219 |
|  Pembina Pipeline Corp.<sup>(b)</sup> | 38312 | 1300458 |
|  Power Corp. of Canada<sup>(b)</sup> | 38468 | 904879 |
|  Quebecor, Inc., Class B | 9595 | 214010 |
|  Restaurant Brands International, Inc.<sup>(b)</sup> | 20346 | 1315878 |
|  RioCan Real Estate Investment Trust<sup>(b)</sup> | 9233 | 144087 |
|  Ritchie Bros Auctioneers, Inc. | 6960 | 402025 |
|  Rogers Communications, Inc., Class B | 24581 | 1150442 |
|  Royal Bank of Canada<sup>(b)</sup> | 92527 | 8699178 |
|  Saputo, Inc. | 16184 | 400656 |
|  Shaw Communications, Inc., Class B<sup>(b)</sup> | 33756 | 972542 |
|  Shopify, Inc., Class A<sup>(a)</sup> | 79199 | 2749738 |
|  Sun Life Financial, Inc.<sup>(b)</sup> | 40131 | 1862802 |
|  Suncor Energy, Inc. | 92432 | 2932019 |
|  TC Energy Corp.<sup>(b)</sup> | 68031 | 2712196 |
|  Teck Resources Ltd., Class B<sup>(a)</sup> | 33191 | 1254345 |
|  TELUS Corp. | 23311 | 449864 |
|  TFI International, Inc.<sup>(b)</sup> | 4920 | 492763 |
|  Thomson Reuters Corp. | 9065 | 1034106 |
|  TMX Group Ltd. | 3964 | 396751 |
|  Toromont Industries Ltd. | 6465 | 466540 |
|  Toronto-Dominion Bank<sup>(b)</sup> | 121112 | 7841868 |
|  Tourmaline Oil Corp.<sup>(b)</sup> | 22065 | 1113354 |
|  West Fraser Timber Co. Ltd.<sup>(b)</sup> | 5396 | 389636 |
|  Wheaton Precious Metals Corp. | 29326 | 1145750 |
|  WSP Global, Inc.<sup>(b)</sup> | 8905 | 1033151 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;114447810 |
| **Chile — 0.1%** |  |  |
|  Antofagasta PLC | 24306 | 453735 |
|  Banco de Chile | 3300922 | 342448 |
|  Banco de Credito e Inversiones SA | 2607 | 74960 |
|  Banco Santander Chile | 3205454 | 128294 |
|  Cencosud SA | 73021 | 120088 |
|  Cia Cervecerias Unidas SA | 4404 | 29378 |
|  Cia Sud Americana de Vapores SA | 1681449 | 132628 |
|  Empresas CMPC SA | 65894 | 109990 |
|  Empresas COPEC SA | 39808 | 297017 |
|  Enel Americas SA | 1282819 | 171647 |
|  Enel Chile SA | 1792039 | 82371 |
|  Falabella SA | 52829 | 102919 |
|  |  | 2045475 |
| **China — 8.9%** |  |  |
|  360 DigiTech, Inc.<sup>(b)</sup> | 5031 | 102431 |
|  37 Interactive Entertainment Network Technology Group Co. Ltd., Class A | 14800 | 38561 |
|  3SBio, Inc.<sup>(c)</sup> | 95500 | 101117 |
|  AAC Technologies Holdings, Inc.<sup>(a)</sup> | 49000 | 111239 |
|  Advanced Micro-Fabrication Equipment, Inc. China, Class A<sup>(a)</sup> | 5400 | 76392 |
|  AECC Aviation Power Co. Ltd., Class A | 7600 | 46377 |
|  Agricultural Bank of China Ltd., Class A | 289800 | 121804 |
|  Agricultural Bank of China Ltd., Class H | 2240000 | 766296 |
|  Aier Eye Hospital Group Co. Ltd., Class A | 21284 | 95320 |
|  Air China Ltd., Class A<sup>(a)</sup> | 111198 | 170071 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 21

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **China (continued)** |  |  |
|  Air China Ltd., Class H<sup>(a)</sup> | 60000 | $53258 |
|  Airtac International Group | 8371 | 252733 |
|  Alibaba Group Holding Ltd.<sup>(a)</sup> | 996052 | 10929588 |
|  Alibaba Health Information Technology Ltd.<sup>(a)</sup> | 304000 | 255891 |
|  Aluminum Corp. of China Ltd., Class A | 100100 | 64483 |
|  Aluminum Corp. of China Ltd., Class H | 164000 | 69400 |
|  Angel Yeast Co. Ltd., Class A | 6000 | 39083 |
|  Anhui Conch Cement Co. Ltd., Class A | 17700 | 69831 |
|  Anhui Conch Cement Co. Ltd., Class H | 89500 | 311860 |
|  Anhui Gujing Distillery Co. Ltd., Class A | 1500 | 57696 |
|  Anhui Gujing Distillery Co. Ltd., Class B | 8500 | 136064 |
|  ANTA Sports Products Ltd. | 89600 | 1165405 |
|  Asymchem Laboratories Tianjin Co. Ltd., Class A | 2800 | 59776 |
|  Autohome, Inc., ADR | 3727 | 114046 |
|  AviChina Industry & Technology Co. Ltd., Class H | 116000 | 52017 |
|  Baidu, Inc., Class A<sup>(a)</sup> | 153202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2184772 |
|  Bank of Beijing Co. Ltd., Class A | 100100 | 62307 |
|  Bank of Chengdu Co. Ltd., Class A | 6800 | 15004 |
|  Bank of China Ltd., Class A | 311200 | 142022 |
|  Bank of China Ltd., Class H | 5510000 | 1994230 |
|  Bank of Communications Co. Ltd., Class A | 140800 | 96372 |
|  Bank of Communications Co. Ltd., Class H | 753700 | 432546 |
|  Bank of Hangzhou Co. Ltd., Class A | 70800 | 133598 |
|  Bank of Jiangsu Co. Ltd., Class A | 236940 | 249276 |
|  Bank of Nanjing Co. Ltd., Class A | 57500 | 86472 |
|  Bank of Ningbo Co. Ltd., Class A | 28160 | 131666 |
|  Bank of Shanghai Co. Ltd., Class A | 76510 | 65296 |
|  Baoshan Iron & Steel Co. Ltd., Class A | 75798 | 61133 |
|  BBMG Corp., Class A | 45700 | 16743 |
|  BeiGene Ltd.<sup>(a)</sup> | 42669 | 724185 |
|  Beijing Capital International Airport Co. Ltd., Class H<sup>(a)</sup> | 100000 | 72958 |
|  Beijing Enterprises Holdings Ltd. | 21000 | 67049 |
|  Beijing Kingsoft Office Software, Inc., Class A | 3200 | 121892 |
|  Beijing Wantai Biological Pharmacy Enterprise Co. Ltd., Class A | 4785 | 87402 |
|  Bilibili, Inc., Class Z<sup>(a)</sup> | 10099 | 239387 |
|  BOC Hong Kong Holdings Ltd. | 242500 | 823238 |
|  BOE Technology Group Co. Ltd., Class A | 158600 | 77265 |
|  Budweiser Brewing Co. APAC Ltd.<sup>(c)</sup> | 114100 | 356676 |
|  BYD Co. Ltd., Class A | 10400 | 383933 |
|  BYD Co. Ltd., Class H | 49500 | 1214432 |
|  BYD Electronic International Co. Ltd. | 62500 | 199728 |
|  CGN Power Co. Ltd., Class H<sup>(c)</sup> | 1347000 | 319899 |
|  Changchun High & New Technology Industry Group, Inc., Class A | 2200 | 52812 |
|  Chaozhou Three-Circle Group Co. Ltd., Class A | 6900 | 30586 |
|  China Cinda Asset Management Co. Ltd., Class H | 522000 | 72034 |
|  China CITIC Bank Corp. Ltd., Class H | 869000 | 384552 |
|  China Coal Energy Co. Ltd., Class H | 194000 | 157517 |
|  China Common Rich Renewable Energy Investments Ltd.<sup>(d)</sup> | 11997 |  |
|  China Communications Services Corp. Ltd., Class H | 138000 | 50209 |
|  China Conch Venture Holdings Ltd. | 96000 | 208255 |
|  China Construction Bank Corp., Class A | 83600 | 67977 |
|  China Construction Bank Corp., Class H | 6670000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4171344 |
|  China CSSC Holdings Ltd., Class A | 30600 | 98296 |
|  China Energy Engineering Corp. Ltd., Class A | 19100 | 6311 |
|  China Everbright Bank Co. Ltd., Class A | 282300 | 115819 |
|  China Evergrande Group<sup>(a)(d)</sup> | 103000 | 13152 |
|  China Feihe Ltd.<sup>(c)</sup> | 213000 | 180338 |
|  China Galaxy Securities Co. Ltd., Class A | 57500 | 76970 |
|  China Galaxy Securities Co. Ltd., Class H | 132500 | 64419 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **China (continued)** |  |  |
|  China Hongqiao Group Ltd. | 133000 | $125439 |
|  China International Capital Corp. Ltd., Class A | 6800 | 37364 |
|  China International Capital Corp. Ltd., Class H<sup>(c)</sup> | 82400 | 156442 |
|  China Lesso Group Holdings Ltd. | 65000 | 67421 |
|  China Life Insurance Co. Ltd., Class A | 7300 | 39083 |
|  China Life Insurance Co. Ltd., Class H | 650000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1109382 |
|  China Literature Ltd.<sup>(a)(c)</sup> | 21400 | 82550 |
|  China Longyuan Power Group Corp. Ltd., Class H | 181000 | 220022 |
|  China Medical System Holdings Ltd. | 81000 | 126748 |
|  China Meidong Auto Holdings Ltd. | 36000 | 73517 |
|  China Mengniu Dairy Co. Ltd. | 231000 | 1041605 |
|  China Merchants Bank Co. Ltd., Class A | 74000 | 396340 |
|  China Merchants Bank Co. Ltd., Class H | 286578 | 1585880 |
|  China Merchants Securities Co. Ltd., Class A | 26300 | 50424 |
|  China Merchants Shekou Industrial Zone Holdings Co. Ltd., Class A | 32997 | 59989 |
|  China Minsheng Banking Corp. Ltd., Class A | 159000 | 79233 |
|  China Minsheng Banking Corp. Ltd., Class H<sup>(b)</sup> | 770680 | 266312 |
|  China National Building Material Co. Ltd., Class H | 228000 | 186292 |
|  China National Nuclear Power Co. Ltd., Class A | 127500 | 110402 |
|  China Northern Rare Earth Group High-Tech Co. Ltd., Class A | 7700 | 27755 |
|  China Oilfield Services Ltd., Class H | 182000 | 221212 |
|  China Overseas Land & Investment Ltd. | 245500 | 642442 |
|  China Overseas Property Holdings Ltd. | 85000 | 88058 |
|  China Pacific Insurance Group Co. Ltd., Class A | 73000 | 258156 |
|  China Pacific Insurance Group Co. Ltd., Class H | 156800 | 346734 |
|  China Petroleum & Chemical Corp., Class A | 186500 | 117370 |
|  China Petroleum & Chemical Corp., Class H | 1624400 | 782655 |
|  China Railway Group Ltd., Class A | 122200 | 97963 |
|  China Railway Group Ltd., Class H | 230000 | 120769 |
|  China Resources Cement Holdings Ltd. | 122000 | 64471 |
|  China Resources Gas Group Ltd. | 48000 | 179066 |
|  China Resources Land Ltd. | 207111 | 942224 |
|  China Resources Mixc Lifestyle Services<br>Ltd.<sup>(c)</sup> | 19400 | 98271 |
|  China Ruyi Holdings Ltd.<sup>(a)(b)</sup> | 596000 | 148594 |
|  China Shenhua Energy Co. Ltd., Class A | 31800 | 126673 |
|  China Shenhua Energy Co. Ltd., Class H | 255000 | 734573 |
|  China Southern Airlines Co. Ltd., Class H<sup>(a)</sup> | 152000 | 98570 |
|  China State Construction Engineering Corp. Ltd., Class A | 319400 | 249978 |
|  China State Construction International Holdings Ltd. | 188000 | 210497 |
|  China Three Gorges Renewables Group Co. Ltd., Class A | 116800 | 95228 |
|  China Tourism Group Duty Free Corp. Ltd., Class A | 7000 | 217646 |
|  China Tower Corp. Ltd., Class H<sup>(c)</sup> | 2650000 | 284363 |
|  China United Network Communications Ltd., Class A | 225300 | 145670 |
|  China Vanke Co. Ltd., Class A | 62901 | 164546 |
|  China Vanke Co. Ltd., Class H | 86200 | 173412 |
|  China Yangtze Power Co. Ltd., Class A | 90600 | 274538 |
|  China Zheshang Bank Co. Ltd., Class A<sup>(a)</sup> | 198400 | 84230 |
|  Chinasoft International Ltd. | 150000 | 129856 |
|  Chongqing Changan Automobile Co. Ltd., Class A | 55510 | 98532 |
|  Chongqing Zhifei Biological Products Co. Ltd., Class A | 3700 | 46923 |
|  Chow Tai Fook Jewellery Group Ltd. | 165800 | 336932 |
|  CITIC Ltd. | 472000 | 496275 |
|  CITIC Securities Co. Ltd., Class A | 36915 | 105954 |
|  CITIC Securities Co. Ltd., Class H | 171450 | 345297 |
|  CMOC Group Ltd., Class H | 213000 | 97579 |
|  Contemporary Amperex Technology Co. Ltd., Class A | 11100 | 628263 |

---

22 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **China (continued)** |  |  |
|  COSCO SHIPPING Energy Transportation Co. Ltd., Class A<sup>(a)</sup> | 12400 | $21590 |
|  COSCO SHIPPING Holdings Co. Ltd., Class A | 70377 | 104379 |
|  COSCO SHIPPING Holdings Co. Ltd., Class H | 179350 | 182317 |
|  Country Garden Holdings Co. Ltd.<sup>(b)</sup> | 447270 | 150661 |
|  Country Garden Services Holdings Co. Ltd. | 107000 | 262486 |
|  CRRC Corp. Ltd., Class A | 206600 | 152441 |
|  CSC Financial Co. Ltd., Class A | 14300 | 48961 |
|  CSPC Pharmaceutical Group Ltd. | 664400 | 691689 |
|  Dali Foods Group Co. Ltd.<sup>(c)</sup> | 175500 | 79843 |
|  Daqin Railway Co. Ltd., Class A | 53300 | 51437 |
|  Daqo New Energy Corp., ADR<sup>(a)</sup> | 4761 | 183822 |
|  Dongfeng Motor Group Co. Ltd., Class H | 138000 | 78850 |
|  Dongyue Group Ltd. | 93000 | 101858 |
|  East Money Information Co. Ltd., Class A | 71875 | 200712 |
|  Ecovacs Robotics Co. Ltd., Class A | 1800 | 18882 |
|  ENN Energy Holdings Ltd. | 61000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;852051 |
|  Eve Energy Co. Ltd., Class A | 4600 | 58204 |
|  Everbright Securities Co. Ltd., Class A | 28900 | 61857 |
|  Fangda Carbon New Material Co. Ltd., Class A<sup>(a)</sup> | 10420 | 9195 |
|  Flat Glass Group Co. Ltd., Class A | 18000 | 86555 |
|  Flat Glass Group Co. Ltd., Class H | 16000 | 38478 |
|  Focus Media Information Technology Co. Ltd., Class A | 37300 | 35877 |
|  Foshan Haitian Flavouring & Food Co. Ltd., Class A | 23810 | 273227 |
|  Fosun International Ltd.<sup>(b)</sup> | 131500 | 106735 |
|  Foxconn Industrial Internet Co. Ltd., Class A | 119700 | 158591 |
|  Futu Holdings Ltd., ADR<sup>(a)</sup> | 4810 | 195527 |
|  Fuyao Glass Industry Group Co. Ltd., Class A | 13000 | 65751 |
|  Fuyao Glass Industry Group Co. Ltd., Class H<sup>(c)</sup> | 74000 | 308985 |
|  Ganfeng Lithium Group Co. Ltd., Class A | 10780 | 107976 |
|  Ganfeng Lithium Group Co. Ltd., Class H<sup>(c)</sup> | 29040 | 215283 |
|  GD Power Development Co. Ltd., Class A<sup>(a)</sup> | 235600 | 145235 |
|  GDS Holdings Ltd., Class A<sup>(a)</sup> | 52272 | 135352 |
|  Geely Automobile Holdings Ltd. | 403000 | 582146 |
|  Genscript Biotech Corp.<sup>(a)</sup> | 68000 | 214654 |
|  GF Securities Co. Ltd., Class A | 72900 | 162726 |
|  GF Securities Co. Ltd., Class H<sup>(b)</sup> | 93600 | 133994 |
|  GigaDevice Semiconductor, Inc., Class A | 980 | 14485 |
|  Ginlong Technologies Co. Ltd., Class A<sup>(a)</sup> | 4800 | 124610 |
|  GoerTek, Inc., Class A | 17700 | 42977 |
|  Gotion High-tech Co. Ltd., Class A | 16100 | 66835 |
|  Great Wall Motor Co. Ltd., Class A | 13605 | 58060 |
|  Great Wall Motor Co. Ltd., Class H<sup>(b)</sup> | 255000 | 328496 |
|  Gree Electric Appliances, Inc. of Zhuhai, Class A | 9100 | 42359 |
|  Greentown China Holdings Ltd. | 83500 | 120743 |
|  Greentown Service Group Co. Ltd. | 94000 | 61974 |
|  Guangdong Haid Group Co. Ltd., Class A | 10700 | 95460 |
|  Guangzhou Automobile Group Co. Ltd., Class H | 176400 | 118137 |
|  Guangzhou Shiyuan Electronic Technology Co. Ltd., Class A | 5700 | 48547 |
|  Guangzhou Tinci Materials Technology Co. Ltd., Class A | 7200 | 45517 |
|  Guotai Junan Securities Co. Ltd., Class A | 55544 | 108881 |
|  H World Group Ltd., ADR<sup>(b)</sup> | 12752 | 540940 |
|  Haidilao International Holding Ltd.<sup>(a)(c)</sup> | 66000 | 188236 |
|  Haier Smart Home Co. Ltd., Class A | 41800 | 147154 |
|  Haier Smart Home Co. Ltd., Class H | 184000 | 624511 |
|  Haitian International Holdings Ltd. | 51000 | 135927 |
|  Haitong Securities Co. Ltd., Class A | 45000 | 56446 |
|  Haitong Securities Co. Ltd., Class H | 173200 | 106226 |
|  Hangzhou First Applied Material Co. Ltd., Class A | 15540 | 148711 |
|  Hangzhou Silan Microelectronics Co. Ltd., Class A | 15700 | 74195 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **China (continued)** |  |  |
|  Hangzhou Tigermed Consulting Co. Ltd., Class H<sup>(c)</sup> | 6200 | $71299 |
|  Hansoh Pharmaceutical Group Co. Ltd.<sup>(c)</sup> | 56000 | 105791 |
|  Henan Shuanghui Investment & Development Co. Ltd., Class A | 14800 | 55383 |
|  Hengan International Group Co. Ltd. | 39000 | 206773 |
|  Hengli Petrochemical Co. Ltd., Class A | 26600 | 59584 |
|  Hithink RoyalFlush Information Network Co. Ltd., Class A | 4600 | 65390 |
|  Hoshine Silicon Industry Co. Ltd., Class A | 3800 | 45444 |
|  Hua Hong Semiconductor Ltd.<sup>(a)(c)</sup> | 32000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;110887 |
|  Hualan Biological Engineering, Inc., Class A | 10800 | 35285 |
|  Huaneng Power International, Inc., Class A<sup>(a)</sup> | 97400 | 106837 |
|  Huaneng Power International, Inc., Class H<sup>(a)</sup> | 192000 | 90439 |
|  Huatai Securities Co. Ltd., Class A | 31600 | 58060 |
|  Huatai Securities Co. Ltd., Class H<sup>(c)</sup> | 84000 | 95803 |
|  Huaxia Bank Co. Ltd., Class A | 132899 | 99608 |
|  Huayu Automotive Systems Co. Ltd., Class A | 8300 | 20719 |
|  Huizhou Desay Sv Automotive Co. Ltd., Class A | 7000 | 106316 |
|  Hygeia Healthcare Holdings Co. Ltd.<sup>(a)(b)(c)</sup> | 21600 | 154111 |
|  Iflytek Co. Ltd., Class A | 8600 | 40675 |
|  Imeik Technology Development Co. Ltd., Class A | 1400 | 114275 |
|  Industrial & Commercial Bank of China Ltd., Class A | 531000 | 332804 |
|  Industrial & Commercial Bank of China Ltd., Class H | 3547000 | 1819219 |
|  Industrial Bank Co. Ltd., Class A | 73700 | 186960 |
|  Inner Mongolia BaoTou Steel Union Co. Ltd., Class A | 191700 | 53104 |
|  Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 19400 | 86651 |
|  Inner Mongolia Yitai Coal Co. Ltd., Class B | 60200 | 79371 |
|  Innovent Biologics, Inc.<sup>(a)(c)</sup> | 64000 | 272391 |
|  iQIYI, Inc., ADR<sup>(a)(b)</sup> | 11889 | 63012 |
|  JA Solar Technology Co. Ltd., Class A | 13160 | 113879 |
|  JD Health International, Inc.<sup>(a)(c)</sup> | 69600 | 628491 |
|  JD.com, Inc., Class A | 143396 | 4003132 |
|  Jiangsu Eastern Shenghong Co. Ltd., Class A | 43500 | 81648 |
|  Jiangsu Expressway Co. Ltd., Class H | 158000 | 143828 |
|  Jiangsu Hengli Hydraulic Co. Ltd., Class A | 6600 | 60116 |
|  Jiangsu Hengrui Pharmaceuticals Co. Ltd., Class A | 21312 | 118377 |
|  Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A | 5200 | 120112 |
|  Jiangsu Zhongtian Technology Co. Ltd., Class A | 45000 | 104893 |
|  Jiangxi Copper Co. Ltd., Class A | 43400 | 108895 |
|  Jiangxi Copper Co. Ltd., Class H | 157000 | 230501 |
|  Jiumaojiu International Holdings Ltd.<sup>(c)</sup> | 34000 | 90140 |
|  Kanzhun Ltd., ADR<sup>(a)</sup> | 12811 | 260960 |
|  KE Holdings, Inc., ADR<sup>(a)</sup> | 43487 | 607079 |
|  Kingboard Holdings Ltd. | 36500 | 115746 |
|  Kingdee International Software Group Co. Ltd.<sup>(a)</sup> | 154000 | 326803 |
|  Kingsoft Corp. Ltd. | 92400 | 306219 |
|  Kuaishou Technology<sup>(a)(c)</sup> | 124100 | 1115568 |
|  Kunlun Energy Co. Ltd. | 268000 | 190535 |
|  Kweichow Moutai Co. Ltd., Class A | 5616 | 1395487 |
|  Lenovo Group Ltd. | 442000 | 360008 |
|  Lens Technology Co. Ltd., Class A | 12300 | 18680 |
|  Li Auto, Inc., Class A<sup>(a)</sup> | 65546 | 633745 |
|  Li Ning Co. Ltd. | 172000 | 1479028 |
|  Lingyi iTech Guangdong Co., Class A<sup>(a)</sup> | 7000 | 4588 |
|  Longfor Group Holdings Ltd.<sup>(c)</sup> | 91500 | 281561 |
|  LONGi Green Energy Technology Co. Ltd., Class A | 27216 | 165541 |
|  Lufax Holding Ltd., ADR<sup>(b)</sup> | 63450 | 123093 |
|  Luxshare Precision Industry Co. Ltd., Class A | 53229 | 243614 |
|  Luzhou Laojiao Co. Ltd., Class A | 4900 | 158164 |
|  Mango Excellent Media Co. Ltd., Class A | 11800 | 51048 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 23

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **China (continued)** |  |  |
|  Maxscend Microelectronics Co. Ltd., Class A | 3744 | $61766 |
|  Meituan, Class B<sup>(a)(c)</sup> | 298500 | 6613515 |
|  Metallurgical Corp. of China Ltd., Class A | 138300 | 63397 |
|  Microport Scientific Corp.<sup>(a)(b)</sup> | 37000 | 96536 |
|  Minth Group Ltd. | 32000 | 86374 |
|  Montage Technology Co. Ltd., Class A | 11000 | 99404 |
|  Muyuan Foods Co. Ltd., Class A | 19046 | 133842 |
|  NARI Technology Co. Ltd., Class A | 21888 | 76837 |
|  NAURA Technology Group Co. Ltd., Class A | 1100 | 35756 |
|  NetEase, Inc. | 128625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1865577 |
|  New China Life Insurance Co. Ltd., Class A | 7700 | 33356 |
|  New China Life Insurance Co. Ltd., Class H | 66500 | 161906 |
|  New Hope Liuhe Co. Ltd., Class A<sup>(a)</sup> | 12700 | 23643 |
|  New Oriental Education & Technology Group, Inc.<sup>(a)</sup>  | 80320 | 283133 |
|  Ninestar Corp., Class A | 18700 | 140050 |
|  Ningxia Baofeng Energy Group Co. Ltd., Class A | 5000 | 8701 |
|  NIO, Inc., ADR<sup>(a)(b)</sup> | 90213 | 879577 |
|  Nongfu Spring Co. Ltd., Class H<sup>(c)</sup> | 132400 | 745648 |
|  Orient Securities Co. Ltd., Class A | 34368 | 44287 |
|  Ovctek China, Inc., Class A | 10800 | 55621 |
|  People's Insurance Co. Group of China Ltd., Class H | 496000 | 164084 |
|  PetroChina Co. Ltd., Class H | 1462000 | 667832 |
|  Pharmaron Beijing Co. Ltd., Class H<sup>(c)</sup> | 13200 | 90702 |
|  PICC Property & Casualty Co. Ltd., Class H | 498298 | 471139 |
|  Pinduoduo, Inc., ADR<sup>(a)</sup> | 32903 | 2683240 |
|  Ping An Bank Co. Ltd., Class A | 69600 | 131967 |
|  Ping An Healthcare & Technology Co.<br>Ltd.<sup>(a)(b)(c)</sup> | 25800 | 69642 |
|  Ping An Insurance Group Co. of China Ltd., Class A | 49000 | 331316 |
|  Ping An Insurance Group Co. of China Ltd., Class H | 441500 | 2900540 |
|  Poly Developments & Holdings Group Co. Ltd., Class A | 43000 | 93613 |
|  Pop Mart International Group Ltd.<sup>(b)(c)</sup> | 41400 | 104207 |
|  Postal Savings Bank of China Co. Ltd., Class A | 132700 | 88464 |
|  Postal Savings Bank of China Co. Ltd., Class H<sup>(b)(c)</sup>  | 453000 | 280323 |
|  Power Construction Corp. of China Ltd., Class A | 63300 | 64547 |
|  Qinghai Salt Lake Industry Co. Ltd., Class A<sup>(a)</sup> | 33700 | 110143 |
|  Rongsheng Petrochemical Co. Ltd., Class A | 35850 | 63617 |
|  SAIC Motor Corp. Ltd., Class A | 30300 | 62974 |
|  Sangfor Technologies, Inc., Class A | 3500 | 56939 |
|  Sany Heavy Equipment International Holdings Co. Ltd. | 28000 | 28644 |
|  Sany Heavy Industry Co. Ltd., Class A | 32700 | 74365 |
|  Seazen Holdings Co. Ltd., Class A<sup>(a)</sup> | 17500 | 51504 |
|  SF Holding Co. Ltd., Class A | 15900 | 132361 |
|  SG Micro Corp., Class A | 3750 | 93326 |
|  Shaanxi Coal Industry Co. Ltd., Class A | 92100 | 246935 |
|  Shandong Gold Mining Co. Ltd., Class A | 29204 | 80618 |
|  Shandong Gold Mining Co. Ltd., Class H<sup>(c)</sup> | 74750 | 138129 |
|  Shandong Weigao Group Medical Polymer Co. Ltd., Class H | 233200 | 381042 |
|  Shanghai Baosight Software Co. Ltd., Class B | 62140 | 192073 |
|  Shanghai Fosun Pharmaceutical Group Co. Ltd., Class A | 10562 | 53712 |
|  Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H<sup>(b)</sup> | 18000 | 57375 |
|  Shanghai International Airport Co. Ltd., Class A<sup>(a)</sup> | 11200 | 93199 |
|  Shanghai Lujiazui Finance & Trade Zone Development Co. Ltd., Class B | 60800 | 49044 |
|  Shanghai M&G Stationery, Inc., Class A | 29000 | 229845 |
|  Shanghai Pharmaceuticals Holding Co. Ltd., Class H | 62000 | 102930 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **China (continued)** |  |  |
|  Shanghai Pudong Development Bank Co. Ltd., Class A | 94987 | $99784 |
|  Shanghai Putailai New Energy Technology Co. Ltd., Class A | 9400 | 70374 |
|  Shanxi Xinghuacun Fen Wine Factory Co. Ltd., Class A | 5600 | 229862 |
|  Shengyi Technology Co. Ltd., Class A | 17700 | 36784 |
|  Shenwan Hongyuan Group Co. Ltd., Class A | 127900 | 73469 |
|  Shenzhen Dynanonic Co. Ltd., Class A | 600 | 19877 |
|  Shenzhen Inovance Technology Co. Ltd., Class A | 9750 | 97720 |
|  Shenzhen International Holdings Ltd. | 40500 | 39643 |
|  Shenzhen Kangtai Biological Products Co. Ltd., Class A | 7520 | 34172 |
|  Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | 4300 | 195869 |
|  Shenzhen Transsion Holdings Co. Ltd., Class A | 6290 | 72164 |
|  Shenzhou International Group Holdings Ltd. | 51400 | 573205 |
|  Shimao Group Holdings Ltd.<sup>(a)(d)</sup> | 51000 | 11694 |
|  Silergy Corp. | 25000 | 353123 |
|  Sinopharm Group Co. Ltd., Class H | 131200 | 332082 |
|  Smoore International Holdings Ltd.<sup>(c)</sup> | 96000 | 147257 |
|  Sunac China Holdings Ltd.<sup>(a)(d)</sup> | 130000 | 26495 |
|  Sungrow Power Supply Co. Ltd., Class A | 11500 | 185357 |
|  Sunny Optical Technology Group Co. Ltd. | 47800 | 563747 |
|  Sunwoda Electronic Co. Ltd., Class A | 15800 | 48146 |
|  Suzhou Maxwell Technologies Co. Ltd., Class A | 1900 | 112794 |
|  Suzhou TA&A Ultra Clean Technology Co. Ltd., Class A | 9900 | 79744 |
|  TAL Education Group, ADR<sup>(a)</sup> | 19208 | 135416 |
|  TBEA Co. Ltd., Class A | 36500 | 105564 |
|  TCL Technology Group Corp., Class A | 78200 | 41901 |
|  TCL Zhonghuan Renewable Energy Technology Co. Ltd., Class A | 18100 | 98129 |
|  Tencent Holdings Ltd. | 423300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17948074 |
|  Tencent Music Entertainment Group, ADR<sup>(a)(b)</sup> | 28714 | 237752 |
|  Thunder Software Technology Co. Ltd., Class A | 6000 | 86734 |
|  Tianqi Lithium Corp., Class A<sup>(a)</sup> | 20900 | 238091 |
|  Tingyi Cayman Islands Holding Corp. | 118000 | 208155 |
|  Tongcheng Travel Holdings Ltd.<sup>(a)</sup> | 135600 | 323888 |
|  Tongwei Co. Ltd., Class A | 28200 | 156775 |
|  Topchoice Medical Corp., Class A<sup>(a)</sup> | 900 | 19805 |
|  Topsports International Holdings Ltd.<sup>(c)</sup> | 81000 | 63818 |
|  TravelSky Technology Ltd., Class H | 59000 | 123998 |
|  Trina Solar Co. Ltd., Class A | 13277 | 121867 |
|  Trip.com Group Ltd., ADR<sup>(a)(b)</sup> | 36872 | 1268397 |
|  Tsingtao Brewery Co. Ltd., Class H | 42000 | 413578 |
|  Unigroup Guoxin Microelectronics Co. Ltd., Class A | 6859 | 130295 |
|  Uni-President China Holdings Ltd. | 82000 | 81848 |
|  Unisplendour Corp. Ltd., Class A | 20160 | 56759 |
|  Vipshop Holdings Ltd., ADR<sup>(a)</sup> | 35699 | 486934 |
|  Walvax Biotechnology Co. Ltd., Class A | 8600 | 49782 |
|  Wanhua Chemical Group Co. Ltd., Class A | 14700 | 196321 |
|  Want Want China Holdings Ltd. | 320000 | 213234 |
|  Weibo Corp., ADR<sup>(a)</sup> | 2166 | 41414 |
|  Weichai Power Co. Ltd., Class A | 33300 | 48825 |
|  Weichai Power Co. Ltd., Class H | 115800 | 153109 |
|  Wens Foodstuffs Group Co. Ltd., Class A | 20160 | 57117 |
|  Will Semiconductor Co. Ltd. Shanghai, Class A | 5535 | 61532 |
|  Wilmar International Ltd.<sup>(b)</sup> | 143800 | 447991 |
|  Wingtech Technology Co. Ltd., Class A | 4238 | 32071 |
|  Wuchan Zhongda Group Co. Ltd., Class A | 25699 | 17830 |
|  Wuliangye Yibin Co. Ltd., Class A | 13700 | 356269 |

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24 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **China (continued)** |  |  |
|  WuXi AppTec Co. Ltd., Class A | 12936 | $150632 |
|  WuXi AppTec Co. Ltd., Class H<sup>(c)</sup> | 21041 | 220773 |
|  Wuxi Biologics Cayman, Inc.<sup>(a)(c)</sup> | 248500 | 1882115 |
|  Wuxi Shangji Automation Co. Ltd., Class A | 7500 | 114281 |
|  Xiaomi Corp., Class B<sup>(a)(c)</sup> | 1116000 | 1549132 |
|  Xinjiang Goldwind Science & Technology Co. Ltd., Class A | 64400 | 102103 |
|  Xinjiang Goldwind Science & Technology Co. Ltd., Class H | 15800 | 14006 |
|  Xinyi Solar Holdings Ltd. | 292000 | 321301 |
|  XPeng, Inc., Class A<sup>(a)</sup> | 52134 | 256901 |
|  Xtep International Holdings Ltd. | 43000 | 47589 |
|  Yadea Group Holdings Ltd.<sup>(c)</sup> | 68000 | 113219 |
|  Yankuang Energy Group Co. Ltd., Class A | 5900 | 28569 |
|  Yankuang Energy Group Co. Ltd., Class H | 102000 | 310248 |
|  Yihai International Holding Ltd. | 23000 | 80900 |
|  Yihai Kerry Arawana Holdings Co. Ltd., Class A | 12100 | 76011 |
|  Yonyou Network Technology Co. Ltd., Class A | 7800 | 27158 |
|  Yum China Holdings, Inc. | 26542 | 1450520 |
|  Yunnan Baiyao Group Co. Ltd., Class A | 12460 | 97728 |
|  Yunnan Energy New Material Co. Ltd., Class A | 2300 | 43553 |
|  Zai Lab Ltd., ADR<sup>(a)</sup> | 7365 | 226106 |
|  Zhangzhou Pientzehuang Pharmaceutical Co. Ltd., Class A | 1599 | 66471 |
|  Zhaojin Mining Industry Co. Ltd., Class H<sup>(a)</sup> | 54000 | 59692 |
|  Zhejiang Chint Electrics Co. Ltd., Class A | 8900 | 35532 |
|  Zhejiang Expressway Co. Ltd., Class H | 54000 | 41522 |
|  Zhejiang Huayou Cobalt Co. Ltd., Class A | 3770 | 30168 |
|  Zhejiang Jingsheng Mechanical & Electrical Co. Ltd., Class A | 14200 | 130273 |
|  Zhejiang NHU Co. Ltd., Class A | 11060 | 29943 |
|  Zheshang Securities Co. Ltd., Class A | 44700 | 63989 |
|  ZhongAn Online P&C Insurance Co. Ltd., Class H<sup>(a)(c)</sup> | 42400 | 115475 |
|  Zhongsheng Group Holdings Ltd. | 63500 | 325253 |
|  Zhongtai Securities Co. Ltd., Class A | 42200 | 39016 |
|  Zhuzhou CRRC Times Electric Co. Ltd., Class A | 1831 | 14385 |
|  Zhuzhou CRRC Times Electric Co. Ltd., Class H | 28400 | 140271 |
|  Zijin Mining Group Co. Ltd., Class A | 145900 | 209472 |
|  Zijin Mining Group Co. Ltd., Class H | 330000 | 443517 |
|  ZTE Corp., Class H | 14400 | 31635 |
|  ZTO Express Cayman, Inc., ADR<sup>(b)</sup> | 26891 | 722561 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;133209927 |
| **Colombia — 0.0%** |  |  |
|  Bancolombia SA | 7812 | 67864 |
|  Interconexion Electrica SA ESP | 24518 | 107261 |
|  |  | 175125 |
| **Czech Republic — 0.0%** |  |  |
|  CEZ A/S | 10005 | 340895 |
|  Komercni Banka A/S | 3800 | 109812 |
|  Moneta Money Bank A/S<sup>(c)</sup> | 25594 | 86081 |
|  |  | 536788 |
| **Denmark — 1.9%** |  |  |
|  AP Moller - Maersk A/S, Class A | 185 | 407714 |
|  AP Moller - Maersk A/S, Class B | 354 | 792466 |
|  Carlsberg A/S, Class B | 7024 | 931712 |
|  Chr Hansen Holding A/S | 6994 | 503098 |
|  Coloplast A/S, Class B | 7333 | 859080 |
|  Danske Bank A/S | 41748 | 823400 |
|  Demant A/S<sup>(a)</sup> | 6675 | 186137 |
|  DSV A/S | 13180 | 2084247 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Denmark (continued)** |  |  |
|  Genmab A/S<sup>(a)</sup> | 4561 | $1928367 |
|  Novo Nordisk A/S, Class B | 110608 | 15022288 |
|  Novozymes A/S, B Shares | 10992 | 557664 |
|  Orsted A/S<sup>(c)</sup> | 13581 | 1227799 |
|  Pandora A/S | 6009 | 424725 |
|  ROCKWOOL A/S, B Shares | 484 | 113306 |
|  Tryg A/S | 20999 | 499053 |
|  Vestas Wind Systems A/S | 70045 | 2043258 |
|  |  | 28404314 |
| **Egypt — 0.0%** |  |  |
|  Commercial International Bank Egypt SAE | 101009 | 169656 |
| **Finland — 0.8%** |  |  |
|  Elisa OYJ | 8704 | 461356 |
|  Fortum OYJ | 27525 | 458403 |
|  Kesko OYJ, B Shares | 19320 | 426898 |
|  Kone OYJ, Class B | 23575 | 1220519 |
|  Neste OYJ | 29344 | 1353256 |
|  Nokia OYJ | 336422 | 1562915 |
|  Nordea Bank Abp | 218575 | 2341365 |
|  Orion OYJ, Class B | 6376 | 349551 |
|  Sampo OYJ, A Shares | 32437 | 1694167 |
|  Stora Enso OYJ, R Shares | 41796 | 589302 |
|  UPM-Kymmene OYJ | 32865 | 1229853 |
|  Wartsila OYJ Abp | 30424 | 256537 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11944122 |
| **France — 7.3%** |  |  |
|  Accor SA<sup>(a)</sup> | 10412 | 259754 |
|  Aeroports de Paris<sup>(a)(b)</sup> | 3116 | 417455 |
|  Air Liquide SA | 33714 | 4785206 |
|  Airbus SE | 39476 | 4693791 |
|  Alstom SA<sup>(b)</sup> | 18995 | 464743 |
|  Amundi SA<sup>(c)</sup> | 4353 | 246854 |
|  Arkema SA | 4546 | 408889 |
|  AXA SA | 123199 | 3431770 |
|  BioMerieux | 3586 | 376758 |
|  BNP Paribas SA | 77052 | 4387274 |
|  Bollore SE | 63891 | 357048 |
|  Bouygues SA | 16946 | 508240 |
|  Bureau Veritas SA | 17584 | 463409 |
|  Capgemini SE | 10248 | 1713220 |
|  Carrefour SA | 36650 | 613006 |
|  Cie de Saint-Gobain | 34529 | 1689186 |
|  Cie Generale des Etablissements Michelin SCA | 46477 | 1294722 |
|  Covivio | 2326 | 138068 |
|  Credit Agricole SA | 87771 | 923293 |
|  Danone SA | 44529 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2346930 |
|  Dassault Aviation SA | 2223 | 377005 |
|  Dassault Systemes SE | 41237 | 1482868 |
|  Edenred | 17414 | 947763 |
|  Eiffage SA | 4993 | 491132 |
|  Electricite de France SA | 33513 | 430251 |
|  Engie SA | 126684 | 1812350 |
|  EssilorLuxottica SA | 18933 | 3425604 |
|  Eurazeo SE | 2062 | 128375 |
|  Gecina SA | 3798 | 386940 |
|  Getlink SE | 26306 | 421242 |
|  Hermes International | 2070 | 3204052 |
|  Ipsen SA | 3356 | 360973 |
|  Kering SA | 4828 | 2457102 |
|  Klepierre SA | 17558 | 405249 |
|  La Francaise des Jeux SAEM<sup>(c)</sup> | 9840 | 395947 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 25

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **France (continued)** |  |  |
|  Legrand SA | 17397 | $1394921 |
|  L'Oreal SA | 16227 | 5810849 |
|  LVMH Moet Hennessy Louis Vuitton SE | 18593 | 13529984 |
|  Orange SA | 128442 | 1274416 |
|  Pernod Ricard SA | 13694 | 2693917 |
|  Publicis Groupe SA | 16031 | 1024097 |
|  Remy Cointreau SA | 1607 | 270962 |
|  Renault SA<sup>(a)</sup> | 15194 | 507003 |
|  Safran SA | 23707 | 2969393 |
|  Sanofi | 77111 | 7435546 |
|  Sartorius Stedim Biotech | 2005 | 651561 |
|  Schneider Electric SE | 36458 | 5119964 |
|  SEB SA | 2025 | 169901 |
|  Societe Generale SA | 56257 | 1411130 |
|  Sodexo SA | 5562 | 532163 |
|  Teleperformance | 3515 | 840314 |
|  Thales SA | 7377 | 942550 |
|  TotalEnergies SE | 166517 | 10452794 |
|  Ubisoft Entertainment SA<sup>(a)</sup> | 8158 | 230470 |
|  Unibail-Rodamco-Westfield<sup>(a)(b)</sup> | 8442 | 441315 |
|  Valeo | 13865 | 247737 |
|  Veolia Environnement SA | 46162 | 1186105 |
|  Vinci SA | 35204 | 3509377 |
|  Vivendi SE | 42128 | 402446 |
|  Wendel SE | 1358 | 126849 |
|  Worldline SA<sup>(a)(c)</sup> | 14715 | 576276 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;109998509 |
| **Germany — 4.8%** |  |  |
|  Adidas AG | 11543 | 1564380 |
|  Allianz SE, Registered Shares | 26677 | 5697076 |
|  BASF SE | 60384 | 2973223 |
|  Bayer AG, Registered Shares | 64642 | 3327127 |
|  Bayerische Motoren Werke AG | 21108 | 1868796 |
|  Bechtle AG | 8014 | 283280 |
|  Beiersdorf AG | 5842 | 667575 |
|  Brenntag SE | 8166 | 520785 |
|  Carl Zeiss Meditec AG | 3364 | 422834 |
|  Commerzbank AG<sup>(a)</sup> | 63644 | 595047 |
|  Continental AG, Class A | 6673 | 397808 |
|  Covestro AG<sup>(c)</sup> | 15002 | 584418 |
|  Daimler Truck Holding AG<sup>(a)</sup> | 33144 | 1018903 |
|  Delivery Hero SE<sup>(a)(c)</sup> | 11292 | 541900 |
|  Deutsche Bank AG, Registered Shares | 143352 | 1611500 |
|  Deutsche Boerse AG | 12234 | 2106573 |
|  Deutsche Lufthansa AG, Registered Shares<sup>(a)</sup> | 52139 | 429785 |
|  Deutsche Post AG, Registered Shares | 68753 | 2573193 |
|  Deutsche Telekom AG, Registered Shares | 213457 | 4247062 |
|  E.ON SE | 155722 | 1548188 |
|  Evonik Industries AG | 11562 | 220531 |
|  Fresenius Medical Care AG & Co. KGaA | 13963 | 456067 |
|  Fresenius SE & Co. KGaA | 28414 | 793657 |
|  GEA Group AG | 9011 | 366455 |
|  Hannover Rueck SE | 4414 | 870916 |
|  HeidelbergCement AG | 11470 | 649948 |
|  HelloFresh SE<sup>(a)</sup> | 15258 | 333004 |
|  Henkel AG & Co. KGaA | 6213 | 399276 |
|  Infineon Technologies AG | 85090 | 2586046 |
|  Knorr-Bremse AG | 6249 | 339960 |
|  LEG Immobilien SE | 4537 | 295897 |
|  Mercedes-Benz Group AG, Registered Shares | 53132 | 3474560 |
|  Merck KGaA | 8964 | 1729516 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Germany (continued)** |  |  |
|  MTU Aero Engines AG | 3921 | $843545 |
|  Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares | 9159 | 2962665 |
|  Nemetschek SE | 3453 | 176539 |
|  Puma SE | 6996 | 422861 |
|  Rational AG | 500 | 296913 |
|  Rheinmetall AG | 2402 | 478181 |
|  RWE AG | 44558 | 1969806 |
|  SAP SE | 68855 | 7108637 |
|  Scout24 SE<sup>(c)</sup> | 4929 | 248094 |
|  Siemens AG, Registered Shares | 51678 | 7123874 |
|  Siemens Energy AG<sup>(a)</sup> | 32988 | 619387 |
|  Siemens Healthineers AG<sup>(c)</sup> | 17697 | 882755 |
|  Symrise AG | 9208 | 1000035 |
|  Telefonica Deutschland Holding AG | 78736 | 193377 |
|  United Internet AG, Registered Shares | 4660 | 93967 |
|  Volkswagen AG | 1951 | 306064 |
|  Vonovia SE | 51826 | 1220835 |
|  Zalando SE<sup>(a)(c)</sup> | 13284 | 467661 |
|  |  | 71910482 |
| **Greece — 0.1%** |  |  |
|  Alpha Services & Holdings SA<sup>(a)</sup> | 109264 | 116940 |
|  Eurobank Ergasias Services & Holdings SA<sup>(a)</sup> | 150627 | 169660 |
|  FF Group<sup>(a)(d)</sup> | 205 |  |
|  Hellenic Telecommunications Organization SA | 12770 | 199456 |
|  JUMBO SA | 4656 | 79855 |
|  Mytilineos SA | 12016 | 261055 |
|  National Bank of Greece SA<sup>(a)</sup> | 58231 | 233512 |
|  OPAP SA | 11603 | 164156 |
|  Public Power Corp. SA<sup>(a)</sup> | 12105 | 84963 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1309597 |
| **Hong Kong — 2.1%** |  |  |
|  AIA Group Ltd. | 815200 | 9002565 |
|  Beijing Enterprises Water Group Ltd. | 232000 | 59324 |
|  Bosideng International Holdings Ltd. | 234000 | 110886 |
|  China Everbright Environment Group Ltd. | 146629 | 65291 |
|  China Gas Holdings Ltd. | 181000 | 262316 |
|  China Jinmao Holdings Group Ltd. | 192000 | 41078 |
|  China Merchants Port Holdings Co. Ltd. | 65720 | 95950 |
|  China Power International Development Ltd.<sup>(b)</sup> | 424000 | 178541 |
|  China Resources Beer Holdings Co. Ltd. | 124000 | 862492 |
|  China Resources Power Holdings Co. Ltd. | 120000 | 244523 |
|  China Taiping Insurance Holdings Co. Ltd. | 72672 | 90168 |
|  China Traditional Chinese Medicine Holdings Co. Ltd. | 178000 | 80722 |
|  CK Asset Holdings Ltd. | 123508 | 757496 |
|  CK Hutchison Holdings Ltd. | 167508 | 1003515 |
|  CK Infrastructure Holdings Ltd. | 41500 | 216549 |
|  CLP Holdings Ltd. | 119000 | 866983 |
|  COSCO SHIPPING Ports Ltd. | 134000 | 106342 |
|  ESR Group Ltd.<sup>(c)</sup> | 124200 | 259646 |
|  Far East Horizon Ltd. | 141000 | 109828 |
|  Galaxy Entertainment Group Ltd. | 157000 | 1032220 |
|  GCL Technology Holdings Ltd.<sup>(a)</sup> | 1362000 | 343656 |
|  Guangdong Investment Ltd. | 164000 | 167452 |
|  Hang Lung Properties Ltd. | 113000 | 220125 |
|  Hang Seng Bank Ltd. | 45700 | 758000 |
|  Henderson Land Development Co. Ltd. | 132800 | 462303 |
|  HK Electric Investments & HK Electric Investments Ltd., Class SS | 179500 | 118685 |
|  HKT Trust & HKT Ltd., Class SS | 222900 | 272857 |

---

26 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Hong Kong (continued)** |  |  |
|  Hong Kong & China Gas Co. Ltd. | 669176 | $634652 |
|  Hong Kong Exchanges & Clearing Ltd. | 83494 | 3587757 |
|  Hongkong Land Holdings Ltd.<sup>(b)</sup> | 77800 | 357943 |
|  Jardine Matheson Holdings Ltd. | 12000 | 610450 |
|  Kingboard Laminates Holdings Ltd. | 42500 | 46574 |
|  Link REIT | 137200 | 1003938 |
|  MTR Corp. Ltd.<sup>(b)</sup> | 122500 | 647884 |
|  New World Development Co. Ltd. | 84166 | 236100 |
|  Nine Dragons Paper Holdings Ltd. | 196000 | 178191 |
|  Orient Overseas International Ltd. | 10000 | 180234 |
|  Power Assets Holdings Ltd. | 103500 | 565676 |
|  Sino Biopharmaceutical Ltd. | 643750 | 374869 |
|  Sino Land Co. Ltd. | 240800 | 300346 |
|  SITC International Holdings Co. Ltd. | 73000 | 161800 |
|  Sun Hung Kai Properties Ltd. | 93000 | 1270321 |
|  Super Hi International Holding Ltd.<sup>(a)</sup> | 600 | 764 |
|  Swire Pacific Ltd., Class A | 38500 | 337486 |
|  Swire Properties Ltd. | 79200 | 200605 |
|  Techtronic Industries Co., Ltd. | 100000 | 1110684 |
|  Vinda International Holdings Ltd. | 31000 | 90993 |
|  WH Group Ltd.<sup>(c)</sup> | 804000 | 468923 |
|  Wharf Real Estate Investment Co. Ltd. | 103000 | 599886 |
|  Xinyi Glass Holdings Ltd.<sup>(b)</sup> | 136000 | 251270 |
|  Yuexiu Property Co. Ltd. | 135000 | 162871 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31169730 |
| **Hungary — 0.1%** |  |  |
|  MOL Hungarian Oil & Gas PLC | 39733 | 276909 |
|  OTP Bank Nyrt | 15236 | 413979 |
|  Richter Gedeon Nyrt | 8007 | 177800 |
|  |  | 868688 |
| **India — 4.1%** |  |  |
|  ACC Ltd. | 4939 | 145524 |
|  Adani Enterprises Ltd. | 17343 | 807613 |
|  Adani Green Energy Ltd.<sup>(a)</sup> | 18975 | 442083 |
|  Adani Ports & Special Economic Zone Ltd. | 27638 | 272815 |
|  Adani Power Ltd.<sup>(a)</sup> | 46031 | 165999 |
|  Adani Total Gas Ltd. | 17595 | 784594 |
|  Adani Transmission Ltd.<sup>(a)</sup> | 16094 | 502562 |
|  Ambuja Cements Ltd. | 50659 | 320402 |
|  Apollo Hospitals Enterprise Ltd. | 6490 | 350708 |
|  Asian Paints Ltd. | 26606 | 989109 |
|  AU Small Finance Bank Ltd.<sup>(c)</sup> | 16688 | 131817 |
|  Aurobindo Pharma Ltd. | 13516 | 71572 |
|  Avenue Supermarts Ltd.<sup>(a)(c)</sup> | 10792 | 529903 |
|  Axis Bank Ltd. | 157633 | 1773944 |
|  Bajaj Auto Ltd. | 6435 | 280592 |
|  Bajaj Finance Ltd. | 18897 | 1496921 |
|  Bajaj Finserv Ltd. | 22763 | 424868 |
|  Balkrishna Industries Ltd. | 5542 | 142488 |
|  Bandhan Bank Ltd.<sup>(a)(c)</sup> | 8600 | 24272 |
|  Berger Paints India Ltd. | 32823 | 229909 |
|  Bharat Electronics Ltd. | 301140 | 363357 |
|  Bharat Forge Ltd. | 25709 | 272787 |
|  Bharat Petroleum Corp. Ltd. | 77259 | 307981 |
|  Bharti Airtel Ltd. | 149139 | 1450394 |
|  Biocon Ltd. | 19164 | 60561 |
|  Britannia Industries Ltd. | 8541 | 444285 |
|  Cholamandalam Investment & Finance Co. Ltd. | 22203 | 193637 |
|  Cipla Ltd. | 34393 | 446842 |
|  Coal India Ltd. | 119356 | 324702 |
|  Colgate-Palmolive India Ltd. | 6248 | 115873 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **India (continued)** |  |  |
|  Container Corp. Of India Ltd. | 29519 | $263194 |
|  Dabur India Ltd. | 37975 | 257285 |
|  Divi's Laboratories Ltd. | 10264 | 422761 |
|  DLF Ltd. | 33599 | 151922 |
|  Dr Reddy's Laboratories Ltd. | 3124 | 159774 |
|  Dr Reddy's Laboratories Ltd., ADR<sup>(b)</sup> | 4517 | 233755 |
|  Eicher Motors Ltd. | 9970 | 387725 |
|  GAIL India Ltd. | 119551 | 138828 |
|  Godrej Consumer Products Ltd.<sup>(a)</sup> | 26503 | 279626 |
|  Godrej Properties Ltd.<sup>(a)</sup> | 7174 | 106037 |
|  Grasim Industries Ltd. | 15713 | 326171 |
|  Havells India Ltd. | 16163 | 214462 |
|  HCL Technologies Ltd. | 75935 | 952292 |
|  HDFC Life Insurance Co. Ltd.<sup>(c)</sup> | 52745 | 360295 |
|  Hero MotoCorp Ltd. | 7430 | 245504 |
|  Hindalco Industries Ltd. | 85181 | 486973 |
|  Hindustan Petroleum Corp. Ltd. | 82865 | 234913 |
|  Hindustan Unilever Ltd. | 53909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1665435 |
|  Housing Development Finance Corp. Ltd. | 113909 | 3621274 |
|  ICICI Bank Ltd. | 311088 | 3345990 |
|  ICICI Bank Ltd., ADR | 22806 | 499223 |
|  ICICI Lombard General Insurance Co. Ltd.<sup>(c)</sup> | 20946 | 312740 |
|  ICICI Prudential Life Insurance Co. Ltd.<sup>(c)</sup> | 21486 | 116890 |
|  Indian Hotels Co. Ltd. | 79918 | 307437 |
|  Indian Oil Corp. Ltd. | 142183 | 131331 |
|  Indian Railway Catering & Tourism Corp. Ltd. | 14747 | 113699 |
|  Indraprastha Gas Ltd. | 14609 | 73026 |
|  Indus Towers Ltd. | 41213 | 94625 |
|  Info Edge India Ltd. | 4063 | 192918 |
|  Infosys Ltd. | 124169 | 2263762 |
|  Infosys Ltd., ADR<sup>(b)</sup> | 97713 | 1759811 |
|  InterGlobe Aviation Ltd.<sup>(a)(c)</sup> | 5982 | 144754 |
|  ITC Ltd. | 209830 | 839897 |
|  Jindal Steel & Power Ltd. | 43922 | 308064 |
|  JSW Steel Ltd. | 49283 | 456871 |
|  Jubilant Foodworks Ltd. | 20145 | 124200 |
|  Kotak Mahindra Bank Ltd. | 32461 | 714184 |
|  Larsen & Toubro Ltd. | 22534 | 566377 |
|  Larsen & Toubro Ltd., GDR, Registered Shares | 18237 | 458392 |
|  LTIMindtree Ltd.<sup>(c)</sup> | 5587 | 294506 |
|  Lupin Ltd. | 11830 | 104798 |
|  Mahindra & Mahindra Ltd. | 34831 | 524371 |
|  Mahindra & Mahindra Ltd., GDR | 27036 | 402888 |
|  Marico Ltd. | 30883 | 190045 |
|  Maruti Suzuki India Ltd. | 8462 | 856062 |
|  Mphasis Ltd. | 4649 | 110730 |
|  MRF Ltd. | 105 | 112225 |
|  Muthoot Finance Ltd. | 8240 | 105758 |
|  Nestle India Ltd. | 2587 | 611971 |
|  NTPC Ltd. | 269224 | 541431 |
|  Oil & Natural Gas Corp. Ltd. | 161872 | 288145 |
|  Page Industries Ltd. | 367 | 189712 |
|  Petronet LNG Ltd. | 71896 | 187000 |
|  PI Industries Ltd. | 5213 | 215291 |
|  Pidilite Industries Ltd. | 9792 | 301226 |
|  Power Grid Corp. of India Ltd. | 237429 | 612140 |
|  Reliance Industries Ltd. | 204985 | 6293165 |
|  Samvardhana Motherson International Ltd. | 100972 | 90412 |
|  SBI Cards & Payment Services Ltd. | 14099 | 135385 |
|  SBI Life Insurance Co. Ltd.<sup>(c)</sup> | 22742 | 337538 |
|  Shree Cement Ltd. | 685 | 192428 |
|  Shriram Finance Ltd. | 13178 | 218758 |

---

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

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **India (continued)** |  |  |
|  Siemens Ltd. | 4979 | $169764 |
|  SRF Ltd. | 12621 | 348467 |
|  State Bank of India | 67262 | 497401 |
|  State Bank of India, GDR, Registered Shares<sup>(b)</sup> | 5712 | 422055 |
|  Sun Pharmaceutical Industries Ltd. | 69783 | 843886 |
|  Tata Consultancy Services Ltd. | 61269 | 2409532 |
|  Tata Consumer Products Ltd. | 34238 | 316871 |
|  Tata Elxsi Ltd. | 2653 | 201350 |
|  Tata Motors Ltd.<sup>(a)</sup> | 76613 | 358758 |
|  Tata Power Co. Ltd. | 131205 | 328757 |
|  Tata Steel Ltd. | 502200 | 684000 |
|  Tech Mahindra Ltd. | 35194 | 431609 |
|  Titan Co. Ltd. | 25789 | 809163 |
|  Torrent Pharmaceuticals Ltd. | 5320 | 99457 |
|  Trent Ltd. | 10835 | 176776 |
|  Tube Investments of India Ltd. | 9358 | 313868 |
|  TVS Motor Co. Ltd. | 22495 | 294590 |
|  UltraTech Cement Ltd. | 7711 | 647048 |
|  United Spirits Ltd.<sup>(a)</sup> | 18510 | 196091 |
|  UPL Ltd. | 42801 | 369661 |
|  Varun Beverages Ltd. | 28715 | 458256 |
|  Vedanta Ltd. | 46448 | 172875 |
|  Wipro Ltd. | 56219 | 266692 |
|  Wipro Ltd., ADR<sup>(b)</sup> | 13184 | 61438 |
|  Yes Bank Ltd.<sup>(a)</sup> | 558202 | 138871 |
|  Zomato Ltd.<sup>(a)</sup> | 104805 | 75133 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61208885 |
| **Indonesia — 0.6%** |  |  |
|  Adaro Energy Indonesia Tbk PT | 1157300 | 286678 |
|  Aneka Tambang Tbk | 614000 | 78136 |
|  Astra International Tbk PT | 1374600 | 503034 |
|  Bank Central Asia Tbk PT | 3519300 | 1929766 |
|  Bank Jago Tbk PT<sup>(a)</sup> | 244900 | 58450 |
|  Bank Mandiri Persero Tbk PT | 1163700 | 742085 |
|  Bank Negara Indonesia Persero Tbk PT | 405600 | 240305 |
|  Bank Rakyat Indonesia Persero Tbk PT | 4730528 | 1499814 |
|  Barito Pacific Tbk PT | 1676629 | 81293 |
|  Charoen Pokphand Indonesia Tbk PT | 713800 | 259103 |
|  Indah Kiat Pulp & Paper Tbk PT | 126800 | 71048 |
|  Indofood CBP Sukses Makmur Tbk PT | 165500 | 106275 |
|  Indofood Sukses Makmur Tbk PT | 261000 | 112825 |
|  Kalbe Farma Tbk PT | 1972300 | 264774 |
|  Merdeka Copper Gold Tbk PT<sup>(a)</sup> | 1022478 | 270131 |
|  Sarana Menara Nusantara Tbk PT | 1534700 | 108491 |
|  Semen Indonesia Persero Tbk PT | 121122 | 51150 |
|  Sumber Alfaria Trijaya Tbk PT | 1597100 | 272191 |
|  Telkom Indonesia Persero Tbk PT | 3461600 | 833595 |
|  Unilever Indonesia Tbk PT | 374500 | 113127 |
|  United Tractors Tbk PT | 157700 | 264348 |
|  Vale Indonesia Tbk PT<sup>(a)</sup> | 377500 | 171721 |
|  |  | 8318340 |
| **Ireland — 0.6%** |  |  |
|  AerCap Holdings NV<sup>(a)(b)</sup> | 7022 | 409523 |
|  AIB Group PLC | 88630 | 340198 |
|  Bank of Ireland Group PLC | 51969 | 495229 |
|  CRH PLC | 52932 | 2105113 |
|  Experian PLC | 58486 | 1980823 |
|  Flutter Entertainment PLC<sup>(a)</sup> | 11708 | 1604362 |
|  James Hardie Industries PLC | 31334 | 563958 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Ireland (continued)** |  |  |
|  Kerry Group PLC, Class A | 11022 | $995620 |
|  Kingspan Group PLC | 9649 | 522434 |
|  Smurfit Kappa Group PLC | 17893 | 663120 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9680380 |
| **Isle of Man — 0.0%** |  |  |
|  Entain PLC | 43324 | 689937 |
| **Israel — 0.5%** |  |  |
|  Azrieli Group Ltd. | 4108 | 273955 |
|  Bank Hapoalim BM | 81986 | 738195 |
|  Bank Leumi Le-Israel BM | 94925 | 790612 |
|  Bezeq The Israeli Telecommunication Corp. Ltd. | 149787 | 256961 |
|  Check Point Software Technologies Ltd.<sup>(a)</sup> | 6605 | 833287 |
|  CyberArk Software Ltd.<sup>(a)</sup> | 3215 | 416825 |
|  Elbit Systems Ltd. | 2228 | 362343 |
|  ICL Group Ltd. | 53347 | 385457 |
|  Isracard Ltd. | 1 | 3 |
|  Israel Discount Bank Ltd., Class A | 73958 | 388274 |
|  Mizrahi Tefahot Bank Ltd. | 8958 | 289121 |
|  Nice Ltd.<sup>(a)</sup> | 4489 | 863585 |
|  Teva Pharmaceutical Industries Ltd., ADR<sup>(a)</sup> | 73921 | 674159 |
|  Tower Semiconductor Ltd.<sup>(a)</sup> | 7458 | 325544 |
|  Wix.com Ltd.<sup>(a)(b)</sup> | 3589 | 275743 |
|  ZIM Integrated Shipping Services Ltd.<sup>(b)</sup> | 5331 | 91640 |
|  |  | 6965704 |
| **Italy — 1.2%** |  |  |
|  Amplifon SpA | 11525 | 344134 |
|  Assicurazioni Generali SpA | 69297 | 1232274 |
|  Davide Campari-Milano NV | 28673 | 291097 |
|  DiaSorin SpA | 2093 | 292864 |
|  Enel SpA | 564131 | 3033976 |
|  Eni SpA | 164573 | 2340139 |
|  Ferrari NV | 8823 | 1891990 |
|  FinecoBank Banca Fineco SpA | 35576 | 590779 |
|  Infrastrutture Wireless Italiane SpA<sup>(c)</sup> | 18443 | 186057 |
|  Intesa Sanpaolo SpA | 1155800 | 2560569 |
|  Mediobanca Banca di Credito Finanziario SpA<sup>(b)</sup> | 36189 | 347742 |
|  Moncler SpA | 15516 | 824471 |
|  Nexi SpA<sup>(a)(c)</sup> | 40392 | 318852 |
|  Poste Italiane SpA<sup>(c)</sup> | 30940 | 301865 |
|  Prysmian SpA | 15715 | 583899 |
|  Recordati Industria Chimica e Farmaceutica SpA | 10505 | 436669 |
|  Snam SpA | 115309 | 559114 |
|  Telecom Italia SpA<sup>(a)</sup> | 791287 | 183382 |
|  Terna - Rete Elettrica Nazionale | 104426 | 771206 |
|  UniCredit SpA | 120543 | 1710450 |
|  |  | 18801529 |
| **Japan — 13.9%** |  |  |
|  Advantest Corp. | 14100 | 903085 |
|  Aeon Co. Ltd. | 46700 | 986093 |
|  AGC, Inc.<sup>(b)</sup> | 15100 | 501105 |
|  Aisin Corp. | 14100 | 373861 |
|  Ajinomoto Co., Inc. | 32000 | 978026 |
|  ANA Holdings, Inc.<sup>(a)</sup> | 9300 | 196955 |
|  Asahi Group Holdings Ltd.<sup>(b)</sup> | 32300 | 1005422 |
|  Asahi Intecc Co. Ltd. | 13000 | 212059 |
|  Asahi Kasei Corp. | 75000 | 533894 |
|  Astellas Pharma, Inc. | 127300 | 1935676 |
|  Azbil Corp. | 6700 | 168219 |
|  Bandai Namco Holdings, Inc. | 11000 | 689474 |

---

28 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Japan (continued)** |  |  |
|  Bridgestone Corp.<sup>(b)</sup> | 39600 | $1402120 |
|  Brother Industries Ltd. | 16500 | 249376 |
|  Canon, Inc.<sup>(b)</sup> | 59800 | 1294314 |
|  Capcom Co. Ltd. | 8100 | 258556 |
|  Central Japan Railway Co. | 9100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1117294 |
|  Chiba Bank Ltd. | 52100 | 380129 |
|  Chubu Electric Power Co., Inc. | 37600 | 388802 |
|  Chugai Pharmaceutical Co. Ltd. | 44100 | 1124848 |
|  Concordia Financial Group Ltd. | 61900 | 258459 |
|  CyberAgent, Inc. | 25700 | 228801 |
|  Dai Nippon Printing Co. Ltd. | 17600 | 353576 |
|  Daifuku Co. Ltd. | 8200 | 382236 |
|  Dai-ichi Life Holdings, Inc. | 68000 | 1535669 |
|  Daiichi Sankyo Co. Ltd. | 115200 | 3707907 |
|  Daikin Industries Ltd. | 17300 | 2624643 |
|  Daito Trust Construction Co. Ltd. | 4900 | 501676 |
|  Daiwa House Industry Co. Ltd. | 38500 | 886895 |
|  Daiwa House REIT Investment Corp. | 130 | 289856 |
|  Daiwa Securities Group, Inc. | 95600 | 422437 |
|  Denso Corp. | 30100 | 1476099 |
|  Dentsu Group, Inc.<sup>(b)</sup> | 13400 | 420367 |
|  Disco Corp. | 1500 | 427531 |
|  East Japan Railway Co. | 21000 | 1196116 |
|  Eisai Co. Ltd. | 17300 | 1140970 |
|  ENEOS Holdings, Inc. | 185100 | 630342 |
|  FANUC Corp. | 13300 | 1990298 |
|  Fast Retailing Co. Ltd. | 4000 | 2434134 |
|  Fuji Electric Co. Ltd. | 9100 | 343427 |
|  FUJIFILM Holdings Corp. | 21400 | 1070031 |
|  Fujitsu Ltd. | 13600 | 1813118 |
|  GLP J-REIT | 430 | 495221 |
|  GMO Payment Gateway, Inc. | 4200 | 347336 |
|  Hakuhodo DY Holdings, Inc. | 14000 | 140505 |
|  Hamamatsu Photonics KK | 8600 | 410458 |
|  Hankyu Hanshin Holdings, Inc. | 16100 | 477004 |
|  Hikari Tsushin, Inc. | 1000 | 140754 |
|  Hirose Electric Co. Ltd. | 2711 | 340017 |
|  Hitachi Construction Machinery Co. Ltd. | 6400 | 142633 |
|  Hitachi Ltd. | 64000 | 3220242 |
|  Honda Motor Co. Ltd. | 105300 | 2401789 |
|  Hoshizaki Corp. | 5800 | 203940 |
|  Hoya Corp. | 23500 | 2250795 |
|  Hulic Co. Ltd.<sup>(b)</sup> | 24000 | 188461 |
|  Ibiden Co. Ltd. | 9600 | 346200 |
|  Idemitsu Kosan Co. Ltd.<sup>(b)</sup> | 16849 | 394462 |
|  Iida Group Holdings Co. Ltd. | 6800 | 103245 |
|  Inpex Corp.<sup>(b)</sup> | 58800 | 631830 |
|  Isuzu Motors Ltd. | 35400 | 410388 |
|  Ito En Ltd. | 3700 | 134658 |
|  ITOCHU Corp. | 82400 | 2585114 |
|  Itochu Techno-Solutions Corp. | 10100 | 234277 |
|  Japan Airlines Co. Ltd.<sup>(a)</sup> | 8200 | 167015 |
|  Japan Exchange Group, Inc. | 30800 | 443914 |
|  Japan Metropolitan Fund Invest | 418 | 332525 |
|  Japan Post Bank Co. Ltd.<sup>(b)</sup> | 17400 | 149169 |
|  Japan Post Holdings Co. Ltd. | 141500 | 1190575 |
|  Japan Post Insurance Co. Ltd. | 10400 | 182906 |
|  Japan Real Estate Investment Corp. | 75 | 329422 |
|  Japan Tobacco, Inc.<sup>(b)</sup> | 78900 | 1590641 |
|  JFE Holdings, Inc. | 28700 | 333020 |
|  JSR Corp. | 12300 | 240850 |
|  Kajima Corp. | 36700 | 427089 |
|  Kakaku.com, Inc. | 7400 | 118738 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Japan (continued)** |  |  |
|  Kansai Electric Power Co., Inc. | 45300 | $439902 |
|  Kao Corp.<sup>(b)</sup> | 32900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1306144 |
|  KDDI Corp. | 111900 | 3393579 |
|  Keio Corp. | 5500 | 201463 |
|  Keisei Electric Railway Co. Ltd. | 7700 | 218767 |
|  Keyence Corp. | 12980 | 5039414 |
|  Kikkoman Corp. | 8700 | 457938 |
|  Kintetsu Group Holdings Co. Ltd. | 13500 | 445720 |
|  Kirin Holdings Co. Ltd.<sup>(b)</sup> | 58800 | 896196 |
|  Kobayashi Pharmaceutical Co. Ltd. | 5400 | 370130 |
|  Kobe Bussan Co. Ltd. | 9400 | 270919 |
|  Koei Tecmo Holdings Co. Ltd. | 5720 | 103455 |
|  Koito Manufacturing Co. Ltd. | 21800 | 324998 |
|  Komatsu Ltd. | 64100 | 1385465 |
|  Konami Group Corp. | 5300 | 240423 |
|  Kose Corp. | 3100 | 336825 |
|  Kubota Corp.<sup>(b)</sup> | 64200 | 877064 |
|  Kurita Water Industries Ltd. | 7300 | 301524 |
|  Kyocera Corp. | 22300 | 1106897 |
|  Kyowa Kirin Co. Ltd. | 21900 | 501597 |
|  Lasertec Corp. | 5100 | 832680 |
|  Lixil Corp. | 23700 | 357303 |
|  M3, Inc. | 31100 | 844779 |
|  Makita Corp. | 13100 | 305167 |
|  Marubeni Corp. | 107800 | 1234951 |
|  Mazda Motor Corp. | 51200 | 383798 |
|  McDonald's Holdings Co. Japan Ltd.<sup>(b)</sup> | 5200 | 197633 |
|  MEIJI Holdings Co. Ltd. | 6500 | 333178 |
|  MINEBEA MITSUMI, Inc. | 21700 | 321509 |
|  MISUMI Group, Inc. | 22400 | 486848 |
|  Mitsubishi Chemical Group Corp. | 76500 | 396042 |
|  Mitsubishi Corp. | 82000 | 2662112 |
|  Mitsubishi Electric Corp. | 134900 | 1336716 |
|  Mitsubishi Estate Co. Ltd. | 71300 | 923590 |
|  Mitsubishi HC Capital, Inc. | 37900 | 186413 |
|  Mitsubishi Heavy Industries Ltd. | 22700 | 897025 |
|  Mitsubishi UFJ Financial Group, Inc. | 799300 | 5366031 |
|  Mitsui & Co. Ltd. | 96800 | 2819368 |
|  Mitsui Chemicals, Inc. | 11000 | 247069 |
|  Mitsui Fudosan Co. Ltd. | 62800 | 1147794 |
|  Mitsui OSK Lines Ltd.<sup>(b)</sup> | 18800 | 469771 |
|  Mizuho Financial Group, Inc. | 145440 | 2049001 |
|  MonotaRO Co. Ltd. | 18200 | 256363 |
|  MS&AD Insurance Group Holdings, Inc. | 26900 | 859988 |
|  Murata Manufacturing Co. Ltd. | 36300 | 1790141 |
|  NEC Corp. | 13900 | 487462 |
|  Nexon Co. Ltd. | 32200 | 722912 |
|  NGK Insulators Ltd. | 15500 | 196503 |
|  Nidec Corp. | 29400 | 1512899 |
|  Nihon M&A Center Holdings, Inc. | 18700 | 230099 |
|  Nintendo Co. Ltd.<sup>(b)</sup> | 71700 | 3014739 |
|  Nippon Building Fund, Inc.<sup>(b)</sup> | 127 | 567920 |
|  Nippon Express Holdings, Inc. | 6600 | 376922 |
|  Nippon Paint Holdings Co. Ltd. | 45200 | 355005 |
|  Nippon Sanso Holdings Corp. | 9300 | 134714 |
|  Nippon Shinyaku Co. Ltd. | 4500 | 255373 |
|  Nippon Steel Corp. | 48647 | 844080 |
|  Nippon Telegraph & Telephone Corp. | 76500 | 2181666 |
|  Nippon Yusen KK<sup>(b)</sup> | 28400 | 669690 |
|  Nissan Chemical Corp. | 9600 | 418629 |
|  Nissan Motor Co. Ltd. | 161800 | 506341 |
|  Nisshin Seifun Group, Inc. | 9000 | 113112 |
|  Nissin Foods Holdings Co. Ltd. | 3500 | 277180 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 29

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Japan (continued)** |  |  |
|  Nitori Holdings Co. Ltd. | 5700 | $744776 |
|  Nitto Denko Corp. | 9800 | 564428 |
|  Nomura Holdings, Inc. | 226400 | 838919 |
|  Nomura Real Estate Holdings, Inc. | 7100 | 151818 |
|  Nomura Real Estate Master Fund, Inc. | 289 | 358040 |
|  Nomura Research Institute Ltd. | 25543 | 607257 |
|  NTT Data Corp. | 37400 | 545020 |
|  Obayashi Corp. | 57700 | 435842 |
|  Obic Co. Ltd. | 4500 | 660641 |
|  Odakyu Electric Railway Co. Ltd. | 18100 | 234403 |
|  Oji Holdings Corp. | 25600 | 103398 |
|  Olympus Corp. | 85600 | 1509777 |
|  Omron Corp. | 13900 | 671756 |
|  Ono Pharmaceutical Co. Ltd. | 21700 | 507207 |
|  Open House Group Co. Ltd. | 4700 | 171126 |
|  Oracle Corp. Japan | 2000 | 130043 |
|  Oriental Land Co. Ltd. | 13900 | 2022786 |
|  ORIX Corp. | 77300 | 1237314 |
|  Osaka Gas Co. Ltd. | 21600 | 348043 |
|  Otsuka Corp. | 10500 | 330964 |
|  Otsuka Holdings Co. Ltd.<sup>(b)</sup> | 27500 | 896850 |
|  Pan Pacific International Holdings Corp. | 22800 | 423490 |
|  Panasonic Holdings Corp. | 161800 | 1354107 |
|  Persol Holdings Co. Ltd. | 10600 | 225459 |
|  Rakuten Group, Inc.<sup>(a)(b)</sup> | 53400 | 240678 |
|  Recruit Holdings Co. Ltd. | 100000 | 3130197 |
|  Renesas Electronics Corp.<sup>(a)</sup> | 70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;618678 |
|  Resona Holdings, Inc. | 146700 | 805737 |
|  Ricoh Co. Ltd. | 39800 | 302924 |
|  Rohm Co. Ltd. | 5200 | 372785 |
|  SBI Holdings, Inc. | 20450 | 389629 |
|  SCSK Corp. | 12100 | 183154 |
|  Secom Co. Ltd. | 15100 | 861573 |
|  Seiko Epson Corp. | 25200 | 366636 |
|  Sekisui Chemical Co. Ltd. | 21100 | 294098 |
|  Sekisui House Ltd.<sup>(b)</sup> | 39700 | 703843 |
|  Seven & i Holdings Co. Ltd. | 52300 | 2241387 |
|  SG Holdings Co. Ltd. | 17100 | 237103 |
|  Sharp Corp.<sup>(b)</sup> | 12500 | 89788 |
|  Shimadzu Corp. | 15000 | 424648 |
|  Shimano, Inc.<sup>(b)</sup> | 4900 | 774292 |
|  Shimizu Corp. | 31400 | 167548 |
|  Shin-Etsu Chemical Co. Ltd. | 24500 | 2991748 |
|  Shionogi & Co. Ltd. | 18700 | 933001 |
|  Shiseido Co. Ltd.<sup>(b)</sup> | 25800 | 1264553 |
|  Shizuoka Financial Group, Inc. | 35100 | 281274 |
|  SMC Corp. | 4000 | 1670214 |
|  SoftBank Corp. | 184500 | 2087371 |
|  SoftBank Group Corp. | 79200 | 3349600 |
|  Sompo Holdings, Inc. | 22100 | 977772 |
|  Sony Group Corp. | 85000 | 6478834 |
|  Square Enix Holdings Co. Ltd. | 5100 | 236770 |
|  Subaru Corp. | 37400 | 566239 |
|  SUMCO Corp. | 22300 | 295444 |
|  Sumitomo Chemical Co. Ltd. | 122200 | 438163 |
|  Sumitomo Corp. | 71500 | 1188551 |
|  Sumitomo Electric Industries Ltd. | 43400 | 490353 |
|  Sumitomo Metal Mining Co. Ltd. | 19500 | 685208 |
|  Sumitomo Mitsui Financial Group, Inc. | 82400 | 3315151 |
|  Sumitomo Mitsui Trust Holdings, Inc. | 25200 | 879368 |
|  Sumitomo Realty & Development Co. Ltd. | 23200 | 546776 |
|  Suntory Beverage & Food Ltd. | 9900 | 337117 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Japan (continued)** |  |  |
|  Suzuki Motor Corp. | 26200 | $839116 |
|  Sysmex Corp. | 12500 | 754632 |
|  T&D Holdings, Inc. | 34100 | 488133 |
|  Taisei Corp. | 10500 | 338575 |
|  Takeda Pharmaceutical Co. Ltd. | 104276 | 3258278 |
|  TDK Corp. | 25500 | 829606 |
|  Terumo Corp. | 44800 | 1270106 |
|  TIS, Inc. | 14200 | 373201 |
|  Tobu Railway Co. Ltd. | 12100 | 282232 |
|  Toho Co. Ltd. | 6700 | 258257 |
|  Tokio Marine Holdings, Inc. | 127300 | 2719431 |
|  Tokyo Electric Power Co. Holdings, Inc.<sup>(a)</sup> | 77000 | 277309 |
|  Tokyo Electron Ltd. | 9800 | 2879521 |
|  Tokyo Gas Co. Ltd. | 28700 | 561940 |
|  Tokyu Corp.<sup>(b)</sup> | 37800 | 476052 |
|  Toppan, Inc. | 18900 | 279105 |
|  Toray Industries, Inc. | 109100 | 606745 |
|  Toshiba Corp. | 27200 | 945180 |
|  Tosoh Corp. | 15500 | 184320 |
|  TOTO Ltd. | 11900 | 403641 |
|  Toyota Industries Corp. | 11100 | 603015 |
|  Toyota Motor Corp.<sup>(b)</sup> | 703330 | 9595210 |
|  Toyota Tsusho Corp. | 14500 | 533373 |
|  Trend Micro, Inc.<sup>(a)(b)</sup> | 8300 | 388169 |
|  Unicharm Corp. | 28000 | 1072014 |
|  USS Co. Ltd. | 12100 | 191992 |
|  Welcia Holdings Co. Ltd. | 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;116551 |
|  West Japan Railway Co. | 13100 | 568793 |
|  Yakult Honsha Co. Ltd. | 7800 | 507761 |
|  Yamaha Corp. | 11700 | 434161 |
|  Yamaha Motor Co. Ltd.<sup>(b)</sup> | 23300 | 526609 |
|  Yamato Holdings Co. Ltd. | 16300 | 258294 |
|  Yaskawa Electric Corp. | 14400 | 459438 |
|  Yokogawa Electric Corp. | 20700 | 328529 |
|  Z Holdings Corp. | 210000 | 524478 |
|  ZOZO, Inc. | 11700 | 288940 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;208442401 |
| **Jordan — 0.0%** |  |  |
|  Hikma Pharmaceuticals PLC | 8767 | 163381 |
| **Kuwait — 0.3%** |  |  |
|  Agility Public Warehousing Co. KSC | 126865 | 298871 |
|  Boubyan Bank KSCP | 120994 | 316279 |
|  Gulf Bank KSCP | 120566 | 123852 |
|  Kuwait Finance House KSCP | 519401 | 1403483 |
|  Mabanee Co. KPSC | 59515 | 165221 |
|  Mobile Telecommunications Co. KSCP | 139288 | 256679 |
|  National Bank of Kuwait SAKP | 446163 | 1573200 |
|  |  | 4137585 |
| **Luxembourg — 0.2%** |  |  |
|  ArcelorMittal SA | 36820 | 971390 |
|  Aroundtown SA | 59732 | 139141 |
|  Eurofins Scientific SE<sup>(b)</sup> | 9607 | 689765 |
|  Reinet Investments SCA | 14597 | 281231 |
|  Tenaris SA | 28432 | 498632 |
|  |  | 2580159 |
| **Macau — 0.0%** |  |  |
|  Sands China Ltd.<sup>(a)</sup> | 130800 | 429054 |
| **Malaysia — 0.5%** |  |  |
|  AMMB Holdings Bhd | 68900 | 64779 |
|  Axiata Group Bhd | 165600 | 116310 |

---

30 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Malaysia (continued)** |  |  |
|  CIMB Group Holdings Bhd<sup>(b)</sup> | 503900 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;663116 |
|  Dialog Group Bhd | 142134 | 79045 |
|  DiGi.Com Bhd<sup>(b)</sup> | 144300 | 130959 |
|  Genting Bhd<sup>(b)</sup> | 119100 | 121113 |
|  Genting Malaysia Bhd | 106100 | 64769 |
|  HAP Seng Consolidated Bhd | 64000 | 92949 |
|  Hartalega Holdings Bhd<sup>(b)</sup> | 88200 | 34062 |
|  Hong Leong Bank Bhd<sup>(b)</sup> | 38840 | 181085 |
|  Hong Leong Financial Group Bhd<sup>(b)</sup> | 7000 | 29542 |
|  IHH Healthcare Bhd | 133900 | 188954 |
|  Inari Amertron Bhd | 200000 | 118515 |
|  IOI Corp. Bhd | 270600 | 249027 |
|  Kuala Lumpur Kepong Bhd | 46100 | 234300 |
|  Malayan Banking Bhd | 286300 | 565438 |
|  Malaysia Airports Holdings Bhd<sup>(a)</sup> | 101100 | 150691 |
|  Maxis Bhd | 144000 | 125575 |
|  MISC Bhd | 83600 | 142327 |
|  MR DIY Group M Bhd<sup>(c)</sup> | 391600 | 177779 |
|  Nestle Malaysia Bhd<sup>(b)</sup> | 4200 | 133485 |
|  Petronas Chemicals Group Bhd<sup>(b)</sup> | 199900 | 390502 |
|  Petronas Dagangan Bhd | 22000 | 114870 |
|  Petronas Gas Bhd | 73500 | 285657 |
|  PPB Group Bhd | 38320 | 151714 |
|  Press Metal Aluminium Holdings Bhd | 283300 | 313882 |
|  Public Bank Bhd<sup>(b)</sup> | 1009700 | 990064 |
|  QL Resources Bhd | 80400 | 100568 |
|  RHB Bank Bhd | 82424 | 108295 |
|  Sime Darby Bhd | 159000 | 82993 |
|  Sime Darby Plantation Bhd | 124000 | 131033 |
|  Telekom Malaysia Bhd | 55900 | 68496 |
|  Tenaga Nasional Bhd | 155300 | 339499 |
|  Top Glove Corp. Bhd<sup>(b)</sup> | 348400 | 71616 |
|  |  | 6813009 |
| **Mexico — 0.7%** |  |  |
|  Alfa SAB de CV, Class A | 179985 | 114624 |
|  America Movil SAB de CV, Series L | 1936207 | 1756710 |
|  Arca Continental SAB de CV | 33779 | 274302 |
|  Banco del Bajio SA<sup>(c)</sup> | 80307 | 253657 |
|  Cemex SAB de CV<sup>(a)</sup> | 868117 | 351051 |
|  Coca-Cola Femsa SAB de CV | 33012 | 223350 |
|  Fibra Uno Administracion SA de CV | 262693 | 309518 |
|  Fomento Economico Mexicano SAB de CV | 127057 | 988667 |
|  Gruma SAB de CV, Class B | 9959 | 133257 |
|  Grupo Aeroportuario del Pacifico SAB de CV, Class B | 27669 | 396367 |
|  Grupo Aeroportuario del Sureste SAB de CV, Class B | 10700 | 249653 |
|  Grupo Bimbo SAB de CV, Series A | 89258 | 377250 |
|  Grupo Carso SAB de CV, Series A1 | 45509 | 190967 |
|  Grupo Financiero Banorte SAB de CV, Class O | 167411 | 1201985 |
|  Grupo Financiero Inbursa SAB de CV, Class O<sup>(a)</sup> | 123656 | 208394 |
|  Grupo Mexico SAB de CV, Series B | 224295 | 787418 |
|  Grupo Televisa SAB, Series CPO | 120983 | 110016 |
|  Industrias Penoles SAB de CV | 7755 | 95377 |
|  Kimberly-Clark de Mexico SAB de CV, Class A | 78500 | 133220 |
|  Operadora De Sites Mexicanos SAB de CV, Class A-1 | 105313 | 103602 |
|  Orbia Advance Corp. SAB de CV | 116935 | 207028 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Mexico (continued)** |  |  |
|  Promotora y Operadora de Infraestructura SAB de CV | 14276 | $116895 |
|  Wal-Mart de Mexico SAB de CV | 352730 | 1241565 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9824873 |
| **Netherlands — 3.0%** |  |  |
|  ABN AMRO Bank NV<sup>(c)</sup> | 27646 | 382841 |
|  Adyen NV<sup>(a)(c)</sup> | 1504 | 2087926 |
|  Aegon NV | 130509 | 661246 |
|  Akzo Nobel NV | 13033 | 874547 |
|  Argenx SE<sup>(a)</sup> | 3819 | 1433674 |
|  ASM International NV | 2769 | 702591 |
|  ASML Holding NV | 27472 | 14979153 |
|  Euronext NV<sup>(c)</sup> | 5123 | 379262 |
|  EXOR NV<sup>(a)</sup> | 6484 | 474721 |
|  Heineken Holding NV | 6027 | 465468 |
|  Heineken NV | 17518 | 1650058 |
|  IMCD NV | 4331 | 619513 |
|  ING Groep NV, Series N<sup>(a)</sup> | 248393 | 3025712 |
|  JDE Peet's NV | 6653 | 192437 |
|  Just Eat Takeaway.com NV<sup>(a)(c)</sup> | 16525 | 351726 |
|  Koninklijke Ahold Delhaize NV | 72532 | 2085387 |
|  Koninklijke DSM NV | 11676 | 1433749 |
|  Koninklijke KPN NV | 201462 | 623576 |
|  Koninklijke Philips NV | 62472 | 940029 |
|  NEPI Rockcastle NV | 22422 | 134432 |
|  NN Group NV | 17149 | 701260 |
|  OCI NV | 8374 | 299391 |
|  Prosus NV | 54854 | 3787306 |
|  QIAGEN NV<sup>(a)</sup> | 16515 | 830217 |
|  Randstad NV | 8768 | 535746 |
|  Stellantis NV | 139743 | 1985798 |
|  Universal Music Group NV | 52898 | 1279214 |
|  Wolters Kluwer NV | 17166 | 1796168 |
|  |  | 44713148 |
| **New Zealand — 0.2%** |  |  |
|  Auckland International Airport Ltd.<sup>(a)</sup> | 97598 | 484046 |
|  Fisher & Paykel Healthcare Corp. Ltd. | 34414 | 492399 |
|  Mercury NZ Ltd. | 77995 | 275536 |
|  Meridian Energy Ltd. | 71629 | 238251 |
|  Spark New Zealand Ltd. | 124489 | 426222 |
|  Xero Ltd.<sup>(a)</sup> | 8049 | 383807 |
|  |  | 2300261 |
| **Norway — 0.5%** |  |  |
|  Adevinta ASA<sup>(a)</sup> | 30284 | 200532 |
|  Aker BP ASA | 18893 | 587249 |
|  DNB Bank ASA | 64520 | 1274277 |
|  Equinor ASA | 59263 | 2129927 |
|  Gjensidige Forsikring ASA | 18285 | 358642 |
|  Kongsberg Gruppen ASA | 6071 | 258404 |
|  Mowi ASA | 26143 | 445484 |
|  Norsk Hydro ASA | 89824 | 671198 |
|  Orkla ASA | 49277 | 355648 |
|  Salmar ASA | 4089 | 160356 |
|  Telenor ASA | 41835 | 390863 |
|  Yara International ASA | 13034 | 572414 |
|  |  | 7404994 |
| **Peru — 0.1%** |  |  |
|  Cia de Minas Buenaventura SAA, ADR | 37253 | 277535 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 31

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Peru (continued)** |  |  |
|  Credicorp Ltd. | 4341 | $588900 |
|  Southern Copper Corp.<sup>(b)</sup> | 3343 | 201884 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1068319 |
| **Philippines — 0.2%** |  |  |
|  Aboitiz Equity Ventures, Inc. | 70570 | 73285 |
|  ACEN Corp. | 647140 | 88979 |
|  Ayala Corp. | 13480 | 168731 |
|  Ayala Land, Inc. | 546400 | 303311 |
|  Bank of the Philippine Islands | 94032 | 172484 |
|  BDO Unibank, Inc. | 189638 | 360630 |
|  Globe Telecom, Inc. | 973 | 38170 |
|  International Container Terminal Services, Inc. | 71720 | 257402 |
|  JG Summit Holdings, Inc. | 164265 | 148537 |
|  Jollibee Foods Corp. | 45180 | 186641 |
|  Manila Electric Co. | 11960 | 64261 |
|  Metropolitan Bank & Trust Co. | 96987 | 94179 |
|  Monde Nissin Corp.<sup>(c)</sup> | 387800 | 77377 |
|  PLDT, Inc. | 6295 | 148514 |
|  SM Investments Corp. | 19572 | 317416 |
|  SM Prime Holdings, Inc. | 754150 | 481155 |
|  Universal Robina Corp. | 34300 | 84156 |
|  |  | 3065228 |
| **Poland — 0.2%** |  |  |
|  Allegro.eu SA<sup>(a)(c)</sup> | 20056 | 115754 |
|  Bank Polska Kasa Opieki SA | 16784 | 333893 |
|  CD Projekt SA<sup>(b)</sup> | 3685 | 109770 |
|  Cyfrowy Polsat SA | 41521 | 167443 |
|  Dino Polska SA<sup>(a)(c)</sup> | 3219 | 276461 |
|  KGHM Polska Miedz SA | 7250 | 210885 |
|  LPP SA | 66 | 160961 |
|  mBank SA<sup>(a)</sup> | 1117 | 75699 |
|  PGE Polska Grupa Energetyczna SA<sup>(a)</sup> | 38915 | 61401 |
|  Polski Koncern Naftowy ORLEN SA | 41733 | 613113 |
|  Powszechna Kasa Oszczednosci Bank Polski SA | 77709 | 539357 |
|  Powszechny Zaklad Ubezpieczen SA | 32696 | 265520 |
|  Santander Bank Polska SA | 1611 | 95909 |
|  |  | 3026166 |
| **Portugal — 0.1%** |  |  |
|  EDP - Energias de Portugal SA | 192543 | 959789 |
|  Galp Energia SGPS SA | 28251 | 381124 |
|  Jeronimo Martins SGPS SA | 14443 | 312481 |
|  |  | 1653394 |
| **Qatar — 0.3%** |  |  |
|  Barwa Real Estate Co. | 109970 | 86229 |
|  Commercial Bank PSQC | 197122 | 269007 |
|  Industries Qatar QSC | 97136 | 340528 |
|  Masraf Al Rayan QSC | 333614 | 288866 |
|  Mesaieed Petrochemical Holding Co. | 245102 | 142959 |
|  Ooredoo QPSC | 63062 | 158225 |
|  Qatar Electricity & Water Co. QSC | 34989 | 168898 |
|  Qatar Fuel QSC | 23217 | 113801 |
|  Qatar Gas Transport Co. Ltd. | 132108 | 132325 |
|  Qatar International Islamic Bank QSC | 39371 | 111915 |
|  Qatar Islamic Bank SAQ | 112710 | 570505 |
|  Qatar National Bank QPSC | 334145 | 1645009 |
|  |  | 4028267 |
| **Russia<sup>(d)</sup> — 0.0%** |  |  |
|  Alrosa PJSC<sup>(a)</sup> | 189683 | 26 |
|  Gazprom PJSC | 621256 | 84 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Russia (continued)** |  |  |
|  Inter RAO UES PJSC<sup>(a)</sup> | 2890341 | $392 |
|  LUKOIL PJSC | 21213 | 3 |
|  Magnit PJSC | 2975 |  |
|  Magnit PJSC, GDR, Registered Shares<sup>(a)</sup> | 2 |  |
|  MMC Norilsk Nickel PJSC | 3587 | 1 |
|  Mobile TeleSystems PJSC | 50446 | 7 |
|  Moscow Exchange MICEX-Rates PJSC<sup>(a)</sup> | 63850 | 9 |
|  Novatek PJSC | 44130 | 6 |
|  Novolipetsk Steel PJSC<sup>(a)</sup> | 58207 | 8 |
|  Ozon Holdings PLC, ADR<sup>(a)</sup> | 2417 |  |
|  PhosAgro PJSC | 2583 | 1 |
|  PhosAgro PJSC, GDR, Registered Shares | 1 |  |
|  Polymetal International PLC<sup>(a)</sup> | 13797 | 2 |
|  Polyus PJSC<sup>(a)</sup> | 2382 |  |
|  Rosneft Oil Co. PJSC | 71604 | 10 |
|  Sberbank of Russia PJSC<sup>(a)</sup> | 588148 | 80 |
|  Severstal PAO | 10830 | 1 |
|  Surgutneftegas PJSC | 413786 | 56 |
|  Tatneft PJSC | 79440 | 11 |
|  TCS Group Holding PLC, GDR, Registered Shares<sup>(a)</sup> | 6905 | 1 |
|  United Co. RUSAL International PJSC<sup>(a)</sup> | 172792 | 23 |
|  VK Co. Ltd., GDR, Registered Shares<sup>(a)</sup> | 5177 | 1 |
|  VTB Bank PJSC<sup>(a)</sup> | 186510000 | 25 |
|  X5 Retail Group NV, GDR, Registered Shares | 9876 | 1 |
|  Yandex NV, Class A<sup>(a)</sup> | 16115 | 2 |
|  |  | 750 |
| **Saudi Arabia — 1.2%** |  |  |
|  ACWA Power Co. | 6847 | 277097 |
|  Advanced Petrochemical Co. | 7524 | 85561 |
|  Al Rajhi Bank<sup>(a)</sup> | 136016 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2720080 |
|  Alinma Bank | 64687 | 560130 |
|  Almarai Co. JSC | 14947 | 212914 |
|  Arab National Bank | 35872 | 304839 |
|  Bank AlBilad<sup>(a)</sup> | 38760 | 455650 |
|  Bank Al-Jazira | 25089 | 126924 |
|  Banque Saudi Fransi | 38664 | 416890 |
|  Bupa Arabia for Cooperative Insurance Co. | 3951 | 150679 |
|  Dar Al Arkan Real Estate Development<br>Co.<sup>(a)</sup> | 26789 | 82749 |
|  Dr Sulaiman Al Habib Medical Services Group Co. | 7911 | 461973 |
|  Elm Co. | 2383 | 211804 |
|  Emaar Economic City<sup>(a)</sup> | 43654 | 96840 |
|  Etihad Etisalat Co. | 28661 | 264936 |
|  Jarir Marketing Co. | 4478 | 178713 |
|  Mobile Telecommunications Co. Saudi Arabia<sup>(a)</sup> | 32501 | 86802 |
|  Mouwasat Medical Services Co. | 2638 | 147783 |
|  National Industrialization Co.<sup>(a)</sup> | 29825 | 98705 |
|  Rabigh Refining & Petrochemical Co.<sup>(a)</sup> | 40456 | 116982 |
|  Riyad Bank | 93636 | 796221 |
|  SABIC Agri-Nutrients Co. | 12807 | 499897 |
|  Sahara International Petrochemical Co. | 27239 | 249128 |
|  Saudi Arabian Mining Co.<sup>(a)</sup> | 59748 | 1025755 |
|  Saudi Arabian Oil Co.<sup>(c)</sup> | 144514 | 1240498 |
|  Saudi Basic Industries Corp. | 62424 | 1493263 |
|  Saudi British Bank | 73167 | 752773 |
|  Saudi Electricity Co. | 60072 | 371345 |
|  Saudi Industrial Investment Group | 31619 | 186769 |
|  Saudi Investment Bank | 42308 | 195078 |
|  Saudi Kayan Petrochemical Co.<sup>(a)</sup> | 43107 | 158010 |
|  Saudi National Bank | 152192 | 2048432 |
|  Saudi Research & Media Group<sup>(a)</sup> | 2197 | 106558 |

---

32 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Saudi Arabia (continued)** |  |  |
|  Saudi Tadawul Group Holding Co. | 3018 | $146137 |
|  Saudi Telecom Co. | 105493 | 1026573 |
|  Savola Group | 12960 | 95062 |
|  Yanbu National Petrochemical Co. | 12736 | 141676 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17591226 |
| **Singapore — 0.9%** |  |  |
|  BOC Aviation Ltd.<sup>(c)</sup> | 12300 | 102466 |
|  CapitaLand Ascendas REIT | 256651 | 525639 |
|  CapitaLand Integrated Commercial Trust | 361823 | 551857 |
|  Capitaland Investment Ltd.<sup>(b)</sup> | 169500 | 468446 |
|  City Developments Ltd. | 21400 | 131553 |
|  DBS Group Holdings Ltd. | 125684 | 3181263 |
|  Genting Singapore Ltd. | 560700 | 400148 |
|  Grab Holdings Ltd., Class A<sup>(a)(b)</sup> | 91796 | 295583 |
|  JOYY, Inc., ADR | 2689 | 84946 |
|  Keppel Corp. Ltd. | 87100 | 472359 |
|  Mapletree Logistics Trust<sup>(b)</sup> | 200049 | 237880 |
|  Mapletree Pan Asia Commercial Trust | 114900 | 143561 |
|  Oversea-Chinese Banking Corp. Ltd.<sup>(b)</sup> | 200849 | 1826929 |
|  Sea Ltd., ADR<sup>(a)(b)</sup> | 23617 | 1228792 |
|  Singapore Airlines Ltd. | 109799 | 453345 |
|  Singapore Exchange Ltd. | 42100 | 281518 |
|  Singapore Technologies Engineering Ltd. | 93300 | 233466 |
|  Singapore Telecommunications Ltd. | 545000 | 1044924 |
|  United Overseas Bank Ltd. | 81800 | 1873697 |
|  UOL Group Ltd. | 22000 | 110611 |
|  Venture Corp. Ltd. | 23000 | 293162 |
|  |  | 13942145 |
| **South Africa — 1.2%** |  |  |
|  Absa Group Ltd. | 61241 | 695429 |
|  African Rainbow Minerals Ltd. | 7134 | 120546 |
|  Anglo American Platinum Ltd. | 3172 | 264725 |
|  Anglo American PLC | 88136 | 3451394 |
|  AngloGold Ashanti Ltd. | 29334 | 571548 |
|  Aspen Pharmacare Holdings Ltd. | 38925 | 311310 |
|  Bid Corp. Ltd. | 20489 | 397752 |
|  Bidvest Group Ltd. | 15555 | 196268 |
|  Capitec Bank Holdings Ltd. | 5473 | 595773 |
|  Clicks Group Ltd. | 17239 | 274018 |
|  Discovery Ltd.<sup>(a)</sup> | 25999 | 188060 |
|  Exxaro Resources Ltd. | 14243 | 182602 |
|  FirstRand Ltd. | 350168 | 1272191 |
|  Foschini Group Ltd. | 15314 | 90158 |
|  Gold Fields Ltd. | 49477 | 513811 |
|  Growthpoint Properties Ltd. | 267079 | 228549 |
|  Harmony Gold Mining Co. Ltd. | 48026 | 167784 |
|  Impala Platinum Holdings Ltd. | 62435 | 784612 |
|  Kumba Iron Ore Ltd. | 2943 | 85004 |
|  Mr Price Group Ltd. | 25390 | 235435 |
|  MTN Group Ltd. | 123833 | 924877 |
|  MultiChoice Group | 18030 | 124407 |
|  Naspers Ltd., N Shares | 14214 | 2375240 |
|  Nedbank Group Ltd. | 34652 | 433536 |
|  Northam Platinum Holdings Ltd.<sup>(a)</sup> | 18042 | 198755 |
|  Old Mutual Ltd. | 280861 | 172303 |
|  Pepkor Holdings Ltd.<sup>(c)</sup> | 96071 | 113083 |
|  Remgro Ltd. | 36445 | 283451 |
|  Sanlam Ltd. | 134038 | 384335 |
|  Sasol Ltd. | 41631 | 664374 |
|  Shoprite Holdings Ltd. | 30051 | 398371 |
|  Sibanye Stillwater Ltd. | 196087 | 519872 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **South Africa (continued)** |  |  |
|  Spar Group Ltd. | 12100 | $80827 |
|  Standard Bank Group Ltd. | 95389 | 941171 |
|  Vodacom Group Ltd. | 34946 | 252358 |
|  Woolworths Holdings Ltd. | 55517 | 216239 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18710168 |
| **South Korea — 3.1%** |  |  |
|  Amorepacific Corp. | 1902 | 208164 |
|  BGF retail Co. Ltd. | 426 | 71292 |
|  Celltrion Healthcare Co. Ltd. | 7843 | 362448 |
|  Celltrion Pharm, Inc.<sup>(a)</sup> | 782 | 41731 |
|  Celltrion, Inc. | 7247 | 924939 |
|  Cheil Worldwide, Inc. | 4081 | 74540 |
|  CJ CheilJedang Corp. | 487 | 146495 |
|  CJ Corp. | 848 | 56646 |
|  Coway Co. Ltd. | 4594 | 203973 |
|  DB Insurance Co. Ltd. | 1949 | 101026 |
|  Doosan Bobcat, Inc. | 2907 | 79539 |
|  Doosan Enerbility Co. Ltd.<sup>(a)</sup> | 30236 | 368061 |
|  Ecopro BM Co. Ltd. | 4360 | 318956 |
|  E-MART, Inc.<sup>(a)</sup> | 661 | 51393 |
|  F&F Co. Ltd. | 980 | 112639 |
|  GS Holdings Corp.<sup>(a)</sup> | 2934 | 101818 |
|  Hana Financial Group, Inc. | 21980 | 731914 |
|  Hankook Tire & Technology Co. Ltd. | 4552 | 112406 |
|  Hanmi Pharm Co. Ltd. | 246 | 58263 |
|  Hanon Systems | 6705 | 43055 |
|  Hanwha Solutions Corp.<sup>(a)</sup> | 7333 | 250742 |
|  HD Hyundai Co. Ltd. | 2110 | 95494 |
|  HLB, Inc.<sup>(a)</sup> | 7710 | 173964 |
|  HMM Co. Ltd. | 17458 | 272108 |
|  Hotel Shilla Co. Ltd. | 1174 | 77539 |
|  HYBE Co. Ltd.<sup>(a)</sup> | 1064 | 147194 |
|  Hyundai Engineering & Construction Co. Ltd. | 4660 | 128833 |
|  Hyundai Glovis Co. Ltd. | 1004 | 130351 |
|  Hyundai Heavy Industries Co. Ltd.<sup>(a)</sup> | 2021 | 186262 |
|  Hyundai Mipo Dockyard Co. Ltd.<sup>(a)</sup> | 2258 | 151196 |
|  Hyundai Mobis Co. Ltd. | 3675 | 582922 |
|  Hyundai Motor Co. | 8065 | 965235 |
|  Hyundai Steel Co. | 3455 | 84212 |
|  Iljin Materials Co. Ltd. | 1243 | 51197 |
|  Industrial Bank of Korea<sup>(a)</sup> | 10461 | 81303 |
|  Kakao Corp.<sup>(a)</sup> | 22541 | 960155 |
|  Kakao Games Corp.<sup>(a)</sup> | 1768 | 63177 |
|  KakaoBank Corp.<sup>(a)</sup> | 5994 | 116612 |
|  Kangwon Land, Inc.<sup>(a)</sup> | 4062 | 74746 |
|  KB Financial Group, Inc. | 27660 | 1059727 |
|  Kia Corp. | 18778 | 883514 |
|  Korea Aerospace Industries Ltd. | 4371 | 176654 |
|  Korea Electric Power Corp.<sup>(a)</sup> | 17450 | 301342 |
|  Korea Investment Holdings Co. Ltd. | 5086 | 215841 |
|  Korea Shipbuilding & Offshore Engineering Co. Ltd.<sup>(a)</sup> | 2539 | 142773 |
|  Korea Zinc Co. Ltd. | 695 | 311465 |
|  Korean Air Lines Co. Ltd.<sup>(a)</sup> | 8579 | 156339 |
|  Krafton, Inc.<sup>(a)</sup> | 1467 | 196178 |
|  KT&G Corp. | 8503 | 614575 |
|  Kumho Petrochemical Co. Ltd. | 1183 | 117889 |
|  L&F Co. Ltd.<sup>(a)</sup> | 2131 | 293821 |
|  LG Chem Ltd. | 3053 | 1457897 |
|  LG Corp. | 5548 | 343533 |
|  LG Display Co. Ltd. | 10040 | 99216 |
|  LG Electronics, Inc. | 6286 | 432161 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 33

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **South Korea (continued)** |  |  |
|  LG Energy Solution Ltd.<sup>(a)</sup> | 2153 | $742046 |
|  LG H&H Co. Ltd. | 788 | 453549 |
|  LG Innotek Co. Ltd. | 809 | 163158 |
|  LG Uplus Corp. | 19172 | 167895 |
|  Lotte Chemical Corp. | 865 | 122419 |
|  Lotte Shopping Co. Ltd. | 260 | 18735 |
|  Meritz Fire & Marine Insurance Co. Ltd. | 3828 | 151556 |
|  Meritz Securities Co. Ltd. | 25240 | 125701 |
|  Mirae Asset Securities Co. Ltd. | 9107 | 44000 |
|  NAVER Corp. | 9103 | 1294637 |
|  NCSoft Corp. | 1311 | 468320 |
|  Netmarble Corp.<sup>(c)</sup> | 1410 | 67830 |
|  NH Investment & Securities Co. Ltd. | 5312 | 36969 |
|  Orion Corp. | 907 | 92338 |
|  Pan Ocean Co. Ltd. | 24785 | 112997 |
|  Pearl Abyss Corp.<sup>(a)</sup> | 1729 | 57629 |
|  POSCO Chemical Co. Ltd. | 2049 | 292716 |
|  POSCO Holdings, Inc. | 5479 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1199089 |
|  S-1 Corp., Series S-1 | 442 | 20773 |
|  Samsung Biologics Co. Ltd.<sup>(a)(c)</sup> | 1133 | 736694 |
|  Samsung C&T Corp. | 7051 | 635233 |
|  Samsung Electro-Mechanics Co. Ltd. | 3088 | 320697 |
|  Samsung Electronics Co. Ltd. | 326916 | 14349404 |
|  Samsung Engineering Co. Ltd.<sup>(a)</sup> | 17265 | 305431 |
|  Samsung Fire & Marine Insurance Co. Ltd. | 2591 | 410000 |
|  Samsung Heavy Industries Co. Ltd.<sup>(a)</sup> | 32333 | 131039 |
|  Samsung Life Insurance Co. Ltd. | 7275 | 408529 |
|  Samsung SDI Co. Ltd.<sup>(a)</sup> | 3817 | 1792243 |
|  Samsung SDS Co. Ltd. | 2432 | 237021 |
|  Samsung Securities Co. Ltd. | 2723 | 67961 |
|  SD Biosensor, Inc. | 2813 | 67363 |
|  Shinhan Financial Group Co. Ltd. | 33729 | 938998 |
|  SK Biopharmaceuticals Co. Ltd.<sup>(a)</sup> | 2896 | 165583 |
|  SK Bioscience Co. Ltd.<sup>(a)</sup> | 1588 | 92986 |
|  SK Hynix, Inc. | 37871 | 2259535 |
|  SK IE Technology Co. Ltd.<sup>(a)(c)</sup> | 2047 | 86506 |
|  SK Innovation Co. Ltd.<sup>(a)</sup> | 3947 | 482192 |
|  SK Square Co. Ltd.<sup>(a)</sup> | 9598 | 255484 |
|  SK, Inc. | 2218 | 332726 |
|  SKC Co. Ltd. | 1153 | 81365 |
|  S-Oil Corp. | 2657 | 176837 |
|  Woori Financial Group, Inc. | 41683 | 380788 |
|  Yuhan Corp. | 3218 | 145544 |
|  |  | 46057981 |
| **Spain — 1.6%** |  |  |
|  Acciona SA | 1476 | 271631 |
|  ACS Actividades de Construccion y Servicios SA | 14152 | 404939 |
|  Aena SME SA<sup>(a)(c)</sup> | 5041 | 631931 |
|  Amadeus IT Group SA<sup>(a)</sup> | 31247 | 1621023 |
|  Banco Bilbao Vizcaya Argentaria SA | 393056 | 2367481 |
|  Banco Santander SA | 1129462 | 3377218 |
|  CaixaBank SA | 307609 | 1206070 |
|  Cellnex Telecom SA<sup>(c)</sup> | 36318 | 1204712 |
|  EDP Renovaveis SA | 21169 | 466470 |
|  Enagas SA | 8450 | 140511 |
|  Endesa SA | 25093 | 472916 |
|  Ferrovial SA | 36525 | 956324 |
|  Grifols SA <sup>(a)(b)</sup> | 24792 | 286308 |
|  Iberdrola SA | 413023 | 4821419 |
|  Industria de Diseno Textil SA | 76417 | 2029715 |
|  Naturgy Energy Group SA | 13662 | 355062 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Spain (continued)** |  |  |
|  Red Electrica Corp. SA | 20753 | $360856 |
|  Repsol SA | 90228 | 1436160 |
|  Telefonica SA | 363415 | 1315600 |
|  |  | 23726346 |
| **Sweden — 2.0%** |  |  |
|  Alfa Laval AB | 21549 | 623355 |
|  Assa Abloy AB, Class B | 58946 | 1267884 |
|  Atlas Copco AB, A Shares | 186306 | 2207427 |
|  Atlas Copco AB, B Shares | 108263 | 1155128 |
|  Boliden AB | 19927 | 748502 |
|  Electrolux AB, Class B | 12552 | 169589 |
|  Embracer Group AB<sup>(a)(b)</sup> | 49382 | 224192 |
|  Epiroc AB, Class A | 41269 | 751472 |
|  Epiroc AB, Class B | 22861 | 367769 |
|  EQT AB | 18512 | 393293 |
|  Essity AB, Class B | 44232 | 1158311 |
|  Evolution AB<sup>(c)</sup> | 12682 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1235282 |
|  Fastighets AB Balder, B Shares<sup>(a)</sup> | 48678 | 227194 |
|  Getinge AB, B Shares | 12629 | 262564 |
|  H & M Hennes & Mauritz AB, B Shares | 45837 | 493959 |
|  Hexagon AB, B Shares | 135411 | 1419796 |
|  Holmen AB, B Shares | 5609 | 222930 |
|  Husqvarna AB, B Shares | 21261 | 149325 |
|  Industrivarden AB, A Shares | 10903 | 265194 |
|  Industrivarden AB, C Shares | 13795 | 334701 |
|  Indutrade AB | 17623 | 357385 |
|  Investment AB Latour, B Shares | 13660 | 258337 |
|  Investor AB, A Shares | 29300 | 545117 |
|  Investor AB, B Shares | 126370 | 2287418 |
|  Kinnevik AB, Class B<sup>(a)</sup> | 14065 | 193593 |
|  L E Lundbergforetagen AB, B Shares | 3107 | 132462 |
|  Lifco AB, B Shares | 13222 | 221314 |
|  Nibe Industrier AB, B Shares | 89000 | 830706 |
|  Sagax AB, Class B | 16636 | 377975 |
|  Sandvik AB | 73954 | 1336466 |
|  Securitas AB, B Shares | 38094 | 317874 |
|  Skandinaviska Enskilda Banken AB, Class A | 99554 | 1146152 |
|  Skanska AB, B Shares | 21743 | 344680 |
|  SKF AB, B Shares, B Shares | 19130 | 292183 |
|  Svenska Cellulosa AB SCA, Class B | 44372 | 561956 |
|  Svenska Handelsbanken AB, A Shares | 94444 | 950861 |
|  Swedbank AB, A Shares | 64364 | 1094771 |
|  Swedish Orphan Biovitrum AB<sup>(a)</sup> | 14225 | 294414 |
|  Tele2 AB, B Shares | 44705 | 364696 |
|  Telefonaktiebolaget LM Ericsson, B Shares | 201623 | 1181392 |
|  Telia Co. AB | 158189 | 404215 |
|  Volvo AB, A Shares | 13043 | 247638 |
|  Volvo AB, B Shares | 105368 | 1903325 |
|  Volvo Car AB, Class B<sup>(a)</sup> | 44422 | 202272 |
|  |  | 29525069 |
| **Switzerland — 6.5%** |  |  |
|  ABB Ltd., Registered Shares | 102183 | 3114283 |
|  Adecco Group AG, Registered Shares | 9228 | 303554 |
|  Alcon, Inc. | 34659 | 2378264 |
|  Bachem Holding AG<sup>(b)</sup> | 1470 | 127552 |
|  Baloise Holding AG, Registered Shares | 3629 | 559616 |
|  Banque Cantonale Vaudoise, Registered Shares | 2388 | 228954 |
|  Barry Callebaut AG, Registered Shares | 280 | 552930 |
|  Chocoladefabriken Lindt & Spruengli AG | 79 | 805013 |

---

34 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Switzerland (continued)** |  |  |
|  Chocoladefabriken Lindt & Spruengli AG, Registered Shares | 7 | $720184 |
|  Cie Financiere Richemont SA, Registered Shares, Class A | 34763 | 4507368 |
|  Clariant AG, Registered Shares | 14711 | 233632 |
|  Coca-Cola HBC AG, Class DI | 15096 | 356851 |
|  Credit Suisse Group AG, Registered Shares | 247048 | 737549 |
|  EMS-Chemie Holding AG, Registered Shares | 390 | 264147 |
|  Geberit AG, Registered Shares | 2314 | 1092394 |
|  Givaudan SA, Registered Shares | 640 | 1960260 |
|  Holcim AG, Registered Shares | 34944 | 1808816 |
|  Julius Baer Group Ltd. | 15743 | 916259 |
|  Kuehne & Nagel International AG, Registered Shares<sup>(b)</sup> | 3882 | 902497 |
|  Logitech International SA, Registered Shares | 12464 | 772886 |
|  Lonza Group AG, Registered Shares | 4945 | 2427379 |
|  Nestle SA, Registered Shares | 183896 | 21241708 |
|  Novartis AG, Registered Shares | 144417 | 13069366 |
|  Partners Group Holding AG | 1431 | 1267126 |
|  Roche Holding AG | 48691 | 15440821 |
|  Schindler Holding AG | 2550 | 479610 |
|  Schindler Holding AG, Registered Shares | 1401 | 252673 |
|  SGS SA, Registered Shares | 380 | 885149 |
|  SIG Group AG | 20650 | 451227 |
|  Sika AG, Registered Shares | 10130 | 2435285 |
|  Sonova Holding AG, Registered Shares | 3759 | 892757 |
|  STMicroelectronics NV | 47422 | 1685189 |
|  Straumann Holding AG, Registered Shares | 7842 | 899251 |
|  Swatch Group AG | 1960 | 557072 |
|  Swatch Group AG, Registered Shares | 3146 | 163582 |
|  Swiss Life Holding AG, Registered Shares | 1981 | 1021124 |
|  Swiss Prime Site AG, Registered Shares | 4610 | 399561 |
|  Swiss Re AG | 20921 | 1956142 |
|  Swisscom AG, Registered Shares | 1612 | 883072 |
|  Temenos AG, Registered Shares | 3799 | 208995 |
|  UBS Group AG, Registered Shares | 222889 | 4142664 |
|  VAT Group AG<sup>(c)</sup> | 2029 | 556996 |
|  Zurich Insurance Group AG | 9643 | 4610098 |
|  |  | 98269856 |
| **Taiwan — 3.8%** |  |  |
|  Accton Technology Corp. | 46000 | 349315 |
|  Acer, Inc. | 179504 | 137057 |
|  Advantech Co. Ltd. | 26157 | 280074 |
|  ASE Technology Holding Co. Ltd. | 183343 | 557065 |
|  Asia Cement Corp. | 138233 | 184126 |
|  Asustek Computer, Inc. | 55220 | 481363 |
|  AUO Corp. | 391200 | 190043 |
|  Catcher Technology Co. Ltd. | 45000 | 247135 |
|  Cathay Financial Holding Co. Ltd. | 571622 | 742221 |
|  Chailease Holding Co. Ltd. | 92101 | 648869 |
|  Chang Hwa Commercial Bank Ltd. | 287358 | 160111 |
|  Cheng Shin Rubber Industry Co. Ltd. | 90436 | 99536 |
|  China Airlines Ltd. | 228000 | 140409 |
|  China Development Financial Holding Corp. | 910191 | 372480 |
|  China Steel Corp. | 818638 | 793250 |
|  Chunghwa Telecom Co. Ltd. | 218000 | 801721 |
|  Compal Electronics, Inc. | 410000 | 307097 |
|  CTBC Financial Holding Co. Ltd. | 1265601 | 908175 |
|  Delta Electronics, Inc. | 126000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1168018 |
|  E Ink Holdings, Inc. | 58000 | 303729 |
|  E.Sun Financial Holding Co. Ltd. | 961639 | 750905 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Taiwan (continued)** |  |  |
|  Eclat Textile Co. Ltd. | 12303 | $197501 |
|  eMemory Technology, Inc. | 4000 | 172738 |
|  Eva Airways Corp. | 170000 | 155030 |
|  Evergreen Marine Corp. Taiwan Ltd. | 57055 | 301548 |
|  Far Eastern New Century Corp. | 207607 | 215143 |
|  Far EasTone Telecommunications Co. Ltd. | 142000 | 304588 |
|  Feng TAY Enterprise Co. Ltd. | 21318 | 142820 |
|  First Financial Holding Co. Ltd. | 661716 | 569947 |
|  Formosa Chemicals & Fibre Corp. | 218360 | 500113 |
|  Formosa Petrochemical Corp. | 112000 | 292356 |
|  Formosa Plastics Corp. | 298040 | 840478 |
|  Fubon Financial Holding Co. Ltd. | 477675 | 873681 |
|  Giant Manufacturing Co. Ltd. | 21761 | 141578 |
|  Globalwafers Co. Ltd. | 12000 | 166280 |
|  Hon Hai Precision Industry Co. Ltd. | 865800 | 2806258 |
|  Hotai Motor Co. Ltd. | 18000 | 343565 |
|  Hua Nan Financial Holdings Co. Ltd. | 517220 | 377395 |
|  Innolux Corp. | 565167 | 203143 |
|  Inventec Corp. | 130470 | 111348 |
|  Largan Precision Co. Ltd. | 5000 | 330497 |
|  Lite-On Technology Corp. | 167816 | 346819 |
|  MediaTek, Inc. | 105255 | 2128143 |
|  Mega Financial Holding Co. Ltd. | 820062 | 807865 |
|  Micro-Star International Co. Ltd. | 37000 | 143487 |
|  momo.com, Inc. | 1400 | 29134 |
|  Nan Ya Plastics Corp. | 351790 | 811301 |
|  Nan Ya Printed Circuit Board Corp. | 12000 | 88178 |
|  Nanya Technology Corp. | 135000 | 224189 |
|  Nien Made Enterprise Co. Ltd. | 9000 | 86000 |
|  Novatek Microelectronics Corp. | 31000 | 316904 |
|  Parade Technologies Ltd. | 4000 | 100229 |
|  Pegatron Corp. | 110000 | 226964 |
|  PharmaEssentia Corp.<sup>(a)</sup> | 15000 | 232458 |
|  Pou Chen Corp. | 92000 | 102258 |
|  Powerchip Semiconductor Manufacturing Corp. | 231000 | 238307 |
|  President Chain Store Corp. | 40000 | 353666 |
|  Quanta Computer, Inc. | 155000 | 363496 |
|  Realtek Semiconductor Corp. | 41240 | 375036 |
|  Ruentex Development Co. Ltd. | 108309 | 152373 |
|  Shanghai Commercial & Savings Bank Ltd. | 301075 | 431276 |
|  Shin Kong Financial Holding Co. Ltd. | 784499 | 223623 |
|  SinoPac Financial Holdings Co. Ltd. | 833218 | 453228 |
|  Synnex Technology International Corp. | 142500 | 273796 |
|  Taishin Financial Holding Co. Ltd. | 762980 | 374236 |
|  Taiwan Cement Corp. | 358240 | 391616 |
|  Taiwan Cooperative Financial Holding Co. Ltd. | 585966 | 495098 |
|  Taiwan High Speed Rail Corp. | 140000 | 130781 |
|  Taiwan Mobile Co. Ltd. | 102800 | 316545 |
|  Taiwan Semiconductor Manufacturing Co. Ltd. | 1650000 | 23963707 |
|  Unimicron Technology Corp. | 74000 | 287281 |
|  Uni-President Enterprises Corp. | 353950 | 766130 |
|  United Microelectronics Corp. | 741000 | 973589 |
|  Vanguard International Semiconductor Corp. | 63000 | 158232 |
|  Voltronic Power Technology Corp. | 7000 | 351202 |
|  Walsin Lihwa Corp. | 185100 | 284014 |
|  Wan Hai Lines Ltd. | 39215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;101922 |
|  Win Semiconductors Corp. | 16000 | 70920 |
|  Winbond Electronics Corp. | 163000 | 103510 |
|  Wiwynn Corp. | 6000 | 155192 |
|  WPG Holdings Ltd. | 102448 | 159977 |
|  Yageo Corp. | 22909 | 333890 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Taiwan (continued)** |  |  |
|  Yang Ming Marine Transport Corp. | 110000 | $233666 |
|  Yuanta Financial Holding Co. Ltd. | 583546 | 411243 |
|  Zhen Ding Technology Holding Ltd. | 37710 | 128275 |
|  |  | 57368462 |
| **Thailand — 0.6%** |  |  |
|  Advanced Info Service PCL, NVDR | 89400 | 502778 |
|  Airports of Thailand PCL, NVDR<sup>(a)</sup> | 253500 | 548695 |
|  Asset World Corp. PCL, NVDR | 606100 | 110018 |
|  B Grimm Power PCL, NVDR | 88000 | 101096 |
|  Bangkok Dusit Medical Services PCL, NVDR | 617600 | 516474 |
|  Bangkok Expressway & Metro PCL, NVDR | 553100 | 156417 |
|  Berli Jucker PCL, NVDR | 120700 | 122855 |
|  BTS Group Holdings PCL, NVDR | 513400 | 124530 |
|  Bumrungrad Hospital PCL, NVDR | 53900 | 329740 |
|  Central Pattana PCL, NVDR | 179600 | 367657 |
|  Central Retail Corp. PCL, NVDR | 103400 | 138037 |
|  Charoen Pokphand Foods PCL, NVDR | 204000 | 145853 |
|  CP ALL PCL, NVDR | 384600 | 757629 |
|  Delta Electronics Thailand PCL, NVDR | 17800 | 425897 |
|  Electricity Generating PCL, NVDR | 23800 | 118475 |
|  Energy Absolute PCL, NVDR | 98300 | 274726 |
|  Global Power Synergy PCL, NVDR | 42200 | 88957 |
|  Gulf Energy Development PCL, NVDR | 253100 | 403494 |
|  Home Product Center PCL, NVDR | 339932 | 151976 |
|  Indorama Ventures PCL, NVDR | 97000 | 113888 |
|  Intouch Holdings PCL, NVDR | 118600 | 264560 |
|  JMT Network Services PCL, NVDR | 90700 | 180452 |
|  Kasikornbank PCL, NVDR | 67300 | 286109 |
|  Krung Thai Bank PCL, NVDR | 285275 | 145583 |
|  Krungthai Card PCL, NVDR | 24000 | 40815 |
|  Land & Houses PCL, NVDR | 601300 | 171872 |
|  Minor International PCL, NVDR<sup>(a)</sup> | 146680 | 136469 |
|  Muangthai Capital PCL, NVDR | 57700 | 63212 |
|  Osotspa PCL, NVDR | 81600 | 66493 |
|  PTT Exploration & Production PCL, NVDR | 105122 | 535346 |
|  PTT Global Chemical PCL, NVDR | 115068 | 156677 |
|  PTT Oil & Retail Business PCL, NVDR<sup>(b)</sup> | 346800 | 238088 |
|  PTT PCL, NVDR | 597700 | 573545 |
|  Ratch Group PCL, NVDR | 65000 | 80302 |
|  SCB X PCL, NVDR | 41800 | 128945 |
|  Siam Cement PCL, NVDR | 60800 | 599999 |
|  Srisawad Corp. PCL, NVDR | 53800 | 75566 |
|  Thai Oil PCL, NVDR | 51600 | 83641 |
|  Thai Union Group PCL, NVDR | 228000 | 111221 |
|  True Corp. PCL, NVDR | 783140 | 109381 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9547468 |
| **Turkey — 0.1%** |  |  |
|  Akbank TAS | 213323 | 222993 |
|  Aselsan Elektronik Sanayi Ve Ticaret A/S | 46767 | 155259 |
|  BIM Birlesik Magazalar A/S | 17408 | 127215 |
|  Eregli Demir ve Celik Fabrikalari TAS, Registered Shares | 95722 | 210338 |
|  Ford Otomotiv Sanayi A/S | 4799 | 134433 |
|  Hektas Ticaret TAS<sup>(a)</sup> | 42572 | 85526 |
|  KOC Holding A/S | 33456 | 150095 |
|  Sasa Polyester Sanayi<sup>(a)</sup> | 40018 | 235372 |
|  Turk Hava Yollari AO<sup>(a)</sup> | 33173 | 249889 |
|  Turkcell Iletisim Hizmetleri A/S | 65116 | 131294 |
|  Turkiye Is Bankasi A/S, Class C | 228364 | 156320 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Turkey (continued)** |  |  |
|  Turkiye Petrol Rafinerileri A/S<sup>(a)</sup> | 5999 | $170015 |
|  Turkiye Sise ve Cam Fabrikalari A/S | 74161 | 169597 |
|  |  | 2198346 |
| **United Arab Emirates — 0.4%** |  |  |
|  Abu Dhabi Commercial Bank PJSC | 193710 | 474069 |
|  Abu Dhabi Islamic Bank PJSC | 109255 | 270663 |
|  Abu Dhabi National Oil Co. for Distribution PJSC | 289366 | 346920 |
|  Aldar Properties PJSC | 335270 | 402853 |
|  Dubai Islamic Bank PJSC | 174226 | 270418 |
|  Emaar Properties PJSC | 261759 | 416440 |
|  Emirates NBD Bank PJSC | 121454 | 427778 |
|  Emirates Telecommunications Group Co. PJSC | 233597 | 1449896 |
|  First Abu Dhabi Bank PJSC | 306506 | 1424132 |
|  Multiply Group PJSC<sup>(a)</sup> | 229732 | 289543 |
|  Q Holding PJSC<sup>(a)</sup> | 140621 | 153147 |
|  |  | 5925859 |
| **United Kingdom — 8.7%** |  |  |
|  3i Group PLC | 64907 | 1046777 |
|  Abrdn PLC | 126751 | 288028 |
|  Admiral Group PLC | 11740 | 301376 |
|  Ashtead Group PLC | 29271 | 1662732 |
|  Associated British Foods PLC | 23283 | 441417 |
|  AstraZeneca PLC | 103302 | 13978760 |
|  Auto Trader Group PLC<sup>(c)</sup> | 58215 | 362525 |
|  AVEVA Group PLC | 6894 | 266846 |
|  Aviva PLC | 204863 | 1086725 |
|  BAE Systems PLC | 206791 | 2135821 |
|  Barclays PLC | 1013549 | 1928593 |
|  Barratt Developments PLC | 64968 | 310306 |
|  Berkeley Group Holdings PLC | 6612 | 301437 |
|  BP PLC | 1251644 | 7221913 |
|  British American Tobacco PLC | 144572 | 5719002 |
|  British Land Co. PLC | 52247 | 248056 |
|  BT Group PLC | 383922 | 518400 |
|  Bunzl PLC | 23784 | 791297 |
|  Burberry Group PLC | 27815 | 676242 |
|  CNH Industrial NV | 73306 | 1175974 |
|  Coca-Cola Europacific Partners PLC | 6811 | 376785 |
|  Compass Group PLC | 123733 | 2857245 |
|  Croda International PLC | 8990 | 715411 |
|  DCC PLC | 6340 | 311750 |
|  Diageo PLC | 150769 | 6599439 |
|  GSK PLC | 270460 | 4674424 |
|  Haleon PLC<sup>(a)</sup> | 354575 | 1402917 |
|  Halma PLC | 28695 | 683370 |
|  Hargreaves Lansdown PLC | 26614 | 274070 |
|  HSBC Holdings PLC | 1338196 | 8293515 |
|  Imperial Brands PLC | 61718 | 1537464 |
|  Informa PLC | 112615 | 840081 |
|  InterContinental Hotels Group PLC | 13061 | 749425 |
|  Intertek Group PLC | 12551 | 610634 |
|  J Sainsbury PLC | 105979 | 277964 |
|  JD Sports Fashion PLC | 144085 | 218955 |
|  Johnson Matthey PLC | 8117 | 207448 |
|  Kingfisher PLC | 152772 | 434059 |
|  Land Securities Group PLC | 44431 | 331951 |
|  Legal & General Group PLC | 388423 | 1164544 |
|  Lloyds Banking Group PLC | 4316158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2355383 |
|  London Stock Exchange Group PLC | 21163 | 1818350 |

---

36 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **United Kingdom (continued)** |  |  |
|  M&G PLC | 209858 | $474543 |
|  Melrose Industries PLC | 266627 | 429564 |
|  Mondi PLC | 29030 | 490923 |
|  National Grid PLC | 238411 | 2856009 |
|  NatWest Group PLC | 371239 | 1183966 |
|  Next PLC | 9901 | 693770 |
|  Ocado Group PLC<sup>(a)</sup> | 41160 | 305531 |
|  Pearson PLC | 45043 | 508617 |
|  Persimmon PLC | 23234 | 340671 |
|  Phoenix Group Holdings PLC | 43508 | 318717 |
|  Prudential PLC | 178549 | 2434567 |
|  Reckitt Benckiser Group PLC | 47407 | 3286079 |
|  RELX PLC | 127688 | 3530321 |
|  Rentokil Initial PLC | 152518 | 937034 |
|  Rolls-Royce Holdings PLC<sup>(a)</sup> | 629686 | 703343 |
|  Sage Group PLC | 60904 | 548422 |
|  Schroders PLC | 44664 | 234687 |
|  Segro PLC | 80345 | 740159 |
|  Severn Trent PLC | 16765 | 535610 |
|  Shell PLC | 482855 | 13612077 |
|  Smith & Nephew PLC | 58129 | 776302 |
|  Smiths Group PLC | 29903 | 573901 |
|  Spirax-Sarco Engineering PLC | 5069 | 647466 |
|  SSE PLC | 71730 | 1475266 |
|  St. James's Place PLC | 43036 | 566929 |
|  Standard Chartered PLC | 153770 | 1146896 |
|  Taylor Wimpey PLC | 211225 | 258687 |
|  Tesco PLC | 523600 | 1411032 |
|  Unilever PLC | 170055 | 8585705 |
|  United Utilities Group PLC | 51276 | 612662 |
|  Vodafone Group PLC | 1674575 | 1695871 |
|  Whitbread PLC | 16407 | 507281 |
|  WPP PLC | 81378 | 804013 |
|  |  | 130424032 |
| **United States — 0.0%** |  |  |
|  Brookfield Renewable Corp., Class A | 7825 | 215390 |
|  Legend Biotech Corp., ADR<sup>(a)(b)</sup> | 2709 | 135233 |
|  |  | 350623 |
|  **Total Common Stocks — 98.4%<br>(Cost: $1,252,685,343)** |  | 1477142910 |
| **Preferred Securities** |  |  |
| **Preferred Stocks — 0.9%** |  |  |
| **Brazil — 0.4%** |  |  |
|  Banco Bradesco SA, Preference Shares | 369923 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1055200 |
|  Braskem SA, Preference Shares, Class A | 15181 | 68892 |
|  Centrais Eletricas Brasileiras SA, Preference B Shares | 9466 | 77487 |
|  Cia Energetica de Minas Gerais, Preference Shares . | 139744 | 289111 |
|  Gerdau SA, Preference Shares | 92603 | 509017 |
|  Itau Unibanco Holding SA, Preference Shares | 298575 | 1414097 |
|  Itausa SA, Preference Shares | 408515 | 656861 |
|  Petroleo Brasileiro SA, Preference Shares | 313906 | 1456422 |
|  |  | 5527087 |
| **Chile — 0.0%** |  |  |
|  Sociedad Quimica y Minera de Chile SA Class B | 9906 | 800044 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Colombia — 0.0%** |  |  |
|  Bancolombia SA, Preference Shares | 52052 | $359125 |
| **Germany — 0.3%** |  |  |
|  Bayerische Motoren Werke AG, Preference Shares | 3552 | 299758 |
|  Dr Ing hc F Porsche AG<sup>(a)</sup> | 7177 | 724256 |
|  Henkel AG & Co. KGaA, Preference Shares | 11206 | 776718 |
|  Porsche Automobil Holding SE, Preference Shares | 9969 | 543668 |
|  Sartorius AG, Preference Shares | 1455 | 574544 |
|  Volkswagen AG, Preference Shares | 12872 | 1596766 |
|  |  | 4515710 |
| **Russia — 0.0%** |  |  |
|  Surgutneftegas PJSC, Preference Shares<sup>(d)</sup> | 376618 | 51 |
| **South Korea — 0.2%** |  |  |
|  Hyundai Motor Co., Preference Shares | 5001 | 292794 |
|  LG Chem Ltd., Preference Shares | 671 | 148044 |
|  Samsung Electronics Co. Ltd., Preference Shares | 50252 | 2013767 |
|  |  | 2454605 |
|  **Total Preferred Securities — 0.9%<br>(Cost: $13,361,584)** |  | 13656622 |
|  **Rights** |  |  |
| **Brazil — 0.0%** |  |  |
|  Localiza Rent a Car SA,<br>(Expires 02/07/23)<sup>(a)</sup> | 210 | 428 |
| **South Korea — 0.0%** |  |  |
|  Lotte Chemical Corp., (Expires 01/27/23, Strike Price KRW 143,000.00)<sup>(a)</sup> | 173 | 4857 |
|  **Total Rights — 0.0%<br>(Cost: $—)** |  | 5285 |
|  **Total Long-Term Investments — 99.3%<br>(Cost: $1,266,046,927)** |  | 1490804817 |
|  **Short-Term Securities** |  |  |
| **Money Market Funds — 5.7%** |  |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%<sup>(e)(f)</sup> | 85574424 | 85600096 |
|  **Total Short-Term Securities — 5.7%<br>(Cost: $85,586,276)** | **Total Short-Term Securities — 5.7%<br>(Cost: $85,586,276)** | 85600096 |
|  **Total Investments — 105.0%<br>(Cost: $1,351,633,203)** | **Total Investments — 105.0%<br>(Cost: $1,351,633,203)** | 1576404913 |
|  **Liabilities in Excess of Other Assets — (5.0)%** | **Liabilities in Excess of Other Assets — (5.0)%** | (75130159) |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | $&nbsp;&nbsp;&nbsp;&nbsp;1501274754 |

---

<sup>(a)</sup> Non-income producing security.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

<sup>(d)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

<sup>(e)</sup> Affiliate of the Master Portfolio.

<sup>(f)</sup> Annualized 7-day yield as of period end.

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio** |

---

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the Master Portfolio during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares<br>Held at<br>12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | $39400656 | $46164541 <sup>(a)</sup> | $— | $18589 | $16310 | $85600096 | 85574424 | $306139 <sup>(b)</sup> | $— |
|  BlackRock Cash Funds: Treasury, SL Agency Shares<sup>(c)</sup>  | 24644820 |  | (24644820)<sup>(a)</sup> |  |  |  |  | 210850 |  |
|  |  |  |  | $18589 | $16310 | $85600096 |  | $516989 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

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

<sup>(c</sup><sup>)</sup> As of period end, the entity is no longer held.

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P/TSE 60 Index Mini | 20 | 03/16/23 | $1170 | $(3209) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 70 | 03/17/23 | 6823 | (24822) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 35 | 03/17/23 | 1679 | (9889) |
|  |  |  |  | $(37920) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Liabilities — Derivative Financial Instruments** | **Liabilities — Derivative Financial Instruments** | **Liabilities — Derivative Financial Instruments** | **Liabilities — Derivative Financial Instruments** |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup>  | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;37920 | $— | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;37920 |

---

<sup>(a)</sup> Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Master Portfolio Schedule of Investments. In the Statement of Assets and Liabilities, only current day's variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in net unrealized appreciation (depreciation). 

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statement of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;(4459611) | $— | $— | $— | $(4459611) |
| **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |
|  Futures contracts | $— | $— | $(267461) | $— | $— | $— | $(267461) |

---

38 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio** |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  <br> Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long<br>| $16187748  |

---

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

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the Master Portfolio's financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australia | $3330035 | $81376458 | $— | $84706493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 1797169 |  | 1797169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 8545845 |  | 8545845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 16949835 |  | 16949835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canada | &nbsp;&nbsp;&nbsp;&nbsp;114447810 |  |  | &nbsp;&nbsp;&nbsp;&nbsp;114447810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chile | 1326815 | 718660 |  | 2045475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; China | 10344417 | &nbsp;&nbsp;&nbsp;&nbsp;122814169 | &nbsp;&nbsp;&nbsp;&nbsp;51341 | 133209927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Colombia |  | 175125 |  | 175125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Czech Republic | 340895 | 195893 |  | 536788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 28404314 |  | 28404314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 169656 |  | 169656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 11944122 |  | 11944122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; France |  | 109998509 |  | 109998509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 71910482 |  | 71910482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 1309597 |  | 1309597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hong Kong | 764 | 31168966 |  | 31169730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 868688 |  | 868688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; India | 2554227 | 58654658 |  | 61208885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 8318340 |  | 8318340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ireland | 409523 | 9270857 |  | 9680380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Isle of Man |  | 689937 |  | 689937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Israel | 2291654 | 4674050 |  | 6965704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 18801529 |  | 18801529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 208442401 |  | 208442401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Jordan |  | 163381 |  | 163381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 4137585 |  | 4137585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Luxembourg | 281231 | 2298928 |  | 2580159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Macau |  | 429054 |  | 429054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Malaysia | 786294 | 6026715 |  | 6813009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mexico | 9824873 |  |  | 9824873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 44713148 |  | 44713148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 2300261 |  | 2300261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 7404994 |  | 7404994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Peru | 1068319 |  |  | 1068319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 3065228 |  | 3065228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 3026166 |  | 3026166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 1653394 |  | 1653394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Qatar | 897628 | 3130639 |  | 4028267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 750 | 750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 17591226 |  | 17591226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Singapore | 1609321 | 12332824 |  | 13942145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; South Africa | 2683888 | 16026280 |  | 18710168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 46057981 |  | 46057981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 23726346 |  | 23726346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 29525069 |  | 29525069 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 98269856 |  | 98269856 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Total International ex U.S. Index Master Portfolio** |

---

**Fair Value Hierarchy as of Period End (continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Taiwan | $— | $57368462 | $— | $57368462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 9547468 |  | 9547468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Turkey | 458365 | 1739981 |  | 2198346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 5925859 |  | 5925859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 376785 | 130047247 |  | 130424032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United States | 350623 |  |  | 350623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks |  | 13656571 | 51 | 13656622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rights |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Brazil | 428 |  |  | 428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 4857 |  | 4857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 85600096 |  |  | 85600096 |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;238983991 | $&nbsp;&nbsp;&nbsp;&nbsp;1337368780 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52142 | $&nbsp;&nbsp;&nbsp;&nbsp;1576404913 |
|  Derivative Financial Instruments<sup>(a)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | $(37920) | $— | $— | $(37920) |

---

<sup>(a)</sup> Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

40 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statement of Assets and Liabilities

December 31, 2022

---

| | |
|:---|:---|
| | Total International<br> ex U.S. Index<br> Master Portfolio |
|  **ASSETS** |  |
|  Investments, at value — unaffiliated<sup>(a)(b)</sup>  | $1490804817 |
|  Investments, at value — affiliated<sup>(c)</sup>  | 85600096 |
|  Cash pledged for futures contracts | 139000 |
|  Foreign currency, at value<sup>(d)</sup>  | 2875927 |
|  Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold | 7765599 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated | 30365 |
| &nbsp;&nbsp;&nbsp;&nbsp; Contributions from investors | 1333749 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | 2569838 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 9045 |
| &nbsp;&nbsp;&nbsp;&nbsp; From the Manager | 32322 |
|  Prepaid expenses | 4171 |
|  Total assets | 1591164929 |
|  **LIABILITIES** |  |
|  Bank overdraft | 3168316 |
|  Collateral on securities loaned | 85549697 |
|  Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 5290 |
| &nbsp;&nbsp;&nbsp;&nbsp; Deferred foreign capital gain tax | 1034736 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees | 3811 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accrued expenses | 15610 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 47651 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 65064 |
|  Total liabilities | 89890175 |
|  NET ASSETS | $1501274754 |
|  **NET ASSETS CONSIST OF** |  |
|  Investors' capital | $1277506069 |
|  Net unrealized appreciation (depreciation) | 223768685 |
|  NET ASSETS | $1501274754 |
|  <sup>(a)</sup> Investments, at cost — unaffiliated | $1266046927 |
|  <sup>(b)</sup> Securities loaned, at value | $80433786 |
|  <sup>(c)</sup> Investments, at cost — affiliated | $85586276 |
|  <sup>(d)</sup> Foreign currency, at cost | $2846907 |

---

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L S T A T E M E N T S 41

------

Statement of Operations

Year Ended December 31, 2022

---

| | |
|:---|:---|
| | Total International<br>ex U.S. Index<br>Master Portfolio |
|  **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $47279592 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 210536 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 306453 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | (5620296) |
|  Total investment income | 42176285 |
|  EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services | 530055 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 415183 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 69193 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees | 14806 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage | 7032 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 26378 |
|  Total expenses | 1062647 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (83408) |
|  Total expenses after fees waived and/or reimbursed | 979239 |
|  Net investment income | 41197046 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated<sup>(a)</sup>  | (68945433) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | 18589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | (86386) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (4459611) |
|  | (73472841) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated<sup>(b)</sup>  | (202887293) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | 16310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations | 52718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (267461) |
|  | (203085726) |
|  Net realized and unrealized loss | (276558567) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(235361521) |
|  <sup>(a)</sup> Net of foreign capital gain tax and capital gain tax refund, if applicable of | $(371674) |
|  <sup>(b)</sup> Net of reduction in deferred foreign capital gain tax of | $42496 |

---

*See notes to financial statements.* 

42 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statements of Changes in Net Assets

---

| | | |
|:---|:---|:---|
|  | Total International ex U.S. Index<br>Master Portfolio | Total International ex U.S. Index<br>Master Portfolio |
| | Year Ended December 31,<br>2022 | Year Ended<br> 12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* | *INCREASE (DECREASE) IN NET ASSETS* | *INCREASE (DECREASE) IN NET ASSETS* |
|  **OPERATIONS** | **OPERATIONS** | **OPERATIONS** |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $41197046 | $32970110 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized loss | (73472841) | (8213653) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (203085726) | 70851938 |
|  Net increase (decrease) in net assets resulting from operations | (235361521) | 95608395 |
|  **CAPITAL TRANSACTIONS** | **CAPITAL TRANSACTIONS** | **CAPITAL TRANSACTIONS** |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from contributions | 993274245 | 900216526 |
| &nbsp;&nbsp;&nbsp;&nbsp; Value of withdrawals | (659840104) | (798980542) |
|  Net increase in net assets derived from capital transactions | 333434141 | 101235984 |
|  *NET ASSETS* | *NET ASSETS* | *NET ASSETS* |
|  Total increase in net assets | 98072620 | 196844379 |
|  Beginning of year | 1403202134 | 1206357755 |
|  End of year | $1501274754 | $1403202134 |

---

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L S T A T E M E N T S 43

------

Financial Highlights

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Total International ex U.S. Index Master Portfolio | Total International ex U.S. Index Master Portfolio | Total International ex U.S. Index Master Portfolio | Total International ex U.S. Index Master Portfolio | Total International ex U.S. Index Master Portfolio |
| | Year Ended<br>December 31, 2022 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Total Return** |  |  |  |  |  |
|  Total return | (16.31)% | 7.70% | 10.82% | 21.29% | (13.87)% |
|  **Ratios to Average Net Assets<sup>(a)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.08% | 0.07% | 0.09% | 0.08% | 0.08% |
|  Total expenses after fees waived and/or reimbursed | 0.07% | 0.07% | 0.09% | 0.08% | 0.08% |
|  Net investment income | 2.98% | 2.44% | 2.30% | 3.17% | 2.87% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $1501275 | $1403202 | $1206358 | $1094908 | $759697 |
|  Portfolio turnover rate | 28% | 13% | 23% | 5% | 40% |

---

<sup>(a)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

*See notes to financial statements.* 

44 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements

***1.***  ***ORGANIZATION*** 

Master Investment Portfolio ("MIP") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. MIP is organized as a Delaware statutory trust. Total International ex U.S. Index Master Portfolio (the "Master Portfolio") is a series of MIP. The Master Portfolio is classified as diversified.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Fund Advisors ("BFA" or the "Manager") or its affiliates, is included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

***2.***  ***SIGNIFICANT ACCOUNTING POLICIES*** 

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

**Investment Transactions and Income Recognition:** For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.

**Foreign Currency Translation:** The Master Portfolio's books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange ("NYSE"). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

The Master Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The Master Portfolio reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

**Foreign Taxes:** The Master Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Master Portfolio invests. These foreign taxes, if any, are paid by the Master Portfolio and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as "Foreign taxes withheld", and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2022, if any, are disclosed in the Statement of Assets and Liabilities.

The Master Portfolio files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Master Portfolio may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction's applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

**Collateralization:** If required by an exchange or counterparty agreement, the Master Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

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

**Other:** Expenses directly related to the Master Portfolio are charged to the Master Portfolio. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

***3.***  ***INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*** 

**Investment Valuation Policies:** The Master Portfolio's investments are valued at fair value (also referred to as "market value" within the financial statements) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of MIP (the "Board") has approved the designation of the Master Portfolio's Manager as the valuation designee for the Master Portfolio. The Master Portfolio determines the fair values of its financial instruments

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 45

------

Notes to Financial Statements (continued)

using various independent dealers or pricing services under the Manager's policies. If a security's market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager's policies and procedures as reflecting fair value. The Manager has formed a committee (the "Valuation Committee") to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

**Fair Value Inputs and Methodologies:** The following methods and inputs are used to establish the fair value of the Master Portfolio's assets and liabilities:

&nbsp;&nbsp;&nbsp;&nbsp;• Equity investments traded on a recognized securities exchange are valued at that day's official closing price, as
applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

&nbsp;&nbsp;&nbsp;&nbsp;• Investments in open-end U.S. mutual funds (including money market funds) are
valued at that day's published net asset value ("NAV").

&nbsp;&nbsp;&nbsp;&nbsp;• Futures contracts are valued based on that day's last reported settlement or trade price on the exchange where the
contract is traded.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Master Portfolio uses current market factors supplied by independent pricing services to value certain foreign instruments ("Systematic Fair Value Price"). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager's policies and procedures as reflecting fair value ("Fair Valued Investments"). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that the Master Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm's-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.

For investments in equity or debt issued by privately held companies or funds ("Private Company" or collectively, the "Private Companies") and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.

---

| | |
|:---|:---|
| | *Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services* |
|  Market approach | (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;<br> (ii) recapitalizations and other transactions across the capital structure; and<br> (iii) market multiples of comparable issuers. |
|  Income approach | (i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;<br> (ii) quoted prices for similar investments or assets in active markets; and<br> (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
|  Cost approach | (i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;<br> (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;<br> (iii) relevant news and other public sources; and<br> (iv) known secondary market transactions in the Private Company's interests and merger or acquisition activity in companies comparable to the Private Company. |

---

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model ("OPM"), a probability weighted expected return model ("PWERM"), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by the Master Portfolio. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Master Portfolio is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Master Portfolio could receive upon the sale of the investment.

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

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the
Master Portfolio has the ability to access;

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

46 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

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

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

***4.***  ***SECURITIES AND OTHER INVESTMENTS*** 

**Preferred Stocks:** Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer's board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

**Securities Lending:** The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. ("BTC"), if any, is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Master Portfolio, except in the event of borrower default. The securities on loan, if any, are disclosed in the Master Portfolio's Schedule of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value –unaffiliated and collateral on securities loaned, respectively.

Securities lending transactions are entered into by the Master Portfolio under Master Securities Lending Agreements (each, an "MSLA"), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty's bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties' obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party's net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Master Portfolio's securities on loan by counterparty which are subject to offset under an MSLA:

---

| | | | |
|:---|:---|:---|:---|
| *Counterparty* | *Securities<br>Loaned at Value* | *Cash Collateral<br>Received <br><sup>(a)</sup>* |  |
|  Barclays Capital, Inc. | $35938995 | $(35938995) | $– |
|  BMO Capital Markets Corp. | 519730 | (519730) | – |
|  BNP Paribas SA | 1039462 | (1039462) | – |
|  Citigroup Global Markets, Inc. | 4926707 | (4926707) | – |
|  Goldman Sachs & Co. LLC | 14867409 | (14867409) | – |
|  HSBC Bank PLC | 1936135 | (1936135) | – |
|  J.P. Morgan Securities LLC | 1731545 | (1731545) | – |
|  J.P. Morgan Securities PLC | 7724 | (7724) | – |
|  Jefferies LLC | 3724 | (3724) | – |
|  Macquarie Bank Ltd. | 1391377 | (1391377) | – |
|  Morgan Stanley | 3517841 | (3517841) | – |
|  National Financial Services LLC | 21210 | (21210) | – |
|  Scotia Capital (USA), Inc. | 117338 | (117338) | – |
|  SG Americas Securities LLC | 10317614 | (10317614) | – |
|  State Street Bank & Trust Co. | 905883 | (905883) | – |

---

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 47

------

Notes to Financial Statements (continued)

---

| | | | |
|:---|:---|:---|:---|
| *Counterparty* | *Securities<br>Loaned at Value* | *Cash Collateral<br>Received <br><sup>(a)</sup>* |  |
|  Toronto-Dominion Bank | $659896 | $(659896) | $– |
|  UBS AG | 837280 | (837280) | – |
|  UBS Securities LLC | 134550 | (134550) | – |
|  Wells Fargo Bank N.A. | 1559366 | (1559366) | – |
|  | $80433786 | $(80433786) | $– |

---

<sup>(a)</sup> Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio's Statement of Assets and Liabilities. 

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

***5.***  ***DERIVATIVE FINANCIAL INSTRUMENTS*** 

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter ("OTC").

**Futures Contracts:** Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract's size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract ("variation margin"). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

***6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES***

**Investment Advisory:** MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio's investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. ("BlackRock"), to provide investment advisory services. The Manager is responsible for the management of the Master Portfolio's portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Master Portfolio.

For such services, the Master Portfolio pays the Manager a monthly fee at an annual rate equal to 0.03% of the average daily value of the Master Portfolio's net assets.

BAL is not entitled to compensation for providing administrative services to the Master Portfolio, for so long as BAL (or an affiliate) is entitled to compensation for providing administrative services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolio, or BAL (or an affiliate) receives investment advisory fees from the Master Portfolio.

**Expense Waivers and Reimbursements:** With respect to the Master Portfolio, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the "affiliated money market fund waiver") through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the trustees who are not "interested persons" of MIP, as defined in the 1940 Act ("Independent Trustees"), or by a vote of a majority of the outstanding voting securities of the Master Portfolio. For the year ended December 31, 2022, the amount waived and/or reimbursed was $10,406.

The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Master Portfolio's assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the Manager waived $73,002 in investment advisory fees pursuant to this arrangement.

48 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

**Securities Lending:** The SEC has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan (the "collateral investment fees"). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04%. The SLAgency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund's weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, the Master Portfolio retains 82% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Master Portfolio is shown as securities lending income — affiliated — net in the Statement of Operations. For the year ended December 31, 2022, the Master Portfolio paid BTC $87,156 for securities lending agent services.

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the SEC, the Master Portfolio may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Master Portfolio's investment policies and restrictions. The Master Portfolio is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended December 31, 2022, the Master Portfolio did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of MIP are directors and/or officers of BlackRock or its affiliates.

**Other Transactions:** The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended December 31, 2022, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

---

| | | | |
|:---|:---|:---|:---|
| *Master Portfolio Name* | *Purchases* | *Sales* | *Net Realized<br>Gain (Loss)* |
|  Total International ex U.S. Index Master Portfolio | $&nbsp;&nbsp;&nbsp;&nbsp;84811268 | $&nbsp;&nbsp;&nbsp;&nbsp;12067440 | $&nbsp;&nbsp;&nbsp;&nbsp;(673921) |

---

***7.***  ***PURCHASES AND SALES*** 

For the year ended December 31, 2022, purchases and sales of investments, excluding short-term securities, were $767,050,250 and $381,934,497, respectively.

***8.***  ***INCOME TAX INFORMATION*** 

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

The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Master Portfolio's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Master Portfolio as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio's financial statements.

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 49

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Notes to Financial Statements (continued)

As of December 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Master Portfolio Name* | *Tax Cost* | *Gross Unrealized<br>Appreciation* | *Gross Unrealized<br>Depreciation* | *Net Unrealized<br>Appreciation<br>(Depreciation)* |
|  Total International ex U.S. Index Master Portfolio | $&nbsp;&nbsp;&nbsp;&nbsp;1402678296 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;321145121 | $(147421712) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;173723409 |

---

***9.***  ***BANK BORROWINGS*** 

MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates ("Participating Funds"), are a party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate ("OBFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate ("SOFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2023 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2022, the Master Portfolio did not borrow under the credit agreement.

***10.***  ***PRINCIPAL RISKS*** 

In the normal course of business, the Master Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio's prospectus provides details of the risks to which the Master Portfolio is subject.

The Manager uses a "passive" or index approach to try to achieve the Master Portfolio's investment objective following the securities included in its underlying index during upturns as well as downturns. The Manager does not take steps to reduce market exposure or to lessen the effects of a declining market. Divergence from the underlying index and the composition of the portfolio is monitored by the Manager.

The Master Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

**Infectious Illness Risk:** An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

**Valuation Risk:** The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Master Portfolio may invest in illiquid investments. An illiquid investment is any investment that the Master Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Master Portfolio may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Master Portfolio's NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Master Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Master Portfolio invests.

The price the Master Portfolio could receive upon the sale of any particular portfolio investment may differ from the Master Portfolio's valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Master Portfolio's results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Master Portfolio, and the Master Portfolio could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Master Portfolio's ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.

**Counterparty Credit Risk:** The Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio's exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.

50 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

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

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

The Master Portfolio invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When a fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions in those countries may have a significant impact on their investment performance and could affect the income from, or the value or liquidity of, the Master Portfolio's portfolio. Unanticipated or sudden political or social developments may cause uncertainty in the markets and as a result adversely affect the Master Portfolio's investments. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be more volatile and less liquid than U.S. securities and may be less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedule of Investments.

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

Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. The United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. These events and actions have adversely affected, and may in the future adversely affect, the value and exchange rate of the Euro and may continue to significantly affect the economies of every country in Europe, including countries that do not use the Euro and non-European Union member states. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching. In addition, Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.

The Master Portfolio invests a significant portion of its assets in securities of issuers located in Asia or with significant exposure to Asian issuers or countries. The Asian financial markets have recently experienced volatility and adverse trends due to concerns in several Asian countries regarding monetary policy, government intervention in the markets, rising government debt levels or economic downturns. These events may spread to other countries in Asia and may affect the value and liquidity of certain of the Master Portfolio's investments.

**Significant Shareholder Redemption Risk:** Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund's NAV, increase the fund's brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

**LIBOR Transition Risk:** The United Kingdom's Financial Conduct Authority announced a phase out of the London Interbank Offered Rate ("LIBOR"). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Master Portfolio may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Master Portfolio is uncertain.

***11.***  ***SUBSEQUENT EVENTS*** 

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

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 51

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Master Investment Portfolio and Investors of Total International ex U.S. Index Master Portfolio

**Opinion on the Financial Statements** 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Total International ex U.S. Index Master Portfolio (one of the series constituting Master Investment Portfolio, referred to hereafter as the "Master Portfolio") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Master Portfolio as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 23, 2023

We have served as the auditor of one or more BlackRock investment companies since 2000.

52 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statement Regarding Liquidity Risk Management Program

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), BlackRock Funds III and Master Investment Portfolio (the "Trusts") have adopted and implemented a liquidity risk management program (the "Program") for iShares MSCI Total International Index Fund and Total International ex U.S. Index Master Portfolio (the "Funds"), each a series of the respective Trust, which is reasonably designed to assess and manage each Fund's liquidity risk.

The Board of Trustees (the "Board") of the Trusts, on behalf of the Funds, met on November 8-9, 2022 (the "Meeting") to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors ("BlackRock"), each an investment adviser to certain BlackRock funds, as the program administrator for each Fund's Program, as applicable. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the "Committee"). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund's Highly Liquid Investment Minimum ("HLIM") where applicable, and any material changes to the Program (the "Report"). The Report covered the period from October 1, 2021 through September 30, 2022 (the "Program Reporting Period").

The Report described the Program's liquidity classification methodology for categorizing each Fund's investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund's HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund's liquidity risk, as follows:

a)  ***The Fund's investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed whether each Fund's strategy is appropriate for an open-end fund structure with a focus on funds with
more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund's concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a
fund participated in borrowings for investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program's calculation of a fund's liquidity bucketing. A fund's derivative
exposure was also considered in such calculation.

b)  ***Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each Fund's reasonably anticipated trading size utilized for liquidity classifications.
Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a fund's shareholder ownership concentration
(which, depending on product type and distribution channel, may or may not be available), a fund's distribution channels, and the degree of certainty associated with a fund's short-term and long-term cash flow projections.

c)  ***Holdings of cash and cash equivalents, as well as borrowing arrangements.*** The Committee considered the
terms of the credit facility committed to each Fund, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is
specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V, and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). The Committee also considered other types of borrowing available to the
Funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.

There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program's classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

S T A T E M E N T R E G A R D I N G L I Q U I D I T Y R I S K M A N A G E M E N T P R O G R A M 53

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Trustee and Officer Information

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During<br>Past 5 Years** |
| **Mark Stalnecker**<br> 1951 | Chair of the Board (Since 2019) and Trustee<br> (Since 2015) | Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees' Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014.<br>| 28 RICs consisting of 164 Portfolios |  |
| **Susan J. Carter**<br> 1956 | Trustee<br> (Since 2016) | Trustee, Financial Accounting Foundation from 2017 to 2021; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business from 1997 to 2021; Director, Pacific Pension Institute from 2014 to 2018; Senior Advisor, Commonfund Capital, Inc. ("CCI") (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof since 2018; Advisory Board Member, Bridges Fund Management since 2016; Practitioner Advisory Board Member, Private Capital Research Institute ("PCRI") since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019; Advisor to Finance Committee, Altman Foundation since 2020; Investment Committee Member, Tostan since 2021.<br>| 28 RICs consisting of 164 Portfolios |  |
| **Collette Chilton**<br> 1958 | Trustee<br> (Since 2015) | Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006; Director, Boys and Girls Club of Boston since 2017; Director, B1 Capital since 2018; Director, David and Lucile Packard Foundation since 2020.<br>| 28 RICs consisting of 164 Portfolios |  |
| **Neil A. Cotty**<br> 1954 | Trustee<br> (Since 2016) | Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002.<br>| 28 RICs consisting of 164 Portfolios |  |
| **Lena G. Goldberg**<br> 1949 | Trustee<br> (Since 2019) | Director, Charles Stark Draper Laboratory, Inc. from 2013 to 2021; Senior Lecturer, Harvard Business School from 2008 to 2021; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985.<br>| 28 RICs consisting of 164 Portfolios |  |

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54 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During**<br> **Past 5 Years** |
| **Henry R. Keizer**<br> 1956 | Trustee<br> (Since 2019) | Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010.<br>| 28 RICs consisting of 164 Portfolios | Hertz Global Holdings (car rental) from 2015 to 2021; GrafTech International Ltd. (materials manufacturing); WABCO (commercial vehicle safety systems) from 2015 to 2020; Sealed Air Corp. (packaging) from 2015 to 2021 |
| **Cynthia A. Montgomery**<br> 1952 | Trustee<br> (Since 2009)<br>| Professor, Harvard Business School since 1989. | 28 RICs consisting of 164 Portfolios |  |
| **Donald C. Opatrny**<br> 1952 | Trustee<br> (Since 2019) | Director, Athena Capital Advisors LLC (investment management firm) from 2013 to 2020; Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University from 2004 to 2019; President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018; Member of the Board and Investment Committee, University School from 2007 to 2018; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyoming since 2017; Member, Investment Funds Committee, State of Wyoming since 2017; Trustee, Phoenix Art Museum since 2018; Trustee, Arizona Community Foundation and Member of Investment Committee since 2020.<br>| 28 RICs consisting of 164 Portfolios |  |
| **Joseph P. Platt**<br> 1947 | Trustee<br> (Since 2009) | General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, Basic Health International (non-profit) since 2015.<br>| 28 RICs consisting of 164 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company); Consol Energy Inc. |
| **Kenneth L. Urish**<br> 1951 | Trustee<br> (Since 2009) | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past- Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since founding in 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter- Tel from 2006 to 2007; Member, Advisory Board, ESG Competent Boards since 2020.<br>| 28 RICs consisting of 164 Portfolios |  |

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During<br>Past 5 Years** |
| **Claire A. Walton**<br> 1957 | Trustee<br> (Since 2016) | Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; General Partner of Neon Liberty Capital Management, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Woodstock Ski Runners since 2013; Director, Massachusetts Council on Economic Education from 2013 to 2015.<br>| 28 RICs consisting of 164 Portfolios |  |
| **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held (Length<br>of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships<br>Held During<br>Past 5 Years** |
| **Robert Fairbairn**<br> 1965 | Trustee<br> (Since 2018) | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock's Global Executive and Global Operating Committees; Co-Chair of BlackRock's Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock's Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock's Retail and iShares businesses from 2012 to 2016.<br>| 98 RICs consisting of 266 Portfolios |  |
| **John M. Perlowski<sup>(e)</sup>** <br> 1964 | Trustee (Since 2015) President and Chief Executive Officer<br> (Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.<br>| 100 RICs consisting of 268 Portfolios |  |

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<sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

<sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.

<sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. 

<sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.

<sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund.

56 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Trustee and Officer Information (continued)

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| | | |
|:---|:---|:---|
| **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held<br>(Length of Service)** | **Principal Occupation(s) During Past 5 Years** |
| **Roland Villacorta**<br> 1971 | Vice President<br> (Since 2022) | Managing Director of BlackRock, Inc. since 2022; Head of Global Cash Management and Head of Securities Lending within BlackRock's Portfolio Management Group since 2022; Member of BlackRock's Global Operating Committee since 2022; Head of Portfolio Management in BlackRock's Financial Markets Advisory Group within BlackRock Solutions from 2008 to 2015; Co-Head of BlackRock Solutions' Portfolio Analytics Group; previously Mr. Villacorta was Co-Head of Fixed Income within BlackRock's Risk & Quantitative Analysis Group.<br>|
| **Jennifer McGovern**<br> 1977 | Vice President<br> (Since 2014) | Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock's Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock's U.S. Wealth Advisory Group from 2013 to 2019.<br>|
| **Trent Walker**<br> 1974 | Chief Financial Officer<br> (Since 2021) | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds.<br>|
| **Jay M. Fife**<br> 1970 | Treasurer<br> (Since 2009)<br>| Managing Director of BlackRock, Inc. since 2007. |
| **Charles Park**<br> 1967 | Chief Compliance Officer<br> (Since 2014) | Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares<sup>®</sup> Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors ("BFA") since 2006; Chief Compliance Officer for the BFA-advised iShares<sup>®</sup> exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.<br>|
| **Lisa Belle**<br> 1968 | Anti-Money Laundering Compliance Officer<br> (Since 2019)<br>| Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012.<br>|
| **Janey Ahn**<br> 1975 | Secretary<br> (Since 2019)<br>| Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. |
|  <br> <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Officers of the Trust/MIP serve at the pleasure of the Board. | <br> <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Officers of the Trust/MIP serve at the pleasure of the Board. | <br> <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Officers of the Trust/MIP serve at the pleasure of the Board. |

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Further information about the Trust's/MIP's Trustees and Officers is available in the Trust/MIP's Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

Effective March 31, 2022, Thomas Callahan resigned as a Vice President of the Trust/MIP and effective May 10, 2022, Roland Villacorta was appointed as a Vice President of the Trust/MIP. Effective December 31, 2022, Joseph P. Platt retired as a Trustee of the Trust/MIP.

T R U S T E E A N D O F F I C E R I N F O R M A T I O N 57

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Additional Information

**General Information** 

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Fund/Master Portfolio may be found on BlackRock's website, which can be accessed at **blackrock.com**. Any reference to BlackRock's website in this report is intended to allow investors public access to information regarding the Fund/Master Portfolio and does not, and is not intended to, incorporate BlackRock's website in this report.

**Householding** 

The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called "householding" and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Fund at (800) 441-7762.

**Availability of Quarterly Schedule of Investments** 

The Fund/Master Portfolio file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Fund's/Master Portfolio's Forms N-PORT are available on the SEC's website at **sec.gov**. Additionally, the Fund/Master Portfolio makes their portfolio holdings for the first and third quarters of each fiscal year available at **blackrock.com/fundreports**.

**Availability of Proxy Voting Policies, Procedures and Voting Records** 

A description of the policies and procedures that the Fund/Master Portfolio use to determine how to vote proxies relating to portfolio securities and information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund's/Master Portfolio's portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at **blackrock.com**; and (3) on the SEC's website at **sec.gov**.

**BlackRock's Mutual Fund Family** 

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

**Shareholder Privileges** 

**Account Information** 

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit **blackrock.com** for more information.

**Automatic Investment Plans** 

Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

**Systematic Withdrawal Plans** 

Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.

**Retirement Plans** 

Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.

**BlackRock Privacy Principles** 

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, "Clients") and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

58 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Additional Information (continued)

**BlackRock Privacy Principles (continued)** 

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

**Fund and/or MIP Service Providers** 

---

| | |
|:---|:---|
| **Investment Adviser** | **Distributor** |
| BlackRock Fund Advisors | BlackRock Investments, LLC |
| San Francisco, CA 94105 | New York, NY 10022 |
| **Administrator** | **Independent Registered Public Accounting Firm** |
| BlackRock Advisors, LLC | PricewaterhouseCoopers LLP |
| Wilmington, DE 19809 | Philadelphia, PA 19103 |
| **Accounting Agent and Custodian** | **Legal Counsel** |
| State Street Bank and Trust Company | Sidley Austin LLP |
| Boston, MA 02111 | New York, NY 10019 |
| **Transfer Agent** | **Address of the Trust/MIP** |
| BNY Mellon Investment Servicing (US) Inc. | 400 Howard Street |
| Wilmington, DE 19809 | San Francisco, CA 94105 |

---

A D D I T I O N A L I N F O R M A T I O N 59

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Glossary of Terms Used in this Report

---

| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| ADR | American Depositary Receipt |
| CD | Certificate of Deposit |
| CPO | Certificates of Participation (Ordinary) |
| CVA | Certificaten Van Aandelen (Dutch Certificate) |
| GDR | Global Depositary Receipt |
| JSC | Joint Stock Company |
| MSCI | Morgan Stanley Capital International |
| NVDR | Non-Voting Depositary Receipt |
| PCL | Public Company Limited |
| PJSC | Public Joint Stock Company |
| REIT | Real Estate Investment Trust |
| SCA | Societe en Commandite par Actions |
| SRF | State Revolving Fund |

---

60 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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**Want to know more?** 

blackrock.com \| 800-441-7762

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund's current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

TIEXUS-12/22-AR

---

| | |
|:---|:---|
| ![LOGO](g458983blackrock.jpg)  | ![LOGO](g458983leaf.jpg) |

---

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| | |
|:---|:---|
| ![LOGO](g456847g42l24.jpg)  | **DECEMBER 31, 2022** |

---

**2022 Annual Report**<br>

**BlackRock Funds III** 

· iShares Russell 1000 Large-Cap Index Fund

&nbsp;&nbsp;&nbsp;**Not FDIC Insured • May Lose Value • No Bank Guarantee**

------

The Markets in Review

Dear Shareholder,

Significant economic headwinds emerged during the 12-month reporting period ended December 31, 2022, as investors navigated changing economic conditions and volatile markets. The U.S. economy shrank in the first half of 2022 before returning to modest growth in the third quarter, marking a shift to a more challenging post-reopening economic environment. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high before beginning to moderate. Moreover, while the foremost effect of Russia's invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.

Equity prices fell as interest rates rose, particularly during the first half of the reporting period. Both large- and small-capitalization U.S. stocks fell, although equities began to recover in the second half of the year as inflation eased and economic growth resumed. Emerging market stocks and international equities from developed markets declined overall, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield rose notably during the reporting period, driving its price down, as investors reacted to fluctuating inflation data and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and heightened uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the "Fed"), acknowledging that inflation has been more persistent than expected, raised interest rates seven times. Furthermore, the Fed wound down its bond-buying programs and is accelerating the reduction of its balance sheet. While the Fed suggested that additional rate hikes were likely, it also gave indications that the pace of increases would slow if inflation continued to subside.

The pandemic's restructuring of the economy brought an ongoing mismatch between supply and demand, contributing to the current inflationary regime. While growth slowed in 2022, we believe that taming inflation requires a more dramatic economic decline to bring demand back to a level more in line with the economy's capacity. The Fed has been raising interest rates at the fastest pace in decades, and seems set to overtighten in its effort to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, but this prospect has not yet been fully priced in by markets. Investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions.

In this environment, while we favor an overweight to equities in the long-term, the market's concerns over excessive rate hikes from central banks moderate our outlook. Rising input costs and a deteriorating economic backdrop are likely to challenge corporate earnings, so we are underweight equities overall in the near term. However, we see better opportunities in credit, where valuations are attractive and higher yields provide income opportunities. We believe that global investment-grade corporates, global inflation-linked bonds, and U.S. mortgage-backed securities offer strong opportunities for a six- to twelve-month horizon.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit **blackrock.com** for further insight about investing in today's markets.

Sincerely,

![LOGO](g456847sig_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

![LOGO](g456847photo_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

---

| | | |
|:---|:---|:---|
| **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** |
|  | *6-Month* | *12-Month* |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. large cap equities<br>(S&P 500<sup>®</sup> Index) | 2.31% | (18.11)% |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. small cap equities<br>(Russell 2000<sup>®</sup> Index) | 3.91 | (20.44) |
| &nbsp;&nbsp;&nbsp;&nbsp; International equities<br>(MSCI Europe, Australasia, Far East Index) | 6.36 | (14.45) |
| &nbsp;&nbsp;&nbsp;&nbsp; Emerging market equities<br>(MSCI Emerging Markets Index) | (2.99) | (20.09) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3-month Treasury bills<br>(ICE BofA 3-Month U.S. Treasury Bill Index) | 1.32 | &nbsp;&nbsp;&nbsp;&nbsp;1.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury securities<br>(ICE BofA 10-Year U.S. Treasury Index) | (5.58) | (16.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. investment grade bonds<br>(Bloomberg U.S. Aggregate Bond Index) | (2.97) | (13.01) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tax-exempt municipal bonds<br>(Bloomberg Municipal Bond Index) | 0.50 | &nbsp;&nbsp;&nbsp;&nbsp;(8.53) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. high yield bonds<br>(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | 3.50 | (11.18) |
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |

---

2 T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T

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**Table of Contents**

---

| | |
|:---|:---|
| | **Page** |
|  [The Markets in Review](#tx456847_1) | 2 |
|  **Annual Report:** |  |
|  [Fund Summary](#tx456847_2) | 4 |
|  [About Fund Performance](#tx456847_3) | 6 |
|  [Disclosure of Expenses](#tx456847_4) | 6 |
|  [Derivative Financial Instruments](#tx456847_5) | 6 |
|  Fund Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statement of Assets and Liabilities](#tx456847_6) | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statement of Operations](#tx456847_7) | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statements of Changes in Net Assets](#tx456847_8) | 10 |
|  [Fund Financial Highlights](#tx456847_9) | 11 |
|  [Fund Notes to Financial Statements](#tx456847_10) | 14 |
|  [Fund Report of Independent Registered Public Accounting Firm](#tx456847_11) | 17 |
|  [Important Tax Information](#tx456847_12) | 18 |
|  [Master Portfolio Information](#tx456847_13) | 19 |
|  Master Portfolio Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Schedule of Investments](#tx456847_14) | 20 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statement of Assets and Liabilities](#tx456847_15) | 33 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statement of Operations](#tx456847_16) | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statements of Changes in Net Assets](#tx456847_17) | 35 |
|  [Master Portfolio Financial Highlights](#tx456847_18) | 36 |
|  [Master Portfolio Notes to Financial Statements](#tx456847_19) | 37 |
|  [Master Portfolio Report of Independent Registered Public Accounting Firm](#tx456847_20) | 43 |
|  [Statement Regarding Liquidity Risk Management Program](#tx456847_21) | 44 |
|  [Trustee and Officer Information](#tx456847_22) | 45 |
|  [Additional Information](#tx456847_23) | 49 |
|  [Glossary of Terms Used in this Report](#tx456847_24) | 51 |

---

![LOGO](g456847g37f05.jpg)

3.0 ------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **iShares Russell 1000 Large-Cap Index Fund** |

---

**Investment Objective** 

**iShares Russell 1000 Large-Cap Index Fund's (the "Fund")** investment objective is to match the performance of the Russell 1000<sup>®</sup> Index as closely as possible before the deduction of Fund expenses.

**Portfolio Management Commentary** 

**How did the Fund perform?** 

For the 12-month period ended December 31, 2022, the Fund's Institutional Shares returned (19.14)%, Investor A Shares returned (19.38)%, and Class K Shares returned (19.12)%. The Fund's benchmark, the Russell 1000 Index, returned (19.13)% for the same period.

Returns for the Fund's respective share classes differ from the benchmark index based on individual share-class expenses. The Fund invests all of its assets in Large Cap Index Master Portfolio (the "Master Portfolio"), a series of Master Investment Portfolio.

**Describe the market environment.** 

Geopolitical tension after the Russian invasion of Ukraine in February 2022 fueled existing concerns over rising inflation, interest rate hikes, and rallying commodity prices. On the other hand, economic data in the United States remained strong with robust employment numbers and corporate earnings results. This provided comfort to investors but added to U.S. policy makers challenges. Investors were concerned that the Fed may dampen growth in an effort to get inflation under control.

Commodity prices spiked in the first quarter of 2022 and pushed expectations for a higher inflation rate. The Fed hiked the interest rate by 25 basis points and signaled hikes at all six-remaining meetings for the year in efforts to tackle the highest inflation rate in four decades.

Concerns about high inflation, growth outlook and recession fears increased in the United States during the second quarter. While the unemployment rate remained low and wage growth strong, consumer sentiment went down as consumers struggled with higher prices and borrowing costs. The increased expectation of an interest rate hike weighed down on U.S. equity market valuations.

As the Fed continued to grapple with inflation, their messaging evolved over the second quarter of 2022. Initially, Chairman Jerome Powel adopted a more hawkish tone stating that they would not hesitate to raise interest rates beyond neutral to achieve its inflation target and would be willing to accept an increase in unemployment rate. But as risks to growth increased over the quarter and recession fears intensified, the number and magnitude of future rate hikes beyond July 2022 remained unclear.

The U.S. equity market rallied in July 2022 on the back of softened tone from the Fed signaling slower rate rise in 2023. However, the Fed's hawkish tone later in the quarter at the Jackson Hole conference reaffirmed its commitment to fighting inflation. In their battle against high inflation rate, the U.S. congress passed a new bill which aimed to reduce inflation by curbing the deficit.

U.S. economic data showed a decline in growth over the first two quarters of the year, but other economic data released over the third quarter highlighted the resilience of the U.S. economy. The labor market added 315,000 payroll jobs across the economy generating considerable household income gains.

The U.S. equity market rallied over the fourth quarter, despite tighter monetary policy. It posted positive returns in October and November 2022 while contractionary monetary policy targeted a higher inflation rate. The Fed reiterated their plan in December 2022 to continue tightening monetary policy as inflation remained well above target. Market performance dampened in December 2022.

In the fourth quarter of 2022, from a Global Industry Classification Standard sector perspective, energy (+64.29%), utilities (+1.34%), and consumer staples (-0.94%) were among the best performers, while information technology (-29.97%), consumer discretionary (-36.55%), and communication services (-40.17%) were among the worst performers.

**Describe recent portfolio activity.** 

During the period, as changes were made to the composition of the Russell 1000<sup>®</sup> Index, the Master Portfolio purchased and sold securities to maintain its objective of replicating the risks and return of the Fund's benchmark index.

**Describe portfolio positioning at period end.** 

The Master Portfolio remains positioned to match the risk characteristics of the Fund's benchmark index, irrespective of the market's future direction.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

4 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **iShares Russell 1000 Large-Cap Index Fund** |

---

**GROWTH OF $10,000 INVESTMENT**![LOGO](g456847g35j99.jpg)

<sup>(a)</sup> Assuming transaction costs and other operating expenses, including administration fees, if any.

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

<sup>(c)</sup> An index that measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000<sup>®</sup> Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The index represents approximately 93% of the U.S. market. 

**Performance** 

---

| | | | |
|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> |
|  | *1 Year* | *5 Years* | *10 Years* |
|  Institutional | (19.14)% | 9.02% | 12.25% |
|  Investor A | (19.38) | 8.73 | 11.93 |
|  Class K | (19.12) | 9.06 | 12.27 |
|  **Russell 1000**<sup>®</sup> **Index** | (19.13) | 9.13 | 12.37 |

---

<sup>(a)</sup> See "About Fund Performance" for a detailed description of share classes, including any related fees.

Past performance is not an indication of future results.

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

**Expense Example** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Actual | Actual | Actual | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | |
|  | *Beginning<br>Account Value<br>(07/01/22)* | *Ending<br>Account Value<br>(12/31/22)* | *Expenses<br>Paid During<br>the Period* *<br><sup>(a)</sup>* | *Beginning<br>Account Value<br>(07/01/22)* | *Ending<br>Account Value<br>(12/31/22)* | *Expenses<br>Paid During<br>the Period* *<br><sup>(a)</sup>* | *Annualized<br>Expense<br>Ratio* |
|  Institutional | $1000.00 | $1022.90 | $0.61 | $1000.00 | $1024.60 | $0.61 | 0.12% |
|  Investor A | 1000.00 | 1021.00 | 1.78 | 1000.00 | 1023.44 | 1.79 | 0.35 |
|  Class K | 1000.00 | 1022.90 | 0.36 | 1000.00 | 1024.85 | 0.36 | 0.07 |

---

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

See "Disclosure of Expenses" for further information on how expenses were calculated.

F U N D S U M M A R Y 5

------

---

| | |
|:---|:---|
| About Fund Performance | **iShares Russell 1000 Large-Cap Index Fund** |

---

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

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

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

BlackRock Advisors, LLC (the "Administrator"), the Fund's administrator, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of the Fund's expenses. Without such waiver(s) and/or reimbursement(s), the Fund's performance would have been lower. With respect to the Fund's voluntary waiver(s), if any, the Administrator is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued at any time. With respect to the Fund's contractual waiver(s), if any, the Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.

Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown (which is based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense example provides information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled "Expenses Paid During the Period."

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

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

Derivative Financial Instruments

The Large Cap Index Master Portfolio (the "Master Portfolio") may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Master Portfolio must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Master Portfolio's successful use of a derivative financial instrument depends on the investment adviser's ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio's investments in these instruments, if any, are discussed in detail in the Master Portfolio Notes to Financial Statements.

6 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statement of Assets and Liabilities

December 31, 2022

---

| | |
|:---|:---|
| | iShares<br>Russell 1000<br>Large-Cap<br>Index Fund |
|  **ASSETS** |  |
|  Investments, at value — Master Portfolio | $762644111 |
|  Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares sold | 1932734 |
| &nbsp;&nbsp;&nbsp;&nbsp; From the Manager | 13511 |
|  Prepaid expenses | 22727 |
|  Total assets | 764613083 |
|  **LIABILITIES** |  |
|  Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services fees | 827 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration fees | 6614 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 1583908 |
| &nbsp;&nbsp;&nbsp;&nbsp; Contributions to the Master Portfolio | 348826 |
| &nbsp;&nbsp;&nbsp;&nbsp; Officer's fees | 3704 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accrued expenses | 13805 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 34579 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service fees | 11231 |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees | 92700 |
|  Total liabilities | 2096194 |
|  NET ASSETS | $762516889 |
|  **NET ASSETS CONSIST OF** |  |
|  Paid-in capital | $547543106 |
|  Accumulated earnings | 214973783 |
|  NET ASSETS | $762516889 |

---

F U N D F I N A N C I A L S T A T E M E N T S 7

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Statement of Assets and Liabilities (continued)

December 31, 2022

---

| | |
|:---|:---|
| | iShares<br>Russell 1000<br>Large-Cap<br>Index Fund |
|  **NET ASSET VALUE** |  |
| **Institutional** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $130394281 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 5288670 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $24.66 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | N/A |
| **Investor A** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $52790078 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 2154805 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $24.50 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | N/A |
| **Class K** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $579332530 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 23601061 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $24.55 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | N/A |

---

*See notes to financial statements.* 

8 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statement of Operations

Year Ended December 31, 2022

---

| | |
|:---|:---|
| | iShares<br>Russell 1000<br>Large-Cap<br>Index Fund |
|  **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income allocated from the Master Portfolio: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $12867086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 230326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 3484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 191985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | (2368) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses | (279513) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived | 6505 |
|  Total investment income | 13017505 |
|  FUND EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent — class specific | 139779 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service — class specific | 135767 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 91776 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration | 82711 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration | 58217 |
| &nbsp;&nbsp;&nbsp;&nbsp; Officer | 9344 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services | 4956 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage | 4320 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 11978 |
|  Total expenses | 538848 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Administrator | (20124) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees waived and/or reimbursed by the Manager — class specific | (13967) |
|  Total expenses after fees waived and/or reimbursed | 504757 |
|  Net investment income | 12512748 |
|  **REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM THE MASTER PORTFOLIO** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (9497667) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (695300) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (740451) |
|  | (10933418) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (176791022) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (1500536) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (295402) |
|  | (178586960) |
|  Net realized and unrealized loss | (189520378) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(177007630) |

---

*See notes to financial statements.* 

F U N D F I N A N C I A L S T A T E M E N T S 9

------

Statements of Changes in Net Assets

---

| | | |
|:---|:---|:---|
|  | iShares Russell 1000<br>Large-Cap Index Fund | iShares Russell 1000<br>Large-Cap Index Fund |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |
|  **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $12512748 | $8893908 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (10933418) | 6368179 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (178586960) | 147728913 |
|  Net increase (decrease) in net assets resulting from operations | (177007630) | 162991000 |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(a)</sup>**  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (3178794) | (3082663) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (774921) | (930718) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (10506764) | (10979369) |
|  Decrease in net assets resulting from distributions to shareholders | (14460479) | (14992750) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |
|  Net increase (decrease) in net assets derived from capital share transactions | 144782013 | (280334) |
|  *NET ASSETS* |  |  |
|  Total increase (decrease) in net assets | (46686096) | 147717916 |
|  Beginning of year | 809202985 | 661485069 |
|  End of year | $762516889 | $809202985 |

---

<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

10 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Russell 1000 Large-Cap Index Fund | iShares Russell 1000 Large-Cap Index Fund | iShares Russell 1000 Large-Cap Index Fund | iShares Russell 1000 Large-Cap Index Fund | iShares Russell 1000 Large-Cap Index Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $31.03 | $25.08 | $21.14 | $16.58 | $17.82 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.39 | 0.35 | 0.35 | 0.35 | 0.34 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (6.32) | 6.19 | 3.96 | 4.79 | (1.19) |
|  Net increase (decrease) from investment operations | (5.93) | 6.54 | 4.31 | 5.14 | (0.85) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.36) | (0.37) | (0.34) | (0.39) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.08) | (0.22) | (0.03) | (0.19) | (0.06) |
|  Total distributions | (0.44) | (0.59) | (0.37) | (0.58) | (0.39) |
|  **Net asset value, end of year** | $24.66 | $31.03 | $25.08 | $21.14 | $16.58 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (19.14)% | 26.27% | 20.79% | 31.28% | (4.88)% |
|  **Ratios to Average Net Assets<sup>(d)(e)(f)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.12% | 0.12% | 0.13% | 0.15 %<sup>(g)</sup> | 0.17 %<sup>(h)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.12% | 0.12% | 0.13% | 0.13% | 0.13% |
|  Net investment income | 1.49% | 1.24% | 1.66% | 1.81% | 1.89% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $130394 | $172196 | $125604 | $82729 | $102279 |
|  Portfolio turnover rate of the Master Portfolio | 22% | 17% | 14% | 10% | 12% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.

<sup>(e)</sup> Includes the Fund's share of the Master Portfolio's allocated fees waived of less than 0.01%. 

<sup>(f)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(g)</sup> Includes recoupment of past waived and/or reimbursed fees. Excluding the recoupment of past waived and/or reimbursed fees for the year ended December, 31, 2019 the expense ratio would have been 0.14%. 

<sup>(h)</sup> Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio.

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 11

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Russell 1000 Large-Cap Index Fund (continued) | iShares Russell 1000 Large-Cap Index Fund (continued) | iShares Russell 1000 Large-Cap Index Fund (continued) | iShares Russell 1000 Large-Cap Index Fund (continued) | iShares Russell 1000 Large-Cap Index Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $30.85 | $24.92 | $21.01 | $16.48 | $17.72 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.33 | 0.28 | 0.30 | 0.30 | 0.29 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (6.30) | 6.16 | 3.92 | 4.76 | (1.18) |
|  Net increase (decrease) from investment operations | (5.97) | 6.44 | 4.22 | 5.06 | (0.89) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.30) | (0.29) | (0.28) | (0.34) | (0.29) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.08) | (0.22) | (0.03) | (0.19) | (0.06) |
|  Total distributions | (0.38) | (0.51) | (0.31) | (0.53) | (0.35) |
|  **Net asset value, end of year** | $24.50 | $30.85 | $24.92 | $21.01 | $16.48 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (19.38)% | 25.99% | 20.45% | 30.98% | (5.15)% |
|  **Ratios to Average Net Assets<sup>(d)(e)(f)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.37% | 0.63% | 0.68% | 0.76% | 0.87% |
|  Total expenses after fees waived and/or reimbursed | 0.35% | 0.37% | 0.38% | 0.38% | 0.38% |
|  Net investment income | 1.25% | 0.98% | 1.42% | 1.57% | 1.60% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $52790 | $61446 | $84724 | $86038 | $57500 |
|  Portfolio turnover rate of the Master Portfolio | 22% | 17% | 14% | 10% | 12% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.

<sup>(e)</sup> Includes the Fund's share of the Master Portfolio's allocated fees waived of less than 0.01%. 

<sup>(f)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

*See notes to financial statements.* 

12 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares Russell 1000 Large-Cap Index Fund (continued) | iShares Russell 1000 Large-Cap Index Fund (continued) | iShares Russell 1000 Large-Cap Index Fund (continued) | iShares Russell 1000 Large-Cap Index Fund (continued) | iShares Russell 1000 Large-Cap Index Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $30.90 | $24.97 | $21.05 | $16.52 | $17.76 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.41 | 0.36 | 0.36 | 0.36 | 0.35 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (6.31) | 6.17 | 3.94 | 4.76 | (1.19) |
|  Net increase (decrease) from investment operations | (5.90) | 6.53 | 4.30 | 5.12 | (0.84) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.37) | (0.38) | (0.35) | (0.40) | (0.34) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.08) | (0.22) | (0.03) | (0.19) | (0.06) |
|  Total distributions | (0.45) | (0.60) | (0.38) | (0.59) | (0.40) |
|  **Net asset value, end of year** | $24.55 | $30.90 | $24.97 | $21.05 | $16.52 |
|  **Total Return<sup>(c)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (19.12)% | 26.37% | 20.84% | 31.28% | (4.85)% |
|  **Ratios to Average Net Assets<sup>(d)(e)(f)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.07% | 0.07% | 0.08% | 0.10% | 0.13% |
|  Total expenses after fees waived and/or reimbursed | 0.07% | 0.07% | 0.07% | 0.08% | 0.08% |
|  Net investment income | 1.54% | 1.29% | 1.71% | 1.87% | 1.92% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $579333 | $575561 | $451157 | $287492 | $154097 |
|  Portfolio turnover rate of the Master Portfolio | 22% | 17% | 14% | 10% | 12% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.

<sup>(e)</sup> Includes the Fund's share of the Master Portfolio's allocated fees waived of less than 0.01%. 

<sup>(f)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 13

------

Notes to Financial Statements

***1.***  ***ORGANIZATION*** 

BlackRock Funds III (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. iShares Russell 1000 Large-Cap Index Fund (the "Fund") is a series of the Trust. The Fund is classified as diversified.

The Fund seeks to achieve its investment objective by investing all of its assets in Large Cap Index Master Portfolio (the "Master Portfolio"), a series of Master Investment Portfolio ("MIP") and an affiliate of the Trust, which has the same investment objective and strategies as the Fund. The value of the Fund's investment in the Master Portfolio reflects the Fund's proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At December 31, 2022, the percentage of the Master Portfolio owned by the Fund was 3.3%. The financial statements of the Master Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund's financial statements.

The Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A Shares bear certain expenses related to shareholder servicing of such shares. Investor A Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures.

<u>*Share Class*</u>   <u>*Initial Sales Charge*</u>   <u>*CDSC*</u>   <u>*Conversion Privilege*</u> <br> <u> Institutional Shares, Investor A and Class K</u>   <u>No</u>   <u>No</u>   <u>None</u>

The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the "Board" and the members are referred to as "Trustees."

The Fund, together with certain other registered investment companies advised by BlackRock Fund Advisors ("BFA" or the "Manager") or its affiliates, is included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

***2.***  ***SIGNIFICANT ACCOUNTING POLICIES*** 

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

**Investment Transactions and Income Recognition:** For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolio's income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

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

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

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

***3.***  ***INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*** 

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

***4.***  ***ADMINISTRATION AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*** 

**Administration:** The Trust, on behalf of the Fund, entered into an Administration Agreement with the Administrator, an indirect, wholly-owned subsidiary of BlackRock, Inc. ("BlackRock"), to provide administrative services (other than investment advice and related portfolio activities). For such services, the Fund pays the Administrator a monthly fee at an annual rate of 0.01% of the average daily net assets of the Fund. The Fund does not pay an investment advisory fee or investment management fee.

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

14 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

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

For the year ended December 31, 2022, the class specific service fees borne directly by Investor A Shares were $135,767.

**Transfer Agent:** Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Fund with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the year ended December 31, 2022, the Fund did not pay any amounts to affiliates in return for these services.

The Administrator maintains a call center that is responsible for providing certain shareholder services to the Fund. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the year ended December 31, 2022, the Fund reimbursed the Administrator the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statement of Operations:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Institutional* | *Investor A* | *Class K* | *Total* |
|  Reimbursed amounts | $373 | $3008 | $1532 | $4913 |

---

For the year ended December 31, 2022, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Institutional* | *Investor A* | *Class K* | *Total* |
|  Transfer agent fees — class specific | $93371 | $28744 | $17664 | $139779 |

---

**Expense Limitations, Waivers and Reimbursements:** The Administrator and the Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund's business ("expense limitation"). The expense limitations as a percentage of average daily net assets are as follows:

---

| | |
|:---|:---|
| *Share Class* | *Expense Limitation* |
|  Institutional | 0.13% |
|  Investor A | 0.38 |
|  Class K | 0.08 |

---

The Administrator and the Manager have agreed not to reduce or discontinue these contractual expense limitations through June 30, 2023, unless approved by the Board, including a majority of the trustees who are not "interested persons" of the Trust, as defined in the 1940 Act ("Independent Trustees"), or by a vote of a majority of the outstanding voting securities of the Fund. For the year ended December 31, 2022, the Administrator waived and/or reimbursed investment advisory fees of $20,124 which is included in fees waived and/or reimbursed by the Administrator in the Statement of Operations.

In addition, these amounts waived and/or reimbursed by the Manager are included in transfer agent fees waived and/or reimbursed by the Manager – class specific in the Statement of Operations. For the year ended December 31, 2022, class specific expense waivers and/or reimbursements are as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Institutional* | *Investor A* | *Class K* | *Total* |
|  Transfer agent fees waived and/or reimbursed by the Manager — class specific | $5527 | $7052 | $1388 | $13967 |

---

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the U.S. Securities and Exchange Commission ("SEC"), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund's investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended December 31, 2022, the Fund did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of the Fund are directors and/or officers of BlackRock or its affiliates. The Fund reimburses the Administrator for a portion of the compensation paid to the Fund's Chief Compliance Officer, which is included in Trustees and Officer in the Master Portfolio's Statement of Operations.

***5.***  ***INCOME TAX INFORMATION*** 

It is the Fund's policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Fund's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S 15

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Notes to Financial Statements (continued)

Management has analyzed tax laws and regulations and their application to the Fund as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund's financial statements.

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Year Ended<br>12/31/22* | *Year Ended<br>12/31/21* |
|  iShares Russell 1000 Large-Cap Index Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $12599661 | $11981544 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 1860818 | 3011206 |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;14460479 | $&nbsp;&nbsp;&nbsp;&nbsp;14992750 |

---

As of December 31, 2022, the tax components of accumulated earnings (loss) were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Undistributed<br>Ordinary Income* | *Non-Expiring<br>Capital Loss<br>Carryforwards<sup>(a)</sup>* | *Net Unrealized<br>Gains (Losses)<sup>(b)</sup>* | *Total* |
|  iShares Russell 1000 Large-Cap Index Fund | $864541 | $(1541545) | $215650787 | $214973783 |

---

<sup>(a)</sup> Amounts available to offset future realized capital gains. 

<sup>(b)</sup> The difference between book-basis and tax-basis net unrealized gains was attributable primarily to the timing and recognition of partnership income.

***6.***  ***CAPITAL SHARE TRANSACTIONS*** 

Transactions in capital shares for each class were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br>12/31/22 | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/21 |
| *Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  iShares Russell 1000 Large-Cap Index Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 5598164 | $138284355 | 3958236 | $109578992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 128287 | 3178196 | 105787 | 3081916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (5986354) | (145857332) | (3524510) | (96669122) |
|  | (259903) | $(4394781) | 539513 | $15991786 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 825357 | $21635972 | 839505 | $23731241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 29109 | 725926 | 31988 | 930091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (691607) | (17986952) | (2279451) | (60190536) |
|  | 162859 | $4374946 | (1407958) | $(35529204) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 9827116 | $271951562 | 6696905 | $186038207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 399157 | 9998861 | 347267 | 10056414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (5249713) | (137148575) | (6485963) | (176837537) |
|  | 4976560 | $144801848 | 558209 | $19257084 |
|  | 4879516 | $144782013 | (310236) | $(280334) |

---

***7.***  ***SUBSEQUENT EVENTS*** 

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

16 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of BlackRock Funds III and Shareholders of iShares Russell 1000 Large-Cap Index Fund

**Opinion on the Financial Statements** 

We have audited the accompanying statement of assets and liabilities of iShares Russell 1000 Large-Cap Index Fund (one of the series constituting BlackRock Funds III, referred to hereafter as the "Fund") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the accounting agent of the Master Portfolio. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 23, 2023

We have served as the auditor of one or more BlackRock investment companies since 2000.

F U N D R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M 17

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Important Tax Information (unaudited)

The following amount, or maximum amount allowable by law, is hereby designated as qualified dividend income for individuals for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Qualified Dividend<br>Income* |
|  iShares Russell 1000 Large-Cap Index Fund | $10126901 |

---

The following amount, or maximum amount allowable by law, is hereby designated as qualified business income for individuals for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Qualified Business<br>Income* |
|  iShares Russell 1000 Large-Cap Index Fund | $421335 |

---

The Fund hereby designates the following amount, or maximum amount allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate as noted below, for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *20% Rate Long-Term<br>Capital Gain Dividends* |
|  iShares Russell 1000 Large-Cap Index Fund | $1860818 |

---

The following percentage, or maximum percentage allowable by law, of ordinary income distributions paid during the fiscal year ended December 31, 2022 qualified for the dividends-received deduction for corporate shareholders:

---

| | |
|:---|:---|
| *Fund Name* | *Dividends-Received<br>Deduction* |
|  iShares Russell 1000 Large-Cap Index Fund | 78.11% |

---

18 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Master Portfolio Information as of December 31, 2022 | **Large Cap Index Master Portfolio** |

---

**TEN LARGEST HOLDINGS** 

---

| | |
|:---|:---|
| *Security* | *Percent of<br>Net Assets* |
|  Apple, Inc. | 5.5% |
|  Microsoft Corp. | 5.0 |
|  Amazon.com, Inc. | 2.1 |
|  Berkshire Hathaway, Inc., Class B | 1.6 |
|  Alphabet, Inc., Class A | 1.5 |
|  UnitedHealth Group, Inc. | 1.4 |
|  Alphabet, Inc., Class C | 1.3 |
|  Johnson & Johnson | 1.3 |
|  Exxon Mobil Corp. | 1.3 |
|  JPMorgan Chase & Co. | 1.1 |

---

**SECTOR ALLOCATION** 

---

| | |
|:---|:---|
| *Sector<sup>(a)</sup>* | *Percent of<br>Net Assets* |
|  Information Technology | 24.8% |
|  Health Care | 15.3 |
|  Financials | 12.9 |
|  Consumer Discretionary | 9.8 |
|  Industrials | 9.2 |
|  Communication Services | 7.0 |
|  Consumer Staples | 6.7 |
|  Energy | 5.1 |
|  Real Estate | 3.1 |
|  Utilities | 3.0 |
|  Materials | 2.9 |
|  Short-Term Securities | 9.2 |
|  Liabilities in Excess of Other Assets | (9.0) |

---

<sup>(a)</sup> For Large Cap Index Master Portfolio (the "Master Portfolio") compliance purposes, the Master Portfolio's sector classifications refer to one or more of the sector subclassifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease. 

M A S T E R P O R T F O L I O I N F O R M A T I O N 19

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---

| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **Large Cap Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Common Stocks** | **Common Stocks** | **Common Stocks** |
|  **Aerospace & Defense — 1.9%** | **Aerospace & Defense — 1.9%** | **Aerospace & Defense — 1.9%** |
|  Axon Enterprise, Inc.<sup>(a)</sup>  | 43453 | $7210156 |
|  Boeing Co.<sup>(a)</sup>  | 349200 | 66519108 |
|  BWX Technologies, Inc. | 56831 | 3300745 |
|  Curtiss-Wright Corp. | 24271 | 4053014 |
|  General Dynamics Corp. | 154994 | 38455561 |
|  HEICO Corp. | 28797 | 4424371 |
|  HEICO Corp., Class A | 49478 | 5929938 |
|  Hexcel Corp. | 55035 | 3238810 |
|  Howmet Aerospace, Inc.<sup>(b)</sup>  | 233097 | 9186353 |
|  Huntington Ingalls Industries, Inc. | 25262 | 5827438 |
|  L3Harris Technologies, Inc. | 121008 | 25195076 |
|  Lockheed Martin Corp. | 148959 | 72467064 |
|  Mercury Systems, Inc.<sup>(a)</sup>  | 35358 | 1581917 |
|  Northrop Grumman Corp. | 93283 | 50896138 |
|  Raytheon Technologies Corp.<sup>(b)</sup>  | 936692 | 94530957 |
|  Spirit AeroSystems Holdings, Inc., Class A<sup>(b)</sup>  | 69218 | 2048853 |
|  Textron, Inc. | 131478 | 9308642 |
|  TransDigm Group, Inc. | 32697 | 20587666 |
|  Woodward, Inc. | 38517 | 3721127 |
|  |  | 428482934 |
| **Air Freight & Logistics — 0.6%** | **Air Freight & Logistics — 0.6%** | **Air Freight & Logistics — 0.6%** |
|  CH Robinson Worldwide, Inc.<sup>(b)</sup>  | 74977 | 6864894 |
|  Expeditors International of Washington, Inc. | 100841 | 10479397 |
|  FedEx Corp. | 152954 | 26491633 |
|  GXO Logistics, Inc.<sup>(a)</sup>  | 65172 | 2782193 |
|  United Parcel Service, Inc., Class B<sup>(b)</sup>  | 468454 | 81436043 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;128054160 |
| **Airlines<sup>(a)</sup> — 0.2%** | **Airlines<sup>(a)</sup> — 0.2%** | **Airlines<sup>(a)</sup> — 0.2%** |
|  Alaska Air Group, Inc.<sup>(b)</sup>  | 78824 | 3384703 |
|  American Airlines Group, Inc.<sup>(b)</sup>  | 417542 | 5311134 |
|  Copa Holdings SA, Class A<sup>(b)</sup>  | 16991 | 1413141 |
|  Delta Air Lines, Inc. | 407535 | 13391600 |
|  JetBlue Airways Corp. | 198274 | 1284816 |
|  Southwest Airlines Co. | 377029 | 12694566 |
|  United Airlines Holdings, Inc.<sup>(b)</sup>  | 209313 | 7891100 |
|  |  | 45371060 |
| **Auto Components — 0.1%** | **Auto Components — 0.1%** | **Auto Components — 0.1%** |
|  Aptiv PLC<sup>(a)</sup>  | 172128 | 16030281 |
|  BorgWarner, Inc.<sup>(b)</sup>  | 148041 | 5958650 |
|  Gentex Corp. | 149559 | 4078474 |
|  Lear Corp. | 36970 | 4585019 |
|  QuantumScape Corp.<sup>(a)(b)</sup>  | 148319 | 840969 |
|  |  | 31493393 |
| **Automobiles — 1.2%** | **Automobiles — 1.2%** | **Automobiles — 1.2%** |
|  Ford Motor Co.<sup>(b)</sup>  | 2511172 | 29204930 |
|  General Motors Co. | 903603 | 30397205 |
|  Harley-Davidson, Inc.<sup>(b)</sup>  | 86439 | 3595862 |
|  Lucid Group, Inc.<sup>(a)(b)</sup>  | 329925 | 2253388 |
|  Rivian Automotive, Inc., Class A<sup>(a)(b)</sup>  | 334941 | 6172963 |
|  Tesla, Inc.<sup>(a)</sup>  | 1647011 | 202878815 |
|  Thor Industries, Inc.<sup>(b)</sup>  | 34015 | 2567792 |
|  |  | 277070955 |
| **Banks — 3.7%** | **Banks — 3.7%** | **Banks — 3.7%** |
|  Bank of America Corp. | 4475764 | 148237304 |
|  Bank of Hawaii Corp.<sup>(b)</sup>  | 24623 | 1909760 |
|  Bank OZK | 68639 | 2749678 |
|  BOK Financial Corp.<sup>(b)</sup>  | 18661 | 1936825 |
|  Citigroup, Inc. | 1233543 | 55793150 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
|  Citizens Financial Group, Inc.<sup>(b)</sup>  | 310844 | $| 12237928 |
|  Comerica, Inc.<sup>(b)</sup>  | 84432 |  | 5644279 |
|  Commerce Bancshares, Inc.<sup>(b)</sup>  | 72905 |  | 4962643 |
|  Cullen/Frost Bankers, Inc.<sup>(b)</sup>  | 36945 |  | 4939547 |
|  East West Bancorp, Inc. | 90016 |  | 5932054 |
|  Fifth Third Bancorp<sup>(b)</sup>  | 433771 |  | 14232027 |
|  First Citizens BancShares, Inc., Class A | 7627 |  | 5784012 |
|  First Hawaiian, Inc.<sup>(b)</sup>  | 77530 |  | 2018881 |
|  First Horizon Corp. | 331639 |  | 8125155 |
|  First Republic Bank | 115885 |  | 14125223 |
|  FNB Corp.<sup>(b)</sup>  | 220400 |  | 2876220 |
|  Huntington Bancshares, Inc.<sup>(b)</sup>  | 913638 |  | 12882296 |
|  JPMorgan Chase & Co. | 1858783 |  | 249262800 |
|  KeyCorp.<sup>(b)</sup>  | 591525 |  | 10304365 |
|  M&T Bank Corp.<sup>(b)</sup>  | 108434 |  | 15729436 |
|  PacWest Bancorp | 69715 |  | 1599959 |
|  Pinnacle Financial Partners, Inc.<sup>(b)</sup>  | 46625 |  | 3422275 |
|  PNC Financial Services Group, Inc. | 256521 |  | 40514927 |
|  Popular, Inc.<sup>(b)</sup>  | 44637 |  | 2960326 |
|  Prosperity Bancshares, Inc.<sup>(b)</sup>  | 55933 |  | 4065210 |
|  Regions Financial Corp.<sup>(b)</sup>  | 595051 |  | 12829300 |
|  Signature Bank | 40048 |  | 4614331 |
|  SVB Financial Group<sup>(a)</sup>  | 37365 |  | 8599181 |
|  Synovus Financial Corp. | 94409 |  | 3545058 |
|  Truist Financial Corp. | 847048 |  | 36448475 |
|  U.S. Bancorp<sup>(b)</sup>  | 855060 |  | 37289167 |
|  Umpqua Holdings Corp. | 134553 |  | 2401771 |
|  Webster Financial Corp.<sup>(b)</sup>  | 110997 |  | 5254598 |
|  Wells Fargo & Co. | 2416819 |  | 99790457 |
|  Western Alliance Bancorp | 65848 |  | 3921907 |
|  Wintrust Financial Corp. | 38495 |  | 3253597 |
|  Zions Bancorp NA<sup>(b)</sup>  | 93587 |  | 4600737 |
|  |  |  | 854794859 |
| **Beverages — 1.7%** | **Beverages — 1.7%** | **Beverages — 1.7%** | **Beverages — 1.7%** |
|  Boston Beer Co., Inc., Class A<sup>(a)(b)</sup>  | 5817 |  | 1916818 |
|  Brown-Forman Corp., Class A<sup>(b)</sup>  | 27091 |  | 1781504 |
|  Brown-Forman Corp., Class B | 115577 |  | 7591097 |
|  Coca-Cola Co. | 2488214 |  | 158275293 |
|  Constellation Brands, Inc., Class A | 96488 |  | 22361094 |
|  Keurig Dr. Pepper, Inc.<sup>(b)</sup>  | 546079 |  | 19473177 |
|  Molson Coors Beverage Co., Class B<sup>(b)</sup>  | 112922 |  | 5817741 |
|  Monster Beverage Corp.<sup>(a)</sup>  | 233796 |  | 23737308 |
|  PepsiCo, Inc. | 880985 |  | 159158750 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400112782 |
| **Biotechnology — 2.6%** | **Biotechnology — 2.6%** | **Biotechnology — 2.6%** | **Biotechnology — 2.6%** |
|  AbbVie, Inc. | 1126268 |  | 182016171 |
|  Alnylam Pharmaceuticals, Inc.<sup>(a)</sup>  | 78255 |  | 18597301 |
|  Amgen, Inc.<sup>(b)</sup>  | 340283 |  | 89371927 |
|  Biogen, Inc.<sup>(a)</sup>  | 91517 |  | 25342888 |
|  BioMarin Pharmaceutical, Inc.<sup>(a)</sup>  | 117478 |  | 12157798 |
|  Exact Sciences Corp.<sup>(a)(b)</sup>  | 111297 |  | 5510314 |
|  Exelixis, Inc.<sup>(a)</sup>  | 204216 |  | 3275625 |
|  Gilead Sciences, Inc. | 799944 |  | 68675192 |
|  Horizon Therapeutics PLC<sup>(a)</sup>  | 141276 |  | 16077209 |
|  Incyte Corp.<sup>(a)(b)</sup>  | 116174 |  | 9331096 |
|  Ionis Pharmaceuticals, Inc.<sup>(a)(b)</sup>  | 91961 |  | 3473367 |
|  Mirati Therapeutics, Inc.<sup>(a)</sup>  | 27852 |  | 1261974 |
|  Moderna, Inc.<sup>(a)</sup>  | 211430 |  | 37977057 |
|  Natera, Inc.<sup>(a)</sup>  | 59508 |  | 2390436 |
|  Neurocrine Biosciences, Inc.<sup>(a)</sup>  | 61036 |  | 7290140 |
|  Novavax, Inc.<sup>(a)(b)</sup>  | 47455 |  | 487837 |

---

20 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Large Cap Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** |
|  Regeneron Pharmaceuticals, Inc.<sup>(a)</sup>  | 66050 | $| 47654415 |
|  Sarepta Therapeutics, Inc.<sup>(a)</sup>  | 53779 |  | 6968683 |
|  Seagen, Inc.<sup>(a)</sup>  | 86833 |  | 11158909 |
|  Ultragenyx Pharmaceutical, Inc.<sup>(a)</sup>  | 41399 |  | 1918016 |
|  United Therapeutics Corp.<sup>(a)</sup>  | 27969 |  | 7777899 |
|  Vertex Pharmaceuticals, Inc.<sup>(a)</sup>  | 162945 |  | 47055257 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;605769511 |
| **Building Products — 0.6%** | **Building Products — 0.6%** | **Building Products — 0.6%** | **Building Products — 0.6%** |
|  A O Smith Corp.<sup>(b)</sup>  | 78723 |  | 4506105 |
|  Advanced Drainage Systems, Inc.<sup>(b)</sup>  | 41550 |  | 3405853 |
|  Allegion PLC | 55921 |  | 5886244 |
|  Armstrong World Industries, Inc.<sup>(b)</sup>  | 29048 |  | 1992402 |
|  AZEK Co., Inc.<sup>(a)(b)</sup>  | 73449 |  | 1492484 |
|  Builders FirstSource, Inc.<sup>(a)</sup>  | 97142 |  | 6302573 |
|  Carlisle Cos., Inc. | 32798 |  | 7728849 |
|  Carrier Global Corp. | 533581 |  | 22010216 |
|  Fortune Brands Innovations, Inc. | 80535 |  | 4599354 |
|  Hayward Holdings, Inc.<sup>(a)(b)</sup>  | 49363 |  | 464012 |
|  Johnson Controls International PLC | 438616 |  | 28071424 |
|  Lennox International, Inc.<sup>(b)</sup>  | 20476 |  | 4898473 |
|  Masco Corp.<sup>(b)</sup>  | 145516 |  | 6791232 |
|  Masterbrand, Inc. | 80535 |  | 608039 |
|  Owens Corning | 59632 |  | 5086610 |
|  Trane Technologies PLC | 146554 |  | 24634262 |
|  Trex Co., Inc.<sup>(a)</sup>  | 71197 |  | 3013769 |
|  |  |  | 131491901 |
| **Capital Markets — 3.3%** | **Capital Markets — 3.3%** | **Capital Markets — 3.3%** | **Capital Markets — 3.3%** |
|  Affiliated Managers Group, Inc. | 24285 |  | 3847473 |
|  Ameriprise Financial, Inc.<sup>(b)</sup>  | 67357 |  | 20972949 |
|  Ares Management Corp., Class A<sup>(b)</sup>  | 97667 |  | 6684329 |
|  Bank of New York Mellon Corp. | 467710 |  | 21290159 |
|  BlackRock, Inc.<sup>(b)(c)</sup>  | 95621 |  | 67759909 |
|  Blackstone, Inc., Class A<sup>(b)</sup>  | 445976 |  | 33086959 |
|  Blue Owl Capital, Inc.<sup>(b)</sup>  | 260780 |  | 2764268 |
|  Carlyle Group, Inc. | 131495 |  | 3923811 |
|  Cboe Global Markets, Inc. | 67393 |  | 8455800 |
|  Charles Schwab Corp. | 968600 |  | 80645636 |
|  CME Group, Inc., Class A<sup>(b)</sup>  | 228519 |  | 38427755 |
|  Coinbase Global, Inc., Class A<sup>(a)(b)</sup>  | 103157 |  | 3650726 |
|  Evercore, Inc., Class A<sup>(b)</sup>  | 23211 |  | 2531856 |
|  FactSet Research Systems, Inc. | 24160 |  | 9693234 |
|  Franklin Resources, Inc.<sup>(b)</sup>  | 179956 |  | 4747239 |
|  Goldman Sachs Group, Inc.<sup>(b)</sup>  | 209009 |  | 71769510 |
|  Interactive Brokers Group, Inc., Class A | 58617 |  | 4240940 |
|  Intercontinental Exchange, Inc.<sup>(b)</sup>  | 351597 |  | 36070336 |
|  Invesco Ltd.<sup>(b)</sup>  | 234154 |  | 4212430 |
|  Janus Henderson Group PLC<sup>(b)</sup>  | 91651 |  | 2155632 |
|  Jefferies Financial Group, Inc.<sup>(b)</sup>  | 127737 |  | 4378824 |
|  KKR & Co., Inc.<sup>(b)</sup>  | 364149 |  | 16903797 |
|  Lazard Ltd., Class A | 58799 |  | 2038561 |
|  LPL Financial Holdings, Inc. | 50776 |  | 10976248 |
|  MarketAxess Holdings, Inc. | 23786 |  | 6633678 |
|  Moody's Corp. | 101820 |  | 28369088 |
|  Morgan Stanley | 785629 |  | 66794178 |
|  Morningstar, Inc. | 15774 |  | 3416491 |
|  MSCI, Inc. | 49565 |  | 23056151 |
|  Nasdaq, Inc. | 218892 |  | 13429024 |
|  Northern Trust Corp. | 130856 |  | 11579447 |
|  Raymond James Financial, Inc.<sup>(b)</sup>  | 123930 |  | 13241921 |
|  Robinhood Markets, Inc., Class A<sup>(a)(b)</sup>  | 353120 |  | 2874397 |
|  S&P Global, Inc. | 207462 |  | 69487322 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Capital Markets (continued)** | **Capital Markets (continued)** | **Capital Markets (continued)** | **Capital Markets (continued)** |
|  SEI Investments Co. | 64320 | $| 3749856 |
|  State Street Corp. | 233587 |  | 18119344 |
|  Stifel Financial Corp. | 65542 |  | 3825687 |
|  T Rowe Price Group, Inc.<sup>(b)</sup>  | 140119 |  | 15281378 |
|  Tradeweb Markets, Inc., Class A | 68400 |  | 4441212 |
|  Virtu Financial, Inc., Class A<sup>(b)</sup>  | 63979 |  | 1305811 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;746833366 |
| **Chemicals — 1.8%** | **Chemicals — 1.8%** | **Chemicals — 1.8%** | **Chemicals — 1.8%** |
|  Air Products & Chemicals, Inc. | 141074 |  | 43487471 |
|  Albemarle Corp.<sup>(b)</sup>  | 74515 |  | 16159323 |
|  Ashland, Inc. | 31404 |  | 3376872 |
|  Axalta Coating Systems Ltd.<sup>(a)(b)</sup>  | 142347 |  | 3625578 |
|  Celanese Corp. | 69512 |  | 7106907 |
|  CF Industries Holdings, Inc. | 125208 |  | 10667722 |
|  Chemours Co.<sup>(b)</sup>  | 94960 |  | 2907675 |
|  Corteva, Inc.<sup>(b)</sup>  | 455523 |  | 26775642 |
|  Dow, Inc.<sup>(b)</sup>  | 447844 |  | 22566859 |
|  DuPont de Nemours, Inc.<sup>(b)</sup>  | 319308 |  | 21914108 |
|  Eastman Chemical Co.<sup>(b)</sup>  | 76332 |  | 6216478 |
|  Ecolab, Inc. | 158000 |  | 22998480 |
|  Element Solutions, Inc.<sup>(b)</sup>  | 141355 |  | 2571247 |
|  FMC Corp.<sup>(b)</sup>  | 80181 |  | 10006589 |
|  Ginkgo Bioworks Holdings, Inc.<sup>(a)(b)</sup>  | 488771 |  | 826023 |
|  Huntsman Corp.<sup>(b)</sup>  | 115727 |  | 3180178 |
|  International Flavors & Fragrances, Inc. | 162263 |  | 17011653 |
|  Linde PLC<sup>(a)(b)</sup>  | 314846 |  | 102696468 |
|  LyondellBasell Industries NV, Class A<sup>(b)</sup>  | 163610 |  | 13584538 |
|  Mosaic Co. | 213427 |  | 9363043 |
|  NewMarket Corp.<sup>(b)</sup>  | 3942 |  | 1226396 |
|  Olin Corp. | 83830 |  | 4437960 |
|  PPG Industries, Inc.<sup>(b)</sup>  | 150034 |  | 18865275 |
|  RPM International, Inc.<sup>(b)</sup>  | 81236 |  | 7916448 |
|  Scotts Miracle-Gro Co.<sup>(b)</sup>  | 24210 |  | 1176364 |
|  Sherwin-Williams Co. | 152372 |  | 36162447 |
|  Valvoline, Inc. | 111697 |  | 3646907 |
|  Westlake Corp.<sup>(b)</sup>  | 19889 |  | 2039418 |
|  |  |  | 422514069 |
| **Commercial Services & Supplies — 0.5%** | **Commercial Services & Supplies — 0.5%** | **Commercial Services & Supplies — 0.5%** | **Commercial Services & Supplies — 0.5%** |
|  Cintas Corp. | 55120 |  | 24893294 |
|  Clean Harbors, Inc.<sup>(a)</sup>  | 32279 |  | 3683680 |
|  Copart, Inc.<sup>(a)</sup>  | 271380 |  | 16524328 |
|  Driven Brands Holdings, Inc.<sup>(a)(b)</sup>  | 39934 |  | 1090598 |
|  IAA, Inc.<sup>(a)</sup>  | 87623 |  | 3504920 |
|  MSA Safety, Inc. | 23646 |  | 3409517 |
|  Republic Services, Inc. | 131304 |  | 16936903 |
|  Rollins, Inc.<sup>(b)</sup>  | 146186 |  | 5341636 |
|  Stericycle, Inc.<sup>(a)</sup>  | 56298 |  | 2808707 |
|  Tetra Tech, Inc. | 33383 |  | 4846878 |
|  Waste Management, Inc. | 261381 |  | 41005451 |
|  |  |  | 124045912 |
| **Communications Equipment — 0.8%** | **Communications Equipment — 0.8%** | **Communications Equipment — 0.8%** | **Communications Equipment — 0.8%** |
|  Arista Networks, Inc.<sup>(a)</sup>  | 156669 |  | 19011783 |
|  Ciena Corp.<sup>(a)(b)</sup>  | 94864 |  | 4836167 |
|  Cisco Systems, Inc. | 2618860 |  | 124762490 |
|  F5, Inc.<sup>(a)</sup>  | 38627 |  | 5543361 |
|  Juniper Networks, Inc. | 201573 |  | 6442273 |
|  Lumentum Holdings, Inc.<sup>(a)(b)</sup>  | 42539 |  | 2219260 |
|  Motorola Solutions, Inc. | 104838 |  | 27017801 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 21

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Large Cap Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Communications Equipment (continued)** |  |  |  |
|  Ubiquiti, Inc.<sup>(b)</sup>  | 3518 | $| 962278 |
|  Viasat, Inc.<sup>(a)(b)</sup>  | 43227 |  | 1368135 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;192163548 |
| **Construction & Engineering — 0.2%** | **Construction & Engineering — 0.2%** | **Construction & Engineering — 0.2%** | **Construction & Engineering — 0.2%** |
|  AECOM | 84734 |  | 7196459 |
|  MasTec, Inc.<sup>(a)</sup>  | 38153 |  | 3255596 |
|  MDU Resources Group, Inc.<sup>(b)</sup>  | 127150 |  | 3857731 |
|  Quanta Services, Inc.<sup>(b)</sup>  | 90586 |  | 12908505 |
|  Valmont Industries, Inc.<sup>(b)</sup>  | 13372 |  | 4421719 |
|  WillScot Mobile Mini Holdings Corp.<sup>(a)</sup>  | 129279 |  | 5839532 |
|  |  |  | 37479542 |
| **Construction Materials — 0.1%** | **Construction Materials — 0.1%** | **Construction Materials — 0.1%** | **Construction Materials — 0.1%** |
|  Eagle Materials, Inc.<sup>(b)</sup>  | 22894 |  | 3041468 |
|  Martin Marietta Materials, Inc.<sup>(b)</sup>  | 39593 |  | 13381246 |
|  Vulcan Materials Co. | 84287 |  | 14759497 |
|  |  |  | 31182211 |
| **Consumer Finance — 0.5%** | **Consumer Finance — 0.5%** | **Consumer Finance — 0.5%** | **Consumer Finance — 0.5%** |
|  Ally Financial, Inc. | 195847 |  | 4788459 |
|  American Express Co. | 383652 |  | 56684583 |
|  Capital One Financial Corp.<sup>(b)</sup>  | 242478 |  | 22540755 |
|  Credit Acceptance Corp.<sup>(a)(b)</sup>  | 4131 |  | 1959746 |
|  Discover Financial Services | 173730 |  | 16996006 |
|  OneMain Holdings, Inc.<sup>(b)</sup>  | 72148 |  | 2403250 |
|  SLM Corp. | 155536 |  | 2581898 |
|  SoFi Technologies, Inc.<sup>(a)(b)</sup>  | 524429 |  | 2417618 |
|  Synchrony Financial | 297970 |  | 9791294 |
|  Upstart Holdings, Inc.<sup>(a)(b)</sup>  | 43707 |  | 577806 |
|  |  |  | 120741415 |
| **Containers & Packaging — 0.4%** | **Containers & Packaging — 0.4%** | **Containers & Packaging — 0.4%** | **Containers & Packaging — 0.4%** |
|  Amcor PLC | 954896 |  | 11372811 |
|  AptarGroup, Inc.<sup>(b)</sup>  | 42450 |  | 4668651 |
|  Ardagh Metal Packaging SA<sup>(b)</sup>  | 97793 |  | 470384 |
|  Avery Dennison Corp. | 51006 |  | 9232086 |
|  Ball Corp.<sup>(b)</sup>  | 196325 |  | 10040061 |
|  Berry Global Group, Inc. | 81151 |  | 4903955 |
|  Crown Holdings, Inc. | 73181 |  | 6016210 |
|  Graphic Packaging Holding Co. | 192965 |  | 4293471 |
|  International Paper Co. | 225122 |  | 7795975 |
|  Packaging Corp. of America<sup>(b)</sup>  | 58261 |  | 7452165 |
|  Sealed Air Corp | 93752 |  | 4676350 |
|  Silgan Holdings, Inc. | 53550 |  | 2776032 |
|  Sonoco Products Co. | 61423 |  | 3728990 |
|  Westrock Co. | 163771 |  | 5758188 |
|  |  |  | 83185329 |
| **Distributors — 0.1%** | **Distributors — 0.1%** | **Distributors — 0.1%** | **Distributors — 0.1%** |
|  Genuine Parts Co.<sup>(b)</sup>  | 88389 |  | 15336376 |
|  LKQ Corp. | 160132 |  | 8552650 |
|  Pool Corp. | 24322 |  | 7353270 |
|  |  |  | 31242296 |
| **Diversified Consumer Services — 0.1%** | **Diversified Consumer Services — 0.1%** | **Diversified Consumer Services — 0.1%** | **Diversified Consumer Services — 0.1%** |
|  ADT, Inc.<sup>(b)</sup>  | 133480 |  | 1210663 |
|  Bright Horizons Family Solutions, Inc.<sup>(a)</sup>  | 36928 |  | 2330157 |
|  Grand Canyon Education, Inc.<sup>(a)</sup>  | 18942 |  | 2001412 |
|  H&R Block, Inc.<sup>(b)</sup>  | 99175 |  | 3620879 |
|  Mister Car Wash, Inc.<sup>(a)(b)</sup>  | 52555 |  | 485083 |
|  Service Corp. International | 95680 |  | 6615315 |
|  |  |  | 16263509 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Diversified Financial Services — 1.7%** | **Diversified Financial Services — 1.7%** | **Diversified Financial Services — 1.7%** |
|  Apollo Global Management, Inc.<sup>(b)</sup>  | 307881 | $19639729 |
|  Berkshire Hathaway, Inc., Class B<sup>(a)</sup>  | 1149704 | 355143566 |
|  Equitable Holdings, Inc.<sup>(b)</sup>  | 236735 | 6794294 |
|  Voya Financial, Inc. | 62689 | 3854747 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;385432336 |
| **Diversified Telecommunication Services — 0.9%** | **Diversified Telecommunication Services — 0.9%** | **Diversified Telecommunication Services — 0.9%** |
|  AT&T, Inc. | 4562611 | 83997669 |
|  Frontier Communications Parent, Inc.<sup>(a)</sup>  | 154336 | 3932481 |
|  Lumen Technologies, Inc.<sup>(b)</sup>  | 666132 | 3477209 |
|  Verizon Communications, Inc.<sup>(b)</sup>  | 2678433 | 105530260 |
|  |  | 196937619 |
| **Electric Utilities — 1.9%** | **Electric Utilities — 1.9%** | **Electric Utilities — 1.9%** |
|  Alliant Energy Corp.<sup>(b)</sup>  | 159667 | 8815215 |
|  American Electric Power Co., Inc. | 327546 | 31100493 |
|  Avangrid, Inc.<sup>(b)</sup>  | 47390 | 2036822 |
|  Constellation Energy Corp. | 207918 | 17924611 |
|  Duke Energy Corp. | 490636 | 50530602 |
|  Edison International | 239388 | 15229865 |
|  Entergy Corp. | 129250 | 14540625 |
|  Evergy, Inc. | 139819 | 8798810 |
|  Eversource Energy<sup>(b)</sup>  | 219422 | 18396340 |
|  Exelon Corp.<sup>(b)</sup>  | 632500 | 27342975 |
|  FirstEnergy Corp. | 345741 | 14500378 |
|  Hawaiian Electric Industries, Inc.<sup>(b)</sup>  | 68358 | 2860782 |
|  IDACORP, Inc.<sup>(b)</sup>  | 33008 | 3559913 |
|  NextEra Energy, Inc. | 1265572 | 105801819 |
|  NRG Energy, Inc. | 145645 | 4634424 |
|  OGE Energy Corp.<sup>(b)</sup>  | 124553 | 4926071 |
|  PG&E Corp.<sup>(a)(b)</sup>  | 1048269 | 17044854 |
|  Pinnacle West Capital Corp. | 71431 | 5431613 |
|  PPL Corp. | 470239 | 13740384 |
|  Southern Co. | 692906 | 49480417 |
|  Xcel Energy, Inc. | 347257 | 24346188 |
|  |  | 441043201 |
| **Electrical Equipment — 0.7%** | **Electrical Equipment — 0.7%** | **Electrical Equipment — 0.7%** |
|  Acuity Brands, Inc. | 20333 | 3367348 |
|  AMETEK, Inc. | 146704 | 20497483 |
|  ChargePoint Holdings, Inc.<sup>(a)(b)</sup>  | 151472 | 1443528 |
|  Eaton Corp. PLC | 254326 | 39916466 |
|  Emerson Electric Co.<sup>(b)</sup>  | 376208 | 36138541 |
|  Generac Holdings, Inc.<sup>(a)(b)</sup>  | 40355 | 4062134 |
|  Hubbell, Inc.<sup>(b)</sup>  | 33646 | 7896043 |
|  nVent Electric PLC | 103937 | 3998456 |
|  Plug Power, Inc.<sup>(a)(b)</sup>  | 320747 | 3967640 |
|  Regal Rexnord Corp.<sup>(b)</sup>  | 41588 | 4989728 |
|  Rockwell Automation, Inc.<sup>(b)</sup>  | 72596 | 18698552 |
|  Sensata Technologies Holding PLC | 96324 | 3889563 |
|  Sunrun, Inc.<sup>(a)(b)</sup>  | 127920 | 3072639 |
|  Vertiv Holdings Co. | 188674 | 2577287 |
|  |  | 154515408 |
| **Electronic Equipment, Instruments & Components — 0.6%** | **Electronic Equipment, Instruments & Components — 0.6%** | **Electronic Equipment, Instruments & Components — 0.6%** |
|  Amphenol Corp., Class A | 372900 | 28392606 |
|  Arrow Electronics, Inc.<sup>(a)</sup>  | 40101 | 4193362 |
|  Avnet, Inc.<sup>(b)</sup>  | 57336 | 2384031 |
|  CDW Corp. | 86079 | 15371988 |
|  Cognex Corp. | 110658 | 5213098 |
|  Coherent Corp.<sup>(a)(b)</sup>  | 76051 | 2669390 |
|  Corning, Inc. | 480733 | 15354612 |
|  IPG Photonics Corp.<sup>(a)</sup>  | 21582 | 2043168 |
|  Jabil, Inc.<sup>(b)</sup>  | 83875 | 5720275 |

---

22 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Large Cap Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** |
|  Keysight Technologies, Inc.<sup>(a)</sup>  | 114111 | $| 19520969 |
|  Littelfuse, Inc. | 15530 |  | 3419706 |
|  National Instruments Corp. | 84959 |  | 3134987 |
|  TD SYNNEX Corp.<sup>(b)</sup>  | 27919 |  | 2644208 |
|  Teledyne Technologies, Inc.<sup>(a)</sup>  | 29481 |  | 11789747 |
|  Trimble, Inc.<sup>(a)</sup>  | 155668 |  | 7870574 |
|  Vontier Corp. | 100593 |  | 1944463 |
|  Zebra Technologies Corp., Class A<sup>(a)</sup>  | 32896 |  | 8434863 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140102047 |
| **Energy Equipment & Services — 0.4%** | **Energy Equipment & Services — 0.4%** | **Energy Equipment & Services — 0.4%** | **Energy Equipment & Services — 0.4%** |
|  Baker Hughes Co. | 594847 |  | 17565832 |
|  Halliburton Co. | 572063 |  | 22510679 |
|  NOV, Inc.<sup>(b)</sup>  | 247532 |  | 5170943 |
|  Schlumberger Ltd. | 900012 |  | 48114642 |
|  |  |  | 93362096 |
| **Entertainment — 1.3%** | **Entertainment — 1.3%** | **Entertainment — 1.3%** | **Entertainment — 1.3%** |
|  Activision Blizzard, Inc. | 494876 |  | 37882758 |
|  AMC Entertainment Holdings, Inc., Class A<sup>(a)(b)</sup>  | 317303 |  | 1291423 |
|  Electronic Arts, Inc. | 176451 |  | 21558783 |
|  Liberty Media Corp.-Liberty Formula One, Class A<sup>(a)(b)</sup>  | 14208 |  | 759133 |
|  Liberty Media Corp.-Liberty Formula One, Class C<sup>(a)</sup>  | 127734 |  | 7635939 |
|  Live Nation Entertainment, Inc.<sup>(a)</sup>  | 99268 |  | 6922950 |
|  Madison Square Garden Sports Corp.<sup>(b)</sup>  | 12427 |  | 2278242 |
|  Netflix, Inc.<sup>(a)</sup>  | 278968 |  | 82262084 |
|  Playtika Holding Corp.<sup>(a)</sup>  | 56255 |  | 478730 |
|  ROBLOX Corp., Class A<sup>(a)(b)</sup>  | 284820 |  | 8105977 |
|  Roku, Inc.<sup>(a)(b)</sup>  | 79615 |  | 3240331 |
|  Spotify Technology SA<sup>(a)</sup>  | 87785 |  | 6930626 |
|  Take-Two Interactive Software, Inc.<sup>(a)</sup>  | 103994 |  | 10828895 |
|  Walt Disney Co.<sup>(a)</sup>  | 1161130 |  | 100878974 |
|  Warner Bros Discovery, Inc., Class A<sup>(a)</sup>  | 1501995 |  | 14238913 |
|  World Wrestling Entertainment, Inc., Class A<sup>(b)</sup>  | 27763 |  | 1902321 |
|  |  |  | 307196079 |
| **Equity Real Estate Investment Trusts (REITs) — 3.0%** | **Equity Real Estate Investment Trusts (REITs) — 3.0%** | **Equity Real Estate Investment Trusts (REITs) — 3.0%** | **Equity Real Estate Investment Trusts (REITs) — 3.0%** |
|  Alexandria Real Estate Equities, Inc.<sup>(b)</sup>  | 103136 |  | 15023821 |
|  American Homes 4 Rent, Class A | 196426 |  | 5920280 |
|  American Tower Corp. | 295668 |  | 62640222 |
|  Americold Realty Trust, Inc.<sup>(b)</sup>  | 173301 |  | 4906151 |
|  Apartment Income REIT Corp. | 97015 |  | 3328585 |
|  AvalonBay Communities, Inc. | 88927 |  | 14363489 |
|  Boston Properties, Inc.<sup>(b)</sup>  | 99763 |  | 6741984 |
|  Brixmor Property Group, Inc. | 188583 |  | 4275177 |
|  Camden Property Trust | 65989 |  | 7382849 |
|  Cousins Properties, Inc.<sup>(b)</sup>  | 97224 |  | 2458795 |
|  Crown Castle, Inc. | 274931 |  | 37291641 |
|  CubeSmart<sup>(b)</sup>  | 142585 |  | 5739046 |
|  Digital Realty Trust, Inc.<sup>(b)</sup>  | 182663 |  | 18315619 |
|  Douglas Emmett, Inc.<sup>(b)</sup>  | 103140 |  | 1617235 |
|  EastGroup Properties, Inc.<sup>(b)</sup>  | 26008 |  | 3850744 |
|  EPR Properties<sup>(b)</sup>  | 44529 |  | 1679634 |
|  Equinix, Inc. | 58846 |  | 38545895 |
|  Equity LifeStyle Properties, Inc.<sup>(b)</sup>  | 113764 |  | 7349154 |
|  Equity Residential | 235800 |  | 13912200 |
|  Essex Property Trust, Inc. | 41373 |  | 8767766 |
|  Extra Space Storage, Inc. | 84354 |  | 12415222 |
|  Federal Realty Investment Trust<sup>(b)</sup>  | 50044 |  | 5056446 |
|  First Industrial Realty Trust, Inc.<sup>(b)</sup>  | 82697 |  | 3990957 |
|  Gaming & Leisure Properties, Inc. | 156776 |  | 8166462 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** |
|  Healthcare Realty Trust, Inc. | 242509 | $| 4673148 |
|  Healthpeak Properties, Inc. | 346607 |  | 8689437 |
|  Highwoods Properties, Inc.<sup>(b)</sup>  | 69806 |  | 1953172 |
|  Host Hotels & Resorts, Inc.<sup>(b)</sup>  | 450918 |  | 7237234 |
|  Hudson Pacific Properties, Inc. | 80397 |  | 782263 |
|  Invitation Homes, Inc. | 388508 |  | 11515377 |
|  Iron Mountain, Inc.<sup>(b)</sup>  | 184686 |  | 9206597 |
|  JBG SMITH Properties<sup>(b)</sup>  | 71975 |  | 1366086 |
|  Kilroy Realty Corp. | 72044 |  | 2785941 |
|  Kimco Realty Corp. | 384474 |  | 8143159 |
|  Lamar Advertising Co., Class A | 54664 |  | 5160282 |
|  Life Storage, Inc. | 52997 |  | 5220205 |
|  Medical Properties Trust, Inc.<sup>(b)</sup>  | 369205 |  | 4112944 |
|  Mid-America Apartment Communities, Inc.<sup>(b)</sup>  | 73441 |  | 11529503 |
|  National Retail Properties, Inc. | 113461 |  | 5191975 |
|  National Storage Affiliates Trust | 56789 |  | 2051219 |
|  Omega Healthcare Investors, Inc.<sup>(b)</sup>  | 148074 |  | 4138668 |
|  Park Hotels & Resorts, Inc. | 137590 |  | 1622186 |
|  Prologis, Inc. | 586611 |  | 66128658 |
|  Public Storage | 99559 |  | 27895436 |
|  Rayonier, Inc.<sup>(b)</sup>  | 92756 |  | 3057238 |
|  Realty Income Corp. | 399603 |  | 25346818 |
|  Regency Centers Corp. | 107296 |  | 6706000 |
|  Rexford Industrial Realty, Inc.<sup>(b)</sup>  | 114836 |  | 6274639 |
|  SBA Communications Corp. | 67899 |  | 19032769 |
|  Simon Property Group, Inc. | 207699 |  | 24400479 |
|  SL Green Realty Corp.<sup>(b)</sup>  | 40600 |  | 1369032 |
|  Spirit Realty Capital, Inc. | 88573 |  | 3536720 |
|  STORE Capital Corp. | 159568 |  | 5115750 |
|  Sun Communities, Inc.<sup>(b)</sup>  | 77480 |  | 11079640 |
|  UDR, Inc. | 206845 |  | 8011107 |
|  Ventas, Inc.<sup>(b)</sup>  | 254170 |  | 11450359 |
|  VICI Properties, Inc.<sup>(b)</sup>  | 612455 |  | 19843542 |
|  Vornado Realty Trust<sup>(b)</sup>  | 108810 |  | 2264336 |
|  Welltower, Inc.<sup>(b)</sup>  | 301204 |  | 19743922 |
|  Weyerhaeuser Co.<sup>(b)</sup>  | 468505 |  | 14523655 |
|  WP Carey, Inc.<sup>(b)</sup>  | 131806 |  | 10300639 |
|  |  |  | 675199509 |
| **Food & Staples Retailing — 1.5%** | **Food & Staples Retailing — 1.5%** | **Food & Staples Retailing — 1.5%** | **Food & Staples Retailing — 1.5%** |
|  Albertsons Cos., Inc., Class A<sup>(b)</sup>  | 104152 |  | 2160112 |
|  BJ's Wholesale Club Holdings, Inc.<sup>(a)</sup>  | 86409 |  | 5716819 |
|  Casey's General Stores, Inc. | 24049 |  | 5395393 |
|  Costco Wholesale Corp. | 282144 |  | 128798736 |
|  Grocery Outlet Holding Corp.<sup>(a)(b)</sup>  | 55202 |  | 1611346 |
|  Kroger Co. | 417509 |  | 18612551 |
|  Performance Food Group Co.<sup>(a)</sup>  | 98740 |  | 5765429 |
|  Sysco Corp. | 323478 |  | 24729893 |
|  U.S. Foods Holding Corp.<sup>(a)</sup>  | 128728 |  | 4379327 |
|  Walgreens Boots Alliance, Inc.<sup>(b)</sup>  | 456832 |  | 17067244 |
|  Walmart, Inc. | 905801 |  | 128433524 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;342670374 |
| **Food Products — 1.2%** | **Food Products — 1.2%** | **Food Products — 1.2%** | **Food Products — 1.2%** |
|  Archer-Daniels-Midland Co. | 348111 |  | 32322106 |
|  Bunge Ltd. | 86521 |  | 8632200 |
|  Campbell Soup Co.<sup>(b)</sup>  | 123398 |  | 7002837 |
|  Conagra Brands, Inc. | 299669 |  | 11597190 |
|  Darling Ingredients, Inc.<sup>(a)</sup>  | 100221 |  | 6272832 |
|  Flowers Foods, Inc.<sup>(b)</sup>  | 118910 |  | 3417473 |
|  Freshpet, Inc.<sup>(a)(b)</sup>  | 27660 |  | 1459618 |
|  General Mills, Inc.<sup>(b)</sup>  | 379522 |  | 31822920 |
|  Hershey Co. | 92935 |  | 21520958 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 23

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Large Cap Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Food Products (continued)** | **Food Products (continued)** | **Food Products (continued)** | **Food Products (continued)** |
|  Hormel Foods Corp. | 182730 | $| 8323352 |
|  Ingredion, Inc.<sup>(b)</sup>  | 42761 |  | 4187585 |
|  J M Smucker Co. | 65621 |  | 10398304 |
|  Kellogg Co.<sup>(b)</sup>  | 162315 |  | 11563321 |
|  Kraft Heinz Co. | 445019 |  | 18116723 |
|  Lamb Weston Holdings, Inc. | 91748 |  | 8198601 |
|  McCormick & Co., Inc.<sup>(b)</sup>  | 159967 |  | 13259665 |
|  Mondelez International, Inc., Class A<sup>(b)</sup>  | 868822 |  | 57906986 |
|  Pilgrim's Pride Corp.<sup>(a)</sup>  | 28135 |  | 667644 |
|  Post Holdings, Inc.<sup>(a)</sup>  | 34781 |  | 3139333 |
|  Seaboard Corp. | 134 |  | 505878 |
|  Tyson Foods, Inc., Class A | 181362 |  | 11289784 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;271605310 |
| **Gas Utilities<sup>(b)</sup> — 0.1%** | **Gas Utilities<sup>(b)</sup> — 0.1%** | **Gas Utilities<sup>(b)</sup> — 0.1%** | **Gas Utilities<sup>(b)</sup> — 0.1%** |
|  Atmos Energy Corp. | 87849 |  | 9845237 |
|  National Fuel Gas Co. | 56815 |  | 3596390 |
|  UGI Corp. | 135489 |  | 5022577 |
|  |  |  | 18464204 |
| **Health Care Equipment & Supplies — 2.7%** | **Health Care Equipment & Supplies — 2.7%** | **Health Care Equipment & Supplies — 2.7%** | **Health Care Equipment & Supplies — 2.7%** |
|  Abbott Laboratories<sup>(b)</sup>  | 1092746 |  | 119972583 |
|  Align Technology, Inc.<sup>(a)</sup>  | 49307 |  | 10398846 |
|  Baxter International, Inc. | 320533 |  | 16337567 |
|  Becton Dickinson and Co. | 180931 |  | 46010753 |
|  Boston Scientific Corp.<sup>(a)(b)</sup>  | 909221 |  | 42069656 |
|  Cooper Cos., Inc. | 30928 |  | 10226962 |
|  Dentsply Sirona, Inc.<sup>(b)</sup>  | 136224 |  | 4337372 |
|  Dexcom, Inc.<sup>(a)</sup>  | 245574 |  | 27808800 |
|  Edwards Lifesciences Corp.<sup>(a)</sup>  | 393534 |  | 29361572 |
|  Enovis Corp.<sup>(a)</sup>  | 30447 |  | 1629523 |
|  Envista Holdings Corp.<sup>(a)</sup>  | 105055 |  | 3537202 |
|  Globus Medical, Inc., Class A<sup>(a)(b)</sup>  | 47175 |  | 3503687 |
|  Hologic, Inc.<sup>(a)</sup>  | 156599 |  | 11715171 |
|  ICU Medical, Inc.<sup>(a)(b)</sup>  | 12997 |  | 2046768 |
|  IDEXX Laboratories, Inc.<sup>(a)</sup>  | 51972 |  | 21202497 |
|  Insulet Corp.<sup>(a)(b)</sup>  | 43824 |  | 12901347 |
|  Integra LifeSciences Holdings Corp.<sup>(a)(b)</sup>  | 47284 |  | 2651214 |
|  Intuitive Surgical, Inc.<sup>(a)</sup>  | 224487 |  | 59567626 |
|  Masimo Corp.<sup>(a)</sup>  | 30260 |  | 4476967 |
|  Medtronic PLC | 851748 |  | 66197855 |
|  Novocure Ltd.<sup>(a)(b)</sup>  | 67214 |  | 4930147 |
|  Penumbra, Inc.<sup>(a)(b)</sup>  | 22299 |  | 4960636 |
|  QuidelOrtho Corp.<sup>(a)(b)</sup>  | 32212 |  | 2759602 |
|  ResMed, Inc. | 91990 |  | 19145879 |
|  STERIS PLC<sup>(b)</sup>  | 63531 |  | 11733540 |
|  Stryker Corp.<sup>(b)</sup>  | 223882 |  | 54736910 |
|  Tandem Diabetes Care, Inc.<sup>(a)</sup>  | 40218 |  | 1807799 |
|  Teleflex, Inc.<sup>(b)</sup>  | 29867 |  | 7455699 |
|  Zimmer Biomet Holdings, Inc. | 133572 |  | 17030430 |
|  |  |  | 620514610 |
| **Health Care Providers & Services — 3.4%** | **Health Care Providers & Services — 3.4%** | **Health Care Providers & Services — 3.4%** | **Health Care Providers & Services — 3.4%** |
|  Acadia Healthcare Co., Inc.<sup>(a)</sup>  | 56585 |  | 4658077 |
|  Agilon Health, Inc.<sup>(a)(b)</sup>  | 126675 |  | 2044534 |
|  Amedisys, Inc.<sup>(a)</sup>  | 19446 |  | 1624519 |
|  AmerisourceBergen Corp. | 98804 |  | 16372811 |
|  Cardinal Health, Inc. | 168857 |  | 12980038 |
|  Centene Corp.<sup>(a)</sup>  | 362040 |  | 29690900 |
|  Chemed Corp. | 9411 |  | 4803657 |
|  Cigna Corp. | 190742 |  | 63200454 |
|  CVS Health Corp. | 835341 |  | 77845428 |
|  DaVita, Inc.<sup>(a)</sup>  | 34781 |  | 2597097 |
|  Elevance Health, Inc. | 153612 |  | 78798348 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** |
|  Encompass Health Corp.<sup>(b)</sup>  | 62261 | $| 3723830 |
|  Enhabit, Inc.<sup>(a)</sup>  | 29130 |  | 383351 |
|  Guardant Health, Inc.<sup>(a)(b)</sup>  | 61875 |  | 1683000 |
|  HCA Healthcare, Inc.<sup>(b)</sup>  | 137475 |  | 32988501 |
|  Henry Schein, Inc.<sup>(a)</sup>  | 87165 |  | 6961869 |
|  Humana, Inc. | 80548 |  | 41255880 |
|  Laboratory Corp. of America Holdings | 55720 |  | 13120946 |
|  McKesson Corp. | 90141 |  | 33813692 |
|  Molina Healthcare, Inc.<sup>(a)</sup>  | 36464 |  | 12041142 |
|  Oak Street Health, Inc.<sup>(a)(b)</sup>  | 69380 |  | 1492364 |
|  Premier, Inc., Class A<sup>(b)</sup>  | 73783 |  | 2580929 |
|  Quest Diagnostics, Inc.<sup>(b)</sup>  | 72850 |  | 11396654 |
|  Signify Health, Inc., Class A<sup>(a)</sup>  | 50611 |  | 1450511 |
|  Tenet Healthcare Corp.<sup>(a)</sup>  | 67394 |  | 3288153 |
|  UnitedHealth Group, Inc. | 596077 |  | 316028104 |
|  Universal Health Services, Inc., Class B<sup>(b)</sup>  | 40255 |  | 5671527 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;782496316 |
| **Health Care Technology<sup>(a)</sup> — 0.1%** | **Health Care Technology<sup>(a)</sup> — 0.1%** | **Health Care Technology<sup>(a)</sup> — 0.1%** | **Health Care Technology<sup>(a)</sup> — 0.1%** |
|  Certara, Inc.<sup>(b)</sup>  | 72883 |  | 1171230 |
|  Definitive Healthcare Corp.<sup>(b)</sup>  | 20194 |  | 221932 |
|  Doximity, Inc., Class A<sup>(b)</sup>  | 72647 |  | 2438033 |
|  Teladoc Health, Inc.<sup>(b)</sup>  | 100937 |  | 2387160 |
|  Veeva Systems, Inc., Class A | 88716 |  | 14316988 |
|  |  |  | 20535343 |
| **Hotels, Restaurants & Leisure — 2.1%** | **Hotels, Restaurants & Leisure — 2.1%** | **Hotels, Restaurants & Leisure — 2.1%** | **Hotels, Restaurants & Leisure — 2.1%** |
|  Airbnb, Inc., Class A<sup>(a)</sup>  | 243341 |  | 20805656 |
|  Aramark | 145858 |  | 6029770 |
|  Booking Holdings, Inc.<sup>(a)</sup>  | 24667 |  | 49710912 |
|  Boyd Gaming Corp. | 47793 |  | 2606152 |
|  Caesars Entertainment, Inc.<sup>(a)</sup>  | 131716 |  | 5479386 |
|  Carnival Corp.<sup>(a)(b)</sup>  | 620997 |  | 5005236 |
|  Chipotle Mexican Grill, Inc.<sup>(a)</sup>  | 17716 |  | 24580773 |
|  Choice Hotels International, Inc.<sup>(b)</sup>  | 20196 |  | 2274877 |
|  Churchill Downs, Inc. | 22799 |  | 4820393 |
|  Darden Restaurants, Inc. | 77933 |  | 10780472 |
|  Domino's Pizza, Inc.<sup>(b)</sup>  | 22570 |  | 7818248 |
|  DraftKings, Inc., Class A<sup>(a)(b)</sup>  | 221275 |  | 2520322 |
|  Expedia Group, Inc.<sup>(a)</sup>  | 97247 |  | 8518837 |
|  Hilton Worldwide Holdings, Inc. | 170087 |  | 21492193 |
|  Hyatt Hotels Corp., Class A<sup>(a)</sup>  | 30663 |  | 2773468 |
|  Las Vegas Sands Corp.<sup>(a)(b)</sup>  | 211468 |  | 10165267 |
|  Marriott International, Inc., Class A | 170762 |  | 25424754 |
|  Marriott Vacations Worldwide Corp.<sup>(b)</sup>  | 23210 |  | 3123834 |
|  McDonald's Corp. | 470946 |  | 124108399 |
|  MGM Resorts International | 205942 |  | 6905235 |
|  Norwegian Cruise Line Holdings Ltd.<sup>(a)(b)</sup>  | 272185 |  | 3331544 |
|  Penn Entertainment, Inc.<sup>(a)(b)</sup>  | 95608 |  | 2839558 |
|  Planet Fitness, Inc., Class A<sup>(a)</sup>  | 54225 |  | 4272930 |
|  Royal Caribbean Cruises Ltd.<sup>(a)(b)</sup>  | 140567 |  | 6948227 |
|  Six Flags Entertainment Corp.<sup>(a)(b)</sup>  | 45434 |  | 1056341 |
|  Starbucks Corp. | 730736 |  | 72489011 |
|  Travel & Leisure Co. | 50043 |  | 1821565 |
|  Vail Resorts, Inc.<sup>(b)</sup>  | 25213 |  | 6009519 |
|  Wendy's Co. | 106639 |  | 2413241 |
|  Wyndham Hotels & Resorts, Inc.<sup>(b)</sup>  | 55385 |  | 3949504 |
|  Wynn Resorts Ltd.<sup>(a)</sup>  | 66341 |  | 5471142 |
|  Yum! Brands, Inc. | 178351 |  | 22843196 |
|  |  |  | 478389962 |
| **Household Durables — 0.4%** | **Household Durables — 0.4%** | **Household Durables — 0.4%** | **Household Durables — 0.4%** |
|  D.R. Horton, Inc. | 200959 |  | 17913485 |
|  Garmin Ltd.<sup>(b)</sup>  | 98732 |  | 9111976 |

---

24 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Large Cap Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Household Durables (continued)** | **Household Durables (continued)** | **Household Durables (continued)** | **Household Durables (continued)** |
|  Leggett & Platt, Inc.<sup>(b)</sup>  | 87296 | $| 2813550 |
|  Lennar Corp., B Shares | 10567 |  | 790200 |
|  Lennar Corp., Class A | 159654 |  | 14448687 |
|  Mohawk Industries, Inc.<sup>(a)</sup>  | 33673 |  | 3442054 |
|  Newell Brands, Inc.<sup>(b)</sup>  | 247682 |  | 3239681 |
|  NVR, Inc.<sup>(a)</sup>  | 1892 |  | 8727002 |
|  PulteGroup, Inc. | 145472 |  | 6623340 |
|  Tempur Sealy International, Inc.<sup>(b)</sup>  | 103785 |  | 3562939 |
|  Toll Brothers, Inc. | 65510 |  | 3270259 |
|  TopBuild Corp.<sup>(a)</sup>  | 19878 |  | 3110708 |
|  Whirlpool Corp.<sup>(b)</sup>  | 34369 |  | 4861839 |
|  |  |  | 81915720 |
| **Household Products — 1.4%** | **Household Products — 1.4%** | **Household Products — 1.4%** | **Household Products — 1.4%** |
|  Church & Dwight Co., Inc. | 154587 |  | 12461258 |
|  Clorox Co.<sup>(b)</sup>  | 78452 |  | 11009169 |
|  Colgate-Palmolive Co. | 527524 |  | 41563616 |
|  Kimberly-Clark Corp. | 214342 |  | 29096926 |
|  Procter & Gamble Co. | 1504277 |  | 227988222 |
|  Reynolds Consumer Products, Inc.<sup>(b)</sup>  | 33158 |  | 994077 |
|  Spectrum Brands Holdings, Inc.<sup>(b)</sup>  | 24767 |  | 1508806 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;324622074 |
| **Independent Power and Renewable Electricity Producers — 0.1%** | **Independent Power and Renewable Electricity Producers — 0.1%** | **Independent Power and Renewable Electricity Producers — 0.1%** | **Independent Power and Renewable Electricity Producers — 0.1%** |
|  AES Corp. | 424723 |  | 12215034 |
|  Brookfield Renewable Corp., Class A<sup>(b)</sup>  | 81252 |  | 2237680 |
|  Vistra Corp. | 254660 |  | 5908112 |
|  |  |  | 20360826 |
| **Industrial Conglomerates — 0.8%** | **Industrial Conglomerates — 0.8%** | **Industrial Conglomerates — 0.8%** | **Industrial Conglomerates — 0.8%** |
|  3M Co. | 352675 |  | 42292786 |
|  General Electric Co. | 697841 |  | 58472097 |
|  Honeywell International, Inc. | 429473 |  | 92036064 |
|  |  |  | 192800947 |
| **Insurance — 2.5%** | **Insurance — 2.5%** | **Insurance — 2.5%** | **Insurance — 2.5%** |
|  Aflac, Inc. | 392872 |  | 28263212 |
|  Allstate Corp.<sup>(b)</sup>  | 167955 |  | 22774698 |
|  American Financial Group, Inc. | 42828 |  | 5879428 |
|  American International Group, Inc. | 473428 |  | 29939587 |
|  Aon PLC, Class A | 130712 |  | 39231900 |
|  Arch Capital Group Ltd.<sup>(a)</sup>  | 225482 |  | 14155760 |
|  Arthur J Gallagher & Co. | 132472 |  | 24976271 |
|  Assurant, Inc. | 32851 |  | 4108346 |
|  Assured Guaranty Ltd. | 35568 |  | 2214464 |
|  Axis Capital Holdings Ltd.<sup>(b)</sup>  | 48597 |  | 2632499 |
|  Brighthouse Financial, Inc.<sup>(a)</sup>  | 43389 |  | 2224554 |
|  Brown & Brown, Inc.<sup>(b)</sup>  | 151107 |  | 8608566 |
|  Chubb Ltd. | 264827 |  | 58420836 |
|  Cincinnati Financial Corp.<sup>(b)</sup>  | 97228 |  | 9955175 |
|  CNA Financial Corp. | 18457 |  | 780362 |
|  Erie Indemnity Co., Class A<sup>(b)</sup>  | 15802 |  | 3930273 |
|  Everest Re Group Ltd. | 24771 |  | 8205889 |
|  F&G Annuities & Life, Inc.<sup>(a)</sup>  | 10871 |  | 217529 |
|  Fidelity National Financial, Inc. | 166043 |  | 6246538 |
|  First American Financial Corp.<sup>(b)</sup>  | 62339 |  | 3262823 |
|  Globe Life, Inc.<sup>(b)</sup>  | 57827 |  | 6971045 |
|  Hanover Insurance Group, Inc.<sup>(b)</sup>  | 22545 |  | 3046506 |
|  Hartford Financial Services Group, Inc. | 202001 |  | 15317736 |
|  Kemper Corp. | 42302 |  | 2081258 |
|  Lincoln National Corp. | 108242 |  | 3325194 |
|  Loews Corp. | 124804 |  | 7279817 |
|  Markel Corp.<sup>(a)</sup>  | 8504 |  | 11203935 |
|  Marsh & McLennan Cos., Inc. | 315632 |  | 52230783 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** |
|  MetLife, Inc. | 420873 | $| 30458579 |
|  Old Republic International Corp.<sup>(b)</sup>  | 176759 |  | 4268730 |
|  Primerica, Inc.<sup>(b)</sup>  | 22855 |  | 3241296 |
|  Principal Financial Group, Inc.<sup>(b)</sup>  | 153129 |  | 12850586 |
|  Progressive Corp. | 372014 |  | 48253936 |
|  Prudential Financial, Inc.<sup>(b)</sup>  | 234475 |  | 23320883 |
|  Reinsurance Group of America, Inc. | 42531 |  | 6043230 |
|  RenaissanceRe Holdings Ltd. | 27449 |  | 5056929 |
|  Ryan Specialty Holdings, Inc.<sup>(a)(b)</sup>  | 54410 |  | 2258559 |
|  Travelers Cos., Inc. | 149014 |  | 27938635 |
|  Unum Group<sup>(b)</sup>  | 128322 |  | 5265052 |
|  W R Berkley Corp. | 131051 |  | 9510371 |
|  White Mountains Insurance Group Ltd. | 1716 |  | 2426990 |
|  Willis Towers Watson PLC | 68535 |  | 16762290 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;575141050 |
| **Interactive Media & Services<sup>(a)</sup> — 3.7%** | **Interactive Media & Services<sup>(a)</sup> — 3.7%** | **Interactive Media & Services<sup>(a)</sup> — 3.7%** | **Interactive Media & Services<sup>(a)</sup> — 3.7%** |
|  Alphabet, Inc., Class A | 3833325 |  | 338214265 |
|  Alphabet, Inc., Class C | 3399463 |  | 301634352 |
|  IAC, Inc. | 47168 |  | 2094259 |
|  Match Group, Inc. | 176631 |  | 7328420 |
|  Meta Platforms, Inc., Class A | 1432643 |  | 172404258 |
|  Pinterest, Inc., Class A | 370935 |  | 9006302 |
|  TripAdvisor, Inc. | 69707 |  | 1253332 |
|  ZoomInfo Technologies, Inc., CLass A<sup>(b)</sup>  | 176672 |  | 5319594 |
|  |  |  | 837254782 |
| **Internet & Direct Marketing Retail — 2.2%** | **Internet & Direct Marketing Retail — 2.2%** | **Internet & Direct Marketing Retail — 2.2%** | **Internet & Direct Marketing Retail — 2.2%** |
|  Amazon.com, Inc.<sup>(a)</sup>  | 5664153 |  | 475788852 |
|  DoorDash, Inc., Class A<sup>(a)(b)</sup>  | 161216 |  | 7870565 |
|  eBay, Inc. | 345702 |  | 14336262 |
|  Etsy, Inc.<sup>(a)(b)</sup>  | 79956 |  | 9577130 |
|  Wayfair, Inc., Class A<sup>(a)(b)</sup>  | 47080 |  | 1548461 |
|  |  |  | 509121270 |
| **IT Services — 4.6%** | **IT Services — 4.6%** | **IT Services — 4.6%** | **IT Services — 4.6%** |
|  Accenture PLC, Class A<sup>(b)</sup>  | 403790 |  | 107747324 |
|  Affirm Holdings, Inc.<sup>(a)(b)</sup>  | 136020 |  | 1315313 |
|  Akamai Technologies, Inc.<sup>(a)</sup>  | 98538 |  | 8306753 |
|  Amdocs Ltd.<sup>(b)</sup>  | 75673 |  | 6878676 |
|  Automatic Data Processing, Inc. | 266083 |  | 63556585 |
|  Block, Inc.<sup>(a)(b)</sup>  | 341394 |  | 21453199 |
|  Broadridge Financial Solutions, Inc. | 74281 |  | 9963311 |
|  Cloudflare, Inc., Class A<sup>(a)(b)</sup>  | 182122 |  | 8233736 |
|  Cognizant Technology Solutions Corp., Class A | 326776 |  | 18688319 |
|  Concentrix Corp.<sup>(b)</sup>  | 27024 |  | 3598516 |
|  DXC Technology Co.<sup>(a)(b)</sup>  | 145410 |  | 3853365 |
|  EPAM Systems, Inc.<sup>(a)</sup>  | 34491 |  | 11304080 |
|  Euronet Worldwide, Inc.<sup>(a)</sup>  | 31047 |  | 2930216 |
|  Fidelity National Information Services, Inc.<sup>(b)</sup>  | 379665 |  | 25760270 |
|  Fiserv, Inc.<sup>(a)(b)</sup>  | 375120 |  | 37913378 |
|  FleetCor Technologies, Inc.<sup>(a)</sup>  | 45416 |  | 8342011 |
|  Gartner, Inc.<sup>(a)</sup>  | 48863 |  | 16424809 |
|  Genpact Ltd. | 115892 |  | 5368117 |
|  Global Payments, Inc. | 170792 |  | 16963061 |
|  Globant SA<sup>(a)</sup>  | 25262 |  | 4248058 |
|  GoDaddy, Inc., Class A<sup>(a)</sup>  | 101013 |  | 7557793 |
|  International Business Machines Corp. | 573488 |  | 80798724 |
|  Jack Henry & Associates, Inc.<sup>(b)</sup>  | 46199 |  | 8110696 |
|  Kyndryl Holdings, Inc.<sup>(a)(b)</sup>  | 128713 |  | 1431289 |
|  Mastercard, Inc., Class A | 542257 |  | 188559027 |
|  MongoDB, Inc.<sup>(a)</sup>  | 42214 |  | 8309404 |
|  Okta, Inc.<sup>(a)</sup>  | 97442 |  | 6658212 |
|  Paychex, Inc. | 205387 |  | 23734522 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 25

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Large Cap Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **IT Services (continued)** | **IT Services (continued)** | **IT Services (continued)** | **IT Services (continued)** |
|  PayPal Holdings, Inc.<sup>(a)</sup>  | 726285 | $| 51726018 |
|  Shift4 Payments, Inc., Class A<sup>(a)(b)</sup>  | 33459 |  | 1871362 |
|  Snowflake, Inc., Class A<sup>(a)(b)</sup>  | 195308 |  | 28034510 |
|  SS&C Technologies Holdings, Inc. | 139406 |  | 7257476 |
|  Thoughtworks Holding, Inc.<sup>(a)(b)</sup>  | 50705 |  | 516684 |
|  Toast, Inc., Class A<sup>(a)(b)</sup>  | 163647 |  | 2950555 |
|  Twilio, Inc., Class A<sup>(a)</sup>  | 109257 |  | 5349223 |
|  VeriSign, Inc.<sup>(a)</sup>  | 59231 |  | 12168417 |
|  Visa, Inc., Class A<sup>(b)</sup>  | 1049132 |  | 217967664 |
|  Western Union Co.<sup>(b)</sup>  | 248628 |  | 3423608 |
|  WEX, Inc.<sup>(a)</sup>  | 26663 |  | 4363400 |
|  Wix.com Ltd.<sup>(a)</sup>  | 34196 |  | 2627279 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1046264960 |
| **Leisure Products — 0.1%** | **Leisure Products — 0.1%** | **Leisure Products — 0.1%** | **Leisure Products — 0.1%** |
|  Brunswick Corp.<sup>(b)</sup>  | 46500 |  | 3351720 |
|  Hasbro, Inc.<sup>(b)</sup>  | 82283 |  | 5020086 |
|  Mattel, Inc.<sup>(a)</sup>  | 222523 |  | 3969810 |
|  Peloton Interactive, Inc., Class A<sup>(a)(b)</sup>  | 184450 |  | 1464533 |
|  Polaris, Inc.<sup>(b)</sup>  | 36049 |  | 3640949 |
|  YETI Holdings, Inc.<sup>(a)(b)</sup>  | 55061 |  | 2274570 |
|  |  |  | 19721668 |
| **Life Sciences Tools & Services — 1.9%** | **Life Sciences Tools & Services — 1.9%** | **Life Sciences Tools & Services — 1.9%** | **Life Sciences Tools & Services — 1.9%** |
|  10X Genomics, Inc., Class A<sup>(a)(b)</sup>  | 61186 |  | 2229618 |
|  Agilent Technologies, Inc.<sup>(b)</sup>  | 188352 |  | 28186877 |
|  Avantor, Inc.<sup>(a)</sup>  | 388214 |  | 8187433 |
|  Azenta, Inc.<sup>(b)</sup>  | 45209 |  | 2632068 |
|  Bio-Rad Laboratories, Inc., Class A<sup>(a)</sup>  | 13534 |  | 5690912 |
|  Bio-Techne Corp. | 99037 |  | 8208186 |
|  Bruker Corp. | 68711 |  | 4696397 |
|  Charles River Laboratories International, Inc.<sup>(a)</sup>  | 31831 |  | 6935975 |
|  Danaher Corp. | 412523 |  | 109491855 |
|  Illumina, Inc.<sup>(a)(b)</sup>  | 100090 |  | 20238198 |
|  IQVIA Holdings, Inc.<sup>(a)</sup>  | 118124 |  | 24202426 |
|  Maravai LifeSciences Holdings, Inc., Class A<sup>(a)(b)</sup>  | 64873 |  | 928332 |
|  Mettler-Toledo International, Inc.<sup>(a)</sup>  | 14047 |  | 20304236 |
|  PerkinElmer, Inc. | 80297 |  | 11259245 |
|  QIAGEN NV<sup>(a)</sup>  | 143072 |  | 7135001 |
|  Repligen Corp.<sup>(a)(b)</sup>  | 35478 |  | 6006780 |
|  Sotera Health Co.<sup>(a)</sup>  | 62387 |  | 519684 |
|  Syneos Health, Inc.<sup>(a)</sup>  | 68168 |  | 2500402 |
|  Thermo Fisher Scientific, Inc. | 249343 |  | 137310697 |
|  Waters Corp.<sup>(a)</sup>  | 37724 |  | 12923488 |
|  West Pharmaceutical Services, Inc. | 47143 |  | 11095105 |
|  |  |  | 430682915 |
| **Machinery — 1.9%** | **Machinery — 1.9%** | **Machinery — 1.9%** | **Machinery — 1.9%** |
|  AGCO Corp.<sup>(b)</sup>  | 40053 |  | 5554950 |
|  Allison Transmission Holdings, Inc. | 60337 |  | 2510019 |
|  Ardagh Group SA<sup>(a)</sup>  | 6425 |  | 54645 |
|  Caterpillar, Inc. | 331613 |  | 79441210 |
|  Crane Holdings Co. | 29782 |  | 2991602 |
|  Cummins, Inc.<sup>(b)</sup>  | 89737 |  | 21742378 |
|  Deere & Co. | 175742 |  | 75351140 |
|  Donaldson Co., Inc. | 77148 |  | 4541703 |
|  Dover Corp. | 89763 |  | 12154808 |
|  Esab Corp.<sup>(b)</sup>  | 31502 |  | 1478074 |
|  Flowserve Corp.<sup>(b)</sup>  | 83545 |  | 2563161 |
|  Fortive Corp. | 225436 |  | 14484263 |
|  Gates Industrial Corp. PLC<sup>(a)</sup>  | 58319 |  | 665420 |
|  Graco, Inc. | 105553 |  | 7099495 |
|  IDEX Corp.<sup>(b)</sup>  | 48361 |  | 11042267 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Machinery (continued)** | **Machinery (continued)** | **Machinery (continued)** | **Machinery (continued)** |
|  Illinois Tool Works, Inc.<sup>(b)</sup>  | 194721 | $| 42897036 |
|  Ingersoll Rand, Inc.<sup>(b)</sup>  | 258616 |  | 13512686 |
|  ITT, Inc.<sup>(b)</sup>  | 52775 |  | 4280052 |
|  Lincoln Electric Holdings, Inc.<sup>(b)</sup>  | 35310 |  | 5101942 |
|  Middleby Corp.<sup>(a)</sup>  | 33729 |  | 4516313 |
|  Nordson Corp. | 36621 |  | 8705544 |
|  Oshkosh Corp.<sup>(b)</sup>  | 41868 |  | 3692339 |
|  Otis Worldwide Corp. | 265458 |  | 20788016 |
|  PACCAR, Inc. | 217233 |  | 21499550 |
|  Parker-Hannifin Corp. | 81489 |  | 23713299 |
|  Pentair PLC | 104550 |  | 4702659 |
|  Snap-on, Inc.<sup>(b)</sup>  | 33071 |  | 7556393 |
|  Stanley Black & Decker, Inc.<sup>(b)</sup>  | 94922 |  | 7130541 |
|  Timken Co. | 39631 |  | 2800723 |
|  Toro Co.<sup>(b)</sup>  | 66422 |  | 7518970 |
|  Westinghouse Air Brake Technologies Corp. | 115240 |  | 11502104 |
|  Xylem, Inc.<sup>(b)</sup>  | 114033 |  | 12608629 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;444201931 |
| **Marine — 0.0%** | **Marine — 0.0%** | **Marine — 0.0%** | **Marine — 0.0%** |
|  Kirby Corp.<sup>(a)</sup>  | 36738 |  | 2364090 |
| **Media — 0.9%** | **Media — 0.9%** | **Media — 0.9%** | **Media — 0.9%** |
|  Altice USA, Inc., Class A<sup>(a)(b)</sup>  | 121027 |  | 556724 |
|  Cable One, Inc. | 3536 |  | 2517137 |
|  Charter Communications, Inc., Class A<sup>(a)(b)</sup>  | 68895 |  | 23362294 |
|  Comcast Corp., Class A<sup>(b)</sup>  | 2733776 |  | 95600147 |
|  DISH Network Corp., Class A<sup>(a)</sup>  | 158444 |  | 2224554 |
|  Fox Corp., Class A<sup>(b)</sup>  | 189529 |  | 5755996 |
|  Fox Corp., Class B | 91794 |  | 2611539 |
|  Interpublic Group of Cos., Inc.<sup>(b)</sup>  | 244784 |  | 8153755 |
|  Liberty Broadband Corp., Class A<sup>(a)</sup>  | 10629 |  | 806210 |
|  Liberty Broadband Corp., Class C<sup>(a)(b)</sup>  | 77302 |  | 5895824 |
|  Liberty Media Corp.-Liberty SiriusXM, Class A<sup>(a)(b)</sup>  | 44699 |  | 1757118 |
|  Liberty Media Corp.-Liberty SiriusXM, Class C<sup>(a)</sup>  | 97641 |  | 3820692 |
|  New York Times Co., Class A | 100124 |  | 3250025 |
|  News Corp., Class A | 242198 |  | 4408004 |
|  News Corp., Class B<sup>(b)</sup>  | 71927 |  | 1326334 |
|  Nexstar Media Group, Inc., Class A<sup>(b)</sup>  | 22577 |  | 3951652 |
|  Omnicom Group, Inc.<sup>(b)</sup>  | 129713 |  | 10580689 |
|  Paramount Global, Class A<sup>(b)</sup>  | 7797 |  | 152899 |
|  Paramount Global, Class B<sup>(b)</sup>  | 360272 |  | 6081391 |
|  Sirius XM Holdings, Inc.<sup>(b)</sup>  | 461307 |  | 2694033 |
|  Trade Desk, Inc., Class A<sup>(a)</sup>  | 279387 |  | 12524919 |
|  |  |  | 198031936 |
| **Metals & Mining — 0.5%** | **Metals & Mining — 0.5%** | **Metals & Mining — 0.5%** | **Metals & Mining — 0.5%** |
|  Alcoa Corp. | 110209 |  | 5011203 |
|  Cleveland-Cliffs, Inc.<sup>(a)</sup>  | 323920 |  | 5218351 |
|  Freeport-McMoRan, Inc.<sup>(b)</sup>  | 908101 |  | 34507838 |
|  MP Materials Corp.<sup>(a)(b)</sup>  | 54038 |  | 1312043 |
|  Newmont Corp. | 506080 |  | 23886976 |
|  Nucor Corp.<sup>(b)</sup>  | 162906 |  | 21472640 |
|  Reliance Steel & Aluminum Co. | 36832 |  | 7456270 |
|  Royal Gold, Inc.<sup>(b)</sup>  | 41115 |  | 4634483 |
|  Southern Copper Corp.<sup>(b)</sup>  | 53998 |  | 3260939 |
|  SSR Mining, Inc.<sup>(b)</sup>  | 126267 |  | 1978604 |
|  Steel Dynamics, Inc.<sup>(b)</sup>  | 107010 |  | 10454877 |
|  U.S. Steel Corp. | 151259 |  | 3789038 |
|  |  |  | 122983262 |
| **Mortgage Real Estate Investment Trusts (REITs)<sup>(b)</sup> — 0.1%** | **Mortgage Real Estate Investment Trusts (REITs)<sup>(b)</sup> — 0.1%** | **Mortgage Real Estate Investment Trusts (REITs)<sup>(b)</sup> — 0.1%** | **Mortgage Real Estate Investment Trusts (REITs)<sup>(b)</sup> — 0.1%** |
|  AGNC Investment Corp. | 356706 |  | 3691907 |

---

26 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Large Cap Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Mortgage Real Estate Investment Trusts (REITs) (continued)** | **Mortgage Real Estate Investment Trusts (REITs) (continued)** | **Mortgage Real Estate Investment Trusts (REITs) (continued)** |
|  Annaly Capital Management, Inc. | 292246 | $6160546 |
|  Rithm Capital Corp. | 288433 | 2356498 |
|  Starwood Property Trust, Inc. | 182547 | 3346086 |
|  |  | 15555037 |
| **Multiline Retail — 0.5%** |  |  |
|  Dollar General Corp. | 143591 | 35359284 |
|  Dollar Tree, Inc.<sup>(a)</sup>  | 135284 | 19134569 |
|  Kohl's Corp.<sup>(b)</sup>  | 76214 | 1924403 |
|  Macy's, Inc. | 169507 | 3500319 |
|  Nordstrom, Inc.<sup>(b)</sup>  | 70287 | 1134432 |
|  Ollie's Bargain Outlet Holdings, Inc.<sup>(a)(b)</sup>  | 39632 | 1856363 |
|  Target Corp. | 295114 | 43983791 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;106893161 |
| **Multi-Utilities — 0.8%** |  |  |
|  Ameren Corp.<sup>(b)</sup>  | 163868 | 14571142 |
|  CenterPoint Energy, Inc.<sup>(b)</sup>  | 401159 | 12030758 |
|  CMS Energy Corp.<sup>(b)</sup>  | 184532 | 11686412 |
|  Consolidated Edison, Inc.<sup>(b)</sup>  | 225968 | 21537010 |
|  Dominion Energy, Inc.<sup>(b)</sup>  | 530275 | 32516463 |
|  DTE Energy Co.<sup>(b)</sup>  | 122977 | 14453487 |
|  NiSource, Inc. | 258482 | 7087576 |
|  Public Service Enterprise Group, Inc. | 317048 | 19425531 |
|  Sempra Energy<sup>(b)</sup>  | 200409 | 30971207 |
|  WEC Energy Group, Inc.<sup>(b)</sup>  | 200939 | 18840041 |
|  |  | 183119627 |
| **Oil, Gas & Consumable Fuels — 4.7%** |  |  |
|  Antero Midstream Corp.<sup>(b)</sup>  | 216141 | 2332161 |
|  Antero Resources Corp.<sup>(a)</sup>  | 176532 | 5470727 |
|  APA Corp.<sup>(b)</sup>  | 202349 | 9445651 |
|  Cheniere Energy, Inc. | 158482 | 23765961 |
|  Chesapeake Energy Corp.<sup>(b)</sup>  | 77920 | 7353310 |
|  Chevron Corp.<sup>(b)</sup>  | 1232490 | 221219630 |
|  ConocoPhillips | 794305 | 93727990 |
|  Coterra Energy, Inc.<sup>(b)</sup>  | 499627 | 12275835 |
|  Devon Energy Corp.<sup>(b)</sup>  | 414145 | 25474059 |
|  Diamondback Energy, Inc. | 111794 | 15291183 |
|  DT Midstream, Inc.<sup>(a)(b)</sup>  | 60911 | 3365942 |
|  Enviva, Inc.<sup>(b)</sup>  | 18229 | 965590 |
|  EOG Resources, Inc.<sup>(b)</sup>  | 372645 | 48264980 |
|  EQT Corp. | 234592 | 7936247 |
|  Exxon Mobil Corp. | 2626166 | 289666110 |
|  Hess Corp.<sup>(b)</sup>  | 179290 | 25426908 |
|  HF Sinclair Corp.<sup>(b)</sup>  | 89427 | 4640367 |
|  Kinder Morgan, Inc.<sup>(b)</sup>  | 1265424 | 22878866 |
|  Marathon Oil Corp.<sup>(b)</sup>  | 418315 | 11323787 |
|  Marathon Petroleum Corp. | 298106 | 34696557 |
|  New Fortress Energy, Inc.<sup>(b)</sup>  | 35069 | 1487627 |
|  Occidental Petroleum Corp.<sup>(b)</sup>  | 508388 | 32023360 |
|  ONEOK, Inc.<sup>(b)</sup>  | 283021 | 18594480 |
|  Ovintiv, Inc.<sup>(b)</sup>  | 159373 | 8081805 |
|  PDC Energy, Inc.<sup>(b)</sup>  | 60166 | 3819338 |
|  Phillips 66 | 301208 | 31349729 |
|  Pioneer Natural Resources Co.<sup>(b)</sup>  | 151399 | 34578018 |
|  Range Resources Corp. | 156573 | 3917456 |
|  Southwestern Energy Co.<sup>(a)</sup>  | 691821 | 4047153 |
|  Targa Resources Corp. | 143835 | 10571873 |
|  Texas Pacific Land Corp.<sup>(b)</sup>  | 3599 | 8436884 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |  |  |
|  Valero Energy Corp.<sup>(b)</sup>  | 242562 | $| 30771415 |
|  Williams Cos., Inc.<sup>(b)</sup>  | 775572 |  | 25516319 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1078717318 |
| **Paper & Forest Products — 0.0%** |  |  |  |
|  Louisiana-Pacific Corp.<sup>(b)</sup>  | 44600 |  | 2640320 |
| **Personal Products — 0.2%** |  |  |  |
|  Coty, Inc., Class A<sup>(a)</sup>  | 211410 |  | 1809670 |
|  Estee Lauder Cos., Inc., Class A | 146211 |  | 36276411 |
|  Olaplex Holdings, Inc.<sup>(a)(b)</sup>  | 74023 |  | 385660 |
|  |  |  | 38471741 |
| **Pharmaceuticals — 4.5%** |  |  |  |
|  Bristol-Myers Squibb Co. | 1357184 |  | 97649389 |
|  Catalent, Inc.<sup>(a)(b)</sup>  | 111890 |  | 5036169 |
|  Elanco Animal Health, Inc.<sup>(a)(b)</sup>  | 284720 |  | 3479278 |
|  Eli Lilly & Co. | 536961 |  | 196441812 |
|  Jazz Pharmaceuticals PLC<sup>(a)</sup>  | 39395 |  | 6276017 |
|  Johnson & Johnson | 1677147 |  | 296268018 |
|  Merck & Co., Inc. | 1612095 |  | 178861940 |
|  Organon & Co. | 161974 |  | 4523934 |
|  Perrigo Co. PLC | 83283 |  | 2839118 |
|  Pfizer, Inc. | 3601797 |  | 184556078 |
|  Royalty Pharma PLC, Class A | 236767 |  | 9357032 |
|  Viatris, Inc. | 780403 |  | 8685885 |
|  Zoetis, Inc. | 300032 |  | 43969690 |
|  |  |  | 1037944360 |
| **Professional Services — 0.5%** |  |  |  |
|  Booz Allen Hamilton Holding Corp., Class A | 83948 |  | 8774245 |
|  CACI International, Inc., Class A<sup>(a)</sup>  | 14644 |  | 4401840 |
|  Clarivate PLC<sup>(a)(b)</sup>  | 286826 |  | 2392129 |
|  CoStar Group, Inc.<sup>(a)</sup>  | 256794 |  | 19845040 |
|  Dun & Bradstreet Holdings, Inc. | 149741 |  | 1835825 |
|  Equifax, Inc. | 77382 |  | 15039966 |
|  FTI Consulting, Inc.<sup>(a)(b)</sup>  | 21648 |  | 3437702 |
|  Jacobs Solutions, Inc. | 81696 |  | 9809239 |
|  KBR, Inc.<sup>(b)</sup>  | 87326 |  | 4610813 |
|  Leidos Holdings, Inc. | 85455 |  | 8989011 |
|  ManpowerGroup, Inc. | 31630 |  | 2631932 |
|  Robert Half International, Inc.<sup>(b)</sup>  | 67679 |  | 4996741 |
|  Science Applications International Corp.<sup>(b)</sup>  | 35280 |  | 3913610 |
|  TransUnion<sup>(b)</sup>  | 120257 |  | 6824585 |
|  Verisk Analytics, Inc.<sup>(b)</sup>  | 98896 |  | 17447232 |
|  |  |  | 114949910 |
| **Real Estate Management & Development<sup>(a)</sup> — 0.1%** | **Real Estate Management & Development<sup>(a)</sup> — 0.1%** | **Real Estate Management & Development<sup>(a)</sup> — 0.1%** | **Real Estate Management & Development<sup>(a)</sup> — 0.1%** |
|  CBRE Group, Inc., Class A | 200580 |  | 15436637 |
|  Howard Hughes Corp.<sup>(b)</sup>  | 22290 |  | 1703402 |
|  Jones Lang LaSalle, Inc. | 29751 |  | 4741417 |
|  Opendoor Technologies, Inc.<sup>(b)</sup>  | 279919 |  | 324706 |
|  WeWork, Inc., Class A<sup>(b)</sup>  | 77407 |  | 110692 |
|  Zillow Group, Inc., Class A<sup>(b)</sup>  | 33710 |  | 1052089 |
|  Zillow Group, Inc., Class C<sup>(b)</sup>  | 98592 |  | 3175648 |
|  |  |  | 26544591 |
| **Road & Rail — 1.1%** |  |  |  |
|  Avis Budget Group, Inc.<sup>(a)(b)</sup>  | 18720 |  | 3068770 |
|  CSX Corp. | 1338329 |  | 41461432 |
|  Hertz Global Holdings, Inc.<sup>(a)(b)</sup>  | 123337 |  | 1898156 |
|  JB Hunt Transport Services, Inc.<sup>(b)</sup>  | 52602 |  | 9171685 |
|  Knight-Swift Transportation Holdings, Inc. | 99299 |  | 5204261 |
|  Landstar System, Inc.<sup>(b)</sup>  | 23133 |  | 3768366 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Large Cap Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Road & Rail (continued)** | **Road & Rail (continued)** | **Road & Rail (continued)** | **Road & Rail (continued)** |
|  Lyft, Inc., Class A<sup>(a)(b)</sup>  | 208860 | $| 2301637 |
|  Norfolk Southern Corp. | 147187 |  | 36269821 |
|  Old Dominion Freight Line, Inc.<sup>(b)</sup>  | 63239 |  | 17945963 |
|  RXO, Inc.<sup>(a)</sup>  | 61561 |  | 1058849 |
|  Ryder System, Inc.<sup>(b)</sup>  | 31534 |  | 2635296 |
|  Schneider National, Inc., Class B | 30004 |  | 702094 |
|  Uber Technologies, Inc.<sup>(a)</sup>  | 1222786 |  | 30239498 |
|  U-Haul Holding Co. | 52729 |  | 2899040 |
|  U-Haul Holding Co.<sup>(b)</sup>  | 5406 |  | 325387 |
|  Union Pacific Corp. | 391640 |  | 81096895 |
|  XPO Logistics, Inc.<sup>(a)(b)</sup>  | 68185 |  | 2269879 |
|  |  |  | 242317029 |
| **Semiconductors & Semiconductor Equipment — 4.6%** | **Semiconductors & Semiconductor Equipment — 4.6%** | **Semiconductors & Semiconductor Equipment — 4.6%** | **Semiconductors & Semiconductor Equipment — 4.6%** |
|  Advanced Micro Devices, Inc.<sup>(a)</sup>  | 1029287 |  | 66666919 |
|  Allegro MicroSystems, Inc.<sup>(a)(b)</sup>  | 41568 |  | 1247871 |
|  Analog Devices, Inc.<sup>(b)</sup>  | 326934 |  | 53626984 |
|  Applied Materials, Inc. | 547201 |  | 53286433 |
|  Broadcom, Inc.<sup>(b)</sup>  | 251694 |  | 140729666 |
|  Cirrus Logic, Inc.<sup>(a)</sup>  | 34221 |  | 2548780 |
|  Enphase Energy, Inc.<sup>(a)</sup>  | 83329 |  | 22078852 |
|  Entegris, Inc. | 93369 |  | 6124073 |
|  First Solar, Inc.<sup>(a)</sup>  | 67622 |  | 10129099 |
|  Global Foundries, Inc.<sup>(a)(b)</sup>  | 40822 |  | 2199898 |
|  Intel Corp. | 2607802 |  | 68924207 |
|  KLA Corp. | 90342 |  | 34061644 |
|  Lam Research Corp. | 87181 |  | 36642174 |
|  Lattice Semiconductor Corp.<sup>(a)(b)</sup>  | 85167 |  | 5525635 |
|  Marvell Technology, Inc.<sup>(b)</sup>  | 540377 |  | 20015564 |
|  Microchip Technology, Inc.<sup>(b)</sup>  | 338920 |  | 23809130 |
|  Micron Technology, Inc. | 691876 |  | 34579963 |
|  MKS Instruments, Inc.<sup>(b)</sup>  | 36836 |  | 3121114 |
|  Monolithic Power Systems, Inc.<sup>(b)</sup>  | 28887 |  | 10214732 |
|  NVIDIA Corp. | 1534691 |  | 224279743 |
|  ON Semiconductor Corp.<sup>(a)</sup>  | 276230 |  | 17228465 |
|  Qorvo, Inc.<sup>(a)</sup>  | 64690 |  | 5863502 |
|  Qualcomm, Inc. | 714059 |  | 78503646 |
|  Skyworks Solutions, Inc. | 103083 |  | 9393954 |
|  Teradyne, Inc.<sup>(b)</sup>  | 99697 |  | 8708533 |
|  Texas Instruments, Inc. | 578290 |  | 95545074 |
|  Universal Display Corp. | 26964 |  | 2913191 |
|  Wolfspeed, Inc.<sup>(a)(b)</sup>  | 76992 |  | 5315528 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1043284374 |
| **Software — 8.6%** | **Software — 8.6%** | **Software — 8.6%** | **Software — 8.6%** |
|  Adobe, Inc.<sup>(a)</sup>  | 295889 |  | 99575525 |
|  Alteryx, Inc., Class A<sup>(a)</sup>  | 39880 |  | 2020720 |
|  ANSYS, Inc.<sup>(a)</sup>  | 55375 |  | 13378046 |
|  AppLovin Corp., Class A<sup>(a)(b)</sup>  | 133906 |  | 1410030 |
|  Aspen Technology, Inc.<sup>(a)(b)</sup>  | 17433 |  | 3580738 |
|  Atlassian Corp., Class A<sup>(a)(b)</sup>  | 91696 |  | 11799441 |
|  Autodesk, Inc.<sup>(a)</sup>  | 138610 |  | 25902051 |
|  Bentley Systems, Inc., Class B<sup>(b)</sup>  | 106691 |  | 3943299 |
|  Bill.com Holdings, Inc.<sup>(a)(b)</sup>  | 62947 |  | 6858705 |
|  Black Knight, Inc.<sup>(a)</sup>  | 99891 |  | 6168269 |
|  Cadence Design Systems, Inc.<sup>(a)</sup>  | 173709 |  | 27904614 |
|  CCC Intelligent Solutions Holdings, Inc.<sup>(a)(b)</sup>  | 100713 |  | 876203 |
|  Ceridian HCM Holding, Inc.<sup>(a)</sup>  | 87796 |  | 5632113 |
|  Confluent, Inc., Class A<sup>(a)(b)</sup>  | 73974 |  | 1645182 |
|  Coupa Software, Inc.<sup>(a)</sup>  | 48433 |  | 3834441 |
|  Crowdstrike Holdings, Inc., Class A<sup>(a)</sup>  | 133884 |  | 14096646 |
|  Datadog, Inc., Class A<sup>(a)</sup>  | 169027 |  | 12423485 |
|  DocuSign, Inc.<sup>(a)</sup>  | 127587 |  | 7070872 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Software (continued)** | **Software (continued)** | **Software (continued)** | **Software (continued)** |
|  Dolby Laboratories, Inc., Class A<sup>(b)</sup>  | 38321 | $| 2703163 |
|  DoubleVerify Holdings, Inc.<sup>(a)(b)</sup>  | 47293 |  | 1038554 |
|  Dropbox, Inc., Class A<sup>(a)</sup>  | 173645 |  | 3886175 |
|  Dynatrace, Inc.<sup>(a)</sup>  | 126099 |  | 4829592 |
|  Elastic NV<sup>(a)</sup>  | 51528 |  | 2653692 |
|  Fair Isaac Corp.<sup>(a)</sup>  | 15211 |  | 9105000 |
|  Five9, Inc.<sup>(a)</sup>  | 45088 |  | 3059672 |
|  Fortinet, Inc.<sup>(a)</sup>  | 410865 |  | 20087190 |
|  Gen Digital, Inc. | 352478 |  | 7553604 |
|  Guidewire Software, Inc.<sup>(a)</sup>  | 52727 |  | 3298601 |
|  HubSpot, Inc.<sup>(a)</sup>  | 29164 |  | 8432187 |
|  Informatica, Inc., Class A<sup>(a)(b)</sup>  | 18554 |  | 302245 |
|  Intuit, Inc. | 175611 |  | 68351313 |
|  Jamf Holding Corp.<sup>(a)(b)</sup>  | 42816 |  | 911981 |
|  Manhattan Associates, Inc.<sup>(a)</sup>  | 39143 |  | 4751960 |
|  Microsoft Corp. | 4768338 |  | 1143542819 |
|  nCino, Inc.<sup>(a)(b)</sup>  | 42161 |  | 1114737 |
|  NCR Corp.<sup>(a)(b)</sup>  | 79246 |  | 1855149 |
|  New Relic, Inc.<sup>(a)</sup>  | 34542 |  | 1949896 |
|  Nutanix, Inc., Class A<sup>(a)</sup>  | 143587 |  | 3740441 |
|  Oracle Corp.<sup>(b)</sup>  | 974100 |  | 79622934 |
|  Palantir Technologies, Inc., Class A<sup>(a)</sup>  | 1171148 |  | 7518770 |
|  Palo Alto Networks, Inc.<sup>(a)(b)</sup>  | 187269 |  | 26131516 |
|  Paycom Software, Inc.<sup>(a)(b)</sup>  | 32651 |  | 10131932 |
|  Paycor HCM, Inc.<sup>(a)(b)</sup>  | 32514 |  | 795618 |
|  Paylocity Holding Corp.<sup>(a)</sup>  | 25666 |  | 4985877 |
|  Pegasystems, Inc.<sup>(b)</sup>  | 24451 |  | 837202 |
|  Procore Technologies, Inc.<sup>(a)</sup>  | 46447 |  | 2191370 |
|  PTC, Inc.<sup>(a)</sup>  | 67046 |  | 8048202 |
|  RingCentral, Inc., Class A<sup>(a)(b)</sup>  | 55109 |  | 1950859 |
|  Roper Technologies, Inc. | 67251 |  | 29058485 |
|  Salesforce, Inc.<sup>(a)</sup>  | 613298 |  | 81317182 |
|  SentinelOne, Inc., Class A<sup>(a)</sup>  | 128760 |  | 1878608 |
|  ServiceNow, Inc.<sup>(a)</sup>  | 127593 |  | 49540534 |
|  Smartsheet, Inc., Class A<sup>(a)</sup>  | 81207 |  | 3196308 |
|  Splunk, Inc.<sup>(a)</sup>  | 104431 |  | 8990465 |
|  Synopsys, Inc.<sup>(a)</sup>  | 97081 |  | 30996993 |
|  Teradata Corp.<sup>(a)</sup>  | 62987 |  | 2120142 |
|  Tyler Technologies, Inc.<sup>(a)</sup>  | 26195 |  | 8445530 |
|  UiPath, Inc., Class A<sup>(a)(b)</sup>  | 240799 |  | 3060555 |
|  Unity Software, Inc.<sup>(a)(b)</sup>  | 161397 |  | 4614340 |
|  VMware, Inc., Class A<sup>(a)(b)</sup>  | 134625 |  | 16526565 |
|  Workday, Inc., Class A<sup>(a)</sup>  | 127182 |  | 21281364 |
|  Zoom Video Communications, Inc., Class A<sup>(a)</sup>  | 160784 |  | 10891508 |
|  Zscaler, Inc.<sup>(a)(b)</sup>  | 52901 |  | 5919622 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1961340832 |
| **Specialty Retail — 2.4%** | **Specialty Retail — 2.4%** | **Specialty Retail — 2.4%** | **Specialty Retail — 2.4%** |
|  Advance Auto Parts, Inc. | 38621 |  | 5678446 |
|  AutoNation, Inc.<sup>(a)</sup>  | 24067 |  | 2582389 |
|  AutoZone, Inc.<sup>(a)</sup>  | 12095 |  | 29828447 |
|  Bath & Body Works, Inc.<sup>(b)</sup>  | 143207 |  | 6034743 |
|  Best Buy Co., Inc.<sup>(b)</sup>  | 128457 |  | 10303536 |
|  Burlington Stores, Inc.<sup>(a)(b)</sup>  | 41959 |  | 8507607 |
|  CarMax, Inc.<sup>(a)(b)</sup>  | 99758 |  | 6074265 |
|  Carvana Co.<sup>(a)(b)</sup>  | 62123 |  | 294463 |
|  Dick's Sporting Goods, Inc.<sup>(b)</sup>  | 32841 |  | 3950444 |
|  Five Below, Inc.<sup>(a)(b)</sup>  | 34256 |  | 6058859 |
|  Floor & Decor Holdings, Inc., Class A<sup>(a)(b)</sup>  | 65099 |  | 4532843 |
|  GameStop Corp., Class A<sup>(a)(b)</sup>  | 176004 |  | 3249034 |
|  Gap, Inc.<sup>(b)</sup>  | 121344 |  | 1368760 |
|  Home Depot, Inc.<sup>(b)</sup>  | 658459 |  | 207980860 |
|  Leslie's, Inc.<sup>(a)(b)</sup>  | 94145 |  | 1149510 |

---

28 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Large Cap Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Specialty Retail (continued)** | **Specialty Retail (continued)** | **Specialty Retail (continued)** | **Specialty Retail (continued)** |
|  Lithia Motors, Inc.<sup>(b)</sup>  | 16956 | $| 3471571 |
|  Lowe's Cos., Inc. | 395736 |  | 78846441 |
|  O'Reilly Automotive, Inc.<sup>(a)</sup>  | 39483 |  | 33324837 |
|  Penske Automotive Group, Inc.<sup>(b)</sup>  | 16349 |  | 1878991 |
|  Petco Health & Wellness Co., Inc.<sup>(a)(b)</sup>  | 47926 |  | 454338 |
|  RH<sup>(a)(b)</sup>  | 11973 |  | 3199066 |
|  Ross Stores, Inc. | 217080 |  | 25196476 |
|  TJX Cos., Inc. | 739619 |  | 58873672 |
|  Tractor Supply Co. | 70303 |  | 15816066 |
|  Ulta Beauty, Inc.<sup>(a)</sup>  | 32173 |  | 15091389 |
|  Victoria's Secret & Co.<sup>(a)(b)</sup>  | 49253 |  | 1762272 |
|  Williams-Sonoma, Inc.<sup>(b)</sup>  | 41644 |  | 4785728 |
|  |  |  | 540295053 |
| **Technology Hardware, Storage & Peripherals — 5.7%** | **Technology Hardware, Storage & Peripherals — 5.7%** | **Technology Hardware, Storage & Peripherals — 5.7%** | **Technology Hardware, Storage & Peripherals — 5.7%** |
|  Apple, Inc. | 9577734 |  | 1244434979 |
|  Dell Technologies, Inc., Class C | 160562 |  | 6457804 |
|  Hewlett Packard Enterprise Co. | 818344 |  | 13060770 |
|  HP, Inc.<sup>(b)</sup>  | 642876 |  | 17274078 |
|  NetApp, Inc. | 136887 |  | 8221433 |
|  Pure Storage, Inc., Class A<sup>(a)(b)</sup>  | 176301 |  | 4717815 |
|  Western Digital Corp.<sup>(a)(b)</sup>  | 204141 |  | 6440648 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1300607527 |
| **Textiles, Apparel & Luxury Goods — 0.7%** | **Textiles, Apparel & Luxury Goods — 0.7%** | **Textiles, Apparel & Luxury Goods — 0.7%** | **Textiles, Apparel & Luxury Goods — 0.7%** |
|  Capri Holdings Ltd.<sup>(a)</sup>  | 84673 |  | 4853456 |
|  Carter's, Inc.<sup>(b)</sup>  | 23015 |  | 1717149 |
|  Columbia Sportswear Co.<sup>(b)</sup>  | 23947 |  | 2097278 |
|  Deckers Outdoor Corp.<sup>(a)</sup>  | 16529 |  | 6597716 |
|  Hanesbrands, Inc.<sup>(b)</sup>  | 203491 |  | 1294203 |
|  Lululemon Athletica, Inc.<sup>(a)</sup>  | 71114 |  | 22783503 |
|  NIKE, Inc., Class B | 780840 |  | 91366088 |
|  PVH Corp. | 42093 |  | 2971345 |
|  Ralph Lauren Corp.<sup>(b)</sup>  | 27235 |  | 2877923 |
|  Skechers USA, Inc., Class A<sup>(a)</sup>  | 86103 |  | 3612021 |
|  Tapestry, Inc.<sup>(b)</sup>  | 158730 |  | 6044438 |
|  Under Armour, Inc., Class A<sup>(a)</sup>  | 126836 |  | 1288654 |
|  Under Armour, Inc., Class C<sup>(a)(b)</sup>  | 128526 |  | 1146452 |
|  VF Corp.<sup>(b)</sup>  | 222539 |  | 6144302 |
|  |  |  | 154794528 |
| **Thrifts & Mortgage Finance — 0.0%** | **Thrifts & Mortgage Finance — 0.0%** | **Thrifts & Mortgage Finance — 0.0%** | **Thrifts & Mortgage Finance — 0.0%** |
|  MGIC Investment Corp. | 181135 |  | 2354755 |
|  New York Community Bancorp, Inc. | 412697 |  | 3549194 |
|  Rocket Cos., Inc., Class A<sup>(b)</sup>  | 81478 |  | 570346 |
|  TFS Financial Corp.<sup>(b)</sup>  | 35153 |  | 506555 |
|  UWM Holdings Corp.<sup>(b)</sup>  | 64344 |  | 212979 |
|  |  |  | 7193829 |
| **Tobacco — 0.7%** | **Tobacco — 0.7%** | **Tobacco — 0.7%** | **Tobacco — 0.7%** |
|  Altria Group, Inc.<sup>(b)</sup>  | 1142456 |  | 52221664 |
|  Philip Morris International, Inc. | 987484 |  | 99943255 |
|  |  |  | 152164919 |
| **Trading Companies & Distributors — 0.3%** | **Trading Companies & Distributors — 0.3%** | **Trading Companies & Distributors — 0.3%** | **Trading Companies & Distributors — 0.3%** |
|  Air Lease Corp. | 63100 |  | 2424302 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Trading Companies & Distributors (continued)** | **Trading Companies & Distributors (continued)** | **Trading Companies & Distributors (continued)** |
|  Core & Main, Inc., Class A<sup>(a)(b)</sup>  | 47150 | $910467 |
|  Fastenal Co. | 366503 | 17342922 |
|  MSC Industrial Direct Co., Inc., Class A | 30370 | 2481229 |
|  SiteOne Landscape Supply, Inc.<sup>(a)(b)</sup>  | 28341 | 3324966 |
|  United Rentals, Inc.<sup>(a)</sup>  | 44459 | 15801618 |
|  Univar Solutions, Inc.<sup>(a)</sup>  | 100479 | 3195232 |
|  W.W.Grainger, Inc. | 28732 | 15982175 |
|  Watsco, Inc.<sup>(b)</sup>  | 20799 | 5187271 |
|  WESCO International, Inc.<sup>(a)(b)</sup>  | 28552 | 3574710 |
|  |  | 70224892 |
| **Water Utilities — 0.1%** |  |  |
|  American Water Works Co., Inc. | 115841 | 17656485 |
|  Essential Utilities, Inc. | 145772 | 6957698 |
|  |  | 24614183 |
| **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** |
|  T-Mobile U.S., Inc.<sup>(a)(b)</sup>  | 379638 | 53149320 |
|  **Total Common Stocks — 98.8%<br>(Cost: $15,752,132,418)** | **Total Common Stocks — 98.8%<br>(Cost: $15,752,132,418)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22597047148 |
|  **Investment Companies** | **Investment Companies** | **Investment Companies** |
|  **Equity Real Estate Investment Trusts (REITs) — 1.0%** | **Equity Real Estate Investment Trusts (REITs) — 1.0%** | **Equity Real Estate Investment Trusts (REITs) — 1.0%** |
|  iShares Russell 1000 ETF<sup>(b)(c)(d)</sup>  | 1118686 | 235505777 |
|  **Total Investment Companies — 1.0%<br>(Cost: $233,714,944)** | **Total Investment Companies — 1.0%<br>(Cost: $233,714,944)** | 235505777 |
|  **Total Long-Term Investments — 99.8%<br>(Cost: $15,985,847,362)** | **Total Long-Term Investments — 99.8%<br>(Cost: $15,985,847,362)** | 22832552925 |
|  **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 9.2%** | **Money Market Funds — 9.2%** | **Money Market Funds — 9.2%** |
|  BlackRock Cash Funds: Institutional,<br>SL Agency Shares, 4.53%<sup>(c)(d)(e)</sup>  | 1930563164 | 1931142333 |
|  BlackRock Cash Funds: Treasury,<br>SL Agency Shares, 4.12%<sup>(c)(d)</sup>  | 174719313 | 174719313 |
|  **Total Short-Term Securities — 9.2%<br>(Cost: $2,105,047,194)** | **Total Short-Term Securities — 9.2%<br>(Cost: $2,105,047,194)** | 2105861646 |
|  **Total Investments — 109.0%<br>(Cost: $18,090,894,556)** | **Total Investments — 109.0%<br>(Cost: $18,090,894,556)** | 24938414571 |
|  **Liabilities in Excess of Other Assets — (9.0)%** | **Liabilities in Excess of Other Assets — (9.0)%** | (2066735104) |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | $22871679467 |

---

<sup>(a)</sup> Non-income producing security.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Affiliate of the Master Portfolio.

<sup>(d)</sup> Annualized 7-day yield as of period end.

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

For Master Portfolio compliance purposes, the Master Portfolio's industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 29

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Large Cap Index Master Portfolio** |

---

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the Master Portfolio during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares<br>Held at<br>12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | $1584757900 | $346516465 <sup>(a)</sup> | $— | $(745651) | $613619 | $1931142333 | 1930563164 | $5298860 <sup>(b)</sup> | $— |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 227588973 |  | (52869660)<sup>(a)</sup> |  |  | 174719313 | 174719313 | 2615159 |  |
|  BlackRock, Inc. | 70074216 | 15421009 | (2313324) | (554292) | (14867700) | 67759909 | 95621 | 1700812 |  |
|  iShares Russell 1000 ETF | 229918183 | 3206019165 | (3150132529) | (19552089) | (30746953) | 235505777 | 1118686 | 2589554 |  |
|  |  |  |  | $(20852032) | $(45001034) | $2409127332 |  | $12204385 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

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

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 400 E-Mini Index | 52 | 03/17/23 | $12702 | $(276009) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 772 | 03/17/23 | 149035 | (4555039) |
|  |  |  |  | $(4831048) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup>  | $— | $— | $4831048 | $— | $— | $— | $4831048 |

---

<sup>(a)</sup> Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Master Portfolio Schedule of Investments. In the Statement of Assets and Liabilities, only current day's variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in net unrealized appreciation (depreciation). 

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statement of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(21177520) | $— | $— | $— | $(21177520) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(7408935) | $— | $— | $— | $(7408935) |

---

30 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Large Cap Index Master Portfolio** |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $167286864 |

---

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

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the Master Portfolio's financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aerospace & Defense | $428482934 | $— | $— | $428482934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Freight & Logistics | 128054160 |  |  | 128054160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Airlines | 45371060 |  |  | 45371060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Auto Components | 31493393 |  |  | 31493393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Automobiles | 277070955 |  |  | 277070955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Banks | 854794859 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 854794859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Beverages | 400112782 |  |  | 400112782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Biotechnology | 605769511 |  |  | 605769511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Building Products | 131491901 |  |  | 131491901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Capital Markets | 746833366 |  |  | 746833366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chemicals | 422514069 |  |  | 422514069 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Services & Supplies | 124045912 |  |  | 124045912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Communications Equipment | 192163548 |  |  | 192163548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Construction & Engineering | 37479542 |  |  | 37479542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Construction Materials | 31182211 |  |  | 31182211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Consumer Finance | 120741415 |  |  | 120741415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Containers & Packaging | 83185329 |  |  | 83185329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distributors | 31242296 |  |  | 31242296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diversified Consumer Services | 16263509 |  |  | 16263509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diversified Financial Services | 385432336 |  |  | 385432336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diversified Telecommunication Services | 196937619 |  |  | 196937619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Electric Utilities | 441043201 |  |  | 441043201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Electrical Equipment | 154515408 |  |  | 154515408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Electronic Equipment, Instruments & Components | 140102047 |  |  | 140102047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Equipment & Services | 93362096 |  |  | 93362096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Entertainment | 307196079 |  |  | 307196079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Real Estate Investment Trusts (REITs) | 675199509 |  |  | 675199509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Food & Staples Retailing | 342670374 |  |  | 342670374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Food Products | 271605310 |  |  | 271605310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Gas Utilities | 18464204 |  |  | 18464204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Health Care Equipment & Supplies | 620514610 |  |  | 620514610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Health Care Providers & Services | 782496316 |  |  | 782496316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Health Care Technology | 20535343 |  |  | 20535343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hotels, Restaurants & Leisure | 478389962 |  |  | 478389962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Household Durables | 81915720 |  |  | 81915720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Household Products | 324622074 |  |  | 324622074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Independent Power and Renewable Electricity Producers | 20360826 |  |  | 20360826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Industrial Conglomerates | 192800947 |  |  | 192800947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Insurance | 575141050 |  |  | 575141050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interactive Media & Services | 837254782 |  |  | 837254782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Internet & Direct Marketing Retail | 509121270 |  |  | 509121270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; IT Services | &nbsp;&nbsp;&nbsp;&nbsp;1046264960 |  |  | &nbsp;&nbsp;&nbsp;&nbsp;1046264960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Leisure Products | 19721668 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 19721668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Life Sciences Tools & Services | 430682915 |  |  | 430682915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Machinery | 444147286 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54645 |  | 444201931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Marine | 2364090 |  |  | 2364090 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 31

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Large Cap Index Master Portfolio** |

---

**Fair Value Hierarchy as of Period End (continued)**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Media | $198031936 | $— | $— | $198031936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Metals & Mining | 122983262 |  |  | 122983262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mortgage Real Estate Investment Trusts (REITs) | 15555037 |  |  | 15555037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Multiline Retail | 106893161 |  |  | 106893161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Multi-Utilities | 183119627 |  |  | 183119627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | 1078717318 |  |  | 1078717318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paper & Forest Products | 2640320 |  |  | 2640320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Personal Products | 38471741 |  |  | 38471741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pharmaceuticals | 1037944360 |  |  | 1037944360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional Services | 114949910 |  |  | 114949910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Real Estate Management & Development | 26544591 |  |  | 26544591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Road & Rail | 242317029 |  |  | 242317029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Semiconductors & Semiconductor Equipment | 1043284374 |  |  | 1043284374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Software | 1961340832 |  |  | 1961340832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Specialty Retail | 540295053 |  |  | 540295053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Technology Hardware, Storage & Peripherals | 1300607527 |  |  | 1300607527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Textiles, Apparel & Luxury Goods | 154794528 |  |  | 154794528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Thrifts & Mortgage Finance | 7193829 |  |  | 7193829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tobacco | 152164919 |  |  | 152164919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trading Companies & Distributors | 70224892 |  |  | 70224892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Water Utilities | 24614183 |  |  | 24614183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wireless Telecommunication Services | 53149320 |  |  | 53149320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | 235505777 |  |  | 235505777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 2105861646 |  |  | 2105861646 |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;24938359926 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54645 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;24938414571 |
|  Derivative Financial Instruments<sup>(a)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | $(4831048) | $— | $— | $(4831048) |

---

<sup>(a)</sup> Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

32 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statement of Assets and Liabilities

December 31, 2022

---

| | |
|:---|:---|
| | Large Cap Index<br>Master Portfolio |
|  **ASSETS** |  |
|  Investments, at value — unaffiliated<sup>(a)(b)</sup>  | $22529287239 |
|  Investments, at value — affiliated<sup>(c)</sup>  | 2409127332 |
|  Cash pledged for futures contracts | 9792100 |
|  Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated | 465167 |
| &nbsp;&nbsp;&nbsp;&nbsp; Contributions from investors | 254489468 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | 20029169 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 542062 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 2440643 |
|  Prepaid expenses | 59041 |
|  Total assets | 25226232221 |
|  **LIABILITIES** |  |
|  Bank overdraft | 2766618 |
|  Collateral on securities loaned | 1933001707 |
|  Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 418005103 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services fees | 64850 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 570312 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' and Officer's fees | 61727 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accrued expenses | 7587 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 74850 |
|  Total liabilities | 2354552754 |
|  NET ASSETS | $22871679467 |
|  **NET ASSETS CONSIST OF** |  |
|  Investors' capital | $16028990500 |
|  Net unrealized appreciation (depreciation) | 6842688967 |
|  NET ASSETS | $22871679467 |
|  <sup>(a)</sup> Investments, at cost — unaffiliated | $15707912165 |
|  <sup>(b)</sup> Securities loaned, at value | $1883309948 |
|  <sup>(c)</sup> Investments, at cost — affiliated | $2382982391 |

---

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L S T A T E M E N T S 33

------

Statement of Operations

Year Ended December 31, 2022

---

| | |
|:---|:---|
| | Large Cap Index<br>Master Portfolio |
|  **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $354184271 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 6907483 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 96759 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 5296902 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | (64734) |
|  Total investment income | 366420681 |
|  EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 6873547 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian | 344174 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees and Officer | 244551 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 92877 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage | 7281 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 177176 |
|  Total expenses | 7739606 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (179798) |
|  Total expenses after fees waived and/or reimbursed | 7559808 |
|  Net investment income | 358860873 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized loss from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (264656105) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (20852032) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (21177520) |
|  | (306685657) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (4884531040) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (45001034) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (7408935) |
|  | (4936941009) |
|  Net realized and unrealized loss | (5243626666) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(4884765793) |

---

*See notes to financial statements.* 

34 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statements of Changes in Net Assets

---

| | | |
|:---|:---|:---|
|  | Large Cap Index Master Portfolio | Large Cap Index Master Portfolio |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |
|  **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $358860873 | $293981025 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (306685657) | 164213243 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (4936941009) | 4701713975 |
|  Net increase (decrease) in net assets resulting from operations | (4884765793) | 5159908243 |
|  **CAPITAL TRANSACTIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from contributions | 5876789557 | 3037786941 |
| &nbsp;&nbsp;&nbsp;&nbsp; Value of withdrawals | (2485769249) | (3164855949) |
|  Net increase (decrease) in net assets derived from capital transactions | 3391020308 | (127069008) |
|  *NET ASSETS* |  |  |
|  Total increase (decrease) in net assets | (1493745485) | 5032839235 |
|  Beginning of year | 24365424952 | 19332585717 |
|  End of year | $22871679467 | $24365424952 |

---

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L S T A T E M E N T S 35

------

Financial Highlights

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Large Cap Index Master Portfolio | Large Cap Index Master Portfolio | Large Cap Index Master Portfolio | Large Cap Index Master Portfolio | Large Cap Index Master Portfolio |
| | <br> Year Ended<br>12/31/22 | <br> Year Ended<br>12/31/21 | <br> Year Ended<br>12/31/20 | <br> Year Ended<br>12/31/19 | <br> Year Ended<br>12/31/18 |
|  **Total Return** |  |  |  |  |  |
|  Total return | (19.09)% | 26.42% | 20.89% | 31.33% | (4.81)% |
|  **Ratios to Average Net Assets<sup>(a)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.03% | 0.03% | 0.04% | 0.03% | 0.04% |
|  Total expenses after fees waived and/or reimbursed | 0.03% | 0.03% | 0.03% | 0.03% | 0.03% |
|  Net investment income | 1.57% | 1.32% | 1.76% | 1.92% | 1.97% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $22871679 | $24365425 | $19332586 | $15141734 | $10279955 |
|  Portfolio turnover rate | 22% | 17% | 14% | 10% | 12% |

---

<sup>(a)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

*See notes to financial statements.* 

36 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements

***1.***  ***ORGANIZATION*** 

Master Investment Portfolio ("MIP") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. MIP is organized as a Delaware statutory trust. Large Cap Index Master Portfolio (the "Master Portfolio") is a series of MIP. The Master Portfolio is classified as diversified.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Fund Advisors ("BFA" or the "Manager") or its affiliates, is included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

***2.***  ***SIGNIFICANT ACCOUNTING POLICIES*** 

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

**Investment Transactions and Income Recognition:** For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.

**Foreign Taxes:** The Master Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Master Portfolio invests. These foreign taxes, if any, are paid by the Master Portfolio and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as "Foreign taxes withheld", and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2022, if any, are disclosed in the Statement of Assets and Liabilities.

The Master Portfolio files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Master Portfolio may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction's applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

**Collateralization:** If required by an exchange or counterparty agreement, the Master Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

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

**Other:** Expenses directly related to the Master Portfolio are charged to the Master Portfolio. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

***3.***  ***INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*** 

**Investment Valuation Policies:** The Master Portfolio's investments are valued at fair value (also referred to as "market value" within the financial statements) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of MIP (the "Board") has approved the designation of the Master Portfolio's Manager as the valuation designee for the Master Portfolio. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager's policies. If a security's market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager's policies and procedures as reflecting fair value. The Manager has formed a committee (the "Valuation Committee") to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

**Fair Value Inputs and Methodologies:** The following methods and inputs are used to establish the fair value of the Master Portfolio's assets and liabilities:

&nbsp;&nbsp;&nbsp;&nbsp;• Equity investments traded on a recognized securities exchange are valued at that day's official closing price, as
applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

&nbsp;&nbsp;&nbsp;&nbsp;• Investments in open-end U.S. mutual funds (including money market funds) are
valued at that day's published net asset value ("NAV").

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 37

------

Notes to Financial Statements (continued)

&nbsp;&nbsp;&nbsp;&nbsp;• Futures contracts are valued based on that day's last reported settlement or trade price on the exchange where the
contract is traded.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the New York Stock Exchange ("NYSE"). Each business day, the Master Portfolio uses current market factors supplied by independent pricing services to value certain foreign instruments ("Systematic Fair Value Price"). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager's policies and procedures as reflecting fair value ("Fair Valued Investments"). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that the Master Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm's-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.

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

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the
Master Portfolio has the ability to access;

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

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

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

***4.***  ***SECURITIES AND OTHER INVESTMENTS*** 

**Securities Lending:** The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. ("BTC"), if any, is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Master Portfolio, except in the event of borrower default. The securities on loan, if any, are disclosed in the Master Portfolio's Schedule of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value –unaffiliated and collateral on securities loaned, respectively.

Securities lending transactions are entered into by the Master Portfolio under Master Securities Lending Agreements (each, an "MSLA"), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty's bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties' obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party's net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

38 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

As of period end, the following table is a summary of the Master Portfolio's securities on loan by counterparty which are subject to offset under an MSLA:

---

| | | | |
|:---|:---|:---|:---|
| *Counterparty* | *Securities<br>Loaned at Value* | *Cash Collateral<br>Received <br><sup>(a)</sup>* |  |
|  Barclays Bank PLC | $320152546 | $(320152546) | $– |
|  Barclays Capital, Inc. | 50051965 | (50051965) | – |
|  BMO Capital Markets Corp. | 483259 | (483259) | – |
|  BNP Paribas SA | 209577061 | (209577061) | – |
|  BofA Securities, Inc. | 295600854 | (295600854) | – |
|  Citadel Clearing LLC | 23482324 | (23482324) | – |
|  Credit Suisse Securities (USA) LLC | 68686 | (68686) | – |
|  Goldman Sachs & Co. LLC | 155301593 | (155301593) | – |
|  HSBC Bank PLC | 37863833 | (37863833) | – |
|  ING Financial Markets LLC | 706 | (706) | – |
|  J.P. Morgan Securities LLC | 196993559 | (196993559) | – |
|  Jefferies LLC | 7269724 | (7269724) | – |
|  Mizuho Securities USA LLC | 8841840 | (8841840) | – |
|  Morgan Stanley | 172981505 | (172981505) | – |
|  Natixis SA | 4215087 | (4215087) | – |
|  Nomura Securities International, Inc. | 302779 | (302779) | – |
|  RBC Capital Markets LLC | 100474458 | (100474458) | – |
|  Scotia Capital (USA), Inc. | 56117098 | (56117098) | – |
|  SG Americas Securities LLC | 86267779 | (86267779) | – |
|  State Street Bank & Trust Co. | 4913403 | (4913403) | – |
|  Toronto-Dominion Bank | 37668405 | (37668405) | – |
|  UBS AG | 52726960 | (52726960) | – |
|  UBS Securities LLC | 47634981 | (47634981) | – |
|  Virtu Americas LLC | 797844 | (797844) | – |
|  Wells Fargo Bank N.A | 7615927 | (7615927) | – |
|  Wells Fargo Securities LLC | 5905772 | (5905772) | – |
|  | $1883309948 | $(1883309948) | $– |

---

<sup>(a)</sup> Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio's Statement of Assets and Liabilities. 

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

***5.***  ***DERIVATIVE FINANCIAL INSTRUMENTS*** 

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter ("OTC").

**Futures Contracts:** Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract's size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract ("variation margin"). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 39

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Notes to Financial Statements (continued)

***6.***  ***INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*** 

**Investment Advisory:** MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio's investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of the Master Portfolio's portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Master Portfolio.

For such services, the Master Portfolio pays the Manager a monthly fee at an annual rate equal to 0.03% of the average daily value of the Master Portfolio's net assets.

BlackRock Advisors, LLC ("BAL") is not entitled to compensation for providing administrative services to the Master Portfolio, for so long as BAL (or an affiliate) is entitled to compensation for providing administrative services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolio, or BAL (or an affiliate) receives investment advisory fees from the Master Portfolio.

**Expense Waivers and Reimbursements:** The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the "affiliated money market fund waiver") through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the trustees who are not "interested persons" of MIP, as defined in the 1940 Act ("Independent Trustees"), or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the amounts waived were $117,999.

The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Master Portfolio's assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the Manager waived $61,799 in investment advisory fees pursuant to this arrangement.

**Securities Lending:** The U.S. Securities and Exchange Commission ("SEC") has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan (the "collateral investment fees"). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund's weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, the Master Portfolio retains 81% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 81% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Master Portfolio is shown as securities lending income — affiliated — net in the Statement of Operations. For the year ended December 31, 2022, the Master Portfolio paid BTC $1,965,410 for securities lending agent services.

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the SEC, the Master Portfolio may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Master Portfolio's investment policies and restrictions. The Master Portfolio is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended December 31, 2022, the Master Portfolio did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of the Master Portfolio are directors and/or officers of BlackRock or its affiliates.

40 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

**Other Transactions:** The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended December 31, 2022, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

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| | | | |
|:---|:---|:---|:---|
| *Master Portfolio Name* | *Purchases* | *Sales* | *Net Realized<br>Gain (Loss)* |
|  Large Cap Index Master Portfolio | $851997251 | $246959024 | $(86346317) |

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***7.***  ***PURCHASES AND SALES*** 

For the year ended December 31, 2022, purchases and sales of investments, excluding short-term securities, were $8,725,515,234 and $4,936,718,009, respectively.

***8.***  ***INCOME TAX INFORMATION*** 

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

The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Master Portfolio's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Master Portfolio as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio's financial statements.

As of December 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

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| | | | | |
|:---|:---|:---|:---|:---|
| *Master Portfolio Name* | *Tax Cost* | *Gross Unrealized<br>Appreciation* | *Gross Unrealized<br>Depreciation* | *Net Unrealized<br>Appreciation<br>(Depreciation)* |
|  Large Cap Index Master Portfolio | $18771525269 | $7704241689 | $(1537352387) | $6166889302 |

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***9.***  ***BANK BORROWINGS*** 

MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates ("Participating Funds"), are a party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate ("OBFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate ("SOFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2023 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2022, the Master Portfolio did not borrow under the credit agreement.

***10.***  ***PRINCIPAL RISKS*** 

In the normal course of business, the Master Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio's prospectus provides details of the risks to which the Master Portfolio is subject.

BFA uses a "passive" or index approach to try to achieve the Master Portfolio's investment objective following the securities included in its underlying index during upturns as well as downturns. BFA does not take steps to reduce market exposure or to lessen the effects of a declining market. Divergence from the underlying index and the composition of the portfolio is monitored by BFA.

The Master Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 41

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Notes to Financial Statements (continued)

**Infectious Illness Risk:** An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

**Valuation Risk:** The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Master Portfolio may invest in illiquid investments. An illiquid investment is any investment that the Master Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Master Portfolio may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Master Portfolio's NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Master Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Master Portfolio invests.

**Counterparty Credit Risk:** The Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio's exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

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

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

**Significant Shareholder Redemption Risk:** Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund's NAV, increase the fund's brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

**LIBOR Transition Risk:** The United Kingdom's Financial Conduct Authority announced a phase out of the London Interbank Offered Rate ("LIBOR"). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Master Portfolio may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Master Portfolio is uncertain.

***11.***  ***SUBSEQUENT EVENTS*** 

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

42 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Master Investment Portfolio and Investors of Large Cap Index Master Portfolio

**Opinion on the Financial Statements** 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Large Cap Index Master Portfolio (one of the series constituting Master Investment Portfolio, referred to hereafter as the "Master Portfolio") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Master Portfolio as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 23, 2023

We have served as the auditor of one or more BlackRock investment companies since 2000.

M A S T E R P O R T F O L I O R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M 43

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Statement Regarding Liquidity Risk Management Program

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), BlackRock Funds III and Master Investment Portfolio (the "Trusts") have adopted and implemented a liquidity risk management program (the "Program") for iShares Russell 1000 Large-Cap Index Fund and Large Cap Index Master Portfolio (the "Funds"), each a series of the respective Trust, which is reasonably designed to assess and manage each Fund's liquidity risk.

The Board of Trustees (the "Board") of the Trusts, on behalf of the Funds, met on November 8-9, 2022 (the "Meeting") to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors ("BlackRock"), each an investment adviser to certain BlackRock funds, as the program administrator for each Fund's Program, as applicable. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the "Committee"). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund's Highly Liquid Investment Minimum ("HLIM") where applicable, and any material changes to the Program (the "Report"). The Report covered the period from October 1, 2021 through September 30, 2022 (the "Program Reporting Period").

The Report described the Program's liquidity classification methodology for categorizing each Fund's investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund's HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund's liquidity risk, as follows:

a)  ***The Fund's investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed
whether each Fund's strategy is appropriate for an open-end fund structure with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also
factored a fund's concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a fund participated in borrowings for investment purposes (such as tender option bonds or reverse
repurchase agreements), such borrowings were factored into the Program's calculation of a fund's liquidity bucketing. A fund's derivative exposure was also considered in such calculation.

b)  ***Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed historical redemption activity
and used this information as a component to establish each Fund's reasonably anticipated trading size utilized for liquidity classifications. Each Fund has adopted an in-kind redemption policy which may
be utilized to meet larger redemption requests. The Committee may also take into consideration a fund's shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund's
distribution channels, and the degree of certainty associated with a fund's short-term and long-term cash flow projections.

c)  ***Holdings of cash and cash equivalents, as well as borrowing arrangements.*** The Committee considered the terms of the credit facility committed to each Fund, the financial health of the institution providing
the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V,
and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). The Committee also considered other types of borrowing available to the Funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.

There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program's classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

44 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Trustee and Officer Information

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During<br>Past 5 Years** |
| **Mark Stalnecker**<br> 1951 | Chair of the Board<br>(Since 2019) and<br>Trustee<br>(Since 2015) | Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees' Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014. | 28 RICs consisting of 164 Portfolios |  |
| **Susan J. Carter**<br>1956 | Trustee<br>(Since 2016) | Trustee, Financial Accounting Foundation from 2017 to 2021; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business from 1997 to 2021; Director, Pacific Pension Institute from 2014 to 2018; Senior Advisor, Commonfund Capital, Inc. ("CCI") (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof since 2018; Advisory Board Member, Bridges Fund Management since 2016; Practitioner Advisory Board Member, Private Capital Research Institute ("PCRI") since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019; Advisor to Finance Committee, Altman Foundation since 2020; Investment Committee Member, Tostan since 2021. | 28 RICs consisting of 164 Portfolios |  |
| **Collette Chilton**<br>1958 | Trustee<br>(Since 2015) | Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006; Director, Boys and Girls Club of Boston since 2017; Director, B1 Capital since 2018; Director, David and Lucile Packard Foundation since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Neil A. Cotty**<br>1954 | Trustee<br>(Since 2016) | Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002. | 28 RICs consisting of 164 Portfolios |  |
| **Lena G. Goldberg**<br>1949 | Trustee<br>(Since 2019) | Director, Charles Stark Draper Laboratory, Inc. from 2013 to 2021; Senior Lecturer, Harvard Business School from 2008 to 2021; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985. | 28 RICs consisting of 164 Portfolios |  |

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T R U S T E E A N D O F F I C E R I N F O R M A T I O N 45

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During<br>Past 5 Years** |
| **Henry R. Keizer**<br>1956 | Trustee<br>(Since 2019) | Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010. | 28 RICs consisting of 164 Portfolios | Hertz Global Holdings (car rental) from 2015 to 2021; GrafTech International Ltd. (materials manufacturing); WABCO (commercial vehicle safety systems) from 2015 to 2020; Sealed Air Corp. (packaging) from 2015 to 2021 |
| **Cynthia A. Montgomery**<br>1952 | Trustee<br>(Since 2009) | Professor, Harvard Business School since 1989. | 28 RICs consisting of 164 Portfolios |  |
| **Donald C. Opatrny**<br>1952 | Trustee<br>(Since 2019) | Director, Athena Capital Advisors LLC (investment management firm) from 2013 to 2020; Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University from 2004 to 2019; President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018; Member of the Board and Investment Committee, University School from 2007 to 2018; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyoming since 2017; Member, Investment Funds Committee, State of Wyoming since 2017; Trustee, Phoenix Art Museum since 2018; Trustee, Arizona Community Foundation and Member of Investment Committee since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Joseph P. Platt**<br>1947 | Trustee<br>(Since 2009) | General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, Basic Health International (non-profit) since 2015. | 28 RICs consisting of 164 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company); Consol Energy Inc. |
| **Kenneth L. Urish**<br>1951 | Trustee<br>(Since 2009) | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past- Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since founding in 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter- Tel from 2006 to 2007; Member, Advisory Board, ESG Competent Boards since 2020. | 28 RICs consisting of 164 Portfolios |  |

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46 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During<br>Past 5 Years** |
| **Claire A. Walton**<br> 1957 | Trustee<br>(Since 2016) | Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; General Partner of Neon Liberty Capital Management, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Woodstock Ski Runners since 2013; Director, Massachusetts Council on Economic Education from 2013 to 2015. | 28 RICs consisting of 164 Portfolios |  |
|  |  | **Interested Trustees<sup>(a)(d)</sup>** |  |  |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships<br>Held During<br>Past 5 Years** |
| **Robert Fairbairn**<br> 1965 | Trustee<br>(Since 2018) | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock's Global Executive and Global Operating Committees; Co-Chair of BlackRock's Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock's Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock's Retail and iShares<sup>®</sup> businesses from 2012 to 2016. | 98 RICs consisting of 266 Portfolios |  |
| **John M. Perlowski**<sup>(e)</sup>****<br> 1964 | Trustee<br>(Since 2015) President and Chief Executive Officer (Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 100 RICs consisting of 268 Portfolios |  |
|  <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. |
|  <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. | <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. | <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. | <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. | <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. |
|  <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. | <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. | <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. | <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. | <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. |
|  <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. | <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. | <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. | <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. | <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. |
|  <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. |

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T R U S T E E A N D O F F I C E R I N F O R M A T I O N 47

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Trustee and Officer Information (continued)

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| | | |
|:---|:---|:---|
| **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held<br>(Length of Service)** | **Principal Occupation(s) During Past 5 Years** |
| **Roland Villacorta**<br> 1971 | Vice President (Since 2022) | Managing Director of BlackRock, Inc. since 2022; Head of Global Cash Management and Head of Securities Lending within BlackRock's Portfolio Management Group since 2022; Member of BlackRock's Global Operating Committee since 2022; Head of Portfolio Management in BlackRock's Financial Markets Advisory Group within BlackRock Solutions from 2008 to 2015; Co-Head of BlackRock Solutions' Portfolio Analytics Group; previously Mr. Villacorta was Co-Head of Fixed Income within BlackRock's Risk & Quantitative Analysis Group. |
| **Jennifer McGovern**<br> 1977 | Vice President (Since 2014) | Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock's Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock's U.S. Wealth Advisory Group from 2013 to 2019. |
| **Trent Walker**<br> 1974 | Chief Financial Officer (Since 2021) | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. |
| **Jay M. Fife**<br> 1970 | Treasurer (Since 2009) | Managing Director of BlackRock, Inc. since 2007. |
| **Charles Park**<br> 1967 | Chief Compliance Officer (Since 2014) | Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares<sup>®</sup> Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors ("BFA") since 2006; Chief Compliance Officer for the BFA-advised iShares<sup>®</sup> exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. |
| **Lisa Belle**<br> 1968 | Anti-Money Laundering Compliance Officer (Since 2019) | Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012. |
| **Janey Ahn**<br> 1975 | Secretary (Since 2019) | Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. |
| <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. | <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. | <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. |
| <sup>(b)</sup> Officers of the Trust/MIP serve at the pleasure of the Board. | <sup>(b)</sup> Officers of the Trust/MIP serve at the pleasure of the Board. | <sup>(b)</sup> Officers of the Trust/MIP serve at the pleasure of the Board. |

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Further information about the Trust's/MIP's Trustees and Officers is available in the Trust's/MIP's Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

Effective March 31, 2022, Thomas Callahan resigned as a Vice President of the Trust/MIP and effective May 10, 2022, Roland Villacorta was appointed as a Vice President of the Trust/MIP.

Effective December 31, 2022, Joseph P. Platt retired as a Trustee of the Trust/MIP.

48 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Additional Information

**General Information** 

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Fund/Master Portfolio may be found on BlackRock's website, which can be accessed at **blackrock.com**. Any reference to BlackRock's website in this report is intended to allow investors public access to information regarding the Fund/Master Portfolio and does not, and is not intended to, incorporate BlackRock's website in this report.

**Householding** 

The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called "householding" and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Fund at (800) 441-7762.

**Availability of Quarterly Schedule of Investments** 

The Fund/Master Portfolio file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Fund's/Master Portfolio's Forms N-PORT are available on the SEC's website at **sec.gov**. Additionally, the Fund/Master Portfolio makes their portfolio holdings for the first and third quarters of each fiscal year available at **blackrock.com/fundreports**.

**Availability of Proxy Voting Policies, Procedures and Voting Records** 

A description of the policies and procedures that the Fund/Master Portfolio use to determine how to vote proxies relating to portfolio securities and information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund's/Master Portfolio's portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at **blackrock.com**; and (3) on the SEC's website at **sec.gov**.

**BlackRock's Mutual Fund Family** 

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

**Shareholder Privileges** 

**Account Information** 

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit **blackrock.com** for more information.

**Automatic Investment Plans** 

Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

**Systematic Withdrawal Plans** 

Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.

**Retirement Plans** 

Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.

**BlackRock Privacy Principles** 

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, "Clients") and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

A D D I T I O N A L I N F O R M A T I O N 49

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Additional Information (continued)

**BlackRock Privacy Principles (continued)** 

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

**Fund and/or MIP Service Providers** 

**Investment Adviser** 

BlackRock Fund Advisors

San Francisco, CA 94105

**Administrator** 

BlackRock Advisors, LLC

Wilmington, DE 19809

**Accounting Agent and Custodian** 

State Street Bank and Trust Company

Boston, MA 02111

**Transfer Agent** 

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

**Distributor** 

BlackRock Investments, LLC

New York, NY 10022

**Independent Registered Public Accounting Firm** 

PricewaterhouseCoopers LLP

Philadelphia, PA 19103

**Legal Counsel** 

Sidley Austin LLP

New York, NY 10019

**Address of the Trust/MIP** 

400 Howard Street

San Francisco, CA 94105

50 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Glossary of Terms Used in this Report

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| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| ETF | Exchange-Traded Fund |
| MSCI | Morgan Stanley Capital International |
| REIT | Real Estate Investment Trust |
| S&P | Standard & Poor's |

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G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T 51

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**Want to know more?** 

blackrock.com \| 800-441-7762

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund's current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

LCI-12/22-AR

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| | |
|:---|:---|
| ![LOGO](g456847g42l24.jpg)  | ![LOGO](g456847leaf.jpg) |

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| | |
|:---|:---|
| ![LOGO](g362996g42l24.jpg)  | **DECEMBER 31, 2022** |

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**2022 Annual Report**

**BlackRock Funds III** 

· iShares S&P 500 Index Fund

&nbsp;&nbsp;&nbsp;**Not FDIC Insured • May Lose Value • No Bank Guarantee** 

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The Markets in Review

Dear Shareholder,

Significant economic headwinds emerged during the 12-month reporting period ended December 31, 2022, as investors navigated changing economic conditions and volatile markets. The U.S. economy shrank in the first half of 2022 before returning to modest growth in the third quarter, marking a shift to a more challenging post-reopening economic environment. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high before beginning to moderate. Moreover, while the foremost effect of Russia's invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.

Equity prices fell as interest rates rose, particularly during the first half of the reporting period. Both large- and small-capitalization U.S. stocks fell, although equities began to recover in the second half of the year as inflation eased and economic growth resumed. Emerging market stocks and international equities from developed markets declined overall, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield rose notably during the reporting period, driving its price down, as investors reacted to fluctuating inflation data and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and heightened uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the "Fed"), acknowledging that inflation has been more persistent than expected, raised interest rates seven times. Furthermore, the Fed wound down its bond-buying programs and is accelerating the reduction of its balance sheet. While the Fed suggested that additional rate hikes were likely, it also gave indications that the pace of increases would slow if inflation continued to subside.

The pandemic's restructuring of the economy brought an ongoing mismatch between supply and demand, contributing to the current inflationary regime. While growth slowed in 2022, we believe that taming inflation requires a more dramatic economic decline to bring demand back to a level more in line with the economy's capacity. The Fed has been raising interest rates at the fastest pace in decades, and seems set to overtighten in its effort to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, but this prospect has not yet been fully priced in by markets. Investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions.

In this environment, while we favor an overweight to equities in the long-term, the market's concerns over excessive rate hikes from central banks moderate our outlook. Rising input costs and a deteriorating economic backdrop are likely to challenge corporate earnings, so we are underweight equities overall in the near term. However, we see better opportunities in credit, where valuations are attractive and higher yields provide income opportunities. We believe that global investment-grade corporates, global inflation-linked bonds, and U.S. mortgage-backed securities offer strong opportunities for a six- to twelve-month horizon.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit **blackrock.com** for further insight about investing in today's markets.

Sincerely,

![LOGO](g362996sig_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

![LOGO](g362996photo_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

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| | | |
|:---|:---|:---|
| **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** |
|  | *6-Month* | *12-Month* |
| &nbsp;&nbsp;&nbsp; U.S. large cap equities<br>(S&P 500<sup>®</sup> Index) | 2.31% | (18.11)% |
| &nbsp;&nbsp;&nbsp; U.S. small cap equities<br>(Russell 2000<sup>®</sup> Index) | 3.91 | (20.44) |
| &nbsp;&nbsp;&nbsp; International equities<br>(MSCI Europe, Australasia, Far East Index) | 6.36 | (14.45) |
| &nbsp;&nbsp;&nbsp; Emerging market equities<br>(MSCI Emerging Markets Index) | (2.99) | (20.09) |
| &nbsp;&nbsp;&nbsp; 3-month Treasury bills<br>(ICE BofA 3-Month U.S. Treasury Bill Index) | 1.32 | 1.47 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury securities<br>(ICE BofA 10-Year U.S. Treasury Index) | (5.58) | (16.28) |
| &nbsp;&nbsp;&nbsp; U.S. investment grade bonds<br>(Bloomberg U.S. Aggregate Bond Index) | (2.97) | (13.01) |
| &nbsp;&nbsp;&nbsp; Tax-exempt municipal bonds<br>(Bloomberg Municipal Bond Index) | 0.50 | (8.53) |
| &nbsp;&nbsp;&nbsp; U.S. high yield bonds<br>(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | 3.50 | (11.18) |
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |

---

2 T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T

------

**Table of Contents**

---

| | |
|:---|:---|
| | **Page** |
|  [The Markets in Review](#tx362996_1) | 2 |
|  **Annual Report:** |  |
|  [Fund Summary](#tx362996_2) | 4 |
|  [About Fund Performance](#tx362996_3) | 6 |
|  [Disclosure of Expenses](#tx362996_4) | 6 |
|  [Derivative Financial Instruments](#tx362996_5) | 7 |
|  Fund Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statement of Assets and Liabilities](#tx362996_7) | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statement of Operations](#tx362996_8) | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statements of Changes in Net Assets](#tx362996_9) | 11 |
|  [Fund Financial Highlights](#tx362996_10) | 12 |
|  [Fund Notes to Financial Statements](#tx362996_11) | 18 |
|  [Fund Report of Independent Registered Public Accounting Firm](#tx362996_12) | 22 |
|  [Important Tax Information](#tx362996_13) | 23 |
|  [Master Portfolio Information](#tx362996_14) | 24 |
|  Master Portfolio Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Schedule of Investments](#tx362996_14a) | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statement of Assets and Liabilities](#tx362996_15) | 33 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statement of Operations](#tx362996_16) | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statements of Changes in Net Assets](#tx362996_17) | 35 |
|  [Master Portfolio Financial Highlights](#tx362996_18) | 36 |
|  [Master Portfolio Notes to Financial Statements](#tx362996_19) | 37 |
|  [Master Portfolio Report of Independent Registered Public Accounting Firm](#tx362996_20) | 43 |
|  [Statement Regarding Liquidity Risk Management Program](#tx362996_21) | 44 |
|  [Trustee and Officer Information](#tx362996_22) | 45 |
|  [Additional Information](#tx362996_23) | 49 |
|  [Glossary of Terms Used in this Report](#tx362996_24) | 51 |

---

![LOGO](g362996dsp003.jpg)

3.0 ------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **iShares S&P 500 Index Fund** |

---

**Investment Objective** 

**iShares S&P 500 Index Fund's (the "Fund")** investment objective is to seek to provide investment results that correspond to the total return performance of publicly-traded common stocks in the aggregate, as represented by the Standard & Poor's 500<sup>®</sup> Index ("S&P 500<sup>®</sup> Index").

**Portfolio Management Commentary** 

**How did the Fund perform?** 

For the 12-month period ended December 31, 2022, the Fund's Institutional Shares returned (18.18)%, Service Shares returned (18.28)%, Investor A Shares returned (18.39)%, Class G Shares returned (18.12)%, Class K Shares returned (18.13)%, and Investor P Shares returned (18.40)%. The benchmark S&P 500<sup>®</sup> Index returned (18.11)% for the same period.

Returns for the Fund's respective share classes differ from the benchmark index based on individual share-class expenses. The Fund invests all of its assets in S&P 500 Index Master Portfolio (the "Master Portfolio"), a series of Master Investment Portfolio.

**Describe the market environment.** 

Geopolitical tension after the Russian invasion of Ukraine in February 2022 fueled existing concerns over rising inflation, interest rate hikes, and rallying commodity prices. On the other hand, economic data in the United States remained strong with robust employment numbers and corporate earnings results. This provided comfort to investors but added to U.S. policy makers challenges. Investors were concerned that the Fed may dampen growth in an effort to get inflation under control.

Commodity prices spiked in the first quarter of 2022 and pushed expectations for a higher inflation rate. The Fed hiked the interest rate by 25 basis points and signaled hikes at all six-remaining meetings for the year in efforts to tackle the highest inflation rate in four decades.

Concerns about high inflation, growth outlook and recession fears increased in the United States during the second quarter. While the unemployment rate remained low and wage growth strong, consumer sentiment went down as consumers struggled with higher prices and borrowing costs. The increased expectation of an interest rate hike weighed down on U.S. equity market valuations.

As the Fed continued to grapple with inflation, their messaging evolved over the second quarter 2022. Initially, Chairman Jerome Powell adopted a more hawkish tone stating that they would not hesitate to raise interest rates beyond neutral to achieve its inflation target and would be willing to accept an increase in unemployment rate. But as risks to growth increased over the quarter and recession fears intensified, the number and magnitude of future rate hikes beyond July 2022 remained unclear.

The U.S. equity market rallied in July 2022 on the back of softened tone from the Fed signaling slower rate rise in 2023. However, the Fed's hawkish tone later in the quarter at the Jackson Hole conference reaffirmed its commitment to fighting inflation. In their battle against high inflation rate, the U.S. congress passed a new bill which aimed to reduce inflation by curbing the deficit.

U.S. economic data showed a decline in growth over the first two quarters of the year, but other economic data released over the quarter highlighted the resilience of the U.S. economy. The labor market added 315,000 payroll jobs across the economy generating considerable household income gains.

The U.S. equity market rallied over the fourth quarter, despite tighter monetary policy. It posted positive returns in October and November 2022 while contractionary monetary policy targeted a higher inflation rate. The Fed reiterated their plan in December 2022 to continue tightening monetary policy as inflation remained well above target. Market performance dampened in December 2022.

In the fourth quarter of 2022, from a Global Industry Classification Standard sector perspective, energy (+65.72)%, utilities (+1.57)%, and consumer staples (-0.62)% were among the best performers. Information technology (-28.14)%, consumer discretionary (-37.03)%, and communication services (-39.89)% were among the worst performers.

**Describe recent portfolio activity.** 

During the 12-month period, as changes were made to the composition of the S&P 500<sup>®</sup> Index, the Master Portfolio purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index.

**Describe portfolio positioning at period end.** 

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

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

4 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **iShares S&P 500 Index Fund** |

---

**GROWTH OF $10,000 INVESTMENT**![LOGO](g362996dsp005.jpg)

<sup>(a)</sup> Assuming transaction costs and other operating expenses, including investment advisory fees.

<sup>(b)</sup> The Fund is a "feeder" fund that invests all of its assets in the Master Portfolio. Under normal circumstances, at least 90% of the value of the Master Portfolio assets, plus the amount of any borrowing for investment purposes, is invested in securities comprising the S&P 500<sup>®</sup> Index. 

<sup>(c)</sup> An unmanaged index that covers 500 leading companies and captures approximately 80% coverage of available market capitalization. 

**Performance** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> |
|  | 1 Year | 1 Year | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* |
|  Institutional | (18.18)% | N/A | 9.33% | N/A | 12.44% | N/A |
|  Service | (18.28) | N/A | 9.20 | N/A | 12.30 | N/A |
|  Investor A | (18.39) | N/A | 9.06 | N/A | 12.16 | N/A |
|  Investor P | (18.40) | (22.68)% | 9.06 | 7.89% | 12.16 | 11.56% |
|  Class G | (18.12) | N/A | 9.42 | N/A | 12.52 | N/A |
|  Class K | (18.13) | N/A | 9.41 | N/A | 12.52 | N/A |
|  **S&P 500**<sup>®</sup> **Index** | (18.11) | N/A | 9.42 | N/A | 12.56 | N/A |

---

<sup>(a)</sup> Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain share classes. 

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

Past performance is not an indication of future results.

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

**Expense Example** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Actual | Actual | Actual | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | |
|  | *Beginning<br>Account Value<br>(07/01/22)* | *Ending<br>Account Value<br>(12/31/22)* | *Expenses<br>Paid During<br>the Period* *<br><sup>(a)</sup>* | *Beginning<br>Account Value<br>(07/01/22)* | *Ending<br>Account Value<br>(12/31/22)* | *Expenses<br>Paid During<br>the Period* *<br><sup>(a)</sup>* | *Annualized<br>Expense<br>Ratio* |
|  Institutional | $1000.00 | $1022.60 | $0.51 | $1000.00 | $1024.70 | $0.51 | 0.10% |
|  Service | 1000.00 | 1021.90 | 1.12 | 1000.00 | 1024.10 | 1.12 | 0.22 |
|  Investor A | 1000.00 | 1021.30 | 1.78 | 1000.00 | 1023.44 | 1.79 | 0.35 |
|  Investor P | 1000.00 | 1021.30 | 1.78 | 1000.00 | 1023.44 | 1.79 | 0.35 |
|  Class G | 1000.00 | 1023.00 | 0.05 | 1000.00 | 1025.16 | 0.05 | 0.01 |
|  Class K | 1000.00 | 1022.90 | 0.15 | 1000.00 | 1025.05 | 0.15 | 0.03 |

---

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

See "Disclosure of Expenses" for further information on how expenses were calculated.

F U N D S U M M A R Y 5

------

---

| | |
|:---|:---|
| About Fund Performance | **iShares S&P 500 Index Fund** |

---

**Institutional and Class K Shares** are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors. Prior to April 11, 2013, Class K Shares were an undesignated share class of the Fund. Institutional Shares performance shown prior to the Institutional Shares inception date of April 10, 2013 is that of Class K Shares (which have no distribution or service fees) and was restated to reflect Institutional Shares fees.

**Service Shares** are not subject to any sales charge. These shares are subject to a service fee of 0.15% per year (but no distribution fee) and are only available to certain eligible investors. Service Shares performance shown prior to the Service Shares inception date of April 19, 2013 is that of Class K Shares (which have no distribution or service fees) and was restated to reflect Service Shares fees.

**Investor A Shares** are not subject to any sales charge and bear no ongoing distribution fee. These shares are subject to an ongoing service fee of 0.25% per year. These shares are generally available through financial intermediaries. Investor A Shares performance shown prior to the Investor A Shares inception date of April 10, 2013 is that of Class K Shares (which have no distribution or service fees) and was restated to reflect Investor A Shares fees.

**Investor P Shares** are subject to a maximum initial sales charge (front-end load) of 5.25% and a service fee of 0.25% per year (but no distribution fee). Certain redemption of these shares may be subject to a CDSC where no initial sales charge was paid at the time of purchase. These shares are only available to investors purchasing shares through registered representatives of an insurance company's broker-dealer that has entered into an agreement with the Fund's distributor to offer such shares. Investor P Shares performance shown prior to the Investor P Shares inception date of August 6, 2018 is that of Class K Shares (which have no distribution or service fees) and was restated to reflect Investor P Shares fees.

**Class G Shares** are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to investors on eligible platforms. Class G Shares performance shown prior to the Class G Shares inception date of July 1, 2019 is that of Class K Shares (which have no distribution or service fees).

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

BlackRock Advisors, LLC (the "Administrator"), the Fund's administrator, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of the Fund's expenses. Without such waiver(s) and/or reimbursement(s), the Fund's performance would have been lower. With respect to the Fund's voluntary waiver(s), if any, the Administrator is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued at any time. With respect to the Fund's contractual waiver(s), if any, the Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.

Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown (which is based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense example provides information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled "Expenses Paid During the Period."

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

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

6 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Derivative Financial Instruments | **iShares S&P 500 Index Fund** |

---

The S&P 500 Index Master Portfolio (the "Master Portfolio") may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Master Portfolio must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Master Portfolio's successful use of a derivative financial instrument depends on the investment adviser's ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio's investments in these instruments, if any, are discussed in detail in the Master Portfolio Notes to Financial Statements.

D E R I V A T I V E F I N A N C I A L I N S T R U M E N T S 7

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Statement of Assets and Liabilities

December 31, 2022

---

| | |
|:---|:---|
|  | iShares<br> S&P 500<br> Index Fund |
|  **ASSETS** |  |
|  Investments, at value — Master Portfolio | $29062420441 |
|  Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares sold | 92902151 |
| &nbsp;&nbsp;&nbsp;&nbsp; Withdrawals from the Master Portfolio | 59459673 |
|  Total assets | 29214782265 |
|  **LIABILITIES** |  |
|  Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration fees | 867609 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 152361824 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 14059 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service and distribution fees | 834885 |
|  Total liabilities | 154078377 |
|  NET ASSETS | $29060703888 |
|  **NET ASSETS CONSIST OF** |  |
|  Paid-in capital | $16306216749 |
|  Accumulated earnings | 12754487139 |
|  NET ASSETS | $29060703888 |

---

8 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statement of Assets and Liabilities (continued)

December 31, 2022

---

| | |
|:---|:---|
|  | iShares<br> S&P 500<br> Index Fund |
|  **NET ASSET VALUE** |  |
| **Institutional** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $4569114940 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 10156576 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $449.87 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value |
| **Service** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $494070393 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 1098365 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $449.82 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value |
| **Investor A** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $2216470255 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 4926909 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $449.87 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value |
| **Investor P** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $1288232951 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 2866305 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $449.44 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value |
| **Class G** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $9828084372 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 21842860 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $449.94 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value |
| **Class K** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $10664730977 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 23701562 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $449.96 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value |

---

*See notes to financial statements.* 

F U N D F I N A N C I A L S T A T E M E N T S 9

------

Statement of Operations

Year Ended December 31, 2022

---

| | |
|:---|:---|
|  | iShares<br> S&P 500<br> Index Fund |
|  **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income allocated from the Master Portfolio: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $476182459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 7400096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 519512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | (2392796) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses | (3273230) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived | 386375 |
|  Total investment income | 478822416 |
|  FUND EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration — class specific | 10520058 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service — class specific | 10234410 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 13449 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 11010 |
|  Total expenses | 20778927 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Administrator | (13449) |
|  Total expenses after fees waived and/or reimbursed | 20765478 |
|  Net investment income | 458056938 |
|  **REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM THE MASTER PORTFOLIO** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (58422643) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (7515723) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (5526869) |
|  | (71465235) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (6473834277) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (43367818) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (7243912) |
|  | (6524446007) |
|  Net realized and unrealized loss | (6595911242) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(6137854304) |

---

*See notes to financial statements.* 

10 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statements of Changes in Net Assets

---

| | | |
|:---|:---|:---|
|  | iShares S&P 500 Index Fund | iShares S&P 500 Index Fund |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |
|  **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $458056938 | $398940483 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (71465235) | 277570880 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (6524446007) | 6884966015 |
|  Net increase (decrease) in net assets resulting from operations | (6137854304) | 7561477378 |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(a)</sup>** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income and net realized gain |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (86713610) | (92321474) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Service | (8133664) | (9859969) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (37399661) | (44239611) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor P | (21734441) | (25621646) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class G | (189518086) | (187155415) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (210213665) | (235557043) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (33335) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Service | (3288) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (16629) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor P | (9712) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class G | (67621) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (76949) |  |
|  Decrease in net assets resulting from distributions to shareholders | (553920661) | (594755158) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |
|  Net increase in net assets derived from capital share transactions | 1884391895 | 468263812 |
|  *NET ASSETS* |  |  |
|  Total increase (decrease) in net assets | (4807383070) | 7434986032 |
|  Beginning of year | 33868086958 | 26433100926 |
|  End of year | $29060703888 | $33868086958 |

---

<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

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

------

Financial Highlights

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares S&P 500 Index Fund | iShares S&P 500 Index Fund | iShares S&P 500 Index Fund | iShares S&P 500 Index Fund | iShares S&P 500 Index Fund |
|  | Institutional | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $560.36 | $444.18 | $382.63 | $297.40 | $318.31 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 7.27 | 6.59 | 6.59 | 6.46 | 6.03 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (109.03) | 119.44 | 62.05 | 86.13 | (19.72) |
|  Net increase (decrease) from investment operations | (101.76) | 126.03 | 68.64 | 92.59 | (13.69) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (7.25) | (6.65) | (6.60) | (7.36) | (5.82) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (1.48) | (3.20) | (0.49) |  | (1.40) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.00)<sup>(c)</sup> |  |  |  |  |
|  Total distributions | (8.73) | (9.85) | (7.09) | (7.36) | (7.22) |
|  **Net asset value, end of year** | $449.87 | $560.36 | $444.18 | $382.63 | $297.40 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |  |
|  Based on net asset value | (18.18)% | 28.56% | 18.34% | 31.35% | (4.45)% |
|  **Ratios to Average Net Assets<sup>(e)(f)(g)</sup>** |  |  |  |  |  |
|  Total expenses | 0.10% | 0.10% | 0.10% | 0.10% | 0.11% |
|  Total expenses after fees waived and/or reimbursed | 0.10% | 0.10% | 0.10% | 0.10% | 0.11% |
|  Net investment income | 1.51% | 1.30% | 1.73% | 1.87% | 1.84% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $4569115 | $5536376 | $4143093 | $3950956 | $3660724 |
|  Portfolio turnover rate of the Master Portfolio | 13% | 6% | 5% | 3% | 12% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Amount is greater than $(0.005) per share. 

<sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(e)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.

<sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated fees waived of less than 0.01%. 

<sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

*See notes to financial statements.* 

12 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) |
|  | Service | Service | Service | Service | Service |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $560.30 | $444.13 | $382.60 | $297.38 | $318.29 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 6.68 | 5.98 | 6.10 | 6.06 | 5.64 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (108.99) | 119.41 | 62.12 | 86.10 | (19.73) |
|  Net increase (decrease) from investment operations | (102.31) | 125.39 | 68.22 | 92.16 | (14.09) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (6.69) | (6.02) | (6.20) | (6.94) | (5.42) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (1.48) | (3.20) | (0.49) |  | (1.40) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.00)<sup>(c)</sup> |  |  |  |  |
|  Total distributions | (8.17) | (9.22) | (6.69) | (6.94) | (6.82) |
|  **Net asset value, end of year** | $449.82 | $560.30 | $444.13 | $382.60 | $297.38 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |  |
|  Based on net asset value | (18.28)% | 28.40% | 18.21% | 31.20% | (4.57)% |
|  **Ratios to Average Net Assets<sup>(e)(f)(g)</sup>** |  |  |  |  |  |
|  Total expenses | 0.22% | 0.22% | 0.22% | 0.22% | 0.23% |
|  Total expenses after fees waived and/or reimbursed | 0.22% | 0.22% | 0.22% | 0.22% | 0.23% |
|  Net investment income | 1.39% | 1.19% | 1.58% | 1.75% | 1.72% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $494070 | $523050 | $584228 | $334402 | $318651 |
|  Portfolio turnover rate of the Master Portfolio | 13% | 6% | 5% | 3% | 12% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Amount is greater than $(0.005) per share. 

<sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(e)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.

<sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated fees waived of less than 0.01%. 

<sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 13

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Net asset value, beginning of year** | $560.31 | $444.11 | $382.52 | $297.33 | $318.23 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 6.03 | 5.32 | 5.66 | 5.61 | 5.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (108.95) | 119.41 | 62.03 | 86.07 | (19.72) |
|  Net increase (decrease) from investment operations | (102.92) | 124.73 | 67.69 | 91.68 | (14.50) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (6.04) | (5.33) | (5.61) | (6.49) | (5.00) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (1.48) | (3.20) | (0.49) |  | (1.40) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.00)<sup>(c)</sup> |  |  |  |  |
|  Total distributions | (7.52) | (8.53) | (6.10) | (6.49) | (6.40) |
|  **Net asset value, end of year** | $449.87 | $560.31 | $444.11 | $382.52 | $297.33 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |  |
|  Based on net asset value | (18.39)% | 28.23% | 18.04% | 31.02% | (4.68)% |
|  **Ratios to Average Net Assets<sup>(e)(f)(g)</sup>** |  |  |  |  |  |
|  Total expenses | 0.35% | 0.35% | 0.35% | 0.35% | 0.36% |
|  Total expenses after fees waived and/or reimbursed | 0.35% | 0.35% | 0.35% | 0.35% | 0.36% |
|  Net investment income | 1.25% | 1.06% | 1.49% | 1.62% | 1.60% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $2216470 | $2806390 | $2579349 | $2667724 | $2160098 |
|  Portfolio turnover rate of the Master Portfolio | 13% | 6% | 5% | 3% | 12% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Amount is greater than $(0.005) per share. 

<sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(e)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.

<sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated fees waived of less than 0.01%. 

<sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

*See notes to financial statements.* 

14 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) |
|  | Investor P | Investor P | Investor P | Investor P | Investor P |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Period from<br> 08/06/18to 12/31/18<br><sup>(a)</sup>  |
|  **Net asset value, beginning of period** | $559.78 | $443.73 | $382.22 | $297.10 | $339.48 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 6.02 | 5.32 | 5.64 | 5.61 | 2.20 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (108.84) | 119.30 | 62.00 | 86.00 | (40.58) |
|  Net increase (decrease) from investment operations | (102.82) | 124.62 | 67.64 | 91.61 | (38.38) |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (6.04) | (5.37) | (5.64) | (6.49) | (2.89) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (1.48) | (3.20) | (0.49) |  | (1.11) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.00)<sup>(d)</sup> |  |  |  |  |
|  Total distributions | (7.52) | (8.57) | (6.13) | (6.49) | (4.00) |
|  **Net asset value, end of period** | $449.44 | $559.78 | $443.73 | $382.22 | $297.10 |
|  **Total Return<sup>(e)</sup>** |  |  |  |  |  |
|  Based on net asset value | (18.40)% | 28.23% | 18.05% | 31.02% | (11.38)%<sup>(f)</sup> |
|  **Ratios to Average Net Assets<sup>(g)(h)(i)</sup>** |  |  |  |  |  |
|  Total expenses | 0.35% | 0.35% | 0.35% | 0.35% | 0.35 %<sup>(j)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.35% | 0.35% | 0.35% | 0.35% | 0.35 %<sup>(j)</sup> |
|  Net investment income | 1.25% | 1.05% | 1.48% | 1.62% | 1.68 %<sup>(j)</sup> |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of period (000) | $1288233 | $1667178 | $1387865 | $1278339 | $1064145 |
|  Portfolio turnover rate of the Master Portfolio | 13% | 6% | 5% | 3% | 12% |

---

<sup>(a)</sup> Commencement of operations.

<sup>(b)</sup> Based on average shares outstanding.

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Amount is greater than $(0.005) per share. 

<sup>(e)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(f)</sup> Not annualized.

<sup>(g)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.

<sup>(h)</sup> Includes the Fund's share of the Master Portfolio's allocated fees waived of less than 0.01%. 

<sup>(i)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(j)</sup> Annualized.

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 15

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) |
|  | Class G | Class G | Class G | Class G |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Period from<br> 07/01/19to 12/31/19<br><sup>(a)</sup>  |
|  **Net asset value, beginning of period** | $560.47 | $444.26 | $382.71 | $351.81 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 7.68 | 7.04 | 6.93 | 3.41 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (109.05) | 119.45 | 62.05 | 31.80 |
|  Net increase (decrease) from investment operations | (101.37) | 126.49 | 68.98 | 35.21 |
|  **Distributions<sup>(c)</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (7.68) | (7.08) | (6.94) | (4.31) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (1.48) | (3.20) | (0.49) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.00)<sup>(d)</sup> |  |  |  |
|  Total distributions | (9.16) | (10.28) | (7.43) | (4.31) |
|  **Net asset value, end of period** | $449.94 | $560.47 | $444.26 | $382.71 |
|  **Total Return<sup>(e)</sup>** |  |  |  |  |
|  Based on net asset value | (18.12)% | 28.67% | 18.45% | 10.07 %<sup>(f)</sup> |
|  **Ratios to Average Net Assets<sup>(g)(h)(i)</sup>** |  |  |  |  |
|  Total expenses | 0.01% | 0.01% | 0.01% | 0.01 %<sup>(j)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.01% | 0.01% | 0.01% | 0.01 %<sup>(j)</sup> |
|  Net investment income | 1.60% | 1.39% | 1.82% | 1.89 %<sup>(j)</sup> |
|  **Supplemental Data** |  |  |  |  |
|  Net assets, end of period (000) | $9828084 | $10447837 | $7378823 | $5796331 |
|  Portfolio turnover rate of the Master Portfolio | 13% | 6% | 5% | 3% |

---

<sup>(a)</sup> Commencement of operations.

<sup>(b)</sup> Based on average shares outstanding.

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Amount is greater than $(0.005) per share. 

<sup>(e)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(f)</sup> Not annualized.

<sup>(g)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.

<sup>(h)</sup> Includes the Fund's share of the Master Portfolio's allocated fees waived of less than 0.01%. 

<sup>(i)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(j)</sup> Annualized.

*See notes to financial statements.* 

16 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) | iShares S&P 500 Index Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
|  | Year Ended<br> 12/31/22 | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, |
| | Year Ended<br> 12/31/22 | <br> 2021 | <br> 2020 | <br> 2019 | <br> 2018 |
|  **Net asset value, beginning of year** | $560.49 | $444.27 | $382.72 | $297.46 | $318.37 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 7.58 | 6.94 | 6.86 | 6.74 | 6.29 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (109.04) | 119.47 | 62.05 | 86.12 | (19.76) |
|  Net increase (decrease) from investment operations | (101.46) | 126.41 | 68.91 | 92.86 | (13.47) |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (7.59) | (6.99) | (6.87) | (7.60) | (6.04) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (1.48) | (3.20) | (0.49) |  | (1.40) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.00)<sup>(c)</sup> |  |  |  |  |
|  Total distributions | (9.07) | (10.19) | (7.36) | (7.60) | (7.44) |
|  **Net asset value, end of year** | $449.96 | $560.49 | $444.27 | $382.72 | $297.46 |
|  **Total Return<sup>(d)</sup>** |  |  |  |  |  |
|  Based on net asset value | (18.13)% | 28.65% | 18.42% | 31.44% | (4.38)% |
|  **Ratios to Average Net Assets<sup>(e)(f)(g)</sup>** |  |  |  |  |  |
|  Total expenses | 0.03% | 0.03% | 0.03% | 0.03% | 0.04% |
|  Total expenses after fees waived and/or reimbursed | 0.03% | 0.03% | 0.03% | 0.03% | 0.04% |
|  Net investment income | 1.57% | 1.37% | 1.80% | 1.96% | 1.92% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $10664731 | $12887257 | $10359743 | $8471585 | $9375051 |
|  Portfolio turnover rate of the Master Portfolio | 13% | 6% | 5% | 3% | 12% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Amount is greater than $(0.005) per share. 

<sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(e)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.

<sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated fees waived of less than 0.01%. 

<sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 17

------

Notes to Financial Statements

***1.***  ***ORGANIZATION*** 

BlackRock Funds III (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. iShares S&P 500 Index Fund (the "Fund") is a series of the Trust. The Fund is classified as diversified.

The Fund seeks to achieve its investment objective by investing all of its assets in S&P 500 Index Master Portfolio (the "Master Portfolio"), a series of Master Investment Portfolio ("MIP") and an affiliate of the Trust, which has the same investment objective and strategies as the Fund. The value of the Fund's investment in the Master Portfolio reflects the Fund's proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At December 31, 2022, the percentage of the Master Portfolio owned by the Fund was 98.4%. The financial statements of the Master Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund's financial statements.

The Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional, Service and Class K Shares are sold only to certain eligible investors. Service, Investor A, and Investor P Shares bear certain expenses related to shareholder servicing of such shares. Investor A Shares are generally available through financial intermediaries. Investor P Shares are only available through registered representatives of an insurance company's broker-dealer that has entered into an agreement with the Fund's distributor to offer such shares. Class G Shares are available only to investors on eligible platforms. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures.

---

| | | | |
|:---|:---|:---|:---|
| *Share Class* | *Initial Sales Charge* | *CDSC* | *Conversion Privilege* |
|  Institutional, Service, Investor A, Class K and Class G Shares | No | No |  |
|  Investor P Shares | Yes | No <sup>(a)</sup> |  |

---

<sup>(a)</sup> Investor P Shares may be subject to a contingent deferred sales charge ("CDSC") for certain redemptions where no initial sales charge was paid at the time of purchase.

The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the "Board" and the members are referred to as "Trustees."

The Fund, together with certain other registered investment companies advised by BlackRock Fund Advisors ("BFA" or the "Manager") or its affiliates, is included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

***2.***  ***SIGNIFICANT ACCOUNTING POLICIES*** 

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

**Investment Transactions and Income Recognition:** For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolio's income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

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

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

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

***3.***  ***INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*** 

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

***4.***  ***ADMINISTRATION AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*** 

**Administration:** The Trust, on behalf of the Fund, entered into an Administration Agreement with BAL, an indirect, wholly-owned subsidiary of BlackRock, Inc. ("BlackRock"), to provide general administrative services (other than investment advice and related portfolio activities). BAL has agreed to bear all of the Fund's ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and

18 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

certain other expenses which are borne by the Fund. BAL is entitled to receive for these administrative services an annual fee based on the average daily net assets of the Fund as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | *Institutional* | *Service* | *Investor A* | *Investor P* | *Class G* | *Class K* |
|  Administration fees - class specific | 0.09% | 0.06% | 0.09% | 0.09% | 0.0025% | 0.02% |

---

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

The fees and expenses of the Trust's trustees who are not "interested persons" of the Trust, as defined in the 1940 Act ("Independent Trustees"), counsel to the Independent Trustees and the Fund's independent registered public accounting firm (together, the "independent expenses") are paid directly by the Fund. BAL has contractually agreed to reimburse the Fund or provide an offsetting credit against the administration fees paid by the Fund in an amount equal to these independent expenses through June 30, 2023. The amount waived is included in fees waived and/or reimbursed by the Administrator in the Statement of Operations. For the year ended December 31, 2022, the amount waived was $13,449.

For the year ended December 31, 2022, the following table shows the class specific administration fees borne directly by each share class of the Fund:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Institutional* | *Service* | *Investor A* | *Investor P* | *Class G* | *Class K* | *Total* |
|  Administration fees — class specific | $4337648 | $285258 | $2163880 | $1263776 | $244418 | $2225078 | $10520058 |

---

**Service Fees:** The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC ("BRIL"), an affiliate of the Administrator. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:

---

| | |
|:---|:---|
| *Share Class* | *Service Fees* |
|  Service | 0.15% |
|  Investor A | 0.25 |
|  Investor P | 0.25 |

---

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

For the year ended December 31, 2022, the following table shows the class specific service fees borne directly by each share class of the Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Service* | *Investor A* | *Investor P* | *Total* |
|  Service fees — class specific | $713145 | $6010776 | $3510489 | $10234410 |

---

**Other Fees:** For the year ended December 31, 2022, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund's Investor P Shares for a total of $90,839.

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the U.S. Securities and Exchange Commission ("SEC"), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund's investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended December 31, 2022, the Fund did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of the Trust are directors and/or officers of BlackRock or its affiliates.

***5.***  ***INCOME TAX INFORMATION*** 

It is the Fund's policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Fund's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Fund as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund's financial statements.

F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S 19

------

Notes to Financial Statements (continued)

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Year Ended<br>12/31/22* | *Year Ended<br>12/31/21* |
|  iShares S&P 500 Index Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $469442204 | $465174493 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 84270923 | 129580665 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 207534 |  |
|  | $553920661 | $594755158 |

---

As of December 31, 2022, the tax components of accumulated earnings (loss) were as follows:

---

| | | | |
|:---|:---|:---|:---|
| *Fund Name* | *Net Unrealized*<br> *Gains (Losses)<sup>(a)</sup>* | *Qualified<br>Late-Year Losses<sup>(b)</sup>* | *Total* |
|  iShares S&P 500 Index Fund | $12760143349 | $(5656210) | $12754487139 |

---

<sup>(a)</sup> The difference between book-basis and tax-basis net unrealized gains was attributable primarily to the timing and recognition of partnership income.

<sup>(b)</sup> The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

***6.***  ***CAPITAL SHARE TRANSACTIONS*** 

Transactions in capital shares for each class were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  iShares S&P 500 Index Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 5030295 | $2411810038 | 3428456 | $1752240643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 183886 | 84850741 | 172207 | 89763610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (4937688) | (2388994841) | (3048036) | (1514143662) |
|  | 276493 | $107665938 | 552627 | $327860591 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 299417 | $141705059 | 307882 | $153383975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 17463 | 8048734 | 18900 | 9763495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (152040) | (74337609) | (708694) | (362768495) |
|  | 164840 | $75416184 | (381912) | $(199621025) |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 933711 | $457370109 | 1157134 | $578808382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 77173 | 35562953 | 81073 | 42206643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (1092616) | (531150712) | (2037420) | (1027376732) |
|  | (81732) | $(38217650) | (799213) | $(406361707) |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor P |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 193518 | $93304688 | 191871 | $96505627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 47216 | 21739725 | 49144 | 25616598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (352703) | (169633158) | (390454) | (195039448) |
|  | (111969) | $(54588745) | (149439) | $(72917223) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class G |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 5600019 | $2668403212 | 4376624 | $2184933039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 411749 | 189584400 | 359371 | 187153946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (2809997) | (1353475358) | (2704051) | (1378489143) |
|  | 3201771 | $1504512254 | 2031944 | $993597842 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 6222113 | $2999755330 | 5757122 | $2877370135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 422561 | 194822600 | 418815 | 217893849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (5936060) | (2904974016) | (6501345) | (3269558650) |
|  | 708614 | $289603914 | (325408) | $(174294666) |
|  | 4158017 | $1884391895 | 928599 | $468263812 |

---

20 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Notes to Financial Statements (continued)

As of December 31, 2022, shares owned by BlackRock Financial Management, Inc., an affiliate of the Fund, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Investor P* | *Investor P* | *Class G* | *Class G* |
|  iShares S&P 500 Index Fund | | 589 | | 143 |

---

***7.***  ***SUBSEQUENT EVENTS*** 

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

F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S 21

------

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of BlackRock Funds III and Shareholders of iShares S&P 500 Index Fund

**Opinion on the Financial Statements** 

We have audited the accompanying statement of assets and liabilities of iShares S&P 500 Index Fund (one of the series constituting BlackRock Funds III, referred to hereafter as the "Fund") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the accounting agent of the Master Portfolio. We believe that our audits provide a reasonable basis for our opinion.

---

| |
|:---|
| /s/PricewaterhouseCoopers LLP |
| Philadelphia, Pennsylvania |
| February 14, 2023 |

---

We have served as the auditor of one or more BlackRock investment companies since 2000.

22 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Important Tax Information (unaudited)

The following amounts, or maximum amounts allowable by law, are hereby designated as qualified dividend income for individuals for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Qualified Dividend<br>Income* |
|  iShares S&P 500 Index Fund | $457203220 |

---

The following amount, or maximum amount allowable by law, is hereby designated as qualified business income for individuals for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Qualified Business<br>Income* |
|  iShares S&P 500 Index Fund | $3242154 |

---

The Fund hereby designates the following amount, or maximum amount allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate as noted below, for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *20% Rate Long-Term<br>Capital Gain Dividends* |
|  iShares S&P 500 Index Fund | $84270923 |

---

The following percentage, or maximum percentage allowable by law, of ordinary income distributions paid during the fiscal year ended December 31, 2022 qualified for the dividends-received deduction for corporate shareholders:

---

| | |
|:---|:---|
| *Fund Name* | *Dividends-Received<br>Deduction* |
|  iShares S&P 500 Index Fund | 93.95% |

---

I M P O R T A N T T A X I N F O R M A T I O N 23

------

---

| | |
|:---|:---|
| Master Portfolio Information as of December 31, 2022 | **S&P 500 Index Master Portfolio** |

---

---

| | |
|:---|:---|
| **TEN LARGEST HOLDINGS** | **TEN LARGEST HOLDINGS** |
| *Security* | *Percent of*<br> *Net Assets* |
|  Apple, Inc. | 6.0% |
|  Microsoft Corp. | 5.5 |
|  Amazon.com, Inc. | 2.3 |
|  Berkshire Hathaway, Inc., Class B | 1.7 |
|  Alphabet, Inc., Class A | 1.6 |
|  UnitedHealth Group, Inc. | 1.5 |
|  Alphabet, Inc., Class C | 1.5 |
|  Johnson & Johnson | 1.4 |
|  Exxon Mobil Corp. | 1.4 |
|  JPMorgan Chase & Co. | 1.2 |

---

---

| | |
|:---|:---|
| **SECTOR ALLOCATION** | **SECTOR ALLOCATION** |
| *Sector<sup>(a)</sup>* | *Percent of<br>Net Assets* |
|  Information Technology | 25.5% |
|  Health Care | 15.7 |
|  Financials | 11.5 |
|  Consumer Discretionary | 9.7 |
|  Industrials | 8.6 |
|  Communication Services | 7.2 |
|  Consumer Staples | 7.1 |
|  Energy | 5.2 |
|  Utilities | 3.1 |
|  Materials | 2.7 |
|  Real Estate | 2.7 |
|  Investment Companies | 0.7 |
|  Short-Term Securities | 1.4 |
|  Liabilities in Excess of Other Assets | (1.1) |

---

<sup>(a)</sup> For S&P 500 Index Master Portfolio (the "Master Portfolio") compliance purposes, the Master Portfolio's sector classifications refer to one or more of the sector subclassifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease. 

24 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **S&P 500 Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Common Stocks** |  |  |
| **Aerospace & Defense — 1.9%** |  |  |
|  Boeing Co.<sup>(a)</sup> | 508028 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;96774254 |
|  General Dynamics Corp. | 204768 | 50804988 |
|  Howmet Aerospace, Inc. | 336170 | 13248460 |
|  Huntington Ingalls Industries, Inc. | 36612 | 8445656 |
|  L3Harris Technologies, Inc. | 174560 | 36345138 |
|  Lockheed Martin Corp. | 212352 | 103307125 |
|  Northrop Grumman Corp. | 132361 | 72217485 |
|  Raytheon Technologies Corp. | 1343846 | 135620938 |
|  Textron, Inc. | 190018 | 13453274 |
|  TransDigm Group, Inc. | 46632 | 29361839 |
|  |  | 559579157 |
| **Air Freight & Logistics — 0.6%** |  |  |
|  CH Robinson Worldwide, Inc.<sup>(b)</sup> | 107165 | 9812027 |
|  Expeditors International of Washington, Inc. | 144881 | 15056034 |
|  FedEx Corp. | 218135 | 37780982 |
|  United Parcel Service, Inc., Class B | 666095 | 115793955 |
|  |  | 178442998 |
| **Airlines<sup>(a)</sup> — 0.2%** |  |  |
|  Alaska Air Group, Inc.<sup>(b)</sup> | 117159 | 5030807 |
|  American Airlines Group, Inc.<sup>(b)</sup> | 585790 | 7451249 |
|  Delta Air Lines, Inc. | 580557 | 19077103 |
|  Southwest Airlines Co. | 537016 | 18081329 |
|  United Airlines Holdings, Inc. | 296024 | 11160105 |
|  |  | 60800593 |
| **Auto Components — 0.1%** |  |  |
|  Aptiv PLC<sup>(a)(b)</sup> | 245210 | 22836407 |
|  BorgWarner, Inc. | 218526 | 8795672 |
|  |  | 31632079 |
| **Automobiles — 1.3%** |  |  |
|  Ford Motor Co. | 3596203 | 41823841 |
|  General Motors Co. | 1293432 | 43511053 |
|  Tesla, Inc.<sup>(a)</sup> | 2443651 | 301008930 |
|  |  | 386343824 |
| **Banks — 3.8%** |  |  |
|  Bank of America Corp. | 6362530 | 210726994 |
|  Citigroup, Inc. | 1762692 | 79726559 |
|  Citizens Financial Group, Inc. | 453139 | 17840082 |
|  Comerica, Inc. | 117856 | 7878674 |
|  Fifth Third Bancorp | 622692 | 20430525 |
|  First Republic Bank | 165544 | 20178158 |
|  Huntington Bancshares, Inc. | 1305269 | 18404293 |
|  JPMorgan Chase & Co. | 2669073 | 357922689 |
|  KeyCorp | 846467 | 14745455 |
|  M&T Bank Corp. | 159106 | 23079916 |
|  PNC Financial Services Group, Inc. | 367190 | 57993989 |
|  Regions Financial Corp. | 845683 | 18232926 |
|  Signature Bank | 58578 | 6749357 |
|  SVB Financial Group<sup>(a)</sup> | 54022 | 12432623 |
|  Truist Financial Corp. | 1207213 | 51946375 |
|  U.S. Bancorp | 1230748 | 53672920 |
|  Wells Fargo & Co. | 3452235 | 142542783 |
|  Zions Bancorp NA | 137643 | 6766530 |
|  |  | 1121270848 |
| **Beverages — 1.9%** |  |  |
|  Brown-Forman Corp., Class B | 165482 | 10868858 |
|  Coca-Cola Co. | 3542445 | 225334926 |
|  Constellation Brands, Inc., Class A | 146199 | 33881618 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Beverages (continued)** |  |  |
|  Keurig Dr. Pepper, Inc. | 768975 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27421649 |
|  Molson Coors Beverage Co., Class B | 172881 | 8906829 |
|  Monster Beverage Corp.<sup>(a)</sup> | 351162 | 35653478 |
|  PepsiCo, Inc. | 1256081 | 226923593 |
|  |  | 568990951 |
| **Biotechnology — 2.5%** |  |  |
|  AbbVie, Inc. | 1609228 | 260067337 |
|  Amgen, Inc. | 486866 | 127870486 |
|  Biogen, Inc.<sup>(a)</sup> | 132346 | 36649254 |
|  Gilead Sciences, Inc. | 1140749 | 97933302 |
|  Incyte Corp.<sup>(a)</sup> | 169464 | 13611348 |
|  Moderna, Inc.<sup>(a)</sup> | 300798 | 54029337 |
|  Regeneron Pharmaceuticals, Inc.<sup>(a)</sup> | 97559 | 70387843 |
|  Vertex Pharmaceuticals, Inc.<sup>(a)</sup> | 233416 | 67405873 |
|  |  | 727954780 |
| **Building Products — 0.4%** |  |  |
|  A O Smith Corp.<sup>(b)</sup> | 117189 | 6707898 |
|  Allegion PLC | 79067 | 8322593 |
|  Carrier Global Corp. | 768584 | 31704090 |
|  Johnson Controls International PLC | 628013 | 40192832 |
|  Masco Corp. | 206583 | 9641229 |
|  Trane Technologies PLC | 211437 | 35540445 |
|  |  | 132109087 |
| **Capital Markets — 3.1%** |  |  |
|  Ameriprise Financial, Inc.<sup>(b)</sup> | 96884 | 30166771 |
|  Bank of New York Mellon Corp. | 672768 | 30624399 |
|  BlackRock, Inc.<sup>(c)</sup> | 137222 | 97239626 |
|  Cboe Global Markets, Inc. | 97578 | 12243112 |
|  Charles Schwab Corp. | 1389747 | 115710335 |
|  CME Group, Inc., Class A | 327137 | 55011358 |
|  FactSet Research Systems, Inc. | 34598 | 13881063 |
|  Franklin Resources, Inc. | 254123 | 6703765 |
|  Goldman Sachs Group, Inc. | 308300 | 105864054 |
|  Intercontinental Exchange, Inc. | 508348 | 52151421 |
|  Invesco Ltd. | 403742 | 7263319 |
|  MarketAxess Holdings, Inc. | 34777 | 9698957 |
|  Moody's Corp. | 143848 | 40078930 |
|  Morgan Stanley | 1200194 | 102040494 |
|  MSCI, Inc. | 73457 | 34169993 |
|  Nasdaq, Inc.<sup>(b)</sup> | 309612 | 18994696 |
|  Northern Trust Corp.<sup>(b)</sup> | 189313 | 16752307 |
|  Raymond James Financial, Inc. | 175801 | 18784337 |
|  S&P Global, Inc.<sup>(b)</sup> | 303170 | 101543760 |
|  State Street Corp. | 332717 | 25808858 |
|  T Rowe Price Group, Inc. | 204367 | 22288265 |
|  |  | 917019820 |
| **Chemicals — 1.9%** |  |  |
|  Air Products & Chemicals, Inc. | 201870 | 62228446 |
|  Albemarle Corp.<sup>(b)</sup> | 107065 | 23218116 |
|  Celanese Corp. | 91453 | 9350155 |
|  CF Industries Holdings, Inc. | 180343 | 15365223 |
|  Corteva, Inc. | 655008 | 38501370 |
|  Dow, Inc. | 640717 | 32285730 |
|  DuPont de Nemours, Inc. | 455895 | 31288074 |
|  Eastman Chemical Co. | 109209 | 8893981 |
|  Ecolab, Inc. | 226421 | 32957841 |
|  FMC Corp. | 115005 | 14352624 |
|  International Flavors & Fragrances, Inc. | 230742 | 24190991 |
|  Linde PLC<sup>(a)</sup> | 450094 | 146811661 |
|  LyondellBasell Industries NV, Class A | 230284 | 19120480 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 25

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **S&P 500 Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Chemicals (continued)** |  |  |  |
|  Mosaic Co. | 312487 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13708805 |
|  PPG Industries, Inc. | 212686 |  | 26743138 |
|  Sherwin-Williams Co. | 214725 |  | 50960684 |
|  |  |  | 549977319 |
| **Commercial Services & Supplies — 0.5%** |  |  |  |
|  Cintas Corp. | 78524 |  | 35463009 |
|  Copart, Inc.<sup>(a)</sup> | 387194 |  | 23576243 |
|  Republic Services, Inc. | 186337 |  | 24035609 |
|  Rollins, Inc. | 207904 |  | 7596812 |
|  Waste Management, Inc.<sup>(b)</sup> | 342341 |  | 53706456 |
|  |  |  | 144378129 |
| **Communications Equipment — 0.9%** |  |  |  |
|  Arista Networks, Inc.<sup>(a)</sup> | 223067 |  | 27069180 |
|  Cisco Systems, Inc. | 3738161 |  | 178085990 |
|  F5, Inc.<sup>(a)</sup> | 53572 |  | 7688118 |
|  Juniper Networks, Inc. | 298689 |  | 9546100 |
|  Motorola Solutions, Inc. | 152225 |  | 39229905 |
|  |  |  | 261619293 |
| **Construction & Engineering — 0.1%** |  |  |  |
|  Quanta Services, Inc. | 130356 |  | 18575730 |
| **Construction Materials — 0.1%** |  |  |  |
|  Martin Marietta Materials, Inc. | 56452 |  | 19079083 |
|  Vulcan Materials Co. | 120321 |  | 21069410 |
|  |  |  | 40148493 |
| **Consumer Finance — 0.5%** |  |  |  |
|  American Express Co. | 545905 |  | 80657464 |
|  Capital One Financial Corp. | 350354 |  | 32568908 |
|  Discover Financial Services | 247236 |  | 24187098 |
|  Synchrony Financial | 410182 |  | 13478580 |
|  |  |  | 150892050 |
| **Containers & Packaging — 0.3%** |  |  |  |
|  Amcor PLC | 1352352 |  | 16106512 |
|  Avery Dennison Corp. | 73900 |  | 13375900 |
|  Ball Corp. | 283963 |  | 14521868 |
|  International Paper Co. | 330052 |  | 11429701 |
|  Packaging Corp. of America | 85537 |  | 10941038 |
|  Sealed Air Corp.<sup>(b)</sup> | 133957 |  | 6681775 |
|  Westrock Co. | 227684 |  | 8005369 |
|  |  |  | 81062163 |
| **Distributors — 0.2%** |  |  |  |
|  Genuine Parts Co. | 128003 |  | 22209801 |
|  LKQ Corp. | 231034 |  | 12339526 |
|  Pool Corp.<sup>(b)</sup> | 36153 |  | 10930136 |
|  |  |  | 45479463 |
| **Diversified Financial Services — 1.7%** |  |  |  |
|  Berkshire Hathaway, Inc., Class B<sup>(a)</sup> | 1640324 |  | 506696084 |
| **Diversified Telecommunication Services — 0.9%** | **Diversified Telecommunication Services — 0.9%** | **Diversified Telecommunication Services — 0.9%** | **Diversified Telecommunication Services — 0.9%** |
|  AT&T, Inc. | 6485711 |  | 119401939 |
|  Lumen Technologies, Inc. | 868348 |  | 4532777 |
|  Verizon Communications, Inc. | 3822360 |  | 150600984 |
|  |  |  | 274535700 |
| **Electric Utilities — 2.1%** |  |  |  |
|  Alliant Energy Corp. | 227585 |  | 12564968 |
|  American Electric Power Co., Inc. | 468333 |  | 44468218 |
|  Constellation Energy Corp. | 296360 |  | 25549196 |
|  Duke Energy Corp. | 700785 |  | 72173847 |
|  Edison International | 345218 |  | 21962769 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Electric Utilities (continued)** |  |  |  |
|  Entergy Corp. | 184105 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20711812 |
|  Evergy, Inc. | 208077 |  | 13094286 |
|  Eversource Energy | 313551 |  | 26288116 |
|  Exelon Corp. | 905553 |  | 39147056 |
|  FirstEnergy Corp. | 491288 |  | 20604619 |
|  NextEra Energy, Inc.<sup>(b)</sup> | 1809156 |  | 151245441 |
|  NRG Energy, Inc. | 216695 |  | 6895235 |
|  PG&E Corp.<sup>(a)(b)</sup> | 1457153 |  | 23693308 |
|  Pinnacle West Capital Corp. | 101647 |  | 7729238 |
|  PPL Corp. | 674518 |  | 19709416 |
|  Southern Co. | 991151 |  | 70778093 |
|  Xcel Energy, Inc. | 499491 |  | 35019314 |
|  |  |  | 611634932 |
| **Electrical Equipment — 0.6%** |  |  |  |
|  AMETEK, Inc. | 207781 |  | 29031161 |
|  Eaton Corp. PLC | 362512 |  | 56896258 |
|  Emerson Electric Co. | 538341 |  | 51713037 |
|  Generac Holdings, Inc.<sup>(a)(b)</sup> | 58692 |  | 5907937 |
|  Rockwell Automation, Inc. | 104493 |  | 26914262 |
|  |  |  | 170462655 |
| **Electronic Equipment, Instruments & Components — 0.6%** | **Electronic Equipment, Instruments & Components — 0.6%** | **Electronic Equipment, Instruments & Components — 0.6%** | **Electronic Equipment, Instruments & Components — 0.6%** |
|  Amphenol Corp., Class A | 542182 |  | 41281737 |
|  CDW Corp. | 122403 |  | 21858728 |
|  Corning, Inc. | 688556 |  | 21992479 |
|  Keysight Technologies, Inc.<sup>(a)</sup> | 163103 |  | 27902030 |
|  TE Connectivity Ltd. | 291892 |  | 33509202 |
|  Teledyne Technologies, Inc.<sup>(a)(b)</sup> | 42839 |  | 17131744 |
|  Trimble, Inc.<sup>(a)</sup> | 223646 |  | 11307542 |
|  Zebra Technologies Corp., Class A<sup>(a)</sup> | 47349 |  | 12140757 |
|  |  |  | 187124219 |
| **Energy Equipment & Services — 0.4%** |  |  |  |
|  Baker Hughes Co. | 915696 |  | 27040503 |
|  Halliburton Co. | 828836 |  | 32614696 |
|  Schlumberger Ltd. | 1287302 |  | 68819165 |
|  |  |  | 128474364 |
| **Entertainment — 1.3%** |  |  |  |
|  Activision Blizzard, Inc. | 648382 |  | 49633642 |
|  Electronic Arts, Inc. | 241406 |  | 29494985 |
|  Live Nation Entertainment, Inc.<sup>(a)</sup> | 130925 |  | 9130709 |
|  Netflix, Inc.<sup>(a)</sup> | 404748 |  | 119352090 |
|  Take-Two Interactive Software, Inc.<sup>(a)</sup> | 141989 |  | 14785315 |
|  Walt Disney Co.<sup>(a)(b)</sup> | 1659252 |  | 144155814 |
|  Warner Bros Discovery, Inc., Class A<sup>(a)</sup> | 1999372 |  | 18954047 |
|  |  |  | 385506602 |
| **Equity Real Estate Investment Trusts (REITs) — 2.6%** | **Equity Real Estate Investment Trusts (REITs) — 2.6%** | **Equity Real Estate Investment Trusts (REITs) — 2.6%** | **Equity Real Estate Investment Trusts (REITs) — 2.6%** |
|  Alexandria Real Estate Equities, Inc. | 135351 |  | 19716580 |
|  American Tower Corp. | 423753 |  | 89776311 |
|  AvalonBay Communities, Inc. | 126555 |  | 20441164 |
|  Boston Properties, Inc. | 129325 |  | 8739783 |
|  Camden Property Trust | 97493 |  | 10907517 |
|  Crown Castle, Inc. | 394158 |  | 53463591 |
|  Digital Realty Trust, Inc. | 262877 |  | 26358677 |
|  Equinix, Inc. | 82896 |  | 54299367 |
|  Equity Residential | 309475 |  | 18259025 |
|  Essex Property Trust, Inc. | 59575 |  | 12625134 |
|  Extra Space Storage, Inc. | 121198 |  | 17837922 |
|  Federal Realty Investment Trust | 67063 |  | 6776046 |
|  Healthpeak Properties, Inc. | 491148 |  | 12313080 |
|  Host Hotels & Resorts, Inc. | 655790 |  | 10525429 |
|  Invitation Homes, Inc. | 524791 |  | 15554805 |

---

26 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **S&P 500 Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** |
|  Iron Mountain, Inc. | 262161 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13068726 |
|  Kimco Realty Corp. | 565139 |  | 11969644 |
|  Mid-America Apartment Communities, Inc. | 105820 |  | 16612682 |
|  Prologis, Inc. | 840292 |  | 94726117 |
|  Public Storage | 144028 |  | 40355205 |
|  Realty Income Corp. | 563686 |  | 35754603 |
|  Regency Centers Corp. | 140786 |  | 8799125 |
|  SBA Communications Corp.<sup>(b)</sup> | 97725 |  | 27393295 |
|  Simon Property Group, Inc. | 298893 |  | 35113950 |
|  UDR, Inc. | 274319 |  | 10624375 |
|  Ventas, Inc. | 359643 |  | 16201917 |
|  VICI Properties, Inc. | 881221 |  | 28551560 |
|  Vornado Realty Trust | 145493 |  | 3027709 |
|  Welltower, Inc. | 423857 |  | 27783826 |
|  Weyerhaeuser Co. | 670040 |  | 20771240 |
|  |  |  | 768348405 |
| **Food & Staples Retailing — 1.5%** |  |  |  |
|  Costco Wholesale Corp. | 403162 |  | 184043453 |
|  Kroger Co. | 589337 |  | 26272644 |
|  Sysco Corp. | 464696 |  | 35526009 |
|  Walgreens Boots Alliance, Inc. | 649228 |  | 24255158 |
|  Walmart, Inc. | 1284972 |  | 182196180 |
|  |  |  | 452293444 |
| **Food Products — 1.2%** |  |  |  |
|  Archer-Daniels-Midland Co. | 500125 |  | 46436606 |
|  Campbell Soup Co. | 184464 |  | 10468332 |
|  Conagra Brands, Inc. | 437146 |  | 16917550 |
|  General Mills, Inc. | 542982 |  | 45529041 |
|  Hershey Co. | 132926 |  | 30781674 |
|  Hormel Foods Corp. | 264660 |  | 12055263 |
|  J M Smucker Co. | 97657 |  | 15474728 |
|  Kellogg Co. | 231570 |  | 16497047 |
|  Kraft Heinz Co. | 720911 |  | 29348287 |
|  Lamb Weston Holdings, Inc. | 132469 |  | 11837430 |
|  McCormick & Co., Inc. | 226760 |  | 18796136 |
|  Mondelez International, Inc., Class A | 1247417 |  | 83140343 |
|  Tyson Foods, Inc., Class A | 263622 |  | 16410470 |
|  |  |  | 353692907 |
| **Gas Utilities — 0.1%** |  |  |  |
|  Atmos Energy Corp. | 126610 |  | 14189183 |
| **Health Care Equipment & Supplies — 2.8%** | **Health Care Equipment & Supplies — 2.8%** | **Health Care Equipment & Supplies — 2.8%** | **Health Care Equipment & Supplies — 2.8%** |
|  Abbott Laboratories | 1587386 |  | 174279109 |
|  Align Technology, Inc.<sup>(a)</sup> | 66161 |  | 13953355 |
|  Baxter International, Inc. | 457033 |  | 23294972 |
|  Becton Dickinson and Co. | 259570 |  | 66008651 |
|  Boston Scientific Corp.<sup>(a)</sup> | 1302980 |  | 60288885 |
|  Cooper Cos., Inc.<sup>(b)</sup> | 44652 |  | 14765077 |
|  Dentsply Sirona, Inc. | 193068 |  | 6147285 |
|  Dexcom, Inc.<sup>(a)(b)</sup> | 351657 |  | 39821639 |
|  Edwards Lifesciences Corp.<sup>(a)(b)</sup> | 565119 |  | 42163529 |
|  Hologic, Inc.<sup>(a)</sup> | 225950 |  | 16903319 |
|  IDEXX Laboratories, Inc.<sup>(a)</sup> | 76061 |  | 31029846 |
|  Intuitive Surgical, Inc.<sup>(a)</sup> | 321729 |  | 85370790 |
|  Medtronic PLC | 1209321 |  | 93988428 |
|  ResMed, Inc. | 132523 |  | 27582012 |
|  STERIS PLC<sup>(b)</sup> | 90921 |  | 16792199 |
|  Stryker Corp. | 306452 |  | 74924449 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** |
|  Teleflex, Inc. | 43227 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10790756 |
|  Zimmer Biomet Holdings, Inc. | 190974 | 24349185 |
|  |  | 822453486 |
| **Health Care Providers & Services — 3.7%** |  |  |
|  AmerisourceBergen Corp. | 147401 | 24425820 |
|  Cardinal Health, Inc. | 238652 | 18345179 |
|  Centene Corp.<sup>(a)</sup> | 515535 | 42279025 |
|  Cigna Corp. | 277701 | 92013449 |
|  CVS Health Corp. | 1194868 | 111349749 |
|  DaVita, Inc.<sup>(a)(b)</sup> | 49430 | 3690938 |
|  Elevance Health, Inc. | 218436 | 112051115 |
|  HCA Healthcare, Inc. | 193044 | 46322838 |
|  Henry Schein, Inc.<sup>(a)(b)</sup> | 125852 | 10051799 |
|  Humana, Inc. | 115183 | 58995581 |
|  Laboratory Corp. of America Holdings | 80663 | 18994523 |
|  McKesson Corp. | 129091 | 48424616 |
|  Molina Healthcare, Inc.<sup>(a)</sup> | 52923 | 17476233 |
|  Quest Diagnostics, Inc. | 103685 | 16220482 |
|  UnitedHealth Group, Inc. | 851337 | 451361851 |
|  Universal Health Services, Inc., Class B<sup>(b)</sup> | 58270 | 8209660 |
|  |  | 1080212858 |
| **Hotels, Restaurants & Leisure — 2.0%** |  |  |
|  Booking Holdings, Inc.<sup>(a)</sup> | 35314 | 71167598 |
|  Caesars Entertainment, Inc.<sup>(a)</sup> | 194060 | 8072896 |
|  Carnival Corp.<sup>(a)(b)</sup> | 898245 | 7239855 |
|  Chipotle Mexican Grill, Inc.<sup>(a)(b)</sup> | 25328 | 35142347 |
|  Darden Restaurants, Inc. | 112171 | 15516614 |
|  Domino's Pizza, Inc. | 32684 | 11321738 |
|  Expedia Group, Inc.<sup>(a)</sup> | 137600 | 12053760 |
|  Hilton Worldwide Holdings, Inc. | 246229 | 31113496 |
|  Las Vegas Sands Corp.<sup>(a)(b)</sup> | 299226 | 14383794 |
|  Marriott International, Inc., Class A | 244957 | 36471648 |
|  McDonald's Corp. | 666814 | 175725493 |
|  MGM Resorts International | 297744 | 9983356 |
|  Norwegian Cruise Line Holdings Ltd.<sup>(a)(b)</sup> | 388617 | 4756672 |
|  Royal Caribbean Cruises Ltd.<sup>(a)</sup> | 201766 | 9973293 |
|  Starbucks Corp. | 1044303 | 103594858 |
|  Wynn Resorts Ltd.<sup>(a)(b)</sup> | 94780 | 7816507 |
|  Yum! Brands, Inc. | 256455 | 32846756 |
|  |  | 587180681 |
| **Household Durables — 0.3%** |  |  |
|  D.R. Horton, Inc. | 287799 | 25654403 |
|  Garmin Ltd. | 139008 | 12829048 |
|  Lennar Corp., Class A | 231595 | 20959347 |
|  Mohawk Industries, Inc.<sup>(a)</sup> | 47669 | 4872725 |
|  Newell Brands, Inc. | 341632 | 4468547 |
|  NVR, Inc.<sup>(a)</sup> | 2735 | 12615406 |
|  PulteGroup, Inc. | 212784 | 9688056 |
|  Whirlpool Corp. | 48886 | 6915414 |
|  |  | 98002946 |
| **Household Products — 1.6%** |  |  |
|  Church & Dwight Co., Inc. | 220160 | 17747098 |
|  Clorox Co. | 112871 | 15839187 |
|  Colgate-Palmolive Co. | 759172 | 59815162 |
|  Kimberly-Clark Corp. | 307914 | 41799325 |
|  Procter & Gamble Co. | 2157425 | 326979333 |
|  |  | 462180105 |

---

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

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **S&P 500 Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Independent Power and Renewable Electricity Producers — 0.1%** | **Independent Power and Renewable Electricity Producers — 0.1%** | **Independent Power and Renewable Electricity Producers — 0.1%** |
|  AES Corp. | 608757 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17507852 |
| **Industrial Conglomerates — 0.9%** |  |  |
|  3M Co. | 503870 | 60424090 |
|  General Electric Co.<sup>(b)</sup> | 998025 | 83624515 |
|  Honeywell International, Inc. | 613159 | 131399974 |
|  |  | 275448579 |
| **Insurance — 2.4%** |  |  |
|  Aflac, Inc. | 515142 | 37059316 |
|  Allstate Corp. | 241453 | 32741027 |
|  American International Group, Inc. | 676425 | 42777117 |
|  Aon PLC, Class A | 188323 | 56523265 |
|  Arch Capital Group Ltd.<sup>(a)</sup> | 334987 | 21030484 |
|  Arthur J Gallagher & Co. | 191964 | 36192893 |
|  Assurant, Inc. | 47910 | 5991625 |
|  Brown & Brown, Inc. | 216073 | 12309679 |
|  Chubb Ltd. | 377870 | 83358122 |
|  Cincinnati Financial Corp. | 145070 | 14853717 |
|  Everest Re Group Ltd. | 35420 | 11733583 |
|  Globe Life, Inc. | 83336 | 10046155 |
|  Hartford Financial Services Group, Inc. | 292462 | 22177393 |
|  Lincoln National Corp. | 142833 | 4387830 |
|  Loews Corp. | 183967 | 10730795 |
|  Marsh & McLennan Cos., Inc. | 454180 | 75157706 |
|  MetLife, Inc. | 600030 | 43424171 |
|  Principal Financial Group, Inc.<sup>(b)</sup> | 207172 | 17385874 |
|  Progressive Corp. | 532359 | 69052286 |
|  Prudential Financial, Inc. | 336681 | 33486292 |
|  Travelers Cos., Inc. | 213355 | 40001929 |
|  W R Berkley Corp. | 187309 | 13593014 |
|  Willis Towers Watson PLC | 99525 | 24341825 |
|  |  | 718356098 |
| **Interactive Media & Services<sup>(a)</sup> — 3.9%** |  |  |
|  Alphabet, Inc., Class A | 5437945 | 479789887 |
|  Alphabet, Inc., Class C | 4820516 | 427724385 |
|  Match Group, Inc. | 259464 | 10765161 |
|  Meta Platforms, Inc., Class A | 2047238 | 246364621 |
|  |  | 1164644054 |
| **Internet & Direct Marketing Retail — 2.4%** |  |  |
|  Amazon.com, Inc.<sup>(a)</sup> | 8066795 | 677610780 |
|  eBay, Inc. | 497210 | 20619299 |
|  Etsy, Inc.<sup>(a)(b)</sup> | 115093 | 13785839 |
|  |  | 712015918 |
| **IT Services — 4.4%** |  |  |
|  Accenture PLC, Class A | 573638 | 153069564 |
|  Akamai Technologies, Inc.<sup>(a)</sup> | 143866 | 12127904 |
|  Automatic Data Processing, Inc. | 378182 | 90332553 |
|  Broadridge Financial Solutions, Inc. | 107449 | 14412134 |
|  Cognizant Technology Solutions Corp., Class A | 468625 | 26800664 |
|  DXC Technology Co.<sup>(a)</sup> | 212880 | 5641320 |
|  EPAM Systems, Inc.<sup>(a)</sup> | 52068 | 17064766 |
|  Fidelity National Information Services, Inc. | 540225 | 36654266 |
|  Fiserv, Inc.<sup>(a)</sup> | 578143 | 58432913 |
|  FleetCor Technologies, Inc.<sup>(a)</sup> | 68149 | 12517608 |
|  Gartner, Inc.<sup>(a)</sup> | 71585 | 24062582 |
|  Global Payments, Inc. | 246179 | 24450498 |
|  International Business Machines Corp. | 822027 | 115815384 |
|  Jack Henry & Associates, Inc. | 66175 | 11617683 |
|  Mastercard, Inc., Class A | 772842 | 268740349 |
|  Paychex, Inc. | 292419 | 33791940 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **IT Services (continued)** |  |  |
|  PayPal Holdings, Inc.<sup>(a)</sup> | 1037905 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73919594 |
|  VeriSign, Inc.<sup>(a)</sup> | 84410 | 17341190 |
|  Visa, Inc., Class A | 1488105 | 309168695 |
|  |  | 1305961607 |
| **Leisure Products — 0.0%** |  |  |
|  Hasbro, Inc. | 116181 | 7088203 |
| **Life Sciences Tools & Services — 1.9%** |  |  |
|  Agilent Technologies, Inc. | 269522 | 40333967 |
|  Bio-Rad Laboratories, Inc., Class A<sup>(a)</sup> | 19866 | 8353454 |
|  Bio-Techne Corp. | 143852 | 11922454 |
|  Charles River Laboratories International,<br>Inc.<sup>(a)</sup> | 46558 | 10144988 |
|  Danaher Corp. | 595874 | 158156877 |
|  Illumina, Inc.<sup>(a)</sup> | 143492 | 29014082 |
|  IQVIA Holdings, Inc.<sup>(a)</sup> | 170153 | 34862648 |
|  Mettler-Toledo International, Inc.<sup>(a)</sup> | 20370 | 29443817 |
|  PerkinElmer, Inc. | 114240 | 16018733 |
|  Thermo Fisher Scientific, Inc. | 356586 | 196368344 |
|  Waters Corp.<sup>(a)</sup> | 54191 | 18564753 |
|  West Pharmaceutical Services, Inc. | 67210 | 15817874 |
|  |  | 569001991 |
| **Machinery — 1.9%** |  |  |
|  Caterpillar, Inc. | 473791 | 113501372 |
|  Cummins, Inc.<sup>(b)</sup> | 128825 | 31213009 |
|  Deere & Co. | 250053 | 107212724 |
|  Dover Corp. | 127781 | 17302825 |
|  Fortive Corp. | 321926 | 20683746 |
|  IDEX Corp. | 68839 | 15718009 |
|  Illinois Tool Works, Inc. | 254498 | 56065909 |
|  Ingersoll Rand, Inc. | 366262 | 19137190 |
|  Nordson Corp. | 49465 | 11758820 |
|  Otis Worldwide Corp. | 384210 | 30087485 |
|  PACCAR, Inc. | 317634 | 31436237 |
|  Parker-Hannifin Corp. | 117163 | 34094433 |
|  Pentair PLC | 150378 | 6764002 |
|  Snap-on, Inc. | 48648 | 11115582 |
|  Stanley Black & Decker, Inc. | 134067 | 10071113 |
|  Westinghouse Air Brake Technologies Corp. | 165252 | 16493802 |
|  Xylem, Inc.<sup>(b)</sup> | 163075 | 18031203 |
|  |  | 550687461 |
| **Media — 0.8%** |  |  |
|  Charter Communications, Inc., Class A<sup>(a)</sup> | 97792 | 33161267 |
|  Comcast Corp., Class A | 3927524 | 137345514 |
|  DISH Network Corp., Class A<sup>(a)(b)</sup> | 234973 | 3299021 |
|  Fox Corp., Class A | 278201 | 8448964 |
|  Fox Corp., Class B | 124777 | 3549906 |
|  Interpublic Group of Cos., Inc. | 359717 | 11982173 |
|  News Corp., Class A | 353668 | 6436758 |
|  News Corp., Class B | 114231 | 2106420 |
|  Omnicom Group, Inc. | 185395 | 15122670 |
|  Paramount Global, Class B<sup>(b)</sup> | 463480 | 7823542 |
|  |  | 229276235 |
| **Metals & Mining — 0.4%** |  |  |
|  Freeport-McMoRan, Inc. | 1302333 | 49488654 |
|  Newmont Corp. | 724983 | 34219197 |
|  Nucor Corp. | 233563 | 30785939 |
|  Steel Dynamics, Inc. | 151888 | 14839458 |
|  |  | 129333248 |

---

28 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **S&P 500 Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Multiline Retail — 0.5%** |  |  |
|  Dollar General Corp. | 206627 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50881899 |
|  Dollar Tree, Inc.<sup>(a)</sup> | 192863 | 27278543 |
|  Target Corp. | 419033 | 62452678 |
|  |  | 140613120 |
| **Multi-Utilities — 0.9%** |  |  |
|  Ameren Corp. | 234237 | 20828354 |
|  CenterPoint Energy, Inc. | 569737 | 17086413 |
|  CMS Energy Corp. | 262644 | 16633245 |
|  Consolidated Edison, Inc. | 324232 | 30902552 |
|  Dominion Energy, Inc. | 758542 | 46513795 |
|  DTE Energy Co. | 175345 | 20608298 |
|  NiSource, Inc. | 375260 | 10289629 |
|  Public Service Enterprise Group, Inc. | 451497 | 27663221 |
|  Sempra Energy | 286393 | 44259174 |
|  WEC Energy Group, Inc. | 286040 | 26819110 |
|  |  | 261603791 |
| **Oil, Gas & Consumable Fuels — 4.7%** |  |  |
|  APA Corp. | 296215 | 13827316 |
|  Chevron Corp. | 1619592 | 290700568 |
|  ConocoPhillips | 1134449 | 133864982 |
|  Coterra Energy, Inc. | 717837 | 17637255 |
|  Devon Energy Corp. | 596876 | 36713843 |
|  Diamondback Energy, Inc. | 160876 | 22004619 |
|  EOG Resources, Inc. | 533387 | 69084284 |
|  EQT Corp. | 335322 | 11343943 |
|  Exxon Mobil Corp. | 3749381 | 413556724 |
|  Hess Corp. | 254262 | 36059437 |
|  Kinder Morgan, Inc. | 1810850 | 32740168 |
|  Marathon Oil Corp. | 578179 | 15651306 |
|  Marathon Petroleum Corp. | 426679 | 49661169 |
|  Occidental Petroleum Corp.<sup>(b)</sup> | 661996 | 41699128 |
|  ONEOK, Inc. | 404436 | 26571445 |
|  Phillips 66 | 430294 | 44785000 |
|  Pioneer Natural Resources Co. | 217222 | 49611333 |
|  Targa Resources Corp. | 205339 | 15092417 |
|  Valero Energy Corp. | 356565 | 45233836 |
|  Williams Cos., Inc. | 1111805 | 36578384 |
|  |  | 1402417157 |
| **Personal Products — 0.2%** |  |  |
|  Estee Lauder Cos., Inc., Class A | 211156 | 52389915 |
| **Pharmaceuticals — 4.8%** |  |  |
|  Bristol-Myers Squibb Co. | 1943397 | 139827414 |
|  Catalent, Inc.<sup>(a)</sup> | 166156 | 7478682 |
|  Eli Lilly & Co. | 717784 | 262594098 |
|  Johnson & Johnson | 2380281 | 420476639 |
|  Merck & Co., Inc. | 2305659 | 255812866 |
|  Organon & Co. | 229346 | 6405634 |
|  Pfizer, Inc. | 5108068 | 261737404 |
|  Viatris, Inc. | 1097456 | 12214685 |
|  Zoetis, Inc. | 426076 | 62441438 |
|  |  | 1428988860 |
| **Professional Services — 0.4%** |  |  |
|  CoStar Group, Inc.<sup>(a)</sup> | 362069 | 27980692 |
|  Equifax, Inc.<sup>(b)</sup> | 110779 | 21531007 |
|  Jacobs Solutions, Inc. | 116520 | 13990557 |
|  Leidos Holdings, Inc. | 123695 | 13011477 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Professional Services (continued)** |  |  |  |
|  Robert Half International, Inc.<sup>(b)</sup> | 99063 | $| 7313821 |
|  Verisk Analytics, Inc. | 142058 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25061872 |
|  |  |  | 108889426 |
| **Real Estate Management & Development — 0.1%** | **Real Estate Management & Development — 0.1%** | **Real Estate Management & Development — 0.1%** | **Real Estate Management & Development — 0.1%** |
|  CBRE Group, Inc., Class A<sup>(a)</sup> | 287647 |  | 22137313 |
| **Road & Rail — 0.9%** |  |  |  |
|  CSX Corp. | 1914077 |  | 59298105 |
|  JB Hunt Transport Services, Inc. | 74860 |  | 13052590 |
|  Norfolk Southern Corp. | 210775 |  | 51939176 |
|  Old Dominion Freight Line, Inc.<sup>(b)</sup> | 82953 |  | 23540402 |
|  Union Pacific Corp. | 559728 |  | 115902877 |
|  |  |  | 263733150 |
| **Semiconductors & Semiconductor Equipment — 5.0%** | **Semiconductors & Semiconductor Equipment — 5.0%** | **Semiconductors & Semiconductor Equipment — 5.0%** | **Semiconductors & Semiconductor Equipment — 5.0%** |
|  Advanced Micro Devices, Inc.<sup>(a)</sup> | 1469270 |  | 95164618 |
|  Analog Devices, Inc. | 468268 |  | 76810000 |
|  Applied Materials, Inc. | 783243 |  | 76272203 |
|  Broadcom, Inc. | 367534 |  | 205499285 |
|  Enphase Energy, Inc.<sup>(a)</sup> | 123589 |  | 32746141 |
|  First Solar, Inc.<sup>(a)</sup> | 90262 |  | 13520345 |
|  Intel Corp. | 3737066 |  | 98770654 |
|  KLA Corp. | 129159 |  | 48696818 |
|  Lam Research Corp. | 124667 |  | 52397540 |
|  Microchip Technology, Inc. | 504142 |  | 35415976 |
|  Micron Technology, Inc. | 989782 |  | 49469304 |
|  Monolithic Power Systems, Inc. | 40785 |  | 14421984 |
|  NVIDIA Corp.<sup>(b)</sup> | 2266948 |  | 331291781 |
|  NXP Semiconductors NV | 235922 |  | 37282754 |
|  ON Semiconductor Corp.<sup>(a)</sup> | 392104 |  | 24455527 |
|  Qorvo, Inc.<sup>(a)</sup> | 94933 |  | 8604727 |
|  Qualcomm, Inc. | 1022096 |  | 112369234 |
|  Skyworks Solutions, Inc. | 147286 |  | 13422173 |
|  SolarEdge Technologies, Inc.<sup>(a)</sup> | 50529 |  | 14313350 |
|  Teradyne, Inc.<sup>(b)</sup> | 142480 |  | 12445628 |
|  Texas Instruments, Inc. | 826273 |  | 136516825 |
|  |  |  | 1489886867 |
| **Software — 8.3%** |  |  |  |
|  Adobe, Inc.<sup>(a)</sup> | 423255 |  | 142438005 |
|  ANSYS, Inc.<sup>(a)</sup> | 78802 |  | 19037775 |
|  Autodesk, Inc.<sup>(a)</sup> | 198014 |  | 37002876 |
|  Cadence Design Systems, Inc.<sup>(a)</sup> | 249661 |  | 40105543 |
|  Ceridian HCM Holding, Inc.<sup>(a)(b)</sup> | 140965 |  | 9042905 |
|  Fortinet, Inc.<sup>(a)</sup> | 597872 |  | 29229962 |
|  Gen Digital, Inc. | 527781 |  | 11310347 |
|  Intuit, Inc. | 256732 |  | 99925229 |
|  Microsoft Corp. | 6787782 |  | 1627845879 |
|  Oracle Corp. | 1382521 |  | 113007267 |
|  Paycom Software, Inc.<sup>(a)</sup> | 44246 |  | 13729976 |
|  PTC, Inc.<sup>(a)</sup> | 96012 |  | 11525281 |
|  Roper Technologies, Inc.<sup>(b)</sup> | 96647 |  | 41760202 |
|  Salesforce, Inc.<sup>(a)</sup> | 905597 |  | 120073106 |
|  ServiceNow, Inc.<sup>(a)</sup> | 183850 |  | 71383440 |
|  Synopsys, Inc.<sup>(a)</sup> | 139361 |  | 44496574 |
|  Tyler Technologies, Inc.<sup>(a)</sup> | 38201 |  | 12316384 |
|  |  |  | 2444230751 |
| **Specialty Retail — 2.4%** |  |  |  |
|  Advance Auto Parts, Inc. | 54557 |  | 8021516 |
|  AutoZone, Inc.<sup>(a)</sup> | 17281 |  | 42618057 |
|  Bath & Body Works, Inc. | 208330 |  | 8779026 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 29

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **S&P 500 Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Specialty Retail (continued)** |  |  |  |
|  Best Buy Co., Inc. | 184618 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14808210 |
|  CarMax, Inc.<sup>(a)(b)</sup> | 143103 |  | 8713542 |
|  Home Depot, Inc. | 932022 |  | 294388469 |
|  Lowe's Cos., Inc. | 565099 |  | 112590325 |
|  O'Reilly Automotive, Inc.<sup>(a)</sup> | 56971 |  | 48085233 |
|  Ross Stores, Inc. | 319841 |  | 37123945 |
|  TJX Cos., Inc. | 1057047 |  | 84140941 |
|  Tractor Supply Co. | 100461 |  | 22600711 |
|  Ulta Beauty, Inc.<sup>(a)</sup> | 47022 |  | 22056609 |
|  |  |  | 703926584 |
| **Technology Hardware, Storage & Peripherals — 6.2%** | **Technology Hardware, Storage & Peripherals — 6.2%** | **Technology Hardware, Storage & Peripherals — 6.2%** | **Technology Hardware, Storage & Peripherals — 6.2%** |
|  Apple, Inc. | 13614100 |  | 1768880013 |
|  Hewlett Packard Enterprise Co. | 1185109 |  | 18914340 |
|  HP, Inc. | 805929 |  | 21655312 |
|  NetApp, Inc. | 200639 |  | 12050378 |
|  Seagate Technology Holdings PLC<sup>(b)</sup> | 176010 |  | 9259886 |
|  Western Digital Corp.<sup>(a)</sup> | 286151 |  | 9028064 |
|  |  |  | 1839787993 |
| **Textiles, Apparel & Luxury Goods — 0.5%** | **Textiles, Apparel & Luxury Goods — 0.5%** | **Textiles, Apparel & Luxury Goods — 0.5%** | **Textiles, Apparel & Luxury Goods — 0.5%** |
|  NIKE, Inc., Class B | 1150111 |  | 134574488 |
|  Ralph Lauren Corp. | 37193 |  | 3930185 |
|  Tapestry, Inc. | 219376 |  | 8353838 |
|  VF Corp. | 305300 |  | 8429333 |
|  |  |  | 155287844 |
| **Tobacco — 0.7%** |  |  |  |
|  Altria Group, Inc. | 1639015 |  | 74919376 |
|  Philip Morris International, Inc. | 1410877 |  | 142794861 |
|  |  |  | 217714237 |
| **Trading Companies & Distributors — 0.2%** | **Trading Companies & Distributors — 0.2%** | **Trading Companies & Distributors — 0.2%** | **Trading Companies & Distributors — 0.2%** |
|  Fastenal Co. | 520118 |  | 24611984 |
|  United Rentals, Inc.<sup>(a)(b)</sup> | 63522 |  | 22576989 |
|  W.W.Grainger, Inc.<sup>(b)</sup> | 40977 |  | 22793456 |
|  |  |  | 69982429 |
| **Water Utilities — 0.1%** |  |  |  |
|  American Water Works Co., Inc.<sup>(b)</sup> | 164527 |  | 25077205 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Wireless Telecommunication Services — 0.3%** | **Wireless Telecommunication Services — 0.3%** | **Wireless Telecommunication Services — 0.3%** |
|  T-Mobile U.S., Inc.<sup>(a)</sup> | 543698 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76117720 |
|  **Total Common Stocks — 99.0%<br>(Cost: $15,214,362,979)** | **Total Common Stocks — 99.0%<br>(Cost: $15,214,362,979)** | 29261370956 |
|  **Investment Companies** |  |  |
| **Equity Funds — 0.7%** |  |  |
|  iShares Core S&P 500 ETF<sup>(c)</sup> | 508908 | 195527543 |
|  **Total Investment Companies — 0.7%<br>(Cost: $189,939,829)** | **Total Investment Companies — 0.7%<br>(Cost: $189,939,829)** | 195527543 |
|  **Total Long-Term Investments — 99.7%<br>(Cost: $15,404,302,808)** | **Total Long-Term Investments — 99.7%<br>(Cost: $15,404,302,808)** | 29456898499 |
|  **Short-Term Securities** |  |  |
| **Money Market Funds — 1.4%** |  |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%<sup>(c)(d)(e)</sup> | 304107516 | 304198748 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%<sup>(c)(d)</sup> | 113361188 | 113361188 |
|  **Total Short-Term Securities — 1.4%<br>(Cost: $417,426,929)** | **Total Short-Term Securities — 1.4%<br>(Cost: $417,426,929)** | 417559936 |
|  **Total Investments — 101.1%<br>(Cost: $15,821,729,737)** | **Total Investments — 101.1%<br>(Cost: $15,821,729,737)** | 29874458435 |
|  **Liabilities in Excess of Other Assets — (1.1)%** | **Liabilities in Excess of Other Assets — (1.1)%** | (329613066) |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | $29544845369 |

---

<sup>(a)</sup> Non-income producing security.

<sup>(b)</sup> All or a portion of this security is on loan.<sup></sup>

<sup>(c)</sup> Affiliate of the Master Portfolio.

<sup>(d)</sup> Annualized 7-day yield as of period end.

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

For Master Portfolio compliance purposes, the Master Portfolio's industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

30 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **S&P 500 Index Master Portfolio** |

---

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the Master Portfolio during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares Held<br>at 12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | $129540046 | $174660838 <sup>(a)</sup> | $— | $(119553) | $117417 | $304198748 | 304107516 | $529751 <sup>(b)</sup> | $– |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 190825864 |  | (77464676)<sup>(a)</sup> |  |  | 113361188 | 113361188 | 1995867 | – |
|  BlackRock, Inc. | 110121726 | 11473824 | (599256) | (183383) | (23573285) | 97239626 | 137222 | 2464688 | – |
|  iShares Core S&P 500 ETF | 433216628 | 2954719505 | (3164439205) | (7337546) | (20631839) | 195527543 | 508908 | 3060996 | – |
|  |  |  |  | $(7640482) | $(44087707) | $710327105 |  | $8051302 | $– |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

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

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 560 | 03/17/23 | $108108 | $(463688) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;463688 | $— | $— | $— | $463688 |

---

<sup>(a)</sup> Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Master Portfolio Schedule of Investments. In the Statement of Assets and Liabilities, only current day's variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in net unrealized appreciation (depreciation). 

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statement of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $(5630594) | $— | $— | $— | $(5630594) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(7380878) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $— | $— | $(7380878) |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $139746994 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 31

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **S&P 500 Index Master Portfolio** |

---

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

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the Master Portfolio's financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $29261370956 | $— | $— | $29261370956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | 195527543 |  |  | 195527543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 417559936 |  |  | 417559936 |
|  | $29874458435 | $— | $— | $29874458435 |
|  Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | $(463688) | $— | $— | $(463688) |

---

<sup>(a)</sup> Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

32 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statement of Assets and Liabilities

December 31, 2022

---

| | |
|:---|:---|
|  | S&P 500 Index<br>Master Portfolio |
|  **ASSETS** |  |
|  Investments, at value — unaffiliated<sup>(a)(b)</sup> | $29164131330 |
|  Investments, at value — affiliated<sup>(c)</sup> | 710327105 |
|  Cash | 130560 |
|  Cash pledged for futures contracts | 9517800 |
|  Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated | 65956 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | 25181704 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 265453 |
|  Prepaid expenses | 5456 |
|  Total assets | 29909625364 |
|  **LIABILITIES** |  |
|  Collateral on securities loaned | 304066304 |
|  Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Withdrawals to investors | 59459673 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 250499 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees | 61888 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 110499 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 831132 |
|  Total liabilities | 364779995 |
|  NET ASSETS | $29544845369 |
|  **NET ASSETS CONSIST OF** |  |
|  Investors' capital | $15492580359 |
|  Net unrealized appreciation (depreciation) | 14052265010 |
|  NET ASSETS | $29544845369 |
|  <sup>(a)</sup> Investments, at cost — unaffiliated | $15162484039 |
|  <sup>(b)</sup> Securities loaned, at value | $296259268 |
|  <sup>(c)</sup> Investments, at cost — affiliated | $659245698 |

---

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L S T A T E M E N T S 33

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Statement of Operations

Year Ended December 31, 2022

---

| | |
|:---|:---|
|  | S&P 500 Index<br>Master Portfolio |
|  **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $484410508 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 7522935 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 528367 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | (2434029) |
|  Total investment income | 490027781 |
|  EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 3053035 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees | 247024 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 29992 |
|  Total expenses | 3330051 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (393144) |
|  Total expenses after fees waived and/or reimbursed | 2936907 |
|  Net investment income | 487090874 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized loss from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (52489847) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (7640482) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (5630594) |
|  | (65760923) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (6596893866) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (44087707) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (7380878) |
|  | (6648362451) |
|  Net realized and unrealized loss | (6714123374) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(6227032500) |

---

*See notes to financial statements.* 

34 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statements of Changes in Net Assets

---

| | | |
|:---|:---|:---|
|  | S&P 500 Index Master Portfolio | S&P 500 Index Master Portfolio |
|  | <br> Year Ended<br>12/31/22 | Year Ended<br>12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |
|  **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $487090874 | $429887939 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (65760923) | 297816671 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (6648362451) | 7008302074 |
|  Net increase (decrease) in net assets resulting from operations | (6227032500) | 7736006684 |
|  **CAPITAL TRANSACTIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from contributions | 8816188759 | 7697627774 |
| &nbsp;&nbsp;&nbsp;&nbsp; Value of withdrawals | (7533596462) | (7937321540) |
|  Net increase (decrease) in net assets derived from capital transactions | 1282592297 | (239693766) |
|  *NET ASSETS* |  |  |
|  Total increase (decrease) in net assets | (4944440203) | 7496312918 |
|  Beginning of year | 34489285572 | 26992972654 |
|  End of year | $29544845369 | $34489285572 |

---

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L S T A T E M E N T S 35

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Financial Highlights

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | S&P 500 Index Master Portfolio | S&P 500 Index Master Portfolio | S&P 500 Index Master Portfolio | S&P 500 Index Master Portfolio | S&P 500 Index Master Portfolio |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Total Return** |  |  |  |  |  |
|  Total return | (18.13)% | 28.65% | 18.42% | 31.44% | (4.38)% |
|  **Ratios to Average Net Assets<sup>(a)</sup>** |  |  |  |  |  |
|  Total expenses | 0.01% | 0.01% | 0.01% | 0.03% | 0.04% |
|  Total expenses after fees waived and/or reimbursed | 0.01% | 0.01% | 0.01% | 0.02% | 0.04% |
|  Net investment income | 1.60% | 1.39% | 1.82% | 1.95% | 1.92% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $29544845 | $34489286 | $26992973 | $23207958 | $17256929 |
|  Portfolio turnover rate | 13% | 6% | 5% | 3% | 12% |

---

<sup>(a)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

*See notes to financial statements.* 

36 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements

***1.***  ***ORGANIZATION*** 

Master Investment Portfolio ("MIP") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. MIP is organized as a Delaware statutory trust. S&P 500 Index Master Portfolio (the "Master Portfolio") is a series of MIP. The Master Portfolio is classified as diversified.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Fund Advisors ("BFA" or the "Manager") or its affiliates, is included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

***2.***  ***SIGNIFICANT ACCOUNTING POLICIES*** 

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

**Investment Transactions and Income Recognition:** For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.

**Foreign Taxes:** The Master Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Master Portfolio invests. These foreign taxes, if any, are paid by the Master Portfolio and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as "Foreign taxes withheld", and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2022, if any, are disclosed in the Statement of Assets and Liabilities.

The Master Portfolio files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Master Portfolio may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction's applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

**Collateralization:** If required by an exchange or counterparty agreement, the Master Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

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

**Other:** Expenses directly related to the Master Portfolio are charged to the Master Portfolio. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

***3.***  ***INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*** 

**Investment Valuation Policies:** The Master Portfolio's investments are valued at fair value (also referred to as "market value" within the financial statements) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of MIP (the "Board") has approved the designation of the Master Portfolio's Manager as the valuation designee for the Master Portfolio. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager's policies. If a security's market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager's policies and procedures as reflecting fair value. The Manager has formed a committee (the "Valuation Committee") to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

**Fair Value Inputs and Methodologies:** The following methods and inputs are used to establish the fair value of the Master Portfolio's assets and liabilities:

&nbsp;&nbsp;&nbsp;&nbsp;• Equity investments traded on a recognized securities exchange are valued at that day's official closing price, as
applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

&nbsp;&nbsp;&nbsp;&nbsp;• Investments in open-end U.S. mutual funds (including money market funds) are valued at that day's published net
asset value ("NAV").

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 37

------

Notes to Financial Statements (continued)

&nbsp;&nbsp;&nbsp;&nbsp;• Futures contracts are valued based on that day's last reported settlement or trade price on the exchange where the
contract is traded.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the New York Stock Exchange ("NYSE"). Each business day, the Master Portfolio uses current market factors supplied by independent pricing services to value certain foreign instruments ("Systematic Fair Value Price"). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager's policies and procedures as reflecting fair value ("Fair Valued Investments"). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that the Master Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm's-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.

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

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the
Master Portfolio has the ability to access;

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

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

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

***4.***  ***SECURITIES AND OTHER INVESTMENTS*** 

**Securities Lending:** The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. ("BTC"), if any, is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Master Portfolio, except in the event of borrower default. The securities on loan, if any, are disclosed in the Master Portfolio's Schedule of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value –unaffiliated and collateral on securities loaned, respectively.

Securities lending transactions are entered into by the Master Portfolio under Master Securities Lending Agreements (each, an "MSLA"), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty's bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties' obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party's net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

38 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

As of period end, the following table is a summary of the Master Portfolio's securities on loan by counterparty which are subject to offset under an MSLA:

---

| | | | |
|:---|:---|:---|:---|
|  *Counterparty* | *Securities<br>Loaned at Value* | *Cash Collateral<br>Received <br><sup>(a)</sup>* |  |
|  Barclays Bank PLC | $9011198 | $(9011198) | $– |
|  Barclays Capital, Inc. | 317756 | (317756) | – |
|  BNP Paribas SA | 82460125 | (82460125) | – |
|  BofA Securities, Inc. | 12280613 | (12280613) | – |
|  Citadel Clearing LLC | 6566531 | (6566531) | – |
|  Citigroup Global Markets, Inc. | 12618680 | (12618680) | – |
|  Goldman Sachs & Co. LLC | 14791319 | (14791319) | – |
|  HSBC Bank PLC | 101567 | (101567) | – |
|  J.P. Morgan Securities LLC | 44791104 | (44791104) | – |
|  Jefferies LLC | 212695 | (212695) | – |
|  Morgan Stanley | 19903906 | (19903906) | – |
|  Natixis SA | 1688 | (1688) | – |
|  RBC Capital Markets LLC | 28530588 | (28530588) | – |
|  Scotia Capital (USA), Inc. | 3301735 | (3301735) | – |
|  SG Americas Securities LLC | 962488 | (962488) | – |
|  State Street Bank & Trust Co. | 2345460 | (2345460) | – |
|  Toronto-Dominion Bank | 51580760 | (51580760) | – |
|  UBS AG | 583765 | (583765) | – |
|  UBS Securities LLC | 2349461 | (2349461) | – |
|  Virtu Americas LLC | 993807 | (993807) | – |
|  Wells Fargo Bank N.A. | 249096 | (249096) | – |
|  Wells Fargo Securities LLC | 2304926 | (2304926) | – |
|  | $296259268 | $(296259268) | $– |

---

<sup>(a)</sup> Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio's Statement of Assets and Liabilities. 

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

***5.***  ***DERIVATIVE FINANCIAL INSTRUMENTS*** 

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter ("OTC").

**Futures Contracts:** Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract's size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract ("variation margin"). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

***6.***  ***INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*** 

**Investment Advisory:** MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio's investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of the Master Portfolio's portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Master Portfolio.

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 39

------

Notes to Financial Statements (continued)

For such services, the Master Portfolio pays the Manager a monthly fee at an annual rate equal to 0.01% of the average daily value of the Master Portfolio's net assets.

**Administration:** MIP, on behalf of the Master Portfolio, entered into an Administration Agreement with BlackRock Advisors, LLC ("BAL"), which has agreed to provide general administrative services (other than investment advice and related portfolio activities). BAL has agreed to bear all of the Master Portfolio's ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolio.

BAL is not entitled to compensation for providing administrative services to the Master Portfolio, for so long as BAL (or an affiliate) is entitled to compensation for providing administrative services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolio, or BAL (or an affiliate) receives investment advisory fees from the Master Portfolio.

The fees and expenses of the Master Portfolio's trustees who are not "interested persons" of MIP, as defined in the 1940 Act ("Independent Trustees"), counsel to the Independent Trustees and the Master Portfolio's independent registered public accounting firm (together, the "independent expenses") are paid directly by the Master Portfolio. BFA has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the investment advisory fees paid by the Master Portfolio in an amount equal to the independent expenses through June 30, 2023. If the Master Portfolio does not pay administration fees, BAL agrees to cap the expenses of the Master Portfolio at the rate at which it pays an investment advisory fee to BFA. The amount waived is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the amount waived was $277,016.

**Expense Waivers and Reimbursements:** The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the "affiliated money market fund waiver") through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the amounts waived were $92,186.

The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Master Portfolio's assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the Manager waived $23,942 in investment advisory fees pursuant to this arrangement.

**Securities Lending:** The U.S. Securities and Exchange Commission ("SEC") has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan (the "collateral investment fees"). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund's weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, the Master Portfolio retains 81% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 81% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Master Portfolio is shown as securities lending income — affiliated — net in the Statement of Operations. For the year ended December 31, 2022, the Master Portfolio paid BTC $203,850 for securities lending agent services.

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the SEC, the Master Portfolio may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Master Portfolio's investment policies and restrictions. The Master Portfolio is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

40 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

During the year ended December 31, 2022, the Master Portfolio did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of the Master Portfolio are directors and/or officers of BlackRock or its affiliates.

**Other Transactions:** The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended December 31, 2022, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

---

| | | | |
|:---|:---|:---|:---|
| *Master Portfolio Name* | *Purchases* | *Sales* | *Net Realized<br>Gain (Loss)* |
|  S&P 500 Index Master Portfolio | $211481078 | $122905651 | $(33730868) |

---

***7.***  ***PURCHASES AND SALES*** 

For the year ended December 31, 2022, purchases and sales of investments, excluding short-term securities, were $5,768,293,288 and $3,965,817,339, respectively.

***8.***  ***INCOME TAX INFORMATION*** 

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

The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Master Portfolio's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Master Portfolio as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio's financial statements.

As of December 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Master Portfolio Name* | *Tax Cost* | *Gross Unrealized<br>Appreciation* | *Gross Unrealized<br>Depreciation* | *Net Unrealized<br>Appreciation<br>(Depreciation)* |
|  S&P 500 Index Master Portfolio | $15724549640 | $15227612925 | $(1077704130) | $14149908795 |

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***9.***  ***BANK BORROWINGS*** 

MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates ("Participating Funds"), are a party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate ("OBFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate ("SOFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2023 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2022, the Master Portfolio did not borrow under the credit agreement.

***10.***  ***PRINCIPAL RISKS*** 

In the normal course of business, the Master Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio's prospectus provides details of the risks to which the Master Portfolio is subject.

The Manager uses a "passive" or index approach to try to achieve the Master Portfolio's investment objective following the securities included in its underlying index during upturns as well as downturns. The Manager does not take steps to reduce market exposure or to lessen the effects of a declining market. Divergence from the underlying index and the composition of the portfolio is monitored by the Manager.

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 41

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Notes to Financial Statements (continued)

The Master Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

**Infectious Illness Risk:** An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

**Valuation Risk:** The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Master Portfolio may invest in illiquid investments. An illiquid investment is any investment that the Master Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Master Portfolio may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Master Portfolio's NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Master Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Master Portfolio invests.

**Counterparty Credit Risk:** The Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio's exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

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

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

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

**Significant Shareholder Redemption Risk:** Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund's NAV, increase the fund's brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

**LIBOR Transition Risk:** The United Kingdom's Financial Conduct Authority announced a phase out of the London Interbank Offered Rate ("LIBOR"). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Master Portfolio may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Master Portfolio is uncertain.

***11.***  ***SUBSEQUENT EVENTS*** 

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

42 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Master Investment Portfolio and Investors of S&P 500 Index Master Portfolio

**Opinion on the Financial Statements** 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of S&P 500 Index Master Portfolio (one of the series constituting Master Investment Portfolio, referred to hereafter as the "Master Portfolio") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Master Portfolio as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.

---

| |
|:---|
| /s/PricewaterhouseCoopers LLP |
| Philadelphia, Pennsylvania |
| February 14, 2023 |

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We have served as the auditor of one or more BlackRock investment companies since 2000.

M A S T E R P O R T F O L I O R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M 43

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Statement Regarding Liquidity Risk Management Program

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), BlackRock Funds III and Master Investment Portfolio (the "Trusts") have adopted and implemented a liquidity risk management program (the "Program") for iShares S&P 500 Index Fund and S&P 500 Index Master Portfolio (the "Funds"), each a series of the respective Trust, which is reasonably designed to assess and manage each Fund's liquidity risk.

The Board of Trustees (the "Board") of the Trusts, on behalf of the Funds, met on November 8-9, 2022 (the "Meeting") to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors ("BlackRock"), each an investment adviser to certain BlackRock funds, as the program administrator for each Fund's Program, as applicable. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the "Committee"). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund's Highly Liquid Investment Minimum ("HLIM") where applicable, and any material changes to the Program (the "Report"). The Report covered the period from October 1, 2021 through September 30, 2022 (the "Program Reporting Period").

The Report described the Program's liquidity classification methodology for categorizing each Fund's investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund's HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund's liquidity risk, as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***a)***  ***The Fund's investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed whether each Fund's strategy is appropriate for an open-end fund structure with a focus on funds with more significant and consistent holdings
of less liquid and illiquid assets. The Committee also factored a fund's concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a fund participated in borrowings for
investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program's calculation of a fund's liquidity bucketing. A fund's derivative exposure was also considered in such
calculation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***b)***  ***Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each Fund's reasonably anticipated trading size utilized for liquidity classifications.
Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a fund's shareholder ownership concentration (which, depending on product type and
distribution channel, may or may not be available), a fund's distribution channels, and the degree of certainty associated with a fund's short-term and long-term cash flow projections.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***c)***  ***Holdings of cash and cash equivalents, as well as borrowing arrangements.*** The Committee considered the
terms of the credit facility committed to each Fund, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is
specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V, and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). The Committee also considered other types of borrowing available to the
Funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.

There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program's classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

44 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Trustee and Officer Information

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During Past 5 Years** |
| **Mark Stalnecker**<br> 1951 | Chair of the Board<br> (Since 2019) and<br> Trustee<br> (Since 2015) | Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees' Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014. | 28 RICs consisting of 164 Portfolios |  |
| **Susan J. Carter**<br> 1956 | Trustee<br> (Since 2016) | Trustee, Financial Accounting Foundation from 2017 to 2021; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business from 1997 to 2021; Director, Pacific Pension Institute from 2014 to 2018; Senior Advisor, Common fund Capital, Inc. ("CCI") (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof since 2018; Advisory Board Member, Bridges Fund Management since 2016; Practitioner Advisory Board Member, Private Capital Research Institute ("PCRI") since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019; Advisor to Finance Committee, Altman Foundation since 2020; Investment Committee Member, Tostan since 2021. | 28 RICs consisting of 164 Portfolios |  |
| **Collette Chilton**<br> 1958 | Trustee<br> (Since 2015) | Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006; Director, Boys and Girls Club of Boston since 2017; Director, B1 Capital since 2018; Director, David and Lucile Packard Foundation since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Neil A. Cotty**<br> 1954 | Trustee<br> (Since 2016) | Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002. | 28 RICs consisting of 164 Portfolios |  |
| **Lena G. Goldberg**<br> 1949 | Trustee<br> (Since 2019) | Director, Charles Stark Draper Laboratory, Inc. from 2013 to 2021; Senior Lecturer, Harvard Business School from 2008 to 2021; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985. | 28 RICs consisting of 164 Portfolios |  |

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T R U S T E E A N D O F F I C E R I N F O R M A T I O N 45

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During Past 5 Years** |
| **Henry R. Keizer**<br> 1956 | Trustee<br> (Since 2019) | Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010. | 28 RICs consisting of 164 Portfolios | Hertz Global Holdings (car rental) from 2015 to 2021; GrafTech International Ltd. (materials manufacturing); WABCO (commercial vehicle safety systems) from 2015 to 2020; Sealed Air Corp. (packaging) from 2015 to 2021 |
| **Cynthia A. Montgomery**<br> 1952 | Trustee<br> (Since 2009) | Professor, Harvard Business School since 1989. | 28 RICs consisting of 164 Portfolios |  |
| **Donald C. Opatrny**<br> 1952 | Trustee<br> (Since 2019) | Director, Athena Capital Advisors LLC (investment management firm) from 2013 to 2020; Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University from 2004 to 2019; President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018; Member of the Board and Investment Committee, University School from 2007 to 2018; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyoming since 2017; Member, Investment Funds Committee, State of Wyoming since 2017; Trustee, Phoenix Art Museum since 2018; Trustee, Arizona Community Foundation and Member of Investment Committee since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Joseph P. Platt**<br> 1947 | Trustee<br> (Since 2009) | General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, Basic Health International (non-profit) since 2015. | 28 RICs consisting of 164 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company); Consol Energy Inc. |
| **Kenneth L. Urish**<br> 1951 | Trustee<br> (Since 2009) | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past- Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since founding in 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter- Tel from 2006 to 2007; Member, Advisory Board, ESG Competent Boards since 2020. | 28 RICs consisting of 164 Portfolios |  |

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46 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During Past 5 Years** |
| **Claire A. Walton 1957** | Trustee<br> (Since 2016) | Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; General Partner of Neon Liberty Capital Management, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Woodstock Ski Runners since 2013; Director, Massachusetts Council on Economic Education from 2013 to 2015. | 28 RICs consisting of 164 Portfolios |  |
| **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During Past 5 Years** |
| **Robert Fairbairn**<br> 1965 | Trustee<br> (Since 2018) | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock's Global Executive and Global Operating Committees; Co-Chair of BlackRock's Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock's Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock's Retail and iShares<sup>®</sup> businesses from 2012 to 2016. | 98 RICs consisting of 266 Portfolios |  |
| **John M. Perlowski<sup>(e)</sup>**<br> **1964** | Trustee<br> (Since 2015) President and Chief Executive Officer (Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 100 RICs consisting of 268 Portfolios |  |

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<sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

<sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.

<sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. 

<sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.

<sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund.

T R U S T E E A N D O F F I C E R I N F O R M A T I O N 47

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Trustee and Officer Information (continued)

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| | | |
|:---|:---|:---|
| **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)** | **Principal Occupation(s) During Past 5 Years** |
| **Roland Villacorta**<br> 1971 | Vice President<br> (Since 2022) | Managing Director of BlackRock, Inc. since 2022; Head of Global Cash Management and Head of Securities Lending within BlackRock's Portfolio Management Group since 2022; Member of BlackRock's Global Operating Committee since 2022; Head of Portfolio Management in BlackRock's Financial Markets Advisory Group within BlackRock Solutions from 2008 to 2015; Co-Head of BlackRock Solutions' Portfolio Analytics Group; previously Mr. Villacorta was Co-Head of Fixed Income within BlackRock's Risk & Quantitative Analysis Group. |
| **Jennifer McGovern**<br> 1977 | Vice President<br> (Since 2014) | Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock's Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock's U.S. Wealth Advisory Group from 2013 to 2019. |
| **Trent Walker**<br> 1974 | Chief Financial Officer<br> (Since 2021) | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. |
| **Jay M. Fife**<br> 1970 | Treasurer<br> (Since 2009) | Managing Director of BlackRock, Inc. since 2007. |
| **Charles Park**<br> 1967 | Chief Compliance Officer<br> (Since 2014) | Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares<sup>®</sup> Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors ("BFA") since 2006; Chief Compliance Officer for the BFA-advised iShares<sup>®</sup> exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. |
| **Lisa Belle**<br> 1968 | Anti-Money Laundering Compliance Officer<br> (Since 2019) | Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012. |
| **Janey Ahn**<br> 1975 | Secretary<br> (Since 2019) | Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. |

---

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

<sup>(b)</sup> Officers of the Trust/MIP serve at the pleasure of the Board.

Further information about the Trust's/MIP's Trustees and Officers is available in the Trust's/MIP's Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

Effective March 31, 2022, Thomas Callahan resigned as a Vice President of the Trust/MIP and effective May 10, 2022, Roland Villacorta was appointed as a Vice President of the Trust/MIP.

Effective December 31, 2022, Joseph P. Platt retired as a Trustee of the Trust/MIP.

48 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Additional Information

**General Information** 

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Fund/Master Portfolio may be found on BlackRock's website, which can be accessed at **blackrock.com.** Any reference to BlackRock's website in this report is intended to allow investors public access to information regarding the Fund/Master Portfolio and does not, and is not intended to, incorporate BlackRock's website in this report.

**Householding** 

The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called "householding" and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Fund at (800) 441-7762.

**Availability of Quarterly Schedule of Investments** 

The Fund/Master Portfolio file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Fund's/Master Portfolio's Forms N-PORT are available on the SEC's website at **sec.gov**. Additionally, the Fund/Master Portfolio makes their portfolio holdings for the first and third quarters of each fiscal year available at **blackrock.com/fundreports.**

**Availability of Proxy Voting Policies, Procedures and Voting Records** 

A description of the policies and procedures that the Fund/Master Portfolio use to determine how to vote proxies relating to portfolio securities and information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund's/Master Portfolio's portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at **blackrock.com**; and (3) on the SEC's website at **sec.gov**.

**BlackRock's Mutual Fund Family** 

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

**Shareholder Privileges** 

**Account Information** 

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit **blackrock.com** for more information.

**Automatic Investment Plans** 

Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

**Systematic Withdrawal Plans** 

Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.

**Retirement Plans** 

Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.

**BlackRock Privacy Principles** 

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, "Clients") and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

A D D I T I O N A L I N F O R M A T I O N 49

------

Additional Information (continued)

**BlackRock Privacy Principles (continued)** 

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

**Fund and/or MIP Service Providers** 

---

| | |
|:---|:---|
| **Investment Adviser** | **Distributor** |
| BlackRock Fund Advisors | BlackRock Investments, LLC |
| San Francisco, CA 94105 | New York, NY 10022 |
| **Administrator** | **Independent Registered Public Accounting Firm** |
| BlackRock Advisors, LLC | PricewaterhouseCoopers LLP |
| Wilmington, DE 19809 | Philadelphia, PA 19103 |
| **Accounting Agent and Custodian** | **Legal Counsel** |
| State Street Bank and Trust Company | Sidley Austin LLP |
| Boston, MA 02111 | New York, NY 10019 |
| **Transfer Agent** | **Address of the Trust/MIP** |
| BNY Mellon Investment Servicing (US) Inc. | 400 Howard Street |
| Wilmington, DE 19809 | San Francisco, CA 94105 |

---

50 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Glossary of Terms Used in this Report

---

| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| ETF | Exchange-Traded Fund |
| MSCI | Morgan Stanley Capital International |
| S&P | Standard & Poor's |

---

G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T 51

------

**Want to know more?** 

blackrock.com \| 800-441-7762

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund's current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

SPSF-12/22-AR

---

| | |
|:---|:---|
| ![LOGO](g362996g42l24.jpg)  | ![LOGO](g362996leaf.jpg) |

---

------

---

| | |
|:---|:---|
| ![LOGO](g289488g42l24.jpg)  | **DECEMBER 31, 2022** |

---

<br> **2022 Annual Report**<br>

**BlackRock Funds III** 

· iShares U.S. Aggregate Bond Index Fund

&nbsp;&nbsp;&nbsp;**Not FDIC Insured • May Lose Value • No Bank Guarantee**

------

The Markets in Review

Dear Shareholder,

Significant economic headwinds emerged during the 12-month reporting period ended December 31, 2022, as investors navigated changing economic conditions and volatile markets. The U.S. economy shrank in the first half of 2022 before returning to modest growth in the third quarter, marking a shift to a more challenging post-reopening economic environment. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high before beginning to moderate. Moreover, while the foremost effect of Russia's invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.

Equity prices fell as interest rates rose, particularly during the first half of the reporting period. Both large- and small-capitalization U.S. stocks fell, although equities began to recover in the second half of the year as inflation eased and economic growth resumed. Emerging market stocks and international equities from developed markets declined overall, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield rose notably during the reporting period, driving its price down, as investors reacted to fluctuating inflation data and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and heightened uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the "Fed"), acknowledging that inflation has been more persistent than expected, raised interest rates seven times. Furthermore, the Fed wound down its bond-buying programs and is accelerating the reduction of its balance sheet. While the Fed suggested that additional rate hikes were likely, it also gave indications that the pace of increases would slow if inflation continued to subside.

The pandemic's restructuring of the economy brought an ongoing mismatch between supply and demand, contributing to the current inflationary regime. While growth slowed in 2022, we believe that taming inflation requires a more dramatic economic decline to bring demand back to a level more in line with the economy's capacity. The Fed has been raising interest rates at the fastest pace in decades, and seems set to overtighten in its effort to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, but this prospect has not yet been fully priced in by markets. Investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions.

In this environment, while we favor an overweight to equities in the long-term, the market's concerns over excessive rate hikes from central banks moderate our outlook. Rising input costs and a deteriorating economic backdrop are likely to challenge corporate earnings, so we are underweight equities overall in the near term. However, we see better opportunities in credit, where valuations are attractive and higher yields provide income opportunities. We believe that global investment-grade corporates, global inflation-linked bonds, and U.S. mortgage-backed securities offer strong opportunities for a six- to twelve-month horizon.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit **blackrock.com** for further insight about investing in today's markets.

Sincerely,

![LOGO](g289488sig_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

![LOGO](g289488photo_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

---

| | | |
|:---|:---|:---|
| **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** |
|  | *6-Month* | *12-Month* |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. large cap equities<br>(S&P 500<sup>®</sup> Index) | 2.31% | (18.11)% |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. small cap equities<br>(Russell 2000<sup>®</sup> Index) | 3.91 | (20.44) |
| &nbsp;&nbsp;&nbsp;&nbsp; International equities<br>(MSCI Europe, Australasia, Far East Index) | 6.36 | (14.45) |
| &nbsp;&nbsp;&nbsp;&nbsp; Emerging market equities<br>(MSCI Emerging Markets Index) | (2.99) | (20.09) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3-month Treasury bills<br>(ICE BofA 3-Month U.S. Treasury Bill Index) | 1.32 | &nbsp;&nbsp;&nbsp;&nbsp;1.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury securities<br>(ICE BofA 10-Year U.S. Treasury Index) | (5.58) | (16.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. investment grade bonds<br>(Bloomberg U.S. Aggregate Bond Index) | (2.97) | (13.01) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tax-exempt municipal bonds<br>(Bloomberg Municipal Bond Index) | 0.50 | (8.53) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. high yield bonds<br>(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | 3.50 | (11.18) |
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |

---

2 T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T

------

**Table of Contents**

---

| | |
|:---|:---|
| | **Page** |
|  [The Markets in Review](#tx289488_1) | 2 |
|  **Annual Report:** |  |
|  [Fund Summary](#tx289488_2) | 4 |
|  [About Fund Performance](#tx289488_3) | 6 |
|  [Disclosure of Expenses](#tx289488_4) | 6 |
|  Fund Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statement of Assets and Liabilities](#tx289488_5) | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statement of Operations](#tx289488_6) | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Fund Statements of Changes in Net Assets](#tx289488_7) | 10 |
|  [Fund Financial Highlights](#tx289488_8) | 11 |
|  [Fund Notes to Financial Statements](#tx289488_9) | 15 |
|  [Fund Report of Independent Registered Public Accounting Firm](#tx289488_10) | 19 |
|  [Important Tax Information](#tx289488_11) | 20 |
|  [Master Portfolio Information](#tx289488_12) | 21 |
|  Master Portfolio Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Schedule of Investments](#tx289488_13) | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statement of Assets and Liabilities](#tx289488_14) | 76 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statement of Operations](#tx289488_15) | 77 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Master Portfolio Statements of Changes in Net Assets](#tx289488_16) | 78 |
|  [Master Portfolio Financial Highlights](#tx289488_17) | 79 |
|  [Master Portfolio Notes to Financial Statements](#tx289488_18) | 80 |
|  [Master Portfolio Report of Independent Registered Public Accounting Firm](#tx289488_19) | 87 |
|  [Statement Regarding Liquidity Risk Management Program](#tx289488_20) | 88 |
|  [Trustee and Officer Information](#tx289488_21) | 89 |
|  [Additional Information](#tx289488_22) | 93 |
|  [Glossary of Terms Used in this Report](#tx289488_23) | 95 |

---

![LOGO](g289488sp003.jpg)

3.0 ------

---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 | **iShares U.S. Aggregate Bond Index Fund** |

---

**Investment Objective** 

**iShares U.S. Aggregate Bond Index Fund's (the "Fund")** investment objective is to seek to provide investment results that correspond to the total return performance of fixed-income securities in the aggregate, as represented by the Bloomberg U.S. Aggregate Bond Index (the "Index").

**Portfolio Management Commentary** 

**How did the Fund perform?** 

For the 12-month period ended December 31, 2022, the Fund's Institutional Shares returned (13.09)%, Investor A Shares returned (13.31)%, Class K Shares returned (13.03)% and Investor P Shares returned (13.31)%. For the same period, the benchmark Bloomberg U.S. Aggregate Bond Index (the "Index") returned (13.01)%.

Returns for the Fund's respective share classes differ from the Index based on individual share class expenses. The Fund invests all of its assets in U.S Total Bond Index Master Portfolio (the "Master Portfolio"), a series of Master Investment Portfolio.

**Describe the market environment.** 

The broad U.S. taxable bond market returned (13.01)% for 2022 as gauged by the Bloomberg U.S. Aggregate Index. The 10-year U.S. Treasury yield finished the year at 3.88%, an increase of 236 basis points from its 1.52% starting point at the end of 2021. The two-year Treasury note began 2022 at 0.73% and ended the year at 4.41% for an increase of 368 basis points. As a result, the Treasury curve ended 2022 significantly inverted (meaning that yields were higher for shorter maturities), a development which has historically been a precursor to recession. Against this backdrop, bond market returns for the reporting period were negative and credit spreads generally widened.

Historically high inflation and policy tightening in response by the Fed to contain prices were the principal drivers of the benchmark index posting its biggest calendar year loss on record. Inflation had already breeched the Fed's 2% target in late 2021 but spiked in the wake of Russia's late-February 2022 invasion of Ukraine. U.S. year-over-year consumer price inflation broke the 8% mark in March 2022 and peaked at 9.1% in June 2022. The Fed responded aggressively by raising its benchmark overnight lending rate seven times in 2022, leaving the fed funds target range at 4.25%-4.50% at year-end, as compared to 0.0%-0.25% entering the year.

**Describe recent portfolio activity.** 

During the period, the Master Portfolio maintained its objective of seeking to provide investment results that correspond to the total return performance of the Index by selecting securities in accordance with their relative proportion within the Index. Other factors considered in security selection included transaction costs and maturity structure.

**Describe portfolio positioning at period end.** 

The Master Portfolio remains positioned to attempt to match the risk characteristics of the Index, irrespective of the market's future direction.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

4 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Fund Summary as of December 31, 2022 (continued) | **iShares U.S. Aggregate Bond Index Fund** |

---

**GROWTH OF $10,000 INVESTMENT**![LOGO](g289488sp05.jpg)

<sup>(a)</sup> Assuming transaction costs and other operating expenses, including administration fees, if any.

<sup>(b)</sup> The Fund invests all of its assets in the Master Portfolio. The Master Portfolio invests primarily in investment-grade U.S. Government securities and corporate bonds, as well as investment grade mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities. 

<sup>(c)</sup> A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.

**Performance** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> | Average Annual Total Returns<sup>(a)</sup> |
|  | | | 1 Year | 1 Year | 5 Years | 5 Years | 10 Years | 10 Years |
|  | *Standardized<br>30-Day Yields* | *Unsubsidized<br>30-Day Yields* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* | *Without<br>Sales<br>Charge* | *With<br>Sales<br>Charge* |
|  Institutional | 3.95% | 3.95% | (13.09)% | N/A | (0.10)% | N/A | 0.89% | N/A |
|  Investor A | 3.70 | 3.70 | (13.31) | N/A | (0.35) | N/A | 0.64 | N/A |
|  Investor P | 3.55 | 3.55 | (13.31) | (16.77)% | (0.34) | (1.15)% | 0.64 | 0.24% |
|  Class K | 4.00 | 4.00 | (13.03) | N/A | (0.03) | N/A | 0.95 | N/A |
|  **Bloomberg U.S. Aggregate Bond Index** |  |  | (13.01) | N/A | 0.02 | N/A | 1.06 | N/A |

---

<sup>(a)</sup> Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See "About Fund Performance" for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain share classes. 

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

Past performance is not an indication of future results.

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

**Expense Example** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Actual | Actual | Actual | Hypothetical 5% Return | Hypothetical 5% Return | Hypothetical 5% Return | |
|  | *Beginning<br>Account Value* *(07/01/22*<br>** <br> *)*  | *Ending<br>Account Value* *(12/31/22*<br>** <br> *)*  | *Expenses<br>Paid During<br>the Period* *<br><sup>(a)</sup>* | *Beginning<br>Account Value<br>(07/01/22)* | *Ending<br>Account Value<br>(12/31/22)* | *Expenses<br>Paid During<br>the Period* *<br><sup>(a)</sup>* | *Annualized<br>Expense<br>Ratio* |
|  Institutional | $1000.00 | $967.90 | $0.50 | $1000.00 | $1024.70 | $0.51 | 0.10% |
|  Investor A | 1000.00 | 966.70 | 1.74 | 1000.00 | 1023.44 | 1.79 | 0.35 |
|  Investor P | 1000.00 | 966.70 | 1.74 | 1000.00 | 1023.44 | 1.79 | 0.35 |
|  Class K | 1000.00 | 968.20 | 0.25 | 1000.00 | 1024.95 | 0.26 | 0.05 |

---

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

See "Disclosure of Expenses" for further information on how expenses were calculated.

F U N D S U M M A R Y 5

------

---

| | |
|:---|:---|
| About Fund Performance | **iShares U.S. Aggregate Bond Index Fund** |

---

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

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

**Investor P Shares** are subject to a maximum initial sales charge (front-end load) of 4.00% and a service fee of 0.25% per year (but no distribution fee). Certain redemption of these shares may be subject to a CDSC where no initial sales charge was paid at the time of purchase. These shares are only available to investors purchasing shares through registered representatives of an insurance company's broker-dealer that has entered into an agreement with the Fund's distributor to offer such shares. Investor P Shares performance shown prior to the Investor P Shares inception date of August 6, 2018 is that of Class K Shares (which have no distribution or service fess) and was restated to reflect Investor P Shares fees.

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

BlackRock Advisors, LLC (the "Administrator"), the Fund's administrator, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of the Fund's expenses. Without such waiver(s) and/or reimbursement(s), the Fund's performance would have been lower. With respect to the Fund's voluntary waiver(s), if any, the Administrator is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued at any time. With respect to the Fund's contractual waiver(s), if any, the Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.

The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements.

Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown (which is based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense example provides information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled "Expenses Paid During the Period."

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

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

6 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statement of Assets and Liabilities

December 31, 2022

---

| | |
|:---|:---|
|  | iShares U.S.<br>Aggregate Bond<br> Index Fund |
|  **ASSETS** |  |
|  Investments, at value — Master Portfolio | $2227328454 |
|  Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares sold | 5295988 |
| &nbsp;&nbsp;&nbsp;&nbsp; Withdrawals from the Master Portfolio | 17133644 |
|  Total assets | 2249758086 |
|  **LIABILITIES** |  |
|  Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration fees | 35990 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 22429632 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 12856 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service fees | 22771 |
|  Total liabilities | 22501249 |
|  NET ASSETS | $2227256837 |
|  **NET ASSETS CONSIST OF** |  |
|  Paid-in capital | $2565592779 |
|  Accumulated loss | (338335942) |
|  NET ASSETS | $2227256837 |

---

F U N D F I N A N C I A L S T A T E M E N T S 7

------

Statement of Assets and Liabilities (continued)

December 31, 2022

---

| | |
|:---|:---|
|  | iShares U.S.<br>Aggregate Bond<br>Index Fund |
|  **NET ASSET VALUE** |  |
| **Institutional** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $248151187 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 27901594 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $8.89 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value |
| **Investor A** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $96331352 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 10830896 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $8.89 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value |
| **Investor P** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $7147732 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 803844 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $8.89 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value |
| **Class K** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets | $1875626566 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 210736466 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $8.90 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | No par value |

---

*See notes to financial statements.* 

8 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statement of Operations

Year Ended December 31, 2022

---

| | |
|:---|:---|
|  | iShares U.S.<br> Aggregate Bond<br> Index Fund |
|  **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income allocated from the Master Portfolio: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | $1278213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 48824456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 1077759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses | (988949) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived | 126046 |
|  Total investment income | 50317525 |
|  FUND EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration — class specific | 436797 |
| &nbsp;&nbsp;&nbsp;&nbsp; Service — class specific | 313680 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 12236 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 2116 |
|  Total expenses | 764829 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Administrator | (12236) |
|  Total expenses after fees waived and/or reimbursed | 752593 |
|  Net investment income | 49564932 |
|  **REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM THE MASTER PORTFOLIO** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (26052299) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | 721461 |
|  | (25330838) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (346131997) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (1671896) |
|  | (347803893) |
|  Net realized and unrealized loss | (373134731) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(323569799) |

---

*See notes to financial statements.* 

F U N D F I N A N C I A L S T A T E M E N T S 9

------

Statements of Changes in Net Assets

---

| | | |
|:---|:---|:---|
|  | iShares U.S.<br> Aggregate Bond<br> Index Fund | iShares U.S.<br> Aggregate Bond<br> Index Fund |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |
|  **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $49564932 | $47683747 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (25330838) | 2566614 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (347803893) | (99513908) |
|  Net decrease in net assets resulting from operations | (323569799) | (49263547) |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(a)</sup>**  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income and net realized gain |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional | (6926921) | (7992323) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A | (2488815) | (2639249) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor P | (164425) | (136576) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K | (45478768) | (42745480) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional |  | (14602) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor A |  | (5601) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor P |  | (286) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class K |  | (77300) |
|  Decrease in net assets resulting from distributions to shareholders | (55058929) | (53611417) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |
|  Net increase (decrease) in net assets derived from capital share transactions | 19825572 | (16506421) |
|  *NET ASSETS* |  |  |
|  Total decrease in net assets | (358803156) | (119381385) |
|  Beginning of year | 2586059993 | 2705441378 |
|  End of year | $2227256837 | $2586059993 |

---

<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

10 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | iShares U.S. Aggregate Bond Index Fund | iShares U.S. Aggregate Bond Index Fund | iShares U.S. Aggregate Bond Index Fund | iShares U.S. Aggregate Bond Index Fund | iShares U.S. Aggregate Bond Index Fund |
| | Institutional | Institutional | Institutional | Institutional | Institutional |
| | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/20 | Year Ended<br> 12/31/19 | Year Ended<br> 12/31/18 |
|  **Net asset value, beginning of year** | $10.48 | $10.89 | $10.39 | $9.85 | $10.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.20 | 0.19 | 0.24 | 0.29 | 0.26 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.56) | (0.39) | 0.54 | 0.54 | (0.28) |
|  Net increase (decrease) from investment operations | (1.36) | (0.20) | 0.78 | 0.83 | (0.02) |
|  **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.23) | (0.21) | (0.26) | (0.29) | (0.26) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain |  | (0.00)<sup>(c)</sup> | (0.02) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  | (0.00)<sup>(c)</sup> |  |  | (0.00)<sup>(c)</sup> |
|  Total distributions | (0.23) | (0.21) | (0.28) | (0.29) | (0.26) |
|  **Net asset value, end of year** | $8.89 | $10.48 | $10.89 | $10.39 | $9.85 |
|  **Total Return<sup>(d)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (13.09)% | (1.85)% | 7.59% | 8.56 %<sup>(e)</sup> | (0.13)% |
|  **Ratios to Average Net Assets<sup>(f)(g)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.10% | 0.09% | 0.09% | 0.10% | 0.09% |
|  Total expenses after fees waived and/or reimbursed | 0.10% | 0.09% | 0.09% | 0.10% | 0.09% |
|  Net investment income | 2.13% | 1.75% | 2.18% | 2.85% | 2.67% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $248151 | $419040 | $371074 | $187854 | $150714 |
|  Portfolio turnover rate of the Master Portfolio<sup>(h)</sup>  | 161% | 175% | 186% | 158% | 274% |
|  <sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/20 | Year Ended<br> 12/31/19 | Year Ended<br> 12/31/18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate (excluding MDRs) | 93% | 89% | 101% | 97% | 162% |

---

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 11

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares U.S. Aggregate Bond Index Fund (continued) | iShares U.S. Aggregate Bond Index Fund (continued) | iShares U.S. Aggregate Bond Index Fund (continued) | iShares U.S. Aggregate Bond Index Fund (continued) | iShares U.S. Aggregate Bond Index Fund (continued) |
|  | Investor A | Investor A | Investor A | Investor A | Investor A |
| | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/20 | Year Ended<br> 12/31/19 | Year Ended<br> 12/31/18 |
| **Net asset value, beginning of year** | $10.48 | $10.89 | $10.39 | $9.84 | $10.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.18 | 0.16 | 0.21 | 0.26 | 0.24 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.57) | (0.39) | 0.54 | 0.56 | (0.29) |
| Net increase (decrease) from investment operations | (1.39) | (0.23) | 0.75 | 0.82 | (0.05) |
| **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.20) | (0.18) | (0.23) | (0.27) | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain |  | (0.00)<sup>(c)</sup> | (0.02) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  | (0.00)<sup>(c)</sup> |  |  | (0.00)<sup>(c)</sup> |
| Total distributions | (0.20) | (0.18) | (0.25) | (0.27) | (0.24) |
| **Net asset value, end of year** | $8.89 | $10.48 | $10.89 | $10.39 | $9.84 |
| **Total Return<sup>(d)</sup>**  |  |  |  |  |  |
| Based on net asset value | (13.31)% | (2.09)% | 7.33% | 8.39 %<sup>(e)</sup> | (0.48)% |
| **Ratios to Average Net Assets<sup>(f)(g)</sup>**  |  |  |  |  |  |
| Total expenses | 0.35% | 0.34% | 0.34% | 0.35% | 0.34% |
| Total expenses after fees waived and/or reimbursed | 0.35% | 0.34% | 0.34% | 0.35% | 0.34% |
| Net investment income | 1.90% | 1.46% | 1.98% | 2.61% | 2.39% |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of year (000) | $96331 | $144418 | $161624 | $121421 | $126483 |
| Portfolio turnover rate of the Master Portfolio<sup>(h)</sup>  | 161% | 175% | 186% | 158% | 274% |
| <br><sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <br><sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <br><sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <br><sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <br><sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <br><sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/20 | Year Ended<br> 12/31/19 | Year Ended<br> 12/31/18 |
| Portfolio turnover rate (excluding MDRs) | 93% | 89% | 101% | 97% | 162% |

---

*See notes to financial statements.* 

12 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares U.S. Aggregate Bond Index Fund (continued) | iShares U.S. Aggregate Bond Index Fund (continued) | iShares U.S. Aggregate Bond Index Fund (continued) | iShares U.S. Aggregate Bond Index Fund (continued) | iShares U.S. Aggregate Bond Index Fund (continued) |
|  | Investor P | Investor P | Investor P | Investor P | Investor P |
| |<br>Year Ended<br>12/31/22 |<br>Year Ended<br>12/31/21 |<br>Year Ended<br>12/31/20 |<br>Year Ended<br>12/31/19 | Period from<br>08/06/18<sup>(a)</sup><br>to 12/31/18 |
|  **Net asset value, beginning of period** | $10.48 | $10.89 | $10.39 | $9.85 | $9.83 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup>  | 0.18 | 0.16 | 0.21 | 0.27 | 0.10 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.57) | (0.39) | 0.55 | 0.54 | 0.03 |
|  Net increase (decrease) from investment operations | (1.39) | (0.23) | 0.76 | 0.81 | 0.13 |
|  **Distributions<sup>(c)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.20) | (0.18) | (0.24) | (0.27) | (0.11) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain |  | (0.00)<sup>(d)</sup> | (0.02) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  | (0.00)<sup>(d)</sup> |  |  | (0.00)<sup>(d)</sup> |
|  Total distributions | (0.20) | (0.18) | (0.26) | (0.27) | (0.11) |
|  **Net asset value, end of period** | $8.89 | $10.48 | $10.89 | $10.39 | $9.85 |
|  **Total Return<sup>(e)</sup>**  |  |  |  |  |  |
|  Based on net asset value | (13.31)% | (2.09)% | 7.34% | 8.32 %<sup>(f)</sup> | 1.30 %<sup>(g)</sup> |
|  **Ratios to Average Net Assets<sup>(h)(i)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.35% | 0.34% | 0.34% | 0.35% | 0.34 %<sup>(j)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.35% | 0.34% | 0.34% | 0.35% | 0.34 %<sup>(j)</sup> |
|  Net investment income | 1.91% | 1.50% | 1.95% | 2.54% | 2.61 %<sup>(j)</sup> |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of period (000) | $7148 | $8461 | $7045 | $2714 | $277 |
|  Portfolio turnover rate of the Master Portfolio<sup>(k)</sup>  | 161% | 175% | 186% | 158% | 274% |

---

<sup>(a)</sup> Commencement of operations.

<sup>(b)</sup> Based on average shares outstanding.

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> Amount is greater than $(0.005) per share. 

<sup>(e)</sup> Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

<sup>(f)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return. 

<sup>(g)</sup> Not annualized.

<sup>(h)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.

<sup>(i)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(j)</sup> Annualized.

<sup>(k)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | <br>&nbsp;&nbsp;&nbsp;&nbsp;Year Ended<br>12/31/22 | <br>Year Ended<br>12/31/21 | <br>&nbsp;&nbsp;&nbsp;&nbsp;Year Ended<br>12/31/20 | <br>&nbsp;&nbsp;&nbsp;&nbsp;Year Ended<br>12/31/19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Period from<br>08/06/18<sup>(a)</sup><br>to 12/31/18 |
|  Portfolio turnover rate (excluding MDRs) | &nbsp;&nbsp;&nbsp;&nbsp;93% | &nbsp;&nbsp;&nbsp;&nbsp;89% | &nbsp;&nbsp;&nbsp;&nbsp;101% | &nbsp;&nbsp;&nbsp;&nbsp;97% | &nbsp;&nbsp;&nbsp;&nbsp;162% |

---

*See notes to financial statements.* 

F U N D F I N A N C I A L H I G H L I G H T S 13

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | iShares U.S. Aggregate Bond Index Fund (continued) | iShares U.S. Aggregate Bond Index Fund (continued) | iShares U.S. Aggregate Bond Index Fund (continued) | iShares U.S. Aggregate Bond Index Fund (continued) | iShares U.S. Aggregate Bond Index Fund (continued) |
|  | Class K | Class K | Class K | Class K | Class K |
| | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/20 | Year Ended<br> 12/31/19 | Year Ended<br> 12/31/18 |
| **Net asset value, beginning of year** | $10.49 | $10.90 | $10.40 | $9.85 | $10.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup>  | 0.21 | 0.19 | 0.25 | 0.29 | 0.27 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (1.57) | (0.39) | 0.54 | 0.56 | (0.28) |
| Net increase (decrease) from investment operations | (1.36) | (0.20) | 0.79 | 0.85 | (0.01) |
| **Distributions<sup>(b)</sup>**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.23) | (0.21) | (0.27) | (0.30) | (0.27) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain |  | (0.00)<sup>(c)</sup> | (0.02) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  | (0.00)<sup>(c)</sup> |  |  | (0.00)<sup>(c)</sup> |
| Total distributions | (0.23) | (0.21) | (0.29) | (0.30) | (0.27) |
| **Net asset value, end of year** | $8.90 | $10.49 | $10.90 | $10.40 | $9.85 |
| **Total Return<sup>(d)</sup>**  |  |  |  |  |  |
| Based on net asset value | (13.03)% | (1.80)% | 7.64% | 8.71 %<sup>(e)</sup> | (0.08)% |
| **Ratios to Average Net Assets<sup>(f)(g)</sup>**  |  |  |  |  |  |
| Total expenses | 0.05% | 0.04% | 0.04% | 0.05% | 0.04% |
| Total expenses after fees waived and/or reimbursed | 0.05% | 0.04% | 0.04% | 0.05% | 0.04% |
| Net investment income | 2.23% | 1.80% | 2.29% | 2.89% | 2.71% |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of year (000) | $1875627 | $2014141 | $2165698 | $1730754 | $1027621 |
| Portfolio turnover rate of the Master Portfolio<sup>(h)</sup>  | 161% | 175% | 186% | 158% | 274% |
| <sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: | <sup>(a)</sup> Based on average shares outstanding.<br> <sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.<br> <sup>(c)</sup> Amount is greater than $(0.005) per share.<br> <sup>(d)</sup> Where applicable, assumes the reinvestment of distributions.<br> <sup>(e)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return.<br> <sup>(f)</sup> Includes the Fund's share of the Master Portfolio's allocated net expenses and/or net investment income.<br> <sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.<br> <sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows: |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/20 | Year Ended<br> 12/31/19 | Year Ended<br> 12/31/18 |
| Portfolio turnover rate (excluding MDRs) | 93% | 89% | 101% | 97% | 162% |

---

*See notes to financial statements.* 

14 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements

***1.***  ***ORGANIZATION*** 

BlackRock Funds III (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. iShares U.S. Aggregate Bond Index Fund (the "Fund") is a series of the Trust. The Fund is classified as diversified.

The Fund seeks to achieve its investment objective by investing all of its assets in U.S. Total Bond Index Master Portfolio (the "Master Portfolio"), a series of Master Investment Portfolio ("MIP") and an affiliate of the Trust, which has the same investment objective and strategies as the Fund. The value of the Fund's investment in the Master Portfolio reflects the Fund's proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At December 31, 2022, the percentage of the Master Portfolio owned by the Fund was 100.0%. The financial statements of the Master Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund's financial statements.

The Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A and Investor P Shares bear certain expenses related to shareholder servicing of such shares. Investor A Shares are generally available through financial intermediaries. Investor P Shares are only available through registered representatives of an insurance company's broker-dealer that has entered into an agreement with the Fund's distributor to offer such shares. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures.

---

| | | | |
|:---|:---|:---|:---|
| *Share Class* | *Initial Sales Charge* | *CDSC* | *Conversion Privilege* |
|  Institutional, Investor A and Class K Shares | No | No |  |
|  Investor P Shares | Yes | No <sup>(a)</sup> |  |

---

<sup>(a)</sup> Investor P Shares may be subject to a contingent deferred sales charge ("CDSC") for certain redemptions where no initial sales charge was paid at the time of purchase.

The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the "Board" and the members are referred to as "Trustees."

The Fund, together with certain other registered investment companies advised by BlackRock Fund Advisors ("BFA" or the "Manager") or its affiliates, is included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

***2.***  ***SIGNIFICANT ACCOUNTING POLICIES*** 

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

**Investment Transactions and Income Recognition:** For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolio's income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses were adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

**Distributions:** Distributions from net investment income are declared daily and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates and made at least annually. The portion of distributions, if any, that exceeds a fund's current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

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

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

***3.***  ***INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*** 

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

***4.***  ***ADMINISTRATION AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*** 

**Administration:** The Trust, on behalf of the Fund, entered into an Administration Agreement with BAL, which has agreed to provide general administrative services (other than investment advice and related portfolio activities). BAL has agreed to bear all of the Fund's ordinary operating expenses, excluding, generally, investment advisory fees,

F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S 15

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Notes to Financial Statements (continued)

distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Fund. BAL is entitled to receive for these administrative services an annual fee based on the average daily net assets of the Fund as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Institutional* | *Investor A* | *Investor P* | *Class K* |
|  Administration fees - class specific | 0.06% | 0.06% | 0.06% | 0.01% |

---

For the year ended December 31, 2022, the following table shows the class specific administration fees borne directly by each share class of the Fund:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | *Institutional* | *Investor A* | *Investor P* | *Class K* | *Total* |
|  Administration fees — class specific | $177602 | $70707 | $4576 | $183912 | $436797 |

---

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. BAL may delegate certain of its administration duties to sub-administrators. For the year ended December 31, 2022, BAL did not waive any amount.

**Service and Distribution Fees:** The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC ("BRIL"), an affiliate of the Administrator. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:

---

| | |
|:---|:---|
| *Share Class* | *Service Fees* |
|  Investor A | 0.25% |
|  Investor P | 0.25 |

---

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

For the year ended December 31, 2022, the following table shows the class specific service fees borne directly by each share class of the Fund:

---

| | | | |
|:---|:---|:---|:---|
| *Fund Name* | *Investor A* | *Investor P* | *Total* |
|  iShares U.S. Aggregate Bond Index Fund | $294613 | $19067 | $313680 |

---

**Other Fees:** For the year ended December 31, 2022, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund's Investor P Shares for a total of $1,713.

**Expense Limitations, Waivers and Reimbursements:** The fees and expenses of the Trust's trustees who are not "interested persons" of the Trust, as defined in the 1940 Act ("Independent Trustees"), counsel to the Independent Trustees and the Trust's independent registered public accounting firm (together, the "independent expenses") are paid directly by the Fund. Each of BAL and BFA, as applicable, has contractually agreed to reimburse the Fund or provide an offsetting credit against the administration fees paid by the Fund in an amount equal to these independent expenses through June 30, 2023. The amount waived is included in fees waived and/or reimbursed by the Administrator in the Statement of Operations. For the year ended December 31, 2022, the amount waived was $12,236.

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the U.S. Securities and Exchange Commission ("SEC"), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund's investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the period ended December 31, 2022, the Fund did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of the Trust are directors and/or officers of BlackRock, Inc. ("BlackRock") or its affiliates.

***5.***  ***INCOME TAX INFORMATION*** 

It is the Fund's policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Fund's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Fund as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund's financial statements.

16 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or NAVs per share. As of period end, permanent differences attributable to distributions paid in excess of taxable income and the timing and recognition of partnership income were reclassified to the following accounts:

---

| | | |
|:---|:---|:---|
|  | *iShares U.S. Aggregate Bond Index Fund* | *iShares U.S. Aggregate Bond Index Fund* |
|  Paid-in capital | $— | 9933697 |
|  Accumulated earnings (loss) |  | (9933697) |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | *Year Ended* | *Year Ended* |
| *Fund Name* | *12/31/22* | *12/31/21* |
|  iShares U.S. Aggregate Bond Index Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $55058929 | $53484827 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains |  | 28801 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital |  | 97789 |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;55058929 | $&nbsp;&nbsp;&nbsp;&nbsp;53611417 |

---

As of December 31, 2022, the tax components of accumulated earnings (loss) were as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | *Non-Expiring* |  |  |
|  | *Capital Loss* | *Net Unrealized* |  |
| *Fund Name* | *Carryforwards<sup>(a)</sup>* | *Gains (Losses)<sup>(b)</sup>* | *Total* |
|  iShares U.S. Aggregate Bond Index Fund | $(45730483) | $(292605459) | $(338335942) |

---

<sup>(a)</sup> Amounts available to offset future realized capital gains. 

<sup>(b)</sup> The difference between book-basis and tax-basis net unrealized losses was attributable primarily to the tax deferral of losses on wash sales, amortization methods for premiums and discounts on fixed income securities and the timing and recognition of partnership income.

As of December 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Tax Cost* | *Gross Unrealized*<br> *Appreciation*  | *Gross Unrealized*<br> *Depreciation*  | *Net Unrealized*<br> *Appreciation*<br> *(Depreciation)*  |
|  iShares U.S. Aggregate Bond Index Fund | $&nbsp;&nbsp;&nbsp;&nbsp;3145041955 | $4782261 | $(299421749) | $(294639488) |

---

***6.***  ***CAPITAL SHARE TRANSACTIONS*** 

Transactions in capital shares for each class were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *Fund Name / Share Class* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  iShares U.S. Aggregate Bond Index Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | &nbsp;&nbsp;&nbsp;&nbsp;23599200 | $220083866 | 18015453 | $190881809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 739207 | 6926315 | 757112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8006609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (36418384) | (345826812) | (12871825) | (136378482) |
|  | (12079977) | $&nbsp;&nbsp;&nbsp;&nbsp;(118816631) | 5900740 | $62509936 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 2719233 | $25927139 | 6012661 | $63679017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 265851 | 2486947 | 250003 | 2644033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (5934097) | (55844289) | (7328064) | (77850649) |
|  | (2949013) | $(27430203) | (1065400) | $(11527599) |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor P |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 225782 | $2110100 | 407308 | $4312350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 17192 | 160295 | 12593 | 133146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (246653) | (2312593) | (259620) | (2748562) |
|  | (3679) | $(42198) | 160281 | $1696934 |

---

F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S 17

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Notes to Financial Statements (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 | Year Ended<br> 12/31/21 |
| *Fund Name / Share Class (continued)* | *Shares* | *Amounts* | *Shares* | *Amounts* |
|  iShares U.S. Aggregate Bond Index Fund (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class K |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 81235119 | $765739651 | 84630081 | $897544385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares issued in reinvestment of distributions | 4736235 | 44142478 | 3821704 | 40454247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (67276247) | &nbsp;&nbsp;&nbsp;&nbsp;(643767525) | (95183822) | &nbsp;&nbsp;&nbsp;&nbsp;(1007184324) |
|  | 18695107 | $166114604 | (6732037) | $(69185692) |
|  | 3662438 | $19825572 | (1736416) | $(16506421) |

---

As of December 31, 2022, BlackRock Financial Management, Inc., an affiliate of the Fund, owned 20,346 Investor P Shares of the Fund.

***7.***  ***SUBSEQUENT EVENTS*** 

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

18 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of BlackRock Funds III and Shareholders of iShares U.S. Aggregate Bond Index Fund

**Opinion on the Financial Statements** 

We have audited the accompanying statement of assets and liabilities of iShares U.S. Aggregate Bond Index Fund (one of the series constituting BlackRock Funds III, referred to hereafter as the "Fund") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the accounting agent of the Master Portfolio. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 23, 2023

We have served as the auditor of one or more BlackRock investment companies since 2000.

F U N D R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M 19

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Important Tax Information (unaudited)

The Fund hereby designates the following amount, or maximum amount allowable by law, of distributions from direct federal obligation interest for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Federal Obligation*<br> *Interest*  |
|  iShares U.S. Aggregate Bond Index Fund | $16922505 |

---

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

The Fund hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended December 31, 2022:

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| | |
|:---|:---|
| *Fund Name* | *Interest*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Dividends* |
|  iShares U.S. Aggregate Bond Index Fund | $54930461 |

---

The Fund hereby designates the following amount, or maximum amount allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended December 31, 2022:

---

| | |
|:---|:---|
| *Fund Name* | *Interest*<br> *Related*<br> *Dividends*  |
|  iShares U.S. Aggregate Bond Index Fund | $53066237 |

---

20 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Master Portfolio Information as of December 31, 2022 | **U.S. Total Bond Index Master Portfolio** |

---

---

| | |
|:---|:---|
| **PORTFOLIO COMPOSITION** | **PORTFOLIO COMPOSITION** |
| *Asset Type<sup>(a)</sup>* | *Percent of* <br> *Total Investments*  |
|  U.S. Treasury Obligations | 41.0% |
|  U.S. Government Sponsored Agency Securities | 29.7 |
|  Corporate Bonds | 25.3 |
|  Foreign Agency Obligations | 2.1 |
|  Non-Agency Mortgage-Backed Securities | 1 |
|  Other\* | 0.9 |

---

---

| | |
|:---|:---|
| **CREDIT QUALITY ALLOCATION** | **CREDIT QUALITY ALLOCATION** |
| *Credit Rating<sup>(a)(b)</sup>* | *Percent of* <br> *Total Investments*  |
|  AAA/Aaa<sup>(d)</sup>  | 73.7% |
|  AA/Aa | 2.9 |
|  A | 11.5 |
|  BBB/Baa | 11.9 |
|  BB/Ba | —<sup>(c)</sup> |
|  N/R | —<sup>(c)</sup> |

---

<sup>(a)</sup> Excludes short-term securities.

<sup>(b)</sup> For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody's Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. 

<sup>(c)</sup> Rounds to less than 0.1% of total investments. 

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

\* Includes one or more investment categories that individually represents less than 1.0% of the Master Portfolio's total investments. Please refer to the Schedule of Investments for details. 

M A S T E R P O R T F O L I O I N F O R M A T I O N 21

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| | |
|:---|:---|
| Schedule of Investments <br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
|  **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |
|  American Express Credit Account Master Trust, Series 2022-2, Class A, 3.39%, 05/15/27 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1698 | $| 1648261 |
|  BA Credit Card Trust, Series 2021, Class A1, 0.44%, 09/15/26 |  | 854 |  | 804990 |
|  Carmax Auto Owner Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A3, 0.34%, 12/15/25 |  | 285 |  | 275457 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A4, 0.53%, 10/15/26 |  | 178 |  | 162850 |
|  GM Financial Consumer Automobile Receivables Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class A3, 1.49%, 12/16/24 |  | 8 |  | 7619 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class A4, 1.74%, 08/18/25 |  | 403 |  | 389568 |
|  Honda Auto Receivables Owner Trust, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class A4, 1.09%, 10/15/26 |  | 850 |  | 823059 |
|  Toyota Auto Receivables Owner Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A3, 0.26%, 11/17/25 |  | 638 |  | 613451 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A4, 0.53%, 10/15/26 |  | 427 |  | 389785 |
|  Verizon Master Trust, Series 2021-1, Class A, 0.50%, 05/20/27 |  | 488 |  | 458401 |
|  **Total Asset-Backed Securities — 0.3%<br>(Cost: $5,847,242)** | **Total Asset-Backed Securities — 0.3%<br>(Cost: $5,847,242)** | **Total Asset-Backed Securities — 0.3%<br>(Cost: $5,847,242)** |  | &nbsp;&nbsp;&nbsp;&nbsp;5573441 |
|  **Corporate Bonds** |  |  |  |  |
| **Advertising Agencies — 0.0%** | **Advertising Agencies — 0.0%** | **Advertising Agencies — 0.0%** | **Advertising Agencies — 0.0%** | **Advertising Agencies — 0.0%** |
|  Interpublic Group of Cos., Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/30/30<sup>(a)</sup> |  | 171 |  | 161321 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 03/01/41 |  | 71 |  | 49818 |
|  Omnicom Group, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 04/30/30 |  | 121 |  | 100215 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 08/01/31<sup>(a)</sup> |  | 68 |  | 55639 |
|  Omnicom Group, Inc./Omnicom Capital, Inc.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 11/01/24 |  | 70 |  | 68629 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 04/15/26 |  | 87 |  | 83457 |
|  |  |  |  | 519079 |
| **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** |
|  3M Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 02/14/25<sup>(a)</sup> |  | 171 |  | 161953 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 08/07/25<sup>(a)</sup> |  | 87 |  | 83374 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 10/15/27<sup>(a)</sup> |  | 130 |  | 119973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 03/01/29<sup>(a)</sup> |  | 211 |  | 194384 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 08/26/29<sup>(a)</sup> |  | 169 |  | 143336 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 09/19/46 |  | 87 |  | 59576 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 10/15/47 |  | 104 |  | 77386 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 08/26/49<sup>(a)</sup> |  | 75 |  | 52082 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/15/50<sup>(a)</sup> |  | 87 |  | 66596 |
|  Boeing Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.43%, 02/04/24 |  | 427 |  | 409197 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 05/01/25<sup>(a)</sup> |  | 341 |  | 338389 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 02/01/26 |  | 171 |  | 158470 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 02/04/26<sup>(a)</sup> |  | 427 |  | 387956 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 05/01/26 |  | 171 |  | 160905 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 02/01/27<sup>(a)</sup> |  | 80 |  | 72213 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 03/01/27 |  | 171 |  | 154300 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 05/01/27<sup>(a)</sup> |  | 341 |  | 337241 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 03/01/29 |  | 341 |  | 299020 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 02/01/30<sup>(a)</sup> |  | 100 |  | 84692 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 02/15/33<sup>(a)</sup> |  | 74 |  | 75203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/01/35 |  | 275 |  | 209137 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.71%, 05/01/40<sup>(a)</sup> |  | 341 |  | 325165 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 06/15/46 |  | 87 |  | 56528 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Aerospace & Defense (continued)** | **Aerospace & Defense (continued)** | **Aerospace & Defense (continued)** |
|  Boeing Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 11/01/48 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | $117374 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 05/01/49 | 130 | 91281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/01/50<sup>(a)</sup> | 243 | 166834 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.81%, 05/01/50 | 300 | 278153 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.93%, 05/01/60 | 427 | 388973 |
|  Carlisle Cos., Inc., 2.75%, 03/01/30<sup>(a)</sup> | 189 | 157265 |
|  Eaton Corp.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 09/15/27 | 118 | 109768 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 11/02/42 | 87 | 74349 |
|  General Dynamics Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/01/25<sup>(a)</sup> | 87 | 84299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 05/15/25 | 171 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;166590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 06/01/26<sup>(a)</sup> | 78 | 69252 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 08/15/26<sup>(a)</sup> | 87 | 79879 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 05/15/28 | 87 | 82696 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 06/01/31<sup>(a)</sup> | 61 | 51024 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/01/40 | 171 | 156010 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 06/01/41 | 83 | 61379 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/01/50<sup>(a)</sup> | 87 | 77171 |
|  Huntington Ingalls Industries, Inc., 2.04%, 08/16/28 | 71 | 58522 |
|  Illinois Tool Works, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 09/15/41 | 181 | 174653 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 09/01/42<sup>(a)</sup> | 75 | 63705 |
|  L3Harris Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.83%, 04/27/25<sup>(a)</sup> | 87 | 84486 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 06/15/28<sup>(a)</sup> | 171 | 163684 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 06/15/28 | 87 | 83278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 12/15/29<sup>(a)</sup> | 121 | 103213 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 01/15/31 | 158 | 121256 |
|  Lockheed Martin Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 01/15/26<sup>(a)</sup> | 194 | 188452 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 11/15/27<sup>(a)</sup> | 35 | 35771 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 06/15/32<sup>(a)</sup> | 58 | 54653 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 01/15/33<sup>(a)</sup> | 50 | 51551 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 03/01/35<sup>(a)</sup> | 65 | 57693 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/15/36<sup>(a)</sup> | 141 | 134549 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.07%, 12/15/42<sup>(a)</sup> | 189 | 163497 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/15/46 | 130 | 120110 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.09%, 09/15/52<sup>(a)</sup> | 87 | 72859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 06/15/53 | 140 | 118739 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 11/15/54<sup>(a)</sup> | 110 | 115254 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 06/15/62 | 40 | 33601 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 11/15/63<sup>(a)</sup> | 40 | 42943 |
|  Northrop Grumman Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.93%, 01/15/25 | 171 | 163989 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 01/15/28 | 341 | 314487 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 05/01/30 | 171 | 164090 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 06/01/43 | 151 | 139502 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.03%, 10/15/47 | 257 | 212971 |
|  Parker-Hannifin Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 06/15/24<sup>(a)</sup> | 200 | 195690 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/15/27<sup>(a)</sup> | 70 | 67914 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/14/29 | 341 | 304512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/29<sup>(a)</sup> | 100 | 95825 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 11/21/34<sup>(a)</sup> | 87 | 78377 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 03/01/47 | 87 | 69348 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/14/49 | 87 | 68755 |
|  Raytheon Technologies Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/16/25 | 171 | 167057 |

---

22 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Aerospace & Defense (continued)** | **Aerospace & Defense (continued)** | **Aerospace & Defense (continued)** | **Aerospace & Defense (continued)** | **Aerospace & Defense (continued)** |
|  Raytheon Technologies Corp. (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/27<sup>(a)</sup> | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | $| 162846 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 05/04/27<sup>(a)</sup> |  | 171 |  | 159238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 11/16/28 |  | 211 |  | 201950 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 07/01/30<sup>(a)</sup> |  | 246 |  | 204707 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 09/01/31 |  | 171 |  | 134253 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 11/16/38 |  | 87 |  | 79024 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 10/15/40 |  | 87 |  | 81175 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 12/15/41 |  | 74 |  | 66691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 05/15/45 |  | 87 |  | 72527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/01/46 |  | 130 |  | 100335 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 04/15/47 |  | 171 |  | 145432 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 05/04/47 |  | 87 |  | 71342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/16/48<sup>(a)</sup> |  | 214 |  | 192829 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 07/01/50<sup>(a)</sup> |  | 227 |  | 158907 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.82%, 09/01/51<sup>(a)</sup> |  | 87 |  | 56355 |
|  Teledyne Technologies, Inc., 2.75%, 04/01/31<sup>(a)</sup> |  | 171 |  | 139827 |
|  Textron, Inc., 3.00%, 06/01/30<sup>(a)</sup> |  | 171 |  | 145320 |
|  Trane Technologies Global Holding Co. Ltd., 4.30%, 02/21/48 |  | 87 |  | 66827 |
|  Trane Technologies Luxembourg Finance SA<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 11/01/24 |  | 87 |  | 84772 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 11/01/44 |  | 30 |  | 25244 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/21/49 |  | 87 |  | 70491 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12744451 |
| **Air Freight & Logistics — 0.0%** | **Air Freight & Logistics — 0.0%** | **Air Freight & Logistics — 0.0%** | **Air Freight & Logistics — 0.0%** | **Air Freight & Logistics — 0.0%** |
|  JB Hunt Transport Services, Inc., 3.88%, 03/01/26<sup>(a)</sup> |  | 171 |  | 165582 |
| **Airlines — 0.1%** | **Airlines — 0.1%** | **Airlines — 0.1%** | **Airlines — 0.1%** | **Airlines — 0.1%** |
|  American Airlines Pass-Through Trust<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class AA, 3.20%, 12/15/29 |  | 63 |  | 54285 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 3.15%, 08/15/33 |  | 148 |  | 122327 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 2.88%, 01/11/36 |  | 171 |  | 137609 |
|  Continental Airlines Pass-Through Trust, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2012-2 A, Class A, 4.00%, 04/29/26<sup>(a)</sup> |  | 48 |  | 45823 |
|  JetBlue Pass-Through Trust, Series AA,<br>Class AA, 2.75%, 11/15/33 |  | 140 |  | 115070 |
|  Southwest Airlines Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 05/04/25<sup>(a)</sup> |  | 267 |  | 267993 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/15/27<sup>(a)</sup> |  | 213 |  | 210309 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 02/10/30 |  | 191 |  | 158477 |
|  United Airlines Pass-Through Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2012-1 A, Class A, 4.15%, 10/11/25 |  | 27 |  | 25782 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1, Class A, 4.30%, 02/15/27<sup>(a)</sup> |  | 42 |  | 39271 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1, Class AA, 3.10%, 01/07/30<sup>(a)</sup> |  | 64 |  | 57737 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 2.70%, 11/01/33 |  | 204 |  | 164865 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class A, 5.88%, 10/15/27<sup>(a)</sup> |  | 243 |  | 239238 |
|  |  |  |  | 1638786 |
| **Auto Components — 0.0%** | **Auto Components — 0.0%** | **Auto Components — 0.0%** | **Auto Components — 0.0%** | **Auto Components — 0.0%** |
|  Aptiv PLC |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 10/01/46 |  | 87 |  | 64399 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 12/01/51 |  | 171 |  | 101059 |
|  Aptiv PLC/Aptiv Corp.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 03/01/32 |  | 102 |  | 83432 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 05/01/52 |  | 87 |  | 62598 |
|  BorgWarner, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 03/15/25 |  | 70 |  | 67059 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 07/01/27 |  | 156 |  | 138773 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Auto Components (continued)** | **Auto Components (continued)** | **Auto Components (continued)** |
|  Lear Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 01/15/32<sup>(a)</sup> | $71 | $53418 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 05/15/49 | 87 | 71231 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 01/15/52<sup>(a)</sup> | 74 | 44963 |
|  Magna International, Inc., 2.45%, 06/15/30 | 60 | 49580 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;736512 |
| **Automobiles — 0.4%** |  |  |
|  Advance Auto Parts, Inc., 3.50%, 03/15/32<sup>(a)</sup> | 70 | 57429 |
|  American Honda Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 06/27/24<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 164753 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 08/09/24<sup>(a)</sup> | 74 | 69180 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 09/10/24 | 171 | 163146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 01/13/25<sup>(a)</sup> | 87 | 81397 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 09/09/26 | 71 | 62649 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 01/08/27<sup>(a)</sup> | 87 | 78977 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 03/24/28<sup>(a)</sup> | 93 | 80124 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 01/12/29<sup>(a)</sup> | 87 | 74620 |
|  AutoNation, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 08/01/28 | 74 | 59012 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 08/01/31 | 78 | 56083 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 03/01/32<sup>(a)</sup> | 80 | 63854 |
|  AutoZone, Inc., 4.75%, 08/01/32 | 100 | 96918 |
|  Cummins, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 09/01/25 | 87 | 78441 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 09/01/50 | 87 | 53860 |
|  General Motors Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/01/25<sup>(a)</sup> | 341 | 332577 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 10/01/27<sup>(a)</sup> | 171 | 160796 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.80%, 10/01/27<sup>(a)</sup> | 104 | 107950 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 10/15/29<sup>(a)</sup> | 65 | 62029 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 10/15/32<sup>(a)</sup> | 100 | 92900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/01/35 | 130 | 111943 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.60%, 04/01/36<sup>(a)</sup> | 87 | 85208 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 04/01/38<sup>(a)</sup> | 87 | 75053 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 04/01/45 | 171 | 138984 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/01/46<sup>(a)</sup> | 133 | 127508 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 04/01/49<sup>(a)</sup> | 112 | 97610 |
|  General Motors Financial Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 01/17/24<sup>(a)</sup> | 171 | 170324 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.05%, 03/08/24<sup>(a)</sup> | 71 | 67422 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 04/13/24<sup>(a)</sup> | 171 | 167630 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 10/15/24 | 105 | 97205 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/15/25 | 87 | 84415 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 02/26/25<sup>(a)</sup> | 114 | 107976 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 06/20/25<sup>(a)</sup> | 169 | 158201 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 07/13/25<sup>(a)</sup> | 171 | 165608 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 10/10/25 | 380 | 386514 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 03/01/26<sup>(a)</sup> | 179 | 176217 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 06/10/26 | 171 | 148504 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 01/17/27<sup>(a)</sup> | 87 | 82666 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 02/26/27<sup>(a)</sup> | 171 | 149337 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/09/27<sup>(a)</sup> | 200 | 193734 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 08/20/27 | 171 | 149480 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 04/10/28<sup>(a)</sup> | 89 | 74855 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 10/15/28<sup>(a)</sup> | 168 | 139307 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 01/17/29<sup>(a)</sup> | 87 | 85456 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 06/21/30<sup>(a)</sup> | 90 | 75741 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 06/10/31<sup>(a)</sup> | 122 | 93473 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 01/12/32<sup>(a)</sup> | 75 | 58766 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 23

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Automobiles (continued)** | **Automobiles (continued)** | **Automobiles (continued)** |
|  Honda Motor Co. Ltd., 2.97%, 03/10/32<sup>(a)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;133 | $113937 |
|  Mercedes-Benz Finance North America LLC, 8.50%, 01/18/31 | 104 | 128211 |
|  PACCAR Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 06/13/24 | 160 | 156228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 08/09/24<sup>(a)</sup> | 72 | 67050 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 08/11/25<sup>(a)</sup> | 270 | 261671 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 10/03/25 | 80 | 80355 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.10%, 05/11/26<sup>(a)</sup> | 110 | 98014 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 02/04/27 | 75 | 67678 |
|  Toyota Motor Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.68%, 03/25/24<sup>(a)</sup> | 87 | 82524 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.36%, 07/02/24<sup>(a)</sup> | 87 | 83712 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.34%, 03/25/26<sup>(a)</sup> | 87 | 78043 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.76%, 07/02/29 | 65 | 57543 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.36%, 03/25/31 | 87 | 73326 |
|  Toyota Motor Credit Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 06/18/24<sup>(a)</sup> | 171 | 160421 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.63%, 09/13/24<sup>(a)</sup> | 155 | 144242 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 09/20/24<sup>(a)</sup> | 100 | 99057 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 01/13/25<sup>(a)</sup> | 171 | 160106 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 06/30/25<sup>(a)</sup> | 85 | 83211 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 08/18/25 | 80 | 77730 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 11/10/25<sup>(a)</sup> | 100 | 101538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 06/18/26 | 210 | 185527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 01/13/27<sup>(a)</sup> | 171 | 152586 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 03/22/27<sup>(a)</sup> | 171 | 159432 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 09/20/27<sup>(a)</sup> | 100 | 98622 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 04/06/28<sup>(a)</sup> | 189 | 164332 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 01/08/29<sup>(a)</sup> | 171 | 160120 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 06/29/29<sup>(a)</sup> | 100 | 97906 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 02/13/30<sup>(a)</sup> | 87 | 73196 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 09/12/31 | 121 | 95535 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8827685 |
| **Banks — 1.6%** |  |  |
|  Banco Bilbao Vizcaya Argentaria SA, (1 year CMT + 2.30%), 5.86%, 09/14/26<sup>(b)</sup> | 200 | 199938 |
|  Bank of Montreal |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 03/08/24<sup>(a)</sup> | 133 | 128672 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 06/28/24<sup>(a)</sup> | 171 | 164664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.63%, 07/09/24<sup>(a)</sup> | 171 | 159806 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 03/08/27<sup>(a)</sup> | 133 | 121469 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 1.40%), 3.09%, 01/10/37<sup>(b)</sup> | 241 | 182221 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year USD Swap + 1.43%), 3.80%, 12/15/32<sup>(a)(b)</sup> | 87 | 76605 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 3.30%, 02/05/24<sup>(a)</sup> | 281 | 275733 |
|  Bank of New York Mellon Corp., (1 day SOFR + 1.80%), 5.80%, 10/25/28<sup>(a)</sup> | 80 | 82724 |
|  Barclays PLC, (1 year CMT + 3.50%), 7.44%, 11/02/33<sup>(a)</sup> | 200 | 209560 |
|  BPCE SA, 4.00%, 04/15/24<sup>(a)</sup> | 250 | 245774 |
|  Canadian Imperial Bank of Commerce |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 10/18/24<sup>(a)</sup> | 171 | 159477 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/04/25<sup>(a)</sup> | 100 | 97668 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.95%, 10/23/25<sup>(a)</sup> | 124 | 111429 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 06/22/26 | 341 | 299337 |
|  Citibank N.A., 3.65%, 01/23/24 | 500 | 493127 |
|  Citigroup, Inc., 6.27%, 11/17/33 | 200 | 206328 |
|  Citizens Bank NA/Providence RI<sup>(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.40%), 4.12%, 05/23/25<sup>(a)</sup> | 340 | 332696 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Banks (continued)** |  |  |
|  Citizens Bank NA/Providence RI<sup>(b)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.00%), 4.58%, 08/09/28 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;340 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;328253 |
|  Citizens Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 07/27/26<sup>(a)</sup> | 257 | 237647 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/06/30 | 61 | 49574 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 2.75%), 5.64%, 05/21/37<sup>(a)(b)</sup> | 61 | 56698 |
|  Comerica, Inc., 4.00%, 02/01/29<sup>(a)</sup> | 171 | 160130 |
|  Cooperatieve Rabobank UA<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 05/21/25 | 500 | 484342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 08/04/25 | 500 | 488026 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 05/24/41 | 176 | 176115 |
|  Credit Suisse AG/New York |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 02/21/25 | 270 | 248965 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/09/27 | 250 | 227862 |
|  Discover Bank, 3.45%, 07/27/26 | 250 | 230196 |
|  Fifth Third Bancorp |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 01/16/24 | 87 | 86091 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 01/25/24 | 171 | 168414 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 05/05/27 | 121 | 108633 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 03/01/38<sup>(a)</sup> | 75 | 92812 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.69%), 1.71%, 11/01/27<sup>(a)(b)</sup> | 171 | 151672 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.36%), 4.06%, 04/25/28<sup>(a)(b)</sup> | 61 | 57836 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.66%), 4.34%, 04/25/33<sup>(a)(b)</sup> | 61 | 55733 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.13%), 4.77%, 07/28/30<sup>(b)</sup> | 100 | 95373 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.19%), 6.36%, 10/27/28<sup>(b)</sup> | 100 | 102889 |
|  First Republic Bank, 4.63%, 02/13/47<sup>(a)</sup> | 250 | 194000 |
|  First-Citizens Bank & Trust Co., 6.13%, 03/09/28 | 75 | 76220 |
|  HSBC Bank USA NA, 7.00%, 01/15/39 | 250 | 269321 |
|  Huntington Bancshares, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 08/06/24 | 133 | 127654 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/15/25 | 171 | 166452 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.97%), 4.44%, 08/04/28<sup>(a)(b)</sup> | 260 | 247656 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.05%), 5.02%, 05/17/33<sup>(b)</sup> | 73 | 69308 |
|  Huntington National Bank, (1 day SOFR + 1.65%), 4.55%, 05/17/28<sup>(b)</sup> | 280 | 270163 |
|  ING Groep NV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/29/27<sup>(a)</sup> | 250 | 236785 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.01%), 1.73%, 04/01/27<sup>(a)(b)</sup> | 350 | 308868 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.83%), 4.02%, 03/28/28<sup>(b)</sup> | 211 | 197302 |
|  KeyBank NA/Cleveland OH, 5.85%, 11/15/27 | 250 | 258045 |
|  KeyCorp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 04/06/27<sup>(a)</sup> | 87 | 77008 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 10/01/29<sup>(a)</sup> | 87 | 73282 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.25%), 3.88%, 05/23/25<sup>(b)</sup> | 65 | 63600 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.06%), 4.79%, 06/01/33<sup>(a)(b)</sup> | 105 | 99140 |
|  M&T Bank Corp., (3 mo. SOFR + 1.78%), 4.55%, 08/16/28<sup>(a)(b)</sup> | 100 | 97397 |
|  Manufacturers & Traders Trust Co., 5.40%, 11/21/25 | 340 | 341783 |
|  Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.14%, 10/16/26<sup>(a)</sup> | 400 | 408534 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.34%, 10/18/33 | 200 | 209561 |
|  National Bank of Canada, (1 day SOFR + 1.01%), 3.75%, 06/09/25<sup>(a)(b)</sup> | 340 | 330414 |
|  Northern Trust Corp., 6.13%, 11/02/32<sup>(a)</sup> | 130 | 137077 |
|  PNC Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 02/23/25 | 250 | 240241 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 04/10/25<sup>(a)</sup> | 250 | 243139 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 07/26/28<sup>(a)</sup> | 300 | 282275 |
|  PNC Financial Services Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 04/29/24<sup>(a)</sup> | 341 | 336821 |

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24 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Banks (continued)** |  |  |
|  PNC Financial Services Group, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 11/01/24<sup>(a)</sup> | $75 | $71660 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 08/13/26<sup>(a)</sup> | 171 | 150099 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 12/02/28 | 135 | 136063 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 04/23/29<sup>(a)</sup> | 341 | 311697 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 01/22/30<sup>(a)</sup> | 171 | 145074 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.98%), 2.31%, 04/23/32<sup>(a)(b)</sup> | 171 | 138329 |
|  Regions Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 05/18/25 | 341 | 318668 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 08/12/28<sup>(a)</sup> | 341 | 289285 |
|  Royal Bank of Canada |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 07/16/24<sup>(a)</sup> | 171 | 164976 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.97%, 07/26/24 | 95 | 93618 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.65%, 07/29/24 | 341 | 318299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.66%, 10/25/24 | 100 | 101145 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 11/01/24 | 257 | 244983 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 04/14/25 | 79 | 76340 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 01/20/26 | 341 | 302751 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 01/27/26<sup>(a)</sup> | 121 | 119384 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 04/27/26 | 281 | 249845 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 07/14/26 | 171 | 150569 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 11/02/26 | 76 | 66677 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 01/21/27<sup>(a)</sup> | 87 | 78573 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 05/04/27<sup>(a)</sup> | 79 | 75081 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.24%, 08/03/27<sup>(a)</sup> | 100 | 97407 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 11/01/27<sup>(a)</sup> | 100 | 104244 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 05/04/32<sup>(a)</sup> | 79 | 71935 |
|  Santander Holdings USA, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.24%, 10/05/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;341 | 316471 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.25%), 2.49%, 01/06/28<sup>(b)</sup> | 140 | 120118 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.33%), 5.81%, 09/09/26<sup>(b)</sup> | 340 | 337435 |
|  Santander U.K. Group Holdings PLC<sup>(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.22%), 2.47%, 01/11/28 | 200 | 170792 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.75%), 6.83%, 11/21/26<sup>(a)</sup> | 300 | 303876 |
|  State Street Corp.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/04/26 | 45 | 46063 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.82%, 11/04/28 | 60 | 61961 |
|  SVB Financial Group |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 10/28/26 | 155 | 135625 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 02/02/31<sup>(a)</sup> | 79 | 57633 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.71%), 4.35%, 04/29/28<sup>(a)(b)</sup> | 146 | 138063 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.97%), 4.57%, 04/29/33<sup>(a)(b)</sup> | 146 | 129179 |
|  Synchrony Bank, 5.63%, 08/23/27 | 250 | 243608 |
|  Toronto-Dominion Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.55%, 03/04/24 | 257 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;244066 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 03/08/24 | 133 | 129020 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 06/12/24<sup>(a)</sup> | 87 | 84160 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.70%, 09/10/24 | 189 | 175891 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.29%, 09/13/24 | 200 | 197655 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 12/13/24 | 171 | 159110 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 01/10/25<sup>(a)</sup> | 87 | 81013 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.77%, 06/06/25 | 100 | 97045 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 01/06/26 | 307 | 271457 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 06/03/26 | 307 | 270703 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 09/10/26 | 189 | 165263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 01/12/27 | 87 | 77519 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 03/10/27 | 133 | 121974 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.11%, 06/08/27<sup>(a)</sup> | 100 | 96665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.69%, 09/15/27 | 200 | 197714 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 09/10/31 | 189 | 148816 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 01/12/32 | 87 | 70465 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Banks (continued)** |  |  |
|  Toronto-Dominion Bank (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 03/10/32 | $133 | $114509 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.46%, 06/08/32 | 55 | 52424 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year USD Swap + 2.21%), 3.63%, 09/15/31<sup>(a)(b)</sup> | 87 | 80132 |
|  Truist Bank, 3.80%, 10/30/26 | 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;236398 |
|  Truist Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 08/01/24 | 341 | 327657 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 10/26/24<sup>(a)</sup> | 87 | 83891 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 08/03/27<sup>(a)</sup> | 155 | 130664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 06/05/30<sup>(a)</sup> | 141 | 113268 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.12%, 10/28/33<sup>(a)</sup> | 100 | 105210 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.86%), 1.89%, 06/07/29<sup>(a)(b)</sup> | 171 | 143132 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.37%), 4.12%, 06/06/28<sup>(a)(b)</sup> | 65 | 62210 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.46%), 4.26%, 07/28/26<sup>(a)(b)</sup> | 100 | 98256 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.63%), 5.90%, 10/28/26<sup>(b)</sup> | 100 | 102230 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.24%), 4.92%, 07/28/33<sup>(b)</sup> | 100 | 93799 |
|  U.S. Bancorp |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 07/30/24<sup>(a)</sup> | 171 | 164389 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.73%, 10/21/26<sup>(a)</sup> | 70 | 71296 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 04/26/28<sup>(a)</sup> | 341 | 327023 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 07/22/30 | 341 | 263557 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 10/21/33<sup>(a)</sup> | 200 | 207628 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.73%), 2.22%, 01/27/28<sup>(b)</sup> | 87 | 78201 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.02%), 2.68%, 01/27/33<sup>(a)(b)</sup> | 87 | 71506 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.66%), 4.55%, 07/22/28<sup>(b)</sup> | 160 | 156258 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.11%), 4.97%, 07/22/33<sup>(a)(b)</sup> | 175 | 166036 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 0.95%), 2.49%, 11/03/36<sup>(b)</sup> | 121 | 92078 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series V, 2.38%, 07/22/26<sup>(a)</sup> | 87 | 80278 |
|  U.S. Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 07/24/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228 | 225918 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 01/27/25 | 500 | 481726 |
|  Wells Fargo & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.48%, 01/16/24<sup>(a)</sup> | 87 | 86336 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 01/24/24<sup>(a)</sup> | 341 | 336367 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 09/09/24<sup>(a)</sup> | 130 | 126160 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/19/25<sup>(a)</sup> | 62 | 59391 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 09/29/25<sup>(a)</sup> | 171 | 164447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 04/22/26<sup>(a)</sup> | 300 | 280593 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 06/03/26<sup>(a)</sup> | 345 | 334047 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/23/26<sup>(a)</sup> | 300 | 277265 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 07/22/27<sup>(a)</sup> | 257 | 247318 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 01/24/29<sup>(a)</sup> | 171 | 160728 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 11/02/43<sup>(a)</sup> | 155 | 144100 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.61%, 01/15/44<sup>(a)</sup> | 114 | 110522 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 11/04/44<sup>(a)</sup> | 270 | 227279 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 05/01/45 | 197 | 151736 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 11/17/45<sup>(a)</sup> | 257 | 221244 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 06/14/46 | 244 | 195987 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 12/07/46<sup>(a)</sup> | 275 | 230298 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.51%), 0.81%, 05/19/25<sup>(a)(b)</sup> | 117 | 109647 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.09%), 2.41%, 10/30/25<sup>(a)(b)</sup> | 171 | 161711 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.26%), 2.57%, 02/11/31<sup>(a)(b)</sup> | 257 | 212813 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.32%), 3.91%, 04/25/26<sup>(a)(b)</sup> | 274 | 266303 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.50%), 3.35%, 03/02/33<sup>(a)(b)</sup> | 87 | 73289 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.51%), 3.53%, 03/24/28<sup>(b)</sup> | 563 | 521339 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.56%), 4.54%, 08/15/26<sup>(b)</sup> | 155 | 151894 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.98%), 4.81%, 07/25/28<sup>(a)(b)</sup> | 210 | 205106 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.00%), 2.19%, 04/30/26<sup>(b)</sup> | 511 | 475566 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.10%), 2.39%, 06/02/28<sup>(b)</sup> | 155 | 136801 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.10%), 4.90%, 07/25/33<sup>(b)</sup> | 500 | 474767 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 25

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Banks (continued)** |  |  |
|  Wells Fargo & Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.13%), 4.61%, 04/25/53<sup>(b)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;389 | $329371 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.53%), 3.07%, 04/30/41<sup>(b)</sup> | 341 | 243232 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 4.03%), 4.48%, 04/04/31<sup>(b)</sup> | 341 | 319655 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 4.50%), 5.01%, 04/04/51<sup>(b)</sup> | 333 | 293332 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.75%), 2.16%, 02/11/26<sup>(a)(b)</sup> | 257 | 239584 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.17%), 3.20%, 06/17/27<sup>(b)</sup> | 229 | 212416 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.31%), 3.58%, 05/22/28<sup>(b)</sup> | 257 | 238623 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. SOFR + 1.43%), 2.88%, 10/30/30<sup>(a)(b)</sup> | 341 | 289647 |
|  Wells Fargo Bank N.A., 6.60%, 01/15/38<sup>(a)</sup> | 250 | 270097 |
|  Westpac Banking Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.02%, 11/18/24 | 89 | 82809 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 02/19/25<sup>(a)</sup> | 87 | 82548 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 05/13/26 | 87 | 81591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 06/03/26 | 171 | 150982 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.04%, 08/26/27<sup>(a)</sup> | 200 | 194758 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.46%, 11/18/27 | 250 | 255317 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 01/25/28<sup>(a)</sup> | 87 | 81043 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 11/20/28 | 171 | 145417 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 01/16/30<sup>(a)</sup> | 138 | 119936 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 06/03/31<sup>(a)</sup> | 240 | 199200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.42%, 07/24/39 | 171 | 141148 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 11/18/41 | 59 | 38917 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.68%), 5.41%, 08/10/33<sup>(b)</sup> | 100 | 93372 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 1.35%), 2.89%, 02/04/30<sup>(b)</sup> | 214 | 196191 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 1.53%), 3.02%, 11/18/36<sup>(b)</sup> | 81 | 60221 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 1.75%), 2.67%, 11/15/35<sup>(b)</sup> | 87 | 64663 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year USD ICE Swap + 2.24%), 4.32%, 11/23/31<sup>(a)(b)</sup> | 130 | 122351 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35861746 |
| **Beverages — 0.5%** |  |  |
|  Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 02/01/26 | 384 | 369564 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 02/01/36<sup>(a)</sup> | 597 | 563832 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 02/01/46<sup>(a)</sup> | 682 | 619989 |
|  Anheuser-Busch InBev Finance, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 02/01/44 | 112 | 100660 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 02/01/46 | 87 | 79090 |
|  Anheuser-Busch InBev Worldwide, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/13/28<sup>(a)</sup> | 171 | 162752 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/23/29<sup>(a)</sup> | 597 | 589294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/01/30<sup>(a)</sup> | 297 | 270367 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 04/15/38<sup>(a)</sup> | 171 | 152859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.20%, 01/15/39<sup>(a)</sup> | 197 | 246135 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 01/23/39<sup>(a)</sup> | 171 | 170625 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 06/01/40<sup>(a)</sup> | 171 | 150266 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 01/15/42<sup>(a)</sup> | 87 | 81583 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 04/15/48<sup>(a)</sup> | 363 | 315429 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.44%, 10/06/48 | 109 | 93089 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 01/23/59<sup>(a)</sup> | 171 | 174910 |
|  Brown-Forman Corp., 4.00%, 04/15/38 | 87 | 76199 |
|  Coca-Cola Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 05/25/27<sup>(a)</sup> | 87 | 81775 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 03/05/28<sup>(a)</sup> | 171 | 147236 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 09/06/29<sup>(a)</sup> | 171 | 146212 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 03/25/30<sup>(a)</sup> | 87 | 80905 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 03/05/31 | 158 | 130296 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 01/05/32<sup>(a)</sup> | 291 | 244084 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Beverages (continued)** |  |  |
|  Coca-Cola Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 06/01/40 | $171 | $124604 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 05/05/41 | 87 | 66342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 06/01/50<sup>(a)</sup> | 171 | 113265 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/05/51<sup>(a)</sup> | 140 | 101797 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 03/15/51 | 257 | 166279 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 06/01/60<sup>(a)</sup> | 75 | 50069 |
|  Coca-Cola Femsa SAB de CV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 01/22/30<sup>(a)</sup> | 345 | 297304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 09/01/32 | 218 | 163950 |
|  Constellation Brands, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 05/09/24 | 61 | 59796 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 12/01/25<sup>(a)</sup> | 171 | 170388 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 12/06/26<sup>(a)</sup> | 130 | 123615 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 05/09/27<sup>(a)</sup> | 171 | 160097 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 08/01/29<sup>(a)</sup> | 171 | 149857 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 08/01/31<sup>(a)</sup> | 326 | 258973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 02/15/48<sup>(a)</sup> | 87 | 69291 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 05/01/50 | 87 | 65108 |
|  Diageo Capital PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 10/24/25<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;202545 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 04/29/43 | 194 | 159157 |
|  Diageo Investment Corp., 4.25%, 05/11/42<sup>(a)</sup> | 87 | 76312 |
|  Fomento Economico Mexicano SAB de CV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 05/10/43 | 200 | 163287 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/16/50<sup>(a)</sup> | 220 | 152295 |
|  Keurig Dr. Pepper, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 03/15/24<sup>(a)</sup> | 72 | 68347 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.42%, 05/25/25 | 60 | 59320 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 04/15/29 | 65 | 60462 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 05/01/30<sup>(a)</sup> | 87 | 75816 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 03/15/31<sup>(a)</sup> | 87 | 69865 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 04/15/32<sup>(a)</sup> | 71 | 64585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.42%, 12/15/46 | 87 | 71453 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 05/01/50 | 87 | 65329 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 03/15/51 | 87 | 59725 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/15/52 | 72 | 59993 |
|  Molson Coors Beverage Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 07/15/26<sup>(a)</sup> | 200 | 185610 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/01/42 | 100 | 88698 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 07/15/46<sup>(a)</sup> | 87 | 67457 |
|  PepsiCo, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 03/01/24<sup>(a)</sup> | 87 | 85930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 03/19/25<sup>(a)</sup> | 410 | 390263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 04/30/25 | 171 | 163509 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 07/17/25<sup>(a)</sup> | 87 | 84697 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 02/24/26 | 87 | 82626 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 10/06/26<sup>(a)</sup> | 171 | 159089 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/15/27<sup>(a)</sup> | 87 | 81584 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 02/18/28 | 50 | 47871 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 07/29/29<sup>(a)</sup> | 171 | 150810 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 03/19/30 | 341 | 301937 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 05/01/30 | 104 | 84591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 02/25/31<sup>(a)</sup> | 206 | 162267 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 10/21/31 | 169 | 136563 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 07/18/32<sup>(a)</sup> | 70 | 66002 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 10/21/41<sup>(a)</sup> | 87 | 64375 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 10/06/46<sup>(a)</sup> | 289 | 231065 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 07/29/49 | 75 | 59084 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 10/15/49 | 87 | 62156 |

---

26 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Beverages (continued)** |  |  |
|  PepsiCo, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/19/50 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;121 | $98806 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 10/21/51<sup>(a)</sup> | 257 | 177724 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 07/18/52 | 25 | 22760 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11651851 |
| **Biotechnology — 0.3%** |  |  |
|  Amgen, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 05/22/24<sup>(a)</sup> | 87 | 85281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 05/01/25<sup>(a)</sup> | 130 | 124749 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 08/19/26<sup>(a)</sup> | 124 | 114572 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 08/18/29<sup>(a)</sup> | 330 | 308393 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 01/15/32<sup>(a)</sup> | 240 | 187560 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 02/22/32 | 73 | 63756 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 03/01/33<sup>(a)</sup> | 330 | 305292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 02/21/40 | 171 | 125929 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 08/15/41 | 189 | 130941 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 10/01/41<sup>(a)</sup> | 341 | 311785 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 11/15/41 | 87 | 81153 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.56%, 06/15/48 | 87 | 74283 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/21/50<sup>(a)</sup> | 171 | 118871 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/15/52<sup>(a)</sup> | 240 | 153177 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 02/22/52 | 60 | 47580 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/01/53 | 55 | 48778 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.77%, 09/01/53<sup>(a)</sup> | 71 | 42731 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 02/22/62 | 275 | 217572 |
|  Baxalta, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/23/25 | 240 | 233741 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/23/45 | 78 | 74535 |
|  Biogen, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 09/15/25 | 103 | 100124 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 05/01/30 | 138 | 112427 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 05/01/50 | 193 | 125458 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/15/51 | 104 | 69603 |
|  Bio-Rad Laboratories, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 03/15/27 | 60 | 55450 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/15/32 | 67 | 57387 |
|  Gilead Sciences, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/01/24<sup>(a)</sup> | 300 | 294937 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/01/25 | 200 | 193650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 03/01/26<sup>(a)</sup> | 227 | 218843 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 03/01/27<sup>(a)</sup> | 87 | 80934 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 10/01/27<sup>(a)</sup> | 62 | 52579 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 10/01/30<sup>(a)</sup> | 183 | 145114 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 09/01/35<sup>(a)</sup> | 231 | 219411 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 10/01/40<sup>(a)</sup> | 100 | 69769 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 12/01/41<sup>(a)</sup> | 181 | 184653 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 04/01/44 | 189 | 173312 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/01/46<sup>(a)</sup> | 257 | 231281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 03/01/47 | 197 | 162706 |
|  Illumina, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 12/12/25 | 100 | 100680 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 12/13/27 | 100 | 101246 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 03/23/31 | 155 | 124088 |
|  Regeneron Pharmaceuticals, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 09/15/30 | 140 | 108132 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 09/15/50<sup>(a)</sup> | 144 | 89310 |
|  Royalty Pharma PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 09/02/25 | 171 | 153035 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 09/02/27<sup>(a)</sup> | 257 | 217523 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** |
|  Royalty Pharma PLC (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 09/02/31 | $59 | $44618 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 09/02/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 118679 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 09/02/51 | 87 | 53632 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6509260 |
| **Building Materials — 0.1%** |  |  |
|  Carrier Global Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.24%, 02/15/25<sup>(a)</sup> | 68 | 64052 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.49%, 02/15/27 | 77 | 69409 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.72%, 02/15/30 | 200 | 168379 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 04/05/40 | 171 | 129784 |
|  Eagle Materials, Inc., 2.50%, 07/01/31 | 67 | 52558 |
|  Fortune Brands Innovations, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/15/25<sup>(a)</sup> | 171 | 166397 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 09/15/29<sup>(a)</sup> | 87 | 75299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/25/52 | 87 | 65316 |
|  Johnson Controls International PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 07/02/24<sup>(a)(c)</sup> | 75 | 73322 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 09/14/45<sup>(a)</sup> | 24 | 21947 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/15/47 | 87 | 71504 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 07/02/64<sup>(a)(c)</sup> | 64 | 53072 |
|  Johnson Controls International PLC/Tyco Fire & Security Finance SCA<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 09/15/30 | 70 | 55914 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 09/16/31 | 121 | 95511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 12/01/32 | 65 | 63891 |
|  Martin Marietta Materials, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 06/01/27<sup>(a)</sup> | 87 | 80749 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 07/15/31<sup>(a)</sup> | 58 | 46318 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 12/15/47 | 87 | 70083 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 07/15/51 | 75 | 51029 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series CB, 2.50%, 03/15/30 | 171 | 140884 |
|  Masco Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 02/15/28<sup>(a)</sup> | 65 | 53813 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 02/15/31 | 87 | 66937 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 02/15/51<sup>(a)</sup> | 73 | 45279 |
|  Mohawk Industries, Inc., 3.63%, 05/15/30<sup>(a)</sup> | 75 | 64605 |
|  Owens Corning |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 12/01/24 | 87 | 85642 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 06/01/30 | 75 | 66640 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 01/30/48 | 171 | 132474 |
|  Vulcan Materials Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 04/01/27 | 171 | 162342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/15/47 | 87 | 72266 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2365416 |
| **Building Products — 0.3%** |  |  |
|  Allegion PLC, 3.50%, 10/01/29 | 87 | 74964 |
|  Home Depot, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 04/15/25<sup>(a)</sup> | 86 | 82415 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 09/15/25<sup>(a)</sup> | 257 | 249119 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/15/25 | 65 | 64231 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 09/15/26<sup>(a)</sup> | 87 | 79610 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/15/27<sup>(a)</sup> | 140 | 128825 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 04/15/27<sup>(a)</sup> | 79 | 73684 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 09/14/27<sup>(a)</sup> | 87 | 80584 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.90%, 03/15/28 | 117 | 97016 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 09/15/28<sup>(a)</sup> | 87 | 73966 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 12/06/28<sup>(a)</sup> | 78 | 75086 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 06/15/29<sup>(a)</sup> | 102 | 92276 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Building Products (continued)** | **Building Products (continued)** | **Building Products (continued)** |
|  Home Depot, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 04/15/30 | $75 | $65396 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 03/15/31<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;275 | 213036 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 09/15/31<sup>(a)</sup> | 87 | 69522 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/15/32<sup>(a)</sup> | 266 | 236359 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/32<sup>(a)</sup> | 200 | 195280 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 12/16/36 | 74 | 79137 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 04/15/40<sup>(a)</sup> | 189 | 150482 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 09/15/40<sup>(a)</sup> | 87 | 89191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 04/01/41 | 87 | 94624 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 04/01/43 | 130 | 113748 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 03/15/45<sup>(a)</sup> | 214 | 191200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/01/46<sup>(a)</sup> | 171 | 148055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 06/15/47<sup>(a)</sup> | 171 | 140570 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/06/48 | 171 | 155061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 12/15/49<sup>(a)</sup> | 104 | 73637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 03/15/51 | 155 | 92468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 09/15/51<sup>(a)</sup> | 87 | 56844 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 04/15/52<sup>(a)</sup> | 177 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;136630 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 09/15/52<sup>(a)</sup> | 80 | 76787 |
|  Lowe's Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/25<sup>(a)</sup> | 171 | 167670 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 09/08/25 | 60 | 59104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 09/15/25 | 87 | 83547 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/15/26<sup>(a)</sup> | 164 | 152834 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 04/01/27 | 75 | 70407 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 04/15/28<sup>(a)</sup> | 146 | 121327 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 09/15/28<sup>(a)</sup> | 97 | 81471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 04/05/29<sup>(a)</sup> | 87 | 80382 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/15/30<sup>(a)</sup> | 171 | 163878 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 10/15/30<sup>(a)</sup> | 79 | 61778 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 04/01/31 | 171 | 141684 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/01/32<sup>(a)</sup> | 103 | 91622 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/15/33<sup>(a)</sup> | 100 | 97621 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/15/40<sup>(a)</sup> | 171 | 158451 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 09/15/41<sup>(a)</sup> | 72 | 48996 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 09/15/45<sup>(a)</sup> | 171 | 140526 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/15/46<sup>(a)</sup> | 227 | 168081 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/15/50<sup>(a)</sup> | 211 | 134225 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/51<sup>(a)</sup> | 171 | 119860 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/01/52 | 67 | 53118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 04/15/53<sup>(a)</sup> | 20 | 19146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 04/01/62<sup>(a)</sup> | 75 | 58305 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 09/15/62 | 20 | 19143 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5842979 |
| **Capital Markets — 0.7%** |  |  |
|  Ameriprise Financial, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/15/24 | 171 | 166681 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 09/15/26 | 87 | 80800 |
|  Ares Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 06/10/24 | 87 | 83986 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 07/15/25<sup>(a)</sup> | 151 | 138946 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 01/15/26 | 171 | 156713 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 06/15/28 | 178 | 142726 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 11/15/31 | 87 | 63845 |
|  Bain Capital Specialty Finance, Inc., 2.55%, 10/13/26 | 70 | 57670 |
|  Bank of New York Mellon Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 04/26/24<sup>(a)</sup> | 70 | 66055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 10/24/24<sup>(a)</sup> | 87 | 82942 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Capital Markets (continued)** | **Capital Markets (continued)** | **Capital Markets (continued)** |
|  Bank of New York Mellon Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.60%, 04/24/25 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;341 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;316854 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 04/25/25<sup>(a)</sup> | 118 | 114231 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 05/04/26 | 70 | 65651 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.05%, 10/15/26<sup>(a)</sup> | 171 | 148646 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 01/26/27<sup>(a)</sup> | 171 | 153546 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/16/27<sup>(a)</sup> | 130 | 122221 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 07/14/28<sup>(a)</sup> | 75 | 63196 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 04/26/29 | 118 | 109575 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 08/23/29<sup>(a)</sup> | 171 | 152901 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 07/28/31<sup>(a)</sup> | 171 | 131981 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/26/32<sup>(a)</sup> | 87 | 70555 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.57%), 3.43%, 06/13/25<sup>(a)(b)</sup> | 100 | 97768 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.15%), 3.99%, 06/13/28<sup>(a)(b)</sup> | 100 | 95663 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.35%), 4.41%, 07/24/26<sup>(a)(b)</sup> | 175 | 172332 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.42%), 4.29%, 06/13/33<sup>(b)</sup> | 100 | 93526 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.76%), 4.60%, 07/26/30<sup>(b)</sup> | 115 | 111010 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.07%), 3.44%, 02/07/28<sup>(b)</sup> | 91 | 85156 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series G, 3.00%, 02/24/25<sup>(a)</sup> | 78 | 75177 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series J, 0.85%, 10/25/24<sup>(a)</sup> | 171 | 159257 |
|  Blackstone Private Credit Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 01/15/25 | 70 | 64672 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 03/24/25<sup>(a)</sup> | 87 | 83397 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.05%, 09/29/25<sup>(a)(d)</sup> | 100 | 99207 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 12/15/26<sup>(a)</sup> | 75 | 62079 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 03/15/27 | 206 | 173444 |
|  Blackstone Secured Lending Fund, 2.85%, 09/30/28 | 210 | 163050 |
|  Brookfield Finance I U.K. PLC/Brookfield Finance, Inc., 2.34%, 01/30/32 | 86 | 65471 |
|  Brookfield Finance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/01/24 | 53 | 52176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/02/26 | 171 | 164648 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 01/25/28 | 181 | 165960 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 04/15/30 | 87 | 79104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.72%, 04/15/31 | 107 | 85822 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 09/20/47 | 87 | 69920 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/30/51<sup>(a)</sup> | 79 | 50145 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 02/15/52 | 61 | 39624 |
|  Charles Schwab Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 03/18/24<sup>(a)</sup> | 171 | 162513 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/10/25<sup>(a)</sup> | 80 | 76819 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 04/01/25<sup>(a)</sup> | 171 | 166468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 05/21/25<sup>(a)</sup> | 171 | 166952 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.90%, 03/11/26 | 289 | 256336 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 05/13/26<sup>(a)</sup> | 141 | 125286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 03/03/27<sup>(a)</sup> | 82 | 74754 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 01/25/28<sup>(a)</sup> | 171 | 159321 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 03/20/28<sup>(a)</sup> | 140 | 123050 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/22/29 | 70 | 63401 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 03/11/31 | 87 | 67723 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 05/13/31<sup>(a)</sup> | 171 | 139829 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 03/03/32<sup>(a)</sup> | 140 | 118971 |
|  CI Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 12/17/30 | 104 | 78877 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 06/15/51<sup>(a)</sup> | 86 | 50686 |
|  Franklin Resources, Inc., 2.95%, 08/12/51 | 75 | 46288 |
|  FS KKR Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 07/15/24 | 87 | 84273 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 10/12/24 | 87 | 78530 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 02/01/25<sup>(a)</sup> | 74 | 69569 |

---

28 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Capital Markets (continued)** | **Capital Markets (continued)** | **Capital Markets (continued)** |
|  FS KKR Capital Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 01/15/27 | $71 | $59273 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 07/15/27 | 87 | 73181 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 10/12/28<sup>(a)</sup> | 87 | 70137 |
|  GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32 | 63 | 50361 |
|  Golub Capital BDC, Inc., 2.50%, 08/24/26 | 70 | 59430 |
|  Invesco Finance PLC<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/30/24 | 87 | 85636 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 11/30/43 | 87 | 79839 |
|  Jefferies Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 01/15/27<sup>(a)</sup> | 171 | 168836 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 01/23/30<sup>(a)</sup> | 171 | 152661 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 10/15/31<sup>(a)</sup> | 71 | 54162 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 10/15/32 | 141 | 106034 |
|  Kreditanstalt fuer Wiederaufbau |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 02/28/24 | 171 | 166790 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.25%, 03/08/24<sup>(a)</sup> | 511 | 484295 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 08/05/24 | 511 | 485065 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 11/20/24 | 341 | 328055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 05/02/25 | 341 | 322601 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.63%, 01/22/26 | 341 | 305362 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/20/27<sup>(a)</sup> | 700 | 667484 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 09/14/29<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;221555 |
|  Landwirtschaftliche Rentenbank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 01/13/25 | 171 | 162556 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 06/10/25 | 341 | 324581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 09/03/30<sup>(a)</sup> | 341 | 268460 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 40, 0.50%, 05/27/25 | 341 | 310562 |
|  Legg Mason, Inc., 5.63%, 01/15/44 | 109 | 106173 |
|  Main Street Capital Corp., 3.00%, 07/14/26<sup>(a)</sup> | 70 | 60326 |
|  Nomura Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 07/14/26 | 200 | 174059 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.33%, 01/22/27<sup>(a)</sup> | 222 | 194344 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.17%, 07/14/28<sup>(a)</sup> | 400 | 330272 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.71%, 01/22/29 | 222 | 184974 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.61%, 07/06/29<sup>(a)</sup> | 200 | 196411 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.61%, 07/14/31<sup>(a)</sup> | 200 | 154681 |
|  Northern Trust Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/10/27<sup>(a)</sup> | 102 | 99630 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 08/03/28<sup>(a)</sup> | 87 | 82629 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 05/03/29 | 87 | 78695 |
|  Oesterreichische Kontrollbank AG, 1.50%, 02/12/25 | 171 | 160731 |
|  Owl Rock Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/30/25<sup>(a)</sup> | 59 | 55328 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 07/22/25 | 67 | 61902 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 07/15/26 | 171 | 149310 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 01/15/27<sup>(a)</sup> | 75 | 61870 |
|  Owl Rock Capital Corp. III, 3.13%, 04/13/27 | 70 | 57623 |
|  OWL Rock Core Income Corp., 4.70%, 02/08/27<sup>(a)</sup>  | 40 | 36068 |
|  Prospect Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.36%, 11/15/26 | 82 | 67977 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.44%, 10/15/28 | 75 | 57427 |
|  Raymond James Financial, Inc., 4.95%, 07/15/46<sup>(a)</sup> | 87 | 77345 |
|  Sixth Street Specialty Lending, Inc., 3.88%, 11/01/24 | 87 | 83829 |
|  State Street Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 12/16/24<sup>(a)</sup> | 72 | 70268 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Capital Markets (continued)** | **Capital Markets (continued)** | **Capital Markets (continued)** |
|  State Street Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 05/19/26<sup>(a)</sup> | $171 | $160670 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 01/24/30<sup>(a)</sup> | 75 | 63603 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.41%), 1.75%, 02/06/26<sup>(b)</sup> | 55 | 51184 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.56%), 1.68%, 11/18/27<sup>(b)</sup> | 155 | 137294 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.73%), 2.20%, 02/07/28<sup>(a)(b)</sup> | 61 | 54792 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.94%), 2.35%, 11/01/25<sup>(a)(b)</sup> | 249 | 237485 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.00%), 2.62%, 02/07/33<sup>(b)</sup> | 67 | 54740 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.49%), 3.03%, 11/01/34<sup>(a)(b)</sup> | 70 | 58872 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.73%), 4.16%, 08/04/33<sup>(b)</sup> | 25 | 23093 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.60%), 2.90%, 03/30/26<sup>(b)</sup> | 171 | 162629 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.65%), 3.15%, 03/30/31<sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 150494 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15671619 |
| **Chemicals — 0.4%** |  |  |
|  Air Products and Chemicals, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 10/15/25 | 102 | 93880 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 05/15/27 | 73 | 64860 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 05/15/30<sup>(a)</sup> | 75 | 62780 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 05/15/40 | 87 | 64731 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 05/15/50<sup>(a)</sup> | 111 | 76843 |
|  Cabot Corp., 5.00%, 06/30/32<sup>(a)</sup> | 100 | 92460 |
|  Celanese U.S. Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 07/05/24<sup>(a)</sup> | 100 | 99968 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 03/15/25<sup>(a)</sup> | 100 | 99611 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 08/05/26 | 70 | 58554 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.17%, 07/15/27<sup>(a)</sup> | 100 | 98633 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.33%, 07/15/29<sup>(a)</sup> | 165 | 160321 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 07/15/32<sup>(a)</sup> | 70 | 66566 |
|  CF Industries, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 03/15/34 | 87 | 82345 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 06/01/43 | 87 | 74431 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 03/15/44 | 87 | 78162 |
|  Dow Chemical Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 11/30/28<sup>(a)</sup> | 75 | 73912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.30%, 03/15/33<sup>(a)</sup> | 50 | 52599 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.40%, 05/15/39<sup>(a)</sup> | 69 | 90892 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 11/15/41<sup>(a)</sup> | 74 | 68971 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 11/15/42<sup>(a)</sup> | 87 | 72038 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 11/30/48<sup>(a)</sup> | 171 | 160090 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 11/15/50<sup>(a)</sup> | 87 | 62162 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.90%, 05/15/53 | 50 | 54290 |
|  DuPont de Nemours, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.73%, 11/15/28 | 257 | 253413 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.32%, 11/15/38 | 130 | 124938 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.42%, 11/15/48 | 257 | 244612 |
|  Eastman Chemical Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/15/25<sup>(a)</sup> | 181 | 175618 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/01/28<sup>(a)</sup> | 71 | 67235 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 09/01/42 | 87 | 73102 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 10/15/44<sup>(a)</sup> | 71 | 58146 |
|  Ecolab, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 01/15/28 | 75 | 76414 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 03/24/30<sup>(a)</sup> | 87 | 86121 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 01/30/31 | 140 | 106550 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 02/01/32<sup>(a)</sup> | 171 | 136499 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 08/15/50<sup>(a)</sup> | 140 | 78088 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 12/15/51<sup>(a)</sup> | 124 | 77129 |
|  EI du Pont de Nemours and Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 07/15/25 | 140 | 129304 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 29

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Chemicals (continued)** |  |  |
|  EI du Pont de Nemours and Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 07/15/30<sup>(a)</sup> | $140 | $116480 |
|  Emerson Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 12/21/28 | 87 | 73874 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 12/21/31<sup>(a)</sup> | 75 | 60623 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 10/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 110376 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 12/21/51 | 58 | 37313 |
|  FMC Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 10/01/26<sup>(a)</sup> | 55 | 51161 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 10/01/29 | 60 | 52885 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/01/49 | 58 | 45890 |
|  Huntsman International LLC, 2.95%, 06/15/31 | 65 | 50445 |
|  International Flavors & Fragrances, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 09/26/28<sup>(a)</sup> | 87 | 81881 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 06/01/47 | 87 | 67630 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/26/48<sup>(a)</sup> | 87 | 73872 |
|  Linde, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 02/05/25<sup>(a)</sup> | 58 | 55527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 12/05/25<sup>(a)</sup> | 100 | 100074 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 01/30/26<sup>(a)</sup> | 87 | 83467 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.10%, 08/10/30<sup>(a)</sup> | 155 | 118758 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/10/50 | 122 | 67537 |
|  LYB International Finance BV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/15/43 | 75 | 65847 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/15/44 | 62 | 51676 |
|  LYB International Finance III LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 10/01/25<sup>(a)</sup> | 74 | 66016 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 10/01/30<sup>(a)</sup> | 117 | 92775 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 10/01/40<sup>(a)</sup> | 94 | 66806 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 10/15/49<sup>(a)</sup> | 144 | 107080 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 05/01/50 | 87 | 64324 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 04/01/51<sup>(a)</sup> | 127 | 84973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 10/01/60 | 70 | 45338 |
|  Mosaic Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 11/15/27 | 171 | 161010 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 11/15/33<sup>(a)</sup> | 214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;208105 |
|  Nutrien Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 04/01/25<sup>(a)</sup> | 87 | 82821 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 11/07/25<sup>(a)</sup> | 100 | 102033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/15/26<sup>(a)</sup> | 87 | 83647 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 05/13/30<sup>(a)</sup> | 171 | 146499 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 06/01/43 | 87 | 76525 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/01/49<sup>(a)</sup> | 130 | 116706 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 05/13/50 | 87 | 66033 |
|  PPG Industries, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 08/15/24 | 171 | 163589 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 03/15/26<sup>(a)</sup> | 74 | 65593 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 08/15/29 | 171 | 147434 |
|  Rohm and Haas Co., 7.85%, 07/15/29<sup>(a)</sup> | 125 | 139595 |
|  RPM International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 01/15/32 | 86 | 67761 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/01/45<sup>(a)</sup> | 87 | 74886 |
|  Sherwin-Williams Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 08/08/25<sup>(a)</sup> | 35 | 34389 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 01/15/26 | 87 | 84521 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 06/01/27<sup>(a)</sup> | 87 | 81601 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 08/15/29<sup>(a)</sup> | 108 | 94542 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 03/15/32 | 189 | 149464 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/47 | 171 | 143500 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Chemicals (continued)** | **Chemicals (continued)** | **Chemicals (continued)** | **Chemicals (continued)** | **Chemicals (continued)** |
|  Sherwin-Williams Co. (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 08/15/49 | $| 153 | $| 113590 |
|  Westlake Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 08/15/26<sup>(a)</sup> |  | 87 |  | 81746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 06/15/30 |  | 75 |  | 64178 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 08/15/46 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 |  | 107997 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 08/15/51 |  | 110 |  | 67724 |
|  |  |  |  | 8214385 |
| **Commercial Services & Supplies — 0.0%** | **Commercial Services & Supplies — 0.0%** | **Commercial Services & Supplies — 0.0%** | **Commercial Services & Supplies — 0.0%** | **Commercial Services & Supplies — 0.0%** |
|  Bank of New York Mellon Corp., (1 day SOFR + 2.07%), 5.83%, 10/25/33<sup>(a)</sup> |  | 180 |  | 186587 |
|  GATX Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 09/15/26 |  | 130 |  | 120538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 03/30/27<sup>(a)</sup> |  | 87 |  | 81215 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 04/01/29<sup>(a)</sup> |  | 171 |  | 162422 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/15/33<sup>(a)</sup> |  | 145 |  | 135203 |
|  |  |  |  | 685965 |
| **Communications Equipment — 0.1%** | **Communications Equipment — 0.1%** | **Communications Equipment — 0.1%** | **Communications Equipment — 0.1%** | **Communications Equipment — 0.1%** |
|  Cisco Systems, Inc.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/04/24 |  | 171 |  | 168225 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 02/28/26 |  | 257 |  | 245044 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/20/26 |  | 171 |  | 159210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 02/15/39 |  | 341 |  | 365504 |
|  Juniper Networks, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 08/15/29<sup>(a)</sup> |  | 87 |  | 77537 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 03/15/41 |  | 87 |  | 81024 |
|  Motorola Solutions, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 02/23/28 |  | 87 |  | 84264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 05/23/29<sup>(a)</sup> |  | 166 |  | 157987 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 11/15/30 |  | 146 |  | 114165 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 05/24/31 |  | 102 |  | 81553 |
|  |  |  |  | 1534513 |
| **Construction Materials — 0.0%** | **Construction Materials — 0.0%** | **Construction Materials — 0.0%** | **Construction Materials — 0.0%** | **Construction Materials — 0.0%** |
|  Carlisle Cos., Inc., 2.20%, 03/01/32 |  | 75 |  | 56977 |
| **Consumer Discretionary — 0.0%** | **Consumer Discretionary — 0.0%** | **Consumer Discretionary — 0.0%** | **Consumer Discretionary — 0.0%** | **Consumer Discretionary — 0.0%** |
|  California Endowment, Series 2021, 2.50%, 04/01/51 |  | 84 |  | 51661 |
|  Cintas Corp. No. 2 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 05/01/25<sup>(a)</sup> |  | 86 |  | 83207 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/01/27 |  | 87 |  | 83866 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/01/32<sup>(a)</sup> |  | 61 |  | 57270 |
|  GXO Logistics, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 07/15/26<sup>(a)</sup> |  | 171 |  | 146406 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 07/15/31 |  | 87 |  | 64236 |
|  Quanta Services, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 10/01/30<sup>(a)</sup> |  | 90 |  | 74000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 01/15/32 |  | 80 |  | 60746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 10/01/41 |  | 69 |  | 45338 |
|  |  |  |  | 666730 |
| **Consumer Finance — 0.5%** | **Consumer Finance — 0.5%** | **Consumer Finance — 0.5%** | **Consumer Finance — 0.5%** | **Consumer Finance — 0.5%** |
|  American Express Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 05/03/24<sup>(a)</sup> |  | 67 |  | 65636 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 07/30/24<sup>(a)</sup> |  | 114 |  | 109635 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/30/24<sup>(a)</sup> |  | 171 |  | 165361 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 12/05/24<sup>(a)</sup> |  | 75 |  | 73017 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 03/04/25<sup>(a)</sup> |  | 71 |  | 67015 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/01/25<sup>(a)</sup> |  | 100 |  | 97964 |

---

30 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Consumer Finance (continued)** |  |  |
|  American Express Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 05/20/26 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;141244 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 11/04/26 | 171 | 151530 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 03/04/27 | 92 | 83693 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 05/03/27<sup>(a)</sup> | 87 | 81331 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 11/05/27<sup>(a)</sup> | 140 | 145744 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 05/03/29<sup>(a)</sup> | 86 | 81893 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 12/03/42 | 67 | 57536 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.76%), 4.42%, 08/03/33<sup>(a)(b)</sup> | 100 | 94461 |
|  Andrew W Mellon Foundation, Series 2020, 0.95%, 08/01/27<sup>(a)</sup> | 83 | 70727 |
|  Automatic Data Processing, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 05/15/28 | 100 | 86808 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 09/01/30<sup>(a)</sup> | 341 | 266519 |
|  Block Financial LLC, 2.50%, 07/15/28<sup>(a)</sup> | 89 | 75651 |
|  Capital One Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 01/29/24<sup>(a)</sup> | 171 | 168856 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/24/24 | 87 | 85353 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 10/30/24<sup>(a)</sup> | 171 | 165041 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 02/05/25 | 87 | 83645 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/30/25<sup>(a)</sup> | 341 | 334381 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 10/29/25 | 61 | 58946 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 07/28/26<sup>(a)</sup> | 80 | 75321 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 03/09/27<sup>(a)</sup> | 87 | 82668 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 05/11/27<sup>(a)</sup> | 341 | 320817 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 01/31/28<sup>(a)</sup> | 171 | 159829 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.86%), 1.88%, 11/02/27<sup>(b)</sup> | 171 | 148923 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.27%), 2.62%, 11/02/32<sup>(b)</sup> | 87 | 66618 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.29%), 2.64%, 03/03/26<sup>(b)</sup> | 78 | 73058 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.34%), 2.36%, 07/29/32<sup>(b)</sup> | 171 | 122995 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.79%), 3.27%, 03/01/30<sup>(b)</sup> | 118 | 100886 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.06%), 4.93%, 05/10/28<sup>(a)(b)</sup> | 130 | 125854 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.16%), 4.99%, 07/24/26<sup>(a)(b)</sup> | 50 | 48970 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.60%), 5.25%, 07/26/30<sup>(a)(b)</sup> | 50 | 47617 |
|  Discover Financial Services |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 11/06/24 | 62 | 60348 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 03/04/25 | 75 | 72254 |
|  Equifax, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 12/01/24<sup>(a)</sup> | 171 | 162995 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 12/15/27<sup>(a)</sup> | 70 | 69096 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 09/15/31 | 171 | 132688 |
|  Global Payments, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 04/01/26<sup>(a)</sup> | 87 | 84650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 01/15/27<sup>(a)</sup> | 86 | 75022 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 08/15/29<sup>(a)</sup> | 87 | 73954 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 08/15/29 | 35 | 33837 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 05/15/30<sup>(a)</sup> | 200 | 163874 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 11/15/31 | 69 | 54411 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 08/15/49<sup>(a)</sup> | 62 | 44114 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 08/15/52<sup>(a)</sup> | 25 | 22604 |
|  Mastercard, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 04/01/24<sup>(a)</sup> | 87 | 85402 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 03/03/25<sup>(a)</sup> | 206 | 194867 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 03/26/27<sup>(a)</sup> | 82 | 78095 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 06/01/29 | 257 | 231985 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 03/26/30<sup>(a)</sup> | 144 | 132030 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 03/15/31<sup>(a)</sup> | 90 | 73108 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 06/01/49 | 87 | 70426 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 03/26/50<sup>(a)</sup> | 181 | 151033 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Consumer Finance (continued)** |  |  |
|  Mastercard, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 03/15/51 | $96 | $67947 |
|  Moody's Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 02/15/24<sup>(a)</sup> | 87 | 86720 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 01/15/28<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | &nbsp;&nbsp;&nbsp;&nbsp;119829 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/19/31<sup>(a)</sup> | 73 | 57668 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 08/19/41<sup>(a)</sup> | 63 | 43877 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/20/50 | 71 | 49024 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/25/52<sup>(a)</sup> | 74 | 56343 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 11/29/61<sup>(a)</sup> | 81 | 50979 |
|  PayPal Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 10/01/24<sup>(a)</sup> | 200 | 191673 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 06/01/25 | 78 | 72412 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 10/01/26<sup>(a)</sup> | 171 | 157872 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 10/01/29<sup>(a)</sup> | 229 | 199470 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 06/01/30<sup>(a)</sup> | 81 | 66542 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 06/01/32<sup>(a)</sup> | 90 | 84709 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/01/50<sup>(a)</sup> | 102 | 69318 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 06/01/52<sup>(a)</sup> | 90 | 81493 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/01/62<sup>(a)</sup> | 90 | 81748 |
|  S&P Global, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 03/01/27<sup>(a)(d)</sup> | 60 | 54797 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 08/01/28<sup>(a)(d)</sup> | 171 | 169003 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 03/01/29<sup>(a)(d)</sup> | 70 | 61616 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 05/01/29<sup>(a)(d)</sup> | 171 | 163219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 12/01/29 | 81 | 69247 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 08/15/30<sup>(a)</sup> | 75 | 57682 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 03/01/32<sup>(d)</sup> | 95 | 81031 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 12/01/49 | 80 | 57205 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/01/52<sup>(a)(d)</sup> | 176 | 135811 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 08/15/60<sup>(a)</sup> | 87 | 47356 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 03/01/62<sup>(d)</sup> | 30 | 23161 |
|  Synchrony Financial |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/13/25 | 235 | 228974 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 07/23/25<sup>(a)</sup> | 67 | 64223 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 12/01/27 | 171 | 152506 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 03/19/29<sup>(a)</sup> | 87 | 82326 |
|  Visa, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 12/14/25<sup>(a)</sup> | 501 | 483000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 04/15/27<sup>(a)</sup> | 341 | 307096 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 09/15/27<sup>(a)</sup> | 197 | 182199 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 04/15/30 | 171 | 144495 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.10%, 02/15/31<sup>(a)</sup> | 240 | 183830 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 12/14/35<sup>(a)</sup> | 87 | 82175 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 04/15/40 | 171 | 129535 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 12/14/45<sup>(a)</sup> | 269 | 245559 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 09/15/47<sup>(a)</sup> | 69 | 56511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/15/50<sup>(a)</sup> | 189 | 111097 |
|  Western Union Co.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.35%, 03/15/26 | 155 | 135673 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 11/17/36 | 92 | 91499 |
|  |  | 11390786 |
| **Containers & Packaging — 0.1%** |  |  |
|  Amcor Flexibles North America, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/17/25 | 67 | 65220 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 06/19/30 | 70 | 56961 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.69%, 05/25/31 | 72 | 58498 |
|  Avery Dennison Corp., 2.25%, 02/15/32 | 87 | 66189 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 31

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Containers & Packaging (continued)** |  |  |
|  Berry Global, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.57%, 01/15/26 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | $152330 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 01/15/27 | 87 | 74409 |
|  Fibria Overseas Finance Ltd., 5.50%, 01/17/27<sup>(a)</sup> | 171 | 171192 |
|  Georgia-Pacific LLC, 8.88%, 05/15/31<sup>(a)</sup> | 92 | 112145 |
|  International Paper Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 06/15/44 | 77 | 66496 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 08/15/47 | 87 | 70758 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 08/15/48<sup>(a)</sup> | 100 | 83451 |
|  Packaging Corp. of America |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 12/15/29<sup>(a)</sup> | 70 | 59899 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 12/15/49 | 112 | 85385 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 10/01/51<sup>(a)</sup> | 65 | 41562 |
|  Sonoco Products Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 02/01/25<sup>(a)</sup> | 341 | 316873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 02/01/27<sup>(a)</sup> | 277 | 246304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 02/01/32 | 171 | 138999 |
|  Suzano Austria GmbH, 3.75%, 01/15/31<sup>(a)</sup> | 261 | 217902 |
|  WestRock MWV LLC, 8.20%, 01/15/30<sup>(a)</sup> | 74 | 83442 |
|  WRKCo, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 03/15/26 | 200 | 196186 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 09/15/27<sup>(a)</sup> | 87 | 79642 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/15/28 | 171 | 159126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/15/29<sup>(a)</sup> | 171 | 164174 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2767143 |
| **Diversified Financial Services — 4.1%** |  |  |
|  AerCap Ireland Capital DAC/AerCap Global Aviation Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 01/16/24 | 174 | 172340 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 08/14/24<sup>(a)</sup> | 211 | 199771 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/15/25<sup>(a)</sup> | 345 | 349581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 01/30/26<sup>(a)</sup> | 345 | 303525 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 07/21/27 | 345 | 311877 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/29/28 | 427 | 357730 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 01/30/32<sup>(a)</sup> | 250 | 195440 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 10/29/33<sup>(a)</sup> | 195 | 147848 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 10/29/41<sup>(a)</sup> | 150 | 106046 |
|  Air Lease Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/15/24<sup>(a)</sup> | 87 | 85121 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 02/01/25<sup>(a)</sup> | 67 | 62379 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 03/01/25 | 341 | 323575 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 07/01/25<sup>(a)</sup> | 171 | 161735 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 01/15/26<sup>(a)</sup> | 171 | 158219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 08/15/26<sup>(a)</sup> | 55 | 47770 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 12/01/27<sup>(a)</sup> | 70 | 63317 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 09/01/28 | 87 | 70861 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/01/29<sup>(a)</sup> | 87 | 74078 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/01/30<sup>(a)</sup> | 71 | 59212 |
|  Aircastle Ltd.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 05/01/24 | 171 | 165297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/15/26 | 87 | 81818 |
|  Ally Financial, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 05/21/24 | 257 | 250164 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/30/25 | 257 | 251243 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 06/09/27 | 340 | 318687 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.10%, 11/15/27 | 100 | 101736 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 11/01/31 | 121 | 124914 |
|  Banco Santander SA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.89%, 05/24/24 | 600 | 587363 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.18%, 11/19/25 | 200 | 196736 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Diversified Financial Services (continued)** |  |  |
|  Banco Santander SA (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 03/25/26<sup>(a)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;353056 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.29%, 08/18/27<sup>(a)</sup> | 400 | 390543 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 12/03/30<sup>(a)</sup> | 400 | 306360 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.90%), 1.72%, 09/14/27<sup>(a)(b)</sup> | 200 | 170833 |
|  Bank of America Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 01/22/24<sup>(a)</sup> | 341 | 338063 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/01/24<sup>(a)</sup> | 87 | 85903 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 08/26/24 | 300 | 295359 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/22/25 | 130 | 127239 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/01/25<sup>(a)</sup> | 384 | 373782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 03/03/26<sup>(a)</sup> | 229 | 224389 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/19/26<sup>(a)</sup> | 111 | 105932 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/22/26 | 221 | 213475 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/21/27<sup>(a)</sup> | 236 | 217903 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.11%, 01/29/37<sup>(a)</sup> | 350 | 353976 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 05/14/38<sup>(a)</sup> | 200 | 232486 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 02/07/42<sup>(a)</sup> | 189 | 192587 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/21/44 | 214 | 196750 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 04/01/44<sup>(a)</sup> | 171 | 152542 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.65%), 1.53%, 12/06/25<sup>(b)</sup> | 171 | 157713 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.67%), 1.84%, 02/04/25<sup>(b)</sup> | 104 | 99712 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.69%), 0.98%, 04/22/25<sup>(b)</sup> | 171 | 160322 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.96%), 1.73%, 07/22/27<sup>(b)</sup> | 600 | 525670 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.01%), 1.20%, 10/24/26<sup>(a)(b)</sup> | 189 | 168027 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.05%), 2.55%, 02/04/28<sup>(b)</sup> | 362 | 321524 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.06%), 2.09%, 06/14/29<sup>(b)</sup> | 341 | 286949 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.11%), 3.84%, 04/25/25<sup>(b)</sup> | 368 | 359287 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.15%), 1.32%, 06/19/26<sup>(b)</sup> | 291 | 262044 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.21%), 2.57%, 10/20/32<sup>(b)</sup> | 377 | 295267 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.22%), 2.30%, 07/21/32<sup>(b)</sup> | 495 | 381203 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.32%), 2.69%, 04/22/32<sup>(b)</sup> | 536 | 429006 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.33%), 3.38%, 04/02/26<sup>(a)(b)</sup> | 206 | 196738 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.33%), 2.97%, 02/04/33<sup>(b)</sup> | 457 | 368168 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.37%), 1.92%, 10/24/31<sup>(b)</sup> | 291 | 222291 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.53%), 1.90%, 07/23/31<sup>(b)</sup> | 341 | 261719 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.56%), 2.97%, 07/21/52<sup>(a)(b)</sup> | 70 | 43723 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.58%), 4.38%, 04/27/28<sup>(b)</sup> | 336 | 321325 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.58%), 3.31%, 04/22/42<sup>(a)(b)</sup> | 211 | 154692 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.75%), 4.83%, 07/22/26<sup>(a)(b)</sup> | 320 | 316261 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.83%), 4.57%, 04/27/33<sup>(b)</sup> | 373 | 341184 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.88%), 2.83%, 10/24/51<sup>(a)(b)</sup> | 140 | 85826 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.93%), 2.68%, 06/19/41<sup>(a)(b)</sup> | 511 | 343750 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.99%), 6.20%, 11/10/28<sup>(b)</sup> | 155 | 160033 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.04%), 4.95%, 07/22/28<sup>(b)</sup> | 420 | 410197 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.16%), 5.02%, 07/22/33<sup>(b)</sup> | 360 | 341781 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.64%), 2.02%, 02/13/26<sup>(b)</sup> | 240 | 222773 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.81%), 3.37%, 01/23/26<sup>(b)</sup> | 341 | 325137 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.87%), 2.46%, 10/22/25<sup>(a)(b)</sup> | 68 | 64250 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.97%), 3.46%, 03/15/25<sup>(a)(b)</sup> | 171 | 166461 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.99%), 2.50%, 02/13/31<sup>(b)</sup> | 397 | 322678 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.06%), 3.56%, 04/23/27<sup>(a)(b)</sup> | 171 | 160205 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.07%), 3.97%, 03/05/29<sup>(b)</sup> | 171 | 157786 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.09%), 3.09%, 10/01/25<sup>(a)(b)</sup> | 171 | 163822 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.18%), 3.19%, 07/23/30<sup>(b)</sup> | 251 | 215881 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.19%), 2.88%, 10/22/30<sup>(b)</sup> | 171 | 143054 |

---

32 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Diversified Financial Services (continued)** |  |  |
|  Bank of America Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.19%), 3.95%, 01/23/49<sup>(a)(b)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;104 | $80417 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.31%), 4.27%, 07/23/29<sup>(b)</sup> | 249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;232193 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.32%), 4.08%, 04/23/40<sup>(b)</sup> | 171 | 142180 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.37%), 3.59%, 07/21/28<sup>(b)</sup> | 87 | 80091 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.51%), 3.71%, 04/24/28<sup>(a)(b)</sup> | 171 | 158242 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.52%), 4.33%, 03/15/50<sup>(a)(b)</sup> | 341 | 279684 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.58%), 3.82%, 01/20/28<sup>(b)</sup> | 341 | 318193 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.81%), 4.24%, 04/24/38<sup>(b)</sup> | 257 | 218325 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.99%), 4.44%, 01/20/48<sup>(b)</sup> | 197 | 166137 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 3.15%), 4.08%, 03/20/51<sup>(a)(b)</sup> | 350 | 273896 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 1.20%), 2.48%, 09/21/36<sup>(b)</sup> | 171 | 125644 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series L, 3.95%, 04/21/25 | 368 | 358141 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series L, 4.18%, 11/25/27<sup>(a)</sup> | 171 | 162194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series N, (1 day SOFR + 0.91%), 1.66%, 03/11/27<sup>(b)</sup> | 291 | 257449 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series N, (1 day SOFR + 1.22%), 2.65%, 03/11/32<sup>(b)</sup> | 291 | 232924 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series N, (1 day SOFR + 1.65%), 3.48%, 03/13/52<sup>(b)</sup> | 124 | 87154 |
|  Bank of Nova Scotia |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 02/11/24<sup>(a)</sup> | 171 | 168169 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.65%, 07/31/24<sup>(a)</sup> | 267 | 248915 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 12/06/24 | 200 | 200369 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 01/10/25 | 87 | 80912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 02/03/25<sup>(a)</sup> | 341 | 321190 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 04/11/25 | 118 | 113556 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/16/25 | 87 | 85264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 08/03/26<sup>(a)</sup> | 87 | 80559 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 09/15/26 | 240 | 209636 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 02/02/27<sup>(a)</sup> | 171 | 152224 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 08/01/31 | 171 | 135487 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 02/02/32<sup>(a)</sup> | 171 | 137533 |
|  Barclays PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 03/16/25<sup>(a)</sup> | 450 | 432289 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 08/17/45<sup>(a)</sup> | 250 | 223381 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.71%), 2.85%, 05/07/26<sup>(a)(b)</sup> | 500 | 464613 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.05%), 2.28%, 11/24/27<sup>(a)(b)</sup> | 222 | 191892 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.20%), 2.67%, 03/10/32<sup>(a)(b)</sup> | 490 | 373700 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.30%), 3.33%, 11/24/42<sup>(a)(b)</sup> | 222 | 151531 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.30%), 5.30%, 08/09/26<sup>(b)</sup> | 245 | 243168 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.65%), 5.50%, 08/09/28<sup>(b)</sup> | 300 | 290561 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 3.05%), 7.33%, 11/02/26<sup>(a)(b)</sup> | 200 | 207159 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 3.30%), 7.39%, 11/02/28<sup>(b)</sup> | 200 | 208466 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.90%), 4.97%, 05/16/29<sup>(a)(b)</sup> | 400 | 375652 |
|  BNP Paribas SA, 4.25%, 10/15/24 | 200 | 195548 |
|  Cboe Global Markets, Inc., 3.00%, 03/16/32 | 121 | 100659 |
|  Citigroup, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 03/26/25 | 87 | 84587 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 04/27/25<sup>(a)</sup> | 55 | 53254 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 06/10/25<sup>(a)</sup> | 87 | 85391 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 09/13/25<sup>(a)</sup> | 171 | 172047 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 01/12/26 | 171 | 164489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 03/09/26 | 130 | 127689 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 05/01/26<sup>(a)</sup> | 87 | 82460 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 10/21/26<sup>(a)</sup> | 427 | 395044 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Diversified Financial Services (continued)** |  |  |
|  Citigroup, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 11/20/26<sup>(a)</sup> | $53 | $51269 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 07/25/28<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;120997 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 06/15/32<sup>(a)</sup> | 74 | 77926 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 08/25/36 | 184 | 184336 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 07/15/39<sup>(a)</sup> | 100 | 122898 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 01/30/42<sup>(a)</sup> | 227 | 228255 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.68%, 09/13/43<sup>(a)</sup> | 87 | 92978 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 05/06/44<sup>(a)</sup> | 87 | 78346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 07/30/45<sup>(a)</sup> | 130 | 111492 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/18/46<sup>(a)</sup> | 257 | 213556 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 07/23/48<sup>(a)</sup> | 257 | 221026 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.53%), 1.28%, 11/03/25<sup>(b)</sup> | 79 | 72793 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.67%), 0.98%, 05/01/25<sup>(b)</sup> | 118 | 110500 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.69%), 2.01%, 01/25/26<sup>(b)</sup> | 245 | 227058 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.77%), 1.12%, 01/28/27<sup>(b)</sup> | 376 | 327678 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.15%), 2.67%, 01/29/31<sup>(b)</sup> | 171 | 140251 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.17%), 2.56%, 05/01/32<sup>(b)</sup> | 207 | 163419 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.18%), 2.52%, 11/03/32<sup>(b)</sup> | 484 | 376392 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.28%), 3.07%, 02/24/28<sup>(b)</sup> | 171 | 154161 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.35%), 3.06%, 01/25/33<sup>(a)(b)</sup> | 257 | 207403 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.38%), 2.90%, 11/03/42<sup>(a)(b)</sup> | 87 | 60037 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.42%), 2.98%, 11/05/30<sup>(a)(b)</sup> | 171 | 143781 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.53%), 3.29%, 03/17/26<sup>(b)</sup> | 118 | 112165 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.55%), 5.61%, 09/29/26<sup>(a)(b)</sup> | 305 | 306304 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.94%), 3.79%, 03/17/33<sup>(b)</sup> | 713 | 609823 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.11%), 2.57%, 06/03/31<sup>(a)(b)</sup> | 257 | 207859 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.84%), 3.11%, 04/08/26<sup>(a)(b)</sup> | 240 | 227180 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 3.91%), 4.41%, 03/31/31<sup>(a)(b)</sup> | 410 | 376502 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.90%), 3.35%, 04/24/25<sup>(b)</sup> | 600 | 581807 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.15%), 3.52%, 10/27/28<sup>(b)</sup> | 341 | 311127 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.34%), 3.98%, 03/20/30<sup>(b)</sup> | 177 | 159634 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.39%), 3.67%, 07/24/28<sup>(b)</sup> | 171 | 157045 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.56%), 3.89%, 01/10/28<sup>(b)</sup> | 171 | 159794 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.84%), 4.28%, 04/24/48<sup>(b)</sup> | 171 | 139886 |
|  Clorox Co., 3.10%, 10/01/27<sup>(a)</sup> | 87 | 80302 |
|  CME Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/15/25<sup>(a)</sup> | 214 | 206771 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 03/15/32 | 69 | 57797 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 09/15/43 | 171 | 177156 |
|  Credit Suisse Group AG, 4.88%, 05/15/45 | 268 | 183276 |
|  Deutsche Bank AG |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.90%, 05/28/24 | 330 | 308564 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 05/30/24<sup>(a)</sup> | 75 | 73694 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 01/13/26<sup>(a)</sup> | 62 | 59512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.37%, 09/09/27<sup>(a)</sup> | 200 | 200446 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.22%), 2.31%, 11/16/27<sup>(b)</sup> | 353 | 299302 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.32%), 2.55%, 01/07/28<sup>(b)</sup> | 192 | 163209 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.58%), 3.96%, 11/26/25<sup>(a)(b)</sup> | 419 | 400382 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 3.04%), 3.55%, 09/18/31<sup>(a)(b)</sup> | 496 | 397637 |
|  Goldman Sachs Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 02/20/24<sup>(a)</sup> | 171 | 168041 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/03/24<sup>(a)</sup> | 584 | 576615 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/15/24<sup>(a)</sup> | 110 | 107264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 07/08/24<sup>(a)</sup> | 87 | 85132 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/25 | 327 | 314457 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 05/22/25<sup>(a)</sup> | 384 | 371388 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/21/25 | 181 | 176646 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/25/26<sup>(a)</sup> | 217 | 208875 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/16/26 | 341 | 319648 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 01/15/27<sup>(a)</sup> | 87 | 89288 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 33

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Diversified Financial Services (continued)** |  |  |
|  Goldman Sachs Group, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 01/26/27<sup>(a)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;341 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;324674 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 02/07/30<sup>(a)</sup> | 341 | 284571 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/15/30<sup>(a)</sup> | 200 | 179795 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.45%, 05/01/36 | 110 | 114000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 10/01/37 | 451 | 481227 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 02/01/41<sup>(a)</sup> | 171 | 178471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 07/08/44<sup>(a)</sup> | 214 | 189201 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 05/22/45<sup>(a)</sup> | 257 | 230842 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.73%), 1.76%, 01/24/25<sup>(b)</sup> | 257 | 245988 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.80%), 1.43%, 03/09/27<sup>(b)</sup> | 427 | 374440 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.82%), 1.54%, 09/10/27<sup>(a)(b)</sup> | 341 | 294156 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.91%), 1.95%, 10/21/27<sup>(b)</sup> | 283 | 247451 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.09%), 1.99%, 01/27/32<sup>(b)</sup> | 250 | 190454 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.11%), 2.64%, 02/24/28<sup>(b)</sup> | 197 | 175406 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.25%), 2.38%, 07/21/32<sup>(b)</sup> | 477 | 370108 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.26%), 2.65%, 10/21/32<sup>(a)(b)</sup> | 274 | 216342 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.28%), 2.62%, 04/22/32<sup>(b)</sup> | 250 | 199373 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.41%), 3.10%, 02/24/33<sup>(a)(b)</sup> | 391 | 317484 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.47%), 2.91%, 07/21/42<sup>(b)</sup> | 150 | 102004 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.51%), 4.39%, 06/15/27<sup>(a)(b)</sup> | 125 | 120427 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.51%), 3.21%, 04/22/42<sup>(b)</sup> | 171 | 123172 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.63%), 3.44%, 02/24/43<sup>(a)(b)</sup> | 216 | 158712 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.73%), 4.48%, 08/23/28<sup>(b)</sup> | 200 | 191683 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.85%), 3.62%, 03/15/28<sup>(b)</sup> | 100 | 93146 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.16%), 3.81%, 04/23/29<sup>(b)</sup> | 341 | 311478 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.20%), 3.27%, 09/29/25<sup>(b)</sup> | 171 | 164780 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.30%), 4.22%, 05/01/29<sup>(b)</sup> | 171 | 159307 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.37%), 4.02%, 10/31/38<sup>(b)</sup> | 341 | 280359 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.43%), 4.41%, 04/23/39<sup>(b)</sup> | 171 | 147749 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.51%), 3.69%, 06/05/28<sup>(a)(b)</sup> | 427 | 396739 |
|  Hercules Capital, Inc., 3.38%, 01/20/27 | 70 | 60014 |
|  HSBC Holdings PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/14/24<sup>(a)</sup> | 500 | 491125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 08/18/25 | 200 | 192390 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 05/25/26<sup>(a)</sup> | 311 | 296201 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 11/23/26<sup>(a)</sup> | 390 | 374527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 05/02/36<sup>(a)</sup> | 297 | 290532 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 09/15/37 | 260 | 250146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.80%, 06/01/38<sup>(a)</sup> | 250 | 248126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 01/14/42<sup>(a)</sup> | 171 | 178273 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 03/14/44<sup>(a)</sup> | 232 | 195418 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.40%), 2.63%, 11/07/25<sup>(a)(b)</sup> | 522 | 490228 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.43%), 3.00%, 03/10/26<sup>(a)(b)</sup> | 350 | 328956 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.39%), 2.85%, 06/04/31<sup>(b)</sup> | 349 | 278539 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.53%), 4.76%, 03/29/33<sup>(a)(b)</sup> | 285 | 246998 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.61%), 5.21%, 08/11/28<sup>(b)</sup> | 600 | 578852 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 4.25%), 8.11%, 11/03/33<sup>(b)</sup> | 300 | 317424 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.21%), 3.80%, 03/11/25<sup>(a)(b)</sup> | 522 | 507451 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.55%), 4.04%, 03/13/28<sup>(a)(b)</sup> | 211 | 194444 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.61%), 3.97%, 05/22/30<sup>(a)(b)</sup> | 211 | 184685 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 3.03%), 7.34%, 11/03/26<sup>(a)(b)</sup> | 300 | 312022 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 3.35%), 7.39%, 11/03/28<sup>(b)</sup> | 215 | 225954 |
|  Intercontinental Exchange, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 05/23/25<sup>(a)</sup> | 82 | 80043 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 12/01/25<sup>(a)</sup> | 192 | 186944 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Diversified Financial Services (continued)** |  |  |
|  Intercontinental Exchange, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 06/15/30<sup>(a)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;133 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;108505 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 09/15/32 | 58 | 43629 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 03/15/33<sup>(a)</sup> | 137 | 130992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 09/15/40<sup>(a)</sup> | 171 | 118595 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/21/48<sup>(a)</sup> | 87 | 72847 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 06/15/50 | 76 | 51309 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 06/15/52<sup>(a)</sup> | 114 | 105814 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 09/15/60 | 145 | 91082 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 06/15/62<sup>(a)</sup> | 130 | 122652 |
|  JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 02/01/24<sup>(a)</sup> | 341 | 336568 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 05/13/24<sup>(a)</sup> | 171 | 168048 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 09/10/24<sup>(a)</sup> | 223 | 218288 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 01/23/25 | 214 | 206535 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 07/15/25<sup>(a)</sup> | 384 | 375408 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 04/01/26<sup>(a)</sup> | 87 | 82470 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 06/15/26 | 171 | 161444 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 10/01/26<sup>(a)</sup> | 500 | 466313 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 10/15/26 | 87 | 95129 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 12/15/26<sup>(a)</sup> | 87 | 84063 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/01/27<sup>(a)</sup> | 87 | 83825 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 12/01/27<sup>(a)</sup> | 171 | 158082 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 05/15/38<sup>(a)</sup> | 189 | 204158 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 10/15/40 | 66 | 65034 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 07/15/41<sup>(a)</sup> | 96 | 95964 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 01/06/42<sup>(a)</sup> | 71 | 69608 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 08/16/43 | 87 | 84473 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 02/01/44<sup>(a)</sup> | 74 | 67430 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 06/01/45<sup>(a)</sup> | 214 | 191197 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.49%), 0.77%, 08/09/25<sup>(b)</sup> | 171 | 157824 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.54%), 0.82%, 06/01/25<sup>(b)</sup> | 224 | 208801 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.61%), 1.56%, 12/10/25<sup>(b)</sup> | 171 | 158316 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.77%), 1.47%, 09/22/27<sup>(b)</sup> | 171 | 148045 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.89%), 1.58%, 04/22/27<sup>(b)</sup> | 875 | 768830 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.92%), 2.60%, 02/24/26<sup>(b)</sup> | 118 | 110939 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.98%), 3.85%, 06/14/25<sup>(a)(b)</sup> | 200 | 195544 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.02%), 2.07%, 06/01/29<sup>(b)</sup> | 240 | 200445 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.07%), 5.55%, 12/15/25<sup>(b)</sup> | 300 | 300005 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.07%), 1.95%, 02/04/32<sup>(a)(b)</sup> | 341 | 260839 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.16%), 2.30%, 10/15/25<sup>(b)</sup> | 87 | 81985 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.17%), 2.95%, 02/24/28<sup>(b)</sup> | 111 | 100410 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.18%), 2.55%, 11/08/32<sup>(b)</sup> | 616 | 486905 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.26%), 2.96%, 01/25/33<sup>(b)</sup> | 403 | 328003 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.32%), 4.08%, 04/26/26<sup>(b)</sup> | 451 | 437886 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.46%), 3.16%, 04/22/42<sup>(b)</sup> | 392 | 284562 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.51%), 2.53%, 11/19/41<sup>(b)</sup> | 257 | 168021 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.56%), 4.32%, 04/26/28<sup>(b)</sup> | 472 | 450754 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.58%), 3.33%, 04/22/52<sup>(b)</sup> | 200 | 135163 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.75%), 4.57%, 06/14/30<sup>(a)(b)</sup> | 200 | 188173 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.80%), 4.59%, 04/26/33<sup>(b)</sup> | 67 | 62026 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.99%), 4.85%, 07/25/28<sup>(a)(b)</sup> | 200 | 194957 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.04%), 2.52%, 04/22/31<sup>(b)</sup> | 275 | 225029 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.08%), 4.91%, 07/25/33<sup>(a)(b)</sup> | 95 | 90452 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.44%), 3.11%, 04/22/51<sup>(a)(b)</sup> | 291 | 190659 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.46%), 3.11%, 04/22/41<sup>(b)</sup> | 189 | 137351 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.52%), 2.96%, 05/13/31<sup>(b)</sup> | 341 | 280969 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.58%), 5.72%, 09/14/33<sup>(b)</sup> | 200 | 195211 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 3.79%), 4.49%, 03/24/31<sup>(a)(b)</sup> | 341 | 318479 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 0.95%), 3.51%, 01/23/29<sup>(b)</sup> | 171 | 155188 |

---

34 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Diversified Financial Services (continued)** |  |  |
|  JPMorgan Chase & Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.12%), 4.01%, 04/23/29<sup>(b)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;381 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;352477 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.16%), 3.22%, 03/01/25<sup>(a)(b)</sup> | 341 | 331430 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.16%), 3.70%, 05/06/30<sup>(b)</sup> | 171 | 153366 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.22%), 3.90%, 01/23/49<sup>(b)</sup> | 300 | 229853 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.26%), 4.20%, 07/23/29<sup>(a)(b)</sup> | 202 | 188224 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.33%), 4.45%, 12/05/29<sup>(a)(b)</sup> | 427 | 401105 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.34%), 3.78%, 02/01/28<sup>(b)</sup> | 341 | 318595 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.36%), 3.88%, 07/24/38<sup>(a)(b)</sup> | 171 | 141929 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.38%), 3.54%, 05/01/28<sup>(a)(b)</sup> | 300 | 276065 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.38%), 3.96%, 11/15/48<sup>(b)</sup> | 427 | 333060 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.46%), 4.03%, 07/24/48<sup>(b)</sup> | 87 | 68621 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.58%), 4.26%, 02/22/48<sup>(b)</sup> | 171 | 139835 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. SOFR + 0.58%), 0.97%, 06/23/25<sup>(b)</sup> | 171 | 159401 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. SOFR + 0.70%), 1.04%, 02/04/27<sup>(a)(b)</sup> | 600 | 521921 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. SOFR + 1.11%), 1.76%, 11/19/31<sup>(a)(b)</sup> | 171 | 129630 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. SOFR + 1.59%), 2.01%, 03/13/26<sup>(b)</sup> | 223 | 206399 |
|  Kimberly-Clark Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 02/15/26 | 87 | 81974 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 11/02/31<sup>(a)</sup> | 75 | 60326 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 03/01/41<sup>(a)</sup> | 87 | 87175 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 07/30/46 | 74 | 52963 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 02/07/50<sup>(a)</sup> | 140 | 95955 |
|  Lloyds Banking Group PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 03/12/24<sup>(a)</sup> | 500 | 490759 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/04/24<sup>(a)</sup> | 490 | 478173 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.34%, 01/09/48<sup>(a)</sup> | 249 | 181507 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.00%), 2.44%, 02/05/26<sup>(a)(b)</sup> | 340 | 316549 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.60%), 3.51%, 03/18/26<sup>(b)</sup> | 215 | 204257 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.80%), 3.75%, 03/18/28<sup>(b)</sup> | 222 | 204930 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.30%), 4.98%, 08/11/33<sup>(b)</sup> | 200 | 183638 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 3.75%), 7.95%, 11/15/33<sup>(b)</sup> | 225 | 238163 |
|  Mitsubishi UFJ Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.19%, 02/25/25<sup>(a)</sup> | 500 | 467947 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 03/01/26 | 500 | 478360 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.76%, 09/13/26 | 250 | 228461 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.29%, 07/25/27<sup>(a)</sup> | 171 | 157518 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.96%, 03/02/28<sup>(a)</sup> | 171 | 162444 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.74%, 03/07/29 | 341 | 314242 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.56%, 02/25/30<sup>(a)</sup> | 349 | 288823 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.29%, 07/26/38<sup>(a)</sup> | 87 | 75245 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.83%), 2.34%, 01/19/28<sup>(b)</sup> | 220 | 193640 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.97%), 2.49%, 10/13/32<sup>(b)</sup> | 215 | 167519 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.10%), 2.85%, 01/19/33<sup>(b)</sup> | 200 | 159205 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.13%), 3.84%, 04/17/26<sup>(a)(b)</sup> | 220 | 211884 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.30%), 4.08%, 04/19/28<sup>(a)(b)</sup> | 220 | 207397 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.55%), 5.06%, 09/12/25<sup>(b)</sup> | 660 | 655294 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.70%), 4.79%, 07/18/25<sup>(b)</sup> | 240 | 237608 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.90%), 5.35%, 09/13/28<sup>(a)(b)</sup> | 200 | 198409 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.95%), 5.02%, 07/20/28<sup>(b)</sup> | 400 | 390450 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.13%), 5.13%, 07/20/33<sup>(b)</sup> | 250 | 238706 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.13%), 5.47%, 09/13/33<sup>(a)(b)</sup> | 200 | 196395 |
|  Mizuho Financial Group, Inc.<sup>(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.67%), 1.23%, 05/22/27<sup>(a)</sup> | 349 | 302287 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.90%), 2.65%, 05/22/26 | 300 | 278288 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Diversified Financial Services (continued)** |  |  |
|  Mizuho Financial Group, Inc.<sup>(b)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.25%), 3.26%, 05/22/30<sup>(a)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;380 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;328751 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.05%), 5.41%, 09/13/28<sup>(a)</sup> | 520 | 520095 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.40%), 5.67%, 09/13/33 | 520 | 515984 |
|  Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/23/24 | 257 | 250837 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/23/25<sup>(a)</sup> | 343 | 334936 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/24/25<sup>(a)</sup> | 214 | 213355 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 01/27/26<sup>(a)</sup> | 300 | 290406 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 07/27/26<sup>(a)</sup> | 87 | 81151 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 09/08/26<sup>(a)</sup> | 257 | 249352 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 01/20/27<sup>(a)</sup> | 341 | 321568 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 04/23/27 | 87 | 82162 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 04/01/32 | 50 | 56258 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 07/24/42<sup>(a)</sup> | 181 | 196318 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 01/27/45 | 171 | 145749 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/22/47<sup>(a)</sup> | 257 | 217490 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.51%), 0.79%, 01/22/25<sup>(b)</sup> | 87 | 82306 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.53%), 0.79%, 05/30/25<sup>(b)</sup> | 393 | 365370 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.56%), 1.16%, 10/21/25<sup>(b)</sup> | 511 | 470382 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.72%), 0.99%, 12/10/26<sup>(b)</sup> | 307 | 268998 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.86%), 1.51%, 07/20/27<sup>(b)</sup> | 326 | 282899 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.88%), 1.59%, 05/04/27<sup>(b)</sup> | 66 | 57897 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.94%), 2.63%, 02/18/26<sup>(b)</sup> | 324 | 304232 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.00%), 2.48%, 01/21/28<sup>(b)</sup> | 244 | 216807 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.02%), 1.93%, 04/28/32<sup>(b)</sup> | 300 | 226358 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.03%), 1.79%, 02/13/32<sup>(b)</sup> | 338 | 254027 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.14%), 2.70%, 01/22/31<sup>(a)(b)</sup> | 341 | 281784 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.15%), 2.72%, 07/22/25<sup>(a)(b)</sup> | 105 | 100382 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.16%), 3.62%, 04/17/25<sup>(a)(b)</sup> | 178 | 173693 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.18%), 2.24%, 07/21/32<sup>(b)</sup> | 87 | 66746 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.20%), 2.51%, 10/20/32<sup>(a)(b)</sup> | 281 | 219900 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.29%), 2.94%, 01/21/33<sup>(a)(b)</sup> | 343 | 277480 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.36%), 2.48%, 09/16/36<sup>(b)</sup> | 459 | 332835 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.43%), 2.80%, 01/25/52<sup>(a)(b)</sup> | 221 | 136069 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.49%), 3.22%, 04/22/42<sup>(a)(b)</sup> | 35 | 25899 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.61%), 4.21%, 04/20/28<sup>(b)</sup> | 96 | 91305 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.67%), 4.68%, 07/17/26<sup>(b)</sup> | 130 | 127771 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.08%), 4.89%, 07/20/33<sup>(b)</sup> | 70 | 65766 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 2.62%), 5.30%, 04/20/37<sup>(b)</sup> | 114 | 104237 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 3.12%), 3.62%, 04/01/31<sup>(b)</sup> | 400 | 349201 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 4.84%), 5.60%, 03/24/51<sup>(a)(b)</sup> | 171 | 170012 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.14%), 3.77%, 01/24/29<sup>(b)</sup> | 410 | 375459 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.34%), 3.59%, 07/22/28<sup>(b)</sup> | 384 | 352224 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.43%), 4.46%, 04/22/39<sup>(b)</sup> | 211 | 185233 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.46%), 3.97%, 07/22/38<sup>(b)</sup> | 171 | 143974 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.63%), 4.43%, 01/23/30<sup>(b)</sup> | 130 | 120991 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F, 3.88%, 04/29/24<sup>(a)</sup> | 87 | 85648 |
|  Nasdaq, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 06/30/26<sup>(a)</sup> | 104 | 100404 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 01/15/31 | 57 | 43575 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/28/50 | 70 | 47079 |
|  NatWest Group PLC<sup>(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 2.85%), 7.47%, 11/10/26<sup>(a)</sup> | 500 | 520300 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 1.76%), 4.27%, 03/22/25 | 522 | 510453 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 2.35%), 3.03%, 11/28/35<sup>(a)</sup> | 300 | 220881 |
|  ORIX Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/13/27 | 100 | 98767 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 03/09/31<sup>(a)</sup> | 87 | 68144 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/13/32<sup>(a)</sup> | 67 | 59422 |

---

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Diversified Financial Services (continued)** |  |  |  |  |
|  ORIX Corp. (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 09/13/32 | $| 100 | $| 97467 |
|  Rexford Industrial Realty LP |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 12/01/30 |  | 71 |  | 55418 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 09/01/31 |  | 79 |  | 60535 |
|  Sumitomo Mitsui Financial Group, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 01/15/25<sup>(a)</sup> |  | 490 |  | 463639 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.78%, 03/09/26<sup>(a)</sup> |  | 211 |  | 202953 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 07/14/26<sup>(a)</sup> |  | 171 |  | 156588 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 09/17/26<sup>(a)</sup> |  | 218 |  | 189838 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.01%, 10/19/26<sup>(a)</sup> |  | 87 |  | 80313 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.17%, 01/14/27 |  | 200 |  | 177289 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.36%, 07/12/27<sup>(a)</sup> |  | 171 |  | 158115 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 10/18/27<sup>(a)</sup> |  | 87 |  | 79875 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 09/17/28 |  | 218 |  | 179635 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 09/17/29<sup>(a)</sup> |  | 87 |  | 74694 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.72%, 09/27/29 |  | 522 |  | 440250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.22%, 09/17/31 |  | 265 |  | 204379 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.93%, 09/17/41<sup>(a)</sup> |  | 70 |  | 47070 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;91357204 |
| **Diversified Telecommunication Services — 0.6%** | **Diversified Telecommunication Services — 0.6%** | **Diversified Telecommunication Services — 0.6%** | **Diversified Telecommunication Services — 0.6%** | **Diversified Telecommunication Services — 0.6%** |
|  AT&T, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.90%, 03/25/24<sup>(a)</sup> |  | 341 |  | 323820 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 06/01/27<sup>(a)</sup> |  | 450 |  | 400225 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 02/15/30<sup>(a)</sup> |  | 300 |  | 282479 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 06/01/31<sup>(a)</sup> |  | 341 |  | 282591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 02/01/32<sup>(a)</sup> |  | 400 |  | 313529 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 12/01/33 |  | 200 |  | 153702 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/15/35<sup>(a)</sup> |  | 655 |  | 595427 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 08/15/37 |  | 375 |  | 344662 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 03/01/39 |  | 500 |  | 447294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 06/01/44 |  | 125 |  | 104927 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/15/46 |  | 500 |  | 422707 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/09/48<sup>(a)</sup> |  | 500 |  | 407100 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 06/01/51 |  | 200 |  | 140862 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/15/53<sup>(a)</sup> |  | 511 |  | 344892 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 09/15/55 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1174 |  | 783344 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 12/01/57 |  | 778 |  | 536768 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 09/15/59 |  | 220 |  | 147253 |
|  British Telecommunications PLC, 9.63%, 12/15/30 |  | 200 |  | 239506 |
|  Deutsche Telekom International Finance BV, 8.75%, 06/15/30<sup>(a)</sup> |  | 300 |  | 353777 |
|  Telefonica Emisiones SA |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 03/08/27 |  | 345 |  | 327326 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.05%, 06/20/36<sup>(a)</sup> |  | 185 |  | 189673 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.21%, 03/08/47<sup>(a)</sup> |  | 283 |  | 227247 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/06/48<sup>(a)</sup> |  | 160 |  | 122966 |
|  Telefonica Europe BV, 8.25%, 09/15/30 |  | 75 |  | 83672 |
|  Verizon Communications, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 03/22/24<sup>(a)</sup> |  | 59 |  | 55972 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/24<sup>(a)</sup> |  | 87 |  | 84507 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/15/25<sup>(a)</sup> |  | 257 |  | 248998 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.85%, 11/20/25<sup>(a)</sup> |  | 249 |  | 222071 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 03/20/26<sup>(a)</sup> |  | 122 |  | 109522 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 08/15/26<sup>(a)</sup> |  | 155 |  | 143038 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/16/27<sup>(a)</sup> |  | 350 |  | 340880 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 03/22/28<sup>(a)</sup> |  | 140 |  | 121503 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.33%, 09/21/28<sup>(a)</sup> |  | 369 |  | 354787 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 02/08/29<sup>(a)</sup> |  | 341 |  | 319948 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.02%, 12/03/29<sup>(a)</sup> |  | 350 |  | 326918 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 03/22/30 |  | 171 |  | 150795 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Diversified Telecommunication Services (continued)** | **Diversified Telecommunication Services (continued)** | **Diversified Telecommunication Services (continued)** |
|  Verizon Communications, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.68%, 10/30/30 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;341 | $265800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.36%, 03/15/32<sup>(a)</sup> | 695 | 550928 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 08/10/33 | 300 | 280706 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 11/01/34<sup>(a)</sup> | 257 | 235992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.27%, 01/15/36<sup>(a)</sup> | 214 | 190499 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.81%, 03/15/39 | 104 | 95263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 11/20/40 | 87 | 58724 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 03/22/41 | 429 | 322566 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 09/03/41 | 112 | 77079 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 11/01/41<sup>(a)</sup> | 511 | 465887 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 11/01/42<sup>(a)</sup> | 87 | 68951 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 08/21/46<sup>(a)</sup> | 341 | 305658 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/22/50<sup>(a)</sup> | 171 | 133784 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 11/20/50 | 427 | 267712 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 03/22/51<sup>(a)</sup> | 336 | 239351 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 03/01/52<sup>(a)</sup> | 118 | 89486 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 10/30/56 | 211 | 128731 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/20/60 | 275 | 163741 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/22/61<sup>(a)</sup> | 403 | 281089 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;14276635 |
| **Education — 0.1%** |  |  |
|  American University, Series 2019, 3.67%, 04/01/49 | 60 | 46007 |
|  Brown University, Series A, 2.92%, 09/01/50 | 75 | 53114 |
|  California Institute of Technology, 3.65%, 09/01/2119 | 171 | 108917 |
|  Duke University |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 2.68%, 10/01/44 | 75 | 54223 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 2.83%, 10/01/55 | 88 | 59359 |
|  Emory University, Series 2020, 2.97%, 09/01/50 | 62 | 41905 |
|  Ford Foundation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 2.42%, 06/01/50<sup>(a)</sup> | 60 | 37745 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 2.82%, 06/01/70 | 70 | 40830 |
|  George Washington University |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.87%, 09/15/45 | 74 | 67729 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014, 4.30%, 09/15/44 | 87 | 73051 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018, 4.13%, 09/15/48 | 58 | 48063 |
|  Georgetown University<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20A, 2.94%, 04/01/50 | 77 | 48678 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 5.22%, 12/31/99 | 62 | 54184 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 4.32%, 04/01/49 | 40 | 33366 |
|  Howard University, Series 22A, 5.21%, 10/01/52 | 73 | 56646 |
|  Leland Stanford Junior University |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 05/01/48 | 130 | 107142 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.41%, 06/01/50<sup>(a)</sup> | 75 | 47247 |
|  Massachusetts Institute of Technology |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.96%, 07/01/38<sup>(a)</sup> | 98 | 89590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.07%, 04/01/52<sup>(a)</sup> | 77 | 56378 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.68%, 12/31/99 | 75 | 63851 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 12/31/99<sup>(a)</sup> | 87 | 89974 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F, 2.99%, 07/01/50 | 73 | 53067 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series G, 2.29%, 07/01/51<sup>(a)</sup> | 56 | 34259 |
|  Northeastern University, Series 2020, 2.89%, 10/01/50 | 51 | 33637 |
|  Northwestern University |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017, 3.66%, 12/01/57 | 58 | 44108 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 2.64%, 12/01/50 | 85 | 55177 |
|  President and Fellows of Harvard College |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 07/15/46 | 62 | 47186 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.52%, 10/15/50 | 71 | 46092 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 07/15/56 | 121 | 90434 |

---

36 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Education (continued)** |  |  |
|  Rockefeller Foundation, Series 2020, 2.49%, 10/01/50<sup>(a)</sup> | $71 | $44984 |
|  Thomas Jefferson University, 3.85%, 11/01/57 | 72 | 51342 |
|  Trustees of Boston College, 3.13%, 07/01/52<sup>(a)</sup> | 87 | 60299 |
|  Trustees of Boston University, Series CC, 4.06%, 10/01/48 | 35 | 28965 |
|  Trustees of Princeton University<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 03/01/39 | 87 | 94145 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 2.52%, 07/01/50 | 74 | 49238 |
|  Trustees of the University of Pennsylvania<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.61%, 02/15/2119 | 57 | 37714 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 2.40%, 10/01/50 | 52 | 32501 |
|  University of Chicago, Series C, 2.55%, 04/01/50<sup>(a)</sup> | 73 | 48631 |
|  University of Miami, Series 2022, 4.06%, 04/01/52<sup>(a)</sup> | 67 | 54598 |
|  University of Notre Dame du Lac, Series 2017, 3.39%, 02/15/48 | 82 | 64115 |
|  University of Southern California |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.81%, 10/01/50 | 71 | 47601 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 21A, 2.95%, 10/01/51<sup>(a)</sup> | 87 | 58316 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 3.23%, 10/01/2120 | 69 | 40009 |
|  Washington University<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 04/15/2122 | 83 | 65015 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022, 3.52%, 04/15/54 | 75 | 58927 |
|  William Marsh Rice University, 3.77%, 05/15/55 | 85 | 68891 |
|  Yale University |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 1.48%, 04/15/30<sup>(a)</sup> | 54 | 43228 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 2.40%, 04/15/50 | 62 | 39357 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2669835 |
| **Electric Utilities — 2.0%** |  |  |
|  AEP Texas, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 06/01/28 | 87 | 81581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/15/32 | 70 | 67049 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 05/15/52 | 70 | 66939 |
|  AEP Transmission Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 12/01/26<sup>(a)</sup> | 87 | 81543 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 06/15/49 | 171 | 133194 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 09/15/49<sup>(a)</sup> | 71 | 49123 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series M, 3.65%, 04/01/50 | 87 | 66355 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series N, 2.75%, 08/15/51<sup>(a)</sup> | 71 | 45020 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series O, 4.50%, 06/15/52<sup>(a)</sup> | 50 | 43977 |
|  AES Corp.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 01/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 151846 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 01/15/31 | 87 | 69210 |
|  Alabama Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 09/01/27<sup>(a)</sup> | 100 | 95813 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.94%, 09/01/32<sup>(a)</sup> | 100 | 91841 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 05/15/38<sup>(a)</sup> | 171 | 181150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 03/01/45<sup>(a)</sup> | 87 | 67591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 01/02/46 | 87 | 72142 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 10/01/49 | 65 | 46824 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 07/15/51<sup>(a)</sup> | 104 | 70612 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20-A, 1.45%, 09/15/30<sup>(a)</sup> | 51 | 39711 |
|  Allegion U.S. Holding Co., Inc., 5.41%, 07/01/32 | 40 | 38733 |
|  Ameren Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/15/24<sup>(a)</sup> | 110 | 105211 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 03/15/27 | 133 | 117009 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/15/31<sup>(a)</sup> | 171 | 151235 |
|  Ameren Illinois Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 09/01/32<sup>(a)</sup> | 340 | 315850 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Electric Utilities (continued)** |  |  |
|  Ameren Illinois Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 03/15/46<sup>(a)</sup> | $87 | $73939 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 03/15/50 | 53 | 37933 |
|  American Electric Power Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.03%, 03/15/24 | 67 | 64600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/01/27<sup>(a)</sup> | 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;102644 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 03/01/30 | 75 | 61621 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 11/01/32<sup>(a)</sup> | 100 | 104412 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series J, 4.30%, 12/01/28<sup>(a)</sup> | 87 | 83086 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series N, 1.00%, 11/01/25<sup>(a)</sup> | 87 | 77699 |
|  Appalachian Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 05/15/44 | 87 | 71632 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series BB, 4.50%, 08/01/32 | 100 | 93239 |
|  Arizona Public Service Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 05/15/25<sup>(a)</sup> | 87 | 83210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 08/15/29 | 87 | 72550 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 09/01/41 | 87 | 76708 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/42 | 171 | 140573 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 08/15/48 | 87 | 66353 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 12/01/49<sup>(a)</sup> | 64 | 43413 |
|  Avista Corp., 4.35%, 06/01/48 | 104 | 86275 |
|  Baltimore Gas and Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 08/15/26<sup>(a)</sup> | 171 | 157668 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 06/15/31 | 81 | 65616 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.35%, 10/01/36 | 87 | 92991 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 08/15/46<sup>(a)</sup> | 121 | 89732 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 09/15/49 | 80 | 56276 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 06/15/50 | 79 | 52205 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 06/01/52<sup>(a)</sup> | 30 | 26495 |
|  Berkshire Hathaway Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/01/25<sup>(a)</sup> | 82 | 80439 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 04/15/25<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;341 | 335751 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/15/28<sup>(a)</sup> | 87 | 80487 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 07/15/30 | 87 | 79264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 05/15/31<sup>(a)</sup> | 146 | 113006 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 04/01/36<sup>(a)</sup> | 87 | 91292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 05/15/37 | 171 | 177413 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 11/15/43<sup>(a)</sup> | 87 | 82780 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/01/45<sup>(a)</sup> | 71 | 61819 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 07/15/48 | 87 | 67104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 01/15/49 | 87 | 74709 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/15/50 | 71 | 58872 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 05/15/51<sup>(a)</sup> | 71 | 46482 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 05/01/53<sup>(a)(d)</sup> | 71 | 61650 |
|  Black Hills Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 01/15/26<sup>(a)</sup> | 70 | 67112 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 10/15/29 | 73 | 61920 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 06/15/30 | 55 | 44147 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 05/01/33 | 71 | 62463 |
|  CenterPoint Energy Houston Electric LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 08/01/42 | 74 | 58383 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/01/48 | 87 | 71215 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sereis AJ, 4.85%, 10/01/52<sup>(a)</sup> | 50 | 47709 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AF, Class AF, 3.35%, 04/01/51<sup>(a)</sup> | 87 | 64023 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AG, Class AG, 3.00%, 03/01/32<sup>(a)</sup> | 70 | 60324 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AH, Class AH, 3.60%, 03/01/52 | 50 | 38389 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series ai, 4.45%, 10/01/32<sup>(a)</sup> | 340 | 327771 |
|  CenterPoint Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/01/24 | 75 | 71999 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 06/01/26<sup>(a)</sup> | 84 | 74475 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Electric Utilities (continued)** |  |  |
|  CenterPoint Energy, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 06/01/31<sup>(a)</sup> | $140 | $115550 |
|  Cleco Corporate Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.74%, 05/01/26<sup>(a)</sup> | 87 | 82137 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 09/15/29 | 87 | 74003 |
|  CMS Energy Corp., 3.45%, 08/15/27 | 171 | 158537 |
|  Commonwealth Edison Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 06/15/26<sup>(a)</sup> | 87 | 80755 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 03/15/36 | 50 | 52112 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/01/45 | 87 | 67647 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 06/15/46 | 130 | 98739 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/50<sup>(a)</sup> | 87 | 59697 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 127, 3.20%, 11/15/49<sup>(a)</sup> | 105 | 74653 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 130, 3.13%, 03/15/51 | 71 | 48990 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 131, 2.75%, 09/01/51 | 87 | 55674 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 133, 3.85%, 03/15/52<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;141 | 112224 |
|  Connecticut Light and Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 3.20%, 03/15/27 | 87 | 81608 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 2.05%, 07/01/31<sup>(a)</sup> | 140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112376 |
|  Consolidated Edison Co. of New York, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 05/15/28<sup>(a)</sup> | 87 | 82614 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 06/15/31<sup>(a)</sup> | 171 | 139795 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/01/43 | 53 | 42405 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 03/15/44 | 87 | 74613 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/01/45 | 87 | 74473 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 06/15/46 | 171 | 132552 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 11/15/59 | 70 | 50318 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 06/15/61 | 130 | 92648 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 12-A, 4.20%, 03/15/42 | 71 | 59421 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20A, 3.35%, 04/01/30<sup>(a)</sup> | 257 | 231136 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20B, 3.95%, 04/01/50<sup>(a)</sup> | 171 | 134118 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.30%, 12/01/56<sup>(a)</sup> | 87 | 69689 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.00%, 11/15/57<sup>(a)</sup> | 130 | 98262 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 4.00%, 12/01/28<sup>(a)</sup> | 87 | 83047 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 4.65%, 12/01/48 | 87 | 75732 |
|  Constellation Energy Generation LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 10/01/39 | 53 | 54060 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/01/41 | 87 | 84415 |
|  Consumers Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 04/15/49<sup>(a)</sup> | 171 | 148508 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 08/15/50 | 75 | 52059 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 08/15/52<sup>(a)</sup> | 66 | 41499 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 09/01/52<sup>(a)</sup> | 25 | 21389 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 05/01/60<sup>(a)</sup> | 181 | 101309 |
|  Dominion Energy South Carolina, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 02/01/41<sup>(a)</sup> | 171 | 167793 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 2.30%, 12/01/31 | 70 | 56456 |
|  Dominion Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.07%, 08/15/24<sup>(c)</sup> | 87 | 83831 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 10/01/25<sup>(a)</sup> | 341 | 332088 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 06/15/38 | 87 | 93189 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 1.45%, 04/15/26 | 70 | 62318 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.35%, 08/15/32<sup>(a)</sup> | 50 | 46478 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 4.85%, 08/15/52<sup>(a)</sup> | 50 | 43182 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 3.38%, 04/01/30 | 257 | 226473 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 2.25%, 08/15/31<sup>(a)</sup> | 82 | 65246 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 3.30%, 04/15/41<sup>(a)</sup> | 75 | 55513 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.90%, 08/01/41 | 50 | 44159 |
|  DTE Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 03/15/24 | 171 | 168077 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/15/45 | 51 | 40384 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Electric Utilities (continued)** |  |  |
|  DTE Electric Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 06/01/46<sup>(a)</sup> | $87 | $67062 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 08/15/47 | 70 | 54720 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 1.90%, 04/01/28<sup>(a)</sup> | 87 | 75601 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 3.00%, 03/01/32<sup>(a)</sup> | 61 | 52590 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 04/01/43 | 53 | 44173 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.05%, 05/15/48<sup>(a)</sup> | 87 | 72300 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.25%, 04/01/51 | 71 | 50796 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.65%, 03/01/52 | 63 | 48679 |
|  DTE Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.22%, 11/01/24<sup>(a)(c)</sup> | 690 | 678234 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 2.53%, 10/01/24<sup>(a)(c)</sup> | 171 | 163454 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 3.40%, 06/15/29 | 120 | 106601 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F, 1.05%, 06/01/25<sup>(a)</sup> | 154 | 139488 |
|  Duke Energy Carolinas LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 08/15/29 | 87 | 74598 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 02/01/30<sup>(a)</sup> | 71 | 60644 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 04/15/31<sup>(a)</sup> | 75 | 62606 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 03/15/32 | 97 | 82055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 06/01/37<sup>(a)</sup> | 87 | 90000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 04/15/38<sup>(a)</sup> | 74 | 77969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 02/15/40<sup>(a)</sup> | 87 | 86095 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 12/15/41<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 147574 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/30/42 | 87 | 71977 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 12/01/47 | 87 | 66184 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/15/48 | 71 | 56800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 04/15/51 | 75 | 54743 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 03/15/52 | 78 | 58252 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 6.00%, 12/01/28<sup>(a)</sup> | 87 | 92246 |
|  Duke Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/15/24<sup>(a)</sup> | 87 | 85449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.90%, 09/15/25 | 243 | 217123 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 09/01/26 | 87 | 80354 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 08/15/27 | 87 | 80276 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 03/15/28<sup>(a)</sup> | 90 | 86600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 06/01/30 | 89 | 73184 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 08/15/32<sup>(a)</sup> | 100 | 93670 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 06/15/41 | 121 | 88029 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 12/15/45<sup>(a)</sup> | 87 | 76593 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/15/47 | 87 | 65688 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 06/15/49 | 87 | 68658 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 08/15/52<sup>(a)</sup> | 100 | 88737 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 2.32%), 3.25%, 01/15/82<sup>(b)</sup> | 109 | 79614 |
|  Duke Energy Florida LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 12/01/29 | 59 | 50422 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 06/15/30 | 82 | 65166 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 12/15/31<sup>(a)</sup> | 141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;115135 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 10/01/46 | 87 | 62482 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 12/15/51 | 65 | 43574 |
|  Duke Energy Indiana LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 05/15/46 | 87 | 66885 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series WWW, 4.90%, 07/15/43<sup>(a)</sup> | 87 | 80386 |
|  Duke Energy Ohio, Inc., 3.70%, 06/15/46 | 87 | 64063 |
|  Duke Energy Progress LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 09/01/28 | 65 | 61063 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 03/15/29<sup>(a)</sup> | 87 | 80085 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/15/31<sup>(a)</sup> | 74 | 58473 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 04/01/32<sup>(a)</sup> | 67 | 59213 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 05/15/42<sup>(a)</sup> | 53 | 44487 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 03/15/43 | 87 | 72862 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 03/30/44 | 74 | 63628 |

---

38 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Electric Utilities (continued)** |  |  |
|  Duke Energy Progress LLC (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 12/01/44<sup>(a)</sup> | $87 | $72472 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 08/15/45 | 87 | 72765 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/15/46 | 87 | 65854 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 08/15/50 | 87 | 52203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 08/15/51 | 74 | 48455 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/01/52 | 55 | 43995 |
|  Edison International<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 11/15/24 | 62 | 59853 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 08/15/25 | 340 | 332674 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/15/28 | 171 | 158635 |
|  El Paso Electric Co., 6.00%, 05/15/35 | 87 | 85324 |
|  Emera U.S. Finance LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.83%, 06/15/24<sup>(a)</sup> | 89 | 83052 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 06/15/26<sup>(a)</sup> | 185 | 173290 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.64%, 06/15/31 | 155 | 121339 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 06/15/46<sup>(a)</sup> | 62 | 47836 |
|  Entergy Arkansas LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/26<sup>(a)</sup> | 65 | 62385 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 06/15/51<sup>(a)</sup> | 75 | 45222 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 06/15/52 | 87 | 60443 |
|  Entergy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.90%, 09/15/25<sup>(a)</sup> | 116 | 103300 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 09/01/26<sup>(a)</sup> | 171 | 158757 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 06/15/28<sup>(a)</sup> | 71 | 60023 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 06/15/30<sup>(a)</sup> | 79 | 66727 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 06/15/31 | 104 | 82605 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 06/15/50 | 71 | 52275 |
|  Entergy Louisiana LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 11/01/24<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;511 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;514044 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.60%, 12/15/30 | 82 | 62992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/15/33 | 87 | 78515 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 09/01/48 | 87 | 71186 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 04/01/50 | 171 | 138868 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 09/15/52<sup>(a)</sup> | 200 | 179456 |
|  Entergy Mississippi LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 06/01/28<sup>(a)</sup> | 87 | 77232 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 06/01/49 | 87 | 66401 |
|  Entergy Texas, Inc., 5.00%, 09/15/52<sup>(a)</sup> | 50 | 45707 |
|  Evergy Kansas Central, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 07/01/26<sup>(a)</sup> | 62 | 57107 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 12/01/45 | 171 | 137238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 09/01/49 | 87 | 60132 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 04/15/50 | 87 | 62963 |
|  Evergy Metro, Inc., 3.65%, 08/15/25 | 53 | 51479 |
|  Evergy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 09/15/24 | 87 | 82595 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 09/15/29 | 87 | 75128 |
|  Eversource Energy |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 06/27/24<sup>(a)</sup> | 340 | 336059 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 03/01/27<sup>(a)</sup> | 67 | 61687 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 03/15/31<sup>(a)</sup> | 87 | 71646 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 03/01/32<sup>(a)</sup> | 67 | 58324 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 01/15/50<sup>(a)</sup> | 71 | 51502 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series H, 3.15%, 01/15/25<sup>(a)</sup> | 66 | 63423 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series M, 3.30%, 01/15/28<sup>(a)</sup> | 257 | 236651 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series Q, 0.80%, 08/15/25 | 140 | 125440 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series R, 1.65%, 08/15/30 | 140 | 108936 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series U, 1.40%, 08/15/26<sup>(a)</sup> | 87 | 76346 |
|  Exelon Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 06/15/25<sup>(a)</sup> | 130 | 126957 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Electric Utilities (continued)** |  |  |
|  Exelon Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 04/15/26 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;123433 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 04/15/30<sup>(a)</sup> | 171 | 158756 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 06/15/45<sup>(a)</sup> | 87 | 80900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 04/15/50 | 87 | 75783 |
|  Florida Power & Light Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 04/01/25<sup>(a)</sup> | 63 | 60321 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 12/01/25 | 87 | 83881 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 02/01/38<sup>(a)</sup> | 50 | 53117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.69%, 03/01/40<sup>(a)</sup> | 87 | 90347 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 02/01/41<sup>(a)</sup> | 87 | 86766 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 02/01/42<sup>(a)</sup> | 87 | 75361 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 10/01/44<sup>(a)</sup> | 130 | 110025 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 12/01/47<sup>(a)</sup> | 171 | 137091 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/01/48 | 87 | 71800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/01/48 | 87 | 73930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.99%, 03/01/49<sup>(a)</sup> | 87 | 72939 |
|  Fortis, Inc., 3.06%, 10/04/26<sup>(a)</sup> | 171 | 158618 |
|  Georgia Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/15/32<sup>(a)</sup> | 90 | 86765 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 03/15/42<sup>(a)</sup> | 121 | 103895 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 05/15/52<sup>(a)</sup> | 90 | 84367 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 2.20%, 09/15/24<sup>(a)</sup> | 171 | 163065 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 2.65%, 09/15/29<sup>(a)</sup> | 171 | 146015 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.70%, 01/30/50 | 171 | 127309 |
|  Indiana Michigan Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 03/15/37<sup>(a)</sup> | 62 | 63907 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 08/15/48<sup>(a)</sup> | 87 | 70543 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K, 4.55%, 03/15/46 | 54 | 45131 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series L, 3.75%, 07/01/47 | 171 | 126921 |
|  Interstate Power and Light Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 12/01/24<sup>(a)</sup> | 87 | 83920 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 09/26/28<sup>(a)</sup> | 75 | 71412 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 09/15/46 | 87 | 63074 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/30/49<sup>(a)</sup> | 78 | 55543 |
|  IPALCO Enterprises, Inc., 4.25%, 05/01/30 | 171 | 151912 |
|  ITC Holdings Corp., 3.25%, 06/30/26 | 171 | 159919 |
|  Kentucky Utilities Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 10/01/45 | 171 | 144646 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 06/01/50 | 75 | 52678 |
|  MidAmerican Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 04/15/29<sup>(a)</sup> | 87 | 81342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 09/15/43 | 87 | 81055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 08/01/48 | 87 | 68264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 07/15/49<sup>(a)</sup> | 107 | 90761 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 04/15/50<sup>(a)</sup> | 87 | 61573 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 08/01/52<sup>(a)</sup> | 75 | 48019 |
|  Mississippi Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 12-A, 4.25%, 03/15/42 | 87 | 70573 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.10%, 07/30/51 | 87 | 55358 |
|  National Rural Utilities Cooperative Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 01/27/25<sup>(a)</sup> | 87 | 83499 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 02/07/25<sup>(a)</sup> | 87 | 81586 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 06/15/25<sup>(a)</sup> | 70 | 67522 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 02/07/28<sup>(a)</sup> | 341 | 315721 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 03/15/30 | 144 | 119882 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 04/15/32 | 87 | 71566 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.02%, 11/01/32<sup>(a)</sup> | 107 | 97229 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 12/15/32 | 270 | 249322 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 01/15/33 | 50 | 52185 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 03/15/49 | 87 | 72454 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Electric Utilities (continued)** |  |  |
|  National Rural Utilities Cooperative Finance Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 1.00%, 10/18/24<sup>(a)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;120255 |
|  Nevada Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series DD, 2.40%, 05/01/30 | 71 | 59520 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series EE, 3.13%, 08/01/50<sup>(a)</sup> | 71 | 47976 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series GG, 5.90%, 05/01/53<sup>(a)</sup> | 50 | 53289 |
|  NextEra Energy Capital Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 06/20/24 | 200 | 197364 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.26%, 09/01/24 | 200 | 197286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 06/20/25 | 200 | 197525 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 01/15/27<sup>(a)</sup> | 154 | 136299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 05/01/27<sup>(a)</sup> | 171 | 161103 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 07/15/27<sup>(a)</sup> | 200 | 196651 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 06/15/28 | 119 | 101597 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 11/01/29 | 86 | 74386 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.44%, 01/15/32<sup>(a)</sup> | 86 | 69394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/15/32<sup>(a)</sup> | 135 | 132400 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/15/52<sup>(a)</sup> | 96 | 62674 |
|  Northern States Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 04/01/31 | 55 | 45665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 08/15/42<sup>(a)</sup> | 70 | 54361 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 08/15/45 | 85 | 69212 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 03/01/50 | 79 | 54033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 04/01/52 | 80 | 56877 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/52 | 69 | 62513 |
|  NSTAR Electric Co., 4.55%, 06/01/52<sup>(a)</sup> | 79 | 71095 |
|  Oglethorpe Power Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/47<sup>(a)(d)</sup> | 61 | 48429 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 10/01/48 | 41 | 35055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 08/01/50 | 87 | 62390 |
|  Ohio Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 04/01/48 | 71 | 57601 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series Q, 1.63%, 01/15/31<sup>(a)</sup> | 76 | 58808 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series R, 2.90%, 10/01/51 | 76 | 49447 |
|  Oklahoma Gas and Electric Co., 3.25%, 04/01/30 | 171 | 149082 |
|  Oncor Electric Delivery Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.55%, 10/01/25<sup>(a)</sup> | 100 | 89253 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 11/15/28 | 62 | 58470 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 05/15/30<sup>(a)</sup> | 171 | 148919 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 09/15/32<sup>(a)(d)</sup> | 75 | 73426 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 09/30/40 | 87 | 86211 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 06/01/42<sup>(a)</sup> | 75 | 74587 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/01/45 | 87 | 69941 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 06/01/49 | 171 | 137449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 09/15/49<sup>(a)</sup> | 86 | 60869 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 11/15/51<sup>(a)</sup> | 74 | 48329 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 09/15/52<sup>(a)(d)</sup> | 200 | 193025 |
|  Pacific Gas and Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 06/08/25 | 100 | 98456 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 01/01/26<sup>(a)</sup> | 341 | 316860 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 06/15/27<sup>(a)</sup> | 100 | 98611 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 08/01/27<sup>(a)</sup> | 102 | 87111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 12/01/27<sup>(a)</sup> | 345 | 304473 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 06/15/28<sup>(a)</sup> | 109 | 94231 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 07/01/28<sup>(a)</sup> | 171 | 151677 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 03/01/29<sup>(a)</sup> | 130 | 116061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 07/01/30 | 341 | 309082 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/01/31<sup>(a)</sup> | 257 | 199403 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 03/01/32<sup>(a)</sup> | 137 | 119575 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Electric Utilities (continued)** |  |  |
|  Pacific Gas and Electric Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 06/15/32<sup>(a)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | $97579 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 07/01/40<sup>(a)</sup> | 341 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;266514 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 08/01/40<sup>(a)</sup> | 154 | 104268 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 06/01/41 | 78 | 57737 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/44<sup>(a)</sup> | 87 | 66562 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 03/15/45 | 74 | 52465 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 07/01/50 | 104 | 80583 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 08/01/50<sup>(a)</sup> | 155 | 96273 |
|  PacifiCorp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/15/35<sup>(a)</sup> | 87 | 85184 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.35%, 07/15/38<sup>(a)</sup> | 257 | 273253 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 02/01/42 | 87 | 71557 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 02/15/50 | 87 | 71341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 06/15/52 | 74 | 48306 |
|  PECO Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 09/15/49 | 69 | 47093 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 03/15/51 | 63 | 43036 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 09/15/51<sup>(a)</sup> | 82 | 53973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 08/15/52<sup>(a)</sup> | 50 | 43980 |
|  Potomac Electric Power Co.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 03/15/24 | 87 | 85519 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 03/15/43 | 87 | 73462 |
|  PPL Electric Utilities Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 07/15/43 | 87 | 79312 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/01/49 | 60 | 40459 |
|  Progress Energy, Inc., 7.75%, 03/01/31<sup>(a)</sup> | 50 | 56646 |
|  Public Service Co. of Colorado |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 06/15/28 | 171 | 162718 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 09/15/42<sup>(a)</sup> | 87 | 68665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 03/15/44 | 75 | 63876 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 06/15/47 | 171 | 134672 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 35, 1.90%, 01/15/31<sup>(a)</sup> | 140 | 112299 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 38, 4.10%, 06/01/32<sup>(a)</sup> | 80 | 75252 |
|  Public Service Co. of Oklahoma |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series J, 2.20%, 08/15/31<sup>(a)</sup> | 87 | 69280 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K, 3.15%, 08/15/51 | 70 | 46398 |
|  Public Service Electric and Gas Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 05/15/29<sup>(a)</sup> | 87 | 78896 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 01/15/30 | 71 | 60909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 08/15/31<sup>(a)</sup> | 141 | 112077 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 05/01/42<sup>(a)</sup> | 50 | 41825 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 09/01/42 | 50 | 39759 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/01/46 | 214 | 169418 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 05/01/49 | 87 | 68836 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 01/01/50 | 71 | 49647 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/51 | 71 | 48326 |
|  Public Service Enterprise Group, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 06/15/24 | 171 | 165140 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.80%, 08/15/25 | 341 | 305610 |
|  Puget Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 05/15/25<sup>(a)</sup> | 87 | 82748 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 06/15/28 | 71 | 60412 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 06/15/30 | 87 | 77688 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.22%, 03/15/32<sup>(a)</sup> | 61 | 54134 |
|  Puget Sound Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 03/15/40 | 87 | 87149 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.22%, 06/15/48 | 87 | 70479 |
|  San Diego Gas & Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 05/15/48 | 171 | 142562 |

---

40 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Electric Utilities (continued)** |  |  |
|  San Diego Gas & Electric Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series VVV, 1.70%, 10/01/30 | $87 | $68794 |
|  Sempra Energy |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 04/01/25<sup>(a)</sup> | 60 | 57537 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 02/01/28<sup>(a)</sup> | 341 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;316482 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/01/29 | 86 | 78387 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 02/01/38 | 171 | 140228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/01/48<sup>(a)</sup> | 171 | 133256 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 2.87%), 4.13%, 04/01/52<sup>(b)</sup> | 87 | 67367 |
|  Sierra Pacific Power Co., 2.60%, 05/01/26 | 214 | 198737 |
|  Southern California Edison Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 11/01/27<sup>(a)</sup> | 50 | 51464 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 06/01/30<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 140828 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/34<sup>(a)</sup> | 257 | 268383 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/15/40<sup>(a)</sup> | 50 | 48120 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/01/40 | 171 | 146018 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 10/01/43 | 62 | 53590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/01/47<sup>(a)</sup> | 171 | 133632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 02/01/50<sup>(a)</sup> | 71 | 51853 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 02/01/52 | 70 | 49800 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 08-A, 5.95%, 02/01/38 | 87 | 87761 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 4.88%, 03/01/49 | 87 | 76501 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.20%, 06/01/25<sup>(a)</sup> | 59 | 57904 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 3.60%, 02/01/45 | 87 | 62409 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 4.70%, 06/01/27 | 65 | 63648 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 3.70%, 08/01/25 | 341 | 329911 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series G, 2.50%, 06/01/31<sup>(a)</sup> | 166 | 136786 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series H, 3.65%, 06/01/51 | 76 | 55238 |
|  Southern Co.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 10/06/25 | 100 | 100647 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 07/01/26 | 87 | 81806 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 07/01/46 | 130 | 108419 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, (5 year CMT + 3.73%), 4.00%, 01/15/51<sup>(b)</sup> | 171 | 155610 |
|  Southern Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/15/43 | 87 | 78422 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F, 4.95%, 12/15/46 | 171 | 145715 |
|  Southwestern Electric Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/01/51 | 71 | 46675 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series M, 4.10%, 09/15/28 | 171 | 162072 |
|  Southwestern Public Service Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 08/15/47 | 87 | 65324 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 06/15/49 | 71 | 54329 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 8, 3.15%, 05/01/50 | 71 | 48968 |
|  Tampa Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 06/15/42<sup>(a)</sup> | 87 | 70700 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 06/15/48 | 71 | 57423 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 06/15/49 | 64 | 52804 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 06/15/50 | 80 | 57868 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/15/52<sup>(a)</sup> | 35 | 31928 |
|  Toledo Edison Co., 6.15%, 05/15/37 | 74 | 76542 |
|  Tucson Electric Power Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/15/32<sup>(a)</sup> | 87 | 73884 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 12/01/48 | 87 | 74416 |
|  Union Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 06/15/27<sup>(a)</sup> | 171 | 159187 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 03/15/32<sup>(a)</sup> | 171 | 135155 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/01/48 | 171 | 137650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/01/49 | 87 | 61559 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Electric Utilities (continued)** |  |  |  |  |
|  Virginia Electric and Power Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 11/15/31 | $| 87 | $| 70016 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 03/30/32<sup>(a)</sup> |  | 70 |  | 56556 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/15/43<sup>(a)</sup> |  | 87 |  | 70348 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 02/15/44 |  | 112 |  | 96022 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 12/01/48 |  | 81 |  | 70156 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 12/01/49 |  | 71 |  | 50706 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 11/15/51<sup>(a)</sup> |  | 87 |  | 57169 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 3.15%, 01/15/26<sup>(a)</sup> |  | 97 |  | 92244 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 3.50%, 03/15/27<sup>(a)</sup> |  | 130 |  | 122855 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 3.80%, 04/01/28 |  | 87 |  | 81962 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 2.88%, 07/15/29<sup>(a)</sup> |  | 60 |  | 52825 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 6.00%, 05/15/37<sup>(a)</sup> |  | 87 |  | 89991 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.75%, 05/15/27<sup>(a)</sup> |  | 78 |  | 74437 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 6.00%, 01/15/36<sup>(a)</sup> |  | 171 |  | 175887 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.80%, 09/15/47 |  | 87 |  | 66505 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.00%, 11/15/46 |  | 75 |  | 58817 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.63%, 05/15/52<sup>(a)</sup> |  | 61 |  | 53233 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 4.65%, 08/15/43 |  | 87 |  | 76381 |
|  WEC Energy Group, Inc., 5.15%, 10/01/27<sup>(a)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 |  | 101067 |
|  Wisconsin Electric Power Co.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 06/15/28 |  | 86 |  | 73213 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 09/30/32 |  | 80 |  | 78387 |
|  Wisconsin Power and Light Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 07/01/29 |  | 171 |  | 150784 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 09/16/31<sup>(a)</sup> |  | 66 |  | 51776 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 09/01/32<sup>(a)</sup> |  | 100 |  | 91519 |
|  Wisconsin Public Service Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 09/01/49 |  | 109 |  | 75988 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 12/01/51 |  | 82 |  | 52437 |
|  Xcel Energy, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 06/01/25 |  | 74 |  | 71026 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 12/01/26<sup>(a)</sup> |  | 87 |  | 81702 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 03/15/27 |  | 87 |  | 76209 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/15/28<sup>(a)</sup> |  | 171 |  | 163667 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 12/01/29 |  | 70 |  | 59764 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 11/15/31 |  | 71 |  | 56721 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 06/01/32<sup>(a)</sup> |  | 83 |  | 79268 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 12/01/49<sup>(a)</sup> |  | 70 |  | 51053 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43976828 |
| **Electrical Equipment — 0.0%** |  |  |  |  |
|  Eaton Corp.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 03/15/33 |  | 100 |  | 92962 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 08/23/52 |  | 60 |  | 54285 |
|  Tyco Electronics Group SA |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 08/01/24 |  | 75 |  | 73370 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/04/32<sup>(a)</sup> |  | 60 |  | 49468 |
|  Vontier Corp., 1.80%, 04/01/26 |  | 104 |  | 87885 |
|  |  |  |  | 357970 |
| **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** |
|  Amphenol Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 02/15/30 |  | 171 |  | 145959 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 09/15/31 |  | 82 |  | 64962 |
|  Arrow Electronics, Inc.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/01/25 |  | 87 |  | 83967 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 02/15/32 |  | 71 |  | 55979 |
|  Avnet, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/15/31 |  | 87 |  | 67511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 06/01/32<sup>(a)</sup> |  | 70 |  | 64638 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 41

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** |
|  CDW LLC/CDW Finance Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/01/24 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | $| 129992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.67%, 12/01/26<sup>(a)</sup> |  | 140 |  | 124295 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/01/28<sup>(a)</sup> |  | 71 |  | 65343 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/15/29<sup>(a)</sup> |  | 79 |  | 67284 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.57%, 12/01/31<sup>(a)</sup> |  | 140 |  | 115365 |
|  Corning, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/15/42<sup>(a)</sup> |  | 50 |  | 44504 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 11/15/48<sup>(a)</sup> |  | 50 |  | 45868 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 11/15/49<sup>(a)</sup> |  | 87 |  | 63330 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 11/15/57 |  | 130 |  | 100791 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 11/15/79 |  | 87 |  | 75086 |
|  Honeywell International, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 11/01/24 |  | 50 |  | 50158 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 02/15/28<sup>(a)</sup> |  | 100 |  | 101293 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/15/33 |  | 100 |  | 101854 |
|  Keysight Technologies, Inc., 3.00%, 10/30/29<sup>(a)</sup> |  | 140 |  | 121330 |
|  Rockwell Automation, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 08/15/31 |  | 86 |  | 68087 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 08/15/61 |  | 60 |  | 35575 |
|  TD SYNNEX Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 08/09/26 |  | 171 |  | 145345 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 08/09/31 |  | 87 |  | 65897 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2004413 |
| **Energy Equipment & Services — 0.1%** |  |  |  |  |
|  Baker Hughes Holdings LLC, 5.13%, 09/15/40<sup>(a)</sup> |  | 74 |  | 68231 |
|  Baker Hughes Holdings LLC/Baker Hughes Co.- Obligor, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.06%, 12/15/26 |  | 119 |  | 106656 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.34%, 12/15/27<sup>(a)</sup> |  | 79 |  | 72973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.14%, 11/07/29<sup>(a)</sup> |  | 82 |  | 72342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.08%, 12/15/47<sup>(a)</sup> |  | 257 |  | 200452 |
|  Halliburton Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 11/15/25<sup>(a)</sup> |  | 165 |  | 160488 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 11/15/35<sup>(a)</sup> |  | 171 |  | 158195 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/41 |  | 50 |  | 41701 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 08/01/43 |  | 214 |  | 182533 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/15/45<sup>(a)</sup> |  | 200 |  | 177089 |
|  NOV, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 12/01/29 |  | 171 |  | 150298 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 12/01/42 |  | 53 |  | 36951 |
|  |  |  |  | 1427909 |
| **Environmental, Maintenance & Security Service — 0.1%** | **Environmental, Maintenance & Security Service — 0.1%** | **Environmental, Maintenance & Security Service — 0.1%** | **Environmental, Maintenance & Security Service — 0.1%** | **Environmental, Maintenance & Security Service — 0.1%** |
|  Nature Conservancy, Series A, 3.96%, 03/01/52<sup>(a)</sup> |  | 75 |  | 59926 |
|  Republic Services, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 08/15/24 |  | 72 |  | 68997 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 03/15/25<sup>(a)</sup> |  | 87 |  | 83421 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 07/01/26<sup>(a)</sup> |  | 85 |  | 79178 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 05/15/28<sup>(a)</sup> |  | 300 |  | 284963 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 02/15/31 |  | 153 |  | 117951 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 02/15/32<sup>(a)</sup> |  | 171 |  | 131272 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 03/15/33<sup>(a)</sup> |  | 257 |  | 204958 |
|  Waste Connections, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 01/15/32 |  | 171 |  | 135656 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 06/01/32 |  | 73 |  | 62622 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 01/15/33 |  | 100 |  | 92875 |
|  Waste Management, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 11/15/25<sup>(a)</sup> |  | 171 |  | 152895 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 11/15/27<sup>(a)</sup> |  | 171 |  | 159510 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Environmental, Maintenance & Security Service (continued)** | **Environmental, Maintenance & Security Service (continued)** | **Environmental, Maintenance & Security Service (continued)** | **Environmental, Maintenance & Security Service (continued)** | **Environmental, Maintenance & Security Service (continued)** |
|  Waste Management, Inc. (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 06/01/29 | $| 86 | $| 72775 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 03/15/31<sup>(a)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 |  | 133695 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 06/01/41 |  | 100 |  | 74216 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 07/15/49<sup>(a)</sup> |  | 87 |  | 75471 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1990381 |
| **Equity Real Estate Investment Trusts (REITs) — 0.9%** | **Equity Real Estate Investment Trusts (REITs) — 0.9%** | **Equity Real Estate Investment Trusts (REITs) — 0.9%** | **Equity Real Estate Investment Trusts (REITs) — 0.9%** | **Equity Real Estate Investment Trusts (REITs) — 0.9%** |
|  Alexandria Real Estate Equities, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 01/15/26<sup>(a)</sup> |  | 130 |  | 126629 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 01/15/27<sup>(a)</sup> |  | 87 |  | 83119 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 08/15/31<sup>(a)</sup> |  | 141 |  | 123052 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 05/18/32<sup>(a)</sup> |  | 73 |  | 55897 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 02/01/33<sup>(a)</sup> |  | 102 |  | 75842 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 03/15/34<sup>(a)</sup> |  | 52 |  | 42146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 04/15/49 |  | 87 |  | 73662 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/18/51<sup>(a)</sup> |  | 70 |  | 44257 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 03/15/52<sup>(a)</sup> |  | 100 |  | 71262 |
|  American Homes 4 Rent LP |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 02/15/29 |  | 171 |  | 161610 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 07/15/31<sup>(a)</sup> |  | 35 |  | 26996 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 07/15/51 |  | 25 |  | 15557 |
|  American Tower Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.60%, 01/15/24 |  | 105 |  | 100086 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 05/15/24 |  | 341 |  | 331827 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 01/15/25<sup>(a)</sup> |  | 87 |  | 82977 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 03/15/25<sup>(a)</sup> |  | 102 |  | 95959 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 02/15/26<sup>(a)</sup> |  | 30 |  | 29233 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.60%, 04/15/26<sup>(a)</sup> |  | 89 |  | 79129 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 09/15/26<sup>(a)</sup> |  | 64 |  | 55843 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 10/15/26<sup>(a)</sup> |  | 87 |  | 81341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 01/15/27<sup>(a)</sup> |  | 76 |  | 68895 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 03/15/27<sup>(a)</sup> |  | 69 |  | 64445 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/15/29 |  | 87 |  | 80202 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 08/15/29<sup>(a)</sup> |  | 87 |  | 78924 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 01/15/30<sup>(a)</sup> |  | 93 |  | 78759 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 06/15/30 |  | 141 |  | 111608 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 04/15/31<sup>(a)</sup> |  | 104 |  | 84651 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 09/15/31 |  | 124 |  | 96394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 03/15/32<sup>(a)</sup> |  | 79 |  | 70452 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/15/49 |  | 75 |  | 53196 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 06/15/50 |  | 82 |  | 51598 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 01/15/51 |  | 100 |  | 61911 |
|  AvalonBay Communities, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 06/01/25<sup>(a)</sup> |  | 74 |  | 71261 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 01/15/28<sup>(a)</sup> |  | 191 |  | 174591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 12/01/28 |  | 104 |  | 87018 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 06/01/29 |  | 64 |  | 57287 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 01/15/32<sup>(a)</sup> |  | 130 |  | 102018 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 10/15/46 |  | 87 |  | 66614 |
|  Boston Properties LP |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 01/15/25<sup>(a)</sup> |  | 171 |  | 163555 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 02/01/26<sup>(a)</sup> |  | 67 |  | 63509 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/01/28<sup>(a)</sup> |  | 171 |  | 158523 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 03/15/30 |  | 83 |  | 67845 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 01/30/31<sup>(a)</sup> |  | 171 |  | 141362 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 04/01/32<sup>(a)</sup> |  | 130 |  | 98833 |
|  Brandywine Operating Partnership LP, 4.55%, 10/01/29 |  | 87 |  | 72732 |
|  Brixmor Operating Partnership LP 3.65%, 06/15/24<sup>(a)</sup> |  | 130 |  | 125997 |

---

42 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** |
|  Brixmor Operating Partnership LP (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/15/26 | $87 | $82033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 05/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214 | 191329 |
|  Broadstone Net Lease LLC, 2.60%, 09/15/31 | 100 | 74936 |
|  Camden Property Trust, 2.80%, 05/15/30<sup>(a)</sup> | 257 | 221130 |
|  Corporate Office Properties LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 01/15/29<sup>(a)</sup> | 70 | 53683 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 04/15/31 | 50 | 37420 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 12/01/33 | 87 | 61706 |
|  Crown Castle, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 06/15/26<sup>(a)</sup> | 71 | 67509 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.05%, 07/15/26<sup>(a)</sup> | 341 | 294625 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/01/27 | 171 | 163074 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 03/15/27<sup>(a)</sup> | 70 | 63669 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 02/15/28 | 341 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;316914 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 01/15/31<sup>(a)</sup> | 171 | 137182 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 04/01/41<sup>(a)</sup> | 141 | 96594 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/49<sup>(a)</sup> | 102 | 77052 |
|  CubeSmart LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/15/30 | 100 | 83219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 02/15/31 | 87 | 65543 |
|  Digital Realty Trust LP<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 08/15/27 | 171 | 158680 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 01/15/28 | 285 | 286884 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 07/01/29 | 130 | 116114 |
|  EPR Properties |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/25<sup>(a)</sup> | 70 | 66402 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 12/15/26 | 75 | 67389 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/27<sup>(a)</sup> | 75 | 65645 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 04/15/28 | 75 | 63988 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 08/15/29 | 75 | 58721 |
|  Equinix, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 11/18/24<sup>(a)</sup> | 144 | 137130 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 07/15/25 | 82 | 74146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 09/15/25 | 171 | 152920 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 05/15/26 | 70 | 61539 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 11/18/26 | 71 | 64894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.55%, 03/15/28 | 144 | 119018 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 05/15/28 | 67 | 56558 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 11/18/29<sup>(a)</sup> | 81 | 70504 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 07/15/30<sup>(a)</sup> | 87 | 69212 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 05/15/31 | 152 | 122131 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 07/15/50<sup>(a)</sup> | 71 | 44578 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 02/15/52 | 140 | 95356 |
|  ERP Operating LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 08/01/27<sup>(a)</sup> | 87 | 79670 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/01/28<sup>(a)</sup> | 171 | 157574 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 07/01/29<sup>(a)</sup> | 128 | 111848 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/15/30 | 72 | 60058 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 08/01/31<sup>(a)</sup> | 76 | 59109 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/45 | 87 | 73132 |
|  Essex Portfolio LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 05/01/24 | 74 | 72454 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/01/29<sup>(a)</sup> | 71 | 64704 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/15/30 | 70 | 59197 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 01/15/31 | 90 | 67149 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 06/15/31 | 60 | 47375 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 09/01/50<sup>(a)</sup> | 71 | 39951 |
|  Extra Space Storage LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 06/01/31 | 87 | 68057 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 03/15/32 | 70 | 52969 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** |
|  Federal Realty Investment Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 07/15/27 | $87 | $79954 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;119786 |
|  GLP Capital LP/GLP Financing II, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 09/01/24 | 75 | 71875 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/15/30 | 169 | 148013 |
|  Healthcare Realty Holdings LP, 3.10%, 02/15/30<sup>(a)</sup>  | 171 | 142779 |
|  Healthpeak Properties, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 02/01/25<sup>(a)</sup> | 31 | 29825 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/01/25<sup>(a)</sup> | 87 | 84722 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.35%, 02/01/27 | 62 | 53668 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 12/01/28 | 75 | 62871 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 07/15/29 | 57 | 50726 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/15/30<sup>(a)</sup> | 92 | 79119 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 01/15/31 | 90 | 75216 |
|  Highwoods Realty LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/15/28 | 87 | 78575 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 02/15/30<sup>(a)</sup> | 87 | 69297 |
|  Host Hotels & Resorts LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 4.00%, 06/15/25<sup>(a)</sup> | 67 | 64381 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series H, 3.38%, 12/15/29<sup>(a)</sup> | 171 | 142952 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series J, 2.90%, 12/15/31 | 71 | 54312 |
|  Hudson Pacific Properties LP, 4.65%, 04/01/29<sup>(a)</sup> | 171 | 146094 |
|  Invitation Homes Operating Partnership LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 11/15/28<sup>(a)</sup> | 79 | 65324 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/15/31<sup>(a)</sup> | 70 | 51730 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 01/15/34 | 87 | 63427 |
|  Kilroy Realty LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 11/15/32 | 67 | 47573 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 11/15/33<sup>(a)</sup> | 71 | 49261 |
|  Kimco Realty Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 02/01/25 | 62 | 59409 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 10/01/26 | 87 | 79732 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 12/01/31 | 87 | 66793 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 02/01/33<sup>(a)</sup> | 25 | 22863 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 09/01/47 | 62 | 47753 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/01/49 | 87 | 59388 |
|  Life Storage LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/15/29 | 21 | 18810 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 10/15/30 | 69 | 53604 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 10/15/31 | 75 | 57697 |
|  Mid-America Apartments LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.10%, 09/15/26 | 67 | 57942 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 06/01/27<sup>(a)</sup> | 87 | 82429 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/15/29<sup>(a)</sup> | 87 | 81657 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 02/15/31 | 69 | 53797 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 09/15/51<sup>(a)</sup> | 66 | 42064 |
|  National Retail Properties, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 04/15/50 | 171 | 104858 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 04/15/52 | 82 | 48795 |
|  Omega Healthcare Investors, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/27<sup>(a)</sup> | 87 | 81470 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/28<sup>(a)</sup> | 87 | 80165 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 10/01/29<sup>(a)</sup> | 104 | 85320 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/15/33 | 71 | 51331 |
|  Physicians Realty LP, 2.63%, 11/01/31 | 87 | 67907 |
|  Piedmont Operating Partnership LP, 3.15%, 08/15/30<sup>(a)</sup> | 87 | 66175 |
|  Prologis LP, 4.63%, 01/15/33<sup>(a)</sup> | 135 | 130689 |
|  Public Storage<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 11/09/26 | 138 | 122644 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 43

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** |
|  Public Storage<sup>(a)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 05/01/28 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;207 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;177576 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 11/09/28 | 133 | 113451 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 11/09/31 | 87 | 69769 |
|  Rayonier LP, 2.75%, 05/17/31 | 124 | 99617 |
|  Realty Income Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 03/15/26<sup>(a)</sup> | 100 | 86916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 10/15/26<sup>(a)</sup> | 171 | 166213 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/15/27<sup>(a)</sup> | 171 | 158081 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/15/27<sup>(a)</sup> | 87 | 82942 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 01/15/28 | 87 | 80111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/15/29 | 48 | 42751 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 12/15/29<sup>(a)</sup> | 87 | 75748 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 01/15/31 | 116 | 100591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 03/15/33<sup>(a)</sup> | 72 | 51644 |
|  Regency Centers LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 09/15/29 | 71 | 59591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 06/15/30 | 87 | 75892 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 02/01/47 | 87 | 66818 |
|  Sabra Health Care LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 10/15/29<sup>(a)</sup> | 50 | 41830 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 12/01/31 | 87 | 64734 |
|  Safehold Operating Partnership LP, 2.80%, 06/15/31<sup>(a)</sup> | 60 | 46047 |
|  Simon Property Group LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 09/13/24<sup>(a)</sup> | 178 | 169062 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 10/01/24<sup>(a)</sup> | 87 | 84413 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 01/15/26 | 257 | 243870 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 01/15/27<sup>(a)</sup> | 121 | 105605 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 06/15/27 | 130 | 121145 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 09/13/29<sup>(a)</sup> | 87 | 72635 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 07/15/30<sup>(a)</sup> | 171 | 142218 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 01/15/32<sup>(a)</sup> | 121 | 94113 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/15/42 | 74 | 63455 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/01/44 | 87 | 68660 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/30/46 | 87 | 69476 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 09/13/49 | 114 | 75457 |
|  SITE Centers Corp., 4.25%, 02/01/26 | 87 | 81941 |
|  Spirit Realty LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 01/15/27 | 171 | 151608 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/15/29<sup>(a)</sup> | 75 | 65092 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 01/15/30<sup>(a)</sup> | 87 | 72478 |
|  STORE Capital Corp., 2.70%, 12/01/31 | 87 | 63870 |
|  Sun Communities Operating LP<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 11/01/28 | 79 | 65766 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 07/15/31 | 128 | 101033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 04/15/32 | 69 | 60770 |
|  Tanger Properties LP, 3.88%, 07/15/27 | 171 | 155987 |
|  UDR, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 01/26/29<sup>(a)</sup> | 171 | 159824 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 01/15/30 | 87 | 75479 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 08/15/31<sup>(a)</sup> | 87 | 72546 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 03/15/33 | 87 | 61939 |
|  Ventas Realty LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/15/24 | 171 | 166326 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 01/15/25 | 112 | 105968 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 01/15/26 | 214 | 207568 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/15/26<sup>(a)</sup> | 87 | 80357 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/01/28 | 257 | 237627 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/15/30<sup>(a)</sup> | 50 | 41946 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** |
|  Ventas Realty LP (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/01/31<sup>(a)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;121 | $94951 |
|  VICI Properties LP<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 05/15/25 | 71 | 68858 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/28 | 117 | 110994 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 02/15/30 | 105 | 99951 |
|  Vornado Realty LP, 3.50%, 01/15/25<sup>(a)</sup> | 87 | 81163 |
|  Welltower, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/15/24 | 87 | 85137 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/01/25<sup>(a)</sup> | 214 | 208445 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/01/26<sup>(a)</sup> | 62 | 59954 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 01/15/29 | 108 | 87716 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/15/29 | 171 | 156961 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 01/15/30<sup>(a)</sup> | 171 | 144325 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 01/15/31 | 100 | 80001 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 01/15/32<sup>(a)</sup> | 87 | 68025 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 06/15/32<sup>(a)</sup> | 79 | 67038 |
|  Weyerhaeuser Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/29 | 171 | 156104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 03/15/32 | 80 | 88431 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 03/09/33 | 90 | 75215 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/09/52 | 55 | 41503 |
|  WP Carey, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 07/15/29 | 82 | 73658 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 02/01/32 | 118 | 92206 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19555242 |
| **Food & Staples Retailing — 0.5%** |  |  |
|  Campbell Soup Co.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 03/19/25 | 87 | 83665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 03/15/48 | 130 | 114660 |
|  Conagra Brands, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 05/01/24<sup>(a)</sup> | 171 | 168645 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 11/01/25 | 171 | 168490 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 11/01/27<sup>(a)</sup> | 77 | 64145 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 11/01/38 | 171 | 161024 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 11/01/48<sup>(a)</sup> | 87 | 80390 |
|  Costco Wholesale Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/18/27<sup>(a)</sup> | 257 | 241535 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.60%, 04/20/30<sup>(a)</sup> | 257 | 210552 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 04/20/32 | 87 | 68779 |
|  Dollar General Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/01/27<sup>(a)</sup> | 70 | 68703 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/01/32<sup>(a)</sup> | 75 | 73982 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 04/03/50 | 100 | 79760 |
|  Dollar Tree, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 05/15/28<sup>(a)</sup> | 171 | 163555 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 12/01/31 | 87 | 70368 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 12/01/51<sup>(a)</sup> | 71 | 47628 |
|  General Mills, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 02/15/24 | 87 | 85471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 02/10/27 | 87 | 82199 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 04/17/28 | 171 | 165243 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 04/15/30 | 171 | 147731 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 10/14/31 | 121 | 97308 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/01/51 | 180 | 123078 |
|  Ingredion, Inc., 3.90%, 06/01/50 | 87 | 63454 |
|  Kellogg Co.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/01/26 | 65 | 61795 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 05/15/28 | 171 | 165918 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 06/01/30 | 141 | 114636 |

---

44 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Food & Staples Retailing (continued)** | **Food & Staples Retailing (continued)** | **Food & Staples Retailing (continued)** |
|  Kellogg Co.<sup>(a)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/46 | $62 | $52826 |
|  Koninklijke Ahold Delhaize NV, 5.70%, 10/01/40 | 73 | 72309 |
|  Kraft Heinz Foods Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 06/01/26<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;206 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;192779 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 05/15/27 | 148 | 141399 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 01/30/29<sup>(a)</sup> | 87 | 85997 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/01/30<sup>(a)</sup> | 79 | 71941 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/01/31 | 87 | 81332 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 03/15/32 | 70 | 75945 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/15/35 | 79 | 75553 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 01/26/39 | 87 | 94383 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 02/09/40<sup>(a)</sup> | 79 | 83530 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/04/42<sup>(a)</sup> | 163 | 147438 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 07/15/45<sup>(a)</sup> | 197 | 181754 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 10/01/49<sup>(a)</sup> | 163 | 141491 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 06/01/50<sup>(a)</sup> | 87 | 83146 |
|  Kroger Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/01/26 | 87 | 83061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 10/15/26<sup>(a)</sup> | 171 | 156954 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 08/01/27<sup>(a)</sup> | 87 | 82197 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/15/29<sup>(a)</sup> | 171 | 164691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 01/15/31<sup>(a)</sup> | 182 | 140315 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 08/01/43<sup>(a)</sup> | 66 | 60741 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 10/15/46 | 87 | 66477 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 01/15/48 | 87 | 75169 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 01/15/49 | 87 | 83007 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 01/15/50<sup>(a)</sup> | 75 | 58220 |
|  McCormick & Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.90%, 02/15/26<sup>(a)</sup> | 67 | 58687 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 02/15/31 | 71 | 54887 |
|  Sysco Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 10/01/25<sup>(a)</sup> | 74 | 71606 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 07/15/26<sup>(a)</sup> | 110 | 103761 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 07/15/27<sup>(a)</sup> | 171 | 158051 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 04/01/30<sup>(a)</sup> | 171 | 176977 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 12/14/31<sup>(a)</sup> | 87 | 69878 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 10/01/45 | 53 | 46703 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/46 | 87 | 72895 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 03/15/48<sup>(a)</sup> | 87 | 71327 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.60%, 04/01/50 | 114 | 124249 |
|  Target Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 07/01/24 | 171 | 167486 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 04/15/25<sup>(a)</sup> | 243 | 230527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/15/26<sup>(a)</sup> | 87 | 81460 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 01/15/27<sup>(a)</sup> | 74 | 67177 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 04/15/29<sup>(a)</sup> | 171 | 158309 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 02/15/30 | 169 | 143454 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 09/15/30 | 199 | 170993 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/32<sup>(a)</sup> | 100 | 97054 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 01/15/38<sup>(a)</sup> | 174 | 202833 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 11/15/47 | 87 | 70877 |
|  Walgreens Boots Alliance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 06/01/26<sup>(a)</sup> | 81 | 77003 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 04/15/30<sup>(a)</sup> | 41 | 35481 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 04/15/50 | 171 | 125795 |
|  Walmart, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 04/22/24<sup>(a)</sup> | 300 | 293890 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 09/09/25<sup>(a)</sup> | 600 | 590873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.05%, 09/17/26<sup>(a)</sup> | 84 | 74387 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Food & Staples Retailing (continued)** | **Food & Staples Retailing (continued)** | **Food & Staples Retailing (continued)** | **Food & Staples Retailing (continued)** | **Food & Staples Retailing (continued)** |
|  Walmart, Inc. (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 09/09/27<sup>(a)</sup> | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | $| 98619 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 09/24/29<sup>(a)</sup> |  | 33 |  | 28895 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 09/22/31<sup>(a)</sup> |  | 166 |  | 135094 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 09/09/32<sup>(a)</sup> |  | 100 |  | 97414 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 08/15/37<sup>(a)</sup> |  | 200 |  | 233750 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 04/01/40 |  | 341 |  | 364128 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 06/29/48<sup>(a)</sup> |  | 82 |  | 72772 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/09/52 |  | 400 |  | 380472 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10533133 |
| **Food Products — 0.2%** |  |  |  |  |
|  Archer-Daniels-Midland Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 08/11/26<sup>(a)</sup> |  | 300 |  | 278187 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 03/01/32<sup>(a)</sup> |  | 67 |  | 57563 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.54%, 03/26/42 |  | 37 |  | 33723 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.02%, 04/16/43 |  | 66 |  | 55653 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 09/15/47<sup>(a)</sup> |  | 171 |  | 138399 |
|  Bunge Ltd. Finance Corp.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 09/25/27 |  | 171 |  | 159673 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 05/14/31 |  | 121 |  | 99307 |
|  Flowers Foods, Inc., 2.40%, 03/15/31<sup>(a)</sup> |  | 60 |  | 48295 |
|  Hershey Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 11/15/24<sup>(a)</sup> |  | 87 |  | 82712 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 11/15/29<sup>(a)</sup> |  | 87 |  | 74723 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 11/15/49 |  | 87 |  | 61600 |
|  Hormel Foods Corp.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 06/03/28 |  | 223 |  | 192523 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 06/03/51 |  | 87 |  | 59926 |
|  J M Smucker Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/25 |  | 214 |  | 207036 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/15/35<sup>(a)</sup> |  | 87 |  | 77759 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 03/15/45<sup>(a)</sup> |  | 87 |  | 70997 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 03/15/50 |  | 70 |  | 47898 |
|  JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.<sup>(d)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 02/01/28<sup>(a)</sup> |  | 100 |  | 94737 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/15/32 |  | 250 |  | 191713 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 04/01/33<sup>(a)</sup> |  | 100 |  | 94927 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 12/01/52<sup>(a)</sup> |  | 250 |  | 237953 |
|  Mondelez International, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 05/04/25 |  | 62 |  | 57373 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 03/17/27 |  | 341 |  | 309138 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 04/13/30 |  | 160 |  | 137913 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 02/04/31 |  | 100 |  | 76887 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 10/15/32 |  | 87 |  | 66006 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 09/04/50<sup>(a)</sup> |  | 70 |  | 43489 |
|  Tyson Foods, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/15/24<sup>(a)</sup> |  | 341 |  | 335506 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 06/02/27 |  | 171 |  | 160279 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 08/15/34<sup>(a)</sup> |  | 70 |  | 66910 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 08/15/44<sup>(a)</sup> |  | 87 |  | 80516 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 06/02/47<sup>(a)</sup> |  | 87 |  | 74444 |
|  |  |  |  | 3773765 |
| **Gas Utilities — 0.0%** |  |  |  |  |
|  Southern California Gas Co., 6.35%, 11/15/52 |  | 20 |  | 21878 |
| **Health Care Equipment & Supplies — 0.3%** | **Health Care Equipment & Supplies — 0.3%** | **Health Care Equipment & Supplies — 0.3%** | **Health Care Equipment & Supplies — 0.3%** | **Health Care Equipment & Supplies — 0.3%** |
|  Abbott Laboratories |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 09/15/25 |  | 45 |  | 44112 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/30/26<sup>(a)</sup> |  | 243 |  | 236567 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 45

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** |
|  Abbott Laboratories (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 01/30/28<sup>(a)</sup> | $92 | $78191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 06/30/30 | 79 | 62754 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 11/30/36<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;384 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;380098 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 05/27/40 | 87 | 88500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 04/15/43 | 87 | 83266 |
|  Baxter International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 08/15/26<sup>(a)</sup> | 127 | 117294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.27%, 12/01/28 | 309 | 263511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 04/01/30<sup>(a)</sup> | 87 | 79208 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 08/15/46 | 87 | 61737 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 12/01/51<sup>(a)</sup> | 79 | 50985 |
|  Becton Dickinson and Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.36%, 06/06/24 | 80 | 78176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.73%, 12/15/24<sup>(a)</sup> | 60 | 58509 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 06/06/27 | 279 | 263606 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.82%, 05/20/30<sup>(a)</sup> | 82 | 70377 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.96%, 02/11/31<sup>(a)</sup> | 185 | 146297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 08/22/32<sup>(a)</sup> | 80 | 74882 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.69%, 12/15/44 | 107 | 95634 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.67%, 06/06/47<sup>(a)</sup> | 87 | 76557 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.79%, 05/20/50<sup>(a)</sup> | 37 | 28393 |
|  Boston Scientific Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 06/01/30<sup>(a)</sup> | 171 | 146066 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 03/01/39 | 130 | 116607 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 03/01/49<sup>(a)</sup> | 93 | 83198 |
|  Danaher Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 09/15/25 | 75 | 72191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 09/15/45<sup>(a)</sup> | 75 | 66540 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 10/01/50<sup>(a)</sup> | 87 | 55482 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 12/10/51<sup>(a)</sup> | 140 | 92506 |
|  DH Europe Finance II Sarl |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 11/15/24<sup>(a)</sup> | 171 | 162930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 11/15/29<sup>(a)</sup> | 79 | 69206 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/15/39<sup>(a)</sup> | 71 | 56599 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 11/15/49 | 117 | 88352 |
|  GE HealthCare Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 11/15/24<sup>(d)</sup> | 175 | 175630 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 11/15/25 | 150 | 150924 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 11/15/27 | 200 | 202340 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 11/22/52 | 100 | 106211 |
|  Koninklijke Philips NV, 5.00%, 03/15/42<sup>(a)</sup> | 87 | 75827 |
|  Medtronic, Inc., 4.38%, 03/15/35<sup>(a)</sup> | 62 | 58601 |
|  MidMichigan Health, Series 2020, 3.41%, 06/01/50 | 47 | 32298 |
|  PerkinElmer, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 09/15/28<sup>(a)</sup> | 90 | 74533 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 09/15/31 | 219 | 171593 |
|  STERIS Irish FinCo UnLtd Co., 2.70%, 03/15/31<sup>(a)</sup>  | 216 | 175066 |
|  Stryker Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 05/15/24<sup>(a)</sup> | 341 | 333001 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 11/01/25<sup>(a)</sup> | 100 | 96622 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/26<sup>(a)</sup> | 87 | 83502 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/15/46 | 214 | 188425 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 06/15/50 | 87 | 58052 |
|  Thermo Fisher Scientific, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 11/21/27 | 65 | 65211 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 10/15/28<sup>(a)</sup> | 67 | 56742 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 10/01/29<sup>(a)</sup> | 168 | 148006 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 10/15/31<sup>(a)</sup> | 87 | 70459 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 11/21/32<sup>(a)</sup> | 95 | 96339 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** |
|  Thermo Fisher Scientific, Inc. (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 10/15/41 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;243 | $| 178837 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 08/15/47 |  | 87 |  | 75671 |
|  Zimmer Biomet Holdings, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 11/24/31<sup>(a)</sup> |  | 189 |  | 153113 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 08/15/45 |  | 87 |  | 68410 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6343744 |
| **Health Care Providers & Services — 0.8%** | **Health Care Providers & Services — 0.8%** | **Health Care Providers & Services — 0.8%** | **Health Care Providers & Services — 0.8%** | **Health Care Providers & Services — 0.8%** |
|  AdventHealth Obligated Group, Series E, 2.80%, 11/15/51<sup>(a)</sup> |  | 73 |  | 46321 |
|  Adventist Health System, 3.63%, 03/01/49 |  | 70 |  | 49573 |
|  Advocate Health & Hospitals Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.27%, 08/15/48 |  | 80 |  | 67918 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.39%, 10/15/49 |  | 79 |  | 56762 |
|  Aetna, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/15/24<sup>(a)</sup> |  | 81 |  | 78681 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 12/15/37 |  | 75 |  | 80445 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/15/42<sup>(a)</sup> |  | 87 |  | 75040 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/15/44<sup>(a)</sup> |  | 76 |  | 66924 |
|  AHS Hospital Corp., Series 2021, 2.78%, 07/01/51<sup>(a)</sup> |  | 82 |  | 51196 |
|  Allina Health System, Series 2021, 2.90%, 11/15/51<sup>(a)</sup> |  | 70 |  | 44533 |
|  AmerisourceBergen Corp.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 12/15/27 |  | 130 |  | 121460 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 05/15/30 |  | 71 |  | 60221 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 03/15/31 |  | 87 |  | 72214 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/01/45 |  | 87 |  | 71384 |
|  Ascension Health |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 11/15/46<sup>(a)</sup> |  | 157 |  | 129730 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 2.53%, 11/15/29 |  | 53 |  | 45427 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.11%, 11/15/39 |  | 52 |  | 39946 |
|  Banner Health |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.91%, 01/01/42<sup>(a)</sup> |  | 76 |  | 55144 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.91%, 01/01/51 |  | 78 |  | 51362 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 3.18%, 01/01/50 |  | 63 |  | 44031 |
|  Baptist Healthcare System Obligated Group, Series 20B, 3.54%, 08/15/50<sup>(a)</sup> |  | 65 |  | 46654 |
|  BayCare Health System, Inc., Series 2020, 3.83%, 11/15/50 |  | 72 |  | 57175 |
|  Baylor Scott & White Holdings<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021, 1.78%, 11/15/30 |  | 63 |  | 48658 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021, 2.84%, 11/15/50 |  | 203 |  | 132302 |
|  Beth Israel Lahey Health, Inc., Series L, 3.08%, 07/01/51 |  | 86 |  | 53010 |
|  BHSH System Obligated Group, Series 19A, 3.49%, 07/15/49 |  | 85 |  | 62855 |
|  Bon Secours Mercy Health, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.46%, 06/01/30<sup>(a)</sup> |  | 70 |  | 62562 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018, 4.30%, 07/01/28<sup>(a)</sup> |  | 64 |  | 60724 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20-2, 3.21%, 06/01/50 |  | 60 |  | 39982 |
|  Cardinal Health, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/15/24<sup>(a)</sup> |  | 87 |  | 84445 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 09/15/25<sup>(a)</sup> |  | 87 |  | 84178 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 03/15/43<sup>(a)</sup> |  | 50 |  | 41072 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.37%, 06/15/47 |  | 87 |  | 68143 |
|  Cedars-Sinai Health System, Series 2021, 2.29%, 08/15/31<sup>(a)</sup> |  | 70 |  | 56139 |
|  Centene Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 07/15/28 |  | 450 |  | 379823 |

---

46 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** |
|  Centene Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/15/29 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;639685 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 03/01/31 | 350 | 273866 |
|  Children's Health System of Texas, 2.51%, 08/15/50 | 71 | 42399 |
|  Children's Hospital Corp., Series 2017, 4.12%, 01/01/47<sup>(a)</sup> | 70 | 59340 |
|  Children's Hospital of Philadelphia, Series 2020, 2.70%, 07/01/50 | 51 | 32546 |
|  CHRISTUS Health, Series C, 4.34%, 07/01/28<sup>(a)</sup> | 55 | 52256 |
|  CommonSpirit Health |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.55%, 10/01/25<sup>(a)</sup> | 64 | 57548 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 10/01/29 | 194 | 168828 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 10/01/30 | 78 | 64336 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.19%, 10/01/49 | 71 | 55226 |
|  Community Health Network, Inc., Series 20-A, 3.10%, 05/01/50 | 75 | 47104 |
|  Cottage Health Obligated Group, Series 2020, 3.30%, 11/01/49<sup>(a)</sup> | 46 | 32266 |
|  Dartmouth-Hitchcock Health, Series B, 4.18%, 08/01/48 | 74 | 57743 |
|  Dignity Health, 5.27%, 11/01/64<sup>(a)</sup> | 74 | 63734 |
|  Duke University Health System, Inc., Series 2017, 3.92%, 06/01/47<sup>(a)</sup> | 61 | 50174 |
|  Elevance Health, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 08/15/24<sup>(a)</sup> | 87 | 84861 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 01/15/25<sup>(a)</sup> | 57 | 54108 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 03/15/26<sup>(a)</sup> | 170 | 152793 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 12/01/27<sup>(a)</sup> | 171 | 161237 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 05/15/30 | 136 | 112505 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 03/15/31 | 121 | 101655 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 05/15/32 | 61 | 56740 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 05/15/42<sup>(a)</sup> | 50 | 45465 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 01/15/44 | 155 | 146076 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 08/15/44 | 62 | 55356 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 12/01/47<sup>(a)</sup> | 171 | 146083 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 03/01/48<sup>(a)</sup> | 130 | 113477 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 05/15/50<sup>(a)</sup> | 146 | 100073 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 03/15/51<sup>(a)</sup> | 170 | 127074 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 05/15/52 | 61 | 52989 |
|  Hackensack Meridian Health, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 2.68%, 09/01/41 | 69 | 47981 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 2.88%, 09/01/50 | 136 | 87911 |
|  Hartford HealthCare Corp., 3.45%, 07/01/54 | 62 | 43294 |
|  HCA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/15/25 | 171 | 170004 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/15/26 | 171 | 168936 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 09/01/26 | 200 | 197775 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 03/15/27<sup>(a)(d)</sup> | 78 | 70916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 02/01/29<sup>(a)</sup> | 250 | 249219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/15/29<sup>(a)</sup> | 130 | 118676 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/01/30<sup>(a)</sup> | 200 | 172495 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 07/15/31 | 171 | 133111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/15/32<sup>(d)</sup> | 100 | 84615 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/15/39<sup>(a)</sup> | 171 | 153008 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 06/15/47<sup>(a)</sup> | 171 | 151869 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/15/49 | 214 | 182266 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 07/15/51 | 155 | 99443 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/15/52<sup>(a)(d)</sup> | 100 | 77830 |
|  Hoag Memorial Hospital Presbyterian, 3.80%, 07/15/52 | 70 | 54492 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** |
|  Humana, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 10/01/24<sup>(a)</sup> | $87 | $85247 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.35%, 02/03/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;132 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;114127 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 03/01/28 | 60 | 61262 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/23/29<sup>(a)</sup> | 62 | 56763 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 08/15/29 | 87 | 76260 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 02/03/32<sup>(a)</sup> | 81 | 63207 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/01/42 | 171 | 149167 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 10/01/44<sup>(a)</sup> | 87 | 78554 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 03/15/47 | 70 | 61438 |
|  Indiana University Health, Inc. Obligated Group, Series 2021, 2.85%, 11/01/51 | 87 | 55938 |
|  Inova Health System Foundation, 4.07%, 05/15/52 | 74 | 61269 |
|  Integris Baptist Medical Center, Inc., Series A, 3.88%, 08/15/50 | 66 | 47699 |
|  Johns Hopkins Health System Corp., 3.84%, 05/15/46<sup>(a)</sup> | 62 | 50096 |
|  Kaiser Foundation Hospitals |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 05/01/27<sup>(a)</sup> | 87 | 81419 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 05/01/47 | 191 | 161818 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019, 3.27%, 11/01/49 | 82 | 59222 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021, 2.81%, 06/01/41<sup>(a)</sup> | 101 | 73181 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021, 3.00%, 06/01/51<sup>(a)</sup> | 116 | 79002 |
|  Mass General Brigham, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017, 3.77%, 07/01/48 | 85 | 66382 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 3.19%, 07/01/49 | 87 | 59885 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 3.34%, 07/01/60<sup>(a)</sup> | 71 | 47180 |
|  Mayo Clinic<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016, 4.13%, 11/15/52 | 75 | 62028 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021, 3.20%, 11/15/61 | 66 | 43908 |
|  McKesson Corp.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/15/24 | 257 | 252609 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 08/15/26 | 155 | 136312 |
|  MedStar Health, Inc., Series 20A, 3.63%, 08/15/49<sup>(a)</sup> | 74 | 53228 |
|  Memorial Health Services, 3.45%, 11/01/49 | 62 | 44977 |
|  Memorial Sloan-Kettering Cancer Center<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/01/42 | 70 | 68126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 07/01/52 | 70 | 58583 |
|  Methodist Hospital, Series 20A, 2.71%, 12/01/50<sup>(a)</sup>  | 77 | 49106 |
|  Montefiore Obligated Group, 4.29%, 09/01/50 | 64 | 38040 |
|  Mount Nittany Medical Center Obligated Group, Series 2022, 3.80%, 11/15/52 | 57 | 43078 |
|  Mount Sinai Hospitals Group, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019, 3.74%, 07/01/49 | 75 | 55334 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 3.39%, 07/01/50 | 66 | 44474 |
|  Nationwide Children's Hospital, Inc., 4.56%, 11/01/52<sup>(a)</sup> | 73 | 64764 |
|  New York and Presbyterian Hospital |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.26%, 08/01/40<sup>(a)</sup> | 87 | 57314 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.02%, 08/01/45 | 53 | 43891 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.61%, 08/01/60<sup>(a)</sup> | 87 | 49237 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019, 3.95%, 12/31/99 | 72 | 49723 |
|  Northwell Healthcare, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.98%, 11/01/46 | 70 | 53642 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.81%, 11/01/49 | 57 | 40669 |
|  Northwell Healthcare, Inc., RB, 4.26%, 11/01/47<sup>(a)</sup> | 70 | 55598 |
|  Novant Health, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.64%, 11/01/36 | 72 | 53066 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.17%, 11/01/51 | 76 | 52488 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.32%, 11/01/61 | 76 | 50179 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 47

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** |
|  Ochsner LSU Health System of North Louisiana, Series 2021, 2.51%, 05/15/31<sup>(a)</sup> | $70 | $51347 |
|  OhioHealth Corp., 2.83%, 11/15/41<sup>(a)</sup> | 59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41968 |
|  Orlando Health Obligated Group |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.09%, 10/01/48 | 29 | 22820 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.33%, 10/01/50 | 67 | 46361 |
|  PeaceHealth Obligated Group |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018, 4.79%, 11/15/48 | 79 | 68321 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 1.38%, 11/15/25 | 24 | 21510 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 3.22%, 11/15/50 | 73 | 47387 |
|  Piedmont Healthcare, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.86%, 01/01/52 | 66 | 41161 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2042, 2.72%, 01/01/42 | 58 | 39601 |
|  Presbyterian Healthcare Services, 4.88%, 08/01/52 | 60 | 56173 |
|  Providence St Joseph Health Obligated Group |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 19A, 2.53%, 10/01/29 | 82 | 69392 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 21A, 2.70%, 10/01/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;156 | 92246 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 3.93%, 10/01/48<sup>(a)</sup> | 77 | 59865 |
|  Queen's Health Systems, 4.81%, 07/01/52<sup>(a)</sup> | 67 | 60790 |
|  Rady Children's Hospital-San Diego, Series 21A, 3.15%, 08/15/51 | 63 | 42794 |
|  RWJ Barnabas Health, Inc., 3.95%, 07/01/46<sup>(a)</sup> | 80 | 65353 |
|  Seattle Children's Hospital, Series 2021, 2.72%, 10/01/50<sup>(a)</sup> | 62 | 39040 |
|  Sentara Healthcare, Series 2021, 2.93%, 11/01/51 | 71 | 46134 |
|  Sharp HealthCare, Series 20B, 2.68%, 08/01/50<sup>(a)</sup>  | 91 | 55598 |
|  Stanford Health Care, Series 2018, 3.80%, 11/15/48<sup>(a)</sup> | 64 | 50810 |
|  Summa Health, 3.51%, 11/15/51 | 70 | 47191 |
|  Sutter Health |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018, 4.09%, 08/15/48<sup>(a)</sup> | 80 | 64683 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20A, 2.29%, 08/15/30 | 66 | 53376 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20A, 3.16%, 08/15/40<sup>(a)</sup> | 62 | 46331 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20A, 3.36%, 08/15/50 | 59 | 39988 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20-A, 1.32%, 08/15/25 | 71 | 64462 |
|  Texas Health Resources, 2.33%, 11/15/50<sup>(a)</sup> | 58 | 33123 |
|  Trinity Health Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019, 3.43%, 12/01/48<sup>(a)</sup> | 73 | 55304 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021, 2.63%, 12/01/40 | 83 | 57586 |
|  UnitedHealth Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 08/15/24<sup>(a)</sup> | 413 | 397139 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/15/24<sup>(a)</sup> | 50 | 50212 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 07/15/25<sup>(a)</sup> | 171 | 167163 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 10/15/25<sup>(a)</sup> | 25 | 25285 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 01/15/26<sup>(a)</sup> | 74 | 67061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 03/15/26<sup>(a)</sup> | 87 | 82782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 05/15/26<sup>(a)</sup> | 171 | 152716 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 01/15/27<sup>(a)</sup> | 87 | 82781 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 04/15/27<sup>(a)</sup> | 171 | 161945 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 06/15/28<sup>(a)</sup> | 171 | 163758 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/15/29<sup>(a)</sup> | 120 | 114600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 08/15/29 | 124 | 110489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 05/15/30<sup>(a)</sup> | 79 | 65181 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 05/15/31<sup>(a)</sup> | 197 | 164172 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 07/15/35<sup>(a)</sup> | 97 | 94040 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 03/15/36<sup>(a)</sup> | 120 | 126574 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 02/15/38<sup>(a)</sup> | 74 | 86797 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 08/15/39<sup>(a)</sup> | 111 | 90719 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 05/15/40 | 75 | 54412 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** |
|  UnitedHealth Group, Inc. (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 02/15/41<sup>(a)</sup> | $| 74 | $| 78117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 05/15/41<sup>(a)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;216 |  | 162308 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/15/41 |  | 104 |  | 95845 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 10/15/42 |  | 53 |  | 44706 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/15/43<sup>(a)</sup> |  | 87 |  | 77146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 07/15/45<sup>(a)</sup> |  | 107 |  | 100198 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 01/15/47 |  | 130 |  | 111161 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/15/47 |  | 171 |  | 146989 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 10/15/47 |  | 87 |  | 69178 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 12/15/48<sup>(a)</sup> |  | 171 |  | 151812 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 08/15/49<sup>(a)</sup> |  | 257 |  | 203370 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 05/15/50<sup>(a)</sup> |  | 221 |  | 149512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/15/51<sup>(a)</sup> |  | 87 |  | 62252 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 02/15/53 |  | 270 |  | 291537 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/15/59 |  | 171 |  | 133774 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 02/15/63 |  | 210 |  | 227879 |
|  WakeMed, Series A, 3.29%, 10/01/52<sup>(a)</sup> |  | 66 |  | 43496 |
|  West Virginia United Health System Obligated Group, Series 2020, 3.13%, 06/01/50<sup>(a)</sup> |  | 60 |  | 38452 |
|  Willis-Knighton Medical Center, Series 2018, 4.81%, 09/01/48<sup>(a)</sup> |  | 80 |  | 70477 |
|  Yale-New Haven Health Services Corp., Series 2020, 2.50%, 07/01/50 |  | 64 |  | 38285 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17201943 |
| **Health Care Services<sup>(a)</sup> — 0.0%** |  |  |  |  |
|  CommonSpirit Health, 6.46%, 11/01/52 |  | 69 |  | 73636 |
|  Elevance Health, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 10/15/25 |  | 40 |  | 40443 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 10/15/32 |  | 100 |  | 102373 |
|  UnitedHealth Group, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 02/15/28 |  | 40 |  | 40889 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 02/15/33 |  | 350 |  | 361091 |
|  |  |  |  | 618432 |
| **Health Care Technology — 0.1%** | **Health Care Technology — 0.1%** | **Health Care Technology — 0.1%** | **Health Care Technology — 0.1%** | **Health Care Technology — 0.1%** |
|  Catholic Health Services of Long Island Obligated Group, Series 2020, 3.37%, 07/01/50<sup>(a)</sup> |  | 80 |  | 54595 |
|  Humana, Inc., 5.88%, 03/01/33 |  | 50 |  | 51615 |
|  Laboratory Corp. of America Holdings |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 09/01/24<sup>(a)</sup> |  | 171 |  | 165695 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 12/01/24 |  | 171 |  | 161711 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 02/01/25 |  | 75 |  | 72631 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.55%, 06/01/26<sup>(a)</sup> |  | 90 |  | 79710 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 09/01/27<sup>(a)</sup> |  | 87 |  | 82348 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 06/01/31<sup>(a)</sup> |  | 189 |  | 157354 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 02/01/45<sup>(a)</sup> |  | 79 |  | 67690 |
|  Quest Diagnostics, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/01/24 |  | 87 |  | 86167 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/30/25<sup>(a)</sup> |  | 65 |  | 62629 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 06/30/29<sup>(a)</sup> |  | 87 |  | 83043 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 06/30/30<sup>(a)</sup> |  | 75 |  | 64779 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 06/30/31<sup>(a)</sup> |  | 71 |  | 59447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 03/30/45<sup>(a)</sup> |  | 87 |  | 73349 |
|  Universal Health Services, Inc.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 09/01/26 |  | 155 |  | 132829 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 10/15/30 |  | 50 |  | 39794 |
|  |  |  |  | 1495386 |

---

48 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Hotels, Restaurants & Leisure — 0.2%** | **Hotels, Restaurants & Leisure — 0.2%** | **Hotels, Restaurants & Leisure — 0.2%** |
|  Choice Hotels International, Inc., 3.70%, 12/01/29<sup>(a)</sup> | $70 | $60959 |
|  GLP Capital LP/GLP Financing II, Inc., 5.25%, 06/01/25<sup>(a)</sup> | 71 | 69794 |
|  Hyatt Hotels Corp.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 09/15/28 | 76 | 69529 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 04/23/30 | 87 | 85106 |
|  Marriott International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/15/27<sup>(a)</sup> | 55 | 54270 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series EE, 5.75%, 05/01/25<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;106 | 106914 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series FF, 4.63%, 06/15/30<sup>(a)</sup> | 171 | 159562 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series GG, 3.50%, 10/15/32 | 171 | 142249 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series R, 3.13%, 06/15/26<sup>(a)</sup> | 171 | 160079 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series X, 4.00%, 04/15/28<sup>(a)</sup> | 171 | 158805 |
|  McDonald's Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/10/24<sup>(a)</sup> | 71 | 69457 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 05/26/25<sup>(a)</sup> | 87 | 84157 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 07/01/25<sup>(a)</sup> | 60 | 58038 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 01/30/26<sup>(a)</sup> | 171 | 166254 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/01/27<sup>(a)</sup> | 171 | 162803 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 07/01/27 | 240 | 227656 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 04/01/28<sup>(a)</sup> | 171 | 163624 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 12/09/35 | 79 | 75551 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.30%, 03/01/38<sup>(a)</sup> | 171 | 186194 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 02/15/42 | 74 | 58960 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 05/26/45<sup>(a)</sup> | 171 | 152557 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 12/09/45 | 171 | 158029 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 03/01/47 | 87 | 75416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 09/01/49<sup>(a)</sup> | 151 | 113588 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 04/01/50<sup>(a)</sup> | 88 | 73215 |
|  Starbucks Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 08/15/25<sup>(a)</sup> | 171 | 167163 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/28<sup>(a)</sup> | 87 | 82819 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 08/15/29<sup>(a)</sup> | 214 | 197191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 11/15/30<sup>(a)</sup> | 140 | 117709 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/14/32<sup>(a)</sup> | 132 | 112545 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 12/01/47<sup>(a)</sup> | 171 | 129768 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 03/12/50<sup>(a)</sup> | 171 | 120611 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/15/50 | 140 | 101011 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3921583 |
| **Household Durables — 0.1%** |  |  |
|  DR Horton, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 10/15/24 | 75 | 71416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 10/15/26<sup>(a)</sup> | 174 | 149633 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 10/15/27<sup>(a)</sup> | 171 | 142739 |
|  Leggett & Platt, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 11/15/24<sup>(a)</sup> | 70 | 67989 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 03/15/29 | 171 | 160494 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/15/51<sup>(a)</sup> | 105 | 73451 |
|  Lennar Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/30/25 | 41 | 40738 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 11/29/27 | 141 | 135926 |
|  MDC Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/15/31 | 70 | 50483 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/43 | 71 | 57683 |
|  PulteGroup, Inc., 7.88%, 06/15/32<sup>(a)</sup> | 171 | 190032 |
|  Toll Brothers Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 11/15/25<sup>(a)</sup> | 74 | 72318 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/15/27 | 75 | 71613 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Household Durables (continued)** |  |  |  |  |
|  Toll Brothers Finance Corp. (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 02/15/28<sup>(a)</sup> | $| 75 | $| 68142 |
|  Whirlpool Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 05/15/31 |  | 86 |  | 68117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/14/32<sup>(a)</sup> |  | 70 |  | 65965 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/46<sup>(a)</sup> |  | 87 |  | 67051 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1553790 |
| **Household Products — 0.0%** |  |  |  |  |
|  Church & Dwight Co., Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 12/15/31 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 |  | 136992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 11/15/32<sup>(a)</sup> |  | 340 |  | 351682 |
|  |  |  |  | 488674 |
| **Industrial Conglomerates — 0.0%** | **Industrial Conglomerates — 0.0%** | **Industrial Conglomerates — 0.0%** | **Industrial Conglomerates — 0.0%** | **Industrial Conglomerates — 0.0%** |
|  Pentair Finance SARL, 5.90%, 07/15/32<sup>(a)</sup> |  | 100 |  | 98007 |
| **Insurance — 0.7%** |  |  |  |  |
|  Aflac, Inc.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 03/15/26 |  | 171 |  | 151501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 10/15/26 |  | 130 |  | 121020 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/49 |  | 87 |  | 77171 |
|  Alleghany Corp.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 05/15/30 |  | 121 |  | 112220 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 08/15/51 |  | 171 |  | 120312 |
|  Allstate Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.28%, 12/15/26<sup>(a)</sup> |  | 130 |  | 123425 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 05/09/35<sup>(a)</sup> |  | 160 |  | 163228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/15/43<sup>(a)</sup> |  | 53 |  | 47277 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 08/10/49 |  | 71 |  | 54926 |
|  American Financial Group, Inc., 4.50%, 06/15/47 |  | 130 |  | 102841 |
|  American International Group, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 02/15/24<sup>(a)</sup> |  | 66 |  | 65293 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 06/30/25<sup>(a)</sup> |  | 114 |  | 107320 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 04/01/26<sup>(a)</sup> |  | 120 |  | 116239 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 07/10/45<sup>(a)</sup> |  | 130 |  | 116685 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 04/01/48 |  | 171 |  | 152485 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 06/30/50<sup>(a)</sup> |  | 87 |  | 73589 |
|  Aon Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/15/28 |  | 171 |  | 164932 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 05/02/29<sup>(a)</sup> |  | 171 |  | 157738 |
|  Aon Corp./Aon Global Holdings PLC |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 05/28/27<sup>(a)</sup> |  | 55 |  | 50520 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 08/23/31 |  | 87 |  | 68789 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 12/02/31 |  | 59 |  | 48156 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/12/32<sup>(a)</sup> |  | 270 |  | 266992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 02/28/52<sup>(a)</sup> |  | 81 |  | 62509 |
|  Aon Global Ltd. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/14/24<sup>(a)</sup> |  | 171 |  | 166894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 12/15/25 |  | 104 |  | 101393 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 06/14/44 |  | 87 |  | 74278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/15/45 |  | 87 |  | 75361 |
|  Arch Capital Finance LLC, 4.01%, 12/15/26<sup>(a)</sup> |  | 171 |  | 163062 |
|  Arch Capital Group U.S., Inc., 5.14%, 11/01/43 |  | 66 |  | 59044 |
|  Arthur J Gallagher & Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 11/09/31<sup>(a)</sup> |  | 87 |  | 68243 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 05/20/51 |  | 87 |  | 60701 |
|  Assured Guaranty U.S. Holdings, Inc., 5.00%, 07/01/24<sup>(a)</sup> |  | 82 |  | 81868 |
|  Athene Holding Ltd. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.15%, 04/03/30<sup>(a)</sup> |  | 100 |  | 100888 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 49

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Insurance (continued)** |  |  |
|  Athene Holding Ltd. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.65%, 02/01/33 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | $98888 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 05/25/51 | 66 | 44534 |
|  Berkshire Hathaway Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 03/15/27<sup>(a)</sup> | 133 | 122784 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 03/12/30 | 87 | 72954 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 10/15/30<sup>(a)</sup> | 155 | 123276 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 05/15/42<sup>(a)</sup> | 74 | 67490 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 05/15/43 | 87 | 77991 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 01/15/49<sup>(a)</sup> | 171 | 152225 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 10/15/50<sup>(a)</sup> | 171 | 114208 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/15/51<sup>(a)</sup> | 132 | 82501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 03/15/52<sup>(a)</sup> | 400 | 318819 |
|  Berkshire Hathaway, Inc., 3.13%, 03/15/26 | 240 | 229983 |
|  Brighthouse Financial, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 05/15/30<sup>(a)</sup> | 71 | 67526 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 06/22/47 | 103 | 75345 |
|  Brown & Brown, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 03/15/31<sup>(a)</sup> | 171 | 130103 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 03/17/52 | 65 | 52762 |
|  Chubb Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 05/11/37<sup>(a)</sup> | 50 | 52905 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 1, 6.50%, 05/15/38 | 74 | 82341 |
|  Chubb INA Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 05/15/24<sup>(a)</sup> | 87 | 85148 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 03/15/25 | 171 | 165118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 05/03/26<sup>(a)</sup> | 138 | 132102 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 09/15/30 | 346 | 268582 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 03/13/43<sup>(a)</sup> | 53 | 44686 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 12/15/51 | 87 | 57491 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 12/15/61 | 59 | 38230 |
|  CNA Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/01/26<sup>(a)</sup> | 62 | 60944 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 05/01/29 | 87 | 79189 |
|  Corebridge Financial, Inc.<sup>(d)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/04/25<sup>(a)</sup> | 75 | 71901 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 04/05/27<sup>(a)</sup> | 75 | 69914 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 04/05/29 | 75 | 68311 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 04/05/32<sup>(a)</sup> | 75 | 65503 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 04/05/42 | 75 | 61526 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 04/05/52<sup>(a)</sup> | 75 | 59444 |
|  Enstar Group Ltd., 3.10%, 09/01/31 | 124 | 90549 |
|  Equitable Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 04/20/28<sup>(a)</sup> | 171 | 162923 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/20/48 | 130 | 113825 |
|  Everest Reinsurance Holdings, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 10/15/50 | 87 | 58886 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 10/15/52 | 155 | 96749 |
|  Fairfax Financial Holdings Ltd., 4.63%, 04/29/30<sup>(a)</sup>  | 171 | 155118 |
|  Fidelity National Financial, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 06/15/30<sup>(a)</sup> | 87 | 73435 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 09/17/51 | 58 | 33687 |
|  First American Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 11/15/24 | 70 | 68846 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 08/15/31<sup>(a)</sup> | 78 | 56997 |
|  Globe Life, Inc., 2.15%, 08/15/30<sup>(a)</sup> | 40 | 31672 |
|  Hanover Insurance Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/15/26 | 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;101756 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/01/30 | 87 | 66835 |
|  Hartford Financial Services Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 08/19/29<sup>(a)</sup> | 87 | 74479 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Insurance (continued)** |  |  |
|  Hartford Financial Services Group, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 10/01/41 | $74 | $74692 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 09/15/51 | 71 | 44629 |
|  Jackson Financial, Inc., 3.13%, 11/23/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;131068 |
|  Kemper Corp., 3.80%, 02/23/32<sup>(a)</sup> | 74 | 61840 |
|  Lincoln National Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 03/09/25<sup>(a)</sup> | 65 | 62480 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/01/28<sup>(a)</sup> | 257 | 237118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.30%, 10/09/37<sup>(a)</sup> | 87 | 85040 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 03/01/48 | 70 | 52579 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 06/15/50<sup>(a)</sup> | 87 | 64754 |
|  Loews Corp.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/01/26 | 87 | 83980 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 05/15/30 | 114 | 100535 |
|  Manulife Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 03/04/26<sup>(a)</sup> | 87 | 84722 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.48%, 05/19/27<sup>(a)</sup> | 171 | 153469 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/16/32<sup>(a)</sup> | 67 | 59710 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 03/04/46 | 71 | 68153 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year USD ICE Swap + 1.65%), 4.06%, 02/24/32<sup>(a)(b)</sup> | 87 | 79216 |
|  Markel Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 09/17/29 | 82 | 71220 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 11/01/47<sup>(a)</sup> | 130 | 101591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 09/17/50 | 87 | 65600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 05/07/52 | 75 | 50537 |
|  Marsh & McLennan Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 03/15/24<sup>(a)</sup> | 87 | 85793 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/03/24<sup>(a)</sup> | 171 | 167308 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/10/25 | 87 | 84445 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 03/14/26<sup>(a)</sup> | 171 | 165839 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 03/15/29<sup>(a)</sup> | 171 | 165167 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 11/15/30<sup>(a)</sup> | 59 | 48302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 12/15/31 | 65 | 52491 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/01/32 | 50 | 52287 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 01/30/47 | 87 | 73000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 03/01/48 | 87 | 71652 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/15/49<sup>(a)</sup> | 171 | 157172 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 12/15/51<sup>(a)</sup> | 52 | 33321 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 11/01/52 | 25 | 27723 |
|  MetLife, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/25<sup>(a)</sup> | 283 | 271724 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 03/23/30<sup>(a)</sup> | 171 | 168086 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 06/15/34<sup>(a)</sup> | 307 | 340842 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 02/06/41 | 100 | 102710 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/13/42<sup>(a)</sup> | 75 | 63502 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 03/01/45<sup>(a)</sup> | 87 | 72699 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 05/13/46<sup>(a)</sup> | 200 | 179700 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/15/52<sup>(a)</sup> | 60 | 57117 |
|  Old Republic International Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 10/01/24<sup>(a)</sup> | 87 | 86486 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 06/11/51 | 70 | 48010 |
|  Primerica, Inc., 2.80%, 11/19/31<sup>(a)</sup> | 74 | 60232 |
|  Principal Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 05/15/25 | 87 | 84203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 11/15/26 | 171 | 159717 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 05/15/29<sup>(a)</sup> | 100 | 92656 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 09/15/42 | 50 | 42054 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 11/15/46<sup>(a)</sup> | 87 | 69806 |
|  Progressive Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 01/15/27<sup>(a)</sup> | 87 | 79648 |

---

50 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Insurance (continued)** |  |  |
|  Progressive Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 03/15/27<sup>(a)</sup> | $66 | $60761 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/01/29<sup>(a)</sup> | 75 | 71967 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/15/32<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;145 | 125900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 04/25/44 | 74 | 63263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 01/26/45 | 70 | 54151 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 04/15/47<sup>(a)</sup> | 87 | 72831 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 03/15/48 | 87 | 72916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/15/52<sup>(a)</sup> | 60 | 46003 |
|  Prudential Financial, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 03/10/26<sup>(a)</sup> | 171 | 153965 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 03/27/28<sup>(a)</sup> | 120 | 115063 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/10/40<sup>(a)</sup> | 171 | 127210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 05/15/44<sup>(a)</sup> | 87 | 77310 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.91%, 12/07/47 | 87 | 69280 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.94%, 12/07/49 | 156 | 121489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 02/25/50<sup>(a)</sup> | 171 | 144790 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 2.67%),<br>5.70%, 09/15/48<sup>(a)(b)</sup> | 171 | 163305 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 3.04%), 5.20%, 03/15/44<sup>(b)</sup> | 62 | 58940 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 3.04%), 3.70%, 10/01/50<sup>(a)(b)</sup> | 71 | 59916 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 3.16%), 5.13%, 03/01/52<sup>(a)(b)</sup> | 107 | 97370 |
|  Prudential PLC<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 04/14/30 | 171 | 148428 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/24/32 | 87 | 76794 |
| &nbsp;&nbsp;&nbsp;&nbsp; Reinsurance Group of America, Inc., 3.90%, 05/15/29<sup>(a)</sup> | 82 | 75023 |
|  Travelers Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 06/20/36<sup>(a)</sup> | 87 | 97676 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 06/15/37 | 87 | 93978 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 08/01/43 | 148 | 131633 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 08/25/45 | 87 | 73994 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/30/47 | 87 | 70332 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 03/04/49 | 87 | 70742 |
|  Travelers Property Casualty Corp., 6.38%, 03/15/33 | 74 | 81020 |
|  Trinity Acquisition PLC, 4.40%, 03/15/26 | 87 | 84391 |
|  Unum Group |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/15/29<sup>(a)</sup> | 71 | 64137 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 08/15/42<sup>(a)</sup> | 87 | 78200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/15/49 | 37 | 26233 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/15/51 | 75 | 51102 |
|  Voya Financial, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 06/15/26 | 62 | 58461 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 07/15/43<sup>(a)</sup> | 87 | 80635 |
|  W R Berkley Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/12/50 | 87 | 65828 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 03/30/52 | 87 | 60217 |
|  Willis North America, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 06/15/27<sup>(a)</sup> | 71 | 68581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/28<sup>(a)</sup> | 257 | 242166 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 09/15/49 | 100 | 70947 |
|  XLIT Ltd., 5.50%, 03/31/45 | 87 | 82193 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16563147 |
| **Interactive Media & Services — 0.1%** |  |  |
|  Alphabet, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/25/24<sup>(a)</sup> | 87 | 87085 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.45%, 08/15/25<sup>(a)</sup> | 62 | 55969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/15/26<sup>(a)</sup> | 427 | 392577 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.80%, 08/15/27<sup>(a)</sup> | 93 | 79653 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Interactive Media & Services (continued)** |  |  |
|  Alphabet, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.10%, 08/15/30 | $112 | $87649 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 08/15/40<sup>(a)</sup> | 159 | 105516 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 08/15/50<sup>(a)</sup> | 140 | 81824 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 08/15/60<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257 | 144778 |
|  eBay, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 03/11/25 | 171 | 160045 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 05/10/26 | 70 | 62074 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 06/05/27<sup>(a)</sup> | 171 | 161139 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 03/11/30<sup>(a)</sup> | 171 | 145259 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 05/10/31<sup>(a)</sup> | 201 | 164743 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 05/10/51<sup>(a)</sup> | 87 | 62334 |
|  JD.com, Inc., 3.38%, 01/14/30<sup>(a)</sup> | 200 | 175214 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1965859 |
| **Internet & Direct Marketing Retail — 0.4%** |  |  |
|  Alibaba Group Holding Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 11/28/24<sup>(a)</sup> | 518 | 500347 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/28/34 | 250 | 221803 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 12/06/47 | 249 | 188275 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 02/09/51 | 284 | 176710 |
|  Amazon.com, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.45%, 05/12/24 | 295 | 277860 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 08/22/24<sup>(a)</sup> | 257 | 249029 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 11/29/24 | 400 | 400279 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 05/12/26 | 291 | 257733 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 04/13/27 | 250 | 237251 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 06/03/27 | 341 | 295302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 05/12/28 | 291 | 249822 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 04/13/29 | 238 | 222308 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 12/01/29 | 400 | 397008 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 06/03/30 | 211 | 169547 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 05/12/31 | 341 | 278478 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 04/13/32<sup>(a)</sup> | 354 | 323955 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 12/01/32 | 400 | 395930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 12/05/34 | 104 | 103746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/22/37 | 171 | 151492 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 05/12/41 | 240 | 179043 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 12/05/44<sup>(a)</sup> | 87 | 85668 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 08/22/47<sup>(a)</sup> | 400 | 342978 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 06/03/50<sup>(a)</sup> | 171 | 107766 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 04/13/52<sup>(a)</sup> | 354 | 293000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 08/22/57<sup>(a)</sup> | 341 | 292891 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 06/03/60 | 171 | 102999 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/12/61 | 121 | 82836 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 04/13/62<sup>(a)</sup> | 121 | 99850 |
|  Meta Platforms, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 08/15/27<sup>(a)</sup> | 500 | 466000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 08/15/32 | 415 | 365174 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 08/15/52 | 140 | 111251 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 08/15/62 | 100 | 80233 |
|  |  | 7706564 |
| **Internet Software & Services — 0.1%** |  |  |
|  Booking Holdings, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 06/01/26 | 257 | 245846 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 04/13/30 | 171 | 165148 |
|  Expedia Group, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/15/26 | 87 | 85852 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 02/15/28 | 130 | 119340 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/15/30 | 142 | 120458 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 51

------

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Internet Software & Services (continued)** |  |  |
|  Expedia Group, Inc.<sup>(a)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 03/15/31 | $54 | $43423 |
|  VeriSign, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/01/25 | 171 | 170553 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 07/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 165055 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1115675 |
| **IT Services — 0.3%** |  |  |
|  Broadridge Financial Solutions, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 06/27/26 | 69 | 64586 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 12/01/29 | 87 | 73616 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 05/01/31<sup>(a)</sup> | 79 | 64320 |
|  CGI, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 09/14/26<sup>(a)</sup> | 87 | 76940 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 09/14/31 | 87 | 66059 |
|  DXC Technology Co.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 09/15/26 | 104 | 90569 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 09/15/28 | 71 | 59758 |
|  Fidelity National Information Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.60%, 03/01/24<sup>(a)</sup> | 89 | 84214 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 07/15/25<sup>(a)</sup> | 100 | 98055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 03/01/26<sup>(a)</sup> | 103 | 90320 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 07/15/27<sup>(a)</sup> | 325 | 317069 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 03/01/28<sup>(a)</sup> | 118 | 97685 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 03/01/31<sup>(a)</sup> | 96 | 75226 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 07/15/32 | 100 | 96322 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 03/01/41<sup>(a)</sup> | 89 | 61295 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 07/15/52<sup>(a)</sup> | 220 | 201832 |
|  Fiserv, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 07/01/24<sup>(a)</sup> | 362 | 349701 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 06/01/27<sup>(a)</sup> | 307 | 273993 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 10/01/28<sup>(a)</sup> | 171 | 161757 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 07/01/29 | 281 | 253158 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 06/01/30<sup>(a)</sup> | 164 | 137864 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 07/01/49<sup>(a)</sup> | 153 | 124128 |
|  Genpact Luxembourg Sarl, 3.38%, 12/01/24 | 171 | 163438 |
|  International Business Machines Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 02/12/24<sup>(a)</sup> | 268 | 263998 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/15/24<sup>(a)</sup> | 341 | 331632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 02/19/26<sup>(a)</sup> | 250 | 240184 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 05/15/26<sup>(a)</sup> | 257 | 244528 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 05/15/27 | 289 | 253856 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 07/27/27<sup>(a)</sup> | 100 | 97439 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 05/15/29<sup>(a)</sup> | 381 | 350231 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 05/15/30<sup>(a)</sup> | 121 | 98683 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.72%, 02/09/32<sup>(a)</sup> | 180 | 151022 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 07/27/32<sup>(a)</sup> | 100 | 95406 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 11/29/32<sup>(a)</sup> | 87 | 92814 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 05/15/40 | 345 | 250299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/20/42<sup>(a)</sup> | 148 | 122613 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 05/15/49 | 330 | 272067 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 05/15/50 | 116 | 75486 |
|  Kyndryl Holdings, Inc., 4.10%, 10/15/41 | 171 | 102397 |
|  Leidos, Inc., 2.30%, 02/15/31 | 130 | 99587 |
|  Verisk Analytics, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/15/25<sup>(a)</sup> | 87 | 84562 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **IT Services (continued)** |  |  |
|  Verisk Analytics, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/15/29 | $87 | $81443 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 05/15/50 | 58 | 40028 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6430180 |
| **Leisure Products — 0.0%** |  |  |
|  Hasbro, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/19/24 | 87 | 83587 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 11/19/26<sup>(a)</sup> | 75 | 70329 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 11/19/29 | 75 | 66651 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.35%, 03/15/40 | 87 | 84228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 05/15/44<sup>(a)</sup> | 60 | 51078 |
|  |  | 355873 |
| **Life Sciences Tools & Services — 0.0%** |  |  |
|  Agilent Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 09/15/29<sup>(a)</sup> | 111 | 95712 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 03/12/31 | 118 | 95149 |
|  |  | 190861 |
| **Machinery — 0.3%** |  |  |
|  Brunswick Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 08/18/31 | 66 | 48523 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 04/01/52 | 71 | 51020 |
|  Caterpillar Financial Services Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.95%, 01/10/24<sup>(a)</sup> | 71 | 68491 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 05/17/24<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;341 | 331508 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 06/09/24<sup>(a)</sup> | 87 | 85024 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 11/08/24<sup>(a)</sup> | 376 | 358726 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 01/17/25<sup>(a)</sup> | 340 | 340897 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 08/12/25 | 100 | 97556 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.80%, 11/13/25 | 171 | 153379 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 09/14/26<sup>(a)</sup> | 155 | 136802 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 01/08/27<sup>(a)</sup> | 87 | 77956 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 08/12/27<sup>(a)</sup> | 100 | 95421 |
|  Caterpillar, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 05/15/24 | 87 | 85314 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 09/19/29<sup>(a)</sup> | 70 | 61571 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 04/09/30<sup>(a)</sup> | 87 | 75635 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 03/12/31<sup>(a)</sup> | 157 | 127418 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 05/27/41 | 206 | 209462 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 09/19/49 | 171 | 128863 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/09/50<sup>(a)</sup> | 171 | 129338 |
|  CNH Industrial Capital LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 05/23/25 | 69 | 66932 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 10/14/25<sup>(a)</sup> | 100 | 100219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 01/15/26<sup>(a)</sup> | 171 | 155062 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 07/15/26<sup>(a)</sup> | 78 | 68742 |
|  Deere & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 04/15/25<sup>(a)</sup> | 171 | 164249 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 04/15/30 | 87 | 77911 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 06/09/42<sup>(a)</sup> | 96 | 84907 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 09/07/49<sup>(a)</sup> | 68 | 48470 |
|  Dover Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 11/15/25<sup>(a)</sup> | 87 | 82836 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 11/04/29 | 60 | 52219 |
|  Flowserve Corp., 2.80%, 01/15/32 | 70 | 52433 |
|  Fortive Corp., 3.15%, 06/15/26<sup>(a)</sup> | 87 | 81239 |
|  IDEX Corp., 2.63%, 06/15/31<sup>(a)</sup> | 67 | 55463 |

---

52 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Machinery (continued)** |  |  |
|  John Deere Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 01/10/24<sup>(a)</sup> | $171 | $168813 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.45%, 01/17/24<sup>(a)</sup> | 87 | 83183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.45%, 06/07/24<sup>(a)</sup> | 72 | 67668 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.63%, 09/10/24<sup>(a)</sup> | 57 | 53190 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 10/11/24<sup>(a)</sup> | 40 | 39995 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 01/09/25<sup>(a)</sup> | 171 | 162324 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 01/10/25<sup>(a)</sup> | 87 | 81374 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 06/06/25<sup>(a)</sup> | 35 | 33954 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 09/08/25<sup>(a)</sup> | 85 | 83656 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.70%, 01/15/26<sup>(a)</sup> | 155 | 137925 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 09/14/26<sup>(a)</sup> | 87 | 80097 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 10/13/26 | 90 | 79564 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 01/11/27<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;229167 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 09/15/27<sup>(a)</sup> | 100 | 98072 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 01/06/28<sup>(a)</sup> | 75 | 70028 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 03/06/28<sup>(a)</sup> | 87 | 74190 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 04/18/29<sup>(a)</sup> | 61 | 56369 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 07/18/29<sup>(a)</sup> | 110 | 97997 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 10/11/29<sup>(a)</sup> | 50 | 50049 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 01/09/30<sup>(a)</sup> | 75 | 64616 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 01/15/31<sup>(a)</sup> | 155 | 121177 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 09/15/32<sup>(a)</sup> | 100 | 97144 |
|  Kennametal, Inc., 2.80%, 03/01/31 | 55 | 42957 |
|  nVent Finance SARL, 2.75%, 11/15/31<sup>(a)</sup> | 65 | 50010 |
|  Otis Worldwide Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.06%, 04/05/25 | 90 | 84206 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.57%, 02/15/30<sup>(a)</sup> | 171 | 143674 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.11%, 02/15/40<sup>(a)</sup> | 171 | 124709 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.36%, 02/15/50 | 69 | 48260 |
|  Snap-on, Inc., 3.10%, 05/01/50<sup>(a)</sup> | 171 | 121889 |
|  Stanley Black & Decker, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/15/28<sup>(a)</sup> | 171 | 164153 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 03/15/30<sup>(a)</sup> | 171 | 140124 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/15/32<sup>(a)</sup> | 76 | 64117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 11/15/48<sup>(a)</sup> | 87 | 75576 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 11/15/50 | 75 | 45580 |
| &nbsp;&nbsp;&nbsp;&nbsp; (5 year CMT + 2.66%), 4.00%, 03/15/60<sup>(a)(b)</sup> | 104 | 88511 |
|  Valmont Industries, Inc., 5.00%, 10/01/44<sup>(a)</sup> | 171 | 146906 |
|  Westinghouse Air Brake Technologies Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 03/15/24<sup>(a)</sup> | 87 | 85582 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 06/15/25 | 87 | 81906 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 09/15/28<sup>(a)</sup> | 87 | 83525 |
|  Xylem, Inc., 4.38%, 11/01/46 | 87 | 71980 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7447803 |
| **Media — 0.9%** |  |  |
|  Bell Telephone Co. of Canada or Bell Canada |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 07/29/49 | 67 | 54359 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 08/15/52<sup>(a)</sup> | 67 | 48745 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series US-5, 2.15%, 02/15/32 | 87 | 68045 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series US-6, 3.20%, 02/15/52 | 86 | 57561 |
|  Charter Communications Operating LLC/Charter Communications Operating Capital |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/01/24<sup>(a)</sup> | 341 | 336973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.91%, 07/23/25<sup>(a)</sup> | 330 | 323433 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/15/28<sup>(a)</sup> | 87 | 78449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 01/15/29 | 86 | 69219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 03/30/29<sup>(a)</sup> | 171 | 160883 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 04/01/31 | 141 | 109770 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 04/01/33<sup>(a)</sup> | 100 | 85566 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Media (continued)** |  |  |
|  Charter Communications Operating LLC/Charter Communications Operating Capital (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 10/23/35<sup>(a)</sup> | $87 | $84806 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 04/01/38<sup>(a)</sup> | 171 | 142366 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/01/41<sup>(a)</sup> | 171 | 111423 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/01/42 | 87 | 55746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.48%, 10/23/45<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257 | 231756 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 05/01/47<sup>(a)</sup> | 257 | 201602 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 04/01/48 | 120 | 98243 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 07/01/49 | 171 | 129304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 03/01/50<sup>(a)</sup> | 324 | 235208 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/01/51<sup>(a)</sup> | 104 | 63239 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 06/01/52<sup>(a)</sup> | 275 | 172652 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/01/53<sup>(a)</sup> | 238 | 183699 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.83%, 10/23/55 | 87 | 80261 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 04/01/61 | 253 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;146325 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 12/01/61 | 121 | 77400 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 06/30/62<sup>(a)</sup> | 100 | 58990 |
|  Comcast Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/15/24<sup>(a)</sup> | 171 | 168393 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 10/15/25<sup>(a)</sup> | 214 | 209573 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 03/01/26<sup>(a)</sup> | 300 | 285560 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 01/15/27<sup>(a)</sup> | 148 | 134472 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 02/01/27 | 171 | 161142 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 04/01/27 | 341 | 321350 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 11/15/27<sup>(a)</sup> | 90 | 91915 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 02/15/28<sup>(a)</sup> | 214 | 197569 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 05/01/28<sup>(a)</sup> | 171 | 160579 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 10/15/28 | 379 | 363441 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 02/01/30 | 163 | 141014 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 04/01/30<sup>(a)</sup> | 182 | 165955 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/15/30<sup>(a)</sup> | 171 | 163587 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 01/15/31 | 146 | 118009 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 02/15/31<sup>(a)</sup> | 281 | 218787 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 11/15/32<sup>(a)</sup> | 100 | 104269 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 01/15/33 | 112 | 105566 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 08/15/34 | 382 | 352665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 08/15/35<sup>(a)</sup> | 87 | 80973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 07/15/36<sup>(a)</sup> | 87 | 70526 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 03/01/38<sup>(a)</sup> | 87 | 74974 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 10/15/38<sup>(a)</sup> | 130 | 120099 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/01/39 | 171 | 133215 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/01/40<sup>(a)</sup> | 171 | 141028 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 07/15/42<sup>(a)</sup> | 100 | 90286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/01/44<sup>(a)</sup> | 67 | 60936 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 07/15/46 | 87 | 63718 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 08/15/47 | 87 | 69478 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.97%, 11/01/47<sup>(a)</sup> | 257 | 205312 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/01/48 | 87 | 69758 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 10/15/48<sup>(a)</sup> | 214 | 191144 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/01/49 | 216 | 170445 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 01/15/51 | 149 | 94035 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.89%, 11/01/51<sup>(a)</sup> | 505 | 324334 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 08/15/52<sup>(a)</sup> | 291 | 169543 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 11/01/56<sup>(a)</sup> | 507 | 313542 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 10/15/58<sup>(a)</sup> | 171 | 154750 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 11/01/63<sup>(a)</sup> | 301 | 182002 |
|  Discovery Communications LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 11/15/24 | 87 | 84197 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 03/15/25<sup>(a)</sup> | 171 | 162202 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/11/26 | 58 | 56244 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 53

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Media (continued)** |  |  |
|  Discovery Communications LLC (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/20/28<sup>(a)</sup> | $108 | $95859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/20/37 | 87 | 70134 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 09/20/47<sup>(a)</sup> | 146 | 108452 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 05/15/49<sup>(a)</sup> | 87 | 65780 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 05/15/50<sup>(a)</sup> | 171 | 117600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/15/55<sup>(a)</sup> | 263 | 158029 |
|  FactSet Research Systems, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 03/01/27 | 75 | 68082 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 03/01/32 | 70 | 58688 |
|  Fox Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.03%, 01/25/24 | 171 | 169017 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.71%, 01/25/29<sup>(a)</sup> | 171 | 165233 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/08/30<sup>(a)</sup> | 200 | 177199 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.58%, 01/25/49 | 171 | 152565 |
|  Grupo Televisa SAB<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 01/15/40 | 87 | 89436 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/13/45 | 200 | 171475 |
|  NBCUniversal Media LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 04/01/41 | 109 | 113494 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 01/15/43<sup>(a)</sup> | 72 | 63300 |
|  Paramount Global |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/15/26<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;246429 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/15/28<sup>(a)</sup> | 87 | 77207 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 06/01/28<sup>(a)</sup> | 87 | 77583 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 01/15/31<sup>(a)</sup> | 171 | 151971 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 05/19/32<sup>(a)</sup> | 171 | 139958 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/30/36<sup>(a)</sup> | 87 | 84466 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 07/01/42 | 82 | 60661 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 03/15/43 | 184 | 126703 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 09/01/43 | 189 | 156943 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 05/19/50<sup>(a)</sup> | 171 | 124389 |
|  TCI Communications, Inc., 7.88%, 02/15/26 | 87 | 94179 |
|  TELUS Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 05/13/32 | 90 | 76842 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 11/16/48 | 70 | 59199 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 06/15/49<sup>(a)</sup> | 87 | 71117 |
|  Thomson Reuters Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 05/15/26<sup>(a)</sup> | 74 | 70004 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 11/23/43 | 171 | 156991 |
|  Time Warner Cable Enterprises LLC, 8.38%, 07/15/33<sup>(a)</sup> | 87 | 96644 |
|  Time Warner Cable LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.55%, 05/01/37 | 112 | 106631 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 06/15/39<sup>(a)</sup> | 199 | 188454 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 11/15/40 | 87 | 75797 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 09/01/41<sup>(a)</sup> | 300 | 248962 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/42 | 87 | 63693 |
|  TWDC Enterprises 18 Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 09/17/25<sup>(a)</sup> | 58 | 55570 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/13/26<sup>(a)</sup> | 70 | 66284 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 07/30/26<sup>(a)</sup> | 171 | 154530 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 06/15/27<sup>(a)</sup> | 130 | 121078 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/01/44<sup>(a)</sup> | 87 | 74484 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 07/30/46 | 75 | 52368 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 4.13%, 12/01/41 | 87 | 74607 |
|  Walt Disney Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 08/30/24<sup>(a)</sup> | 427 | 407094 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 09/15/24 | 87 | 85110 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 03/24/25<sup>(a)</sup> | 223 | 215995 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Media (continued)** |  |  |
|  Walt Disney Co. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/15/25<sup>(a)</sup> | $144 | $139921 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 01/13/26<sup>(a)</sup> | 104 | 95188 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 11/15/26 | 257 | 243123 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 01/13/28<sup>(a)</sup> | 171 | 152156 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 09/01/29 | 87 | 72932 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/22/30<sup>(a)</sup> | 171 | 159376 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 01/13/31<sup>(a)</sup> | 144 | 122913 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 12/15/34<sup>(a)</sup> | 62 | 67392 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 12/15/35<sup>(a)</sup> | 131 | 143305 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.65%, 11/15/37<sup>(a)</sup> | 214 | 242354 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/23/40<sup>(a)</sup> | 171 | 159753 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 05/13/40<sup>(a)</sup> | 275 | 221377 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 09/15/44<sup>(a)</sup> | 87 | 80251 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 10/15/45 | 15 | 14063 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 09/01/49<sup>(a)</sup> | 171 | 113099 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 03/23/50<sup>(a)</sup> | 223 | 204704 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 01/13/51<sup>(a)</sup> | 190 | 144673 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 05/13/60 | 71 | 54083 |
|  Warnermedia Holdings, Inc.<sup>(d)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.43%, 03/15/24<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;231 | 224247 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.64%, 03/15/25 | 507 | 482138 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 03/15/29<sup>(a)</sup> | 168 | 145341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.28%, 03/15/32<sup>(a)</sup> | 453 | 373165 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 03/15/42<sup>(a)</sup> | 400 | 306033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.14%, 03/15/52<sup>(a)</sup> | 786 | 571396 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.39%, 03/15/62 | 100 | 73001 |
|  WPP Finance 2010, 3.75%, 09/19/24 | 87 | 84248 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20409128 |
| **Metals & Mining — 0.2%** |  |  |
|  AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30<sup>(a)</sup> | 200 | 173538 |
|  ArcelorMittal SA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 03/11/26<sup>(a)</sup> | 87 | 84017 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.55%, 11/29/27 | 50 | 50235 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 07/16/29<sup>(a)</sup> | 75 | 67187 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.80%, 11/29/32 | 50 | 49717 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 10/15/39<sup>(a)</sup> | 79 | 80172 |
|  Barrick North America Finance LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 05/30/41<sup>(a)</sup> | 87 | 87378 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 05/01/43 | 87 | 87853 |
|  Barrick PD Australia Finance Pty. Ltd., 5.95%, 10/15/39 | 87 | 88735 |
|  BHP Billiton Finance USA Ltd., 4.13%, 02/24/42 | 87 | 75597 |
|  Freeport-McMoRan, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 11/14/24 | 87 | 85719 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/01/27<sup>(a)</sup> | 71 | 69455 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/01/28<sup>(a)</sup> | 87 | 80475 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 08/01/28<sup>(a)</sup> | 71 | 66269 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 09/01/29 | 71 | 68501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/01/30<sup>(a)</sup> | 71 | 64462 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 08/01/30<sup>(a)</sup> | 103 | 95934 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 11/14/34 | 87 | 82161 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 03/15/43<sup>(a)</sup> | 156 | 140718 |
|  Newmont Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 10/01/29 | 185 | 157275 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 10/01/30<sup>(a)</sup> | 87 | 69925 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 04/01/35 | 87 | 87965 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/15/42<sup>(a)</sup> | 223 | 202556 |

---

54 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Par<br>(000)* | *Value* | *Value* |
| **Metals & Mining (continued)** |  |  |  |  |
|  Nucor Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 05/23/25<sup>(a)</sup> | $| 75 | $| 73378 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 05/23/27<sup>(a)</sup> |  | 79 |  | 77066 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 05/01/28 |  | 171 |  | 161539 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 06/01/30<sup>(a)</sup> |  | 171 |  | 145009 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.98%, 12/15/55<sup>(a)</sup> |  | 87 |  | 53816 |
|  Precision Castparts Corp., 4.38%, 06/15/45<sup>(a)</sup> |  | 87 |  | 75659 |
|  Rio Tinto Finance USA Ltd.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 07/15/28 |  | 171 |  | 188265 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 11/02/40 |  | 62 |  | 61799 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 11/02/51 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;216 |  | 142881 |
|  Rio Tinto Finance USA PLC |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/22/42 |  | 62 |  | 57821 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/21/42<sup>(a)</sup> |  | 87 |  | 74910 |
|  Southern Copper Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 04/23/25 |  | 130 |  | 125393 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/16/40<sup>(a)</sup> |  | 80 |  | 89190 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 04/23/45<sup>(a)</sup> |  | 277 |  | 282852 |
|  Steel Dynamics, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 12/15/24 |  | 30 |  | 28497 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 06/15/25 |  | 45 |  | 42196 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 10/15/27<sup>(a)</sup> |  | 87 |  | 72893 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 04/15/30 |  | 90 |  | 79135 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 01/15/31 |  | 72 |  | 61448 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/15/50<sup>(a)</sup> |  | 44 |  | 28526 |
|  Teck Resources Ltd. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 10/01/35<sup>(a)</sup> |  | 70 |  | 69164 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 07/15/41 |  | 70 |  | 68631 |
|  Timken Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/15/28 |  | 87 |  | 82719 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 04/01/32 |  | 75 |  | 66744 |
|  Vale Overseas Ltd. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 08/10/26<sup>(a)</sup> |  | 171 |  | 176483 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 07/08/30<sup>(a)</sup> |  | 171 |  | 149390 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 11/10/39 |  | 100 |  | 105144 |
|  Vale SA, 5.63%, 09/11/42<sup>(a)</sup> |  | 171 |  | 161574 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4917966 |
| **Mortgage Real Estate Investment Trusts (REITs) — 0.0%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.0%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.0%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.0%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.0%** |
|  Prologis LP |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/30/26<sup>(a)</sup> |  | 87 |  | 82550 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 11/15/29 |  | 93 |  | 80916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 07/01/30 |  | 82 |  | 64585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 02/01/31 |  | 64 |  | 50380 |
|  |  |  |  | 278431 |
| **Multiline Retail — 0.0%** |  |  |  |  |
|  Kohl's Corp., 5.55%, 07/17/45 |  | 74 |  | 46620 |
|  O'Reilly Automotive, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 06/01/28<sup>(a)</sup> |  | 171 |  | 165992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 06/01/29 |  | 171 |  | 159197 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 03/15/31<sup>(a)</sup> |  | 78 |  | 60529 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 06/15/32<sup>(a)</sup> |  | 100 |  | 96657 |
|  TJX Cos., Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 09/15/26 |  | 257 |  | 234890 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/15/50<sup>(a)</sup> |  | 87 |  | 77359 |
|  Tractor Supply Co., 1.75%, 11/01/30 |  | 69 |  | 52981 |
|  |  |  |  | 894225 |
| **Multi-Utilities — 0.2%** |  |  |  |  |
|  Ameren Illinois Co., 5.90%, 12/01/52<sup>(a)</sup> |  | 50 |  | 54293 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Multi-Utilities (continued)** |  |  |
|  Arizona Public Service Co., 6.35%, 12/15/32 | $100 | $105165 |
|  Atmos Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 09/15/29 | 74 | 64191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 01/15/31<sup>(a)</sup> | 171 | 133182 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 01/15/43 | 74 | 62246 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 10/01/48 | 87 | 73125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/15/49 | 107 | 87505 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 09/15/49<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;110 | 79841 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/15/52<sup>(a)</sup> | 50 | 52191 |
|  CenterPoint Energy Resources Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 10/01/30 | 91 | 71742 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 07/01/32<sup>(a)</sup> | 100 | 95873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 01/15/41 | 87 | 87243 |
|  Consolidated Edison Co. of New York, Inc., 6.15%, 11/15/52<sup>(a)</sup> | 200 | 214108 |
|  Dominion Energy, Inc., 5.38%, 11/15/32<sup>(a)</sup> | 50 | 49559 |
|  Duke Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 12/08/25 | 65 | 64859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 12/08/27 | 170 | 169037 |
|  Eastern Energy Gas Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 12/15/24 | 59 | 56976 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 2.50%, 11/15/24 | 87 | 82873 |
|  Edison International, 6.95%, 11/15/29 | 45 | 46993 |
|  Exelon Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series WI, 2.75%, 03/15/27 | 53 | 48605 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series WI, 4.10%, 03/15/52 | 86 | 68719 |
|  National Fuel Gas Co., 2.95%, 03/01/31 | 87 | 68178 |
|  National Rural Utilities Cooperative Finance Corp., 4.80%, 03/15/28<sup>(a)</sup> | 100 | 99144 |
|  NiSource, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.95%, 08/15/25<sup>(a)</sup> | 149 | 134323 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.49%, 05/15/27<sup>(a)</sup> | 171 | 161065 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 02/15/31 | 79 | 60224 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 06/15/41<sup>(a)</sup> | 56 | 56609 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 02/15/43<sup>(a)</sup> | 75 | 70937 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 02/15/44 | 87 | 76447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 02/01/45 | 87 | 84886 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 05/15/47<sup>(a)</sup> | 87 | 72744 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/30/48 | 87 | 67484 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/15/52<sup>(a)</sup> | 50 | 45467 |
|  ONE Gas, Inc., 4.66%, 02/01/44<sup>(a)</sup> | 87 | 74933 |
|  PacifiCorp., 5.35%, 12/01/53 | 100 | 98970 |
|  Piedmont Natural Gas Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 03/15/31<sup>(a)</sup> | 87 | 70957 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 06/01/50 | 71 | 47493 |
|  Public Service Electric and Gas Co., 4.90%, 12/15/32 | 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100179 |
|  Southern California Edison Co., 5.95%, 11/01/32<sup>(a)</sup>  | 40 | 42264 |
|  Southern California Gas Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 04/15/27 | 110 | 101436 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series TT, 2.60%, 06/15/26 | 214 | 198341 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series UU, 4.13%, 06/01/48 | 87 | 69765 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series XX, 2.55%, 02/01/30<sup>(a)</sup> | 171 | 145519 |
|  Southern Co. Gas Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 10/01/46 | 130 | 97421 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20-A, 1.75%, 01/15/31 | 87 | 66668 |
|  Southwest Gas Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 12/01/27 | 100 | 101274 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 06/15/30 | 171 | 133744 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 55

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Multi-Utilities (continued)** |  |  |
|  Southwest Gas Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 03/15/32<sup>(a)</sup> | $75 | $65855 |
|  Washington Gas Light Co., 3.65%, 09/15/49 | 87 | 63098 |
|  Wisconsin Public Service Corp., 5.35%, 11/10/25<sup>(a)</sup> | 150 | 151656 |
|  |  | 4395407 |
| **Offshore Drilling & Other Services — 0.1%** |  |  |
|  Applied Materials, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 10/01/25<sup>(a)</sup> | 57 | 55729 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 04/01/27<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 162371 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 06/01/30 | 72 | 58713 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 06/15/41<sup>(a)</sup> | 75 | 81548 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 04/01/47<sup>(a)</sup> | 130 | 116893 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 06/01/50<sup>(a)</sup> | 87 | 59260 |
|  KLA Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 11/01/24<sup>(a)</sup> | 23 | 22930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 03/15/29<sup>(a)</sup> | 87 | 83942 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 07/15/32<sup>(a)</sup> | 50 | 48975 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 03/01/50 | 184 | 133242 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 07/15/52<sup>(a)</sup> | 90 | 83588 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/15/62 | 75 | 72021 |
|  Lam Research Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/15/25<sup>(a)</sup> | 80 | 78288 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 06/15/30 | 141 | 114887 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/15/49<sup>(a)</sup> | 171 | 161893 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 06/15/50<sup>(a)</sup> | 76 | 50784 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1385064 |
| **Oil, Gas & Consumable Fuels — 1.8%** |  |  |
|  Boardwalk Pipelines LP, 4.80%, 05/03/29 | 87 | 81870 |
|  BP Capital Markets America, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 09/21/25<sup>(a)</sup> | 171 | 167899 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.41%, 02/11/26<sup>(a)</sup> | 341 | 327371 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.12%, 05/04/26<sup>(a)</sup> | 62 | 58769 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.02%, 01/16/27<sup>(a)</sup> | 77 | 71692 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.54%, 04/06/27<sup>(a)</sup> | 171 | 162511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.94%, 09/21/28<sup>(a)</sup> | 87 | 83077 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.23%, 11/06/28<sup>(a)</sup> | 171 | 165675 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 04/06/30<sup>(a)</sup> | 171 | 156934 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 08/10/30<sup>(a)</sup> | 90 | 71748 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.72%, 01/12/32<sup>(a)</sup> | 87 | 72511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.06%, 06/17/41<sup>(a)</sup> | 70 | 51816 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/24/50 | 171 | 114052 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.77%, 11/10/50 | 141 | 90017 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/17/52<sup>(a)</sup> | 87 | 57348 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/08/61 | 223 | 151561 |
|  BP Capital Markets PLC<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.28%, 09/19/27 | 87 | 81803 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.72%, 11/28/28 | 171 | 161557 |
|  Canadian Natural Resources Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 04/15/24 | 214 | 209710 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 02/01/25 | 87 | 84558 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 06/01/27 | 87 | 81932 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 07/15/30<sup>(a)</sup> | 87 | 73306 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 03/15/38<sup>(a)</sup> | 75 | 74199 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 06/01/47<sup>(a)</sup> | 100 | 86745 |
|  Cenovus Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 01/15/32<sup>(a)</sup> | 74 | 59081 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/15/37 | 139 | 126624 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.80%, 09/15/37 | 87 | 89228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 06/15/47<sup>(a)</sup> | 87 | 77816 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** |  |  |
|  Cenovus Energy, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/15/52<sup>(a)</sup> | $66 | $46345 |
|  Cheniere Corpus Christi Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/30/27 | 257 | 253898 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 11/15/29 | 87 | 78641 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.74%, 12/31/39<sup>(a)</sup> | 87 | 67274 |
|  Cheniere Energy Partners LP, 4.00%, 03/01/31<sup>(a)</sup> | 150 | 127704 |
|  Chevron Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.55%, 05/11/25<sup>(a)</sup> | 546 | 507921 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.33%, 11/17/25<sup>(a)</sup> | 87 | 84057 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 05/16/26<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214 | 202962 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 05/11/27 | 90 | 80826 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.24%, 05/11/30<sup>(a)</sup> | 163 | 139675 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.08%, 05/11/50<sup>(a)</sup> | 69 | 49518 |
|  Chevron USA, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.69%, 08/12/25 | 132 | 119295 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.02%, 08/12/27 | 114 | 97766 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 01/15/28 | 257 | 248026 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.34%, 08/12/50 | 87 | 53943 |
|  CNOOC Finance 2014 ULC, Series 2014, 4.25%, 04/30/24<sup>(a)</sup> | 605 | 596795 |
|  CNOOC Finance 2015 USA LLC, Series 2015, 3.50%, 05/05/25<sup>(a)</sup> | 500 | 480406 |
|  CNOOC Petroleum North America ULC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 03/15/32 | 324 | 378634 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 05/15/37<sup>(a)</sup> | 71 | 72322 |
|  Columbia Pipeline Group, Inc., 4.50%, 06/01/25<sup>(a)</sup> | 87 | 85670 |
|  ConocoPhillips Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 03/07/25 | 80 | 76035 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.76%, 03/15/42<sup>(a)</sup> | 370 | 306846 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 11/15/44 | 171 | 147894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/15/52<sup>(a)</sup> | 62 | 48741 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.03%, 03/15/62<sup>(a)</sup> | 200 | 157440 |
|  Continental Resources, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 06/01/24 | 121 | 117664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/15/28 | 121 | 110867 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 06/01/44 | 87 | 64497 |
|  Coterra Energy, Inc., 4.38%, 03/15/29 | 171 | 161551 |
|  Devon Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 12/15/25 | 87 | 88570 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/15/28<sup>(a)</sup> | 112 | 113275 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 07/15/41 | 87 | 81165 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/15/42 | 231 | 195538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/15/45<sup>(a)</sup> | 87 | 75117 |
|  Diamondback Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 12/01/29<sup>(a)</sup> | 171 | 150022 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 03/24/31<sup>(a)</sup> | 65 | 53824 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 03/15/33 | 30 | 30449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 03/24/51<sup>(a)</sup> | 87 | 66275 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/15/52<sup>(a)</sup> | 104 | 76094 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 03/15/53 | 100 | 96636 |
|  Eastern Gas Transmission & Storage, Inc., 3.00%, 11/15/29<sup>(a)</sup> | 171 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;147621 |
|  Enbridge Energy Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 10/15/25<sup>(a)</sup> | 257 | 260981 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 10/15/45 | 140 | 156376 |
|  Enbridge, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 02/16/24 | 55 | 53069 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/10/24<sup>(a)</sup> | 65 | 63208 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/15/25<sup>(a)</sup> | 87 | 82307 |

---

56 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** |  |  |
|  Enbridge, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/14/25 | $66 | $62263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.60%, 10/04/26<sup>(a)</sup> | 79 | 69188 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 12/01/26<sup>(a)</sup> | 171 | 164401 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 07/15/27<sup>(a)</sup> | 171 | 160070 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 11/15/29 | 130 | 113341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 08/01/33<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 131521 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/49<sup>(a)</sup> | 96 | 73332 |
|  Energy Transfer LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 01/15/24<sup>(a)</sup> | 171 | 171430 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 02/01/24 | 87 | 86503 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/01/24 | 71 | 69722 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 03/15/25 | 171 | 165630 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 05/15/25 | 63 | 59330 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/26 | 171 | 166557 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 04/15/27 | 171 | 161374 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/01/27 | 150 | 139992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 02/15/28 | 100 | 99193 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 05/15/28<sup>(a)</sup> | 171 | 164013 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/15/29 | 257 | 248508 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 05/15/30<sup>(a)</sup> | 71 | 62600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 02/15/33 | 85 | 83161 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/15/35 | 87 | 77473 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 02/01/42<sup>(a)</sup> | 87 | 85989 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 01/15/43 | 87 | 69905 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 02/01/43 | 87 | 71909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 10/01/43<sup>(a)</sup> | 53 | 48695 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 04/01/44 | 74 | 62477 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/15/44<sup>(a)</sup> | 87 | 70920 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 05/15/45 | 87 | 73779 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 12/15/45 | 114 | 105478 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 04/15/47<sup>(a)</sup> | 130 | 108159 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 10/01/47<sup>(a)</sup> | 171 | 144847 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 04/15/49 | 171 | 159009 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/15/50<sup>(a)</sup> | 184 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;147003 |
|  Enterprise Products Operating LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 02/15/24<sup>(a)</sup> | 66 | 64986 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/15/25 | 306 | 297524 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 02/15/26<sup>(a)</sup> | 334 | 321904 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 02/15/27<sup>(a)</sup> | 191 | 183186 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 10/16/28<sup>(a)</sup> | 171 | 161920 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 07/31/29 | 199 | 175209 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 01/31/30 | 149 | 126579 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 02/01/41 | 53 | 53097 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 02/15/43 | 142 | 119574 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 03/15/44<sup>(a)</sup> | 121 | 106655 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 05/15/46<sup>(a)</sup> | 189 | 164344 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 02/01/49 | 171 | 145712 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 01/31/50 | 192 | 150964 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 01/31/51 | 75 | 54067 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 02/15/52<sup>(a)</sup> | 121 | 79285 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 02/15/53<sup>(a)</sup> | 204 | 135697 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. LIBOR US + 2.57%), 5.38%, 02/15/78<sup>(a)(b)</sup> | 171 | 130397 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, (3 mo. LIBOR US + 3.03%), 5.25%, 08/16/77<sup>(a)(b)</sup> | 130 | 104563 |
|  EOG Resources, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 04/01/25 | 80 | 77201 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 04/15/50 | 87 | 82775 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** |  |  |
|  EQT Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 02/01/25 | $112 | $112263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 10/01/27<sup>(a)</sup> | 140 | 129243 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/15/29<sup>(a)</sup> | 70 | 65713 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 02/01/30<sup>(a)</sup> | 79 | 81932 |
|  Equinor ASA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 01/15/24 | 257 | 250749 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/01/24 | 87 | 85748 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/10/24<sup>(a)</sup> | 87 | 84792 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 04/06/25<sup>(a)</sup> | 341 | 326752 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 04/06/30<sup>(a)</sup> | 171 | 153530 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 05/22/30<sup>(a)</sup> | 171 | 145428 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 08/17/40<sup>(a)</sup> | 189 | 185596 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/23/41<sup>(a)</sup> | 75 | 65977 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/18/49 | 130 | 94430 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/06/50 | 171 | 134854 |
|  Exxon Mobil Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.18%, 03/15/24<sup>(a)</sup> | 87 | 85274 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.02%, 08/16/24<sup>(a)</sup> | 87 | 83222 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.71%, 03/06/25<sup>(a)</sup> | 214 | 204630 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 03/19/25<sup>(a)</sup> | 341 | 328453 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.04%, 03/01/26 | 108 | 103007 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.28%, 08/16/26<sup>(a)</sup> | 87 | 80496 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.29%, 03/19/27<sup>(a)</sup> | 140 | 134518 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.44%, 08/16/29<sup>(a)</sup> | 87 | 76000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.48%, 03/19/30<sup>(a)</sup> | 189 | 176262 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.61%, 10/15/30<sup>(a)</sup> | 140 | 122289 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 08/16/39 | 87 | 66493 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.23%, 03/19/40 | 206 | 185355 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.11%, 03/01/46 | 171 | 145472 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 08/16/49<sup>(a)</sup> | 257 | 183664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.33%, 03/19/50<sup>(a)</sup> | 283 | 247837 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 04/15/51 | 200 | 150567 |
|  Hess Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 03/15/33 | 171 | 184176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 02/15/41<sup>(a)</sup> | 96 | 90746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 04/01/47<sup>(a)</sup> | 171 | 163247 |
|  HF Sinclair Corp., 5.88%, 04/01/26<sup>(a)</sup> | 87 | 87073 |
|  Kinder Morgan Energy Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 02/01/24 | 171 | 168688 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 05/01/24 | 87 | 85839 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/01/24<sup>(a)</sup> | 55 | 54060 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 03/15/35<sup>(a)</sup> | 171 | 167034 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 02/01/37 | 74 | 74560 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 01/15/38<sup>(a)</sup> | 214 | 226416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 03/01/41 | 87 | 86056 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 08/15/42 | 75 | 64195 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/01/43 | 87 | 74311 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/01/44<sup>(a)</sup> | 130 | 117553 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 09/01/44 | 87 | 78170 |
|  Kinder Morgan, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 06/01/25 | 71 | 69629 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 03/01/28<sup>(a)</sup> | 257 | 246187 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 02/15/31<sup>(a)</sup> | 155 | 119989 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 01/15/32<sup>(a)</sup> | 171 | 192255 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 02/01/33 | 100 | 92712 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 12/01/34<sup>(a)</sup> | 87 | 81419 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 06/01/45<sup>(a)</sup> | 214 | 195128 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 03/01/48 | 64 | 55222 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 02/15/51<sup>(a)</sup> | 71 | 48902 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** |  |  |
|  Kinder Morgan, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 08/01/52<sup>(a)</sup> | $100 | $89758 |
|  Magellan Midstream Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/01/30 | 75 | 65425 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/15/46 | 87 | 65704 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 10/03/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;104861 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/01/50<sup>(a)</sup> | 79 | 57810 |
|  Marathon Oil Corp.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.60%, 10/01/37 | 87 | 86460 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 06/01/45 | 87 | 74459 |
|  Marathon Petroleum Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 09/15/24 | 60 | 58387 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/01/25 | 171 | 168385 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 04/01/28<sup>(a)</sup> | 171 | 158198 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 09/15/44 | 87 | 72645 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/48 | 100 | 79859 |
|  MPLX LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 12/01/24<sup>(a)</sup> | 87 | 86289 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/01/25<sup>(a)</sup> | 87 | 85666 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 03/01/26 | 125 | 111421 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/01/27 | 171 | 161512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/15/28<sup>(a)</sup> | 171 | 159049 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 08/15/30 | 153 | 123991 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 09/01/32<sup>(a)</sup> | 690 | 647004 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/15/38 | 300 | 252710 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 12/01/47 | 87 | 74006 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 04/15/48<sup>(a)</sup> | 100 | 78913 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 02/15/49 | 121 | 106346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 03/14/52<sup>(a)</sup> | 149 | 121710 |
|  ONEOK Partners LP<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/15/25 | 87 | 85739 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 02/01/41 | 75 | 70733 |
|  ONEOK, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 09/01/24<sup>(a)</sup> | 75 | 71800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 01/15/26 | 171 | 173048 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 07/15/28<sup>(a)</sup> | 87 | 82111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 03/15/29<sup>(a)</sup> | 171 | 158037 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 03/15/30 | 171 | 143300 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 11/15/32 | 100 | 99995 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 07/13/47 | 171 | 137728 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 07/15/48<sup>(a)</sup> | 87 | 72469 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/15/50<sup>(a)</sup> | 87 | 64782 |
|  Ovintiv Exploration, Inc., 5.38%, 01/01/26 | 99 | 98011 |
|  Ovintiv, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 09/15/30<sup>(a)</sup> | 70 | 76815 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.20%, 11/01/31<sup>(a)</sup> | 80 | 83968 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 11/01/31<sup>(a)</sup> | 87 | 92602 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 08/15/34<sup>(a)</sup> | 87 | 87544 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 08/15/37 | 75 | 75431 |
|  Phillips 66 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 12/15/30<sup>(a)</sup> | 171 | 136916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 11/15/34<sup>(a)</sup> | 233 | 217385 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 05/01/42<sup>(a)</sup> | 74 | 75800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 11/15/44<sup>(a)</sup> | 214 | 195527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 03/15/52 | 68 | 46922 |
|  Phillips 66 Co.<sup>(d)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 10/01/26<sup>(a)</sup> | 87 | 81599 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 12/15/29<sup>(a)</sup> | 65 | 56704 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 10/01/46 | 87 | 76998 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** |  |  |
|  Pioneer Natural Resources Co., 1.90%, 08/15/30<sup>(a)</sup> | $206 | $161323 |
|  Plains All American Pipeline LP/PAA Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 11/01/24<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | 125686 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/15/26 | 87 | 83513 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 12/15/29 | 171 | 148268 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 06/01/42 | 50 | 40526 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 06/15/44 | 130 | 98597 |
|  Sabine Pass Liquefaction LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 05/15/24<sup>(a)</sup> | 345 | 345083 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 03/01/25<sup>(a)</sup> | 171 | 171242 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/30/26<sup>(a)</sup> | 171 | 173025 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/15/27<sup>(a)</sup> | 171 | 167670 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 03/15/28 | 171 | 160735 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/15/30<sup>(a)</sup> | 141 | 130695 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 09/15/37 | 60 | 60042 |
|  Shell International Finance BV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 11/07/24<sup>(a)</sup> | 171 | 162570 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/11/25<sup>(a)</sup> | 214 | 207361 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 05/10/26 | 257 | 242017 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/12/26<sup>(a)</sup> | 171 | 158503 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 11/13/28<sup>(a)</sup> | 171 | 164673 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 11/07/29<sup>(a)</sup> | 171 | 147786 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 05/11/35<sup>(a)</sup> | 130 | 120529 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 12/15/38<sup>(a)</sup> | 275 | 302353 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/25/40 | 75 | 76413 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 11/26/41<sup>(a)</sup> | 87 | 63104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 08/12/43 | 121 | 109254 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/10/46<sup>(a)</sup> | 514 | 419118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 09/12/46 | 155 | 121382 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 11/07/49<sup>(a)</sup> | 162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;113848 |
|  Spectra Energy Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/15/24 | 87 | 86412 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/25<sup>(a)</sup> | 87 | 83623 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/15/45<sup>(a)</sup> | 140 | 115565 |
|  Suncor Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 06/15/38<sup>(a)</sup> | 257 | 263548 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.85%, 06/01/39<sup>(a)</sup> | 87 | 91306 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/47<sup>(a)</sup> | 171 | 129636 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 03/04/51 | 79 | 56749 |
|  Targa Resources Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 07/01/27 | 50 | 49007 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 02/01/33<sup>(a)</sup> | 81 | 69689 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 04/15/52<sup>(a)</sup> | 73 | 57751 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 07/01/52 | 50 | 47188 |
|  Targa Resources Partners LP/Targa Resources Partners Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/15/27<sup>(a)</sup> | 71 | 71450 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/15/28<sup>(a)</sup> | 71 | 67731 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 01/15/29<sup>(a)</sup> | 71 | 71565 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/01/30 | 104 | 97856 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 02/01/31 | 104 | 93907 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/15/32<sup>(a)</sup> | 104 | 87505 |
|  TC PipeLines LP<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 03/13/25 | 87 | 85111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 05/25/27 | 78 | 73483 |
|  TotalEnergies Capital International SA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/10/24 | 171 | 168600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.46%, 07/12/49 | 87 | 65003 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 05/29/50 | 171 | 120763 |

---

58 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** |  |  |
|  TotalEnergies Capital International SA (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.39%, 06/29/60<sup>(a)</sup> | $171 | $119025 |
|  TransCanada PipeLines Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 10/12/24<sup>(a)</sup> | 67 | 62010 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 01/15/26<sup>(a)</sup> | 148 | 147066 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 05/15/28<sup>(a)</sup> | 130 | 123059 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 04/15/30<sup>(a)</sup> | 257 | 235429 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 10/12/31 | 87 | 69081 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/01/34 | 130 | 118467 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 03/31/34<sup>(a)</sup> | 87 | 85206 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 10/15/37<sup>(a)</sup> | 70 | 71370 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/15/38<sup>(a)</sup> | 64 | 57044 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 08/15/38<sup>(a)</sup> | 87 | 96326 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 01/15/39<sup>(a)</sup> | 87 | 99467 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/16/43<sup>(a)</sup> | 133 | 118099 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 05/15/48<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;113520 |
|  Transcontinental Gas Pipe Line Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.85%, 02/01/26 | 87 | 92852 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/15/28<sup>(a)</sup> | 130 | 121973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 08/01/42<sup>(a)</sup> | 87 | 73787 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 05/15/50 | 87 | 66154 |
|  Valero Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 09/15/27<sup>(a)</sup> | 191 | 167448 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 06/01/28<sup>(a)</sup> | 131 | 126214 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 06/15/37<sup>(a)</sup> | 75 | 79810 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/15/45<sup>(a)</sup> | 87 | 77240 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 12/01/51 | 75 | 52950 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/01/52<sup>(a)</sup> | 51 | 38313 |
|  Valero Energy Partners LP, 4.50%, 03/15/28<sup>(a)</sup> | 87 | 84353 |
|  Williams Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 03/04/24 | 87 | 85948 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 06/24/24 | 341 | 337268 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 01/15/25<sup>(a)</sup> | 87 | 84723 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/15/25<sup>(a)</sup> | 87 | 84561 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 06/15/27<sup>(a)</sup> | 130 | 122363 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 03/15/31<sup>(a)</sup> | 211 | 170752 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 08/15/32 | 50 | 46545 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.30%, 04/15/40 | 87 | 88872 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 03/04/44 | 171 | 155016 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 09/15/45<sup>(a)</sup> | 155 | 135528 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 03/01/48<sup>(a)</sup> | 87 | 73528 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 08/15/52<sup>(a)</sup> | 130 | 116239 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39351576 |
| **Personal Products — 0.2%** |  |  |
|  Colgate-Palmolive Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 03/15/24<sup>(a)</sup> | 87 | 85548 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 08/15/25 | 140 | 135431 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 08/15/27 | 115 | 108738 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 08/15/32<sup>(a)</sup> | 265 | 239147 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 08/01/47<sup>(a)</sup> | 130 | 110675 |
|  Estee Lauder Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 12/01/24 | 82 | 77808 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 03/15/27<sup>(a)</sup> | 171 | 161245 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 12/01/29 | 69 | 59169 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 04/15/30 | 87 | 74767 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 03/15/47<sup>(a)</sup> | 87 | 74250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 12/01/49 | 119 | 84678 |
|  GSK Consumer Healthcare Capital U.K. PLC, 3.13%, 03/24/25 | 518 | 492615 |
|  GSK Consumer Healthcare Capital U.S. LLC 3.38%, 03/24/27 | 290 | 269977 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Personal Products (continued)** |  |  |
|  GSK Consumer Healthcare Capital |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. LLC (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 03/24/29<sup>(a)</sup> | $265 | $238298 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/24/32 | 338 | 296723 |
|  Procter & Gamble Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.55%, 10/29/25<sup>(a)</sup> | 216 | 193723 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 04/23/26<sup>(a)</sup> | 98 | 87779 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 08/11/27<sup>(a)</sup> | 87 | 81262 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/25/30<sup>(a)</sup> | 171 | 156229 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 10/29/30<sup>(a)</sup> | 275 | 215768 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 04/23/31<sup>(a)</sup> | 171 | 142251 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 02/01/32 | 100 | 84141 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 03/25/40 | 87 | 74951 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 03/25/50 | 171 | 140393 |
|  Unilever Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 07/30/25<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | 239943 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 07/28/26<sup>(a)</sup> | 260 | 236941 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 05/05/27<sup>(a)</sup> | 260 | 242271 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 09/06/29<sup>(a)</sup> | 174 | 147261 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 09/14/30 | 100 | 78111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 08/12/31<sup>(a)</sup> | 174 | 136716 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4766809 |
| **Pharmaceuticals — 1.1%** |  |  |
|  AbbVie, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 11/21/24<sup>(a)</sup> | 316 | 302304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/15/25 | 300 | 292383 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 05/14/25<sup>(a)</sup> | 257 | 249071 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 05/14/26 | 245 | 231973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 11/21/26<sup>(a)</sup> | 341 | 317125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/14/28 | 427 | 411872 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 03/15/35 | 110 | 102859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/14/35<sup>(a)</sup> | 249 | 230650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 05/14/36 | 70 | 63033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 11/21/39 | 408 | 349227 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 11/06/42<sup>(a)</sup> | 240 | 208181 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 06/15/44 | 214 | 196019 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/15/45 | 116 | 104173 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/14/45 | 127 | 112802 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 05/14/46<sup>(a)</sup> | 214 | 183918 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 11/14/48<sup>(a)</sup> | 171 | 155757 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/21/49<sup>(a)</sup> | 500 | 414943 |
|  Astrazeneca Finance LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 05/28/26<sup>(a)</sup> | 171 | 152243 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 05/28/28 | 149 | 127894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 05/28/31<sup>(a)</sup> | 80 | 66544 |
|  AstraZeneca PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.70%, 04/08/26<sup>(a)</sup> | 189 | 166154 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 06/12/27<sup>(a)</sup> | 87 | 81691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/17/29 | 257 | 246642 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 08/06/30<sup>(a)</sup> | 189 | 149315 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.45%, 09/15/37<sup>(a)</sup> | 275 | 309998 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 11/16/45 | 163 | 146293 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 08/17/48 | 155 | 137626 |
|  Bristol-Myers Squibb Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 06/15/26<sup>(a)</sup> | 449 | 428055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 02/20/28 | 171 | 164647 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 07/26/29<sup>(a)</sup> | 149 | 137891 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 11/13/30 | 130 | 102757 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 03/15/32<sup>(a)</sup> | 130 | 113096 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/15/39 | 287 | 255363 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 03/15/42<sup>(a)</sup> | 75 | 60874 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Pharmaceuticals (continued)** |  |  |
|  Bristol-Myers Squibb Co.(continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 08/15/45<sup>(a)</sup> | $170 | $164680 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 11/15/47<sup>(a)</sup> | 140 | 123338 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 02/20/48<sup>(a)</sup> | 135 | 121385 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/26/49<sup>(a)</sup> | 400 | 343736 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;199909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 03/15/62 | 71 | 54579 |
|  Cigna Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.61%, 03/15/24<sup>(a)</sup> | 70 | 66421 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/15/24 | 130 | 127117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/15/25<sup>(a)</sup> | 75 | 72224 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 11/15/25<sup>(a)</sup> | 171 | 167073 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/25/26 | 87 | 85664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 03/15/26 | 87 | 77512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 03/01/27<sup>(a)</sup> | 130 | 121938 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 10/15/27 | 171 | 156458 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 03/15/30<sup>(a)</sup> | 171 | 143251 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 03/15/31 | 75 | 61379 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 08/15/38 | 171 | 158694 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 03/15/40<sup>(a)</sup> | 171 | 129011 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 07/15/46 | 214 | 190915 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 10/15/47 | 130 | 100782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 12/15/48 | 257 | 231560 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 03/15/50 | 171 | 121193 |
|  CVS Health Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 08/15/24 | 211 | 202689 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 03/25/25<sup>(a)</sup> | 63 | 62077 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 07/20/25<sup>(a)</sup> | 163 | 159060 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 06/01/26<sup>(a)</sup> | 300 | 280043 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 04/01/27<sup>(a)</sup> | 62 | 58835 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 08/21/27<sup>(a)</sup> | 257 | 217585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 03/25/28<sup>(a)</sup> | 395 | 382061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 08/15/29<sup>(a)</sup> | 341 | 305061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/01/30 | 298 | 270186 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 08/21/30<sup>(a)</sup> | 353 | 278196 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 02/28/31 | 212 | 166294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 09/15/31<sup>(a)</sup> | 79 | 62637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 07/20/35 | 171 | 162394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.78%, 03/25/38<sup>(a)</sup> | 427 | 388969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 04/01/40 | 140 | 116486 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 08/21/40<sup>(a)</sup> | 122 | 84286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 07/20/45 | 269 | 245168 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 03/25/48<sup>(a)</sup> | 500 | 448772 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/01/50<sup>(a)</sup> | 104 | 82775 |
|  Eli Lilly & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 06/01/25 | 45 | 43013 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 05/15/27 | 130 | 122161 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 03/15/29<sup>(a)</sup> | 171 | 160015 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/01/45<sup>(a)</sup> | 171 | 143449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/15/60 | 104 | 62684 |
|  GlaxoSmithKline Capital PLC, 3.38%, 06/01/29 | 171 | 157628 |
|  GlaxoSmithKline Capital, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 05/15/25<sup>(a)</sup> | 171 | 166972 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 05/15/28<sup>(a)</sup> | 171 | 163957 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 04/15/34<sup>(a)</sup> | 87 | 89300 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 03/18/43 | 104 | 90453 |
|  Johnson & Johnson |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 03/01/26<sup>(a)</sup> | 405 | 380597 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 03/03/27<sup>(a)</sup> | 250 | 236350 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 01/15/28 | 171 | 159393 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 12/05/33 | 87 | 85533 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Pharmaceuticals (continued)** |  |  |
|  Johnson & Johnson (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 03/01/36 | $330 | $292388 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/03/37 | 87 | 77292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/01/40<sup>(a)</sup> | 159 | 151882 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/05/43<sup>(a)</sup> | 130 | 123883 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/01/46 | 87 | 72985 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/15/48<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214 | 174287 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 09/01/60<sup>(a)</sup> | 107 | 65309 |
|  Mead Johnson Nutrition Co.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 11/15/25 | 171 | 167452 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 06/01/44 | 87 | 77702 |
|  Merck & Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 02/10/25<sup>(a)</sup> | 500 | 479131 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 06/10/27<sup>(a)</sup> | 160 | 141844 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 12/10/28<sup>(a)</sup> | 165 | 141663 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 06/24/30 | 257 | 205045 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 03/07/39 | 87 | 76349 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 05/18/43 | 130 | 115112 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 02/10/45<sup>(a)</sup> | 160 | 131593 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/07/49<sup>(a)</sup> | 171 | 145655 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 06/24/50<sup>(a)</sup> | 171 | 108027 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 12/10/61 | 71 | 45123 |
|  Merck Sharp & Dohme Corp., 5.75%, 11/15/36 | 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;137521 |
|  Mylan, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 04/15/28 | 140 | 129511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 11/29/43<sup>(a)</sup> | 87 | 68868 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 04/15/48 | 96 | 71489 |
|  Novartis Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 05/06/24<sup>(a)</sup> | 240 | 235124 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 02/14/25 | 87 | 81996 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/20/25<sup>(a)</sup> | 189 | 181172 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 02/14/27<sup>(a)</sup> | 87 | 79125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 05/17/27 | 427 | 404596 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 08/14/30 | 171 | 145442 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 05/06/44 | 214 | 198569 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/20/45 | 130 | 114049 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 08/14/50<sup>(a)</sup> | 140 | 96830 |
|  Pfizer, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 05/15/24<sup>(a)</sup> | 171 | 167637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.80%, 05/28/25<sup>(a)</sup> | 265 | 242682 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 06/03/26<sup>(a)</sup> | 60 | 56562 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 12/15/26<sup>(a)</sup> | 130 | 123000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 09/15/28<sup>(a)</sup> | 341 | 326101 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 03/15/29<sup>(a)</sup> | 140 | 132022 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 04/01/30<sup>(a)</sup> | 171 | 150210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 05/28/30<sup>(a)</sup> | 142 | 116837 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 08/18/31<sup>(a)</sup> | 171 | 137270 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/15/36 | 87 | 79341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 09/15/38 | 171 | 154966 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 03/15/39 | 87 | 76734 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.20%, 03/15/39<sup>(a)</sup> | 84 | 101569 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 05/28/40<sup>(a)</sup> | 86 | 62185 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 06/15/43<sup>(a)</sup> | 87 | 79910 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 05/15/44<sup>(a)</sup> | 87 | 80550 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 12/15/46<sup>(a)</sup> | 257 | 225836 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 09/15/48<sup>(a)</sup> | 87 | 77413 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/15/49<sup>(a)</sup> | 171 | 147704 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 05/28/50<sup>(a)</sup> | 240 | 162269 |
|  Sanofi, 3.63%, 06/19/28 | 341 | 325290 |
|  Shire Acquisitions Investments Ireland DAC, 3.20%, 09/23/26<sup>(a)</sup> | 324 | 303868 |

---

60 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Pharmaceuticals (continued)** |  |  |  |  |
|  Takeda Pharmaceutical Co. Ltd.<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/26/28 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | $| 198294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.18%, 07/09/50 |  | 200 |  | 134888 |
|  Utah Acquisition Sub, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 06/15/26 |  | 87 |  | 81333 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/15/46 |  | 87 |  | 65783 |
|  Viatris, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 06/22/25 |  | 171 |  | 154873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 06/22/27<sup>(a)</sup> |  | 171 |  | 146111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 06/22/40 |  | 171 |  | 114655 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/22/50 |  | 100 |  | 61614 |
|  Wyeth LLC<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 02/01/34 |  | 87 |  | 97519 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 04/01/37 |  | 87 |  | 93558 |
|  Zoetis, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 08/20/28<sup>(a)</sup> |  | 171 |  | 162430 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 05/15/30<sup>(a)</sup> |  | 71 |  | 57619 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 02/01/43<sup>(a)</sup> |  | 71 |  | 63665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 09/12/47 |  | 87 |  | 70056 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 08/20/48 |  | 87 |  | 74874 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/15/50<sup>(a)</sup> |  | 71 |  | 47961 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25519474 |
| **Real Estate — 0.0%** |  |  |  |  |
|  Prologis LP<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 04/15/27 |  | 30 |  | 26860 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 04/15/30 |  | 213 |  | 177453 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 10/15/30 |  | 65 |  | 49275 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 04/15/50 |  | 95 |  | 63548 |
|  VICI Properties LP, 5.63%, 05/15/52 |  | 61 |  | 53959 |
|  |  |  |  | 371095 |
| **Real Estate Management & Development — 0.0%** | **Real Estate Management & Development — 0.0%** | **Real Estate Management & Development — 0.0%** | **Real Estate Management & Development — 0.0%** | **Real Estate Management & Development — 0.0%** |
|  CBRE Services, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/01/26 |  | 87 |  | 85891 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/31 |  | 107 |  | 84337 |
|  Essential Properties LP, 2.95%, 07/15/31 |  | 41 |  | 29812 |
|  VICI Properties LP, 5.13%, 05/15/32<sup>(a)</sup> |  | 118 |  | 109262 |
|  |  |  |  | 309302 |
| **Road & Rail — 0.4%** |  |  |  |  |
|  Burlington Northern Santa Fe LLC |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/01/24<sup>(a)</sup> |  | 50 |  | 49201 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 09/01/25 |  | 130 |  | 126126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 12/15/25<sup>(a)</sup> |  | 87 |  | 92085 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/15/27<sup>(a)</sup> |  | 300 |  | 283556 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 06/01/41 |  | 50 |  | 50385 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 03/15/42 |  | 53 |  | 47354 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 09/01/42 |  | 87 |  | 77534 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 03/15/43 |  | 70 |  | 62649 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 09/01/43<sup>(a)</sup> |  | 87 |  | 84888 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 04/01/44 |  | 87 |  | 82122 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 09/01/44 |  | 87 |  | 78656 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 04/01/45 |  | 87 |  | 74290 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 09/01/45<sup>(a)</sup> |  | 87 |  | 79894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 08/01/46 |  | 141 |  | 114513 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/15/47<sup>(a)</sup> |  | 87 |  | 73635 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 06/15/48 |  | 60 |  | 49979 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 12/15/48 |  | 87 |  | 73832 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 02/15/51 |  | 71 |  | 49333 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 09/15/51<sup>(a)</sup> |  | 171 |  | 124457 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Road & Rail (continued)** |  |  |
|  Canadian National Railway Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 11/21/24 | $76 | $73272 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 03/01/26<sup>(a)</sup> | 97 | 91370 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 08/05/32<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | 92912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 08/02/46<sup>(a)</sup> | 140 | 102649 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 02/03/48 | 257 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;204903 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 05/01/50 | 81 | 50238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 08/05/52 | 80 | 71047 |
|  Canadian Pacific Railway Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 02/01/25<sup>(a)</sup> | 171 | 163353 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 12/02/26<sup>(a)</sup> | 72 | 64162 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 10/15/31<sup>(a)</sup> | 87 | 96503 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 12/02/31<sup>(a)</sup> | 119 | 98557 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 09/15/35 | 87 | 81312 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 12/02/41<sup>(a)</sup> | 73 | 55035 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 08/01/45 | 191 | 174067 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 12/02/51<sup>(a)</sup> | 103 | 69246 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 09/15/2115 | 87 | 87299 |
|  CSX Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 11/01/25<sup>(a)</sup> | 87 | 83491 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/01/27 | 341 | 318582 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/01/28 | 227 | 216495 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 02/15/30<sup>(a)</sup> | 87 | 73683 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 11/15/32<sup>(a)</sup> | 50 | 46875 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/30/42 | 189 | 172423 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 03/01/48<sup>(a)</sup> | 130 | 110348 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 09/15/49 | 75 | 53960 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 04/15/50<sup>(a)</sup> | 96 | 74447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 05/01/50 | 79 | 62952 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 05/15/51<sup>(a)</sup> | 75 | 45548 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/52<sup>(a)</sup> | 50 | 43406 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 08/01/54 | 87 | 74086 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 03/01/68 | 137 | 115427 |
|  Kansas City Southern |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 11/15/29 | 63 | 54408 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/01/48 | 87 | 74881 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 05/01/50<sup>(a)</sup> | 87 | 61894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 11/15/69 | 78 | 57570 |
|  Norfolk Southern Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 01/15/24<sup>(a)</sup> | 171 | 169280 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 06/01/27<sup>(a)</sup> | 153 | 142218 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 11/01/29 | 58 | 49718 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/15/32<sup>(a)</sup> | 81 | 69155 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 10/01/42<sup>(a)</sup> | 74 | 60770 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 06/15/45 | 87 | 75104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.94%, 11/01/47 | 80 | 64026 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 02/28/48 | 87 | 71432 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 11/01/49<sup>(a)</sup> | 59 | 42360 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 05/15/50<sup>(a)</sup> | 105 | 70327 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 08/25/51 | 74 | 47792 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/15/53 | 58 | 43546 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 06/01/53<sup>(a)</sup> | 40 | 34767 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.16%, 05/15/55 | 171 | 113165 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 05/15/2121 | 50 | 34579 |
|  Union Pacific Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 02/15/24<sup>(a)</sup> | 171 | 168359 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 08/15/25<sup>(a)</sup> | 87 | 83613 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 03/01/26<sup>(a)</sup> | 171 | 161699 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 02/05/27<sup>(a)</sup> | 57 | 51468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 09/10/28<sup>(a)</sup> | 171 | 164375 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/01/29<sup>(a)</sup> | 171 | 161188 |

---

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

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Road & Rail (continued)** |  |  |  |  |
|  Union Pacific Corp. (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 05/20/31<sup>(a)</sup> | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;221 | $| 186061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 02/14/32<sup>(a)</sup> |  | 64 |  | 55250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/20/33<sup>(a)</sup> |  | 100 |  | 97776 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/01/35 |  | 87 |  | 73492 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 09/15/37 |  | 214 |  | 180868 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 05/20/41<sup>(a)</sup> |  | 75 |  | 58842 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/14/42<sup>(a)</sup> |  | 82 |  | 65176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 11/15/45 |  | 87 |  | 71788 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 03/01/46 |  | 74 |  | 60561 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/10/48 |  | 87 |  | 75665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/05/50<sup>(a)</sup> |  | 189 |  | 136186 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 10/01/51<sup>(a)</sup> |  | 87 |  | 69208 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 03/10/52 |  | 59 |  | 39886 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/14/53 |  | 89 |  | 66827 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/15/59 |  | 135 |  | 105213 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.84%, 03/20/60<sup>(a)</sup> |  | 249 |  | 192348 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 04/06/71 |  | 141 |  | 103845 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 02/14/72<sup>(a)</sup> |  | 69 |  | 50732 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8559555 |
| **Semiconductors & Semiconductor Equipment — 0.6%** | **Semiconductors & Semiconductor Equipment — 0.6%** | **Semiconductors & Semiconductor Equipment — 0.6%** | **Semiconductors & Semiconductor Equipment — 0.6%** | **Semiconductors & Semiconductor Equipment — 0.6%** |
|  Advanced Micro Devices, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.92%, 06/01/32 |  | 75 |  | 69685 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.39%, 06/01/52<sup>(a)</sup> |  | 85 |  | 74643 |
|  Analog Devices, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 12/05/26 |  | 130 |  | 123970 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 10/01/28 |  | 30 |  | 25420 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 10/01/31<sup>(a)</sup> |  | 75 |  | 60560 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 10/01/41<sup>(a)</sup> |  | 149 |  | 109050 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 10/01/51<sup>(a)</sup> |  | 65 |  | 43801 |
|  Broadcom Corp./Broadcom Cayman Finance Ltd. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 01/15/27 |  | 270 |  | 255390 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/15/28 |  | 87 |  | 79147 |
|  Broadcom, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 11/15/25 |  | 62 |  | 58728 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.46%, 09/15/26 |  | 341 |  | 321302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 02/15/28<sup>(a)(d)</sup> |  | 67 |  | 56590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/29<sup>(d)</sup> |  | 95 |  | 86302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 11/15/30 |  | 125 |  | 112019 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 04/15/32<sup>(d)</sup> |  | 108 |  | 94809 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 11/15/32 |  | 206 |  | 181556 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 02/15/33<sup>(d)</sup> |  | 275 |  | 206414 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.42%, 04/15/33<sup>(d)</sup> |  | 202 |  | 161945 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.47%, 04/15/34<sup>(d)</sup> |  | 469 |  | 374137 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.14%, 11/15/35<sup>(d)</sup> |  | 257 |  | 188963 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.93%, 05/15/37<sup>(d)</sup> |  | 377 |  | 328882 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/15/41<sup>(a)(d)</sup> |  | 179 |  | 127096 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/15/51<sup>(d)</sup> |  | 225 |  | 155335 |
|  Flex Ltd. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/28 |  | 200 |  | 199680 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/15/29<sup>(a)</sup> |  | 87 |  | 81916 |
|  Honeywell International, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 08/15/24<sup>(a)</sup> |  | 171 |  | 164178 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.35%, 06/01/25<sup>(a)</sup> |  | 233 |  | 215395 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.10%, 03/01/27<sup>(a)</sup> |  | 171 |  | 148607 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 08/15/29<sup>(a)</sup> |  | 257 |  | 228489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 06/01/30 |  | 171 |  | 141104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 09/01/31 |  | 171 |  | 135132 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.81%, 11/21/47 |  | 87 |  | 71891 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Semiconductors & Semiconductor Equipment (continued)** | **Semiconductors & Semiconductor Equipment (continued)** | **Semiconductors & Semiconductor Equipment (continued)** |
|  Honeywell International, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 06/01/50<sup>(a)</sup> | $76 | $54009 |
|  Intel Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 05/11/24<sup>(a)</sup> | 171 | 166573 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 03/25/25<sup>(a)</sup> | 410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;399697 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 07/29/25<sup>(a)</sup> | 171 | 166781 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 03/25/27<sup>(a)</sup> | 140 | 134972 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 08/05/27<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | 96068 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.60%, 08/12/28<sup>(a)</sup> | 63 | 53518 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 08/05/29 | 100 | 95122 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 11/15/29 | 171 | 146873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/12/31<sup>(a)</sup> | 87 | 68904 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 08/12/41<sup>(a)</sup> | 63 | 43989 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 05/19/46<sup>(a)</sup> | 427 | 343607 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 05/11/47<sup>(a)</sup> | 87 | 70146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.73%, 12/08/47<sup>(a)</sup> | 240 | 179862 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 08/12/51 | 320 | 207199 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 08/05/52<sup>(a)</sup> | 300 | 265397 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 02/15/60<sup>(a)</sup> | 87 | 53621 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 03/25/60<sup>(a)</sup> | 121 | 107397 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 08/12/61 | 63 | 39454 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 08/05/62<sup>(a)</sup> | 100 | 87727 |
|  Jabil, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 04/15/26 | 146 | 129377 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 05/15/27 | 80 | 75646 |
|  Marvell Technology, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 04/15/26 | 154 | 136015 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 04/15/28 | 171 | 144741 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 04/15/31 | 82 | 65956 |
|  Microchip Technology, Inc., 4.25%, 09/01/25 | 171 | 165997 |
|  Micron Technology, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.98%, 02/06/26 | 87 | 85582 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.33%, 02/06/29 | 87 | 83513 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 11/01/29 | 100 | 101578 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.66%, 02/15/30 | 130 | 117907 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.37%, 11/01/41<sup>(a)</sup> | 87 | 58089 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.48%, 11/01/51<sup>(a)</sup> | 87 | 54042 |
|  NVIDIA Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 09/16/26<sup>(a)</sup> | 171 | 162432 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.55%, 06/15/28 | 125 | 106733 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 04/01/30<sup>(a)</sup> | 114 | 99443 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 06/15/31<sup>(a)</sup> | 121 | 96912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/40<sup>(a)</sup> | 122 | 98797 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/50 | 257 | 193973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/01/60 | 52 | 38350 |
|  NXP BV/NXP Funding LLC/NXP USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 05/01/25<sup>(a)</sup> | 85 | 79836 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 06/18/26<sup>(a)</sup> | 81 | 77228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 06/01/27<sup>(a)</sup> | 90 | 86051 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 06/18/29 | 171 | 158442 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 05/01/30<sup>(a)</sup> | 80 | 68765 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 05/11/31<sup>(a)</sup> | 149 | 117319 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 02/15/32 | 67 | 52126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/15/33<sup>(a)</sup> | 112 | 105096 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/11/41<sup>(a)</sup> | 87 | 60209 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 02/15/42<sup>(a)</sup> | 87 | 58225 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/30/51 | 75 | 46584 |
|  Qorvo, Inc., 4.38%, 10/15/29<sup>(a)</sup> | 96 | 84887 |
|  QUALCOMM, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/20/27<sup>(a)</sup> | 87 | 82733 |

---

62 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Semiconductors & Semiconductor Equipment (continued)** | **Semiconductors & Semiconductor Equipment (continued)** | **Semiconductors & Semiconductor Equipment (continued)** |
|  QUALCOMM, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 05/20/28 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;184 | $155678 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 05/20/30<sup>(a)</sup> | 105 | 88834 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 05/20/32 | 142 | 109370 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 05/20/32<sup>(a)</sup> | 52 | 50026 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 05/20/33<sup>(a)</sup> | 100 | 104112 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 05/20/35 | 87 | 84477 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 05/20/45 | 130 | 121828 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 05/20/47<sup>(a)</sup> | 107 | 92006 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/20/50<sup>(a)</sup> | 140 | 101331 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/20/52<sup>(a)</sup> | 133 | 116477 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 05/20/53 | 100 | 106207 |
|  Skyworks Solutions, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 06/01/26 | 58 | 50968 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 06/01/31 | 67 | 52550 |
|  Texas Instruments, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 11/18/24 | 100 | 100307 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 09/15/26 | 85 | 75034 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 02/15/28 | 35 | 34952 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 09/04/29<sup>(a)</sup> | 118 | 102020 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 09/15/31 | 98 | 79306 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 08/16/32<sup>(a)</sup> | 50 | 46329 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 03/15/39 | 171 | 150622 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 05/15/48<sup>(a)</sup> | 171 | 151320 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 08/16/52<sup>(a)</sup> | 25 | 22194 |
|  TSMC Arizona Corp., 2.50%, 10/25/31<sup>(a)</sup> | 390 | 319273 |
|  Xilinx, Inc., 2.38%, 06/01/30 | 240 | 201805 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13072662 |
| **Software — 0.5%** |  |  |
|  Activision Blizzard, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 06/15/27<sup>(a)</sup> | 171 | 161717 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.35%, 09/15/30<sup>(a)</sup> | 69 | 53919 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/15/50 | 140 | 85974 |
|  Autodesk, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 01/15/30 | 74 | 63612 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 12/15/31<sup>(a)</sup> | 133 | 106244 |
|  Electronic Arts, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 02/15/31 | 72 | 56591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 02/15/51 | 69 | 44518 |
|  Intuit, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.95%, 07/15/25 | 130 | 118299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.35%, 07/15/27 | 142 | 122813 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 07/15/30 | 169 | 135522 |
|  Microsoft Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 02/06/24<sup>(a)</sup> | 149 | 146358 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 08/08/26<sup>(a)</sup> | 382 | 356197 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 02/06/27<sup>(a)</sup> | 766 | 738183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/12/35<sup>(a)</sup> | 200 | 180654 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 08/08/36<sup>(a)</sup> | 104 | 92007 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 08/08/46<sup>(a)</sup> | 171 | 145323 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.92%, 03/17/52 | 550 | 389125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/06/57<sup>(a)</sup> | 341 | 321076 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.68%, 06/01/60<sup>(a)</sup> | 392 | 248690 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.04%, 03/17/62 | 292 | 201749 |
|  Oracle Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 07/08/24<sup>(a)</sup> | 341 | 332677 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/25 | 621 | 585526 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 05/15/25 | 87 | 82542 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 11/10/25<sup>(a)</sup> | 40 | 40895 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 03/25/26 | 154 | 137864 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Software (continued)** |  |  |
|  Oracle Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 07/15/26<sup>(a)</sup> | $130 | $119486 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 04/01/27<sup>(a)</sup> | 257 | 233869 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/15/27<sup>(a)</sup> | 130 | 119400 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 03/25/28<sup>(a)</sup> | 237 | 205282 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.15%, 11/09/29<sup>(a)</sup> | 70 | 72658 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/15/30<sup>(a)</sup> | 163 | 141528 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 03/25/31<sup>(a)</sup> | 267 | 221377 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 11/09/32<sup>(a)</sup> | 200 | 209324 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 07/08/34<sup>(a)</sup> | 384 | 337280 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 05/15/35<sup>(a)</sup> | 87 | 72755 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 07/15/36 | 130 | 106303 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 11/15/37 | 130 | 102933 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 07/08/39 | 87 | 86536 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 04/01/40<sup>(a)</sup> | 316 | 231821 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 07/15/40<sup>(a)</sup> | 71 | 65153 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 03/25/41<sup>(a)</sup> | 285 | 210385 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 07/08/44<sup>(a)</sup> | 87 | 69953 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/15/46 | 384 | 279836 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/47 | 257 | 187840 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 04/01/50<sup>(a)</sup> | 200 | 134653 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/25/51<sup>(a)</sup> | 346 | 246504 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.90%, 11/09/52 | 350 | 374439 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 05/15/55 | 214 | 161731 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 04/01/60<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;359 | 238532 |
|  Roper Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 09/15/24<sup>(a)</sup> | 84 | 80202 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 09/15/25<sup>(a)</sup> | 108 | 96764 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 12/15/26<sup>(a)</sup> | 87 | 83333 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 09/15/27<sup>(a)</sup> | 65 | 54987 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 09/15/29 | 76 | 66096 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 06/30/30 | 67 | 53694 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 02/15/31 | 86 | 66252 |
|  Salesforce, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/11/28 | 341 | 327073 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 07/15/28<sup>(a)</sup> | 60 | 51170 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 07/15/31 | 81 | 64579 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 07/15/41<sup>(a)</sup> | 156 | 111341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 07/15/51<sup>(a)</sup> | 237 | 155334 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 07/15/61<sup>(a)</sup> | 50 | 31749 |
|  ServiceNow, Inc., 1.40%, 09/01/30<sup>(a)</sup> | 140 | 107102 |
|  Take-Two Interactive Software, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 03/28/24<sup>(a)</sup> | 90 | 87895 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 04/14/25 | 82 | 78914 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/14/27 | 65 | 61166 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/14/32<sup>(a)</sup> | 76 | 67270 |
|  VMware, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 08/15/26 | 341 | 297272 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/15/30 | 141 | 131160 |
|  Workday, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/27 | 81 | 75700 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/01/29 | 61 | 55964 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 04/01/32<sup>(a)</sup> | 89 | 78564 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11461234 |
| **Specialty Retail — 0.0%** |  |  |
|  AutoZone, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/15/25 | 58 | 55585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/18/29<sup>(a)</sup> | 171 | 157683 |
|  Best Buy Co., Inc., 1.95%, 10/01/30<sup>(a)</sup> | 214 | 169326 |
|  Dick's Sporting Goods, Inc., 4.10%, 01/15/52 | 70 | 45127 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Specialty Retail (continued)** |  |  |  |  |
|  Ross Stores, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 04/15/25 | $| 87 | $| 86427 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 04/15/31<sup>(a)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 |  | 134211 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;648359 |
| **Technology Hardware, Storage & Peripherals — 0.5%** | **Technology Hardware, Storage & Peripherals — 0.5%** | **Technology Hardware, Storage & Peripherals — 0.5%** | **Technology Hardware, Storage & Peripherals — 0.5%** | **Technology Hardware, Storage & Peripherals — 0.5%** |
|  Adobe, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 02/01/25 |  | 57 |  | 53847 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/01/25<sup>(a)</sup> |  | 70 |  | 68024 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 02/01/27 |  | 219 |  | 199313 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 02/01/30<sup>(a)</sup> |  | 206 |  | 175650 |
|  Apple, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 05/06/24<sup>(a)</sup> |  | 171 |  | 167885 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 05/11/24<sup>(a)</sup> |  | 341 |  | 331990 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 09/11/24 |  | 280 |  | 266538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 01/13/25<sup>(a)</sup> |  | 171 |  | 164656 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/09/25<sup>(a)</sup> |  | 74 |  | 70748 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 05/11/25<sup>(a)</sup> |  | 112 |  | 103113 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 05/13/25 |  | 130 |  | 125603 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.55%, 08/20/25<sup>(a)</sup> |  | 477 |  | 430227 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.70%, 02/08/26 |  | 87 |  | 77219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/23/26<sup>(a)</sup> |  | 326 |  | 313178 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 08/04/26<sup>(a)</sup> |  | 241 |  | 223499 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 02/09/27<sup>(a)</sup> |  | 341 |  | 326037 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 05/11/27<sup>(a)</sup> |  | 257 |  | 243569 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 09/12/27<sup>(a)</sup> |  | 171 |  | 159395 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/13/27<sup>(a)</sup> |  | 171 |  | 159594 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 02/08/28 |  | 450 |  | 381261 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 08/05/28 |  | 70 |  | 59297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 08/08/29<sup>(a)</sup> |  | 200 |  | 184868 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 09/11/29<sup>(a)</sup> |  | 212 |  | 183286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 05/11/30 |  | 240 |  | 196019 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 02/08/31 |  | 427 |  | 343696 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 08/05/31 |  | 70 |  | 55963 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 08/08/32<sup>(a)</sup> |  | 200 |  | 181556 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/23/36<sup>(a)</sup> |  | 87 |  | 86306 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 05/04/43<sup>(a)</sup> |  | 300 |  | 258714 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 05/06/44 |  | 87 |  | 81986 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 02/09/45<sup>(a)</sup> |  | 231 |  | 185669 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 05/13/45 |  | 87 |  | 80401 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 02/23/46 |  | 338 |  | 319993 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 08/04/46<sup>(a)</sup> |  | 130 |  | 110378 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 02/09/47<sup>(a)</sup> |  | 87 |  | 80106 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/13/47<sup>(a)</sup> |  | 214 |  | 176157 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 09/11/49<sup>(a)</sup> |  | 214 |  | 151500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 05/11/50<sup>(a)</sup> |  | 206 |  | 136291 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 08/20/50 |  | 177 |  | 110090 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 02/08/51<sup>(a)</sup> |  | 214 |  | 141128 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/08/52 |  | 150 |  | 127454 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 08/20/60<sup>(a)</sup> |  | 171 |  | 103472 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 02/08/61<sup>(a)</sup> |  | 127 |  | 80347 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 08/05/61 |  | 70 |  | 45012 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 08/08/62 |  | 150 |  | 124682 |
|  Dell International LLC/EMC Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/15/24<sup>(a)</sup> |  | 171 |  | 168055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 07/15/25<sup>(a)</sup> |  | 104 |  | 105106 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 10/01/26<sup>(a)</sup> |  | 171 |  | 168315 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 10/01/29<sup>(a)</sup> |  | 214 |  | 209292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.10%, 07/15/36 |  | 69 |  | 77323 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 12/15/41<sup>(a)(d)</sup> |  | 171 |  | 114523 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.35%, 07/15/46 |  | 59 |  | 67216 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Technology Hardware, Storage & Peripherals (continued)** | **Technology Hardware, Storage & Peripherals (continued)** | **Technology Hardware, Storage & Peripherals (continued)** |
|  Dell International LLC/EMC Corp. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 12/15/51<sup>(a)(d)</sup> | $87 | $53244 |
|  Dell, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.10%, 04/15/28 | 71 | 75711 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 04/15/38 | 71 | 68871 |
|  Fortinet, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 03/15/26 | 132 | 115536 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 03/15/31 | 152 | 117000 |
|  Hewlett Packard Enterprise Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 04/01/24<sup>(a)</sup> | 171 | 163191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 10/15/25 | 214 | 211902 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 04/01/26<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 153590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 10/15/35<sup>(a)</sup> | 87 | 89677 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.35%, 10/15/45<sup>(a)</sup> | 130 | 129659 |
|  HP, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 06/17/25<sup>(a)</sup> | 87 | 81281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 06/17/26<sup>(a)</sup> | 130 | 113880 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/28<sup>(a)</sup> | 50 | 48512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/29<sup>(a)</sup> | 90 | 82151 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 06/17/30 | 87 | 73697 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 06/17/31 | 171 | 133223 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 04/15/32<sup>(a)</sup> | 90 | 77381 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/15/33<sup>(a)</sup> | 50 | 46972 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 09/15/41<sup>(a)</sup> | 112 | 107459 |
|  NetApp, Inc., 1.88%, 06/22/25<sup>(a)</sup> | 117 | 107461 |
|  Western Digital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/26<sup>(a)</sup> | 191 | 179868 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 02/01/29 | 74 | 57252 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 02/01/32 | 80 | 57501 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10900566 |
| **Textiles, Apparel & Luxury Goods — 0.0%** |  |  |
|  NIKE, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 03/27/27<sup>(a)</sup> | 341 | 318487 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 03/27/30<sup>(a)</sup> | 171 | 152813 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 03/27/40<sup>(a)</sup> | 171 | 138909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 11/01/45<sup>(a)</sup> | 87 | 75257 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 11/01/46 | 257 | 198858 |
|  VF Corp., 2.95%, 04/23/30<sup>(a)</sup> | 87 | 72259 |
|  |  | 956583 |
| **Thrifts & Mortgage Finance — 0.0%** |  |  |
|  Radian Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/01/24 | 50 | 48228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 03/15/25<sup>(a)</sup> | 50 | 49325 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/15/27<sup>(a)</sup> | 50 | 45812 |
|  |  | 143365 |
| **Tobacco — 0.3%** |  |  |
|  Altria Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 05/06/25<sup>(a)</sup> | 84 | 79121 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 09/16/26 | 341 | 312667 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 02/14/29<sup>(a)</sup> | 95 | 91155 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 05/06/30 | 76 | 64961 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 02/04/32<sup>(a)</sup> | 208 | 156914 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 02/14/39 | 257 | 236971 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 02/04/41 | 171 | 113415 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/02/43 | 71 | 53303 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 01/31/44<sup>(a)</sup> | 226 | 199196 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 02/14/49<sup>(a)</sup> | 100 | 88923 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 05/06/50 | 114 | 80723 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 02/04/51<sup>(a)</sup> | 155 | 97080 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/04/61<sup>(a)</sup> | 121 | 78519 |

---

64 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Tobacco (continued)** |  |  |
|  BAT Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.22%, 08/15/24<sup>(a)</sup> | $214 | $206058 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.79%, 09/06/24<sup>(a)</sup> | 341 | 326298 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.22%, 09/06/26<sup>(a)</sup> | 171 | 157752 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 04/02/27<sup>(a)</sup> | 87 | 83397 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.56%, 08/15/27<sup>(a)</sup> | 427 | 390091 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.26%, 03/25/28<sup>(a)</sup> | 104 | 86312 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.46%, 09/06/29<sup>(a)</sup> | 87 | 74766 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.91%, 04/02/30 | 104 | 95220 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.74%, 03/16/32<sup>(a)</sup> | 96 | 85183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 10/19/32 | 40 | 43023 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.39%, 08/15/37 | 384 | 298561 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.73%, 09/25/40<sup>(a)</sup> | 70 | 47532 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.54%, 08/15/47<sup>(a)</sup> | 231 | 163219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.28%, 04/02/50 | 87 | 68527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.98%, 09/25/50<sup>(a)</sup> | 104 | 68053 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 03/16/52<sup>(a)</sup> | 96 | 79134 |
|  BAT International Finance PLC<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.67%, 03/25/26 | 87 | 77087 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 03/16/28 | 96 | 88911 |
|  Philip Morris International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/10/24 | 171 | 165414 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 11/15/24 | 200 | 200264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 08/11/25<sup>(a)</sup> | 130 | 124848 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/17/25 | 200 | 200899 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 02/25/26<sup>(a)</sup> | 73 | 68378 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 08/17/27<sup>(a)</sup> | 171 | 158416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 11/17/27 | 200 | 201461 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 11/17/29 | 155 | 157244 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 11/01/30 | 41 | 32106 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/17/32<sup>(a)</sup> | 70 | 71360 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 05/16/38<sup>(a)</sup> | 220 | 234184 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/20/42 | 50 | 42173 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/21/42 | 62 | 47070 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/04/43 | 79 | 62420 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 11/15/43<sup>(a)</sup> | 87 | 76056 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/10/44<sup>(a)</sup> | 65 | 52185 |
|  Reynolds American, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 06/12/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 167282 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 08/15/35<sup>(a)</sup> | 82 | 74018 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.15%, 09/15/43<sup>(a)</sup> | 53 | 47272 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6275122 |
| **Transportation Infrastructure — 0.1%** |  |  |
|  FedEx Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/01/26 | 95 | 90384 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 05/15/30<sup>(a)</sup> | 141 | 133000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 05/15/31<sup>(a)</sup> | 109 | 88152 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 02/01/35 | 67 | 56961 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/15/41 | 147 | 104662 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/01/42 | 50 | 37984 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 11/15/45 | 114 | 96255 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 04/01/46 | 130 | 105465 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 01/15/47 | 87 | 69379 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 02/15/48 | 87 | 65987 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 10/17/48 | 171 | 148643 |
|  Ryder System, Inc.<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/01/24 | 72 | 68486 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 09/01/26 | 86 | 75576 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 03/01/27 | 57 | 51454 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Transportation Infrastructure (continued)** |  |  |
|  Ryder System, Inc.<sup>(a)</sup> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 06/15/27 | $60 | $57465 |
|  United Parcel Service, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 04/01/25<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 | 168296 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 11/15/26<sup>(a)</sup> | 141 | 130770 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 11/15/27<sup>(a)</sup> | 87 | 81684 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 01/15/38 | 74 | 81813 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 04/01/40<sup>(a)</sup> | 171 | 171188 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 10/01/42 | 87 | 72242 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 11/15/46 | 78 | 60245 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/15/47<sup>(a)</sup> | 87 | 71114 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 09/01/49<sup>(a)</sup> | 75 | 57907 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 04/01/50<sup>(a)</sup> | 171 | 177429 |
|  |  | 2322541 |
| **Utilities — 0.1%** |  |  |
|  American Water Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 03/01/25<sup>(a)</sup> | 130 | 125916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 09/01/27<sup>(a)</sup> | 87 | 80209 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 09/01/28<sup>(a)</sup> | 257 | 243038 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 06/01/29 | 87 | 79439 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 06/01/31<sup>(a)</sup> | 155 | 127129 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 06/01/32<sup>(a)</sup> | 90 | 86104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 09/01/45 | 87 | 73618 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 09/01/47 | 87 | 67711 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 06/01/49 | 87 | 71652 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/01/51<sup>(a)</sup> | 155 | 110494 |
|  Essential Utilities, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 05/01/31<sup>(a)</sup> | 171 | 135852 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 04/15/50 | 171 | 116776 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 05/01/52 | 61 | 57041 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1374979 |
| **Wireless Telecommunication Services — 0.3%** |  |  |
|  America Movil SAB de CV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 04/22/29 | 244 | 221171 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 03/30/40<sup>(a)</sup> | 300 | 309150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 07/16/42<sup>(a)</sup> | 229 | 195409 |
|  GLP Capital LP/GLP Financing II, Inc., 5.30%, 01/15/29<sup>(a)</sup> | 171 | 161824 |
|  Orange SA, 9.00%, 03/01/31<sup>(a)</sup> | 237 | 289925 |
|  Realty Income Corp., 5.63%, 10/13/32<sup>(a)</sup> | 90 | 91406 |
|  Rogers Communications, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 03/15/25<sup>(a)(d)</sup> | 71 | 67650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 12/15/25<sup>(a)</sup> | 267 | 255773 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 11/15/26<sup>(a)</sup> | 171 | 156797 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 03/15/27<sup>(a)(d)</sup> | 73 | 67544 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/15/32<sup>(a)(d)</sup> | 58 | 50051 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/15/42<sup>(a)(d)</sup> | 59 | 48089 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/15/44 | 87 | 74533 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 02/15/48 | 214 | 161292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 11/15/49<sup>(a)</sup> | 71 | 48084 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 03/15/52<sup>(a)(d)</sup> | 240 | 186069 |
|  T-Mobile USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/15/25 | 179 | 172145 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 02/15/26 | 171 | 153118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 02/15/26<sup>(a)</sup> | 150 | 136446 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 04/15/26<sup>(a)</sup> | 100 | 91641 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/15/27 | 300 | 282567 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 04/15/27<sup>(a)</sup> | 100 | 100956 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/01/28<sup>(a)</sup> | 125 | 121536 |

---

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Wireless Telecommunication Services (continued)** | **Wireless Telecommunication Services (continued)** | **Wireless Telecommunication Services (continued)** |
|  T-Mobile USA, Inc. (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 02/15/28 | $87 | $74718 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 02/15/29 | 100 | 84653 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 04/15/29 | 200 | 176154 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 04/15/30 | 600 | 543489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 02/15/31 | 259 | 211582 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 02/15/31 | 100 | 82633 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/15/31<sup>(a)</sup> | 225 | 194355 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 11/15/31 | 59 | 46409 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 03/15/32<sup>(a)</sup> | 130 | 105033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 01/15/33<sup>(a)</sup> | 200 | 198197 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 04/15/40 | 214 | 182628 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/15/41<sup>(a)</sup> | 341 | 240618 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/15/50 | 295 | 242531 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 02/15/51<sup>(a)</sup> | 300 | 200203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 10/15/52<sup>(a)</sup> | 341 | 229135 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 11/15/60 | 174 | 114887 |
|  Vodafone Group PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 05/30/25<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257 | 252908 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 02/15/30 | 74 | 83399 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.15%, 02/27/37<sup>(a)</sup> | 87 | 88141 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/30/38<sup>(a)</sup> | 87 | 80060 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 02/19/43<sup>(a)</sup> | 163 | 130489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 05/30/48<sup>(a)</sup> | 324 | 285356 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/17/50<sup>(a)</sup> | 205 | 156328 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/19/59 | 104 | 88850 |
|  |  | 7535932 |
|  **Total Corporate Bonds — 25.1%<br>(Cost: $641,775,313)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;559143554 |
|  **Foreign Agency Obligations** |  |  |
| **Canada — 0.2%** |  |  |
|  Canada Government International Bond, 1.63%, 01/22/25 | 355 | 335572 |
|  Province of Alberta Canada<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 11/13/24 | 171 | 162617 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 05/20/25 | 511 | 470175 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 03/15/28 | 341 | 322654 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 07/22/30 | 341 | 272453 |
|  Province of British Columbia Canada<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 06/02/26 | 171 | 159345 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.90%, 07/20/26 | 341 | 302108 |
|  Province of Manitoba Canada, Series HB, 1.50%, 10/25/28<sup>(a)</sup> | 341 | 289267 |
|  Province of New Brunswick Canada, 3.63%, 02/24/28<sup>(a)</sup> | 171 | 164646 |
|  Province of Ontario Canada |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.63%, 01/21/26<sup>(a)</sup> | 171 | 152026 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.05%, 05/21/27<sup>(a)</sup> | 171 | 148258 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 10/02/29<sup>(a)</sup> | 171 | 147295 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 10/07/30 | 341 | 267416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.60%, 02/25/31 | 341 | 276134 |
|  Province of Quebec Canada |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.60%, 07/23/25<sup>(a)</sup> | 341 | 308873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/20/26<sup>(a)</sup> | 469 | 440821 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 04/12/27<sup>(a)</sup> | 341 | 319661 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Canada (continued)** |  |  |
|  Province of Quebec Canada (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.35%, 05/28/30 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;341 | $276220 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series QO, 2.88%, 10/16/24<sup>(a)</sup> | 87 | 84279 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series QW, 2.50%, 04/09/24 | 341 | 330688 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series QX, 1.50%, 02/11/25<sup>(a)</sup> | 341 | 320566 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5551074 |
| **Chile — 0.1%** |  |  |
|  Chile Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 01/31/31<sup>(a)</sup> | 417 | 345276 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 07/27/33<sup>(a)</sup> | 390 | 304882 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/31/34 | 200 | 170100 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 10/30/42<sup>(a)</sup> | 350 | 267269 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/31/52<sup>(a)</sup> | 290 | 223264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 01/22/61<sup>(a)</sup> | 318 | 197617 |
|  |  | 1508408 |
| **Germany — 0.0%** |  |  |
|  Landwirtschaftliche Rentenbank, 1.75%, 07/27/26 | 171 | 156415 |
| **Hungary — 0.0%** |  |  |
|  Hungary Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 03/25/24 | 260 | 259399 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 03/29/41<sup>(a)</sup> | 134 | 146085 |
|  |  | 405484 |
| **Indonesia — 0.1%** |  |  |
|  Indonesia Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 09/20/27<sup>(a)</sup> | 200 | 196022 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 04/24/28<sup>(a)</sup> | 522 | 510842 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 02/14/30 | 490 | 436958 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 09/20/32 | 200 | 196022 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 01/11/48<sup>(a)</sup> | 284 | 244271 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 10/15/50<sup>(a)</sup> | 322 | 266088 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 03/12/51<sup>(a)</sup> | 211 | 152471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 09/23/61 | 222 | 152094 |
|  |  | 2154768 |
| **Israel — 0.1%** |  |  |
|  Israel Government International Bond<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 01/17/28 | 318 | 300073 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/30/43 | 415 | 383693 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 01/17/48 | 322 | 279295 |
|  State of Israel, 2.50%, 01/15/30 | 490 | 435732 |
|  |  | 1398793 |
| **Italy — 0.0%** |  |  |
|  Republic of Italy Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 02/17/26 | 511 | 443242 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 10/17/29 | 200 | 165580 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 06/15/33<sup>(a)</sup> | 130 | 125856 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/17/49 | 417 | 295278 |
|  |  | 1029956 |
| **Japan — 0.1%** |  |  |
|  Japan Bank for International Cooperation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 11/16/27 | 500 | 460024 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 07/20/28<sup>(a)</sup> | 690 | 642721 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 10/17/29<sup>(a)</sup> | 200 | 169650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 04/15/31<sup>(a)</sup> | 514 | 418903 |

---

66 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Japan (continued)** |  |  |
|  Japan Bank for International Cooperation (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series DTC, 2.50%, 05/23/24<sup>(a)</sup> | $500 | $483569 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series DTC, 2.25%, 11/04/26 | 500 | 456822 |
|  |  | 2631689 |
| **Mexico — 0.2%** |  |  |
|  Mexico Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 01/21/26 | 511 | 500780 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.66%, 05/24/31 | 200 | 161600 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 04/27/32<sup>(a)</sup> | 211 | 197324 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 05/19/33 | 200 | 184200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/12/34<sup>(a)</sup> | 450 | 361125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 09/27/34<sup>(a)</sup> | 53 | 55180 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 01/11/40 | 394 | 382377 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.28%, 08/14/41 | 518 | 398148 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/08/44<sup>(a)</sup> | 378 | 304597 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 01/21/45 | 260 | 233399 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 01/23/46 | 318 | 246907 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 02/10/48 | 390 | 301226 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/31/50<sup>(a)</sup> | 473 | 359864 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/27/51<sup>(a)</sup> | 390 | 316461 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 02/12/52<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | 147400 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/12/2110 | 88 | 74019 |
|  |  | 4224607 |
| **Panama — 0.1%** |  |  |
|  Panama Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 09/29/32 | 690 | 510945 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.70%, 01/26/36<sup>(a)</sup> | 62 | 64860 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/16/50 | 432 | 325836 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/56 | 392 | 287458 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.87%, 07/23/60<sup>(a)</sup> | 397 | 255767 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1444866 |
| **Peru — 0.1%** |  |  |
|  Peruvian Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.39%, 01/23/26 | 341 | 313571 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/25/27 | 171 | 163871 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.84%, 06/20/30<sup>(a)</sup> | 307 | 259664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 01/23/31 | 341 | 281922 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.86%, 12/01/32 | 130 | 94884 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 11/21/33<sup>(a)</sup> | 77 | 93930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/15/34 | 388 | 305502 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.55%, 03/14/37<sup>(a)</sup> | 87 | 91774 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 03/11/41 | 141 | 102736 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 11/18/50<sup>(a)</sup> | 240 | 237570 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 12/01/60 | 214 | 125163 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 01/15/72 | 75 | 48788 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.23%, 07/28/2121<sup>(a)</sup> | 87 | 50721 |
|  |  | 2170096 |
| **Philippines — 0.1%** |  |  |
|  Philippine Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 01/21/24 | 617 | 610898 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 01/14/31<sup>(a)</sup> | 257 | 305858 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 10/23/34<sup>(a)</sup> | 250 | 276903 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/13/37 | 522 | 506397 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 01/20/40 | 250 | 212528 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Philippines (continued)** |  |  |
|  Philippine Government International Bond (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 02/02/42 | $397 | $322606 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 10/13/47<sup>(a)</sup> | 400 | 430044 |
|  |  | 2665234 |
| **Poland — 0.0%** |  |  |
|  Republic of Poland Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/22/24 | 384 | 378432 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 04/06/26 | 214 | 204745 |
|  |  | 583177 |
| **South Korea — 0.1%** |  |  |
|  Export-Import Bank of Korea |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/10/25<sup>(a)</sup> | 500 | 475250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/32 | 200 | 194958 |
|  Korea Development Bank, 2.00%, 10/25/31 | 500 | 396344 |
|  Korea International Bond<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/10/44 | 250 | 229472 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 09/20/48 | 200 | 174022 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1470046 |
| **Supranational — 0.8%** |  |  |
|  African Development Bank, 0.88%, 03/23/26<sup>(a)</sup> | 341 | 304918 |
|  Asian Development Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 01/30/24 | 511 | 498982 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 06/11/24 | 511 | 480020 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 10/18/24<sup>(a)</sup> | 511 | 483615 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 02/04/26 | 341 | 303097 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 04/14/26 | 341 | 306695 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 04/24/26<sup>(a)</sup> | 171 | 158935 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 01/12/27 | 171 | 161010 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 11/02/27<sup>(a)</sup> | 341 | 315981 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 01/19/28 | 130 | 121660 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.82%, 06/16/28 | 681 | 729542 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 09/19/29<sup>(a)</sup> | 341 | 293479 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 01/24/30<sup>(a)</sup> | 500 | 429387 |
|  European Bank for Reconstruction & Development<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 02/13/25 | 171 | 160740 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 05/19/25 | 341 | 311040 |
|  European Investment Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 01/29/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;511 | 502565 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 03/15/24 | 341 | 332286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 03/14/25<sup>(a)</sup> | 500 | 471110 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.63%, 07/25/25<sup>(a)</sup> | 341 | 310296 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 03/26/26 | 700 | 617929 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 04/13/26<sup>(a)</sup> | 171 | 159538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 10/26/26 | 247 | 216544 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 10/09/29 | 130 | 111237 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 05/17/30 | 500 | 398721 |
|  Inter-American Development Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 01/15/25<sup>(a)</sup> | 171 | 163161 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 03/14/25<sup>(a)</sup> | 511 | 481779 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 04/03/25 | 511 | 472501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 04/20/26<sup>(a)</sup> | 511 | 457191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 06/02/26 | 87 | 80585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 07/07/27 | 171 | 158141 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 07/20/28<sup>(a)</sup> | 511 | 433882 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 06/18/29<sup>(a)</sup> | 500 | 446640 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 01/13/31<sup>(a)</sup> | 427 | 341083 |

---

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Supranational (continued)** |  |  |
|  Inter-American Development Bank (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 08/07/42<sup>(a)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | $107705 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/24/44<sup>(a)</sup> | 75 | 73437 |
|  International Bank for Reconstruction & Development |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 03/19/24<sup>(a)</sup> | 511 | 496722 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 01/15/25 | 511 | 482670 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 07/28/25<sup>(a)</sup> | 511 | 461780 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 10/28/25 | 341 | 306348 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 09/13/28<sup>(a)</sup> | 850 | 719471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 08/26/30<sup>(a)</sup> | 800 | 624008 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 02/10/31<sup>(a)</sup> | 500 | 403527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 03/29/32 | 700 | 614418 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/35<sup>(a)</sup> | 87 | 90567 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series GDIF, 2.50%, 11/25/24<sup>(a)</sup> | 511 | 491663 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series GDIF, 2.50%, 07/29/25<sup>(a)</sup> | 171 | 163213 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series GDIF, 1.88%, 10/27/26 | 130 | 119001 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series GDIF, 2.50%, 11/22/27 | 341 | 316005 |
|  International Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 07/16/25 | 341 | 308347 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 10/08/26<sup>(a)</sup> | 341 | 298872 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 08/27/30<sup>(a)</sup> | 341 | 265698 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17557742 |
| **Uruguay — 0.1%** |  |  |
|  Uruguay Government International Bond<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 08/14/24 | 143 | 142381 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 10/27/27 | 171 | 172368 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/23/31 | 427 | 425079 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 06/18/50 | 384 | 378624 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.98%, 04/20/55 | 200 | 192500 |
|  |  | 1310952 |
|  **Total Foreign Agency Obligations — 2.1%<br>(Cost: $52,294,804)** |  | 46263307 |
|  **Municipal Bonds** |  |  |
| **Alabama — 0.0%** |  |  |
|  Alabama Federal Aid Highway Finance Authority, Refunding RB, Series B, 2.65%, 09/01/37 | 30 | 22265 |
| **Arizona — 0.0%** |  |  |
|  Salt River Project Agricultural Improvement & Power District, RB, BAB, 4.84%, 01/01/41 | 85 | 82904 |
| **California — 0.2%** |  |  |
|  Bay Area Toll Authority, RB, BAB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series S-1, 6.92%, 04/01/40 | 120 | 137535 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series S-1, 7.04%, 04/01/50<sup>(a)</sup> | 75 | 92163 |
|  Bay Area Toll Authority, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.57%, 04/01/31 | 59 | 51517 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F-3, 3.13%, 04/01/55 | 95 | 63462 |
|  California Health Facilities Financing Authority, RB, M/F Housing |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.19%, 06/01/37 | 65 | 58066 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 06/01/41 | 85 | 75586 |
|  California State University, RB, Series E, 2.90%, 11/01/51 | 75 | 51687 |
|  California State University, Refunding RB Series B, 2.98%, 11/01/51 | 180 | 122905 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **California (continued)** |  |  |
|  California State University, Refunding RB (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 2.72%, 11/01/52 | $80 | $51349 |
|  City of Los Angeles Department of Airports Customer Facility Charge Revenue, Refunding ARB, Class A, (AGM), 4.24%, 05/15/48 | 60 | 49533 |
|  City of San Francisco California Public Utilities Commission Water Revenue, RB, BAB, 6.95%, 11/01/50 | 75 | 91133 |
|  City of San Francisco California Public Utilities Commission Water Revenue, Refunding RB, Series E, 2.83%, 11/01/41 | 95 | 69782 |
|  East Bay Municipal Utility District Water System Revenue, RB, BAB, 5.87%, 06/01/40 | 75 | 81505 |
|  Foothill-Eastern Transportation Corridor Agency, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.09%, 01/15/49 | 80 | 61096 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, (AGM), 3.92%, 01/15/53 | 65 | 46486 |
|  Golden State Tobacco Securitization Corp., Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class B, (SAP), 2.75%, 06/01/34 | 60 | 47630 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class B, (SAP), 3.29%, 06/01/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112064 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class B, (SAP), 3.00%, 06/01/46 | 45 | 40542 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series S-1, 3.71%, 06/01/41 | 80 | 61632 |
| &nbsp;&nbsp;&nbsp;&nbsp; Subordinate, 3.85%, 06/01/50 | 85 | 73868 |
|  Los Angeles Community College District, GO, BAB, 6.75%, 08/01/49<sup>(a)</sup> | 100 | 124755 |
|  Los Angeles Community College District, Refunding GO, 2.11%, 08/01/32 | 125 | 97716 |
|  Los Angeles County Public Works Financing Authority, Refunding RB, 7.62%, 08/01/40 | 75 | 91952 |
|  Los Angeles Department of Water & Power, RB, BAB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.72%, 07/01/39 | 75 | 79771 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.57%, 07/01/45 | 125 | 147257 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.60%, 07/01/50 | 90 | 105118 |
|  Los Angeles Unified School District, GO, BAB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series KR, 5.76%, 07/01/29 | 85 | 87581 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series KR, 5.75%, 07/01/34 | 160 | 166864 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series RY, 6.76%, 07/01/34 | 175 | 195554 |
|  Regents of the University of California Medical Center Pooled Revenue, RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series N, 3.71%, 05/15/2120 | 100 | 62841 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series Q, 4.13%, 05/15/32 | 70 | 64773 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series Q, 4.56%, 05/15/53<sup>(a)</sup> | 85 | 73763 |
|  Regents of the University of California Medical Center Pooled Revenue, RB, BAB, Series H, 6.55%, 05/15/48<sup>(a)</sup> | 65 | 73976 |
|  San Diego County Regional Transportation Commission, RB, BAB, 5.91%, 04/01/48 | 70 | 74440 |
|  San Diego County Regional Transportation Commission, Refunding RB, Series A, 3.25%, 04/01/48 | 62 | 46360 |
|  San Diego County Water Authority, RB, BAB, Series B, 6.14%, 05/01/49 | 85 | 93658 |
|  San Joaquin Hills Transportation Corridor Agency, Refunding RB, Series B, (AGM), 3.49%, 01/15/50 | 75 | 52394 |

---

68 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **California (continued)** |  |  |
|  Santa Clara Valley Transportation Authority, RB, BAB, 5.88%, 04/01/32 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;110 | $113309 |
|  State of California, GO, BAB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.30%, 10/01/39 | 110 | 133478 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.35%, 11/01/39 | 280 | 341351 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.60%, 11/01/40 | 325 | 416240 |
|  State of California, Refunding GO |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 04/01/25 | 75 | 72873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/28 | 70 | 65655 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 10/01/29 | 220 | 189782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 04/01/38 | 65 | 60954 |
|  University of California, RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AD, 4.86%, 05/15/2112<sup>(a)</sup> | 75 | 63668 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AQ, 4.77%, 12/31/99<sup>(a)</sup> | 72 | 59187 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series BD, 3.35%, 07/01/29 | 110 | 99781 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series BG, 0.88%, 05/15/25 | 90 | 81752 |
|  University of California, Refunding RB, Series AX, 3.06%, 07/01/25 | 75 | 71638 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4847982 |
| **Colorado — 0.0%** |  |  |
|  Regional Transportation District Sales Tax Revenue, RB, BAB, Series B, 5.84%, 11/01/50 | 75 | 80764 |
| **Connecticut — 0.0%** |  |  |
|  State of Connecticut, GO, Series A, 5.85%, 03/15/32<sup>(a)</sup> | 110 | 115990 |
| **District of Columbia — 0.0%** |  |  |
|  District of Columbia Water & Sewer Authority, RB, Series A, Senior Lien, 4.81%, 10/01/2114<sup>(a)</sup> | 70 | 60565 |
|  District of Columbia Water & Sewer Authority, Refunding RB, Series D, Subordinate Lien, 3.21%, 10/01/48 | 65 | 46097 |
|  District of Columbia, RB, BAB, Series E, 5.59%, 12/01/34 | 75 | 77766 |
|  Metropolitan Washington Airports Authority Dulles Toll Road Revenue, RB, BAB, 7.46%, 10/01/46<sup>(a)</sup> | 75 | 92169 |
|  |  | 276597 |
| **Florida — 0.0%** |  |  |
|  County of Miami-Dade Florida Aviation Revenue, Refunding RB, Series C, 4.28%, 10/01/41 | 125 | 107328 |
|  County of Miami-Dade Florida Transit System, Refunding RB, Series B, 2.60%, 07/01/42 | 60 | 41918 |
|  County of Miami-Dade Florida Water & Sewer System Revenue, Refunding RB, Series C, 3.49%, 10/01/42 | 70 | 55875 |
|  State Board of Administration Finance Corp., RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 1.26%, 07/01/25 | 128 | 116814 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 2.15%, 07/01/30 | 165 | 134802 |
|  |  | 456737 |
| **Georgia — 0.0%** |  |  |
|  City of Atlanta Georgia Water & Wastewater Revenue, Refunding RB, 2.26%, 11/01/35 | 80 | 59977 |
|  Municipal Electric Authority of Georgia, Refunding RB, BAB, 6.66%, 04/01/57 | 120 | 127595 |
|  |  | 187572 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Idaho — 0.0%** |  |  |
|  Idaho Energy Resources Authority, RB, 2.86%, 09/01/46 | $85 | $58490 |
| **Illinois — 0.1%** |  |  |
|  Chicago O'Hare International Airport, ARB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, Senior Lien, 4.47%, 01/01/49<sup>(a)</sup> | 65 | 57995 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, Senior Lien, 4.57%, 01/01/54 | 65 | 58596 |
|  Chicago O'Hare International Airport, Refunding ARB, Series B, 6.40%, 01/01/40 | 95 | 105847 |
|  Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, RB, Series A, 6.90%, 12/01/40 | 95 | 104970 |
|  Chicago Transit Authority Sales Tax Receipts Fund, RB, BAB, Series B, 6.20%, 12/01/40 | 90 | 94833 |
|  Illinois State Toll Highway Authority, RB, BAB, Series A, 6.18%, 01/01/34 | 87 | 92800 |
|  Metropolitan Water Reclamation District of Greater Chicago, GO, BAB, 5.72%, 12/01/38 | 70 | 73399 |
|  Sales Tax Securitization Corp., Refunding RB, Series B, 2nd Lien, 3.24%, 01/01/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;230 | 170681 |
|  State of Illinois, GO, 5.10%, 06/01/33 | 795 | 760255 |
|  State of Illinois, GO, BAB, 7.35%, 07/01/35 | 74 | 77694 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1597070 |
| **Indiana — 0.0%** |  |  |
|  Indiana Finance Authority, Refunding RB, 3.05%, 01/01/51<sup>(a)</sup> | 75 | 54277 |
| **Kansas — 0.0%** |  |  |
|  Kansas Development Finance Authority, RB, Series K, (BAM), 2.77%, 05/01/51<sup>(a)</sup> | 55 | 37061 |
| **Louisiana — 0.0%** |  |  |
|  Louisiana Local Government Environmental Facilities & Community Development Authority, RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class A-1, 3.62%, 02/01/29 | 135 | 131252 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class A-4, 4.48%, 08/01/39 | 110 | 101478 |
|  State of Louisiana Gasoline & Fuels Tax Revenue, Refunding RB, Series A, 2.95%, 05/01/41 | 95 | 68943 |
|  |  | 301673 |
| **Massachusetts — 0.0%** |  |  |
|  Commonwealth of Massachusetts, GO, Series H, 2.90%, 09/01/49 | 80 | 53921 |
|  Commonwealth of Massachusetts, GO, BAB, 5.46%, 12/01/39<sup>(a)</sup> | 180 | 185274 |
|  Massachusetts School Building Authority, RB, BAB, 5.72%, 08/15/39 | 115 | 120607 |
|  Massachusetts School Building Authority, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 1.75%, 08/15/30 | 75 | 60955 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sub-Series B, 3.40%, 10/15/40 | 70 | 55395 |
|  Massachusetts Water Resources Authority, Refunding RB, Series C, 2.82%, 08/01/41 | 65 | 47096 |
|  |  | 523248 |
| **Michigan — 0.0%** |  |  |
|  Great Lakes Water Authority Sewage Disposal System Revenue, Refunding RB, Series A, 3.06%, 07/01/39 | 30 | 22933 |
|  Michigan Finance Authority, Refunding RB 3.08%, 12/01/34 | 60 | 49810 |

---

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Michigan (continued)** |  |  |
|  Michigan Finance Authority, Refunding RB (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 12/01/40 | $70 | $55686 |
|  Michigan State Building Authority, Refunding RB, 2nd Series, 2.71%, 10/15/40 | 95 | 68585 |
|  Michigan State University, RB, Series A, 4.17%, 08/15/2122<sup>(a)</sup> | 82 | 60570 |
|  Michigan Strategic Fund, RB, 3.23%, 09/01/47 | 85 | 60278 |
|  University of Michigan, RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 3.50%, 04/01/52<sup>(a)</sup> | 60 | 46808 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.45%, 04/01/2122<sup>(a)</sup> | 74 | 60136 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.50%, 04/01/52 | 95 | 74110 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;498916 |
| **Minnesota — 0.0%** |  |  |
|  University of Minnesota, RB, 4.05%, 04/01/52 | 64 | 55139 |
| **Missouri — 0.0%** |  |  |
|  Health & Educational Facilities Authority of the State of Missouri, RB, Series A, 3.65%, 08/15/57<sup>(a)</sup> | 90 | 67985 |
| **Nevada — 0.0%** |  |  |
|  County of Clark Department of Aviation, ARB, BAB, Series C, 6.82%, 07/01/45 | 95 | 113003 |
| **New Jersey — 0.1%** |  |  |
|  New Jersey Economic Development Authority, RB, Series A, (NPFGC), 7.43%, 02/15/29 | 249 | 267900 |
|  New Jersey Transportation Trust Fund Authority, RB, BAB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 6.56%, 12/15/40 | 75 | 80367 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 5.75%, 12/15/28 | 70 | 70464 |
|  New Jersey Transportation Trust Fund Authority, Refunding RB, 4.08%, 06/15/39 | 75 | 61839 |
|  New Jersey Turnpike Authority, RB, BAB, Series F, 7.41%, 01/01/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;155 | 191692 |
|  Rutgers The State University of New Jersey, RB, Series P, 3.92%, 12/31/99 | 74 | 48954 |
|  Rutgers The State University of New Jersey, Refunding RB, Series R, 3.27%, 05/01/43 | 80 | 60889 |
|  |  | 782105 |
| **New York — 0.1%** |  |  |
|  City of New York, GO, BAB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 5.21%, 10/01/31 | 90 | 90901 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F-1, 6.27%, 12/01/37 | 85 | 92912 |
|  Metropolitan Transportation Authority, RB, BAB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.67%, 11/15/39 | 100 | 105500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.34%, 11/15/39 | 100 | 122455 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.81%, 11/15/40 | 80 | 86482 |
|  Metropolitan Transportation Authority, Refunding RB, Series C-2, 5.18%, 11/15/49 | 75 | 66855 |
|  New York City Municipal Water Finance Authority, RB, BAB, 5.95%, 06/15/42<sup>(a)</sup> | 60 | 66085 |
|  New York City Municipal Water Finance Authority, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.72%, 06/15/42<sup>(a)</sup> | 85 | 91234 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.01%, 06/15/42<sup>(a)</sup> | 110 | 120953 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.44%, 06/15/43 | 75 | 77643 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **New York (continued)** |  |  |
|  New York City Transitional Finance Authority Future Tax Secured Revenue, RB, BAB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.77%, 08/01/36 | $70 | $72359 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.57%, 11/01/38 | 125 | 127067 |
|  New York State Dormitory Authority, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.14%, 07/01/43 | 50 | 38857 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F, 3.11%, 02/15/39 | 70 | 54850 |
|  New York State Thruway Authority, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series M, 2.90%, 01/01/35 | 100 | 81612 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series M, 3.50%, 01/01/42 | 65 | 51509 |
|  New York State Urban Development Corp., RB, Series B, 3.90%, 03/15/33 | 100 | 91650 |
|  New York State Urban Development Corp., RB, BAB, 5.77%, 03/15/39 | 75 | 77101 |
|  Port Authority of New York & New Jersey, ARB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.18%, 07/15/60 | 70 | 46369 |
| &nbsp;&nbsp;&nbsp;&nbsp; Consolidated, 192nd Series, 4.81%, 10/15/65<sup>(a)</sup>  | 80 | 74489 |
|  Port Authority of New York & New Jersey, RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 159th Series, 6.04%, 12/01/29 | 75 | 78758 |
| &nbsp;&nbsp;&nbsp;&nbsp; 182nd Series, 5.31%, 08/01/46 | 75 | 75104 |
| &nbsp;&nbsp;&nbsp;&nbsp; Consolidated, 168th Series, 4.93%, 10/01/51 | 220 | 209209 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AAA, 1.09%, 07/01/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175 | 171665 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2171619 |
| **North Carolina — 0.0%** |  |  |
|  Charlotte-Mecklenburg Hospital Authority, RB, Series S, 3.20%, 01/15/51 | 75 | 51720 |
| **Ohio — 0.1%** |  |  |
|  American Municipal Power, Inc., RB, Series B, 8.08%, 02/15/50 | 100 | 128309 |
|  JobsOhio Beverage System, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 2.83%, 01/01/38<sup>(a)</sup> | 100 | 77327 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.99%, 01/01/29 | 75 | 72929 |
|  Ohio State University, RB, Series A, 3.80%, 12/01/46 | 70 | 58444 |
|  Ohio State University, RB, BAB, Series C, 4.91%, 06/01/40 | 145 | 146611 |
|  Ohio Turnpike & Infrastructure Commission, Refunding RB, Series A, Junior Lien, 3.22%, 02/15/48<sup>(a)</sup> | 95 | 67165 |
|  Ohio Water Development Authority Water Pollution Control Loan Fund, RB, Series B-2, 4.88%, 12/01/34 | 75 | 75159 |
|  |  | 625944 |
| **Oregon — 0.0%** |  |  |
|  Oregon School Boards Association, GO, Series B, (NPFGC), 5.55%, 06/30/28 | 75 | 76386 |
|  Oregon State University, RB, (BAM), 3.42%, 03/01/60 | 62 | 42930 |
|  State of Oregon Department of Transportation, RB, BAB, Series A, 5.83%, 11/15/34 | 70 | 74977 |
|  State of Oregon, GO, 5.89%, 06/01/27 | 140 | 144149 |
|  |  | 338442 |
| **Pennsylvania — 0.0%** |  |  |
|  City of Philadelphia Pennsylvania Water & Wastewater Revenue, Refunding RB, Series B, 2.93%, 07/01/45 | 70 | 47974 |
|  Commonwealth Financing Authority, RB, Series A, 2.99%, 06/01/42<sup>(a)</sup> | 225 | 157323 |

---

70 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Pennsylvania (continued)** | **Pennsylvania (continued)** | **Pennsylvania (continued)** |
|  Pennsylvania State University, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 2.79%, 09/01/43<sup>(a)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | $73398 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 2.84%, 09/01/50 | 65 | 44438 |
|  Pennsylvania Turnpike Commission, RB, BAB, Series B, 5.51%, 12/01/45<sup>(a)</sup> | 140 | 140774 |
|  University of Pittsburgh-of the Commonwealth System of Higher Education, RB, 3.56%, 09/15/2119 | 62 | 38600 |
|  |  | 502507 |
| **South Carolina — 0.0%** |  |  |
|  South Carolina Public Service Authority, RB, BAB, Series C, 6.45%, 01/01/50 | 74 | 77851 |
| **Tennessee — 0.0%** |  |  |
|  Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, RB, Series B, 4.05%, 07/01/26 | 62 | 59138 |
| **Texas — 0.1%** |  |  |
|  City of San Antonio Texas Electric & Gas Systems Revenue, RB, 4.43%, 02/01/42 | 65 | 59277 |
|  City of San Antonio Texas Electric & Gas Systems Revenue, RB, BAB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.72%, 02/01/41 | 75 | 77997 |
| &nbsp;&nbsp;&nbsp;&nbsp; Junior Lien, 5.81%, 02/01/41 | 95 | 99889 |
|  Dallas Area Rapid Transit, Refunding RB, Series A, Senior Lien, 2.61%, 12/01/48<sup>(a)</sup> | 70 | 45522 |
|  Dallas Fort Worth International Airport, ARB, Series A, 4.51%, 11/01/51 | 75 | 67987 |
|  Dallas Fort Worth International Airport, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.84%, 11/01/46 | 65 | 46156 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 2.99%, 11/01/38 | 75 | 60009 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 3.14%, 11/01/45 | 75 | 55837 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 2.92%, 11/01/50 | 160 | 111953 |
|  Grand Parkway Transportation Corp., Refunding RB, Subordinate, 3.24%, 10/01/52 | 200 | 142984 |
|  North Texas Tollway Authority, RB, BAB, Series B, 6.72%, 01/01/49 | 96 | 115034 |
|  North Texas Tollway Authority, Refunding RB, 3.01%, 01/01/43 | 35 | 25631 |
|  State of Texas, GO, BAB, 5.52%, 04/01/39<sup>(a)</sup> | 110 | 116050 |
|  Texas Private Activity Bond Surface Transportation Corp., RB, Series B, 3.92%, 12/31/49 | 80 | 59753 |
|  Texas Transportation Commission State Highway Fund, RB, BAB, Series B, 5.18%, 04/01/30 | 110 | 112280 |
|  Texas Transportation Commission, Refunding GO, 2.47%, 10/01/44 | 185 | 127137 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1323496 |
| **Virginia — 0.0%** |  |  |
|  University of Virginia, RB, Series C, 4.18%, 09/01/2117 | 60 | 44274 |
|  University of Virginia, Refunding RB |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.26%, 09/01/50<sup>(a)</sup> | 120 | 71757 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series U, 2.58%, 11/01/51 | 85 | 54182 |
|  |  | 170213 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Washington — 0.0%** |  |  |  |  |
|  State of Washington, GO, BAB, Series B, 5.14%, 08/01/40 | $| 75 | $| 75065 |
| **Wisconsin — 0.0%** |  |  |  |  |
|  State of Wisconsin, RB, Series A, (AGM), 5.70%, 05/01/26 |  | 70 |  | 70931 |
|  State of Wisconsin, Refunding RB, Series A, 3.95%, 05/01/36 |  | 110 |  | 96005 |
|  |  |  |  | 166936 |
|  **Total Municipal Bonds — 0.7%<br>(Cost: $19,079,344)** | **Total Municipal Bonds — 0.7%<br>(Cost: $19,079,344)** | **Total Municipal Bonds — 0.7%<br>(Cost: $19,079,344)** |  | 15722709 |
|  **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Commercial Mortgage-Backed Securities — 1.0%** | **Commercial Mortgage-Backed Securities — 1.0%** | **Commercial Mortgage-Backed Securities — 1.0%** | **Commercial Mortgage-Backed Securities — 1.0%** | **Commercial Mortgage-Backed Securities — 1.0%** |
|  Bank |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BN18, Class A4, 3.58%, 05/15/62 |  | 341 |  | 309309 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BN21, Class A5, 2.85%, 10/17/52 |  | 936 |  | 808861 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-BN27, Class A5, 2.14%, 04/15/63 |  | 925 |  | 751031 |
|  BBCMS Mortgage Trust, Series 2017-C1,<br>Class A4, 3.67%, 02/15/50 |  | 392 |  | 367175 |
|  BBCMS Trust, Series 2021-C10, Class A5, 2.49%, 07/15/54 |  | 1577 |  | 1303148 |
|  Benchmark Mortgage Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-B5, Class A4, 4.21%, 07/15/51 |  | 511 |  | 487794 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B10, Class A4, 3.72%, 03/15/62 |  | 546 |  | 504234 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B11, Class A4, 3.28%, 05/15/52 |  | 681 |  | 614720 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B9, Class A5, 4.02%, 03/15/52 |  | 511 |  | 481309 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-B19, Class B, 2.35%, 09/15/53 |  | 193 |  | 141511 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-B21, Class A4, 1.70%, 12/17/53 |  | 612 |  | 486713 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-B21, Class A5, 1.98%, 12/17/53 |  | 410 |  | 327008 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B29, Class A5, 2.39%, 09/15/54 |  | 567 |  | 458412 |
|  Citigroup Commercial Mortgage Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-GC17, Class A4, 4.13%, 11/10/46 |  | 130 |  | 128124 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC25, Class A4, 3.64%, 10/10/47 |  | 87 |  | 83676 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC25, Class AS, 4.02%, 10/10/47 |  | 257 |  | 244129 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-GC37, Class A4, 3.31%, 04/10/49 |  | 597 |  | 557133 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-P5, Class A4, 2.94%, 10/10/49 |  | 171 |  | 156471 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-P7, Class A4, 3.71%, 04/14/50 |  | 384 |  | 359817 |
|  Commercial Mortgage Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-CR12, Class A4, 4.05%, 10/10/46 |  | 223 |  | 218827 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-CR20, Class A3, 3.33%, 11/10/47 |  | 702 |  | 669450 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-UBS2, Class A5, 3.96%, 03/10/47 |  | 87 |  | 85026 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-PC1, Class A5, 3.90%, 07/10/50 |  | 257 |  | 246208 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-CR28, Class A4, 3.76%, 02/10/49 |  | 130 |  | 123510 |
|  CSAIL Commercial Mortgage Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C3, Class A4, 3.72%, 08/15/48 |  | 171 |  | 162766 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C7, Class A5, 3.50%, 11/15/49 |  | 816 |  | 760099 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-CX11, Class A5, 4.03%, 04/15/51<sup>(b)</sup> |  | 681 |  | 634678 |
|  DBJPM Mortgage Trust, Series 2016-C3, Class A5, 2.89%, 08/10/49 |  | 1275 |  | 1166489 |
|  GS Mortgage Securities Corp. II, Series 2018- GS10, Class A5, 4.16%, 07/10/51<sup>(b)</sup> |  | 511 |  | 481105 |
|  GS Mortgage Securities Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC24, Class A5, 3.93%, 09/10/47 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1191 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1150479 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-GC30, Class A4, 3.38%, 05/10/50 |  | 104 |  | 98616 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-GS1, Class A3, 3.73%, 11/10/48 |  | 392 |  | 372016 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C20, Class A5, 3.80%, 07/15/47 | $| 240 | $| 233065 |
|  JPMBB Commercial Mortgage Securities Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C18, Class A5, 4.08%, 02/15/47 |  | 87 |  | 85000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C22, Class A4, 3.80%, 09/15/47 |  | 75 |  | 72556 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C31, Class A3, 3.80%, 08/15/48 |  | 334 |  | 316973 |
|  JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A5, 3.45%, 09/15/50 |  | 597 |  | 549969 |
|  JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A5, 3.41%, 10/15/50 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1021 |  | 937969 |
|  Morgan Stanley Bank of America Merrill Lynch Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-C10, Class AS, 4.07%, 07/15/46<sup>(b)</sup> |  | 427 |  | 420926 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C16, Class A4, 3.60%, 06/15/47 |  | 489 |  | 476262 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C24, Class A4, 3.73%, 05/15/48 |  | 130 |  | 123610 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C28, Class A4, 3.54%, 01/15/49 |  | 1151 |  | 1082700 |
|  Morgan Stanley Capital I Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-UBS8, Class A4, 3.81%, 12/15/48 |  | 203 |  | 192021 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H3, Class A4, 3.91%, 07/15/51 |  | 511 |  | 478103 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H6, Class A4, 3.42%, 06/15/52 |  | 102 |  | 91448 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-L3, Class AS, 3.49%, 11/15/52 |  | 132 |  | 112630 |
|  Wells Fargo Commercial Mortgage Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-LC18, Class ASB, 3.24%, 12/15/47 |  | 164 |  | 159931 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C27, Class A5, 3.45%, 02/15/48 |  | 257 |  | 244522 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SG1, Class A4, 3.79%, 09/15/48 |  | 825 |  | 787470 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C49, Class A5, 4.02%, 03/15/52 |  | 655 |  | 610952 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C56, Class A5, 2.45%, 06/15/53 |  | 530 |  | 440192 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C58, Class A4, 2.09%, 07/15/53 |  | 481 |  | 383939 |
|  **Total Non-Agency Mortgage-Backed<br>Securities — 1.0%<br>(Cost: $25,555,512)** | **Total Non-Agency Mortgage-Backed<br>Securities — 1.0%<br>(Cost: $25,555,512)** | **Total Non-Agency Mortgage-Backed<br>Securities — 1.0%<br>(Cost: $25,555,512)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22540082 |
|  **Preferred Securities** | **Preferred Securities** | **Preferred Securities** | **Preferred Securities** | **Preferred Securities** |
|  **Capital Trusts — 0.0%** | **Capital Trusts — 0.0%** | **Capital Trusts — 0.0%** | **Capital Trusts — 0.0%** | **Capital Trusts — 0.0%** |
| **Diversified Financial Services — 0.0%** |  |  |  |  |
|  Goldman Sachs Capital I, 6.35%, 02/15/34<sup>(a)</sup> |  | 87 |  | 89446 |
| **Electric Utilities — 0.0%** |  |  |  |  |
|  American Electric Power Co., Inc., 3.88%, 02/15/62<sup>(b)</sup> |  | 71 |  | 55316 |
| **Insurance — 0.0%** |  |  |  |  |
|  MetLife, Inc., 6.40%, 12/15/66<sup>(a)</sup> |  | 104 |  | 100578 |
|  Prudential Financial, Inc., 5.38%, 05/15/45<sup>(b)</sup> |  | 87 |  | 84127 |
|  |  |  |  | 184705 |
|  |  |  |  | 329467 |
|  **Total Preferred Securities — 0.0%<br>(Cost: $369,965)** | **Total Preferred Securities — 0.0%<br>(Cost: $369,965)** | **Total Preferred Securities — 0.0%<br>(Cost: $369,965)** |  | 329467 |
|  **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Agency Obligations — 0.8%** | **Agency Obligations — 0.8%** | **Agency Obligations — 0.8%** | **Agency Obligations — 0.8%** | **Agency Obligations — 0.8%** |
|  Fannie Mae |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 09/06/24<sup>(a)</sup> |  | 1021 |  | 990522 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 06/17/25 |  | 3395 |  | 3089130 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 05/15/29 |  | 909 |  | 1018301 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 01/15/30 |  | 1698 |  | 2014007 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 05/15/30 |  | 3487 |  | 4183187 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 08/05/30 |  | 1191 |  | 945405 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Agency Obligations (continued)** | **Agency Obligations (continued)** | **Agency Obligations (continued)** |
|  Fannie Mae (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 11/15/30<sup>(a)</sup> | $53 | $62151 |
|  Federal Home Loan Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 12/13/24 | 855 | 827611 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 06/13/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1640 | 1593436 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/15/36 | 370 | 406368 |
|  Federal Home Loan Mortgage Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 07/21/25 | 82 | 74206 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 03/15/31 | 477 | 562905 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 07/15/32<sup>(a)</sup> | 562 | 655478 |
|  Tennessee Valley Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 09/15/31 | 70 | 54926 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 04/01/36 | 359 | 393695 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 12/15/42 | 74 | 61402 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16932730 |
| **Mortgage-Backed Securities — 28.7%** |  |  |
|  Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-M13, Class A2, 3.02%, 08/25/24<sup>(b)</sup> | 44 | 42636 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-M5, Class A2, 2.47%, 04/25/26 | 1039 | 965259 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M15, Class A2, 2.96%, 09/25/27<sup>(b)</sup> | 635 | 598636 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M12, Class A2, 3.63%, 08/25/30<sup>(b)</sup> | 511 | 482491 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M22, Class A2, 2.52%, 08/25/29 | 779 | 690021 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M46, Class A2, 1.32%, 05/25/30 | 932 | 753407 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M17, Class A2, 1.71%, 07/25/31<sup>(b)</sup> | 511 | 405783 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M21, Class A2, 1.60%, 04/25/31<sup>(b)</sup> | 724 | 575991 |
|  Fannie Mae Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 01/01/37 - 03/01/37 | 501 | 446616 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/01/47 | 214 | 195404 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/01/47 - 02/01/57 | 1697 | 1605594 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 08/01/49 - 11/01/51 | 2254 | 2078962 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/01/52 - 12/01/52 | 5321 | 5136665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/01/52 - 12/01/52 | 2076 | 2066229 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/01/52 | 175 | 177726 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.53%), 3.21%, 05/01/43<sup>(b)</sup> | 10 | 9598 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.54%), 3.38%, 06/01/43<sup>(b)</sup> | 13 | 13347 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.70%), 3.95%, 08/01/42<sup>(b)</sup> | 3 | 2848 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.75%), 4.00%, 08/01/41<sup>(b)</sup> | 1 | 1358 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.83%), 4.08%, 11/01/40<sup>(b)</sup> | 2 | 1512 |
|  Freddie Mac Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 12/01/24 | 1 | 1429 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/27 - 10/01/47 | 7896 | 7170726 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 07/01/28 - 01/01/33 | 1951 | 1826966 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/01/32 - 06/01/49 | 7727 | 7211005 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/01/33 - 11/01/52 | 2319 | 2302183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/01/33 - 01/01/49 | 2674 | 2562977 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 06/01/35 - 12/01/52 | 849 | 862552 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/38 - 10/01/52 | 2341 | 2286836 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.50%), 3.25%, 06/01/43<sup>(b)</sup> | — <sup>(e)</sup> | 341 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.73%), 3.77%, 08/01/41<sup>(b)</sup> | 2 | 1776 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.82%), 3.36%, 09/01/40<sup>(b)</sup> | 2 | 2168 |
|  Freddie Mac Multifamily Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K041, Class A2, 3.17%, 10/25/24 | 1275 | 1234933 |

---

72 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Par*<br> *(000)* | *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
|  Freddie Mac Multifamily Structured Pass-Through Certificates (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K052, Class A2, 3.15%, 11/25/25 | $| 130 | $124894 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K063, Class A2, 3.43%, 01/25/27<sup>(b)</sup> |  | 850 | 815844 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K066, Class A2, 3.12%, 06/25/27 |  | 597 | 564657 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K067, Class A1, 2.90%, 03/25/27 |  | 477 | 457374 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K076, Class A2, 3.90%, 04/25/28 |  | 341 | 332354 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K088, Class A2, 3.69%, 01/25/29 |  | 87 | 83628 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K100, Class A2, 2.67%, 09/25/29 |  | 1698 | 1519441 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K101, Class A2, 2.52%, 10/25/29 |  | 960 | 849643 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K110, Class A2, 1.48%, 04/25/30 |  | 450 | 366692 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K111, Class A2, 1.35%, 05/25/30 |  | 171 | 137442 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K123, Class A2, 1.62%, 12/25/30 |  | 1698 | 1372296 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K126, Class A2, 2.07%, 01/25/31 |  | 1856 | 1552507 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K-1521, Class A2, 2.18%, 08/25/36 |  | 813 | 605611 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K727, Class A2, 2.95%, 07/25/24 |  | 734 | 712367 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K734, Class A2, 3.21%, 02/25/26 |  | 969 | 930121 |
|  Ginnie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/15/32 - 01/23/53<sup>(f)</sup> |  | 1037 | 1044085 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 03/15/35 - 10/20/38 |  | 14 | 14392 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 09/15/36 |  | 10 | 10021 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 07/15/39 - 01/23/53<sup>(f)</sup> |  | 9095 | 8866892 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/15/39 - 01/23/53<sup>(f)</sup> |  | 4681 | 4657299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/15/41 - 01/23/53<sup>(f)</sup> |  | 15645 | 14891744 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/20/42 - 01/23/53<sup>(f)</sup> |  | 22079 | 20543130 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/20/43 - 01/23/53<sup>(f)</sup> |  | 27438 | 24661587 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 05/20/45 - 01/23/53<sup>(f)</sup> |  | 37393 | 32380308 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 07/20/50 - 01/23/53<sup>(f)</sup> |  | 34127 | 28679825 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 10/20/51 |  | 172 | 137956 |
|  Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/01/24 - 01/12/53<sup>(f)</sup> |  | 15186 | 14758542 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/01/25 - 01/12/53<sup>(f)</sup> |  | 31655 | 30098998 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/01/26 - 05/01/50<sup>(f)</sup> |  | 40824 | 37810157 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/01/27 - 01/12/53<sup>(f)</sup> |  | 69791 | 62639683 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/01/28 - 01/12/53<sup>(f)</sup> |  | 127903 | 110131321 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 02/01/32 |  | 2 | 1676 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/01/32 |  | 8 | 7949 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/01/33 - 01/12/53<sup>(f)</sup> |  | 8622 | 8526106 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 03/01/34 - 02/01/49 |  | 274 | 288301 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 12/01/35 - 03/01/52<sup>(f)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;187817 | 156628756 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 03/01/36 - 11/01/51 |  | 27900 | 22681501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/01/36 - 01/12/53<sup>(f)</sup> |  | 8362 | 8391366 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;639990441 |
|  **Total U.S. Government Sponsored Agency<br>Securities — 29.5%<br>(Cost: $745,493,469)** | **Total U.S. Government Sponsored Agency<br>Securities — 29.5%<br>(Cost: $745,493,469)** | **Total U.S. Government Sponsored Agency<br>Securities — 29.5%<br>(Cost: $745,493,469)** | 656923171 |
|  **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** |
|  U.S. Treasury Bonds |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 11/15/24 |  | 850 | 896152 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 02/15/25 |  | 67 | 71261 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 08/15/25 |  | 1359 | 1443247 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 02/15/26 |  | 1300 | 1367303 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 08/15/26 |  | 1275 | 1384471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 02/15/27<sup>(a)</sup> |  | 597 | 652316 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 11/15/28 - 02/15/29 |  | 2379 | 2522112 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 08/15/29 |  | 1275 | 1425012 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 02/15/31 |  | 1021 | 1120587 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/15/36 - 08/15/39 |  | 3335 | 3545540 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/37 - 02/15/41 |  | 2750 | 2998019 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/15/37 |  | 1885 | 2105162 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **U.S. Treasury Obligations (continued)** | **U.S. Treasury Obligations (continued)** | **U.S. Treasury Obligations (continued)** |
|  U.S. Treasury Bonds (continued) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 02/15/38 - 05/15/41 | $3540 | $3685717 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/15/39 | 1139 | 1069815 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 05/15/39 - 11/15/40 | 3278 | 3365492 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 02/15/40 | 2755 | 2960656 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 05/15/40 - 08/15/40 | 6045 | 3763597 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/15/40 | 657 | 640883 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 11/15/40 - 08/15/50<sup>(a)</sup> | 6111 | 3716332 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 02/15/41 - 11/15/51<sup>(a)</sup> | 20215 | 13174501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 05/15/41 - 02/15/52<sup>(a)</sup> | 16345 | 11567684 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 08/15/41<sup>(a)</sup> | 4091 | 2799618 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 08/15/41 - 11/15/43 | 5884 | 5532928 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 11/15/41 - 08/15/51<sup>(a)</sup> | 17459 | 11766759 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 11/15/41 - 05/15/48<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13014 | 11082539 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 02/15/42 - 05/15/51 | 14340 | 10469112 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/15/42 - 08/15/52<sup>(a)</sup> | 26477 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21803668 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/15/42 | 4100 | 3594547 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 08/15/42 - 11/15/47<sup>(a)</sup> | 11462 | 9072922 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 08/15/42 - 11/15/48<sup>(a)</sup> | 8439 | 7484409 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 05/15/43 - 05/15/52<sup>(a)</sup> | 17969 | 14483713 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 08/15/43 - 02/15/44 | 3144 | 2886400 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/15/45 - 05/15/46<sup>(a)</sup> | 9048 | 6777282 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 05/15/50 | 4072 | 2191404 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 11/15/50<sup>(a)</sup> | 7231 | 4302445 |
|  U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 01/31/24 - 11/15/27<sup>(a)</sup> | 50072 | 47663900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/31/24 - 03/31/27 | 21078 | 20206282 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.13%, 02/15/24<sup>(a)</sup> | 16962 | 16115888 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 02/15/24 - 08/15/32<sup>(a)</sup> | 33131 | 31228735 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 02/29/24 - 05/15/25<sup>(a)</sup> | 15489 | 14845057 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.25%, 03/15/24 - 10/31/25<sup>(a)</sup> | 53556 | 49203553 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 04/15/24 - 09/30/27<sup>(a)</sup> | 55695 | 50525802 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 04/30/24 - 11/15/26<sup>(a)</sup> | 23340 | 22230069 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 06/30/24 - 03/15/25<sup>(a)</sup> | 27233 | 25906302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 08/15/24 - 05/15/29<sup>(a)</sup> | 13664 | 12604191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 08/31/24 - 02/15/32<sup>(a)</sup> | 16686 | 14623135 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 09/30/24 - 02/15/30<sup>(a)</sup> | 32992 | 30156696 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/30/24 - 10/15/25 | 12000 | 11968945 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.63%, 10/15/24 - 08/15/30<sup>(a)</sup> | 35519 | 30394369 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 11/15/24 - 01/31/28<sup>(a)</sup> | 31500 | 28197270 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 12/15/24 - 07/31/28<sup>(a)</sup> | 13572 | 12119637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 07/15/25 - 10/31/25<sup>(a)</sup> | 15993 | 15470463 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 07/31/25 - 05/15/32 | 27115 | 25467916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 08/15/25 - 08/31/29<sup>(a)</sup> | 22091 | 21234608 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/15/25<sup>(a)</sup> | 4000 | 3920000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/25 | 9000 | 9054141 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/15/25 - 11/15/52<sup>(a)</sup> | 13700 | 13629437 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 01/31/26 - 07/31/29<sup>(a)</sup> | 14295 | 13270879 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 02/15/26 - 05/15/31<sup>(a)</sup> | 43145 | 38627876 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 02/28/26 - 10/31/27<sup>(a)</sup> | 28807 | 24985377 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 06/30/26 - 11/15/30 | 12897 | 10851111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 08/31/26 - 11/15/31 | 24450 | 20717664 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 10/31/26 - 02/15/31 | 32054 | 27293900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 11/30/26 - 08/15/31<sup>(a)</sup> | 53147 | 45792200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/30/27 - 06/30/29 | 9500 | 9140859 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* | *Value* |
|  **U.S. Treasury Obligations (continued)** | **U.S. Treasury Obligations (continued)** | **U.S. Treasury Obligations (continued)** | **U.S. Treasury Obligations (continued)** |
|  U.S. Treasury Notes (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 09/30/27 - 11/15/32<sup>(a)</sup> | $16000 | $| 16143203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 11/30/27 - 12/31/29<sup>(a)</sup> | 16000 |  | 15903087 |
|  **Total U.S. Treasury Obligations — 40.7%<br>(Cost: $1,018,208,512)** | **Total U.S. Treasury Obligations — 40.7%<br>(Cost: $1,018,208,512)** |  | 907216157 |
|  **Total Long-Term Investments — 99.4%<br>(Cost: $2,508,624,161)** | **Total Long-Term Investments — 99.4%<br>(Cost: $2,508,624,161)** |  | 2213711888 |
|  | *Shares* |  |  |
|  **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 28.4%** | **Money Market Funds — 28.4%** | **Money Market Funds — 28.4%** | **Money Market Funds — 28.4%** |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%<sup>(g)(h)(i)</sup> | 632556129 |  | 632745896 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%<sup>(g)(h)</sup> | 100000 |  | 100000 |
|  |  |  | 632845896 |
|  | *Par*<br> *(000)* |  |  |
| **U.S. Government Sponsored Agency Securities — 0.2%** | **U.S. Government Sponsored Agency Securities — 0.2%** | **U.S. Government Sponsored Agency Securities — 0.2%** | **U.S. Government Sponsored Agency Securities — 0.2%** |
|  Fannie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 01/19/23 | $86 |  | 85927 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.25%, 07/10/23 | 1698 |  | 1658181 |
|  Federal Home Loan Mortgage Corp., 0.25%, 08/24/23 -12/04/23 | 1878 |  | 1810342 |
|  Freddie Mac Multifamily Structured Pass Through Certificates, Series K036, Class A2, 3.53%, 10/25/23<sup>(b)</sup> | 206 |  | 203672 |
|  Ginnie Mae Mortgage-Backed Securities, 7.50%, 12/15/23 | — <sup>(e)</sup> |  | 457 |
|  |  |  | 3758579 |
|  **Total Short-Term Securities — 28.6%<br>(Cost: $636,450,994)** | **Total Short-Term Securities — 28.6%<br>(Cost: $636,450,994)** |  | 636604475 |
|  **Total Investments Before TBA Sale Commitments — 128.0%<br>(Cost: $3,145,075,155)** | **Total Investments Before TBA Sale Commitments — 128.0%<br>(Cost: $3,145,075,155)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2850316363 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **TBA Sale Commitments<sup>(f)</sup>** | **TBA Sale Commitments<sup>(f)</sup>** | **TBA Sale Commitments<sup>(f)</sup>** |
| **Mortgage-Backed Securities — (0.4)%** | **Mortgage-Backed Securities — (0.4)%** | **Mortgage-Backed Securities — (0.4)%** |
|  Ginnie Mae Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/23/53 | $(2141) | $(1966755) |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/23/53 | (1800) | (1702975) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/23/53 | (75) | (74305) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/23/53 | (500) | (502796) |
|  Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 01/17/38 | (231) | (205412) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/17/38 - 01/12/53 | (2725) | (2426336) |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/12/53 | (600) | (577354) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/12/53 | (727) | (716256) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/12/53 | (1012) | (1014496) |
|  **Total TBA Sale Commitments — (0.4)%<br>(Proceeds: $(9272789))** | **Total TBA Sale Commitments — (0.4)%<br>(Proceeds: $(9272789))** | (9186685) |
|  **Total Investments, Net of TBA Sale<br>Commitments — 127.6%<br>(Cost: $3,135,802,366)** | **Total Investments, Net of TBA Sale<br>Commitments — 127.6%<br>(Cost: $3,135,802,366)** | 2841129678 |
|  **Liabilities in Excess of Other Assets — (27.6)%** | **Liabilities in Excess of Other Assets — (27.6)%** | (613801224) |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | $2227328454 |

---

<sup>(a)</sup> All or a portion of this security is on loan.

<sup>(b)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

<sup>(c)</sup> Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

<sup>(d)</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

<sup>(e)</sup> Rounds to less than 1,000.

<sup>(f)</sup> Represents or includes a TBA transaction.

<sup>(g)</sup> Affiliate of the Master Portfolio.

<sup>(h)</sup> Annualized 7-day yield as of period end.

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

For Master Portfolio compliance purposes, the Master Portfolio's industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

74 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **U.S. Total Bond Index Master Portfolio** |

---

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the Master Portfolio during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at*<br> *12/31/21* | *Purchases*<br> *at Cost* | *Proceeds*<br> *from Sales* | *Net*<br> *Realized*<br> *Gain (Loss)* | *Change in*<br> *Unrealized*<br> *Appreciation*<br> *(Depreciation)* | *Value at*<br> *12/31/22* | *Shares*<br> *Held at*<br> *12/31/22* | *Income* | *Capital Gain*<br> *Distributions*<br> *from*<br> *Underlying*<br> *Funds* |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | $4890087111 | $— | $(4256390780)<sup>(a)</sup> | $721461 | $(1671896) | $632745896 | 632556129 | $4667866 <sup>(b)</sup> | $— |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 100000 |  |  |  |  | 100000 | 100000 | 1560 |  |
|  |  |  |  | $721461 | $(1671896) | $632845896 |  | $4669426 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

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

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the Master Portfolio's financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $5573441 | $— | $5573441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 559143554 |  | 559143554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Agency Obligations |  | 46263307 |  | 46263307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 15722709 |  | 15722709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities |  | 22540082 |  | 22540082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Capital Trusts |  | 329467 |  | 329467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities |  | 656923171 |  | 656923171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations |  | 907216157 |  | 907216157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 632845896 |  |  | 632845896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities |  | 3758579 |  | 3758579 |
|  Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments |  | (9186685) |  | (9186685) |
|  | $632845896 | $2208283782 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $2841129678 |

---

*See notes to financial statements.* 

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

------

Statement of Assets and Liabilities

December 31, 2022

---

| | |
|:---|:---|
|  | U.S. Total<br> Bond Index<br> Master Portfolio |
|  **ASSETS** |  |
|  Investments, at value — unaffiliated<sup>(a)(b)</sup> | $2217470467 |
|  Investments, at value — affiliated<sup>(c)</sup> | 632845896 |
|  Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold | 15289077 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated | 130889 |
| &nbsp;&nbsp;&nbsp;&nbsp; TBA sale commitments | 9272789 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | 258420 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 1515 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 13662336 |
| &nbsp;&nbsp;&nbsp;&nbsp; Principal paydowns | 23 |
|  Prepaid expenses | 1984 |
|  Total assets | 2888933396 |
|  **LIABILITIES** |  |
|  Bank overdraft | 8728 |
|  Cash received as collateral for TBA commitments | 491000 |
|  Collateral on securities loaned | 551956872 |
|  TBA sale commitments, at value<sup>(d)</sup> | 9186685 |
|  Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 82621978 |
| &nbsp;&nbsp;&nbsp;&nbsp; Withdrawals to investors | 17133644 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 73231 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees | 60530 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 72274 |
|  Total liabilities | 661604942 |
|  NET ASSETS | $2227328454 |
|  **NET ASSETS CONSIST OF** |  |
|  Investors' capital | $2522001142 |
|  Net unrealized appreciation (depreciation) | (294672688) |
|  NET ASSETS | $2227328454 |
|  <sup>(a)</sup> Investments, at cost — unaffiliated | $2512488628 |
|  <sup>(b)</sup> Securities loaned, at value | $526293580 |
|  <sup>(c)</sup> Investments, at cost — affiliated | $632586527 |
|  <sup>(d)</sup> Proceeds from TBA sale commitments | $9272789 |

---

*See notes to financial statements.* 

76 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statement of Operations

Year Ended December 31, 2022

---

| | |
|:---|:---|
|  | U.S. Total<br> Bond Index<br> Master Portfolio |
|  **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | $2356311 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 156458852 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 2313115 |
|  Total investment income | 161128278 |
|  EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 3132278 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees | 97151 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 28310 |
|  Total expenses | 3257739 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (484087) |
|  Total expenses after fees waived and/or reimbursed | 2773652 |
|  Net investment income | 158354626 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (196179673) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | 721461 |
|  | (195458212) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (1657830755) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (1671896) |
|  | (1659502651) |
|  Net realized and unrealized loss | (1854960863) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(1696606237) |

---

*See notes to financial statements.* 

F I N A N C I A L S T A T E M E N T S 77

------

Statements of Changes in Net Assets

---

| | | |
|:---|:---|:---|
|  | U.S. Total Bond Index Master Portfolio | U.S. Total Bond Index Master Portfolio |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |
|  **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $158354626 | $292008830 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (195458212) | 13595213 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (1659502651) | (559048253) |
|  Net decrease in net assets resulting from operations | (1696606237) | (253444210) |
|  **CAPITAL TRANSACTIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from contributions | 2239384174 | 4684584990 |
| &nbsp;&nbsp;&nbsp;&nbsp; Value of withdrawals | (15804951555) | (1730769802) |
|  Net increase (decrease) in net assets derived from capital transactions | (13565567381) | 2953815188 |
|  *NET ASSETS* |  |  |
|  Total increase (decrease) in net assets | (15262173618) | 2700370978 |
|  Beginning of year | 17489502072 | 14789131094 |
|  End of year | $2227328454 | $17489502072 |

---

*See notes to financial statements.* 

78 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Financial Highlights

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | U.S. Total Bond Index Master Portfolio | U.S. Total Bond Index Master Portfolio | U.S. Total Bond Index Master Portfolio | U.S. Total Bond Index Master Portfolio | U.S. Total Bond Index Master Portfolio |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Total Return** |  |  |  |  |  |
|  Total return | (13.02)% | (1.79)% | 7.65% | 8.72 %<sup>(a)</sup> | (0.07)% |
|  **Ratios to Average Net Assets<sup>(b)</sup>** |  |  |  |  |  |
|  Total expenses | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% |
|  Total expenses after fees waived and/or reimbursed | 0.04% | 0.03% | 0.03% | 0.04% | 0.03% |
|  Net investment income | 2.02% | 1.81% | 2.31% | 2.90% | 2.74% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $2227328 | $17489502 | $14789131 | $11182645 | $8327639 |
|  Portfolio turnover rate<sup>(c)(d)</sup> | 161 %<sup>(e)</sup> | 175% | 186% | 158% | 274% |

---

<sup>(a)</sup> Includes payment from an affiliate, which had no impact on the Fund's total return. 

<sup>(b)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(c)</sup> Portfolio turnover rates include TBA transactions, if any.

<sup>(d)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | &nbsp;&nbsp;&nbsp;&nbsp;Year Ended<br>12/31/18 |
|  Portfolio turnover rate (excluding MDRs) | 93 %<sup>(e)</sup> | 89% | 101% | 97% | 162% |

---

<sup>(e)</sup> Portfolio turnover rate excludes in-kind transactions.

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L H I G H L I G H T S 79

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Notes to Financial Statements

***1.***  ***ORGANIZATION*** 

Master Investment Portfolio ("MIP") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. MIP is organized as a Delaware statutory trust. U.S. Total Bond Index Master Portfolio (the "Master Portfolio") is a series of MIP. The Master Portfolio is classified as diversified.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Fund Advisors ("BFA" or the "Manager") or its affiliates, is included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

***2.***  ***SIGNIFICANT ACCOUNTING POLICIES*** 

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

**Investment Transactions and Income Recognition:** For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.

**Collateralization:** If required by an exchange or counterparty agreement, the Master Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

**In-Kind Redemptions:** The Master Portfolio transferred securities and cash to shareholders in connection with in-kind redemption transactions. For the year ended December 31, 2022, Master Portfolio had in-kind redemptions of $12,081,982,668. For tax and financial reporting purposes, no gains or losses were recognized.

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

**Other:** Expenses directly related to the Master Portfolio are charged to the Master Portfolio. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

***3.***  ***INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*** 

**Investment Valuation Policies:** The Master Portfolio's investments are valued at fair value (also referred to as "market value" within the financial statements) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of the Master Portfolio (the "Board") has approved the designation of the Master Portfolio's Manager as the valuation designee for the Master Portfolio. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager's policies. If a security's market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager's policies and procedures as reflecting fair value. The Manager has formed a committee (the "Valuation Committee") to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

**Fair Value Inputs and Methodologies:** The following methods and inputs are used to establish the fair value of the Master Portfolio's assets and liabilities:

&nbsp;&nbsp;&nbsp;&nbsp;• Fixed-income investments for which market quotations are readily available are generally valued using the last available
bid price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a
third-party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade
at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers),
market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider
the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be
used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

&nbsp;&nbsp;&nbsp;&nbsp;• Investments in open-end U.S. mutual funds (including money market funds) are valued at that day's published net
asset value ("NAV").

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not

80 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

available, the investment will be valued by the Valuation Committee in accordance with the Manager's policies and procedures as reflecting fair value ("Fair Valued Investments"). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that the Master Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm's-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.

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

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the
Master Portfolio has the ability to access;

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

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

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

***4.***  ***SECURITIES AND OTHER INVESTMENTS*** 

**Asset-Backed and Mortgage-Backed Securities:** Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the "Mortgage Assets") there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower's ability to repay its loans.

**Multiple Class Pass-Through Securities:** Multiple class pass-through securities, including collateralized mortgage obligations ("CMOs") and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or mortgage pass-through securities (the "Mortgage Assets"). The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only ("IOs"), principal only ("POs"), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund's initial investment in the IOs may not fully recoup.

**Capital Securities and Trust Preferred Securities:** Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities,

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 81

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Notes to Financial Statements (continued)

generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company's senior debt securities and are freely callable at the issuer's option.

**TBA Commitments:** TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.

In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an "MSFTA"). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedule of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.

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

**Securities Lending:** The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. ("BTC"), if any, is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Master Portfolio, except in the event of borrower default. The securities on loan, if any, are disclosed in the Master Portfolio's Schedule of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value –unaffiliated and collateral on securities loaned, respectively.

Securities lending transactions are entered into by the Master Portfolio under Master Securities Lending Agreements (each, an "MSLA"), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty's bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties' obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party's net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Master Portfolio's securities on loan by counterparty which are subject to offset under an MSLA:

---

| | | | |
|:---|:---|:---|:---|
| *Counterparty* | *Securities<br>Loaned at Value* | *Cash Collateral<br>Received <br><sup>(a)</sup>* |  |
|  Barclays Bank PLC | $5888808 | $(5888808) | $– |
|  Barclays Capital, Inc. | 13314392 | (13314392) | – |
|  BMO Capital Markets Corp. | 3779226 | (3779226) | – |
|  BNP Paribas SA | 41488671 | (41488671) | – |
|  BofA Securities, Inc. | 32509952 | (32509952) | – |
|  Citadel Clearing LLC | 95406 | (95406) | – |
|  Citigroup Global Markets, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74182654 | &nbsp;&nbsp;&nbsp;&nbsp;(74182654) | – |
|  Credit Agricole Corporate & Investment Bank SA | 5779981 | (5779981) | – |

---

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Notes to Financial Statements (continued)

---

| | | | |
|:---|:---|:---|:---|
| *Counterparty* | *Securities<br>Loaned at Value* | *Cash Collateral<br>Received <br><sup>(a)</sup>* |  |
|  Credit Suisse AG | $397511 | $(397511) | $– |
|  Credit Suisse Securities (USA) LLC | 633958 | (633958) | – |
|  Deutsche Bank Securities, Inc. | 14392318 | (14392318) | – |
|  Goldman Sachs & Co. LLC | 39363366 | (39363366) | – |
|  HSBC Securities (USA), Inc. | 34680329 | (34680329) | – |
|  J.P. Morgan Securities LLC | 131105987 | (131105987) | – |
|  Jefferies LLC | 10599856 | (10599856) | – |
|  Morgan Stanley | 56035862 | (56035862) | – |
|  National Financial Services LLC | 105911 | (105911) | – |
|  Nomura Securities International, Inc. | 1369693 | (1369693) | – |
|  Pershing LLC | 11359272 | (11359272) | – |
|  RBC Capital Markets LLC | 27241773 | (27241773) | – |
|  Scotia Capital (USA), Inc. | 949314 | (949314) | – |
|  State Street Bank & Trust Co. | 269990 | (269990) | – |
|  TD Securities (USA) LLC | 2548558 | (2548558) | – |
|  Toronto-Dominion Bank | 6262415 | (6262415) | – |
|  UBS AG | 50069 | (50069) | – |
|  Wells Fargo Bank N.A. | 432435 | (432435) | – |
|  Wells Fargo Securities LLC | 11455873 | (11455873) | – |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;526293580 | $&nbsp;&nbsp;&nbsp;&nbsp;(526293580) | $– |

---

<sup>(a)</sup> Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio's Statement of Assets and Liabilities. 

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

***5.***  ***INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*** 

**Investment Advisory:** MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio's investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of the Master Portfolio's portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Master Portfolio.

For such services, the Master Portfolio pays the Manager a monthly fee at an annual rate equal to 0.04% of the average daily value of the Master Portfolio's net assets.

**Administration:** MIP, on behalf of the Master Portfolio, entered into an Administration Agreement with BlackRock Advisors, LLC ("BAL"), which has agreed to provide general administrative services (other than investment advice and related portfolio activities). BAL has agreed to bear all of the Master Portfolio's ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolio.

BAL is not entitled to compensation for providing administrative services to the Master Portfolio, for so long as BAL (or an affiliate) is entitled to compensation for providing administrative services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolio, or BAL (or an affiliate) receives investment advisory fees from the Master Portfolio.

**Expense Waivers and Reimbursements:** The fees and expenses of MIP's trustees who are not "interested persons" of MIP, as defined in the 1940 Act ("Independent Trustees"), counsel to the Independent Trustees and the Master Portfolio's independent registered public accounting firm (together, the "independent expenses") are paid directly by the Master Portfolio. BAL and BFA have contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the administration fees paid by the Master Portfolio in an amount equal to these independent expenses through June 30, 2023. The amount waived is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the amount waived was $125,461.

The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the "affiliated money market fund waiver") through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the amounts waived were $358,626.

The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Master Portfolio's assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days' notice, each subject to approval by a majority of the Master Portfolio's Independent Trustees. For the year ended December 31, 2022, there were no fees waived by the Manager pursuant to this arrangement.

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 83

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Notes to Financial Statements (continued)

**Securities Lending:** The U.S. Securities and Exchange Commission ("SEC") has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan (the "collateral investment fees"). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund's weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, the Master Portfolio retains 82% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Master Portfolio is shown as securities lending income — affiliated — net in the Statement of Operations. For the year ended December 31, 2022, the Master Portfolio paid BTC $879,345 for securities lending agent services.

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the SEC, the Master Portfolio may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Master Portfolio's investment policies and restrictions. The Master Portfolio is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the period ended December 31, 2022, the Master Portfolio did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of MIP are directors and/or officers of BlackRock or its affiliates.

**Other Transactions:** The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended December 31, 2022, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

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| | | | |
|:---|:---|:---|:---|
| *Master Portfolio Name* | *Purchases* | *Sales* | *Net Realized<br>Gain (Loss)* |
|  U.S. Total Bond Index Master Portfolio | $29549466 | $8405741 | $(118641) |

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***6.***  ***PURCHASES AND SALES*** 

For the year ended December 31, 2022, purchases and sales of investments, including paydowns/payups, mortgage dollar rolls and excluding short-term securities and in-kind transactions, were as follows:

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| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Government Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Government Securities | Other Securities | Other Securities |
| *Master Portfolio Name* | *Purchases* | *Sales* | *Purchases* | *Sales* |
|  U.S. Total Bond Index Master Portfolio | $804618693 | $1082165620 | $11640477611 | $12536205266 |

---

For the year ended December 31, 2022, purchases and sales related to mortgage dollar rolls were $5,212,291,707 and $5,222,315,498, respectively.

For the year ended December 31, 2022, purchases and sales related to in-kind transactions were $0 and $12,081,982,668, respectively.

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Notes to Financial Statements (continued)

***7.***  ***INCOME TAX INFORMATION*** 

The Master Portfolio is disregarded as an entity separate from its owner for tax purposes. As such, the owner of the Master Portfolio is treated as the owner of the net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no U.S. federal income tax provision is required. It is intended that the Master Portfolio's assets will be managed so the owner of the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

After May 23, 2022, the Master Portfolio was no longer considered a partnership. The feeder of the Master Portfolio is treated as the owner of the net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. No U.S. federal income tax provision was required.

The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Master Portfolio's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Master Portfolio as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio's financial statements.

***8.***  ***BANK BORROWINGS*** 

MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates ("Participating Funds"), are a party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate ("OBFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate ("SOFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2023 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2022, the Master Portfolio did not borrow under the credit agreement.

***9.***  ***PRINCIPAL RISKS*** 

In the normal course of business, the Master Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio's prospectus provides details of the risks to which the Master Portfolio is subject.

BFA uses a "passive" or index approach to try to achieve the Master Portfolio's investment objective following the securities included in its underlying index during upturns as well as downturns. BFA does not take steps to reduce market exposure or to lessen the effects of a declining market. Divergence from the underlying index and the composition of the portfolio is monitored by BFA.

The Master Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

**Market Risk:** The Master Portfolio may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force the Master Portfolio to reinvest in lower yielding securities. The Master Portfolio may also be exposed to reinvestment risk, which is the risk that income from the Master Portfolio's portfolio will decline if the Master Portfolio invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below the Master Portfolio portfolio's current earnings rate.

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

**Infectious Illness Risk:** An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 85

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Notes to Financial Statements (continued)

**Counterparty Credit Risk:** The Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio's exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.

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

The Master Portfolio invests a significant portion of its assets in fixed-income securities and/or uses derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Master Portfolio may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. The Federal Reserve has recently begun to raise the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Master Portfolio's performance.

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

**Significant Shareholder Redemption Risk:** Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund's NAV, increase the fund's brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

**LIBOR Transition Risk:** The United Kingdom's Financial Conduct Authority announced a phase out of the London Interbank Offered Rate ("LIBOR"). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Master Portfolio may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Master Portfolio is uncertain.

***10.***  ***SUBSEQUENT EVENTS*** 

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

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Master Investment Portfolio and Investors of U.S. Total Bond Index Master Portfolio

**Opinion on the Financial Statements** 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of U.S. Total Bond Index Master Portfolio (one of the series constituting Master Investment Portfolio, referred to hereafter as the "Master Portfolio") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Master Portfolio as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 23, 2023

We have served as the auditor of one or more BlackRock investment companies since 2000.

M A S T E R P O R T F O L I O R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M 87

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Statement Regarding Liquidity Risk Management Program

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), BlackRock Funds III and Master Investment Portfolio (the "Trusts") have adopted and implemented a liquidity risk management program (the "Program") for iShares U.S. Aggregate Bond Index Fund and U.S. Total Bond Index Master Portfolio (the "Funds"), each a series of the respective Trust, which is reasonably designed to assess and manage each Fund's liquidity risk.

The Board of Trustees (the "Board") of the Trusts, on behalf of the Funds, met on November 8-9, 2022 (the "Meeting") to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors ("BlackRock"), each an investment adviser to certain BlackRock funds, as the program administrator for each Fund's Program, as applicable. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the "Committee"). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund's Highly Liquid Investment Minimum ("HLIM") where applicable, and any material changes to the Program (the "Report"). The Report covered the period from October 1, 2021 through September 30, 2022 (the "Program Reporting Period").

The Report described the Program's liquidity classification methodology for categorizing each Fund's investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund's HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund's liquidity risk, as follows:

a)  ***The Fund's investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed
whether each Fund's strategy is appropriate for an open-end fund structure with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund's concentration in an
issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a fund participated in borrowings for investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were
factored into the Program's calculation of a fund's liquidity bucketing. A fund's derivative exposure was also considered in such calculation.

b)  ***Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed historical redemption activity
and used this information as a component to establish each Fund's reasonably anticipated trading size utilized for liquidity classifications. Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption
requests. The Committee may also take into consideration a fund's shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund's distribution channels, and the degree
of certainty associated with a fund's short-term and long-term cash flow projections.

c)  ***Holdings of cash and cash equivalents, as well as borrowing arrangements.*** The Committee considered the terms of the credit facility committed to each Fund, the financial health of the institution providing
the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V,
and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). The Committee also considered other types of borrowing available to the Funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.

There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program's classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

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Trustee and Officer Information

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other<br>Investment**<br> **Company**<br> **Directorships Held**<br> **During**<br> **Past 5 Years** |
| **Mark Stalnecker**<br> 1951 | Chair of the Board<br>(Since 2019) and<br>Trustee<br> (Since 2015) | Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees' Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014. | 28 RICs consisting of 164 Portfolios |  |
| **Susan J. Carter**<br> 1956 | Trustee<br> (Since 2016) | Trustee, Financial Accounting Foundation from 2017 to 2021; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business from 1997 to 2021; Director, Pacific Pension Institute from 2014 to 2018; Senior Advisor, Commonfund Capital, Inc. ("CCI") (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof since 2018; Advisory Board Member, Bridges Fund Management since 2016; Practitioner Advisory Board Member, Private Capital Research Institute ("PCRI") since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019; Advisor to Finance Committee, Altman Foundation since 2020; Investment Committee Member, Tostan since 2021. | 28 RICs consisting of 164 Portfolios |  |
| **Collette Chilton**<br> 1958 | Trustee<br> (Since 2015) | Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006; Director, Boys and Girls Club of Boston since 2017; Director, B1 Capital since 2018; Director, David and Lucile Packard Foundation since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Neil A. Cotty**<br> 1954 | Trustee<br> (Since 2016) | Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002. | 28 RICs consisting of 164 Portfolios |  |
| **Lena G. Goldberg**<br> 1949 | Trustee<br> (Since 2019) | Director, Charles Stark Draper Laboratory, Inc. from 2013 to 2021; Senior Lecturer, Harvard Business School from 2008 to 2021; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985. | 28 RICs consisting of 164 Portfolios |  |

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T R U S T E E A N D O F F I C E R I N F O R M A T I O N 89

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships Held**<br> **During**<br> **Past 5 Years** |
| **Henry R. Keizer**<br> 1956 | Trustee<br> (Since 2019) | Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010. | 28 RICs consisting of 164 Portfolios | Hertz Global Holdings (car rental) from 2015 to 2021; GrafTech International Ltd. (materials manufacturing); WABCO (commercial vehicle safety systems) from 2015 to 2020; Sealed Air Corp. (packaging) from 2015 to 2021 |
| **Cynthia A. Montgomery**<br> 1952 | Trustee<br> (Since 2009) | Professor, Harvard Business School since 1989. | 28 RICs consisting of 164 Portfolios |  |
| **Donald C. Opatrny**<br> 1952 | Trustee<br> (Since 2019) | Director, Athena Capital Advisors LLC (investment management firm) from 2013 to 2020; Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University from 2004 to 2019; President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018; Member of the Board and Investment Committee, University School from 2007 to 2018; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyoming since 2017; Member, Investment Funds Committee, State of Wyoming since 2017; Trustee, Phoenix Art Museum since 2018; Trustee, Arizona Community Foundation and Member of Investment Committee since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Joseph P. Platt**<br> 1947 | Trustee<br> (Since 2009) | General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, Basic Health International (non-profit) since 2015. | 28 RICs consisting of 164 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company); Consol Energy Inc. |
| **Kenneth L. Urish**<br> 1951 | Trustee<br> (Since 2009) | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past- Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since founding in 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter- Tel from 2006 to 2007; Member, Advisory Board, ESG Competent Boards since 2020. | 28 RICs consisting of 164 Portfolios |  |

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships Held**<br> **During**<br> **Past 5 Years** |
| **Claire A. Walton**<br> 1957 | Trustee<br> (Since 2016) | Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; General Partner of Neon Liberty Capital Management, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Woodstock Ski Runners since 2013; Director, Massachusetts Council on Economic Education from 2013 to 2015. | 28 RICs consisting of 164 Portfolios |  |
| **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships**<br> **Held During**<br> **Past 5 Years** |
| **Robert Fairbairn**<br> 1965 | Trustee<br> (Since 2018) | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock's Global Executive and Global Operating Committees; Co-Chair of BlackRock's Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock's Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock's Retail and iShares<sup>®</sup> businesses from 2012 to 2016. | 98 RICs consisting of 266 Portfolios |  |
| **John M. Perlowski<sup>(e)</sup>**<br> 1964 | Trustee<br> (Since 2018)<br> President and Chief Executive Officer<br> (Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 100 RICs consisting of 268 Portfolios |  |
|  <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. |
|  <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. | <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. | <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. | <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. | <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. |
|  <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. | <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. | <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. | <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. | <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. |
|  <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. | <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. | <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. | <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. | <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. |
|  <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. |

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T R U S T E E A N D O F F I C E R I N F O R M A T I O N 91

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Trustee and Officer Information (continued)

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| | | |
|:---|:---|:---|
| **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)** | **Principal Occupation(s) During Past 5 Years** |
| **Roland Villacorta**<br> 1971 | Vice President<br> (Since 2022) | Managing Director of BlackRock, Inc. since 2022; Head of Global Cash Management and Head of Securities Lending within BlackRock's Portfolio Management Group since 2022; Member of BlackRock's Global Operating Committee since 2022; Head of Portfolio Management in BlackRock's Financial Markets Advisory Group within BlackRock Solutions from 2008 to 2015; Co-Head of BlackRock Solutions' Portfolio Analytics Group; previously Mr. Villacorta was Co-Head of Fixed Income within BlackRock's Risk & Quantitative Analysis Group. |
| **Jennifer McGovern**<br> 1977 | Vice President<br> (Since 2014) | Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock's Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock's U.S. Wealth Advisory Group from 2013 to 2019. |
| **Trent Walker**<br> 1974 | Chief Financial Officer<br> (Since 2021) | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. |
| **Jay M. Fife**<br> 1970 | Treasurer<br> (Since 2009) | Managing Director of BlackRock, Inc. since 2007. |
| **Charles Park**<br> 1967 | Chief Compliance Officer<br> (Since 2014) | Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares<sup>®</sup> Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors ("BFA") since 2006; Chief Compliance Officer for the BFA-advised iShares<sup>®</sup> exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. |
| **Lisa Belle**<br> 1968 | Anti-Money Laundering Compliance Officer<br> (Since 2019) | Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012. |
| **Janey Ahn**<br> 1975 | Secretary<br> (Since 2019) | Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. |
|  <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. | <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. | <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. |
|  <sup>(b)</sup> Officers of the Trust/MIP serve at the pleasure of the Board. | <sup>(b)</sup> Officers of the Trust/MIP serve at the pleasure of the Board. | <sup>(b)</sup> Officers of the Trust/MIP serve at the pleasure of the Board. |

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Further information about the Trust's/MIP's Trustees and Officers is available in the Trust's/MIP's Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

Effective March 31, 2022, Thomas Callahan resigned as a Vice President of the Trust/MIP and effective May 10, 2022, Roland Villacorta was appointed as a Vice President of the Trust/MIP.

Effective December 31, 2022, Joseph P. Platt retired as a Trustee of the Trust/MIP.

92 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Additional Information

**General Information** 

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Fund/Master Portfolio may be found on BlackRock's website, which can be accessed at **blackrock.com**. Any reference to BlackRock's website in this report is intended to allow investors public access to information regarding the Fund/Master Portfolio and does not, and is not intended to, incorporate BlackRock's website in this report.

**Householding** 

The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called "householding" and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Fund at (800) 441-7762.

**Availability of Quarterly Schedule of Investments** 

The Fund/Master Portfolio file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Fund's/Master Portfolio's Forms N-PORT are available on the SEC's website at **sec.gov**. Additionally, the Fund/Master Portfolio makes their portfolio holdings for the first and third quarters of each fiscal year available at **blackrock.com/fundreports**.

**Availability of Proxy Voting Policies, Procedures and Voting Records** 

A description of the policies and procedures that the Fund/Master Portfolio use to determine how to vote proxies relating to portfolio securities and information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund's/Master Portfolio's portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at **blackrock.com**; and (3) on the SEC's website at **sec.gov**.

**BlackRock's Mutual Fund Family** 

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

**Shareholder Privileges** 

**Account Information** 

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit **blackrock.com** for more information.

**Automatic Investment Plans** 

Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

**Systematic Withdrawal Plans** 

Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.

**Retirement Plans** 

Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.

**BlackRock Privacy Principles** 

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, "Clients") and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

A D D I T I O N A L I N F O R M A T I O N 93

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Additional Information (continued)

**BlackRock Privacy Principles (continued)** 

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

**Fund and/or MIP Service Providers** 

**Investment Adviser** 

BlackRock Fund Advisors

San Francisco, CA 94105

**Administrator** 

BlackRock Advisors, LLC

Wilmington, DE 19809

**Accounting Agent and Custodian** 

State Street Bank and Trust Company

Boston, MA 02111

**Transfer Agent** 

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

**Distributor** 

BlackRock Investments, LLC

New York, NY 10022

**Independent Registered Public Accounting Firm** 

PricewaterhouseCoopers LLP

Philadelphia, PA 19103

**Legal Counsel** 

Sidley Austin LLP

New York, NY 10019

**Address of the Trust/MIP** 

400 Howard Street

San Francisco, CA 94105

94 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Glossary of Terms Used in this Report

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| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| AGM | Assured Guaranty Municipal Corp. |
| ARB | Airport Revenue Bonds |
| BAB | Build America Bond |
| BAM | Build America Mutual Assurance Co. |
| CMT | Constant Maturity Treasury |
| DAC | Designated Activity Company |
| GO | General Obligation Bonds |
| LIBOR | London Interbank Offered Rate |
| LP | Limited Partnership |
| M/F | Multi-Family |
| NPFGC | National Public Finance Guarantee Corp. |
| PIPE | Private Investment in Public Equity |
| RB | Revenue Bond |
| SAB | Special Assessment Bonds |
| SAN | State Aid Notes |
| SAP | Subject to Appropriations |
| SCA | Societe en Commandite par Actions |
| SOFR | Secured Overnight Financing Rate |
| ST | Special Tax |
| TBA | To-Be-Announced |

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G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T 95

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**Want to know more?** 

blackrock.com \| 800-441-7762

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund's current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

USTB-12/22-AR

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| | |
|:---|:---|
| ![LOGO](g289488g42l24.jpg)  | ![LOGO](g289488leaf.jpg) |

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| | |
|:---|:---|
| Master Portfolio Information as of December 31, 2022 | **Diversified Equity Master Portfolio** |

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**TEN LARGEST HOLDINGS** 

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| | |
|:---|:---|
| *Security* | *Percent of <br>Net Assets* |
|  Microsoft Corp. | 2.0% |
|  Apple, Inc. | 2 |
|  Taiwan Semiconductor Manufacturing Co. Ltd. | 1.3 |
|  Tencent Holdings Ltd. | 1 |
|  Amazon.com, Inc. | 0.8 |
|  Samsung Electronics Co. Ltd. | 0.8 |
|  Alibaba Group Holding Ltd. | 0.6 |
|  Alphabet, Inc., Class A | 0.6 |
|  Home Depot, Inc. | 0.6 |
|  Exxon Mobil Corp. | 0.5 |

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**SECTOR ALLOCATION** 

---

| | |
|:---|:---|
| *Sector<sup>(a)</sup>* | *Percent of <br>Net Assets* |
|  Information Technology | 17.7% |
|  Financials | 14.1 |
|  Health Care | 12.5 |
|  Consumer Discretionary | 10.5 |
|  Industrials | 9.6 |
|  Consumer Staples | 6.0 |
|  Energy | 5.0 |
|  Communication Services | 5.0 |
|  Materials | 4.5 |
|  Real Estate | 3.2 |
|  Utilities | 3.0 |
|  Short-Term Securities | 11.4 |
|  Liabilities in Excess of Other Assets | (2.5) |

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<sup>(a)</sup> For Diversified Equity Master Portfolio (the "Master Portfolio") compliance purposes, the Master Portfolio's sector classifications refer to one or more of the sector subclassifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease. 

Derivative Financial Instruments

The Master Portfolio may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Master Portfolio must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Master Portfolio's successful use of a derivative financial instrument depends on the investment adviser's ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio's investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

P O R T F O L I O I N F O R M A T I O N / DE R I V A T I V E F I N A N C I A L I N S T R U M E N T S 1

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| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

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| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Common Stocks** | **Common Stocks** | **Common Stocks** |
| **Aerospace & Defense — 1.0%** | **Aerospace & Defense — 1.0%** | **Aerospace & Defense — 1.0%** |
|  AAR Corp.<sup>(a)</sup> | 921 | $41353 |
|  Airbus SE | 2182 | 259445 |
|  Astra Space, Inc.<sup>(a)(b)</sup> | 13108 | 5686 |
|  Astronics Corp.<sup>(a)</sup> | 10456 | 107697 |
|  Axon Enterprise, Inc.<sup>(a)</sup> | 223 | 37002 |
|  BAE Systems PLC | 6262 | 64676 |
|  Boeing Co.<sup>(a)</sup> | 1760 | 335262 |
|  BWX Technologies, Inc. | 327 | 18992 |
|  Curtiss-Wright Corp. | 133 | 22210 |
|  Dassault Aviation SA | 382 | 64785 |
|  Embraer SA, ADR<sup>(a)</sup> | 21940 | 239804 |
|  General Dynamics Corp. | 3289 | 816034 |
|  HEICO Corp. | 2189 | 336318 |
|  Hexcel Corp. | 275 | 16184 |
|  Kongsberg Gruppen ASA | 1633 | 69507 |
|  Kratos Defense & Security Solutions, Inc.<sup>(a)</sup> | 26151 | 269878 |
|  L3Harris Technologies, Inc. | 294 | 61214 |
|  Lockheed Martin Corp. | 5014 | 2439261 |
|  Mercury Systems, Inc.<sup>(a)</sup> | 192 | 8590 |
|  Moog, Inc., Class A | 8859 | 777466 |
|  Northrop Grumman Corp. | 925 | 504689 |
|  Parsons Corp.<sup>(a)</sup> | 13557 | 627011 |
|  Raytheon Technologies Corp. | 3625 | 365835 |
|  Rheinmetall AG | 113 | 22496 |
|  Safran SA | 1151 | 144167 |
|  Textron, Inc. | 5930 | 419844 |
|  Thales SA | 251 | 32070 |
|  V2X, Inc.<sup>(a)</sup> | 5273 | 217722 |
|  Woodward, Inc. | 197 | 19032 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8344230 |
| **Air Freight & Logistics — 0.6%** |  |  |
|  CH Robinson Worldwide, Inc. | 1183 | 108316 |
|  CJ Logistics Corp.<sup>(a)</sup> | 1988 | 148256 |
|  Deutsche Post AG, Registered Shares | 1947 | 72870 |
|  DSV A/S | 270 | 42697 |
|  Expeditors International of Washington, Inc. | 1492 | 155049 |
|  FedEx Corp. | 1307 | 226372 |
|  Forward Air Corp. | 4024 | 422077 |
|  GXO Logistics, Inc.<sup>(a)</sup> | 344 | 14685 |
|  Hub Group, Inc., Class A<sup>(a)</sup> | 8321 | 661436 |
|  Hyundai Glovis Co. Ltd. | 2063 | 267842 |
|  JD Logistics, Inc.<sup>(a)(c)</sup> | 52500 | 100973 |
|  Radiant Logistics, Inc.<sup>(a)</sup> | 6856 | 34897 |
|  SF Holding Co. Ltd., Class A | 34200 | 284702 |
|  United Parcel Service, Inc., Class B<sup>(b)</sup> | 10077 | 1751786 |
|  YTO Express Group Co. Ltd., Class A | 75700 | 219394 |
|  ZTO Express Cayman, Inc., ADR<sup>(b)</sup> | 8415 | 226111 |
|  |  | 4737463 |
| **Airlines<sup>(a)</sup> — 0.4%** |  |  |
|  Alaska Air Group, Inc.<sup>(b)</sup> | 423 | 18164 |
|  Allegiant Travel Co.<sup>(b)</sup> | 4472 | 304051 |
|  American Airlines Group, Inc. | 2199 | 27971 |
|  Asiana Airlines, Inc. | 19286 | 213206 |
|  Copa Holdings SA, Class A<sup>(b)</sup> | 142 | 11810 |
|  Delta Air Lines, Inc. | 12856 | 422448 |
|  Hawaiian Holdings, Inc. | 17300 | 177498 |
|  JetBlue Airways Corp. | 5722 | 37079 |
|  Korean Air Lines Co. Ltd. | 41107 | 749110 |
|  Southwest Airlines Co. | 18834 | 634141 |

---

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| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Airlines (continued)** | **Airlines (continued)** | **Airlines (continued)** |
|  Spirit Airlines, Inc. | 8655 | $168599 |
|  United Airlines Holdings, Inc. | 2381 | 89764 |
|  Wheels Up Experience, Inc. | 22632 | 23311 |
|  |  | 2877152 |
| **Auto Components — 0.7%** |  |  |
|  Adient PLC<sup>(a)</sup> | 10562 | 366396 |
|  Aptiv PLC<sup>(a)</sup> | 3790 | 352963 |
|  BorgWarner, Inc. | 5124 | 206241 |
|  Cie Generale des Etablissements Michelin SCA | 1009 | 28108 |
|  Cooper-Standard Holdings, Inc.<sup>(a)</sup> | 5582 | 50573 |
|  Dana, Inc. | 19189 | 290329 |
|  Dorman Products, Inc.<sup>(a)</sup> | 1613 | 130443 |
|  Fox Factory Holding Corp.<sup>(a)</sup> | 4108 | 374773 |
|  Fuyao Glass Industry Group Co. Ltd., Class H<sup>(c)</sup> | 19200 | 80169 |
|  Gentex Corp. | 768 | 20943 |
|  Gentherm, Inc.<sup>(a)</sup> | 1210 | 79001 |
|  Goodyear Tire & Rubber Co.<sup>(a)</sup> | 26322 | 267168 |
|  HL Mando Co. Ltd. | 12790 | 408167 |
|  Hyundai Mobis Co. Ltd. | 4669 | 740589 |
|  Hyundai Wia Corp. | 2880 | 112886 |
|  LCI Industries<sup>(b)</sup> | 1009 | 93282 |
|  Lear Corp. | 4781 | 592940 |
|  Luminar Technologies, Inc.<sup>(a)(b)</sup> | 15053 | 74512 |
|  Modine Manufacturing Co.<sup>(a)</sup> | 10787 | 214230 |
|  Patrick Industries, Inc.<sup>(b)</sup> | 3068 | 185921 |
|  QuantumScape Corp.<sup>(a)(b)</sup> | 837 | 4746 |
|  Standard Motor Products, Inc. | 2936 | 102173 |
|  Tong Yang Industry Co. Ltd. | 220000 | 307067 |
|  Visteon Corp.<sup>(a)</sup> | 5107 | 668149 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5751769 |
| **Automobiles — 1.2%** |  |  |
|  BAIC Motor Corp. Ltd., Class H<sup>(c)</sup> | 556500 | 146892 |
|  Bayerische Motoren Werke AG | 2243 | 198584 |
|  BYD Co. Ltd., Class A | 22000 | 812166 |
|  BYD Co. Ltd., Class H | 38000 | 932291 |
|  Ferrari NV | 667 | 143030 |
|  Ford Motor Co.<sup>(b)</sup> | 20233 | 235310 |
|  Geely Automobile Holdings Ltd. | 320000 | 462250 |
|  General Motors Co. | 10459 | 351841 |
|  Great Wall Motor Co. Ltd., Class H<sup>(b)</sup> | 141000 | 181639 |
|  Guangzhou Automobile Group Co. Ltd., Class H | 192000 | 128584 |
|  Harley-Davidson, Inc. | 441 | 18346 |
|  Honda Motor Co. Ltd. | 2500 | 57023 |
|  Hyundai Motor Co. | 4635 | 554726 |
|  Isuzu Motors Ltd. | 3000 | 34779 |
|  Kia Corp. | 8327 | 391789 |
|  Li Auto, Inc., ADR<sup>(a)(b)</sup> | 3689 | 75256 |
|  Li Auto, Inc., Class A<sup>(a)</sup> | 13500 | 130528 |
|  Lucid Group, Inc.<sup>(a)(b)</sup> | 6988 | 47728 |
|  Mahindra & Mahindra Ltd. | 5453 | 82093 |
|  Maruti Suzuki India Ltd. | 1984 | 200712 |
|  Mercedes-Benz Group AG, Registered Shares | 3744 | 244838 |
|  NIO, Inc., ADR<sup>(a)</sup> | 32488 | 316758 |
|  Renault SA<sup>(a)</sup> | 1460 | 48718 |
|  Rivian Automotive, Inc., Class A<sup>(a)</sup> | 3940 | 72614 |
|  Stellantis NV | 10029 | 142516 |
|  Suzuki Motor Corp. | 1800 | 57649 |
|  Tesla, Inc.<sup>(a)</sup> | 23230 | 2861471 |
|  Thor Industries, Inc.<sup>(b)</sup> | 174 | 13135 |
|  Toyota Motor Corp. | 33100 | 451568 |

---

2 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Automobiles (continued)** | **Automobiles (continued)** | **Automobiles (continued)** |
|  Winnebago Industries, Inc.<sup>(b)</sup> | 5620 | $296174 |
|  XPeng, Inc., Class A<sup>(a)</sup> | 11100 | 54698 |
|  Yamaha Motor Co. Ltd. | 800 | 18081 |
|  |  | 9763787 |
| **Banks — 7.5%** |  |  |
|  1st Source Corp. | 3611 | 191708 |
|  Abu Dhabi Commercial Bank PJSC | 66002 | 161528 |
|  Abu Dhabi Islamic Bank PJSC | 39345 | 97471 |
|  Agricultural Bank of China Ltd., Class H | 771000 | 263756 |
|  Al Rajhi Bank<sup>(a)</sup> | 69965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1399177 |
|  Alinma Bank | 50840 | 440228 |
|  Amalgamated Financial Corp. | 5723 | 131858 |
|  Ameris Bancorp<sup>(b)</sup> | 4600 | 216844 |
|  ANZ Group Holdings Ltd. | 12604 | 203037 |
|  Associated Banc-Corp | 32308 | 745992 |
|  Atlantic Union Bankshares Corp. | 5588 | 196362 |
|  Axis Bank Ltd. | 81201 | 913806 |
|  Banco Bilbao Vizcaya Argentaria SA | 18027 | 108581 |
|  Banco do Brasil SA | 37415 | 242053 |
|  Banco Santander SA | 36458 | 109014 |
|  Bank Central Asia Tbk PT | 3095100 | 1697161 |
|  Bank Mandiri Persero Tbk PT | 761300 | 485476 |
|  Bank of America Corp. | 58436 | 1935400 |
|  Bank of China Ltd., Class H | 2271000 | 821941 |
|  Bank of Hangzhou Co. Ltd., Class A | 84600 | 159638 |
|  Bank of Hawaii Corp.<sup>(b)</sup> | 137 | 10626 |
|  Bank of Ireland Group PLC | 2140 | 20393 |
|  Bank OZK | 374 | 14982 |
|  Bank Polska Kasa Opieki SA | 5193 | 103307 |
|  Bank Rakyat Indonesia Persero Tbk PT | 4668800 | 1480244 |
|  BankFinancial Corp. | 21176 | 222983 |
|  Banque Saudi Fransi | 11840 | 127663 |
|  Barclays PLC | 51027 | 97095 |
|  BNP Paribas SA | 3391 | 193081 |
|  BOC Hong Kong Holdings Ltd. | 16500 | 56014 |
|  BOK Financial Corp. | 99 | 10275 |
|  Byline Bancorp, Inc. | 1650 | 37901 |
|  Cadence Bank<sup>(b)</sup> | 9003 | 222014 |
|  CaixaBank SA | 11014 | 43184 |
|  Capital City Bank Group, Inc. | 26042 | 846365 |
|  Capitec Bank Holdings Ltd. | 5647 | 614714 |
|  Capstar Financial Holdings, Inc. | 8994 | 158834 |
|  Cathay General Bancorp | 3621 | 147701 |
|  Central Pacific Financial Corp. | 17812 | 361227 |
|  China Construction Bank Corp., Class H | 2818000 | 1762346 |
|  China Merchants Bank Co. Ltd., Class A | 70800 | 379201 |
|  China Merchants Bank Co. Ltd., Class H | 217500 | 1203613 |
|  CIMB Group Holdings Bhd | 232400 | 305831 |
|  Citigroup, Inc. | 25711 | 1162909 |
|  Citizens Financial Group, Inc. | 4505 | 177362 |
|  City Union Bank Ltd. | 24607 | 53592 |
|  Colony Bankcorp, Inc.<sup>(b)</sup> | 812 | 10304 |
|  Comerica, Inc. | 452 | 30216 |
|  Commerce Bancshares, Inc. | 376 | 25594 |
|  Commerzbank AG<sup>(a)</sup> | 2241 | 20952 |
|  Commonwealth Bank of Australia | 6314 | 438538 |
|  Community Trust Bancorp, Inc. | 3724 | 171043 |
|  ConnectOne Bancorp, Inc. | 3638 | 88076 |
|  Credit Agricole SA | 4229 | 44486 |
|  Cullen/Frost Bankers, Inc. | 196 | 26205 |
|  Customers Bancorp, Inc.<sup>(a)</sup> | 1707 | 48376 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
|  Danske Bank A/S | 1691 | $33352 |
|  DBS Group Holdings Ltd. | 9000 | 227804 |
|  DNB Bank ASA | 15977 | 315547 |
|  Dubai Islamic Bank PJSC | 78625 | 122035 |
|  East West Bancorp, Inc. | 1249 | 82309 |
|  Emirates NBD Bank PJSC | 74160 | 261202 |
|  Enterprise Bancorp, Inc. | 1250 | 44125 |
|  Enterprise Financial Services Corp. | 550 | 26928 |
|  Farmers National Banc Corp. | 3783 | 53416 |
|  FB Financial Corp.<sup>(b)</sup> | 9754 | 352510 |
|  Fifth Third Bancorp | 3856 | 126515 |
|  FinecoBank Banca Fineco SpA | 3848 | 63900 |
|  First Abu Dhabi Bank PJSC | 110973 | 515619 |
|  First Bancshares, Inc.<sup>(b)</sup> | 4772 | 152752 |
|  First Bank | 6320 | 86963 |
|  First Business Financial Services, Inc. | 3024 | 110527 |
|  First Citizens BancShares, Inc., Class A | 86 | 65219 |
|  First Commonwealth Financial Corp. | 6808 | 95108 |
|  First Financial Holding Co. Ltd. | 116000 | 99913 |
|  First Financial Northwest, Inc. | 20722 | 310416 |
|  First Foundation, Inc. | 8746 | 125330 |
|  First Hawaiian, Inc. | 427 | 11119 |
|  First Horizon Corp. | 3482 | 85309 |
|  First Interstate BancSystem, Inc., Class A | 4336 | 167586 |
|  First Northwest Bancorp | 2493 | 38292 |
|  First Republic Bank | 961 | 117136 |
|  First Savings Financial Group, Inc.<sup>(b)</sup> | 1623 | 32460 |
|  FNB Corp. | 1165 | 15203 |
|  Fulton Financial Corp.<sup>(b)</sup> | 31965 | 537971 |
|  Grupo Financiero Banorte SAB de CV, Class O | 59319 | 425901 |
|  Hana Financial Group, Inc. | 5097 | 169726 |
|  Hancock Whitney Corp. | 18535 | 896909 |
|  Hang Seng Bank Ltd. | 3700 | 61370 |
|  Hanmi Financial Corp. | 2110 | 52222 |
|  HBT Financial, Inc. | 13634 | 266817 |
|  HDFC Bank Ltd. | 35544 | 697144 |
|  HDFC Bank Ltd., ADR<sup>(b)</sup> | 5872 | 401704 |
|  Heartland Financial USA, Inc. | 19332 | 901258 |
|  Hilltop Holdings, Inc. | 1123 | 33701 |
|  HomeTrust Bancshares, Inc. | 4340 | 104898 |
|  Hong Leong Bank Bhd | 28300 | 131944 |
|  Horizon Bancorp, Inc. | 12348 | 186208 |
|  HSBC Holdings PLC | 63458 | 393283 |
|  Huntington Bancshares, Inc.<sup>(b)</sup> | 19991 | 281873 |
|  ICICI Bank Ltd. | 148235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1594381 |
|  ICICI Bank Ltd., ADR | 47075 | 1030472 |
|  IDFC First Bank Ltd.<sup>(a)</sup> | 187712 | 133103 |
|  Independent Bank Corp. | 19422 | 464574 |
|  Independent Bank Group, Inc.<sup>(b)</sup> | 2779 | 166962 |
|  Industrial & Commercial Bank of China Ltd., Class H | 1713000 | 878580 |
|  ING Groep NV, Series N<sup>(a)</sup> | 11381 | 138634 |
|  Intesa Sanpaolo SpA | 46476 | 102963 |
|  Investar Holding Corp. | 3270 | 70403 |
|  Japan Post Bank Co. Ltd.<sup>(b)</sup> | 3200 | 27433 |
|  JPMorgan Chase & Co. | 13609 | 1824967 |
|  KB Financial Group, Inc. | 12629 | 483850 |
|  KB Financial Group, Inc., ADR | 11432 | 441961 |
|  KBC Group NV | 640 | 41207 |
|  KeyCorp | 5109 | 88999 |
|  Kiatnakin Phatra Bank PCL, NVDR | 60300 | 128279 |
|  Kotak Mahindra Bank Ltd. | 27923 | 614342 |
|  Kuwait Finance House KSCP | 269447 | 728078 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 3

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
|  Lakeland Bancorp, Inc. | 23132 | $407355 |
|  M&T Bank Corp. | 1002 | 145350 |
|  Mediobanca Banca di Credito Finanziario SpA<sup>(b)</sup> | 1673 | 16076 |
|  Mercantile Bank Corp. | 2662 | 89124 |
|  Meridian Corp. | 2911 | 88174 |
|  Metropolitan Bank Holding Corp.<sup>(a)</sup> | 2192 | 128605 |
|  Mid Penn Bancorp, Inc. | 1949 | 58412 |
|  Midland States Bancorp, Inc. | 25809 | 687036 |
|  MidWestOne Financial Group, Inc. | 1772 | 56261 |
|  Mitsubishi UFJ Financial Group, Inc. | 37500 | 251753 |
|  Mizuho Financial Group, Inc. | 7820 | 110170 |
|  National Australia Bank Ltd. | 13117 | 266322 |
|  National Bank Holdings Corp., Class A | 6456 | 271604 |
|  National Bank of Kuwait SAKP | 206580 | 728415 |
|  NatWest Group PLC | 29961 | 95553 |
|  Nedbank Group Ltd. | 16873 | 211101 |
|  Nordea Bank Abp | 10911 | 116878 |
|  Northrim BanCorp, Inc. | 7193 | 392522 |
|  OceanFirst Financial Corp. | 23683 | 503264 |
|  Old National Bancorp<sup>(b)</sup> | 38366 | 689821 |
|  Origin Bancorp, Inc.<sup>(b)</sup> | 7391 | 271250 |
|  OTP Bank Nyrt | 6420 | 174438 |
|  Oversea-Chinese Banking Corp. Ltd. | 10300 | 93689 |
|  PacWest Bancorp | 397 | 9111 |
|  Peapack-Gladstone Financial Corp. | 2182 | 81214 |
|  Ping An Bank Co. Ltd., Class A | 84400 | 160029 |
|  Pinnacle Financial Partners, Inc. | 251 | 18423 |
|  Popular, Inc. | 246 | 16315 |
|  Postal Savings Bank of China Co. Ltd.,<br>Class H<sup>(b)(c)</sup> | 494000 | 305695 |
|  Premier Financial Corp. | 16811 | 453393 |
|  Prosperity Bancshares, Inc. | 293 | 21295 |
|  Public Bank Bhd | 377300 | 369962 |
|  Qatar Islamic Bank SAQ | 54705 | 276900 |
|  Qatar National Bank QPSC | 220782 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1086918 |
|  Regions Financial Corp. | 6035 | 130115 |
|  Republic First Bancorp, Inc.<sup>(a)</sup> | 78361 | 168476 |
|  Resona Holdings, Inc. | 4500 | 24716 |
|  Riverview Bancorp, Inc. | 56216 | 431739 |
|  Riyad Bank | 16883 | 143562 |
|  Salisbury Bancorp, Inc.<sup>(b)</sup> | 3684 | 115678 |
|  Sandy Spring Bancorp, Inc.<sup>(b)</sup> | 8075 | 284482 |
|  Saudi British Bank | 7212 | 74200 |
|  Saudi National Bank | 65344 | 879499 |
|  Sberbank of Russia PJSC<sup>(a)(d)</sup> | 141048 | 19 |
|  Seacoast Banking Corp. of Florida<sup>(b)</sup> | 3426 | 106857 |
|  Shanghai Commercial & Savings Bank Ltd. | 48298 | 69185 |
|  Sierra Bancorp | 13723 | 291477 |
|  Signature Bank | 429 | 49429 |
|  Skandinaviska Enskilda Banken AB, Class A | 4658 | 53627 |
|  SmartFinancial, Inc. | 5839 | 160572 |
|  Societe Generale SA | 1411 | 35393 |
|  South Plains Financial, Inc. | 5456 | 150204 |
|  Southern First Bancshares, Inc.<sup>(a)</sup> | 571 | 26123 |
|  Standard Bank Group Ltd. | 74630 | 736349 |
|  Standard Chartered PLC | 7538 | 56222 |
|  State Bank of India | 65996 | 488039 |
|  Sumitomo Mitsui Financial Group, Inc. | 4300 | 172999 |
|  Sumitomo Mitsui Trust Holdings, Inc. | 700 | 24427 |
|  SVB Financial Group<sup>(a)</sup> | 962 | 221395 |
|  Svenska Handelsbanken AB, A Shares | 3850 | 38762 |
|  Swedbank AB, A Shares | 1455 | 24748 |
|  Synovus Financial Corp. | 481 | 18062 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
|  Taiwan Cooperative Financial Holding Co. Ltd. | 365000 | $308398 |
|  Tisco Financial Group PCL, NVDR | 60500 | 173257 |
|  Towne Bank | 15673 | 483355 |
|  Truist Financial Corp. | 4236 | 182275 |
|  U.S. Bancorp | 28319 | 1234992 |
|  UMB Financial Corp. | 7306 | 610197 |
|  Umpqua Holdings Corp. | 740 | 13209 |
|  UniCredit SpA | 5146 | 73019 |
|  United Overseas Bank Ltd. | 3500 | 80170 |
|  Univest Financial Corp. | 3395 | 88711 |
|  Veritex Holdings, Inc. | 5963 | 167441 |
|  Washington Federal, Inc. | 6981 | 234213 |
|  Webster Financial Corp. | 1205 | 57045 |
|  Wells Fargo & Co. | 47091 | 1944387 |
|  WesBanco, Inc. | 16354 | 604771 |
|  Western Alliance Bancorp | 358 | 21322 |
|  Westpac Banking Corp. | 13574 | 214897 |
|  Wintrust Financial Corp. | 194 | 16397 |
|  Zions Bancorp NA | 512 | 25170 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59641000 |
| **Beverages — 1.6%** |  |  |
|  Ambev SA | 370078 | 1011486 |
|  Anadolu Efes Biracilik Ve Malt Sanayii A/S | 66471 | 240795 |
|  Anheuser-Busch InBev SA | 2298 | 138411 |
|  Asahi Group Holdings Ltd. | 1300 | 40466 |
|  Boston Beer Co., Inc., Class A<sup>(a)</sup> | 32 | 10545 |
|  Brown-Forman Corp., Class A | 156 | 10259 |
|  Brown-Forman Corp., Class B | 876 | 57536 |
|  Carlsberg A/S, Class B | 433 | 57436 |
|  Celsius Holdings, Inc.<sup>(a)</sup> | 2892 | 300884 |
|  China Resources Beer Holdings Co. Ltd. | 62000 | 431246 |
|  Coca-Cola Co. | 7399 | 470650 |
|  Coca-Cola Consolidated, Inc. | 563 | 288459 |
|  Coca-Cola Europacific Partners PLC | 6765 | 374240 |
|  Coca-Cola Femsa SAB de CV | 21671 | 146620 |
|  Coca-Cola Femsa SAB de CV, ADR | 1986 | 134810 |
|  Coca-Cola HBC AG, Class DI | 2492 | 58908 |
|  Coca-Cola Icecek A/S | 11213 | 122549 |
|  Diageo PLC | 8064 | 352976 |
|  Duckhorn Portfolio, Inc.<sup>(a)</sup> | 4875 | 80779 |
|  Fomento Economico Mexicano SAB de CV | 60601 | 471554 |
|  Fomento Economico Mexicano SAB de CV, ADR | 978 | 76401 |
|  Heineken Holding NV | 621 | 47960 |
|  Heineken NV | 788 | 74223 |
|  Hite Jinro Co. Ltd. | 15806 | 320764 |
|  Ito En Ltd. | 600 | 21836 |
|  Jiangsu King's Luck Brewery JSC Ltd., Class A | 26900 | 197351 |
|  Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A | 5800 | 133971 |
|  Kirin Holdings Co. Ltd. | 4500 | 68586 |
|  Kweichow Moutai Co. Ltd., Class A | 1900 | 472120 |
|  Luzhou Laojiao Co. Ltd., Class A | 2600 | 83924 |
|  MGP Ingredients, Inc. | 2911 | 309672 |
|  Nongfu Spring Co. Ltd., Class H<sup>(c)</sup> | 43200 | 243293 |
|  PepsiCo, Inc. | 19139 | 3457652 |
|  Pernod Ricard SA | 978 | 192394 |
|  Primo Water Corp. | 48176 | 748655 |
|  Treasury Wine Estates Ltd. | 6856 | 63338 |
|  Tsingtao Brewery Co. Ltd., Class A | 5800 | 89888 |
|  Tsingtao Brewery Co. Ltd., Class H | 8000 | 78777 |
|  United Spirits Ltd.<sup>(a)</sup> | 6895 | 73044 |

---

4 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Beverages (continued)** | **Beverages (continued)** | **Beverages (continued)** |
|  Varun Beverages Ltd. | 46336 | $739465 |
|  Vita Coco Co., Inc.<sup>(a)</sup> | 3473 | 47997 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12341920 |
| **Biotechnology — 3.2%** |  |  |
|  2seventy bio, Inc.<sup>(a)</sup> | 4353 | 40788 |
|  3SBio, Inc.<sup>(c)</sup> | 246500 | 260998 |
|  4D Molecular Therapeutics, Inc.<sup>(a)</sup> | 3622 | 80445 |
|  89bio, Inc.<sup>(a)</sup> | 1320 | 16804 |
|  AbbVie, Inc. | 10718 | 1732136 |
|  Abeona Therapeutics, Inc.<sup>(a)</sup> | 482 | 1485 |
|  ACADIA Pharmaceuticals, Inc.<sup>(a)</sup> | 13577 | 216146 |
|  ADMA Biologics, Inc.<sup>(a)</sup> | 36559 | 141849 |
|  Affimed NV<sup>(a)</sup> | 11343 | 14065 |
|  Agenus, Inc.<sup>(a)</sup> | 27624 | 66298 |
|  Agios Pharmaceuticals, Inc.<sup>(a)</sup> | 6971 | 195746 |
|  Akebia Therapeutics, Inc.<sup>(a)</sup> | 17028 | 9825 |
|  Albireo Pharma, Inc.<sup>(a)</sup> | 1463 | 31615 |
|  Alector, Inc.<sup>(a)</sup> | 15702 | 144929 |
|  Aligos Therapeutics, Inc.<sup>(a)</sup> | 3453 | 3290 |
|  Alkermes PLC<sup>(a)</sup> | 22174 | 579407 |
|  Allakos, Inc.<sup>(a)</sup> | 13729 | 115598 |
|  Allogene Therapeutics, Inc.<sup>(a)</sup> | 19443 | 122296 |
|  Allovir, Inc.<sup>(a)(b)</sup> | 6313 | 32386 |
|  Alnylam Pharmaceuticals, Inc.<sup>(a)</sup> | 551 | 130945 |
|  ALX Oncology Holdings, Inc.<sup>(a)</sup> | 4071 | 45880 |
|  Amgen, Inc. | 7179 | 1885493 |
|  Amicus Therapeutics, Inc.<sup>(a)</sup> | 8276 | 101050 |
|  Apellis Pharmaceuticals, Inc.<sup>(a)</sup> | 9561 | 494399 |
|  Applied Molecular Transport, Inc.<sup>(a)</sup> | 3993 | 1677 |
|  Applied Therapeutics, Inc.<sup>(a)</sup> | 1218 | 926 |
|  Aprea Therapeutics, Inc.<sup>(a)</sup> | 5798 | 1866 |
|  Aptinyx, Inc.<sup>(a)</sup> | 12794 | 3747 |
|  AquaBounty Technologies, Inc.<sup>(a)(b)</sup> | 3 | 2 |
|  Arcturus Therapeutics Holdings, Inc.<sup>(a)(b)</sup> | 2320 | 39347 |
|  Arcus Biosciences, Inc.<sup>(a)</sup> | 7718 | 159608 |
|  Arcutis Biotherapeutics, Inc.<sup>(a)(b)</sup> | 4937 | 73068 |
|  Argenx SE<sup>(a)</sup> | 224 | 84091 |
|  Arrowhead Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 5779 | 234396 |
|  Assembly Biosciences, Inc.<sup>(a)</sup> | 24276 | 31559 |
|  Astria Therapeutics, Inc.<sup>(a)</sup> | 2019 | 30063 |
|  Atara Biotherapeutics, Inc.<sup>(a)</sup> | 13336 | 43742 |
|  Athenex, Inc.<sup>(a)</sup> | 8143 | 1201 |
|  Atossa Therapeutics, Inc.<sup>(a)(b)</sup> | 11978 | 6330 |
|  Atreca, Inc., Class A<sup>(a)</sup> | 11605 | 9291 |
|  Avidity Biosciences, Inc.<sup>(a)(b)</sup> | 9917 | 220058 |
|  Avrobio, Inc.<sup>(a)</sup> | 3970 | 2830 |
|  Beam Therapeutics, Inc.<sup>(a)(b)</sup> | 5961 | 233135 |
|  BeiGene Ltd.<sup>(a)</sup> | 4700 | 79769 |
|  BeiGene Ltd., ADR<sup>(a)(b)</sup> | 1224 | 269207 |
|  Beyondspring, Inc.<sup>(a)(b)</sup> | 6288 | 11821 |
|  Biogen, Inc.<sup>(a)</sup> | 1456 | 403196 |
|  BioMarin Pharmaceutical, Inc.<sup>(a)</sup> | 3051 | 315748 |
|  Bioxcel Therapeutics, Inc.<sup>(a)</sup> | 1925 | 41349 |
|  Black Diamond Therapeutics, Inc.<sup>(a)</sup> | 8489 | 15280 |
|  Bluebird Bio, Inc.<sup>(a)(b)</sup> | 8394 | 58086 |
|  Blueprint Medicines Corp.<sup>(a)</sup> | 15157 | 664028 |
|  Bolt Biotherapeutics, Inc.<sup>(a)(b)</sup> | 1792 | 2330 |
|  Bridgebio Pharma, Inc.<sup>(a)</sup> | 18278 | 139278 |
|  C4 Therapeutics, Inc.<sup>(a)(b)</sup> | 4328 | 25535 |
|  Cabaletta Bio, Inc.<sup>(a)(b)</sup> | 4042 | 37389 |
|  CareDx, Inc.<sup>(a)</sup> | 7880 | 89911 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** |
|  Catalyst Biosciences, Inc.<sup>(b)</sup> | 6436 | $3395 |
|  Catalyst Pharmaceuticals, Inc.<sup>(a)</sup> | 4913 | 91382 |
|  Celltrion, Inc. | 2232 | 284871 |
|  Centogene NV<sup>(a)</sup> | 910 | 874 |
|  Cerevel Therapeutics Holdings, Inc.<sup>(a)</sup> | 2205 | 69546 |
|  Coherus Biosciences, Inc.<sup>(a)</sup> | 22325 | 176814 |
|  Corbus Pharmaceuticals Holdings, Inc.<sup>(a)</sup> | 12901 | 1426 |
|  Corvus Pharmaceuticals, Inc.<sup>(a)</sup> | 5735 | 4875 |
|  CSL Ltd. | 1717 | 334805 |
|  Cue Biopharma, Inc.<sup>(a)</sup> | 3329 | 9488 |
|  Cullinan Oncology, Inc.<sup>(a)</sup> | 3612 | 38107 |
|  Cytokinetics, Inc.<sup>(a)</sup> | 6139 | 281289 |
|  Deciphera Pharmaceuticals, Inc.<sup>(a)</sup> | 16261 | 266518 |
|  Denali Therapeutics, Inc.<sup>(a)</sup> | 13609 | 378466 |
|  Dynavax Technologies Corp.<sup>(a)(b)</sup> | 8292 | 88227 |
|  Dyne Therapeutics, Inc.<sup>(a)</sup> | 3265 | 37841 |
|  Editas Medicine, Inc.<sup>(a)(b)</sup> | 15617 | 138523 |
|  Emergent BioSolutions, Inc.<sup>(a)</sup> | 9169 | 108286 |
|  Enanta Pharmaceuticals, Inc.<sup>(a)</sup> | 3007 | 139886 |
|  Erasca, Inc.<sup>(a)</sup> | 2545 | 10969 |
|  Exact Sciences Corp.<sup>(a)</sup> | 6790 | 336173 |
|  Exagen, Inc.<sup>(a)(b)</sup> | 3265 | 7836 |
|  Exelixis, Inc.<sup>(a)(b)</sup> | 6973 | 111847 |
|  Exicure, Inc.<sup>(a)(b)</sup> | 178 | 205 |
|  Fate Therapeutics, Inc.<sup>(a)</sup> | 28199 | 284528 |
|  Fennec Pharmaceuticals, Inc.<sup>(a)</sup> | 1750 | 16800 |
|  FibroGen, Inc.<sup>(a)</sup> | 8675 | 138973 |
|  Foghorn Therapeutics, Inc.<sup>(a)(b)</sup> | 2487 | 15867 |
|  Forte Biosciences, Inc.<sup>(a)</sup> | 1659 | 1659 |
|  Frequency Therapeutics, Inc.<sup>(a)</sup> | 4657 | 17929 |
|  G1 Therapeutics, Inc.<sup>(a)</sup> | 7005 | 38037 |
|  Galera Therapeutics, Inc.<sup>(a)</sup> | 4076 | 6073 |
|  Genmab A/S<sup>(a)</sup> | 200 | 84559 |
|  Gilead Sciences, Inc. | 12771 | 1096390 |
|  GlycoMimetics, Inc.<sup>(a)</sup> | 5325 | 16135 |
|  Green Cross Corp. | 1168 | 120573 |
|  Gritstone bio, Inc.<sup>(a)</sup> | 11781 | 40644 |
|  Halozyme Therapeutics, Inc.<sup>(a)</sup> | 6548 | 372581 |
|  Heron Therapeutics, Inc.<sup>(a)</sup> | 19939 | 49848 |
|  Homology Medicines, Inc.<sup>(a)</sup> | 6560 | 8266 |
|  Horizon Therapeutics PLC<sup>(a)</sup> | 2534 | 288369 |
|  Hugel, Inc.<sup>(a)</sup> | 2766 | 295436 |
|  IGM Biosciences, Inc.<sup>(a)</sup> | 1536 | 26127 |
|  Imago Biosciences, Inc.<sup>(a)</sup> | 2026 | 72835 |
|  ImmunoGen, Inc.<sup>(a)</sup> | 18587 | 92192 |
|  Incyte Corp.<sup>(a)</sup> | 823 | 66103 |
|  Infinity Pharmaceuticals, Inc.<sup>(a)</sup> | 6021 | 3342 |
|  Inhibrx, Inc.<sup>(a)</sup> | 2752 | 67809 |
|  Inovio Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 18125 | 28275 |
|  Inozyme Pharma, Inc.<sup>(a)</sup> | 892 | 937 |
|  Insmed, Inc.<sup>(a)</sup> | 21049 | 420559 |
|  Intellia Therapeutics, Inc.<sup>(a)</sup> | 9320 | 325175 |
|  Intercept Pharmaceuticals, Inc.<sup>(a)</sup> | 7798 | 96461 |
|  Ionis Pharmaceuticals, Inc.<sup>(a)</sup> | 462 | 17450 |
|  Iovance Biotherapeutics, Inc.<sup>(a)</sup> | 9251 | 59114 |
|  Ironwood Pharmaceuticals, Inc.<sup>(a)</sup> | 30672 | 380026 |
|  iTeos Therapeutics, Inc.<sup>(a)</sup> | 4434 | 86596 |
|  IVERIC bio, Inc.<sup>(a)</sup> | 5354 | 114629 |
|  Jounce Therapeutics, Inc.<sup>(a)</sup> | 3154 | 3501 |
|  Karuna Therapeutics, Inc.<sup>(a)</sup> | 1605 | 315382 |
|  Karyopharm Therapeutics, Inc.<sup>(a)(b)</sup> | 16540 | 56236 |
|  Kineta, Inc. | 347 | 2203 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 5

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** |
|  Kiniksa Pharmaceuticals Ltd., Class A<sup>(a)</sup> | 13666 | $204717 |
|  Kinnate Biopharma, Inc.<sup>(a)</sup> | 3570 | 21777 |
|  Kodiak Sciences, Inc.<sup>(a)</sup> | 14110 | 101028 |
|  Kronos Bio, Inc.<sup>(a)</sup> | 4102 | 6645 |
|  Kura Oncology, Inc.<sup>(a)</sup> | 5419 | 67250 |
|  Kymera Therapeutics, Inc.<sup>(a)(b)</sup> | 5448 | 135982 |
|  MacroGenics, Inc.<sup>(a)</sup> | 8276 | 55532 |
|  Madrigal Pharmaceuticals, Inc.<sup>(a)</sup> | 912 | 264708 |
|  MannKind Corp.<sup>(a)</sup> | 23905 | 125979 |
|  Mersana Therapeutics, Inc.<sup>(a)</sup> | 14515 | 85058 |
|  Mirati Therapeutics, Inc.<sup>(a)</sup> | 144 | 6525 |
|  Mirum Pharmaceuticals, Inc.<sup>(a)</sup> | 6868 | 133926 |
|  Moderna, Inc.<sup>(a)</sup> | 1441 | 258832 |
|  Molecular Templates, Inc.<sup>(a)</sup> | 1349 | 442 |
|  Morphic Holding, Inc.<sup>(a)</sup> | 1277 | 34160 |
|  Mustang Bio, Inc.<sup>(a)</sup> | 5399 | 2132 |
|  Myriad Genetics, Inc.<sup>(a)(b)</sup> | 9421 | 136699 |
|  Natera, Inc.<sup>(a)</sup> | 1304 | 52382 |
|  Neurocrine Biosciences, Inc.<sup>(a)</sup> | 1371 | 163752 |
|  NextCure, Inc.<sup>(a)</sup> | 6872 | 9690 |
|  Nkarta, Inc.<sup>(a)</sup> | 14148 | 84747 |
|  Novavax, Inc.<sup>(a)(b)</sup> | 3508 | 36062 |
|  Nurix Therapeutics, Inc.<sup>(a)</sup> | 6783 | 74477 |
|  Nymox Pharmaceutical Corp.<sup>(a)</sup> | 5685 | 1688 |
|  Ocugen, Inc.<sup>(a)(b)</sup> | 14692 | 19100 |
|  Olema Pharmaceuticals, Inc.<sup>(a)</sup> | 3835 | 9396 |
|  Oncorus, Inc.<sup>(a)(b)</sup> | 2121 | 537 |
|  Oncternal Therapeutics, Inc.<sup>(a)(b)</sup> | 4499 | 4499 |
|  Passage Bio, Inc.<sup>(a)</sup> | 8451 | 11662 |
|  PharmaResearch Co. Ltd.<sup>(a)</sup> | 3047 | 168796 |
|  Pieris Pharmaceuticals, Inc.<sup>(a)</sup> | 6677 | 6944 |
|  PMV Pharmaceuticals, Inc.<sup>(a)</sup> | 3522 | 30641 |
|  Poseida Therapeutics, Inc.<sup>(a)</sup> | 5208 | 27602 |
|  Precigen, Inc.<sup>(a)</sup> | 4316 | 6560 |
|  Precision BioSciences, Inc.<sup>(a)</sup> | 9626 | 11455 |
|  Prelude Therapeutics, Inc.<sup>(a)</sup> | 1281 | 7737 |
|  Prevail Therapeutics, Inc.<sup>(d)</sup> | 1105 | 553 |
|  Prometheus Biosciences, Inc.<sup>(a)</sup> | 2320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;255200 |
|  Protagonist Therapeutics, Inc.<sup>(a)</sup> | 3339 | 36428 |
|  Prothena Corp. PLC<sup>(a)</sup> | 598 | 36030 |
|  PTC Therapeutics, Inc.<sup>(a)</sup> | 8932 | 340934 |
|  Puma Biotechnology, Inc.<sup>(a)</sup> | 7912 | 33468 |
|  Quince Therapeutics, Inc.<sup>(a)(b)</sup> | 608 | 388 |
|  Radius Health, Inc. | 2221 | 178 |
|  Recursion Pharmaceuticals, Inc., Class A<sup>(a)(b)</sup> | 12234 | 94324 |
|  Regeneron Pharmaceuticals, Inc.<sup>(a)</sup> | 429 | 309519 |
|  REGENXBIO, Inc.<sup>(a)(b)</sup> | 4854 | 110089 |
|  Relay Therapeutics, Inc.<sup>(a)</sup> | 17292 | 258342 |
|  Replimune Group, Inc.<sup>(a)</sup> | 1198 | 32586 |
|  Rigel Pharmaceuticals, Inc.<sup>(a)</sup> | 21910 | 32865 |
|  Rocket Pharmaceuticals, Inc.<sup>(a)</sup> | 9486 | 185641 |
|  Sage Therapeutics, Inc.<sup>(a)</sup> | 2501 | 95388 |
|  Sana Biotechnology, Inc.<sup>(a)(b)</sup> | 16359 | 64618 |
|  Sangamo Therapeutics, Inc.<sup>(a)</sup> | 47523 | 149222 |
|  Sarepta Therapeutics, Inc.<sup>(a)</sup> | 276 | 35764 |
|  Seagen, Inc.<sup>(a)</sup> | 2610 | 335411 |
|  Seres Therapeutics, Inc.<sup>(a)</sup> | 4888 | 27373 |
|  Shattuck Labs, Inc.<sup>(a)</sup> | 2210 | 5083 |
|  Sigilon Therapeutics, Inc.<sup>(a)</sup> | 2256 | 790 |
|  Solid Biosciences, Inc. | 2323 | 12498 |
|  Sorrento Therapeutics, Inc.<sup>(a)</sup> | 67965 | 60217 |
|  SpringWorks Therapeutics, Inc.<sup>(a)</sup> | 3488 | 90723 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** |
|  SQZ Biotechnologies Co.<sup>(a)</sup> | 1471 | $| 1089 |
|  Stoke Therapeutics, Inc.<sup>(a)</sup> | 966 |  | 8916 |
|  Surface Oncology, Inc.<sup>(a)</sup> | 4415 |  | 3620 |
|  Sutro Biopharma, Inc.<sup>(a)</sup> | 12155 |  | 98212 |
|  Syndax Pharmaceuticals, Inc.<sup>(a)</sup> | 1460 |  | 37157 |
|  Syros Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 731 |  | 2624 |
|  Taysha Gene Therapies, Inc.<sup>(a)</sup> | 3969 |  | 8970 |
|  TCR2 Therapeutics, Inc.<sup>(a)</sup> | 4603 |  | 4597 |
|  TG Therapeutics, Inc.<sup>(a)</sup> | 9250 |  | 109428 |
|  Travere Therapeutics, Inc.<sup>(a)</sup> | 10432 |  | 219385 |
|  Twist Bioscience Corp.<sup>(a)</sup> | 10655 |  | 253696 |
|  Ultragenyx Pharmaceutical, Inc.<sup>(a)</sup> | 5001 |  | 231696 |
|  United Therapeutics Corp.<sup>(a)</sup> | 152 |  | 42270 |
|  UNITY Biotechnology, Inc.<sup>(b)</sup> | 517 |  | 1417 |
|  UroGen Pharma Ltd.<sup>(a)</sup> | 1960 |  | 17385 |
|  Vaxcyte, Inc.<sup>(a)</sup> | 2824 |  | 135411 |
|  Veracyte, Inc.<sup>(a)</sup> | 10550 |  | 250351 |
|  Vericel Corp.<sup>(a)(b)</sup> | 2395 |  | 63084 |
|  Vertex Pharmaceuticals, Inc.<sup>(a)</sup> | 1700 |  | 490926 |
|  Verve Therapeutics, Inc.<sup>(a)(b)</sup> | 2426 |  | 46943 |
|  Vincerx Pharma, Inc.<sup>(a)</sup> | 1674 |  | 1707 |
|  Vir Biotechnology, Inc.<sup>(a)</sup> | 11235 |  | 284358 |
|  Voyager Therapeutics, Inc.<sup>(a)(b)</sup> | 2265 |  | 13817 |
|  Xencor, Inc.<sup>(a)(b)</sup> | 8328 |  | 216861 |
|  Zentalis Pharmaceuticals, Inc.<sup>(a)</sup> | 2513 |  | 50612 |
|  Zogenix, Inc.<sup>(d)</sup> | 4305 |  | 2927 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25413215 |
| **Building Products — 0.6%** | **Building Products — 0.6%** | **Building Products — 0.6%** | **Building Products — 0.6%** |
|  A O Smith Corp.<sup>(b)</sup> | 806 |  | 46136 |
|  Advanced Drainage Systems, Inc. | 211 |  | 17296 |
|  Allegion PLC | 694 |  | 73051 |
|  Apogee Enterprises, Inc. | 4042 |  | 179707 |
|  Armstrong World Industries, Inc. | 163 |  | 11180 |
|  Assa Abloy AB, Class B | 2022 |  | 43492 |
|  AZEK Co., Inc.<sup>(a)(b)</sup> | 372 |  | 7559 |
|  Builders FirstSource, Inc.<sup>(a)</sup> | 4865 |  | 315641 |
|  Carlisle Cos., Inc. | 558 |  | 131493 |
|  Carrier Global Corp. | 3578 |  | 147593 |
|  Daikin Industries Ltd. | 400 |  | 60685 |
|  Fortune Brands Innovations, Inc. | 783 |  | 44717 |
|  Geberit AG, Registered Shares | 195 |  | 92056 |
|  Gibraltar Industries, Inc.<sup>(a)</sup> | 5355 |  | 245687 |
|  Hayward Holdings, Inc.<sup>(a)</sup> | 244 |  | 2294 |
|  Janus International Group, Inc.<sup>(a)</sup> | 2887 |  | 27484 |
|  JELD-WEN Holding, Inc.<sup>(a)</sup> | 17916 |  | 172889 |
|  Johnson Controls International PLC | 8165 |  | 522560 |
|  Kingspan Group PLC | 1541 |  | 83436 |
|  Lennox International, Inc.<sup>(b)</sup> | 259 |  | 61961 |
|  Masco Corp. | 2429 |  | 113361 |
|  Masonite International Corp.<sup>(a)</sup> | 543 |  | 43771 |
|  Masterbrand, Inc. | 783 |  | 5912 |
|  Nibe Industrier AB, B Shares | 4053 |  | 37830 |
|  Owens Corning | 2488 |  | 212226 |
|  PGT Innovations, Inc.<sup>(a)</sup> | 15646 |  | 281002 |
|  Quanex Building Products Corp. | 2005 |  | 47478 |
|  Resideo Technologies, Inc.<sup>(a)</sup> | 2966 |  | 48791 |
|  ROCKWOOL A/S, B Shares | 191 |  | 44714 |
|  TOTO Ltd. | 1200 |  | 40703 |
|  Trane Technologies PLC | 4308 |  | 724132 |
|  Trex Co., Inc.<sup>(a)</sup> | 368 |  | 15577 |

---

6 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Building Products (continued)** | **Building Products (continued)** | **Building Products (continued)** |
|  UFP Industries, Inc. | 11861 | $939984 |
|  Zurn Elkay Water Solutions Corp. | 2315 | 48962 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4891360 |
| **Capital Markets — 1.7%** |  |  |
|  3i Group PLC | 5473 | 88265 |
|  Abrdn PLC | 4951 | 11251 |
|  Affiliated Managers Group, Inc. | 139 | 22022 |
|  Ameriprise Financial, Inc. | 111 | 34562 |
|  Amundi SA<sup>(c)</sup> | 758 | 42985 |
|  Ares Management Corp., Class A<sup>(b)</sup> | 712 | 48729 |
|  ASX Ltd. | 1737 | 80000 |
|  B3 SA - Brasil Bolsa Balcao | 121979 | 304779 |
|  Bank of New York Mellon Corp. | 26397 | 1201592 |
|  Blackstone, Inc., Class A | 2897 | 214928 |
|  Blue Owl Capital, Inc.<sup>(b)</sup> | 1361 | 14427 |
|  Brightsphere Investment Group, Inc.<sup>(b)</sup> | 2777 | 57151 |
|  Carlyle Group, Inc. | 12977 | 387234 |
|  Cboe Global Markets, Inc. | 6747 | 846546 |
|  Charles Schwab Corp. | 5727 | 476830 |
|  China International Capital Corp. Ltd., Class A | 73400 | 403312 |
|  CME Group, Inc., Class A | 6184 | 1039901 |
|  Coinbase Global, Inc., Class A<sup>(a)(b)</sup> | 637 | 22543 |
|  Cowen, Inc., Class A | 3419 | 132042 |
|  Credit Suisse Group AG, Registered Shares | 8418 | 25132 |
|  Deutsche Bank AG, Registered Shares | 5870 | 65988 |
|  Deutsche Boerse AG | 812 | 139818 |
|  EQT AB | 1485 | 31549 |
|  Euronext NV<sup>(c)</sup> | 469 | 34721 |
|  Evercore, Inc., Class A<sup>(b)</sup> | 131 | 14290 |
|  FactSet Research Systems, Inc. | 135 | 54163 |
|  Federated Hermes, Inc. | 6746 | 244947 |
|  Franklin Resources, Inc.<sup>(b)</sup> | 828 | 21843 |
|  GCM Grosvenor, Inc., Class A<sup>(b)</sup> | 5205 | 39610 |
|  Goldman Sachs Group, Inc. | 1160 | 398321 |
|  Haitong Securities Co. Ltd., Class H | 128800 | 78995 |
|  Hamilton Lane, Inc., Class A | 3507 | 224027 |
|  Hargreaves Lansdown PLC | 2544 | 26198 |
|  Hong Kong Exchanges & Clearing Ltd. | 3600 | 154693 |
|  Houlihan Lokey, Inc. | 10611 | 924855 |
|  Huatai Securities Co. Ltd., Class H<sup>(c)</sup> | 67400 | 76870 |
|  Interactive Brokers Group, Inc., Class A | 275 | 19896 |
|  Intercontinental Exchange, Inc. | 1720 | 176455 |
|  Janus Henderson Group PLC<sup>(b)</sup> | 579 | 13618 |
|  Japan Exchange Group, Inc. | 3200 | 46121 |
|  Jefferies Financial Group, Inc. | 679 | 23276 |
|  Julius Baer Group Ltd. | 1249 | 72693 |
|  KKR & Co., Inc. | 3179 | 147569 |
|  Lazard Ltd., Class A | 299 | 10366 |
|  London Stock Exchange Group PLC | 1375 | 118142 |
|  LPL Financial Holdings, Inc. | 1447 | 312798 |
|  Macquarie Group Ltd. | 1669 | 188411 |
|  MarketAxess Holdings, Inc. | 142 | 39602 |
|  Moelis & Co., Class A<sup>(b)</sup> | 10656 | 408871 |
|  Moody's Corp. | 591 | 164664 |
|  Morgan Stanley | 4528 | 384971 |
|  Morningstar, Inc. | 80 | 17327 |
|  MSCI, Inc. | 274 | 127457 |
|  Nasdaq, Inc. | 1456 | 89326 |
|  Northern Trust Corp. | 629 | 55660 |
|  Open Lending Corp., Class A<sup>(a)(b)</sup> | 29489 | 199051 |
|  Partners Group Holding AG | 127 | 112456 |
|  Piper Sandler Cos.,<sup>(b)</sup> | 1801 | 234472 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Capital Markets (continued)** | **Capital Markets (continued)** | **Capital Markets (continued)** |
|  Raymond James Financial, Inc.<sup>(b)</sup> | 1359 | $145209 |
|  Robinhood Markets, Inc., Class A<sup>(a)(b)</sup> | 1903 | 15490 |
|  S&P Global, Inc. | 1856 | 621649 |
|  Schroders PLC | 14658 | 77020 |
|  SEI Investments Co. | 344 | 20055 |
|  Silvercrest Asset Management Group, Inc., Class A | 2743 | 51486 |
|  SooChow Securities Co. Ltd., Class A | 73600 | 69335 |
|  St. James's Place PLC | 2023 | 26650 |
|  State Street Corp. | 1369 | 106193 |
|  Stifel Financial Corp. | 9170 | 535253 |
|  StoneX Group, Inc.<sup>(a)</sup> | 2099 | 200035 |
|  T Rowe Price Group, Inc.<sup>(b)</sup> | 950 | 103607 |
|  UBS Group AG, Registered Shares | 10348 | 192330 |
|  Virtu Financial, Inc., Class A | 301 | 6143 |
|  Virtus Investment Partners, Inc. | 995 | 190483 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13309259 |
| **Chemicals — 2.1%** |  |  |
|  AdvanSix, Inc. | 1650 | 62733 |
|  Air Liquide SA | 1282 | 181961 |
|  Air Products & Chemicals, Inc. | 819 | 252465 |
|  Akzo Nobel NV | 2126 | 142660 |
|  Albemarle Corp. | 1144 | 248088 |
|  Ashland, Inc. | 177 | 19033 |
|  Asian Paints Ltd. | 16121 | 599317 |
|  Avient Corp. | 11803 | 398469 |
|  Axalta Coating Systems Ltd.<sup>(a)</sup> | 698 | 17778 |
|  BASF SE | 2804 | 138065 |
|  Cabot Corp. | 5925 | 396027 |
|  Celanese Corp. | 175 | 17892 |
|  CF Industries Holdings, Inc. | 799 | 68075 |
|  Chemours Co.<sup>(b)</sup> | 548 | 16780 |
|  Clariant AG, Registered Shares | 3156 | 50122 |
|  Coromandel International Ltd. | 27064 | 289947 |
|  Corteva, Inc. | 16880 | 992206 |
|  Croda International PLC | 1090 | 86741 |
|  DuPont de Nemours, Inc. | 3069 | 210625 |
|  Ecolab, Inc. | 11483 | 1671465 |
|  Ecovyst, Inc.<sup>(a)</sup> | 4791 | 42448 |
|  Element Solutions, Inc. | 763 | 13879 |
|  EMS-Chemie Holding AG, Registered Shares | 236 | 159843 |
|  Evonik Industries AG | 2884 | 55009 |
|  FMC Corp. | 2976 | 371405 |
|  Fufeng Group Ltd. | 263000 | 159512 |
|  Ginkgo Bioworks Holdings, Inc.<sup>(a)(b)</sup> | 2810 | 4749 |
|  Hawkins, Inc. | 3497 | 134984 |
|  HB Fuller Co. | 5660 | 405369 |
|  Huntsman Corp. | 714 | 19621 |
|  Ingevity Corp.<sup>(a)</sup> | 5637 | 397070 |
|  Innospec, Inc. | 2256 | 232052 |
|  International Flavors & Fragrances, Inc. | 1532 | 160615 |
|  Johnson Matthey PLC | 871 | 22260 |
|  KCC Corp. | 1120 | 181633 |
|  Kolon Industries, Inc. | 9102 | 296996 |
|  Koninklijke DSM NV | 301 | 36961 |
|  LG Chem Ltd. | 1016 | 485170 |
|  Linde PLC<sup>(a)</sup> | 2461 | 802729 |
|  Livent Corp.<sup>(a)(b)</sup> | 16580 | 329445 |
|  LSB Industries, Inc.<sup>(a)</sup> | 7066 | 93978 |
|  LyondellBasell Industries NV, Class A | 708 | 58785 |
|  Mosaic Co. | 1200 | 52644 |
|  NewMarket Corp. | 22 | 6844 |
|  Novozymes A/S, B Shares | 478 | 24251 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 7

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Chemicals (continued)** | **Chemicals (continued)** | **Chemicals (continued)** |
|  Olin Corp. | 447 | $23664 |
|  Orbia Advance Corp. SAB de CV | 77973 | 138048 |
|  Orica Ltd. | 4156 | 42493 |
|  Perimeter Solutions SA<sup>(a)</sup> | 5817 | 53167 |
|  Petronas Chemicals Group Bhd | 62600 | 122288 |
|  PhosAgro PJSC<sup>(d)</sup> | 3293 | 1 |
|  PPG Industries, Inc. | 1893 | 238026 |
|  Quaker Chemical Corp.<sup>(b)</sup> | 1426 | 237999 |
|  RPM International, Inc. | 1133 | 110411 |
|  Sasol Ltd. | 17010 | 271456 |
|  Saudi Basic Industries Corp. | 61818 | 1478767 |
|  Saudi Kayan Petrochemical Co.<sup>(a)</sup> | 63636 | 233259 |
|  Scotts Miracle-Gro Co.<sup>(b)</sup> | 141 | 6851 |
|  Sensient Technologies Corp. | 7703 | 561703 |
|  Shanghai Putailai New Energy Technology Co. Ltd., Class A | 33400 | 250051 |
|  Sherwin-Williams Co. | 4772 | 1132539 |
|  Shin-Etsu Chemical Co. Ltd. | 500 | 61056 |
|  Sika AG, Registered Shares | 294 | 70679 |
|  Stepan Co.<sup>(b)</sup> | 3855 | 410403 |
|  Symrise AG | 727 | 78956 |
|  Tosoh Corp. | 3100 | 36864 |
|  Trinseo PLC | 2532 | 57502 |
|  Tronox Holdings PLC, Class A | 7400 | 101454 |
|  UPL Ltd. | 17580 | 151834 |
|  Valvoline, Inc.<sup>(b)</sup> | 3942 | 128706 |
|  Westlake Corp.<sup>(b)</sup> | 839 | 86031 |
|  Yara International ASA | 2906 | 127623 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16620532 |
| **Commercial Services & Supplies — 0.4%** |  |  |
|  ABM Industries, Inc. | 4975 | 220989 |
|  ACCO Brands Corp. | 35144 | 196455 |
|  BrightView Holdings, Inc.<sup>(a)</sup> | 8981 | 61879 |
|  Cimpress PLC<sup>(a)</sup> | 3106 | 85757 |
|  Cintas Corp. | 1282 | 578977 |
|  Clean Harbors, Inc.<sup>(a)</sup> | 171 | 19514 |
|  Copart, Inc.<sup>(a)</sup> | 1021 | 62169 |
|  CoreCivic, Inc.<sup>(a)</sup> | 9548 | 110375 |
|  Dai Nippon Printing Co. Ltd. | 1300 | 26116 |
|  Driven Brands Holdings, Inc.<sup>(a)</sup> | 184 | 5025 |
|  HNI Corp.<sup>(b)</sup> | 2469 | 70194 |
|  IAA, Inc.<sup>(a)</sup> | 447 | 17880 |
|  Kimball International, Inc., Class B | 26766 | 173979 |
|  Li-Cycle Holdings Corp.<sup>(a)</sup> | 13067 | 62199 |
|  MSA Safety, Inc. | 124 | 17879 |
|  Republic Services, Inc. | 2221 | 286487 |
|  Rollins, Inc. | 996 | 36394 |
|  S-1 Corp., Series S-1 | 1665 | 78252 |
|  Saudi Airlines Catering Co.<sup>(a)</sup> | 4611 | 92498 |
|  Secom Co. Ltd. | 2800 | 159762 |
|  Steelcase, Inc., Class A | 16390 | 115877 |
|  Stericycle, Inc.<sup>(a)</sup> | 314 | 15665 |
|  Tetra Tech, Inc. | 5182 | 752375 |
|  Waste Management, Inc. | 1392 | 218377 |
|  |  | 3465074 |
| **Communications Equipment — 0.4%** |  |  |
|  Accton Technology Corp. | 29000 | 220220 |
|  Applied Optoelectronics, Inc.<sup>(a)(b)</sup> | 8336 | 15755 |
|  Arcadyan Technology Corp. | 22000 | 68300 |
|  Calix, Inc.<sup>(a)</sup> | 6787 | 464435 |
|  Ciena Corp.<sup>(a)</sup> | 488 | 24878 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Communications Equipment (continued)** | **Communications Equipment (continued)** | **Communications Equipment (continued)** |
|  Cisco Systems, Inc. | 1600 | $76224 |
|  CommScope Holding Co., Inc.<sup>(a)</sup> | 4744 | 34868 |
|  Digi International, Inc.<sup>(a)</sup> | 849 | 31031 |
|  Extreme Networks, Inc.<sup>(a)</sup> | 15907 | 291257 |
|  Harmonic, Inc.<sup>(a)</sup> | 7739 | 101381 |
|  Infinera Corp.<sup>(a)(b)</sup> | 9049 | 60990 |
|  Juniper Networks, Inc. | 17701 | 565724 |
|  Lumentum Holdings, Inc.<sup>(a)</sup> | 787 | 41058 |
|  NETGEAR, Inc.<sup>(a)</sup> | 9154 | 165779 |
|  NetScout Systems, Inc.<sup>(a)</sup> | 3907 | 127017 |
|  Ubiquiti, Inc. | 21 | 5744 |
|  Viasat, Inc.<sup>(a)</sup> | 242 | 7659 |
|  Wistron NeWeb Corp. | 193000 | 492161 |
|  Yealink Network Technology Corp. Ltd., Class A | 14800 | 129453 |
|  Zhongji Innolight Co. Ltd., Class A | 16700 | 65103 |
|  ZTE Corp., Class H | 80200 | 176190 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3165227 |
| **Construction & Engineering — 0.8%** |  |  |
|  ACS Actividades de Construccion y Servicios SA | 1314 | 37598 |
|  AECOM | 9123 | 774816 |
|  Ameresco, Inc., Class A<sup>(a)(b)</sup> | 3545 | 202561 |
|  API Group Corp.<sup>(a)(b)</sup> | 7050 | 132611 |
|  Bouygues SA | 3986 | 119547 |
|  China Railway Group Ltd., Class H | 315000 | 165402 |
|  Comfort Systems USA, Inc. | 4941 | 568610 |
|  Daewoo Engineering & Construction Co. Ltd.<sup>(a)</sup> | 89001 | 295011 |
|  Dycom Industries, Inc.<sup>(a)</sup> | 1586 | 148450 |
|  Eiffage SA | 1721 | 169284 |
|  EMCOR Group, Inc. | 8738 | 1294185 |
|  Fluor Corp.<sup>(a)</sup> | 5325 | 184564 |
|  GS Engineering & Construction Corp. | 32485 | 546574 |
|  Larsen & Toubro Ltd. | 18924 | 475642 |
|  MasTec, Inc.<sup>(a)</sup> | 611 | 52137 |
|  Matrix Service Co.<sup>(a)</sup> | 9863 | 61348 |
|  MDU Resources Group, Inc. | 691 | 20965 |
|  MYR Group, Inc.<sup>(a)</sup> | 2821 | 259729 |
|  Obayashi Corp. | 3400 | 25682 |
|  Primoris Services Corp. | 5986 | 131333 |
|  Shimizu Corp. | 10600 | 56561 |
|  Sterling Infrastructure, Inc.<sup>(a)</sup> | 4119 | 135103 |
|  Taisei Corp. | 3100 | 99960 |
|  Tutor Perini Corp.<sup>(a)</sup> | 11530 | 87052 |
|  Valmont Industries, Inc.<sup>(b)</sup> | 71 | 23478 |
|  Vinci SA | 2543 | 253504 |
|  Voltas Ltd. | 17760 | 171367 |
|  WillScot Mobile Mini Holdings Corp.<sup>(a)</sup> | 695 | 31393 |
|  |  | 6524467 |
| **Construction Materials — 0.3%** |  |  |
|  Anhui Conch Cement Co. Ltd., Class H | 44500 | 155059 |
|  Cemex SAB de CV<sup>(a)</sup> | 533790 | 215855 |
|  China Resources Cement Holdings Ltd. | 204000 | 107804 |
|  CRH PLC | 2280 | 90676 |
|  Dalmia Bharat Ltd. | 10742 | 241375 |
|  Eagle Materials, Inc. | 123 | 16341 |
|  Holcim AG, Registered Shares | 408 | 21119 |
|  Martin Marietta Materials, Inc. | 1301 | 439699 |
|  Summit Materials, Inc., Class A<sup>(a)(b)</sup> | 10383 | 294771 |
|  Taiwan Cement Corp. | 199000 | 217540 |

---

8 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Construction Materials (continued)** | **Construction Materials (continued)** | **Construction Materials (continued)** |
|  UltraTech Cement Ltd. | 3467 | $290924 |
|  Vulcan Materials Co. | 2684 | 469995 |
|  |  | 2561158 |
| **Consumer Finance — 0.9%** |  |  |
|  Ally Financial, Inc. | 8046 | 196725 |
|  American Express Co. | 17114 | 2528594 |
|  Bajaj Finance Ltd. | 8197 | 649323 |
|  Capital One Financial Corp. | 6631 | 616418 |
|  Credit Acceptance Corp.<sup>(a)(b)</sup> | 23 | 10911 |
|  Discover Financial Services | 7355 | 719540 |
|  Encore Capital Group, Inc.<sup>(a)</sup> | 1219 | 58439 |
|  Enova International, Inc.<sup>(a)</sup> | 11562 | 443634 |
|  Ezcorp, Inc., Class A<sup>(a)</sup> | 33406 | 272259 |
|  FirstCash Holdings, Inc. | 2299 | 199806 |
|  Isracard Ltd. | 2 | 6 |
|  LendingClub Corp.<sup>(a)</sup> | 15045 | 132396 |
|  LendingTree, Inc.<sup>(a)</sup> | 5686 | 121282 |
|  Navient Corp. | 18793 | 309145 |
|  Nelnet, Inc., Class A<sup>(b)</sup> | 2384 | 216348 |
|  OneMain Holdings, Inc.<sup>(b)</sup> | 375 | 12491 |
|  Oportun Financial Corp.<sup>(a)</sup> | 3212 | 17698 |
|  PRA Group, Inc.<sup>(a)</sup> | 7624 | 257539 |
|  PROG Holdings, Inc.<sup>(a)</sup> | 8018 | 135424 |
|  Regional Management Corp.<sup>(b)</sup> | 4214 | 118329 |
|  SLM Corp. | 835 | 13861 |
|  SoFi Technologies, Inc.<sup>(a)(b)</sup> | 2602 | 11995 |
|  Synchrony Financial | 14041 | 461387 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7503550 |
| **Containers & Packaging — 0.3%** |  |  |
|  Amcor PLC | 16887 | 201124 |
|  AptarGroup, Inc. | 215 | 23646 |
|  Ardagh Metal Packaging SA | 376 | 1808 |
|  Avery Dennison Corp. | 529 | 95749 |
|  Ball Corp.<sup>(b)</sup> | 3535 | 180780 |
|  Berry Global Group, Inc. | 463 | 27979 |
|  Crown Holdings, Inc. | 2658 | 218514 |
|  Graphic Packaging Holding Co. | 967 | 21516 |
|  Greif, Inc., Class A | 2243 | 150416 |
|  International Paper Co. | 11771 | 407630 |
|  Klabin SA | 38782 | 146506 |
|  Packaging Corp. of America | 2604 | 333078 |
|  Silgan Holdings, Inc. | 287 | 14878 |
|  Smurfit Kappa Group PLC | 1123 | 41619 |
|  Sonoco Products Co. | 319 | 19366 |
|  Westrock Co. | 4166 | 146476 |
|  |  | 2031085 |
| **Distributors — 0.1%** |  |  |
|  D'ieteren Group | 360 | 69089 |
|  Genuine Parts Co. | 1210 | 209947 |
|  LKQ Corp. | 562 | 30016 |
|  Pool Corp. | 542 | 163863 |
|  |  | 472915 |
| **Diversified Consumer Services — 0.2%** |  |  |
|  2U, Inc.<sup>(a)</sup> | 12988 | 81435 |
|  ADT, Inc.<sup>(b)</sup> | 444 | 4027 |
|  Bright Horizons Family Solutions, Inc.<sup>(a)</sup> | 206 | 12999 |
|  Chegg, Inc.<sup>(a)</sup> | 12999 | 328485 |
|  Cogna Educacao<sup>(a)</sup> | 422564 | 169830 |
|  Duolingo, Inc.<sup>(a)</sup> | 2048 | 145674 |
|  Frontdoor, Inc.<sup>(a)</sup> | 6482 | 134826 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Diversified Consumer Services (continued)** | **Diversified Consumer Services (continued)** | **Diversified Consumer Services (continued)** |
|  Grand Canyon Education, Inc.<sup>(a)</sup> | 136 | $14370 |
|  H&R Block, Inc.<sup>(b)</sup> | 2339 | 85397 |
|  Laureate Education, Inc., Class A | 41230 | 396633 |
|  Mister Car Wash, Inc.<sup>(a)(b)</sup> | 263 | 2427 |
|  Nerdy, Inc.<sup>(a)</sup> | 11165 | 25121 |
|  New Oriental Education & Technology Group,<br>Inc.<sup>(a)</sup> | 43200 | 152282 |
|  OneSpaWorld Holdings Ltd.<sup>(a)</sup> | 7582 | 70740 |
|  Pearson PLC | 2443 | 27586 |
|  Service Corp. International<sup>(b)</sup> | 553 | 38234 |
|  TAL Education Group, ADR<sup>(a)</sup> | 11721 | 82633 |
|  Universal Technical Institute, Inc.<sup>(a)</sup> | 5992 | 40266 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1812965 |
| **Diversified Financial Services — 1.1%** |  |  |
|  Alerus Financial Corp. | 2021 | 47190 |
|  Apollo Global Management, Inc. | 1911 | 121903 |
|  Bajaj Finserv Ltd. | 11700 | 218379 |
|  Berkshire Hathaway, Inc., Class B<sup>(a)</sup> | 11488 | 3548643 |
|  Chailease Holding Co. Ltd. | 78050 | 549877 |
|  Eurazeo SE | 163 | 10148 |
|  FirstRand Ltd. | 292850 | 1063950 |
|  Groupe Bruxelles Lambert NV | 308 | 24615 |
|  Housing Development Finance Corp. Ltd. | 46460 | 1477007 |
|  Industrivarden AB, A Shares | 826 | 20091 |
|  Industrivarden AB, C Shares | 1064 | 25815 |
|  Investor AB, A Shares | 2512 | 46735 |
|  Investor AB, B Shares | 7006 | 126815 |
|  Jackson Financial, Inc., Class A<sup>(b)</sup> | 8685 | 302151 |
|  L&T Finance Holdings Ltd. | 107938 | 113593 |
|  M&G PLC | 13903 | 31438 |
|  ORIX Corp. | 3000 | 48020 |
|  Voya Financial, Inc. | 13259 | 815296 |
|  |  | 8591666 |
| **Diversified Telecommunication Services — 0.6%** | **Diversified Telecommunication Services — 0.6%** |  |
|  AT&T, Inc. | 9264 | 170550 |
|  Bandwidth, Inc., Class A<sup>(a)</sup> | 9252 | 212333 |
|  China Tower Corp. Ltd., Class H<sup>(c)</sup> | 940000 | 100868 |
|  Chunghwa Telecom Co. Ltd. | 87000 | 319953 |
|  Cogent Communications Holdings, Inc. | 3724 | 212566 |
|  EchoStar Corp., Class A<sup>(a)(b)</sup> | 8504 | 141847 |
|  Emirates Telecommunications Group Co. PJSC | 105022 | 651853 |
|  Frontier Communications Parent, Inc.<sup>(a)</sup> | 818 | 20843 |
|  Hellenic Telecommunications Organization SA | 24553 | 383496 |
|  IDT Corp., Class B<sup>(a)</sup> | 4971 | 140033 |
|  Iridium Communications, Inc.<sup>(a)</sup> | 12685 | 652009 |
|  Liberty Latin America Ltd., Class A<sup>(a)</sup> | 7988 | 60150 |
|  Liberty Latin America Ltd., Class C<sup>(a)</sup> | 9030 | 68628 |
|  Ooma, Inc.<sup>(a)</sup> | 12036 | 163930 |
|  Ooredoo QPSC | 72507 | 181922 |
|  Orange Polska SA | 31486 | 47888 |
|  Saudi Telecom Co. | 15162 | 147544 |
|  Tata Communications Ltd. | 3327 | 51177 |
|  Telefonica Brasil SA | 20805 | 150285 |
|  Telekom Malaysia Bhd | 148400 | 181840 |
|  Verizon Communications, Inc. | 19654 | 774368 |
|  |  | 4834083 |
| **Electric Utilities — 1.0%** |  |  |
|  Acciona SA | 175 | 32206 |
|  Adani Transmission Ltd.<sup>(a)</sup> | 8513 | 265832 |
|  ALLETE, Inc. | 4034 | 260233 |
|  Alliant Energy Corp. | 669 | 36935 |
|  American Electric Power Co., Inc. | 2300 | 218385 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 9

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** |
|  Avangrid, Inc.<sup>(b)</sup> | 196 | $8424 |
|  CEZ A/S | 9396 | 320145 |
|  Cia Energetica de Minas Gerais, ADR<sup>(b)</sup> | 76308 | 154905 |
|  CLP Holdings Ltd. | 6000 | 43713 |
|  Constellation Energy Corp. | 1866 | 160868 |
|  CPFL Energia SA | 21909 | 137693 |
|  Duke Energy Corp. | 2166 | 223076 |
|  Edison International<sup>(b)</sup> | 3900 | 248118 |
|  EDP - Energias de Portugal SA | 8753 | 43632 |
|  EDP - Energias do Brasil SA | 13643 | 53850 |
|  Electricite de France SA | 2853 | 36628 |
|  Endesa SA | 3885 | 73219 |
|  Enel SpA | 27892 | 150007 |
|  Entergy Corp. | 920 | 103500 |
|  Evergy, Inc. | 15020 | 945209 |
|  Eversource Energy | 476 | 39908 |
|  Exelon Corp. | 4755 | 205559 |
|  FirstEnergy Corp. | 2413 | 101201 |
|  Fortum OYJ | 1047 | 17437 |
|  Hawaiian Electric Industries, Inc. | 356 | 14899 |
|  Iberdrola SA | 24593 | 287086 |
|  IDACORP, Inc. | 19 | 2049 |
|  Inter RAO UES PJSC<sup>(a)(d)</sup> | 5347154 | 725 |
|  Korea Electric Power Corp.<sup>(a)</sup> | 6633 | 114545 |
|  Light SA | 164098 | 144830 |
|  Manila Electric Co. | 12150 | 65282 |
|  NextEra Energy, Inc. | 12654 | 1057874 |
|  NRG Energy, Inc. | 1756 | 55876 |
|  OGE Energy Corp. | 274 | 10837 |
|  Origin Energy Ltd. | 11729 | 61389 |
|  Orsted A/S<sup>(c)</sup> | 765 | 69160 |
|  Otter Tail Corp.<sup>(b)</sup> | 1150 | 67516 |
|  PG&E Corp.<sup>(a)</sup> | 11505 | 187071 |
|  PGE Polska Grupa Energetyczna SA<sup>(a)</sup> | 92785 | 146399 |
|  Pinnacle West Capital Corp. | 164 | 12471 |
|  PNM Resources, Inc. | 5958 | 290691 |
|  Portland General Electric Co.<sup>(b)</sup> | 16679 | 817271 |
|  Power Assets Holdings Ltd. | 7000 | 38258 |
|  PPL Corp. | 8051 | 235250 |
|  Red Electrica Corp. SA | 138 | 2400 |
|  SSE PLC | 7187 | 147815 |
|  Tenaga Nasional Bhd | 190000 | 415356 |
|  Terna - Rete Elettrica Nazionale | 6936 | 51224 |
|  Xcel Energy, Inc. | 1392 | 97593 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8274550 |
| **Electrical Equipment — 0.9%** |  |  |
|  ABB India Ltd. | 6407 | 207701 |
|  ABB Ltd., Registered Shares | 5822 | 177440 |
|  Acuity Brands, Inc. | 119 | 19708 |
|  Amara Raja Batteries Ltd. | 35542 | 245451 |
|  Array Technologies, Inc.<sup>(a)(b)</sup> | 5304 | 102526 |
|  Atkore, Inc.<sup>(a)</sup> | 5971 | 677231 |
|  Bizlink Holding, Inc. | 14000 | 107500 |
|  Bloom Energy Corp., Class A<sup>(a)</sup> | 20198 | 386186 |
|  ChargePoint Holdings, Inc.<sup>(a)(b)</sup> | 687 | 6547 |
|  Contemporary Amperex Technology Co. Ltd., Class A | 17000 | 962204 |
|  Eaton Corp. PLC | 7599 | 1192663 |
|  Encore Wire Corp. | 1326 | 182405 |
|  Enovix Corp.<sup>(a)(b)</sup> | 6656 | 82801 |
|  Eve Energy Co. Ltd., Class A | 20500 | 259389 |
|  FuelCell Energy, Inc.<sup>(a)(b)</sup> | 26507 | 73689 |
|  Fuji Electric Co. Ltd. | 1500 | 56609 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Electrical Equipment (continued)** | **Electrical Equipment (continued)** | **Electrical Equipment (continued)** |
|  Gotion High-tech Co. Ltd., Class A | 12800 | $53136 |
|  GrafTech International Ltd. | 11443 | 54469 |
|  Legrand SA | 577 | 46265 |
|  Mitsubishi Electric Corp. | 2600 | 25763 |
|  nVent Electric PLC | 552 | 21235 |
|  Regal Rexnord Corp.<sup>(b)</sup> | 1012 | 121420 |
|  Rockwell Automation, Inc. | 660 | 169996 |
|  Schneider Electric SE | 1810 | 254187 |
|  Shoals Technologies Group, Inc., Class A<sup>(a)</sup> | 11365 | 280375 |
|  Sungrow Power Supply Co. Ltd., Class A | 5200 | 83814 |
|  SunPower Corp.<sup>(a)</sup> | 13025 | 234841 |
|  Sunrun, Inc.<sup>(a)</sup> | 5439 | 130645 |
|  Sunwoda Electronic Co. Ltd., Class A | 65800 | 200508 |
|  Suzhou Maxwell Technologies Co. Ltd., Class A | 2000 | 118731 |
|  TPI Composites, Inc.<sup>(a)</sup> | 5625 | 57037 |
|  Vertiv Holdings Co. | 1101 | 15040 |
|  Vestas Wind Systems A/S | 3436 | 100230 |
|  Vicor Corp.<sup>(a)</sup> | 554 | 29777 |
|  Voltronic Power Technology Corp. | 3000 | 150515 |
|  WEG SA | 43421 | 315423 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7203457 |
| **Electronic Equipment, Instruments & Components — 1.8%** |  |  |
|  Advanced Energy Industries, Inc. | 295 | 25305 |
|  Amphenol Corp., Class A | 551 | 41953 |
|  Avary Holding Shenzhen Co. Ltd., Class A | 97000 | 384129 |
|  Avnet, Inc.<sup>(b)</sup> | 336 | 13971 |
|  Azbil Corp. | 3300 | 82854 |
|  Badger Meter, Inc. | 1419 | 154714 |
|  Belden, Inc. | 6318 | 454264 |
|  Benchmark Electronics, Inc. | 12133 | 323830 |
|  CDW Corp. | 231 | 41252 |
|  Chroma ATE, Inc. | 50000 | 293694 |
|  Coherent Corp.<sup>(a)</sup> | 1735 | 60899 |
|  Compeq Manufacturing Co. Ltd. | 62000 | 89445 |
|  Delta Electronics, Inc. | 144000 | 1334878 |
|  ePlus, Inc.<sup>(a)</sup> | 5572 | 246728 |
|  Fabrinet<sup>(a)</sup> | 2246 | 287982 |
|  Flex Ltd.<sup>(a)(b)</sup> | 74744 | 1604006 |
|  FLEXium Interconnect, Inc. | 93000 | 295351 |
|  General Interface Solution Holding Ltd. | 67000 | 191418 |
|  GoerTek, Inc., Class A | 84700 | 205659 |
|  Halma PLC | 2113 | 50321 |
|  Hengdian Group DMEGC Magnetics Co. Ltd., Class A | 27600 | 74524 |
|  Hexagon AB, B Shares | 3036 | 31833 |
|  Hon Hai Precision Industry Co. Ltd. | 392000 | 1270563 |
|  Insight Enterprises, Inc.<sup>(a)</sup> | 2913 | 292087 |
|  IPG Photonics Corp.<sup>(a)</sup> | 113 | 10698 |
|  Jabil, Inc. | 1089 | 74270 |
|  Keyence Corp. | 700 | 271771 |
|  Kingboard Holdings Ltd. | 25000 | 79278 |
|  Knowles Corp.<sup>(a)</sup> | 13255 | 217647 |
|  Largan Precision Co. Ltd. | 5000 | 330497 |
|  Lens Technology Co. Ltd., Class A | 291100 | 442103 |
|  Littelfuse, Inc. | 80 | 17616 |
|  Luxshare Precision Industry Co. Ltd., Class A | 111800 | 511676 |
|  Murata Manufacturing Co. Ltd. | 400 | 19726 |
|  National Instruments Corp. | 437 | 16125 |
|  Omron Corp. | 1800 | 86990 |
|  OSI Systems, Inc.<sup>(a)</sup> | 6364 | 506065 |
|  PC Connection, Inc.<sup>(b)</sup> | 7068 | 331489 |
|  Plexus Corp.<sup>(a)</sup> | 5343 | 549955 |
|  Primax Electronics Ltd. | 288000 | 518953 |

---

10 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** | **Electronic Equipment, Instruments & Components (continued)** |
|  Samsung SDI Co. Ltd.<sup>(a)</sup> | 819 | $384555 |
|  Sanmina Corp.<sup>(a)</sup> | 11859 | 679402 |
|  ScanSource, Inc.<sup>(a)</sup> | 11243 | 328520 |
|  Shimadzu Corp. | 1000 | 28310 |
|  Simplo Technology Co. Ltd. | 29000 | 268467 |
|  Sunny Optical Technology Group Co. Ltd. | 22900 | 270080 |
|  Suzhou Dongshan Precision Manufacturing Co. Ltd., Class A | 88800 | 316974 |
|  TD SYNNEX Corp. | 919 | 87038 |
|  TDK Corp. | 700 | 22774 |
|  TE Connectivity Ltd. | 2319 | 266221 |
|  Vontier Corp. | 579 | 11192 |
|  Yokogawa Electric Corp. | 1200 | 19045 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14519097 |
| **Energy Equipment & Services — 0.8%** |  |  |
|  Archrock, Inc. | 8294 | 74480 |
|  Baker Hughes Co. | 2314 | 68332 |
|  Borr Drilling Ltd.<sup>(a)</sup> | 31741 | 157753 |
|  Cactus, Inc., Class A | 874 | 43927 |
|  ChampionX Corp.<sup>(b)</sup> | 15693 | 454940 |
|  Dialog Group Bhd | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;161000 | 89537 |
|  Diamond Offshore Drilling, Inc.<sup>(a)</sup> | 14048 | 146099 |
|  Expro Group Holdings NV<sup>(a)</sup> | 3895 | 70616 |
|  Halliburton Co. | 20356 | 801009 |
|  Helix Energy Solutions Group, Inc.<sup>(a)</sup> | 21289 | 157113 |
|  Helmerich & Payne, Inc. | 12149 | 602226 |
|  Liberty Energy, Inc., Class A | 34725 | 555947 |
|  Nabors Industries Ltd.<sup>(a)</sup> | 1491 | 230911 |
|  Natural Gas Services Group, Inc.<sup>(a)</sup> | 3703 | 42436 |
|  Newpark Resources, Inc.<sup>(a)</sup> | 5681 | 23576 |
|  NexTier Oilfield Solutions, Inc.<sup>(a)</sup> | 22711 | 209850 |
|  Noble Corp. PLC<sup>(a)</sup> | 6093 | 229767 |
|  NOV, Inc. | 1342 | 28034 |
|  Oceaneering International, Inc.<sup>(a)</sup> | 18132 | 317129 |
|  Oil States International, Inc.<sup>(a)</sup> | 12449 | 92870 |
|  Patterson-UTI Energy, Inc.<sup>(b)</sup> | 41552 | 699736 |
|  ProPetro Holding Corp.<sup>(a)</sup> | 44915 | 465769 |
|  Schlumberger Ltd. | 12594 | 673275 |
|  Smart Sand, Inc.<sup>(a)</sup> | 600 | 1074 |
|  Tenaris SA | 1871 | 32813 |
|  Tidewater, Inc.<sup>(a)</sup> | 4177 | 153922 |
|  U.S. Silica Holdings, Inc.<sup>(a)</sup> | 14975 | 187188 |
|  |  | 6610329 |
| **Entertainment — 0.5%** |  |  |
|  Activision Blizzard, Inc. | 2751 | 210589 |
|  AMC Entertainment Holdings, Inc.,<br>Class A<sup>(a)(b)</sup> | 3622 | 14741 |
|  Bilibili, Inc., Class Z<sup>(a)</sup> | 3880 | 91972 |
|  Bollore SE | 5975 | 33391 |
|  Capcom Co. Ltd. | 700 | 22344 |
|  Cinemark Holdings, Inc.<sup>(a)(b)</sup> | 17661 | 152944 |
|  Electronic Arts, Inc | 820 | 100188 |
|  Eros Media World PLC<sup>(a)</sup> | 1711 | 205 |
|  Gaia, Inc.<sup>(a)</sup> | 4042 | 9620 |
|  Konami Group Corp. | 200 | 9072 |
|  Liberty Media Corp.-Liberty Formula One, Class A<sup>(a)</sup> | 71 | 3793 |
|  Lions Gate Entertainment Corp., Class A<sup>(a)</sup> | 11787 | 67304 |
|  Lions Gate Entertainment Corp., Class B<sup>(a)</sup> | 6277 | 34084 |
|  Live Nation Entertainment, Inc.<sup>(a)</sup> | 5467 | 381269 |
|  Madison Square Garden Sports Corp. | 64 | 11733 |
|  NCSoft Corp. | 352 | 125743 |
|  NetEase, Inc. | 67155 | 974016 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Entertainment (continued)** | **Entertainment (continued)** | **Entertainment (continued)** |
|  Netflix, Inc.<sup>(a)</sup> | 1526 | $449987 |
|  Nexon Co. Ltd. | 1300 | 29186 |
|  Nintendo Co. Ltd. | 4000 | 168186 |
|  Playtika Holding Corp.<sup>(a)</sup> | 356 | 3030 |
|  ROBLOX Corp., Class A<sup>(a)(b)</sup> | 923 | 26269 |
|  Roku, Inc.<sup>(a)</sup> | 826 | 33618 |
|  Sea Ltd., ADR<sup>(a)(b)</sup> | 1138 | 59210 |
|  Skillz, Inc.<sup>(a)</sup> | 38300 | 19399 |
|  Spotify Technology SA<sup>(a)</sup> | 3418 | 269851 |
|  Take-Two Interactive Software, Inc.<sup>(a)</sup> | 246 | 25616 |
|  Tencent Music Entertainment Group, ADR<sup>(a)</sup> | 28915 | 239416 |
|  Universal Music Group NV | 1816 | 43916 |
|  Walt Disney Co.<sup>(a)</sup> | 5159 | 448214 |
|  Warner Bros Discovery, Inc., Class A<sup>(a)</sup> | 13893 | 131706 |
|  World Wrestling Entertainment, Inc., Class A | 148 | 10141 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4200753 |
| **Equity Real Estate Investment Trusts (REITs) — 2.6%** | **Equity Real Estate Investment Trusts (REITs) — 2.6%** |  |
|  Acadia Realty Trust | 20818 | 298738 |
|  Alexander & Baldwin, Inc. | 4635 | 86814 |
|  Alexandria Real Estate Equities, Inc. | 483 | 70359 |
|  Alpine Income Property Trust, Inc. | 3002 | 57278 |
|  American Assets Trust, Inc. | 19523 | 517360 |
|  American Tower Corp. | 1599 | 338764 |
|  Americold Realty Trust, Inc.<sup>(b)</sup> | 879 | 24884 |
|  Apartment Income REIT Corp. | 538 | 18459 |
|  Apple Hospitality REIT, Inc.<sup>(b)</sup> | 26194 | 413341 |
|  Armada Hoffler Properties, Inc.<sup>(b)</sup> | 10150 | 116725 |
|  AvalonBay Communities, Inc. | 254 | 41026 |
|  Bluerock Homes Trust, Inc. | 125 | 2664 |
|  Braemar Hotels & Resorts, Inc.<sup>(b)</sup> | 60667 | 249341 |
|  Brandywine Realty Trust | 38128 | 234487 |
|  British Land Co. PLC | 6441 | 30580 |
|  Brixmor Property Group, Inc. | 4990 | 113123 |
|  Broadstone Net Lease, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30568 | 495507 |
|  CapitaLand Ascendas REIT | 21400 | 43829 |
|  Clipper Realty, Inc. | 11657 | 74605 |
|  Corporate Office Properties Trust | 12983 | 336779 |
|  Cousins Properties, Inc.<sup>(b)</sup> | 495 | 12519 |
|  Creative Media & Community Trust Corp. | 6228 | 30517 |
|  Crown Castle, Inc. | 2197 | 298001 |
|  CubeSmart<sup>(b)</sup> | 731 | 29423 |
|  Daiwa House REIT Investment Corp. | 19 | 42364 |
|  Dexus | 9175 | 48169 |
|  DiamondRock Hospitality Co. | 4332 | 35479 |
|  Digital Realty Trust, Inc.<sup>(b)</sup> | 901 | 90343 |
|  Douglas Emmett, Inc.<sup>(b)</sup> | 554 | 8687 |
|  EastGroup Properties, Inc.<sup>(b)</sup> | 1570 | 232454 |
|  Elme Communities<sup>(b)</sup> | 7061 | 125686 |
|  Empire State Realty Trust, Inc., Class A<sup>(b)</sup> | 11000 | 74140 |
|  EPR Properties<sup>(b)</sup> | 254 | 9581 |
|  Equinix, Inc. | 320 | 209610 |
|  Equity Residential | 31371 | 1850889 |
|  Essential Properties Realty Trust, Inc.<sup>(b)</sup> | 25853 | 606770 |
|  Essex Property Trust, Inc. | 5817 | 1232739 |
|  Extra Space Storage, Inc. | 483 | 71088 |
|  Federal Realty Investment Trust | 263 | 26574 |
|  First Industrial Realty Trust, Inc. | 10643 | 513631 |
|  Four Corners Property Trust, Inc. | 4304 | 111603 |
|  Gaming & Leisure Properties, Inc. | 803 | 41828 |
|  Gecina SA | 240 | 24451 |
|  GLP J-REIT | 28 | 32247 |
|  Goodman Group | 10234 | 120355 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 11

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** |
|  GPT Group | 17105 | $48784 |
|  Healthpeak Properties, Inc. | 1280 | 32090 |
|  Hersha Hospitality Trust, Class A<sup>(b)</sup> | 8765 | 74678 |
|  Highwoods Properties, Inc.<sup>(b)</sup> | 352 | 9849 |
|  Host Hotels & Resorts, Inc. | 3608 | 57908 |
|  Hudson Pacific Properties, Inc. | 460 | 4476 |
|  Independence Realty Trust, Inc. | 2513 | 42369 |
|  InvenTrust Properties Corp. | 4550 | 107699 |
|  Invitation Homes, Inc. | 1317 | 39036 |
|  Iron Mountain, Inc.<sup>(b)</sup> | 1112 | 55433 |
|  Japan Metropolitan Fund Invest | 24 | 19092 |
|  Japan Real Estate Investment Corp. | 10 | 43923 |
|  JBG SMITH Properties | 357 | 6776 |
|  Kilroy Realty Corp. | 381 | 14733 |
|  Kimco Realty Corp. | 1929 | 40856 |
|  Kite Realty Group Trust | 27648 | 581990 |
|  Lamar Advertising Co., Class A | 1050 | 99120 |
|  Land Securities Group PLC | 3870 | 28913 |
|  Life Storage, Inc. | 276 | 27186 |
|  Link REIT | 10400 | 76100 |
|  Macerich Co.<sup>(b)</sup> | 22931 | 258203 |
|  Mid-America Apartment Communities, Inc.<sup>(b)</sup> | 271 | 42544 |
|  Mirvac Group | 35294 | 51061 |
|  National Retail Properties, Inc. | 574 | 26266 |
|  National Storage Affiliates Trust<sup>(b)</sup> | 278 | 10041 |
|  NexPoint Residential Trust, Inc. | 3840 | 167117 |
|  Nippon Building Fund, Inc. | 10 | 44718 |
|  Nippon Prologis REIT, Inc. | 4 | 9378 |
|  Nomura Real Estate Master Fund, Inc. | 22 | 27256 |
|  Office Properties Income Trust | 9139 | 122006 |
|  Omega Healthcare Investors, Inc.<sup>(b)</sup> | 822 | 22975 |
|  Outfront Media, Inc.<sup>(b)</sup> | 63073 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1045750 |
|  Paramount Group, Inc. | 73146 | 434487 |
|  Park Hotels & Resorts, Inc. | 804 | 9479 |
|  Pennsylvania Real Estate Investment Trust<sup>(a)(b)</sup> | 1203 | 1408 |
|  Phillips Edison & Co., Inc.<sup>(b)</sup> | 18206 | 579679 |
|  Physicians Realty Trust<sup>(b)</sup> | 17326 | 250707 |
|  Piedmont Office Realty Trust, Inc., Class A | 6238 | 57202 |
|  Prologis, Inc. | 14908 | 1680579 |
|  Public Storage | 552 | 154665 |
|  Rayonier, Inc. | 487 | 16052 |
|  Realty Income Corp.<sup>(b)</sup> | 1921 | 121849 |
|  Regency Centers Corp. | 931 | 58188 |
|  Rexford Industrial Realty, Inc. | 553 | 30216 |
|  RLJ Lodging Trust | 33301 | 352658 |
|  RPT Realty | 27394 | 275036 |
|  Ryman Hospitality Properties, Inc.<sup>(b)</sup> | 3865 | 316080 |
|  SBA Communications Corp. | 1892 | 530347 |
|  Scentre Group | 24081 | 46875 |
|  Segro PLC | 7449 | 68622 |
|  Simon Property Group, Inc. | 12150 | 1427382 |
|  SITE Centers Corp. | 7979 | 108993 |
|  SL Green Realty Corp.<sup>(b)</sup> | 232 | 7823 |
|  Spirit Realty Capital, Inc. | 436 | 17409 |
|  Stockland<sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26282 | 64729 |
|  STORE Capital Corp. | 832 | 26674 |
|  Sun Communities, Inc. | 171 | 24453 |
|  Tanger Factory Outlet Centers, Inc.<sup>(b)</sup> | 9613 | 172457 |
|  Terreno Realty Corp.<sup>(b)</sup> | 16570 | 942336 |
|  Uniti Group, Inc.<sup>(b)</sup> | 9180 | 50765 |
|  Ventas, Inc. | 1080 | 48654 |
|  VICI Properties, Inc.<sup>(b)</sup> | 3419 | 110776 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** |
|  Vicinity Ltd. | 29913 | $40391 |
|  Welltower, Inc. | 1319 | 86460 |
|  Weyerhaeuser Co. | 2498 | 77438 |
|  WP Carey, Inc.<sup>(b)</sup> | 468 | 36574 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20909580 |
| **Food & Staples Retailing — 1.2%** |  |  |
|  Abdullah Al Othaim Markets Co. | 6107 | 169441 |
|  Aeon Co. Ltd. | 3100 | 65458 |
|  Akouos, Inc. | 1837 | 1451 |
|  Albertsons Cos., Inc., Class A | 557 | 11552 |
|  Andersons, Inc. | 4631 | 162039 |
|  Avenue Supermarts Ltd.<sup>(a)(c)</sup> | 7649 | 375577 |
|  BIM Birlesik Magazalar A/S | 22490 | 164354 |
|  BJ's Wholesale Club Holdings, Inc.<sup>(a)</sup> | 439 | 29044 |
|  Carrefour SA | 3681 | 61568 |
|  Casey's General Stores, Inc. | 53 | 11891 |
|  Cia Brasileira de Distribuicao | 40675 | 125892 |
|  Coles Group Ltd. | 10759 | 121960 |
|  Costco Wholesale Corp. | 4484 | 2046946 |
|  Dino Polska SA<sup>(a)(c)</sup> | 1115 | 95761 |
|  Endeavour Group Ltd. | 7081 | 30816 |
|  Grocery Outlet Holding Corp.<sup>(a)</sup> | 289 | 8436 |
|  GS Retail Co. Ltd. | 10551 | 235587 |
|  J Sainsbury PLC | 14296 | 37496 |
|  Jeronimo Martins SGPS SA | 3617 | 78256 |
|  Kesko OYJ, B Shares | 4435 | 97997 |
|  Kobe Bussan Co. Ltd. | 1200 | 34586 |
|  Koninklijke Ahold Delhaize NV | 2441 | 70182 |
|  Kroger Co. | 16045 | 715286 |
|  Migros Ticaret A/S<sup>(a)</sup> | 66248 | 518939 |
|  Ocado Group PLC<sup>(a)</sup> | 3456 | 25654 |
|  Performance Food Group Co.<sup>(a)</sup> | 1909 | 111467 |
|  President Chain Store Corp. | 23000 | 203358 |
|  Seven & i Holdings Co. Ltd. | 1600 | 68570 |
|  SpartanNash Co. | 805 | 24343 |
|  Sprouts Farmers Market, Inc.<sup>(a)</sup> | 1701 | 55061 |
|  Sun Art Retail Group Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;499000 | 162911 |
|  Sysco Corp. | 2555 | 195330 |
|  Tesco PLC | 15601 | 42043 |
|  U.S. Foods Holding Corp.<sup>(a)</sup> | 661 | 22487 |
|  United Natural Foods, Inc.<sup>(a)</sup> | 7729 | 299190 |
|  Walgreens Boots Alliance, Inc.<sup>(b)</sup> | 3503 | 130872 |
|  Wal-Mart de Mexico SAB de CV | 292226 | 1028598 |
|  Walmart, Inc. | 13546 | 1920687 |
|  Welcia Holdings Co. Ltd. | 1100 | 25641 |
|  Woolworths Group Ltd. | 7540 | 172179 |
|  |  | 9758906 |
| **Food Products — 1.6%** |  |  |
|  Almarai Co. JSC | 22951 | 326928 |
|  Archer-Daniels-Midland Co. | 3979 | 369450 |
|  Associated British Foods PLC | 2313 | 43852 |
|  AVI Ltd. | 55562 | 246126 |
|  Bunge Ltd. | 375 | 37414 |
|  Cal-Maine Foods, Inc. | 8259 | 449703 |
|  Campbell Soup Co. | 742 | 42108 |
|  China Mengniu Dairy Co. Ltd. | 72000 | 324656 |
|  Chocoladefabriken Lindt & Spruengli AG | 3 | 30570 |
|  Chocoladefabriken Lindt & Spruengli AG, Registered Shares | 1 | 102883 |
|  Conagra Brands, Inc. | 2638 | 102091 |
|  Danone SA | 760 | 40056 |
|  Darling Ingredients, Inc.<sup>(a)</sup> | 983 | 61526 |

---

12 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Food Products (continued)** | **Food Products (continued)** | **Food Products (continued)** |
|  Flowers Foods, Inc. | 613 | $17618 |
|  Fresh Del Monte Produce, Inc. | 4715 | 123486 |
|  Freshpet, Inc.<sup>(a)</sup> | 154 | 8127 |
|  General Mills, Inc. | 2609 | 218765 |
|  Grupo Bimbo SAB de CV, Series A | 78282 | 330860 |
|  Hain Celestial Group, Inc.<sup>(a)</sup> | 13434 | 217362 |
|  Hershey Co. | 7337 | 1699029 |
|  Hormel Foods Corp.<sup>(b)</sup> | 1808 | 82354 |
|  Hostess Brands, Inc.<sup>(a)</sup> | 19320 | 433541 |
|  Ingredion, Inc. | 215 | 21055 |
|  J & J Snack Foods Corp. | 1757 | 263040 |
|  Kellogg Co. | 2230 | 158865 |
|  Kerry Group PLC, Class A | 317 | 28635 |
|  Kraft Heinz Co. | 3544 | 144276 |
|  Lamb Weston Holdings, Inc. | 1094 | 97760 |
|  Lancaster Colony Corp. | 1581 | 311931 |
|  Landec Corp.<sup>(a)</sup> | 9812 | 63582 |
|  McCormick & Co., Inc. | 1409 | 116792 |
|  MEIJI Holdings Co. Ltd. | 1800 | 92265 |
|  Mondelez International, Inc., Class A | 18166 | 1210764 |
|  Nestle India Ltd. | 1783 | 421780 |
|  Nestle Malaysia Bhd | 2200 | 69921 |
|  Nestle SA, Registered Shares | 8348 | 964272 |
|  New Hope Liuhe Co. Ltd., Class A<sup>(a)</sup> | 44300 | 82472 |
|  Orkla ASA | 19000 | 137129 |
|  Pilgrim's Pride Corp.<sup>(a)</sup> | 163 | 3868 |
|  Post Holdings, Inc.<sup>(a)</sup> | 183 | 16518 |
|  PPB Group Bhd | 23700 | 93832 |
|  Salmar ASA | 958 | 37569 |
|  Sao Martinho SA | 31281 | 157162 |
|  Seaboard Corp. | 1 | 3775 |
|  Simply Good Foods Co.<sup>(a)</sup> | 12449 | 473435 |
|  Sovos Brands, Inc.<sup>(a)</sup> | 4510 | 64809 |
|  SunOpta, Inc.<sup>(a)</sup> | 13219 | 111568 |
|  Tiger Brands Ltd. | 17857 | 220721 |
|  Tongwei Co. Ltd., Class A | 64100 | 356358 |
|  TreeHouse Foods, Inc.<sup>(a)</sup> | 4775 | 235789 |
|  Tyson Foods, Inc., Class A | 18199 | 1132888 |
|  Universal Robina Corp. | 65650 | 161073 |
|  Utz Brands, Inc.<sup>(b)</sup> | 1470 | 23314 |
|  Vital Farms, Inc.<sup>(a)</sup> | 11281 | 168313 |
|  Wens Foodstuffs Group Co. Ltd., Class A | 92100 | 260937 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13014973 |
| **Gas Utilities — 0.6%** |  |  |
|  APA Group | 7349 | 53717 |
|  Beijing Enterprises Holdings Ltd. | 64000 | 204339 |
|  Brookfield Infrastructure Corp., Class A | 10748 | 418097 |
|  China Gas Holdings Ltd. | 133400 | 193331 |
|  China Resources Gas Group Ltd. | 36000 | 134300 |
|  ENN Energy Holdings Ltd. | 32500 | 453962 |
|  Gujarat Gas Ltd. | 36354 | 213600 |
|  Hong Kong & China Gas Co. Ltd. | 31380 | 29761 |
|  Korea Gas Corp. | 18060 | 519170 |
|  Kunlun Energy Co. Ltd. | 374000 | 265896 |
|  National Fuel Gas Co. | 287 | 18167 |
|  Naturgy Energy Group SA | 1714 | 44545 |
|  New Jersey Resources Corp.<sup>(b)</sup> | 19685 | 976770 |
|  ONE Gas, Inc.<sup>(b)</sup> | 4114 | 311512 |
|  Perusahaan Gas Negara Tbk PT | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3593100 | 406018 |
|  Petronas Gas Bhd | 25600 | 99494 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Gas Utilities (continued)** | **Gas Utilities (continued)** | **Gas Utilities (continued)** |
|  Snam SpA | 11004 | $53357 |
|  Spire, Inc. | 3571 | 245899 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4641935 |
| **Health Care Equipment & Supplies — 2.1%** |  |  |
|  Abbott Laboratories | 13258 | 1455596 |
|  Abiomed, Inc.<sup>(d)</sup> | 134 | 137 |
|  Accuray, Inc.<sup>(a)(b)</sup> | 30390 | 63515 |
|  Alcon, Inc. | 1258 | 86323 |
|  Align Technology, Inc.<sup>(a)</sup> | 227 | 47874 |
|  AngioDynamics, Inc.<sup>(a)</sup> | 1670 | 22996 |
|  Artivion, Inc.<sup>(a)</sup> | 7893 | 95663 |
|  Asahi Intecc Co. Ltd. | 1000 | 16312 |
|  AtriCure, Inc.<sup>(a)</sup> | 4714 | 209207 |
|  Atrion Corp. | 268 | 149933 |
|  Axogen, Inc.<sup>(a)</sup> | 3418 | 34112 |
|  Axonics, Inc.<sup>(a)</sup> | 4183 | 261563 |
|  Baxter International, Inc. | 1398 | 71256 |
|  Becton Dickinson and Co. | 9050 | 2301415 |
|  BioMerieux | 304 | 31939 |
|  Boston Scientific Corp.<sup>(a)</sup> | 16030 | 741708 |
|  Cardiovascular Systems, Inc.<sup>(a)</sup> | 10204 | 138978 |
|  Carl Zeiss Meditec AG | 397 | 49900 |
|  Cerus Corp.<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27291 | 99612 |
|  Cochlear Ltd. | 541 | 74716 |
|  Coloplast A/S, Class B | 274 | 32100 |
|  Cooper Cos., Inc. | 95 | 31414 |
|  Dexcom, Inc.<sup>(a)</sup> | 1500 | 169860 |
|  Edwards Lifesciences Corp.<sup>(a)</sup> | 3941 | 294038 |
|  Enovis Corp.<sup>(a)</sup> | 159 | 8510 |
|  Envista Holdings Corp.<sup>(a)</sup> | 554 | 18653 |
|  EssilorLuxottica SA | 977 | 176771 |
|  Figs, Inc., Class A<sup>(a)(b)</sup> | 11831 | 79623 |
|  Globus Medical, Inc., Class A<sup>(a)</sup> | 250 | 18568 |
|  Haemonetics Corp.<sup>(a)(b)</sup> | 5767 | 453575 |
|  Heska Corp.<sup>(a)</sup> | 1753 | 108966 |
|  Hologic, Inc.<sup>(a)</sup> | 643 | 48103 |
|  Hoya Corp. | 1300 | 124512 |
|  ICU Medical, Inc.<sup>(a)</sup> | 68 | 10709 |
|  IDEXX Laboratories, Inc.<sup>(a)</sup> | 1167 | 476089 |
|  Inari Medical, Inc.<sup>(a)</sup> | 467 | 29683 |
|  Inspire Medical Systems, Inc.<sup>(a)</sup> | 2849 | 717606 |
|  Insulet Corp.<sup>(a)</sup> | 224 | 65943 |
|  Integer Holdings Corp.<sup>(a)</sup> | 514 | 35188 |
|  Integra LifeSciences Holdings Corp.<sup>(a)</sup> | 248 | 13905 |
|  Intuitive Surgical, Inc.<sup>(a)</sup> | 1347 | 357426 |
|  iRhythm Technologies, Inc.<sup>(a)</sup> | 1980 | 185467 |
|  Koninklijke Philips NV | 1000 | 15047 |
|  Lantheus Holdings, Inc.<sup>(a)</sup> | 7743 | 394583 |
|  LivaNova PLC<sup>(a)</sup> | 8101 | 449930 |
|  Masimo Corp.<sup>(a)</sup> | 169 | 25004 |
|  Medtronic PLC | 18944 | 1472328 |
|  Meridian Bioscience, Inc.<sup>(a)</sup> | 1660 | 55129 |
|  Merit Medical Systems, Inc.<sup>(a)</sup> | 9611 | 678729 |
|  Nemaura Medical, Inc.<sup>(a)</sup> | 2006 | 3410 |
|  Neogen Corp.<sup>(a)</sup> | 9216 | 140360 |
|  Nevro Corp.<sup>(a)</sup> | 5937 | 235105 |
|  Novocure Ltd.<sup>(a)(b)</sup> | 495 | 36308 |
|  NuVasive, Inc.<sup>(a)</sup> | 6823 | 281381 |
|  Olympus Corp | 4600 | 81133 |
|  Omnicell, Inc.<sup>(a)</sup> | 1776 | 89546 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 13

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** |
|  Orthofix Medical, Inc.<sup>(a)</sup> | 7314 | $150156 |
|  Paragon 28, Inc.<sup>(a)(b)</sup> | 2295 | 43857 |
|  Penumbra, Inc.<sup>(a)</sup> | 119 | 26473 |
|  Pulmonx Corp.<sup>(a)</sup> | 3141 | 26479 |
|  QuidelOrtho Corp.<sup>(a)</sup> | 170 | 14564 |
|  ResMed, Inc. | 424 | 88247 |
|  SeaSpine Holdings Corp.<sup>(a)</sup> | 3223 | 26912 |
|  Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | 8900 | 405403 |
|  Shockwave Medical, Inc.<sup>(a)</sup> | 3563 | 732588 |
|  SI-BONE, Inc.<sup>(a)(b)</sup> | 4220 | 57392 |
|  Siemens Healthineers AG<sup>(c)</sup> | 1690 | 84300 |
|  Silk Road Medical, Inc.<sup>(a)</sup> | 1928 | 101895 |
|  Smith & Nephew PLC | 2971 | 39677 |
|  Sonova Holding AG, Registered Shares | 175 | 41562 |
|  STAAR Surgical Co.<sup>(a)(b)</sup> | 3418 | 165910 |
|  STERIS PLC | 170 | 31397 |
|  Straumann Holding AG, Registered Shares | 284 | 32567 |
|  Stryker Corp. | 1230 | 300723 |
|  Sysmex Corp. | 700 | 42259 |
|  Tactile Systems Technology, Inc.<sup>(a)</sup> | 7775 | 89257 |
|  Tandem Diabetes Care, Inc.<sup>(a)</sup> | 212 | 9529 |
|  Teleflex, Inc. | 70 | 17474 |
|  Terumo Corp. | 3000 | 85052 |
|  Varex Imaging Corp.<sup>(a)</sup> | 13066 | 265240 |
|  ViewRay, Inc.<sup>(a)</sup> | 10765 | 48227 |
|  Zimmer Biomet Holdings, Inc. | 525 | 66937 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16361534 |
| **Health Care Providers & Services — 2.3%** | **Health Care Providers & Services — 2.3%** |  |
|  1Life Healthcare, Inc.<sup>(a)</sup> | 15610 | 260843 |
|  Acadia Healthcare Co., Inc.<sup>(a)</sup> | 292 | 24037 |
|  Accolade, Inc.<sup>(a)</sup> | 8627 | 67204 |
|  AdaptHealth Corp.<sup>(a)</sup> | 2917 | 56065 |
|  Addus HomeCare Corp.<sup>(a)</sup> | 1632 | 162368 |
|  Agilon Health, Inc.<sup>(a)(b)</sup> | 572 | 9232 |
|  Al Hammadi Holding | 14904 | 159504 |
|  AlerisLife, Inc.<sup>(a)</sup> | 2992 | 1646 |
|  Alignment Healthcare, Inc.<sup>(a)</sup> | 11306 | 132958 |
|  Amedisys, Inc.<sup>(a)</sup> | 105 | 8772 |
|  AmerisourceBergen Corp. | 4977 | 824739 |
|  AMN Healthcare Services, Inc.<sup>(a)</sup> | 5038 | 518007 |
|  Aveanna Healthcare Holdings, Inc.<sup>(a)</sup> | 22492 | 17544 |
|  Bangkok Dusit Medical Services PCL, NVDR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1069000 | 893962 |
|  Brookdale Senior Living, Inc.<sup>(a)(b)</sup> | 12333 | 33669 |
|  Bumrungrad Hospital PCL, NVDR | 42200 | 258164 |
|  Cano Health, Inc.<sup>(a)(b)</sup> | 10070 | 13796 |
|  Castle Biosciences, Inc.<sup>(a)</sup> | 1222 | 28766 |
|  Chemed Corp. | 51 | 26032 |
|  Cigna Corp. | 6837 | 2265372 |
|  Clover Health Investments Corp.<sup>(a)(b)</sup> | 35743 | 33223 |
|  Community Health Systems, Inc.<sup>(a)</sup> | 13791 | 59577 |
|  Cross Country Healthcare, Inc.<sup>(a)</sup> | 5342 | 141937 |
|  CVS Health Corp. | 10329 | 962559 |
|  Dr Sulaiman Al Habib Medical Services Group Co | 2714 | 158488 |
|  Elevance Health, Inc. | 3108 | 1594311 |
|  Encompass Health Corp. | 321 | 19199 |
|  Enhabit, Inc.<sup>(a)</sup> | 167 | 2198 |
|  Ensign Group, Inc. | 10788 | 1020653 |
|  Fresenius SE & Co. KGaA | 953 | 26619 |
|  Guardant Health, Inc.<sup>(a)</sup> | 308 | 8378 |
|  HealthEquity, Inc.<sup>(a)</sup> | 10694 | 659178 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** |
|  Hims & Hers Health, Inc.<sup>(a)</sup> | 15541 | $99618 |
|  Humana, Inc. | 479 | 245339 |
|  IHH Healthcare Bhd | 168100 | 237216 |
|  Invitae Corp.<sup>(a)(b)</sup> | 36572 | 68024 |
|  LHC Group, Inc.<sup>(a)</sup> | 2588 | 418454 |
|  Life Healthcare Group Holdings Ltd. | 154477 | 153453 |
|  LifeStance Health Group, Inc.<sup>(a)</sup> | 3874 | 19137 |
|  ModivCare, Inc.<sup>(a)</sup> | 694 | 62273 |
|  Netcare Ltd. | 137704 | 117725 |
|  Oak Street Health, Inc.<sup>(a)(b)</sup> | 336 | 7227 |
|  OPKO Health, Inc.<sup>(a)</sup> | 54880 | 68600 |
|  Option Care Health, Inc.<sup>(a)</sup> | 24566 | 739191 |
|  Patterson Cos., Inc.<sup>(b)</sup> | 4851 | 135973 |
|  PetIQ, Inc.<sup>(a)</sup> | 2546 | 23474 |
|  Premier, Inc., Class A | 386 | 13502 |
|  Privia Health Group, Inc.<sup>(a)(b)</sup> | 9234 | 209704 |
|  Progyny, Inc.<sup>(a)</sup> | 11559 | 360063 |
|  Qualicorp Consultoria e Corretora de<br>Seguros SA | 112509 | 124456 |
|  Ramsay Health Care Ltd. | 812 | 35656 |
|  Shanghai Pharmaceuticals Holding Co. Ltd., Class H | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;180200 | 299160 |
|  Signify Health, Inc., Class A<sup>(a)</sup> | 220 | 6305 |
|  Sinopharm Group Co. Ltd., Class H | 93200 | 235900 |
|  Sonic Healthcare Ltd. | 3260 | 66344 |
|  Surgery Partners, Inc.<sup>(a)</sup> | 4045 | 112694 |
|  Tenet Healthcare Corp.<sup>(a)</sup> | 364 | 17759 |
|  UnitedHealth Group, Inc. | 7528 | 3991195 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18317442 |
| **Health Care Technology — 0.4%** |  |  |
|  Allscripts Healthcare Solutions, Inc.<sup>(a)</sup> | 29311 | 517046 |
|  American Well Corp., Class A<sup>(a)</sup> | 45090 | 127605 |
|  Certara, Inc.<sup>(a)</sup> | 381 | 6123 |
|  Definitive Healthcare Corp.<sup>(a)(b)</sup> | 66 | 725 |
|  Doximity, Inc., Class A<sup>(a)(b)</sup> | 329 | 11041 |
|  Evolent Health, Inc., Class A<sup>(a)(b)</sup> | 18016 | 505889 |
|  Fleury SA | 71311 | 208681 |
|  Health Catalyst, Inc.<sup>(a)</sup> | 12799 | 136053 |
|  HealthStream, Inc.<sup>(a)</sup> | 4903 | 121791 |
|  M3, Inc. | 1600 | 43461 |
|  Multiplan Corp.<sup>(a)</sup> | 38608 | 44399 |
|  NextGen Healthcare, Inc.<sup>(a)(b)</sup> | 14525 | 272780 |
|  Phreesia, Inc.<sup>(a)</sup> | 8974 | 290399 |
|  Schrodinger, Inc.<sup>(a)</sup> | 5980 | 111766 |
|  Teladoc Health, Inc.<sup>(a)</sup> | 15766 | 372866 |
|  Veeva Systems, Inc., Class A<sup>(a)</sup> | 3831 | 618247 |
|  |  | 3388872 |
| **Hotels, Restaurants & Leisure — 1.2%** |  |  |
|  Accel Entertainment, Inc.<sup>(a)</sup> | 19233 | 148094 |
|  Alsea SAB de CV<sup>(a)</sup> | 120431 | 227803 |
|  Biglari Holdings, Inc., Class B<sup>(a)</sup> | 397 | 55104 |
|  BJ's Restaurants, Inc.<sup>(a)(b)</sup> | 7695 | 202994 |
|  Boyd Gaming Corp. | 1165 | 63527 |
|  Caesars Entertainment, Inc.<sup>(a)</sup> | 3185 | 132496 |
|  Century Casinos, Inc.<sup>(a)</sup> | 2317 | 16289 |
|  Choice Hotels International, Inc. | 113 | 12728 |
|  Churchill Downs, Inc. | 127 | 26852 |
|  Darden Restaurants, Inc. | 2935 | 405999 |
|  Dave & Buster's Entertainment, Inc.<sup>(a)</sup> | 3497 | 123934 |
|  Dine Brands Global, Inc.<sup>(b)</sup> | 732 | 47287 |
|  DraftKings, Inc., Class A<sup>(a)</sup> | 1109 | 12632 |
|  El Pollo Loco Holdings, Inc. | 7922 | 78903 |
|  Everi Holdings, Inc.<sup>(a)</sup> | 7874 | 112992 |

---

14 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** |
|  Genting Malaysia Bhd | 171400 | $104632 |
|  Golden Entertainment, Inc.<sup>(a)</sup> | 1219 | 45591 |
|  H World Group Ltd., ADR | 3991 | 169298 |
|  Hilton Grand Vacations, Inc.<sup>(a)</sup> | 21181 | 816316 |
|  Hyatt Hotels Corp., Class A<sup>(a)</sup> | 170 | 15376 |
|  International Game Technology PLC<sup>(b)</sup> | 16322 | 370183 |
|  Marriott Vacations Worldwide Corp.<sup>(b)</sup> | 143 | 19246 |
|  McDonald's Corp. | 1687 | 444575 |
|  Minor International PCL, NVDR<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;255000 | 237249 |
|  Norwegian Cruise Line Holdings Ltd.<sup>(a)(b)</sup> | 1265 | 15484 |
|  OPAP SA | 13265 | 187670 |
|  Papa John's International, Inc.<sup>(b)</sup> | 7214 | 593784 |
|  Paradise Co. Ltd.<sup>(a)</sup> | 8675 | 121155 |
|  Penn Entertainment, Inc.<sup>(a)</sup> | 1307 | 38818 |
|  Planet Fitness, Inc., Class A<sup>(a)</sup> | 286 | 22537 |
|  PlayAGS, Inc.<sup>(a)</sup> | 5959 | 30391 |
|  Rush Street Interactive, Inc.<sup>(a)</sup> | 6884 | 24714 |
|  Shake Shack, Inc., Class A<sup>(a)</sup> | 6844 | 284231 |
|  Six Flags Entertainment Corp.<sup>(a)</sup> | 264 | 6138 |
|  Starbucks Corp. | 4217 | 418326 |
|  Texas Roadhouse, Inc. | 13302 | 1209817 |
|  Travel & Leisure Co. | 28621 | 1041804 |
|  Trip.com Group Ltd., ADR<sup>(a)(b)</sup> | 16743 | 575959 |
|  Wendy's Co. | 611 | 13827 |
|  Wingstop, Inc. | 3231 | 444650 |
|  Wyndham Hotels & Resorts, Inc. | 297 | 21179 |
|  Yum China Holdings, Inc. | 10719 | 585793 |
|  Yum! Brands, Inc. | 1063 | 136149 |
|  Zamp SA | 62406 | 64418 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9726944 |
| **Household Durables — 0.7%** |  |  |
|  Barratt Developments PLC | 9492 | 45337 |
|  Beazer Homes USA, Inc.<sup>(a)</sup> | 1825 | 23287 |
|  Berkeley Group Holdings PLC | 709 | 32323 |
|  Cavco Industries, Inc.<sup>(a)</sup> | 295 | 66744 |
|  Century Communities, Inc.<sup>(b)</sup> | 2947 | 147379 |
|  D.R. Horton, Inc.<sup>(b)</sup> | 5959 | 531185 |
|  Ethan Allen Interiors, Inc.<sup>(b)</sup> | 9999 | 264174 |
|  GoPro, Inc., Class A<sup>(a)</sup> | 25554 | 127259 |
|  Green Brick Partners, Inc.<sup>(a)</sup> | 2108 | 51077 |
|  Haier Smart Home Co. Ltd., Class A | 95100 | 334793 |
|  Helen of Troy Ltd.<sup>(a)</sup> | 243 | 26951 |
|  Installed Building Products, Inc.<sup>(b)</sup> | 3658 | 313125 |
|  iRobot Corp.<sup>(a)</sup> | 2284 | 109929 |
|  La-Z-Boy, Inc.<sup>(b)</sup> | 2651 | 60496 |
|  Leggett & Platt, Inc.<sup>(b)</sup> | 436 | 14052 |
|  Lennar Corp., B Shares | 49 | 3664 |
|  Lennar Corp., Class A | 4770 | 431685 |
|  MDC Holdings, Inc.<sup>(b)</sup> | 8028 | 253685 |
|  Meritage Homes Corp.<sup>(a)</sup> | 487 | 44901 |
|  NVR, Inc.<sup>(a)</sup> | 62 | 285980 |
|  Persimmon PLC | 1407 | 20630 |
|  PulteGroup, Inc. | 5648 | 257153 |
|  Skyline Champion Corp.<sup>(a)</sup> | 3333 | 171683 |
|  Sony Group Corp. | 2800 | 213420 |
|  Taylor Morrison Home Corp.<sup>(a)(b)</sup> | 11408 | 346233 |
|  Taylor Wimpey PLC | 36663 | 44901 |
|  Tempur Sealy International, Inc. | 610 | 20941 |
|  Toll Brothers, Inc. | 891 | 44479 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Household Durables (continued)** | **Household Durables (continued)** | **Household Durables (continued)** | **Household Durables (continued)** |
|  TopBuild Corp.<sup>(a)</sup> | 2042 | $| 319553 |
|  Tri Pointe Homes, Inc.<sup>(a)</sup> | 20329 |  | 377916 |
|  Whirlpool Corp.<sup>(b)</sup> | 3994 |  | 564991 |
|  |  |  | 5549926 |
| **Household Products — 1.0%** |  |  |  |
|  Central Garden & Pet Co.<sup>(a)</sup> | 842 |  | 31533 |
|  Central Garden & Pet Co., Class A<sup>(a)</sup> | 12871 |  | 460782 |
|  Church & Dwight Co., Inc. | 2693 |  | 217083 |
|  Clorox Co.<sup>(b)</sup> | 1660 |  | 232948 |
|  Colgate-Palmolive Co. | 33378 |  | 2629852 |
|  Essity AB, Class B | 698 |  | 18279 |
|  Henkel AG & Co. KGaA | 547 |  | 35153 |
|  Kimberly-Clark Corp. | 3277 |  | 444853 |
|  Procter & Gamble Co. | 23759 |  | 3600914 |
|  Reckitt Benckiser Group PLC | 1450 |  | 100509 |
|  Reynolds Consumer Products, Inc.<sup>(b)</sup> | 178 |  | 5336 |
|  Spectrum Brands Holdings, Inc. | 131 |  | 7980 |
|  Unicharm Corp. | 700 |  | 26800 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7812022 |
| **Independent Power and Renewable Electricity Producers — 0.5%** | **Independent Power and Renewable Electricity Producers — 0.5%** | **Independent Power and Renewable Electricity Producers — 0.5%** | **Independent Power and Renewable Electricity Producers — 0.5%** |
|  ACWA Power Co. | 4477 |  | 181184 |
|  AES Corp. | 8923 |  | 256625 |
|  Brookfield Renewable Corp., Class A<sup>(b)</sup> | 8333 |  | 229491 |
|  China Longyuan Power Group Corp. Ltd., Class H | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;121000 |  | 147086 |
|  Clearway Energy, Inc., Class A | 21751 |  | 650790 |
|  Clearway Energy, Inc., Class C | 30138 |  | 960498 |
|  EDP Renovaveis SA | 1141 |  | 25143 |
|  Meridian Energy Ltd. | 5635 |  | 18743 |
|  RWE AG | 2606 |  | 115205 |
|  Sunnova Energy International, Inc.<sup>(a)(b)</sup> | 14008 |  | 252284 |
|  Vistra Corp. | 34199 |  | 793417 |
|  |  |  | 3630466 |
| **Industrial Conglomerates — 0.3%** |  |  |  |
|  3M Co. | 569 |  | 68235 |
|  CITIC Ltd. | 118000 |  | 124069 |
|  DCC PLC | 805 |  | 39583 |
|  Fosun International Ltd. | 175500 |  | 142449 |
|  Hanwha Corp. | 11907 |  | 242320 |
|  Hitachi Ltd. | 2900 |  | 145917 |
|  Honeywell International, Inc.<sup>(b)</sup> | 1669 |  | 357667 |
|  Industries Qatar QSC | 63668 |  | 223200 |
|  Investment AB Latour, B Shares | 3343 |  | 63223 |
|  Keppel Corp. Ltd. | 21500 |  | 116598 |
|  Lotte Corp. | 6835 |  | 166933 |
|  Samsung C&T Corp. | 4439 |  | 399915 |
|  Siemens AG, Registered Shares | 2062 |  | 284249 |
|  SM Investments Corp. | 13280 |  | 215373 |
|  |  | 2589731 | 2589731 |
| **Insurance — 2.2%** |  |  |  |
|  Aflac, Inc. | 2336 |  | 168052 |
|  AIA Group Ltd. | 33600 |  | 371058 |
|  Allianz SE, Registered Shares | 1193 |  | 254774 |
|  Allstate Corp. | 2361 |  | 320152 |
|  Ambac Financial Group, Inc.<sup>(a)</sup> | 5876 |  | 102477 |
|  American Equity Investment Life Holding Co. | 523 |  | 23859 |
|  American Financial Group, Inc. | 386 |  | 52990 |
|  American International Group, Inc. | 2540 |  | 160630 |
|  Aon PLC, Class A | 568 |  | 170479 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 15

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** |
|  Argo Group International Holdings Ltd. | 1630 | $42135 |
|  Assured Guaranty Ltd. | 199 | 12390 |
|  Aviva PLC | 12895 | 68403 |
|  AXA SA | 4593 | 127940 |
|  Axis Capital Holdings Ltd.<sup>(b)</sup> | 265 | 14355 |
|  BB Seguridade Participacoes SA | 27985 | 178173 |
|  Bright Health Group, Inc.<sup>(a)</sup> | 24663 | 16028 |
|  Brighthouse Financial, Inc.<sup>(a)</sup> | 266 | 13638 |
|  Cathay Financial Holding Co. Ltd. | 8325 | 10810 |
|  China Life Insurance Co. Ltd., Class H | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;332000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;566638 |
|  China Pacific Insurance Group Co. Ltd.,<br>Class H | 214600 | 474548 |
|  China Taiping Insurance Holdings Co. Ltd. | 102600 | 127302 |
|  CNA Financial Corp.<sup>(b)</sup> | 92 | 3890 |
|  CNO Financial Group, Inc.<sup>(b)</sup> | 16986 | 388130 |
|  Crawford & Co., Class A | 30804 | 171270 |
|  Dai-ichi Life Holdings, Inc. | 1200 | 27100 |
|  Donegal Group, Inc., Class A | 9825 | 139515 |
|  eHealth, Inc.<sup>(a)</sup> | 6459 | 31262 |
|  FedNat Holding Co.<sup>(a)</sup> | 4457 | 7 |
|  First American Financial Corp. | 339 | 17743 |
|  Genworth Financial, Inc., Class A<sup>(a)</sup> | 20040 | 106012 |
|  Gjensidige Forsikring ASA | 6426 | 126040 |
|  Goosehead Insurance, Inc., Class A<sup>(a)(b)</sup> | 3141 | 107862 |
|  Hannover Rueck SE | 104 | 20520 |
|  Hanover Insurance Group, Inc. | 119 | 16080 |
|  Hartford Financial Services Group, Inc.<sup>(b)</sup> | 10996 | 833827 |
|  HCI Group, Inc.<sup>(b)</sup> | 1427 | 56495 |
|  HDFC Life Insurance Co. Ltd.<sup>(c)</sup> | 11046 | 75454 |
|  Heritage Insurance Holdings, Inc. | 20263 | 36473 |
|  Insurance Australia Group Ltd. | 7014 | 22548 |
|  Investors Title Co. | 307 | 45298 |
|  Kemper Corp. | 206 | 10135 |
|  Kinsale Capital Group, Inc. | 1908 | 498980 |
|  Legal & General Group PLC | 7458 | 22360 |
|  Lemonade, Inc.<sup>(a)(b)</sup> | 6167 | 84365 |
|  Life Insurance Corp. of India | 19317 | 159734 |
|  Lincoln National Corp. | 607 | 18647 |
|  Marsh & McLennan Cos., Inc. | 13068 | 2162493 |
|  MBIA, Inc.<sup>(a)</sup> | 3255 | 41827 |
|  Medibank Pvt Ltd. | 11208 | 22360 |
|  Mercury General Corp.<sup>(b)</sup> | 10169 | 347780 |
|  MetLife, Inc. | 29354 | 2124349 |
|  MS&AD Insurance Group Holdings, Inc. | 700 | 22379 |
|  Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares | 395 | 127771 |
|  New China Life Insurance Co. Ltd., Class H | 106300 | 258806 |
|  Old Republic International Corp. | 944 | 22798 |
|  Oscar Health, Inc., Class A<sup>(a)(b)</sup> | 42910 | 105559 |
|  Palomar Holdings, Inc.<sup>(a)</sup> | 829 | 37438 |
|  People's Insurance Co. Group of China Ltd., Class H | 472000 | 156145 |
|  PICC Property & Casualty Co. Ltd., Class H | 482000 | 455729 |
|  Ping An Insurance Group Co. of China Ltd., Class H | 273500 | 1796824 |
|  Primerica, Inc. | 125 | 17727 |
|  Principal Financial Group, Inc.<sup>(b)</sup> | 823 | 69066 |
|  Prudential Financial, Inc. | 952 | 94686 |
|  Prudential PLC | 6028 | 82193 |
|  QBE Insurance Group Ltd. | 4268 | 38718 |
|  Reinsurance Group of America, Inc. | 230 | 32681 |
|  RenaissanceRe Holdings Ltd.<sup>(b)</sup> | 150 | 27634 |
|  RLI Corp. | 6102 | 801009 |
|  Root, Inc./OH, Class A<sup>(a)(b)</sup> | 2018 | 9061 |
|  Ryan Specialty Holdings, Inc.<sup>(a)</sup> | 275 | 11415 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** |
|  Sampo OYJ, A Shares | 1465 | $76516 |
|  SBI Life Insurance Co. Ltd.<sup>(c)</sup> | 13754 | 204138 |
|  Selective Insurance Group, Inc. | 1707 | 151257 |
|  Selectquote, Inc.<sup>(a)</sup> | 9708 | 6523 |
|  Sompo Holdings, Inc. | 600 | 26546 |
|  Swiss Life Holding AG, Registered Shares | 52 | 26804 |
|  Swiss Re AG | 549 | 51332 |
|  Tokio Marine Holdings, Inc. | 4300 | 91858 |
|  Travelers Cos., Inc. | 3238 | 607093 |
|  Trean Insurance Group, Inc.<sup>(a)</sup> | 5265 | 31590 |
|  Trupanion, Inc.<sup>(a)(b)</sup> | 5376 | 255521 |
|  United Insurance Holdings Corp. | 4694 | 4976 |
|  Unum Group | 702 | 28803 |
|  W R Berkley Corp. | 2548 | 184908 |
|  White Mountains Insurance Group Ltd. | 10 | 14143 |
|  Zurich Insurance Group AG | 411 | 196490 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17121524 |
| **Interactive Media & Services — 2.9%** |  |  |
|  Adevinta ASA<sup>(a)</sup> | 2587 | 17130 |
|  Alphabet, Inc., Class A<sup>(a)</sup> | 54609 | 4818152 |
|  Alphabet, Inc., Class C<sup>(a)</sup> | 45236 | 4013790 |
|  Auto Trader Group PLC<sup>(c)</sup> | 5485 | 34157 |
|  Autohome, Inc., ADR | 2071 | 63373 |
|  Baidu, Inc., Class A<sup>(a)</sup> | 73060 | 1041889 |
|  Bumble, Inc., Class A<sup>(a)</sup> | 10623 | 223614 |
|  Cargurus, Inc.<sup>(a)</sup> | 10575 | 148156 |
|  Cars.com, Inc.<sup>(a)</sup> | 1527 | 21027 |
|  Eventbrite, Inc., Class A<sup>(a)(b)</sup> | 22689 | 132957 |
|  EverQuote, Inc., Class A<sup>(a)</sup> | 5567 | 82058 |
|  fuboTV, Inc.<sup>(a)(b)</sup> | 12760 | 22202 |
|  Kanzhun Ltd., ADR<sup>(a)</sup> | 3563 | 72578 |
|  Kuaishou Technology<sup>(a)(c)</sup> | 50100 | 450362 |
|  Meta Platforms, Inc., Class A<sup>(a)</sup> | 18954 | 2280924 |
|  NAVER Corp. | 2362 | 335926 |
|  Pinterest, Inc., Class A<sup>(a)</sup> | 1299 | 31540 |
|  QuinStreet, Inc.<sup>(a)</sup> | 12994 | 186464 |
|  REA Group Ltd. | 545 | 40988 |
|  Scout24 SE<sup>(c)</sup> | 315 | 15855 |
|  SEEK Ltd. | 2394 | 34035 |
|  Shutterstock, Inc.<sup>(b)</sup> | 3587 | 189107 |
|  Snap, Inc., Class A<sup>(a)</sup> | 21832 | 195396 |
|  Tencent Holdings Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;191600 | 8123910 |
|  TripAdvisor, Inc.<sup>(a)</sup> | 341 | 6131 |
|  TrueCar, Inc.<sup>(a)</sup> | 10229 | 25675 |
|  Vimeo, Inc.<sup>(a)</sup> | 41779 | 143302 |
|  Weibo Corp., ADR<sup>(a)</sup> | 4032 | 77092 |
|  Yelp, Inc.<sup>(a)</sup> | 11581 | 316624 |
|  Z Holdings Corp. | 6600 | 16484 |
|  ZipRecruiter, Inc., Class A<sup>(a)</sup> | 11831 | 194265 |
|  |  | 23355163 |
| **Internet & Direct Marketing Retail — 2.5%** |  |  |
|  1-800-Flowers.com, Inc., Class A<sup>(a)</sup> | 10320 | 98659 |
|  Alibaba Group Holding Ltd.<sup>(a)</sup> | 444860 | 4881408 |
|  Amazon.com, Inc.<sup>(a)</sup> | 76647 | 6438348 |
|  CarParts.com, Inc.<sup>(a)</sup> | 9789 | 61279 |
|  ContextLogic, Inc., Class A<sup>(a)(b)</sup> | 93015 | 45363 |
|  Coupang, Inc.<sup>(a)(b)</sup> | 10642 | 156544 |
|  eBay, Inc. | 20715 | 859051 |
|  Etsy, Inc.<sup>(a)</sup> | 273 | 32700 |
|  JD.com, Inc., Class A | 60386 | 1685773 |
|  Meituan, Class B<sup>(a)(c)</sup> | 123600 | 2738461 |
|  MercadoLibre, Inc.<sup>(a)</sup> | 32 | 27080 |

---

16 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Internet & Direct Marketing Retail (continued)** | **Internet & Direct Marketing Retail (continued)** | **Internet & Direct Marketing Retail (continued)** |
|  Naspers Ltd., N Shares | 3784 | $632328 |
|  Overstock.com, Inc.<sup>(a)</sup> | 14023 | 271485 |
|  Pinduoduo, Inc., ADR<sup>(a)</sup> | 14834 | 1209713 |
|  Prosus NV | 2404 | 165980 |
|  Revolve Group, Inc.<sup>(a)</sup> | 5247 | 116798 |
|  Stitch Fix, Inc., Class A<sup>(a)</sup> | 24087 | 74911 |
|  ThredUp, Inc., Class A<sup>(a)</sup> | 10521 | 13783 |
|  Vipshop Holdings Ltd., ADR<sup>(a)</sup> | 15082 | 205718 |
|  Zalando SE<sup>(a)(c)</sup> | 883 | 31086 |
|  ZOZO, Inc. | 900 | 22226 |
|  |  | 19768694 |
| **IT Services — 3.0%** |  |  |
|  Accenture PLC, Class A | 5206 | 1389169 |
|  Adyen NV<sup>(a)(c)</sup> | 49 | 68024 |
|  Amadeus IT Group SA<sup>(a)</sup> | 1009 | 52345 |
|  Amdocs Ltd. | 396 | 35996 |
|  Automatic Data Processing, Inc. | 4376 | 1045251 |
|  AvidXchange Holdings, Inc.<sup>(a)</sup> | 21502 | 213730 |
|  Backblaze, Inc., Class A<sup>(a)(b)</sup> | 2670 | 16421 |
|  Bechtle AG | 937 | 33121 |
|  BigCommerce Holdings, Inc., Series-1<sup>(a)(b)</sup> | 3334 | 29139 |
|  Block, Inc.<sup>(a)</sup> | 2959 | 185944 |
|  Capgemini SE | 243 | 40624 |
|  Cielo SA | 281507 | 280085 |
|  Cloudflare, Inc., Class A<sup>(a)</sup> | 859 | 38835 |
|  Cognizant Technology Solutions Corp., Class A | 16307 | 932597 |
|  Concentrix Corp. | 142 | 18909 |
|  Conduent, Inc.<sup>(a)</sup> | 41159 | 166694 |
|  CSG Systems International, Inc. | 8030 | 459316 |
|  DigitalOcean Holdings, Inc.<sup>(a)</sup> | 5243 | 133539 |
|  DXC Technology Co.<sup>(a)</sup> | 768 | 20352 |
|  Edenred | 929 | 50561 |
|  EPAM Systems, Inc.<sup>(a)</sup> | 92 | 30152 |
|  Euronet Worldwide, Inc.<sup>(a)</sup> | 167 | 15761 |
|  Evo Payments, Inc., Class A<sup>(a)</sup> | 3929 | 132957 |
|  ExlService Holdings, Inc.<sup>(a)</sup> | 4010 | 679414 |
|  Fastly, Inc., Class A<sup>(a)</sup> | 23910 | 195823 |
|  Fidelity National Information Services, Inc. | 2576 | 174782 |
|  Fiserv, Inc.<sup>(a)</sup> | 1883 | 190315 |
|  Flywire Corp.<sup>(a)</sup> | 6698 | 163900 |
|  Fujitsu Ltd. | 900 | 119986 |
|  Gartner, Inc.<sup>(a)</sup> | 1930 | 648750 |
|  Genpact Ltd. | 603 | 27931 |
|  Global Payments, Inc. | 790 | 78463 |
|  Globant SA<sup>(a)</sup> | 134 | 22533 |
|  GMO Payment Gateway, Inc. | 700 | 57889 |
|  Grid Dynamics Holdings, Inc.<sup>(a)</sup> | 3598 | 40370 |
|  Hackett Group, Inc. | 6647 | 135399 |
|  HCL Technologies Ltd. | 54004 | 677258 |
|  Infosys Ltd. | 105039 | 1914997 |
|  Infosys Ltd., ADR | 39637 | 713862 |
|  International Business Machines Corp. | 1859 | 261915 |
|  Itochu Techno-Solutions Corp. | 3200 | 74226 |
|  Jack Henry & Associates, Inc. | 247 | 43363 |
|  Kyndryl Holdings, Inc.<sup>(a)</sup> | 676 | 7517 |
|  Marqeta, Inc., Class A<sup>(a)</sup> | 58350 | 356519 |
|  Mastercard, Inc., Class A | 7809 | 2715424 |
|  MoneyGram International, Inc.<sup>(a)</sup> | 2310 | 25156 |
|  Mphasis Ltd. | 5175 | 123259 |
|  NEC Corp. | 1500 | 52604 |
|  Nexi SpA<sup>(a)(c)</sup> | 6295 | 49692 |

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| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **IT Services (continued)** | **IT Services (continued)** | **IT Services (continued)** |
|  Nomura Research Institute Ltd. | 2000 | $47548 |
|  Obic Co. Ltd. | 1000 | 146809 |
|  Otsuka Corp. | 2400 | 75649 |
|  Paya Holdings, Inc.<sup>(a)</sup> | 2539 | 19982 |
|  Paychex, Inc. | 2058 | 237822 |
|  Payoneer Global, Inc.<sup>(a)(b)</sup> | 20367 | 111407 |
|  PayPal Holdings, Inc.<sup>(a)</sup> | 20479 | 1458514 |
|  Paysafe Ltd.<sup>(a)</sup> | 5518 | 76645 |
|  Perficient, Inc.<sup>(a)</sup> | 3242 | 226389 |
|  Remitly Global, Inc.<sup>(a)</sup> | 14255 | 163220 |
|  Repay Holdings Corp.<sup>(a)</sup> | 13798 | 111074 |
|  Sabre Corp.<sup>(a)</sup> | 32164 | 198774 |
|  Samsung SDS Co. Ltd. | 514 | 50094 |
|  SCSK Corp. | 8200 | 124121 |
|  Shift4 Payments, Inc., Class A<sup>(a)</sup> | 147 | 8222 |
|  Snowflake, Inc., Class A<sup>(a)</sup> | 871 | 125023 |
|  Squarespace, Inc., Class A<sup>(a)</sup> | 2528 | 56046 |
|  StoneCo Ltd., Class A<sup>(a)</sup> | 51883 | 489776 |
|  Tata Consultancy Services Ltd. | 52723 | 2073443 |
|  Thoughtworks Holding, Inc.<sup>(a)(b)</sup> | 143 | 1457 |
|  TIS, Inc. | 2800 | 73589 |
|  Toast, Inc., Class A<sup>(a)(b)</sup> | 774 | 13955 |
|  TTEC Holdings, Inc. | 2475 | 109222 |
|  Twilio, Inc., Class A<sup>(a)</sup> | 1909 | 93465 |
|  Unisys Corp.<sup>(a)</sup> | 4314 | 22045 |
|  Visa, Inc., Class A | 11829 | 2457593 |
|  WEX, Inc.<sup>(a)</sup> | 144 | 23566 |
|  |  | 23536319 |
| **Leisure Products — 0.1%** |  |  |
|  Brunswick Corp. | 243 | 17516 |
|  Hasbro, Inc. | 1693 | 103290 |
|  Malibu Boats, Inc., Class A<sup>(a)</sup> | 944 | 50315 |
|  MasterCraft Boat Holdings, Inc.<sup>(a)</sup> | 745 | 19273 |
|  Mattel, Inc.<sup>(a)</sup> | 1149 | 20498 |
|  Peloton Interactive, Inc., Class A<sup>(a)(b)</sup> | 989 | 7853 |
|  Polaris, Inc. | 189 | 19089 |
|  Topgolf Callaway Brands Corp.<sup>(a)(b)</sup> | 19351 | 382182 |
|  YETI Holdings, Inc.<sup>(a)</sup> | 283 | 11691 |
|  |  | 631707 |
| **Life Sciences Tools & Services — 1.4%** |  |  |
|  10X Genomics, Inc., Class A<sup>(a)</sup> | 291 | 10604 |
|  AbCellera Biologics, Inc.<sup>(a)(b)</sup> | 25542 | 258740 |
|  Adaptive Biotechnologies Corp.<sup>(a)</sup> | 41425 | 316487 |
|  Agilent Technologies, Inc. | 9753 | 1459536 |
|  Azenta, Inc.<sup>(b)</sup> | 243 | 14147 |
|  Berkeley Lights, Inc.<sup>(a)</sup> | 14477 | 38798 |
|  BioLife Solutions, Inc.<sup>(a)</sup> | 2338 | 42552 |
|  Bionano Genomics, Inc.<sup>(a)(b)</sup> | 15618 | 22802 |
|  Bio-Rad Laboratories, Inc., Class A<sup>(a)</sup> | 81 | 34060 |
|  Bio-Techne Corp. | 488 | 40445 |
|  Bruker Corp. | 351 | 23991 |
|  Charles River Laboratories International, Inc.<sup>(a)</sup> | 152 | 33121 |
|  Codexis, Inc.<sup>(a)</sup> | 12501 | 58255 |
|  CryoPort, Inc.<sup>(a)</sup> | 4545 | 78856 |
|  Danaher Corp. | 10243 | 2718697 |
|  Eurofins Scientific SE | 756 | 54279 |
|  Illumina, Inc.<sup>(a)</sup> | 687 | 138911 |
|  IQVIA Holdings, Inc.<sup>(a)</sup> | 708 | 145062 |
|  Lonza Group AG, Registered Shares | 219 | 107502 |
|  Maravai LifeSciences Holdings, Inc., Class A<sup>(a)</sup> | 360 | 5152 |
|  MaxCyte, Inc.<sup>(a)</sup> | 4433 | 24204 |

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M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 17

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Life Sciences Tools & Services (continued)** | **Life Sciences Tools & Services (continued)** | **Life Sciences Tools & Services (continued)** |
|  Medpace Holdings, Inc.<sup>(a)</sup> | 1285 | $272947 |
|  Mettler-Toledo International, Inc.<sup>(a)</sup> | 146 | 211036 |
|  NanoString Technologies, Inc.<sup>(a)</sup> | 10508 | 83749 |
|  Nautilus Biotechnology, Inc.<sup>(a)</sup> | 2672 | 4810 |
|  NeoGenomics, Inc.<sup>(a)</sup> | 13770 | 127235 |
|  OmniAb, Inc.<sup>(a)</sup> | 2082 | 7495 |
|  OmniAb, Inc.<sup>(d)</sup> | 322 |  |
|  Pacific Biosciences of California, Inc.<sup>(a)(b)</sup> | 18685 | 152843 |
|  PerkinElmer, Inc. | 2790 | 391214 |
|  Personalis, Inc.<sup>(a)(b)</sup> | 13965 | 27651 |
|  QIAGEN NV<sup>(a)</sup> | 2069 | 103712 |
|  Quanterix Corp.<sup>(a)</sup> | 2466 | 34154 |
|  Quantum-Si, Inc.<sup>(a)</sup> | 5825 | 10660 |
|  Repligen Corp.<sup>(a)</sup> | 400 | 67724 |
|  Sartorius Stedim Biotech | 167 | 54270 |
|  Seer, Inc., Class A<sup>(a)(b)</sup> | 7416 | 43013 |
|  Singular Genomics Systems, Inc.<sup>(a)(b)</sup> | 863 | 1735 |
|  SomaLogic, Inc.<sup>(a)</sup> | 23241 | 58335 |
|  Sotera Health Co.<sup>(a)</sup> | 324 | 2699 |
|  Syneos Health, Inc.<sup>(a)</sup> | 336 | 12324 |
|  Syngene International Ltd.<sup>(c)</sup> | 12096 | 85525 |
|  Thermo Fisher Scientific, Inc. | 4997 | 2751798 |
|  Waters Corp.<sup>(a)</sup> | 180 | 61664 |
|  West Pharmaceutical Services, Inc. | 540 | 127089 |
|  WuXi AppTec Co. Ltd., Class H<sup>(c)</sup> | 18648 | 195664 |
|  Wuxi Biologics Cayman, Inc.<sup>(a)(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;102500 | 776325 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11291872 |
| **Machinery — 2.1%** |  |  |
|  AGCO Corp. | 208 | 28847 |
|  Allison Transmission Holdings, Inc. | 1606 | 66810 |
|  Alstom SA | 2022 | 49471 |
|  Altra Industrial Motion Corp. | 11285 | 674279 |
|  Ardagh Group SA<sup>(a)</sup> | 56 | 476 |
|  Astec Industries, Inc. | 6317 | 256849 |
|  Caterpillar, Inc. | 648 | 155235 |
|  Chart Industries, Inc.<sup>(a)</sup> | 3112 | 358596 |
|  Columbus McKinnon Corp. | 2218 | 72018 |
|  Crane Holdings Co. | 169 | 16976 |
|  Cummins India Ltd. | 12506 | 208521 |
|  Cummins, Inc. | 463 | 112180 |
|  Deere & Co. | 5932 | 2543404 |
|  Donaldson Co., Inc. | 412 | 24254 |
|  Elgi Equipments Ltd. | 15013 | 75963 |
|  Enerpac Tool Group Corp. | 3921 | 99789 |
|  EnPro Industries, Inc. | 265 | 28803 |
|  Esab Corp.<sup>(b)</sup> | 159 | 7460 |
|  Evoqua Water Technologies Corp.<sup>(a)</sup> | 11615 | 459954 |
|  FANUC Corp. | 100 | 14965 |
|  Federal Signal Corp. | 2613 | 121426 |
|  Flowserve Corp.<sup>(b)</sup> | 435 | 13346 |
|  Franklin Electric Co., Inc.<sup>(b)</sup> | 13838 | 1103580 |
|  Gates Industrial Corp. PLC<sup>(a)</sup> | 326 | 3720 |
|  Gencor Industries, Inc.<sup>(a)</sup> | 5434 | 54883 |
|  Graco, Inc. | 912 | 61341 |
|  Hiwin Technologies Corp. | 55763 | 330054 |
|  Hurco Cos., Inc. | 1217 | 31800 |
|  Hyliion Holdings Corp.<sup>(a)(b)</sup> | 20862 | 48817 |
|  Hyster-Yale Materials Handling, Inc. | 2475 | 62642 |
|  Illinois Tool Works, Inc. | 2822 | 621687 |
|  Indutrade AB | 2165 | 43905 |
|  ITT, Inc. | 279 | 22627 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Machinery (continued)** | **Machinery (continued)** | **Machinery (continued)** |
|  Kadant, Inc. | 327 | $58085 |
|  Kennametal, Inc.<sup>(b)</sup> | 14510 | 349111 |
|  Kone OYJ, Class B | 1608 | 83249 |
|  Korea Shipbuilding & Offshore Engineering Co. Ltd.<sup>(a)</sup> | 2556 | 143729 |
|  Lincoln Electric Holdings, Inc.<sup>(b)</sup> | 184 | 26586 |
|  Lindsay Corp. | 632 | 102921 |
|  Manitowoc Co., Inc.<sup>(a)</sup> | 18167 | 166410 |
|  Microvast Holdings, Inc.<sup>(a)</sup> | 13128 | 20086 |
|  Middleby Corp.<sup>(a)</sup> | 179 | 23968 |
|  Mueller Industries, Inc. | 2573 | 151807 |
|  Mueller Water Products, Inc., Class A<sup>(b)</sup> | 7140 | 76826 |
|  Oshkosh Corp. | 220 | 19402 |
|  PACCAR, Inc. | 5449 | 539288 |
|  Parker-Hannifin Corp. | 87 | 25317 |
|  Schindler Holding AG | 171 | 32162 |
|  Shyft Group, Inc.<sup>(b)</sup> | 5016 | 124698 |
|  SMC Corp. | 100 | 41755 |
|  Snap-on, Inc. | 5140 | 1174439 |
|  SPX Technologies, Inc.<sup>(a)</sup> | 7621 | 500319 |
|  Standex International Corp. | 1982 | 202977 |
|  Tennant Co.<sup>(b)</sup> | 2003 | 123325 |
|  Terex Corp. | 13526 | 577831 |
|  Timken Co. | 14880 | 1051570 |
|  Titan International, Inc.<sup>(a)</sup> | 5913 | 90587 |
|  Toro Co. | 349 | 39507 |
|  Watts Water Technologies, Inc., Class A | 8466 | 1237983 |
|  Westinghouse Air Brake Technologies Corp. | 323 | 32239 |
|  Xylem, Inc. | 13103 | 1448799 |
|  Zoomlion Heavy Industry Science & Technology Co. Ltd., Class H | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;275000 | 129562 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16369216 |
| **Marine — 0.1%** |  |  |
|  AP Moller - Maersk A/S, Class A | 12 | 26446 |
|  AP Moller - Maersk A/S, Class B | 30 | 67158 |
|  Eagle Bulk Shipping, Inc. | 810 | 40452 |
|  Genco Shipping & Trading Ltd.<sup>(b)</sup> | 6487 | 99640 |
|  Golden Ocean Group Ltd. | 15357 | 133453 |
|  Kirby Corp.<sup>(a)</sup> | 200 | 12870 |
|  Kuehne & Nagel International AG, Registered Shares | 170 | 39522 |
|  Matson, Inc. | 7067 | 441758 |
|  MISC Bhd | 74700 | 127175 |
|  Mitsui OSK Lines Ltd. | 800 | 19990 |
|  Nippon Yusen KK | 1100 | 25939 |
|  |  | 1034403 |
| **Media — 0.7%** |  |  |
|  Altice USA, Inc., Class A<sup>(a)</sup> | 699 | 3215 |
|  Cardlytics, Inc.<sup>(a)</sup> | 3383 | 19554 |
|  Charter Communications, Inc., Class A<sup>(a)</sup> | 289 | 98000 |
|  Cheil Worldwide, Inc. | 12785 | 233520 |
|  China Literature Ltd.<sup>(a)(c)</sup> | 28200 | 108781 |
|  Comcast Corp., Class A | 40511 | 1416670 |
|  ComScore, Inc.<sup>(a)</sup> | 13300 | 15428 |
|  Cumulus Media, Inc., Class A<sup>(a)</sup> | 3764 | 23374 |
|  Dentsu Group, Inc. | 200 | 6274 |
|  Emerald Holding, Inc.<sup>(a)</sup> | 7770 | 27506 |
|  Entravision Communications Corp., Class A | 21487 | 103138 |
|  EW Scripps Co., Class A<sup>(a)</sup> | 14314 | 188802 |
|  Fox Corp., Class A | 56508 | 1716148 |
|  Fox Corp., Class B | 775 | 22049 |
|  iHeartMedia, Inc., Class A<sup>(a)</sup> | 14416 | 88370 |
|  Informa PLC | 5081 | 37903 |

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18 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

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| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Media (continued)** | **Media (continued)** | **Media (continued)** |
|  Integral Ad Science Holding Corp.<sup>(a)</sup> | 2670 | $23469 |
|  Interpublic Group of Cos., Inc.<sup>(b)</sup> | 740 | 24649 |
|  Liberty Broadband Corp., Class A<sup>(a)</sup> | 62 | 4703 |
|  Liberty Media Corp.-Liberty SiriusXM,<br>Class A<sup>(a)(b)</sup> | 20 | 786 |
|  Magnite, Inc.<sup>(a)(b)</sup> | 8214 | 86986 |
|  New York Times Co., Class A | 565 | 18340 |
|  News Corp., Class B | 415 | 7653 |
|  Nexstar Media Group, Inc., Class A<sup>(b)</sup> | 125 | 21879 |
|  Omnicom Group, Inc.<sup>(b)</sup> | 377 | 30752 |
|  Paramount Global, Class A<sup>(b)</sup> | 26 | 510 |
|  Publicis Groupe SA | 592 | 37818 |
|  Scholastic Corp. | 3048 | 120274 |
|  Sinclair Broadcast Group, Inc., Class A<sup>(b)</sup> | 8861 | 137434 |
|  TEGNA, Inc. | 19334 | 409687 |
|  Thryv Holdings, Inc.<sup>(a)(b)</sup> | 1278 | 24282 |
|  Townsquare Media, Inc., Class A<sup>(a)</sup> | 5405 | 39186 |
|  Trade Desk, Inc., Class A<sup>(a)</sup> | 1419 | 63614 |
|  WideOpenWest, Inc.<sup>(a)</sup> | 4252 | 38736 |
|  WPP PLC | 5099 | 50378 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5249868 |
| **Metals & Mining — 1.8%** |  |  |
|  Alpha Metallurgical Resources, Inc.<sup>(b)</sup> | 307 | 44942 |
|  Alrosa PJSC<sup>(a)(d)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;667929 | 91 |
|  Aluminum Corp. of China Ltd., Class H | 216000 | 91405 |
|  Anglo American Platinum Ltd. | 7888 | 658306 |
|  Anglo American PLC | 4884 | 191370 |
|  AngloGold Ashanti Ltd. | 13698 | 266894 |
|  APL Apollo Tubes Ltd. | 22005 | 289599 |
|  Arconic Corp.<sup>(a)</sup> | 6069 | 128420 |
|  ATI, Inc.<sup>(a)(b)</sup> | 5864 | 175099 |
|  BHP Group Ltd., Class DI | 11663 | 361284 |
|  China Hongqiao Group Ltd. | 252500 | 238146 |
|  Cia Siderurgica Nacional SA | 19126 | 52131 |
|  Coeur Mining, Inc.<sup>(a)</sup> | 52706 | 177092 |
|  Commercial Metals Co. | 23017 | 1111721 |
|  Constellium SE<sup>(a)</sup> | 26821 | 317292 |
|  CSN Mineracao SA | 246961 | 188373 |
|  Dongkuk Steel Mill Co. Ltd. | 9839 | 86955 |
|  Fortescue Metals Group Ltd. | 4224 | 59039 |
|  Ganfeng Lithium Group Co. Ltd., Class A | 20800 | 208339 |
|  Gerdau SA, ADR | 46327 | 256652 |
|  Glencore PLC | 17989 | 119962 |
|  Gold Fields Ltd. | 29595 | 307339 |
|  Gold Fields Ltd., ADR<sup>(b)</sup> | 14038 | 145293 |
|  Grupo Mexico SAB de CV, Series B | 128888 | 452479 |
|  Hecla Mining Co.<sup>(b)</sup> | 31939 | 177581 |
|  Hochschild Mining PLC | 52450 | 44585 |
|  Hycroft Mining Holding Corp.<sup>(a)</sup> | 18205 | 9687 |
|  Hyundai Steel Co. | 11432 | 278642 |
|  IGO Ltd. | 1615 | 14773 |
|  Impala Platinum Holdings Ltd. | 20697 | 260096 |
|  Kaiser Aluminum Corp.<sup>(b)</sup> | 309 | 23472 |
|  Kumba Iron Ore Ltd. | 2797 | 80787 |
|  Materion Corp. | 493 | 43142 |
|  MMC Norilsk Nickel PJSC<sup>(d)</sup> | 651 |  |
|  MP Materials Corp.<sup>(a)</sup> | 311 | 7551 |
|  Newmont Corp. | 9615 | 453828 |
|  Novagold Resources, Inc.<sup>(a)</sup> | 45043 | 269357 |
|  Olympic Steel, Inc.<sup>(b)</sup> | 3043 | 102184 |
|  Pilbara Minerals Ltd.<sup>(a)</sup> | 8439 | 21370 |
|  POSCO Holdings, Inc. | 3693 | 808220 |

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---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Metals & Mining (continued)** | **Metals & Mining (continued)** | **Metals & Mining (continued)** | **Metals & Mining (continued)** |
|  POSCO Holdings, Inc., ADR | 3505 | $| 190917 |
|  Reliance Steel & Aluminum Co. | 1112 |  | 225113 |
|  Rio Tinto PLC | 1326 |  | 93329 |
|  Royal Gold, Inc.<sup>(b)</sup> | 225 |  | 25362 |
|  Ryerson Holding Corp. | 2388 |  | 72261 |
|  Saudi Arabian Mining Co.<sup>(a)</sup> | 33799 |  | 580262 |
|  Schnitzer Steel Industries, Inc., Class A | 3858 |  | 118248 |
|  Severstal PAO<sup>(d)</sup> | 6166 |  | 1 |
|  Shougang Fushan Resources Group Ltd. | 492000 |  | 156914 |
|  Sibanye Stillwater Ltd. | 110325 |  | 292497 |
|  Southern Copper Corp.<sup>(b)</sup> | 11127 |  | 671960 |
|  SSR Mining, Inc. | 726 |  | 11376 |
|  Steel Dynamics, Inc. | 3109 |  | 303749 |
|  SunCoke Energy, Inc. | 20004 |  | 172635 |
|  TimkenSteel Corp.<sup>(a)</sup> | 2598 |  | 47206 |
|  U.S. Steel Corp. | 891 |  | 22320 |
|  Vale SA | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;111612 |  | 1890935 |
|  Warrior Met Coal, Inc. | 8604 |  | 298043 |
|  Xiamen Tungsten Co. Ltd., Class A | 28900 |  | 81411 |
|  Zijin Mining Group Co. Ltd., Class H | 134000 |  | 180095 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13958132 |
| **Mortgage Real Estate Investment Trusts (REITs) — 0.1%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.1%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.1%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.1%** |
|  AGNC Investment Corp.<sup>(b)</sup> | 1743 |  | 18040 |
|  Annaly Capital Management, Inc.<sup>(b)</sup> | 935 |  | 19710 |
|  Arbor Realty Trust, Inc.<sup>(b)</sup> | 26235 |  | 346040 |
|  Blackstone Mortgage Trust, Inc., Class A<sup>(b)</sup> | 5769 |  | 122130 |
|  Great Ajax Corp. | 1180 |  | 8555 |
|  Hannon Armstrong Sustainable Infrastructure Capital, Inc.<sup>(b)</sup> | 7277 |  | 210887 |
|  Ladder Capital Corp. | 22785 |  | 228761 |
|  Rithm Capital Corp.<sup>(b)</sup> | 1424 |  | 11634 |
|  Starwood Property Trust, Inc.<sup>(b)</sup> | 975 |  | 17872 |
|  |  |  | 983629 |
| **Multiline Retail — 0.4%** |  |  |  |
|  Dillard's, Inc., Class A<sup>(b)</sup> | 693 |  | 223978 |
|  Dollar General Corp. | 2151 |  | 529684 |
|  Dollar Tree, Inc.<sup>(a)</sup> | 2583 |  | 365340 |
|  Hyundai Department Store Co. Ltd. | 4685 |  | 219567 |
|  Kohl's Corp.<sup>(b)</sup> | 473 |  | 11943 |
|  Macy's, Inc. | 9686 |  | 200016 |
|  Next PLC | 1158 |  | 81142 |
|  Nordstrom, Inc.<sup>(b)</sup> | 367 |  | 5923 |
|  Ollie's Bargain Outlet Holdings, Inc.<sup>(a)</sup> | 205 |  | 9602 |
|  Poya International Co. Ltd. | 19000 |  | 307624 |
|  Shinsegae, Inc.<sup>(a)</sup> | 2621 |  | 458224 |
|  Target Corp. | 6145 |  | 915851 |
|  Wesfarmers Ltd. | 5737 |  | 178922 |
|  |  |  | 3507816 |
| **Multi-Utilities — 0.8%** |  |  |  |
|  Ameren Corp. | 2102 |  | 186910 |
|  Avista Corp. | 1672 |  | 74137 |
|  Black Hills Corp. | 12918 |  | 908652 |
|  CMS Energy Corp. | 13907 |  | 880730 |
|  Consolidated Edison, Inc. | 1945 |  | 185378 |
|  Dominion Energy, Inc. | 5264 |  | 322789 |
|  DTE Energy Co. | 16994 |  | 1997305 |
|  E.ON SE | 7334 |  | 72915 |
|  Engie SA | 6852 |  | 98025 |
|  National Grid PLC | 16556 |  | 198330 |
|  NorthWestern Corp. | 4763 |  | 282636 |
|  Public Service Enterprise Group, Inc. | 7496 |  | 459280 |

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M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 19

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Multi-Utilities (continued)** | **Multi-Utilities (continued)** | **Multi-Utilities (continued)** |
|  Sempra Energy | 1501 | $231965 |
|  Veolia Environnement SA | 3127 | 80346 |
|  WEC Energy Group, Inc. | 2082 | 195208 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6174606 |
| **Oil, Gas & Consumable Fuels — 3.9%** |  |  |
|  Aker BP ASA | 3255 | 101175 |
|  AKR Corporindo Tbk PT | 2728400 | 245414 |
|  Alto Ingredients, Inc.<sup>(a)</sup> | 8550 | 24624 |
|  Ampol Ltd. | 2009 | 38618 |
|  Antero Midstream Corp.<sup>(b)</sup> | 1145 | 12355 |
|  Antero Resources Corp.<sup>(a)</sup> | 1007 | 31207 |
|  Ardmore Shipping Corp.<sup>(a)</sup> | 15646 | 225459 |
|  Bangchak Corp. PCL, NVDR | 739900 | 671940 |
|  Berry Corp. | 2756 | 22048 |
|  BP PLC | 64674 | 373165 |
|  California Resources Corp. | 5576 | 242612 |
|  Cheniere Energy, Inc. | 106 | 15896 |
|  Chesapeake Energy Corp.<sup>(b)</sup> | 1672 | 157787 |
|  Chevron Corp. | 21122 | 3791188 |
|  China Petroleum & Chemical Corp.,<br>Class H | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1265400 | 609685 |
|  Chord Energy Corp.<sup>(b)</sup> | 6051 | 827837 |
|  Civitas Resources, Inc.<sup>(b)</sup> | 6270 | 363221 |
|  Clean Energy Fuels Corp.<sup>(a)</sup> | 15836 | 82347 |
|  CNX Resources Corp.<sup>(a)</sup> | 14706 | 247649 |
|  Comstock Resources, Inc.<sup>(b)</sup> | 9334 | 127969 |
|  ConocoPhillips | 6080 | 717440 |
|  Delek U.S. Holdings, Inc. | 10210 | 275670 |
|  Denbury, Inc.<sup>(a)</sup> | 4174 | 363221 |
|  Devon Energy Corp. | 1206 | 74181 |
|  DHT Holdings, Inc. | 20436 | 181472 |
|  DT Midstream, Inc.<sup>(a)</sup> | 331 | 18291 |
|  Ecopetrol SA, ADR<sup>(b)</sup> | 10655 | 111558 |
|  Energy Fuels, Inc.<sup>(a)</sup> | 15022 | 93287 |
|  Eni SpA | 6377 | 90677 |
|  Enviva, Inc.<sup>(b)</sup> | 105 | 5562 |
|  EOG Resources, Inc. | 8478 | 1098071 |
|  Equinor ASA | 5163 | 185559 |
|  Equitrans Midstream Corp. | 6125 | 41037 |
|  Evolution Petroleum Corp. | 17086 | 128999 |
|  Exxon Mobil Corp. | 38055 | 4197466 |
|  FLEX LNG Ltd.<sup>(a)(b)</sup> | 1113 | 36384 |
|  Gazprom PJSC<sup>(d)</sup> | 123918 | 17 |
|  Golar LNG Ltd.<sup>(a)</sup> | 8386 | 191117 |
|  Hess Corp. | 429 | 60841 |
|  Inpex Corp. | 3600 | 38683 |
|  International Seaways, Inc. | 6793 | 251477 |
|  Kosmos Energy Ltd.<sup>(a)(b)</sup> | 20558 | 130749 |
|  LUKOIL PJSC<sup>(d)</sup> | 31813 | 4 |
|  Magnolia Oil & Gas Corp., Class A<sup>(b)</sup> | 14475 | 339439 |
|  Marathon Oil Corp. | 7537 | 204027 |
|  Marathon Petroleum Corp. | 12842 | 1494680 |
|  Matador Resources Co.<sup>(b)</sup> | 13972 | 799757 |
|  MOL Hungarian Oil & Gas PLC | 17840 | 124332 |
|  Murphy Oil Corp. | 15331 | 659386 |
|  Neste OYJ | 1375 | 63411 |
|  New Fortress Energy, Inc.<sup>(b)</sup> | 91 | 3860 |
|  Nordic American Tankers Ltd. | 19898 | 60888 |
|  Novatek PJSC<sup>(d)</sup> | 33690 | 5 |
|  Occidental Petroleum Corp.<sup>(b)</sup> | 1461 | 92028 |
|  Oil & Natural Gas Corp. Ltd. | 108374 | 192914 |
|  Ovintiv, Inc. | 5669 | 287475 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |
|  Par Pacific Holdings, Inc.<sup>(a)</sup> | 4958 | $115273 |
|  PBF Energy, Inc., Class A | 11440 | 466523 |
|  PDC Energy, Inc. | 324 | 20568 |
|  PetroChina Co. Ltd., Class A | 203500 | 146173 |
|  PetroChina Co. Ltd., Class H | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1793700 | 819350 |
|  Petronas Dagangan Bhd | 14700 | 76754 |
|  Phillips 66 | 715 | 74417 |
|  Pioneer Natural Resources Co. | 399 | 91128 |
|  Polski Koncern Naftowy ORLEN SA | 42852 | 629553 |
|  PTT Exploration & Production PCL, NVDR | 151200 | 770004 |
|  Rabigh Refining & Petrochemical Co.<sup>(a)</sup> | 25333 | 73253 |
|  Range Resources Corp. | 2268 | 56745 |
|  Reliance Industries Ltd. | 75209 | 2308962 |
|  Repsol SA | 1283 | 20422 |
|  SandRidge Energy, Inc.<sup>(a)</sup> | 2032 | 34605 |
|  Santos Ltd. | 18129 | 89162 |
|  Saudi Arabian Oil Co.<sup>(c)</sup> | 76033 | 652662 |
|  Scorpio Tankers, Inc. | 8897 | 478392 |
|  SFL Corp. Ltd. | 12911 | 119039 |
|  Shell PLC | 22765 | 641764 |
|  Sitio Royalties Corp., Class A<sup>(b)</sup> | 5654 | 163118 |
|  SM Energy Co.<sup>(b)</sup> | 15213 | 529869 |
|  Southwestern Energy Co.<sup>(a)</sup> | 17038 | 99672 |
|  Talos Energy, Inc.<sup>(a)</sup> | 525 | 9912 |
|  Tatneft PJSC<sup>(d)</sup> | 79242 | 11 |
|  Teekay Corp.<sup>(a)</sup> | 5348 | 24280 |
|  Teekay Tankers Ltd., Class A<sup>(a)</sup> | 7137 | 219891 |
|  Texas Pacific Land Corp.<sup>(b)</sup> | 57 | 133621 |
|  TotalEnergies SE | 8014 | 503064 |
|  Turkiye Petrol Rafinerileri A/S<sup>(a)</sup> | 2067 | 58580 |
|  Ultrapar Participacoes SA | 47615 | 113051 |
|  Ur-Energy, Inc.<sup>(a)</sup> | 12570 | 14455 |
|  Valero Energy Corp. | 2313 | 293427 |
|  Williams Cos., Inc.<sup>(b)</sup> | 2055 | 67609 |
|  Woodside Energy Group Ltd. | 6523 | 157975 |
|  World Fuel Services Corp. | 14499 | 396258 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31295703 |
| **Paper & Forest Products — 0.1%** |  |  |
|  Dexco SA | 85781 | 109883 |
|  Louisiana-Pacific Corp.<sup>(b)</sup> | 245 | 14504 |
|  Mondi PLC | 4082 | 69030 |
|  Resolute Forest Products, Inc.<sup>(a)</sup> | 3923 | 84698 |
|  Sylvamo Corp. | 2114 | 102719 |
|  UPM-Kymmene OYJ | 1702 | 63691 |
|  |  | 444525 |
| **Personal Products — 0.4%** |  |  |
|  Amorepacific Group | 5564 | 154338 |
|  Beiersdorf AG | 639 | 73020 |
|  Coty, Inc., Class A<sup>(a)</sup> | 1135 | 9716 |
|  elf Beauty, Inc.<sup>(a)</sup> | 7894 | 436538 |
|  Estee Lauder Cos., Inc., Class A | 2206 | 547331 |
|  Haleon PLC<sup>(a)</sup> | 17757 | 70258 |
|  Herbalife Nutrition Ltd.<sup>(a)</sup> | 6273 | 93342 |
|  Hindustan Unilever Ltd. | 19797 | 611598 |
|  Honest Co., Inc.<sup>(a)</sup> | 4757 | 14318 |
|  Kao Corp. | 2300 | 91311 |
|  Kobayashi Pharmaceutical Co. Ltd. | 400 | 27417 |
|  L'Oreal SA | 1192 | 426852 |
|  Medifast, Inc. | 1384 | 159644 |
|  Natural Health Trends Corp.<sup>(b)</sup> | 3 | 10 |
|  Nature's Sunshine Products, Inc.<sup>(a)</sup> | 2873 | 23903 |

---

20 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Personal Products (continued)** | **Personal Products (continued)** | **Personal Products (continued)** |
|  Nu Skin Enterprises, Inc., Class A<sup>(b)</sup> | 4706 | $198405 |
|  Olaplex Holdings, Inc.<sup>(a)</sup> | 277 | 1443 |
|  Shiseido Co. Ltd. | 700 | 34310 |
|  Unilever PLC | 8674 | 437931 |
|  USANA Health Sciences, Inc.<sup>(a)</sup> | 1804 | 95973 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3507658 |
| **Pharmaceuticals — 3.1%** |  |  |
|  Aclaris Therapeutics, Inc.<sup>(a)</sup> | 6903 | 108722 |
|  Amneal Pharmaceuticals, Inc.<sup>(a)</sup> | 13679 | 27221 |
|  Amphastar Pharmaceuticals, Inc.<sup>(a)</sup> | 7829 | 219369 |
|  Amylyx Pharmaceuticals, Inc.<sup>(a)</sup> | 1390 | 51360 |
|  Arvinas, Inc.<sup>(a)</sup> | 6263 | 214257 |
|  Aspen Pharmacare Holdings Ltd. | 25254 | 201974 |
|  Astellas Pharma, Inc. | 8000 | 121645 |
|  AstraZeneca PLC | 4894 | 662253 |
|  Asymchem Laboratories Tianjin Co. Ltd., Class A | 7300 | 155844 |
|  Atea Pharmaceuticals, Inc.<sup>(a)</sup> | 13898 | 66849 |
|  Axsome Therapeutics, Inc.<sup>(a)</sup> | 1329 | 102506 |
|  Bayer AG, Registered Shares | 3515 | 180917 |
|  Bristol-Myers Squibb Co. | 15615 | 1123499 |
|  Cara Therapeutics, Inc.<sup>(a)</sup> | 2169 | 23295 |
|  Cassava Sciences, Inc.<sup>(a)(b)</sup> | 1592 | 47028 |
|  Catalent, Inc.<sup>(a)</sup> | 1253 | 56398 |
|  China Medical System Holdings Ltd. | 42000 | 65721 |
|  China Resources Pharmaceutical Group<br>Ltd.<sup>(c)</sup> | 302000 | 243585 |
|  Chugai Pharmaceutical Co. Ltd. | 3100 | 79071 |
|  Collegium Pharmaceutical, Inc.<sup>(a)</sup> | 3969 | 92081 |
|  Corcept Therapeutics, Inc.<sup>(a)</sup> | 18198 | 369601 |
|  CSPC Pharmaceutical Group Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;283520 | 295165 |
|  Daiichi Sankyo Co. Ltd. | 6200 | 199557 |
|  DICE Therapeutics, Inc.<sup>(a)(b)</sup> | 1507 | 47018 |
|  Dr Reddy's Laboratories Ltd. | 3187 | 162996 |
|  Dr Reddy's Laboratories Ltd., ADR | 2085 | 107899 |
|  Eisai Co. Ltd. | 900 | 59357 |
|  Elanco Animal Health, Inc.<sup>(a)</sup> | 2380 | 29084 |
|  Eli Lilly & Co. | 9969 | 3647059 |
|  Endo International PLC<sup>(a)</sup> | 21487 | 1521 |
|  Esperion Therapeutics, Inc.<sup>(a)</sup> | 13528 | 84279 |
|  Flexion Therapeutics<sup>(d)</sup> | 3275 | 2031 |
|  Glenmark Pharmaceuticals Ltd. | 37866 | 193922 |
|  GSK PLC | 14205 | 245508 |
|  Hanmi Pharm Co. Ltd. | 493 | 116762 |
|  Harmony Biosciences Holdings, Inc.<sup>(a)</sup> | 4161 | 229271 |
|  Hikma Pharmaceuticals PLC | 1233 | 22978 |
|  Intra-Cellular Therapies, Inc.<sup>(a)</sup> | 8322 | 440400 |
|  Ipsen SA | 263 | 28288 |
|  Jazz Pharmaceuticals PLC<sup>(a)</sup> | 461 | 73442 |
|  Johnson & Johnson | 19824 | 3501910 |
|  Kyowa Kirin Co. Ltd. | 1300 | 29775 |
|  Lannett Co., Inc.<sup>(a)(b)</sup> | 9376 | 4883 |
|  Ligand Pharmaceuticals, Inc.<sup>(a)</sup> | 1908 | 127454 |
|  Mega Lifesciences PCL, NVDR | 189700 | 255933 |
|  Merck & Co., Inc. | 17650 | 1958267 |
|  Merck KGaA | 643 | 124061 |
|  Mind Medicine MindMed, Inc.<sup>(a)</sup> | 1005 | 2211 |
|  Nektar Therapeutics<sup>(a)</sup> | 37541 | 84843 |
|  NGM Biopharmaceuticals, Inc.<sup>(a)</sup> | 11888 | 59678 |
|  Nippon Shinyaku Co. Ltd. | 400 | 22700 |
|  Novartis AG, Registered Shares | 6510 | 589138 |
|  Novo Nordisk A/S, Class B | 4499 | 611034 |
|  Nuvation Bio, Inc.<sup>(a)</sup> | 14412 | 27671 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** |
|  Ono Pharmaceutical Co. Ltd. | 1600 | $37398 |
|  Oramed Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 2439 | 29341 |
|  Organon & Co. | 832 | 23238 |
|  Orion OYJ, Class B | 482 | 26425 |
|  Otsuka Holdings Co. Ltd. | 1800 | 58703 |
|  Perrigo Co. PLC | 440 | 15000 |
|  Pfizer, Inc. | 45996 | 2356835 |
|  Phathom Pharmaceuticals, Inc.<sup>(a)</sup> | 1525 | 17110 |
|  Phibro Animal Health Corp., Class A | 6136 | 82284 |
|  Pliant Therapeutics, Inc.<sup>(a)(b)</sup> | 3262 | 63054 |
|  Porton Pharma Solutions Ltd., Class A | 20900 | 123113 |
|  Prestige Consumer Healthcare, Inc.<sup>(a)</sup> | 13295 | 832267 |
|  Reata Pharmaceuticals, Inc., Class A<sup>(a)(b)</sup> | 4018 | 152644 |
|  Revance Therapeutics, Inc.<sup>(a)(b)</sup> | 11106 | 205017 |
|  Roche Holding AG | 2130 | 674014 |
|  Royalty Pharma PLC, Class A | 1745 | 68962 |
|  Sanofi | 3836 | 369892 |
|  Shionogi & Co. Ltd. | 1000 | 49893 |
|  Sino Biopharmaceutical Ltd. | 94000 | 54738 |
|  Sun Pharmaceutical Industries Ltd. | 34967 | 422856 |
|  Supernus Pharmaceuticals, Inc.<sup>(a)</sup> | 12690 | 452652 |
|  Takeda Pharmaceutical Co. Ltd. | 5900 | 184355 |
|  TherapeuticsMD, Inc.<sup>(a)</sup> | 745 | 4165 |
|  Theravance Biopharma, Inc.<sup>(a)</sup> | 4402 | 49390 |
|  Ventyx Biosciences, Inc.<sup>(a)</sup> | 1264 | 41447 |
|  Viatris, Inc. | 6943 | 77276 |
|  Xeris Biopharma Holdings, Inc.<sup>(a)</sup> | 14566 | 19373 |
|  Zoetis, Inc. | 2247 | 329298 |
|  Zydus Lifesciences Ltd. | 29005 | 146969 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24567000 |
| **Professional Services — 0.7%** |  |  |
|  ASGN, Inc.<sup>(a)</sup> | 6218 | 506643 |
|  Booz Allen Hamilton Holding Corp., Class A | 241 | 25189 |
|  Bureau Veritas SA | 1063 | 28014 |
|  CACI International, Inc., Class A<sup>(a)</sup> | 78 | 23446 |
|  CBIZ, Inc.<sup>(a)</sup> | 1424 | 66714 |
|  CoStar Group, Inc.<sup>(a)</sup> | 1930 | 149151 |
|  Dun & Bradstreet Holdings, Inc. | 549 | 6731 |
|  Equifax, Inc. | 207 | 40233 |
|  Exponent, Inc. | 4221 | 418259 |
|  First Advantage Corp.<sup>(a)</sup> | 10686 | 138918 |
|  Franklin Covey Co.<sup>(a)</sup> | 3729 | 174405 |
|  FTI Consulting, Inc.<sup>(a)</sup> | 111 | 17627 |
|  Heidrick & Struggles International, Inc. | 5963 | 166785 |
|  Insperity, Inc. | 13422 | 1524739 |
|  KBR, Inc.<sup>(b)</sup> | 6969 | 367963 |
|  Kelly Services, Inc., Class A | 7504 | 126818 |
|  Kforce, Inc. | 6583 | 360946 |
|  Korn Ferry | 3640 | 184257 |
|  L&T Technology Services Ltd.<sup>(c)</sup> | 7563 | 336323 |
|  ManpowerGroup, Inc. | 630 | 52422 |
|  Mistras Group, Inc.<sup>(a)</sup> | 5359 | 26420 |
|  Nihon M&A Center Holdings, Inc. | 2300 | 28301 |
|  Recruit Holdings Co. Ltd. | 3200 | 100166 |
|  RELX PLC | 3459 | 95635 |
|  Science Applications International Corp. | 183 | 20300 |
|  SGS SA, Registered Shares | 15 | 34940 |
|  Teleperformance | 169 | 40402 |
|  TransUnion | 544 | 30872 |
|  TriNet Group, Inc.<sup>(a)(b)</sup> | 8111 | 549926 |
|  TrueBlue, Inc.<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6361 | 124548 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 21

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Professional Services (continued)** | **Professional Services (continued)** | **Professional Services (continued)** | **Professional Services (continued)** |
|  Upwork, Inc.<sup>(a)</sup> | 5309 | $| 55426 |
|  Verisk Analytics, Inc. | 309 |  | 54514 |
|  |  |  | 5877033 |
| **Real Estate Management & Development — 0.6%** | **Real Estate Management & Development — 0.6%** | **Real Estate Management & Development — 0.6%** | **Real Estate Management & Development — 0.6%** |
|  Aldar Properties PJSC | 104588 |  | 125671 |
|  Altisource Portfolio Solutions SA<sup>(a)</sup> | 3960 |  | 37462 |
|  Anywhere Real Estate, Inc.<sup>(a)</sup> | 16376 |  | 104643 |
|  CBRE Group, Inc., Class A<sup>(a)</sup> | 1083 |  | 83348 |
|  Central Pattana PCL, NVDR | 68700 |  | 140635 |
|  China Overseas Land & Investment Ltd. | 80000 |  | 209350 |
|  China Resources Land Ltd. | 52000 |  | 236567 |
|  China Vanke Co. Ltd., Class H | 95100 |  | 191317 |
|  CK Asset Holdings Ltd. | 10500 |  | 64398 |
|  Compass, Inc., Class A<sup>(a)</sup> | 19884 |  | 46330 |
|  Country Garden Holdings Co. Ltd. | 214000 |  | 72085 |
|  Country Garden Services Holdings Co. Ltd. | 51000 |  | 125110 |
|  Cushman & Wakefield PLC<sup>(a)(b)</sup> | 3704 |  | 46152 |
|  Daito Trust Construction Co. Ltd. | 500 |  | 51191 |
|  Daiwa House Industry Co. Ltd. | 3000 |  | 69109 |
|  DigitalBridge Group, Inc.<sup>(b)</sup> | 17542 |  | 191909 |
|  Emaar Properties PJSC | 118183 |  | 188021 |
|  eXp World Holdings, Inc.<sup>(b)</sup> | 6544 |  | 72507 |
|  Howard Hughes Corp.<sup>(a)(b)</sup> | 123 |  | 9400 |
|  Jones Lang LaSalle, Inc.<sup>(a)</sup> | 157 |  | 25021 |
|  KE Holdings, Inc., ADR<sup>(a)</sup> | 19986 |  | 279004 |
|  Kennedy-Wilson Holdings, Inc.<sup>(b)</sup> | 21361 |  | 336008 |
|  Longfor Group Holdings Ltd.<sup>(c)</sup> | 39000 |  | 120009 |
|  Marcus & Millichap, Inc. | 9963 |  | 343225 |
|  Mitsubishi Estate Co. Ltd. | 4800 |  | 62177 |
|  Mitsui Fudosan Co. Ltd. | 3000 |  | 54831 |
|  Newmark Group, Inc., Class A | 7904 |  | 62995 |
|  Opendoor Technologies, Inc.<sup>(a)(b)</sup> | 1507 |  | 1748 |
|  Redfin Corp.<sup>(a)</sup> | 4936 |  | 20929 |
|  RMR Group, Inc., Class A | 9284 |  | 262273 |
|  SM Prime Holdings, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;344300 |  | 219667 |
|  Sun Hung Kai Properties Ltd. | 7000 |  | 95615 |
|  Sunac China Holdings Ltd.<sup>(a)(d)</sup> | 245000 |  | 49933 |
|  Supalai PCL, NVDR | 777400 |  | 545386 |
|  Swire Pacific Ltd., Class A | 2500 |  | 21915 |
|  Swire Properties Ltd. | 14800 |  | 37487 |
|  Vonovia SE | 1876 |  | 44192 |
|  Wharf Real Estate Investment Co. Ltd. | 5000 |  | 29121 |
|  Zillow Group, Inc., Class A<sup>(a)</sup> | 191 |  | 5961 |
|  Zillow Group, Inc., Class C<sup>(a)</sup> | 655 |  | 21097 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4703799 |
| **Road & Rail — 0.5%** |  |  |  |
|  ArcBest Corp. | 3149 |  | 220556 |
|  Aurizon Holdings Ltd. | 38582 |  | 97745 |
|  Avis Budget Group, Inc.<sup>(a)</sup> | 100 |  | 16393 |
|  Central Japan Railway Co. | 500 |  | 61390 |
|  Covenant Logistics Group, Inc.<sup>(b)</sup> | 6164 |  | 213089 |
|  CSX Corp. | 31165 |  | 965492 |
|  Daqin Railway Co. Ltd., Class A | 123300 |  | 118990 |
|  East Japan Railway Co. | 900 |  | 51262 |
|  Hankyu Hanshin Holdings, Inc. | 900 |  | 26665 |
|  Hertz Global Holdings, Inc.<sup>(a)</sup> | 798 |  | 12281 |
|  Keisei Electric Railway Co. Ltd. | 600 |  | 17047 |
|  Landstar System, Inc.<sup>(b)</sup> | 128 |  | 20851 |
|  Lyft, Inc., Class A<sup>(a)</sup> | 7252 |  | 79917 |
|  Marten Transport Ltd. | 8369 |  | 165539 |
|  Norfolk Southern Corp. | 256 |  | 63084 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Road & Rail (continued)** | **Road & Rail (continued)** | **Road & Rail (continued)** | **Road & Rail (continued)** |
|  Old Dominion Freight Line, Inc. | 87 | $| 24689 |
|  RXO, Inc.<sup>(a)</sup> | 332 |  | 5710 |
|  Ryder System, Inc. | 549 |  | 45880 |
|  Saia, Inc.<sup>(a)(b)</sup> | 2073 |  | 434667 |
|  Schneider National, Inc., Class B | 1511 |  | 35357 |
|  Tokyu Corp. | 1800 |  | 22669 |
|  TuSimple Holdings, Inc., Class A<sup>(a)</sup> | 5992 |  | 9827 |
|  Uber Technologies, Inc.<sup>(a)</sup> | 17692 |  | 437523 |
|  Union Pacific Corp. | 2351 |  | 486822 |
|  Werner Enterprises, Inc.<sup>(b)</sup> | 1738 |  | 69972 |
|  West Japan Railway Co. | 1000 |  | 43419 |
|  XPO Logistics, Inc.<sup>(a)(b)</sup> | 332 |  | 11052 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3757888 |
| **Semiconductors & Semiconductor Equipment — 4.5%** | **Semiconductors & Semiconductor Equipment — 4.5%** | **Semiconductors & Semiconductor Equipment — 4.5%** | **Semiconductors & Semiconductor Equipment — 4.5%** |
|  ACM Research, Inc., Class A<sup>(a)</sup> | 2634 |  | 20308 |
|  Advanced Micro Devices, Inc.<sup>(a)</sup> | 5603 |  | 362906 |
|  Advantest Corp. | 2000 |  | 128097 |
|  Allegro MicroSystems, Inc.<sup>(a)</sup> | 138 |  | 4143 |
|  Ambarella, Inc.<sup>(a)</sup> | 2492 |  | 204917 |
|  Amkor Technology, Inc. | 21019 |  | 504036 |
|  Analog Devices, Inc. | 14655 |  | 2403860 |
|  Applied Materials, Inc. | 5399 |  | 525755 |
|  ASE Technology Holding Co. Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;230000 |  | 698827 |
|  ASM International NV | 195 |  | 49478 |
|  ASML Holding NV | 1170 |  | 637944 |
|  Axcelis Technologies, Inc.<sup>(a)</sup> | 5853 |  | 464494 |
|  Broadcom, Inc. | 1066 |  | 596033 |
|  Cirrus Logic, Inc.<sup>(a)</sup> | 183 |  | 13630 |
|  Diodes, Inc.<sup>(a)</sup> | 781 |  | 59465 |
|  Disco Corp. | 100 |  | 28502 |
|  Elan Microelectronics Corp. | 66000 |  | 183996 |
|  Enphase Energy, Inc.<sup>(a)</sup> | 1980 |  | 524621 |
|  Entegris, Inc. | 3549 |  | 232779 |
|  First Solar, Inc.<sup>(a)</sup> | 348 |  | 52127 |
|  FormFactor, Inc.<sup>(a)</sup> | 2883 |  | 64089 |
|  Formosa Sumco Technology Corp. | 19000 |  | 83695 |
|  Global Foundries, Inc.<sup>(a)(b)</sup> | 180 |  | 9700 |
|  Global Unichip Corp. | 5000 |  | 103388 |
|  Impinj, Inc.<sup>(a)</sup> | 1432 |  | 156346 |
|  Infineon Technologies AG | 8320 |  | 252860 |
|  Intel Corp. | 54875 |  | 1450346 |
|  JA Solar Technology Co. Ltd., Class A | 8800 |  | 76150 |
|  KLA Corp. | 1470 |  | 554234 |
|  Lam Research Corp.<sup>(b)</sup> | 2793 |  | 1173898 |
|  Lattice Semiconductor Corp.<sup>(a)</sup> | 8254 |  | 535519 |
|  LONGi Green Energy Technology Co. Ltd., Class A | 95900 |  | 583312 |
|  Marvell Technology, Inc. | 2497 |  | 92489 |
|  MaxLinear, Inc.<sup>(a)</sup> | 8808 |  | 299032 |
|  MediaTek, Inc. | 63000 |  | 1273792 |
|  Microchip Technology, Inc. | 990 |  | 69547 |
|  Micron Technology, Inc. | 2488 |  | 124350 |
|  MKS Instruments, Inc. | 190 |  | 16099 |
|  NAURA Technology Group Co. Ltd., Class A | 1700 |  | 55260 |
|  NVIDIA Corp. | 17295 |  | 2527491 |
|  NXP Semiconductors NV | 1508 |  | 238309 |
|  ON Semiconductor Corp.<sup>(a)</sup> | 627 |  | 39106 |
|  Onto Innovation, Inc.<sup>(a)</sup> | 2425 |  | 165118 |
|  Photronics, Inc.<sup>(a)</sup> | 10818 |  | 182067 |
|  Power Integrations, Inc. | 6090 |  | 436775 |
|  Qualcomm, Inc. | 7662 |  | 842360 |
|  Rambus, Inc.<sup>(a)</sup> | 7250 |  | 259695 |
|  Realtek Semiconductor Corp. | 20000 |  | 181880 |

---

22 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Semiconductors & Semiconductor Equipment (continued)** | **Semiconductors & Semiconductor Equipment (continued)** | **Semiconductors & Semiconductor Equipment (continued)** |
|  Renesas Electronics Corp.<sup>(a)</sup> | 12100 | $106943 |
|  Rohm Co. Ltd. | 1300 | 93196 |
|  Semtech Corp.<sup>(a)</sup> | 21797 | 625356 |
|  Silicon Laboratories, Inc.<sup>(a)(b)</sup> | 7873 | 1068130 |
|  Sino-American Silicon Products, Inc. | 71000 | 321269 |
|  Skyworks Solutions, Inc. | 703 | 64064 |
|  SolarEdge Technologies, Inc.<sup>(a)</sup> | 343 | 97162 |
|  StarPower Semiconductor Ltd., Class A | 1200 | 57019 |
|  STMicroelectronics NV | 3334 | 118477 |
|  Synaptics, Inc.<sup>(a)(b)</sup> | 6019 | 572768 |
|  Taiwan Semiconductor Manufacturing Co. Ltd. | 712000 | 10340703 |
|  Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 12742 | 949152 |
|  Texas Instruments, Inc. | 3213 | 530852 |
|  Tokyo Electron Ltd. | 500 | 146914 |
|  Ultra Clean Holdings, Inc.<sup>(a)</sup> | 2587 | 85759 |
|  United Microelectronics Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;349000 | 458546 |
|  United Microelectronics Corp., ADR<sup>(b)</sup> | 28685 | 187313 |
|  Universal Display Corp. | 143 | 15450 |
|  Veeco Instruments, Inc.<sup>(a)(b)</sup> | 7741 | 143828 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35525726 |
| **Software — 4.9%** |  |  |
|  8x8, Inc.<sup>(a)(b)</sup> | 22602 | 97641 |
|  A10 Networks, Inc. | 1368 | 22750 |
|  ACI Worldwide, Inc.<sup>(a)</sup> | 25504 | 586592 |
|  Adobe, Inc.<sup>(a)</sup> | 5680 | 1911490 |
|  Agilysys, Inc.<sup>(a)</sup> | 1771 | 140157 |
|  Alarm.com Holdings, Inc.<sup>(a)</sup> | 2940 | 145471 |
|  Alteryx, Inc., Class A<sup>(a)</sup> | 1092 | 55332 |
|  ANSYS, Inc.<sup>(a)</sup> | 1292 | 312134 |
|  Appfolio, Inc., Class A<sup>(a)</sup> | 3231 | 340483 |
|  Appian Corp., Class A<sup>(a)</sup> | 4672 | 152120 |
|  Asana, Inc., Class A<sup>(a)(b)</sup> | 11038 | 151993 |
|  Atlassian Corp., Class A<sup>(a)(b)</sup> | 480 | 61766 |
|  Autodesk, Inc.<sup>(a)</sup> | 2362 | 441387 |
|  AVEVA Group PLC | 621 | 24037 |
|  Bentley Systems, Inc., Class B | 421 | 15560 |
|  Bill.com Holdings, Inc.<sup>(a)</sup> | 2425 | 264228 |
|  Black Knight, Inc.<sup>(a)</sup> | 598 | 36927 |
|  Blackline, Inc.<sup>(a)(b)</sup> | 5470 | 367967 |
|  Blend Labs, Inc., Class A<sup>(a)(b)</sup> | 21468 | 30914 |
|  Box, Inc., Class A<sup>(a)</sup> | 23107 | 719321 |
|  C3.ai, Inc., Class A<sup>(a)(b)</sup> | 10443 | 116857 |
|  Cadence Design Systems, Inc.<sup>(a)</sup> | 1745 | 280317 |
|  Cerence, Inc.<sup>(a)</sup> | 3243 | 60093 |
|  Clear Secure, Inc., Class A<sup>(b)</sup> | 5087 | 139536 |
|  CommVault Systems, Inc.<sup>(a)</sup> | 2626 | 165018 |
|  Confluent, Inc., Class A<sup>(a)(b)</sup> | 407 | 9052 |
|  Couchbase, Inc.<sup>(a)</sup> | 2408 | 31930 |
|  Crowdstrike Holdings, Inc., Class A<sup>(a)</sup> | 1520 | 160041 |
|  Dassault Systemes SE | 2619 | 94178 |
|  Datadog, Inc., Class A<sup>(a)</sup> | 903 | 66371 |
|  Digital Turbine, Inc.<sup>(a)</sup> | 9336 | 142281 |
|  DocuSign, Inc.<sup>(a)</sup> | 4494 | 249057 |
|  Dolby Laboratories, Inc., Class A | 200 | 14108 |
|  Domo, Inc., Class B<sup>(a)</sup> | 8379 | 119317 |
|  DoubleVerify Holdings, Inc.<sup>(a)(b)</sup> | 200 | 4392 |
|  Duck Creek Technologies, Inc.<sup>(a)</sup> | 7448 | 89748 |
|  Dynatrace, Inc.<sup>(a)</sup> | 523 | 20031 |
|  Elastic NV<sup>(a)</sup> | 254 | 13081 |
|  EngageSmart, Inc.<sup>(a)</sup> | 15818 | 278397 |
|  Everbridge, Inc.<sup>(a)</sup> | 3344 | 98916 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Software (continued)** | **Software (continued)** | **Software (continued)** |
|  Fair Isaac Corp.<sup>(a)</sup> | 96 | $57464 |
|  Five9, Inc.<sup>(a)</sup> | 231 | 15676 |
|  Fortinet, Inc.<sup>(a)</sup> | 5779 | 282535 |
|  HubSpot, Inc.<sup>(a)</sup> | 1026 | 296647 |
|  Informatica, Inc., Class A<sup>(a)(b)</sup> | 115 | 1873 |
|  Intuit, Inc. | 3122 | 1215145 |
|  Jamf Holding Corp.<sup>(a)(b)</sup> | 184 | 3919 |
|  Kingdee International Software Group Co.<br>Ltd.<sup>(a)</sup> | 34000 | 72151 |
|  KnowBe4, Inc., Class A<sup>(a)</sup> | 5677 | 140676 |
|  Latch, Inc.<sup>(a)</sup> | 21975 | 15600 |
|  LivePerson, Inc.<sup>(a)</sup> | 22441 | 227552 |
|  LiveRamp Holdings, Inc.<sup>(a)</sup> | 10500 | 246120 |
|  Manhattan Associates, Inc.<sup>(a)</sup> | 1836 | 222890 |
|  Marin Software, Inc.<sup>(a)</sup> | 1610 | 1610 |
|  Matterport, Inc.<sup>(a)</sup> | 27850 | 77980 |
|  Microsoft Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15976089 |
|  MicroStrategy, Inc., Class A<sup>(a)</sup> | 191 | 27040 |
|  Model N, Inc.<sup>(a)</sup> | 10947 | 444010 |
|  Momentive Global, Inc.<sup>(a)</sup> | 21654 | 151578 |
|  Monday.com Ltd.<sup>(a)(b)</sup> | 188 | 22936 |
|  nCino, Inc.<sup>(a)</sup> | 192 | 5076 |
|  NCR Corp.<sup>(a)</sup> | 425 | 9949 |
|  New Relic, Inc.<sup>(a)</sup> | 176 | 9935 |
|  Nutanix, Inc., Class A<sup>(a)</sup> | 715 | 18626 |
|  Oracle Corp.<sup>(b)</sup> | 4652 | 380255 |
|  Oracle Corp. Japan | 1300 | 84528 |
|  PagerDuty, Inc.<sup>(a)</sup> | 17721 | 470670 |
|  Palantir Technologies, Inc., Class A<sup>(a)</sup> | 2857 | 18342 |
|  Palo Alto Networks, Inc.<sup>(a)</sup> | 1960 | 273498 |
|  Paycom Software, Inc.<sup>(a)</sup> | 791 | 245455 |
|  Paycor HCM, Inc.<sup>(a)(b)</sup> | 155 | 3793 |
|  Paylocity Holding Corp.<sup>(a)</sup> | 1301 | 252732 |
|  Pegasystems, Inc. | 136 | 4657 |
|  PowerSchool Holdings, Inc., Class A<sup>(a)</sup> | 3681 | 84957 |
|  Procore Technologies, Inc.<sup>(a)</sup> | 204 | 9625 |
|  Progress Software Corp. | 4250 | 214413 |
|  PROS Holdings, Inc.<sup>(a)</sup> | 6539 | 158636 |
|  PTC, Inc.<sup>(a)</sup> | 190 | 22808 |
|  Q2 Holdings, Inc.<sup>(a)</sup> | 11103 | 298338 |
|  Qualys, Inc.<sup>(a)(b)</sup> | 2719 | 305153 |
|  Rapid7, Inc.<sup>(a)</sup> | 14824 | 503720 |
|  RingCentral, Inc., Class A<sup>(a)</sup> | 4766 | 168716 |
|  Roper Technologies, Inc. | 394 | 170243 |
|  Sage Group PLC | 11887 | 107039 |
|  Salesforce, Inc.<sup>(a)</sup> | 13582 | 1800837 |
|  SAP SE | 3559 | 367434 |
|  Sapiens International Corp. NV | 2080 | 38438 |
|  SentinelOne, Inc., Class A<sup>(a)</sup> | 587 | 8564 |
|  ServiceNow, Inc.<sup>(a)</sup> | 2563 | 995136 |
|  Smartsheet, Inc., Class A<sup>(a)(b)</sup> | 411 | 16177 |
|  Splunk, Inc.<sup>(a)</sup> | 519 | 44681 |
|  Sprout Social, Inc., Class A<sup>(a)</sup> | 5082 | 286930 |
|  SPS Commerce, Inc.<sup>(a)</sup> | 2965 | 380795 |
|  Sumo Logic, Inc.<sup>(a)</sup> | 25403 | 205764 |
|  Synchronoss Technologies, Inc.<sup>(a)</sup> | 11580 | 7158 |
|  Synopsys, Inc.<sup>(a)</sup> | 464 | 148151 |
|  Tenable Holdings, Inc.<sup>(a)</sup> | 13940 | 531811 |
|  Teradata Corp.<sup>(a)</sup> | 335 | 11276 |
|  Trend Micro, Inc.<sup>(a)</sup> | 400 | 18707 |
|  Tyler Technologies, Inc.<sup>(a)</sup> | 295 | 95111 |
|  UiPath, Inc., Class A<sup>(a)</sup> | 1278 | 16243 |
|  Upland Software, Inc.<sup>(a)</sup> | 8112 | 57839 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 23

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Software (continued)** | **Software (continued)** | **Software (continued)** |
|  Varonis Systems, Inc.<sup>(a)</sup> | 19157 | $458619 |
|  Verint Systems, Inc.<sup>(a)</sup> | 10070 | 365340 |
|  Viant Technology, Inc., Class A<sup>(a)</sup> | 1855 | 7457 |
|  VMware, Inc., Class A<sup>(a)</sup> | 1517 | 186227 |
|  WiseTech Global Ltd. | 1271 | 43713 |
|  Workday, Inc., Class A<sup>(a)</sup> | 3771 | 631001 |
|  Workiva, Inc.<sup>(a)</sup> | 3722 | 312536 |
|  Xero Ltd.<sup>(a)</sup> | 603 | 28753 |
|  Yext, Inc.<sup>(a)</sup> | 29345 | 191623 |
|  Zeta Global Holdings Corp., Class A<sup>(a)(b)</sup> | 8813 | 72002 |
|  Zoom Video Communications, Inc., Class A<sup>(a)</sup> | 863 | 58460 |
|  Zscaler, Inc.<sup>(a)(b)</sup> | 1247 | 139539 |
|  Zuora, Inc., Class A<sup>(a)</sup> | 33373 | 212252 |
|  |  | 39090220 |
| **Specialty Retail — 2.3%** |  |  |
|  Aaron's Co., Inc.<sup>(b)</sup> | 8559 | 102280 |
|  Abercrombie & Fitch Co., Class A<sup>(a)</sup> | 2353 | 53907 |
|  Abu Dhabi National Oil Co. for Distribution PJSC | 59088 | 70840 |
|  Academy Sports & Outdoors, Inc. | 4936 | 259337 |
|  Advance Auto Parts, Inc. | 1017 | 149530 |
|  American Eagle Outfitters, Inc.<sup>(b)</sup> | 35999 | 502546 |
|  Asbury Automotive Group, Inc.<sup>(a)</sup> | 888 | 159174 |
|  AutoNation, Inc.<sup>(a)</sup> | 676 | 72535 |
|  AutoZone, Inc.<sup>(a)</sup> | 273 | 673267 |
|  Best Buy Co., Inc. | 6310 | 506125 |
|  Boot Barn Holdings, Inc.<sup>(a)</sup> | 3033 | 189623 |
|  Burlington Stores, Inc.<sup>(a)</sup> | 1684 | 341448 |
|  CarMax, Inc.<sup>(a)</sup> | 2186 | 133106 |
|  Carvana Co.<sup>(a)(b)</sup> | 342 | 1621 |
|  Chico's FAS, Inc.<sup>(a)</sup> | 30212 | 148643 |
|  China Meidong Auto Holdings Ltd. | 40000 | 81686 |
|  China Yongda Automobiles Services Holdings Ltd. | 306000 | 226366 |
|  Conn's, Inc.<sup>(a)(b)</sup> | 6033 | 41507 |
|  Dick's Sporting Goods, Inc. | 732 | 88052 |
|  Fast Retailing Co. Ltd. | 200 | 121707 |
|  Five Below, Inc.<sup>(a)</sup> | 179 | 31660 |
|  Floor & Decor Holdings, Inc., Class A<sup>(a)(b)</sup> | 338 | 23535 |
|  Foot Locker, Inc. | 15140 | 572141 |
|  GameStop Corp., Class A<sup>(a)(b)</sup> | 879 | 16226 |
|  Gap, Inc.<sup>(b)</sup> | 648 | 7309 |
|  Group 1 Automotive, Inc.<sup>(b)</sup> | 3059 | 551752 |
|  H & M Hennes & Mauritz AB, B Shares | 3867 | 41672 |
|  Haverty Furniture Cos., Inc.<sup>(b)</sup> | 4799 | 143490 |
|  Home Depot, Inc.<sup>(b)</sup> | 13819 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4364869 |
|  Home Product Center PCL, NVDR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;825400 | 369019 |
|  Industria de Diseno Textil SA | 2401 | 63773 |
|  JD Sports Fashion PLC | 21232 | 32265 |
|  Kingfisher PLC | 20227 | 57469 |
|  Leslie's, Inc.<sup>(a)</sup> | 519 | 6337 |
|  Lithia Motors, Inc.<sup>(b)</sup> | 91 | 18631 |
|  Lowe's Cos., Inc | 10755 | 2142826 |
|  MarineMax, Inc.<sup>(a)</sup> | 5712 | 178329 |
|  Monro, Inc.<sup>(b)</sup> | 3273 | 147940 |
|  Murphy USA, Inc. | 3099 | 866295 |
|  National Vision Holdings, Inc.<sup>(a)(b)</sup> | 4762 | 184575 |
|  Nitori Holdings Co. Ltd. | 600 | 78398 |
|  ODP Corp.<sup>(a)</sup> | 5270 | 239996 |
|  O'Reilly Automotive, Inc.<sup>(a)</sup> | 559 | 471813 |
|  Penske Automotive Group, Inc.<sup>(b)</sup> | 106 | 12183 |
|  Petco Health & Wellness Co., Inc.<sup>(a)</sup> | 190 | 1801 |
|  Rent-A-Center, Inc., Class A<sup>(b)</sup> | 1286 | 28999 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Specialty Retail (continued)** | **Specialty Retail (continued)** | **Specialty Retail (continued)** |
|  RH<sup>(a)</sup> | 60 | $16031 |
|  Ross Stores, Inc. | 5809 | 674251 |
|  Shift Technologies, Inc.<sup>(a)</sup> | 3044 | 453 |
|  Shoe Carnival, Inc.<sup>(b)</sup> | 3420 | 81772 |
|  Signet Jewelers Ltd.<sup>(b)</sup> | 8873 | 603364 |
|  Sonic Automotive, Inc., Class A<sup>(b)</sup> | 2908 | 143277 |
|  TJX Cos., Inc. | 13545 | 1078182 |
|  Topsports International Holdings Ltd.<sup>(c)</sup> | 126000 | 99273 |
|  Truworths International Ltd. | 79923 | 257933 |
|  Ulta Beauty, Inc.<sup>(a)</sup> | 764 | 358370 |
|  USS Co. Ltd. | 1300 | 20627 |
|  Via SA<sup>(a)</sup> | 400935 | 182288 |
|  Victoria's Secret & Co.<sup>(a)</sup> | 256 | 9160 |
|  Warby Parker, Inc., Class A<sup>(a)</sup> | 4321 | 58290 |
|  Williams-Sonoma, Inc.<sup>(b)</sup> | 224 | 25742 |
|  |  | 18185616 |
| **Technology Hardware, Storage & Peripherals — 3.1%** |  |  |
|  Apple, Inc. | 121161 | 15742449 |
|  Canon, Inc.<sup>(b)</sup> | 1800 | 38959 |
|  Chicony Electronics Co. Ltd. | 82000 | 229652 |
|  Dell Technologies, Inc., Class C | 4837 | 194544 |
|  FUJIFILM Holdings Corp. | 2600 | 130004 |
|  Hewlett Packard Enterprise Co. | 49076 | 783253 |
|  HP, Inc. | 9713 | 260988 |
|  Lenovo Group Ltd. | 314000 | 255752 |
|  Logitech International SA, Registered Shares<sup>(b)</sup> | 1139 | 70629 |
|  Pure Storage, Inc., Class A<sup>(a)</sup> | 920 | 24619 |
|  Samsung Electronics Co. Ltd. | 134581 | 5907197 |
|  Super Micro Computer, Inc.<sup>(a)</sup> | 5703 | 468216 |
|  Wistron Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;308000 | 294158 |
|  Xerox Holdings Corp.<sup>(b)</sup> | 16023 | 233936 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24634356 |
| **Textiles, Apparel & Luxury Goods — 1.1%** |  |  |
|  Adidas AG | 159 | 21549 |
|  ANTA Sports Products Ltd. | 44400 | 577500 |
|  Bosideng International Holdings Ltd. | 266000 | 126050 |
|  Capri Holdings Ltd.<sup>(a)</sup> | 441 | 25278 |
|  Carter's, Inc.<sup>(b)</sup> | 128 | 9550 |
|  Cie Financiere Richemont SA, Registered Shares, Class A | 1384 | 179449 |
|  Columbia Sportswear Co.<sup>(b)</sup> | 121 | 10597 |
|  Crocs, Inc.<sup>(a)</sup> | 5247 | 568932 |
|  Culp, Inc. | 3408 | 15643 |
|  Deckers Outdoor Corp.<sup>(a)</sup> | 622 | 248277 |
|  Feng TAY Enterprise Co. Ltd. | 24000 | 160788 |
|  G-III Apparel Group Ltd.<sup>(a)</sup> | 7827 | 107308 |
|  Hanesbrands, Inc.<sup>(b)</sup> | 1189 | 7562 |
|  Hansae Co. Ltd. | 17429 | 214005 |
|  Hermes International | 62 | 95967 |
|  Kering SA | 114 | 58018 |
|  Li Ning Co. Ltd. | 27000 | 232173 |
|  Lululemon Athletica, Inc.<sup>(a)</sup> | 3670 | 1175794 |
|  LVMH Moet Hennessy Louis Vuitton SE | 719 | 523211 |
|  Makalot Industrial Co. Ltd. | 100000 | 756270 |
|  NIKE, Inc., Class B | 14177 | 1658851 |
|  Oxford Industries, Inc.<sup>(b)</sup> | 3507 | 326782 |
|  Pou Chen Corp. | 160000 | 177839 |
|  PVH Corp. | 225 | 15883 |
|  Ralph Lauren Corp.<sup>(b)</sup> | 2304 | 243464 |
|  Shenzhou International Group Holdings Ltd. | 27400 | 305560 |
|  Skechers USA, Inc., Class A<sup>(a)</sup> | 447 | 18752 |

---

24 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Textiles, Apparel & Luxury Goods (continued)** | **Textiles, Apparel & Luxury Goods (continued)** | **Textiles, Apparel & Luxury Goods (continued)** |
|  Steven Madden Ltd. | 9452 | $302086 |
|  Tapestry, Inc.<sup>(b)</sup> | 825 | 31416 |
|  Under Armour, Inc., Class A<sup>(a)</sup> | 617 | 6269 |
|  Under Armour, Inc., Class C<sup>(a)</sup> | 655 | 5843 |
|  VF Corp.<sup>(b)</sup> | 7270 | 200725 |
|  |  | 8407391 |
| **Thrifts & Mortgage Finance — 0.5%** |  |  |
|  Axos Financial, Inc.<sup>(a)</sup> | 4529 | 173099 |
|  Essent Group Ltd. | 41231 | 1603061 |
|  Federal Agricultural Mortgage Corp., Class C | 4861 | 547883 |
|  FS Bancorp, Inc. | 3121 | 104366 |
|  Merchants Bancorp | 8869 | 215694 |
|  MGIC Investment Corp. | 1007 | 13091 |
|  Mr. Cooper Group, Inc.<sup>(a)</sup> | 4220 | 169349 |
|  New York Community Bancorp, Inc.<sup>(b)</sup> | 1546 | 13296 |
|  NMI Holdings, Inc., Class A<sup>(a)</sup> | 20040 | 418836 |
|  OP Bancorp | 8857 | 98844 |
|  Radian Group, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24613 | 469370 |
|  Rocket Cos., Inc., Class A | 379 | 2653 |
|  Southern Missouri Bancorp, Inc. | 4840 | 221817 |
|  TFS Financial Corp. | 169 | 2435 |
|  UWM Holdings Corp.<sup>(b)</sup> | 294 | 973 |
|  Western New England Bancorp, Inc. | 10176 | 96265 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4151032 |
| **Tobacco — 0.2%** |  |  |
|  British American Tobacco PLC | 6743 | 266741 |
|  Imperial Brands PLC | 4369 | 108837 |
|  ITC Ltd. | 207663 | 831223 |
|  Japan Tobacco, Inc. | 3900 | 78625 |
|  Philip Morris International, Inc. | 643 | 65078 |
|  Turning Point Brands, Inc. | 2708 | 58574 |
|  Vector Group Ltd. | 3756 | 44546 |
|  |  | 1453624 |
| **Trading Companies & Distributors — 1.0%** |  |  |
|  Adani Enterprises Ltd. | 5202 | 242242 |
|  Air Lease Corp. | 367 | 14100 |
|  Applied Industrial Technologies, Inc. | 8159 | 1028279 |
|  BlueLinx Holdings, Inc.<sup>(a)</sup> | 647 | 46008 |
|  Boise Cascade Co. | 5242 | 359968 |
|  Brenntag SE | 788 | 50254 |
|  Core & Main, Inc., Class A<sup>(a)</sup> | 193 | 3727 |
|  GATX Corp.<sup>(b)</sup> | 4729 | 502882 |
|  GMS, Inc.<sup>(a)</sup> | 7696 | 383261 |
|  H&E Equipment Services, Inc. | 4012 | 182145 |
|  Herc Holdings, Inc. | 1963 | 258272 |
|  ITOCHU Corp. | 6400 | 200786 |
|  Karat Packaging, Inc. | 3924 | 56388 |
|  LX International Corp. | 5569 | 150029 |
|  McGrath RentCorp | 6715 | 663039 |
|  Mitsubishi Corp. | 1100 | 35711 |
|  Mitsui & Co. Ltd. | 3200 | 93202 |
|  MonotaRO Co. Ltd. | 2700 | 38032 |
|  MRC Global, Inc.<sup>(a)</sup> | 17824 | 206402 |
|  MSC Industrial Direct Co., Inc., Class A | 154 | 12582 |
|  NOW, Inc.<sup>(a)</sup> | 12181 | 154699 |
|  Rush Enterprises, Inc., Class A | 24394 | 1275318 |
|  SiteOne Landscape Supply, Inc.<sup>(a)(b)</sup> | 2893 | 339407 |
|  Titan Machinery, Inc.<sup>(a)</sup> | 4830 | 191896 |
|  Univar Solutions, Inc.<sup>(a)</sup> | 549 | 17458 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Trading Companies & Distributors (continued)** | **Trading Companies & Distributors (continued)** | **Trading Companies & Distributors (continued)** | **Trading Companies & Distributors (continued)** |
|  W.W.Grainger, Inc.<sup>(b)</sup> | 1546 | $| 859962 |
|  Watsco, Inc.<sup>(b)</sup> | 112 |  | 27933 |
|  WESCO International, Inc.<sup>(a)(b)</sup> | 2307 |  | 288836 |
|  |  |  | 7682818 |
| **Transportation Infrastructure — 0.1%** |  |  |  |
|  Aena SME SA<sup>(a)(c)</sup> | 303 |  | 37984 |
|  Aeroports de Paris<sup>(a)</sup> | 465 |  | 62297 |
|  China Merchants Port Holdings Co. Ltd. | 92000 |  | 134319 |
|  Grupo Aeroportuario del Pacifico SAB de CV, Class B | 6818 |  | 97670 |
|  International Container Terminal Services, Inc. | 80060 |  | 287334 |
|  Malaysia Airports Holdings Bhd<sup>(a)</sup> | 79000 |  | 117751 |
|  Santos Brasil Participacoes SA | 90200 |  | 133403 |
|  Saudi Industrial Services Co. | 18696 |  | 101138 |
|  |  |  | 971896 |
| **Water Utilities — 0.1%** |  |  |  |
|  American Water Works Co., Inc. | 2770 |  | 422204 |
|  Cia de Saneamento de Minas Gerais-COPASA | 91252 |  | 271242 |
|  Essential Utilities, Inc. | 367 |  | 17517 |
|  Guangdong Investment Ltd. | 146000 |  | 149073 |
|  Severn Trent PLC | 2583 |  | 82522 |
|  United Utilities Group PLC | 6343 |  | 75788 |
|  |  |  | 1018346 |
| **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** |
|  America Movil SAB de CV, Series L | 171371 |  | 155484 |
|  Axiata Group Bhd | 164700 |  | 115678 |
|  Far EasTone Telecommunications Co. Ltd. | 46000 |  | 98669 |
|  Maxis Bhd | 99000 |  | 86332 |
|  MTN Group Ltd. | 42784 |  | 319543 |
|  SoftBank Group Corp. | 600 |  | 25376 |
|  Taiwan Mobile Co. Ltd. | 130000 |  | 400300 |
|  Turkcell Iletisim Hizmetleri A/S | 48794 |  | 98384 |
|  U.S. Cellular Corp.<sup>(a)</sup> | 7051 |  | 147013 |
|  Vodacom Group Ltd. | 30041 |  | 216937 |
|  |  |  | 1663716 |
|  **Total Common Stocks — 90.6%<br>(Cost: $681,818,940)** | **Total Common Stocks — 90.6%<br>(Cost: $681,818,940)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;721085690 |
|  **Preferred Securities** |  |  |  |
| **Preferred Stocks — 0.5%** |  |  |  |
| **Airlines — 0.0%** |  |  |  |
|  Azul SA, Preference Shares<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;110022 |  | 226281 |
| **Automobiles — 0.0%** |  |  |  |
|  Dr Ing hc F Porsche AG<sup>(a)</sup> | 478 |  | 48237 |
|  Porsche Automobil Holding SE, Preference Shares | 519 |  | 28304 |
|  Volkswagen AG, Preference Shares | 937 |  | 116234 |
|  |  |  | 192775 |
| **Banks — 0.2%** |  |  |  |
|  Banco Bradesco SA, Preference Shares | 202438 |  | 577452 |
|  Itau Unibanco Holding SA, Preference Shares | 117159 |  | 554883 |
|  |  |  | 1132335 |
| **Electric Utilities — 0.0%** |  |  |  |
|  Cia Energetica de Minas Gerais, Preference Shares | 56225 |  | 116321 |
| **Entertainment — 0.0%** |  |  |  |
|  AMC Entertainment Holdings, Inc.<sup>(a)(b)</sup> | 1897 |  | 2675 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 25

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *Value* |
| **Household Products — 0.0%** | **Household Products — 0.0%** |  |  |
|  Henkel AG & Co. KGaA, Preference Shares | 1285 | $| 89067 |
| **Life Sciences Tools & Services — 0.0%** |  |  |  |
|  Sartorius AG, Preference Shares | 153 |  | 60416 |
| **Metals & Mining — 0.1%** |  |  |  |
|  Gerdau SA, Preference Shares | 34092 |  | 187395 |
|  Usinas Siderurgicas de Minas Gerais SA Usiminas, Class A | 87789 |  | 117722 |
|  |  | 305117 | 305117 |
| **Oil, Gas & Consumable Fuels — 0.2%** |  |  |  |
|  Petroleo Brasileiro SA, Preference Shares | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;305563 |  | 1417713 |
| **Real Estate Management & Development — 0.0%** | **Real Estate Management & Development — 0.0%** | **Real Estate Management & Development — 0.0%** | **Real Estate Management & Development — 0.0%** |
|  Brookfield Property Preferred LP, Preference Shares, 07/26/81<sup>(a)</sup> | 7 |  | 99 |
| **Trading Companies & Distributors — 0.0%** | **Trading Companies & Distributors — 0.0%** | **Trading Companies & Distributors — 0.0%** | **Trading Companies & Distributors — 0.0%** |
|  WESCO International, Inc., Series A<sup>(a)(e)</sup> | 1463 |  | 38360 |
|  |  |  | 3581159 |
|  **Total Preferred Securities — 0.5%<br>(Cost: $3,901,357)** | **Total Preferred Securities — 0.5%<br>(Cost: $3,901,357)** |  | 3581159 |
|  **Rights** |  |  |  |
| **Metals & Mining — 0.0%** |  |  |  |
|  Pan American Silver Corp.<sup>(a)</sup> | 16660 |  | 9513 |
|  **Total Rights — 0.0%<br>(Cost: $3,539)** | **Total Rights — 0.0%<br>(Cost: $3,539)** |  | 9513 |
|  **Warrants** |  |  |  |
| **Oil, Gas & Consumable Fuels — 0.0%** |  |  |  |
|  Occidental Petroleum Corp., (Issued 07/06/20, Exercisable 08/03/20, 1 Share for 1 Warrant, Expires 08/03/27, Strike Price USD 22.00)<sup>(a)(b)</sup> | 365 |  | 15049 |
|  **Total Warrants — 0.0%<br>(Cost: $1,792)** | **Total Warrants — 0.0%<br>(Cost: $1,792)** |  | 15049 |
|  **Total Long-Term Investments — 91.1%<br>(Cost: $685,725,628)** | **Total Long-Term Investments — 91.1%<br>(Cost: $685,725,628)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;724691411 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Short-Term Securities** |  |  |
| **Money Market Funds — 11.4%** |  |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%<sup>(f)(g)(h)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47938918 | $47953300 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%<sup>(f)(g)</sup> | 42893581 | 42893581 |
|  **Total Short-Term Securities — 11.4%<br>(Cost: $90,821,517)** | **Total Short-Term Securities — 11.4%<br>(Cost: $90,821,517)** | 90846881 |
|  **Total Investments — 102.5%<br>(Cost: $776,547,145)** | **Total Investments — 102.5%<br>(Cost: $776,547,145)** | 815538292 |
|  **Liabilities in Excess of Other Assets — (2.5)%** | **Liabilities in Excess of Other Assets — (2.5)%** | (19766792) |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | $795771500 |

---

<sup>(a)</sup> Non-income producing security.

<sup>(b)</sup> All or a portion of this security is on loan.

<sup>(c)</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

<sup>(d)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

<sup>(e)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

<sup>(f)</sup> Affiliate of the Master Portfolio.

<sup>(g)</sup> Annualized 7-day yield as of period end.

<sup>(h)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

For Master Portfolio compliance purposes, the Master Portfolio's industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

26 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio** |

---

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the Master Portfolio during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares<br>Held at<br>12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  | BlackRock Cash Funds: Institutional, SL Agency Shares | $48721610 | $— | $(766423)<sup>(a)</sup> | $(19242) | $17355 | $47953300 | 47938918 | $263879 <sup>(b)</sup> | $— |
|  | BlackRock Cash Funds: Treasury, SL Agency Shares | 112285491 |  | (69391910)<sup>(a)</sup> |  |  | 42893581 | 42893581 | 1150798 |  |
|  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19242) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17355 | $90846881 |  | $1414677 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

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

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 87 | 03/17/23 | $4173 | $(62696) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 14 | 03/17/23 | 1240 | (22808) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 1073 | 03/17/23 | 202123 | (7172451) |
|  |  |  |  | (7257955) |
|  Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 413 | 03/17/23 | 40255 | 949809 |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 1199 | 03/17/23 | 57516 | 1525464 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 202 | 03/17/23 | 17886 | 564248 |
|  |  |  |  | 3039521 |
|  |  |  |  | $(4218434) |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| CHF | 506000 | USD | 545901 | Bank of America N.A. | 03/15/23 | $5513 |
| EUR | 407000 | USD | 429083 | Bank of America N.A. | 03/15/23 | 8680 |
| JPY | 60026000 | USD | 451560 | Toronto-Dominion Bank | 03/15/23 | 10104 |
| SGD | 138000 | USD | 102244 | UBS AG | 03/15/23 | 903 |
| USD | 132260 | CAD | 178000 | Bank of America N.A. | 03/15/23 | 724 |
| USD | 599610 | GBP | 487000 | UBS AG | 03/15/23 | 9827 |
| USD | 703294 | NOK | 6865000 | Barclays Bank PLC | 03/15/23 | 445 |
|  |  |  |  |  |  | 36196 |
| NZD | 118000 | USD | 75617 | Morgan Stanley & Co. International PLC | 03/15/23 | (639) |
| SEK | 2490000 | USD | 242367 | Bank of America N.A. | 03/15/23 | (2791) |
| SEK | 3986000 | USD | 384967 | Morgan Stanley & Co. International PLC | 03/15/23 | (1453) |
| USD | 975102 | AUD | 1429000 | Morgan Stanley & Co. International PLC | 03/15/23 | (580) |
| USD | 642244 | CHF | 598000 | Bank of America N.A. | 03/15/23 | (9429) |
| USD | 396114 | EUR | 370000 | Morgan Stanley & Co. International PLC | 03/15/23 | (1852) |
| USD | 693773 | EUR | 654000 | Morgan Stanley & Co. International PLC | 03/15/23 | (9659) |
|  |  |  |  |  |  | (26403) |
|  |  |  |  |  |  | $9793 |

---

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio** |

---

**OTC Total Return Swaps** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Paid by the Master Portfolio  | &nbsp;&nbsp;&nbsp;&nbsp;Paid by the Master Portfolio  | &nbsp;&nbsp;&nbsp;&nbsp;Received by the Master Portfolio | &nbsp;&nbsp;&nbsp;&nbsp;Received by the Master Portfolio |  |  |  |  |  |  | *Upfront*<br> *Premium* | *Unrealized* |
| *Rate/Reference* | *Frequency* | *Rate/Reference* | *Frequency* | *Counterparty* | *Effective<br>Date* | *Termination<br>Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Paid<br>(Received)* | *Appreciation<br>(Depreciation)* |
|  MSCI Emerging<br>Markets (Net Return) | Quarterly | 1-Day SOFR minus<br>0.22%, 4.32% | Quarterly | Goldman Sachs<br>International | N/A | 02/07/23 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25213 | $(1615672) | $— | $(1615672) |
|  1-Day SOFR plus<br>0.33%, 4.32% | Quarterly | Russell 1000 Index | Quarterly | JPMorgan Chase<br>Bank N.A. | N/A | 08/08/23 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;189813 | (242093) |  | (242093) |
|  Russell 2000 Index | Quarterly | 1-Day SOFR minus<br>0.03%, 4.32% | Quarterly | JPMorgan Chase<br>Bank N.A. | N/A | 08/08/23 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;186045 | 5461211 |  | 5461211 |
|  MSCI Emerging<br>Markets (Net Return) | Quarterly | 1-Day SOFR plus<br>0.05%, 4.32% | Quarterly | Merrill Lynch<br>International | N/A | 11/08/23 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95684 | (5800840) |  | (5800840) |
|  1-Day SOFR plus<br>0.32%, 4.32% | Quarterly | Russell 1000 Index | Quarterly | Merrill Lynch<br>International | N/A | 11/08/23 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94333 | (118153) |  | (118153) |
|  |  |  |  |  |  |  |  |  | $(2315547) | $— | $(2315547) |

---

**Balances Reported in the Statement of Assets and Liabilities for OTC Swaps** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Swap<br>Premiums<br>Paid* | *Swap<br>Premiums<br>Received* | *Unrealized<br>Appreciation* | *Unrealized<br>Depreciation* |
|  OTC Swaps | $— | $— | $5461211 | $(7776758) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup> | $— | $— | $3039521 | $— | $— | $— | $3039521 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts |  |  |  | 36196 |  |  | 36196 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on OTC swaps; Swap premiums paid |  |  | 5461211 |  |  |  | 5461211 |
|  | $— | $— | $8500732 | $36196 | $— | $— | $8536928 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $7257955 | $— | $— | $— | $7257955 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 26403 |  |  | 26403 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on OTC swaps; Swap premiums received |  |  | 7776758 |  |  |  | 7776758 |
|  | $— | $— | $15034713 | $26403 | $— | $— | $15061116 |

---

<sup>(a)</sup> Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Master Portfolio Schedule of Investments. In the Statement of Assets and Liabilities, only current day's variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in net unrealized appreciation (depreciation). 

28 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio** |

---

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statement of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $58559417 | $— | $— | $— | $58559417 |
|  Forward foreign currency exchange contracts |  |  |  | (185223) |  |  | (185223) |
|  Swaps |  |  | (75913520) |  |  |  | (75913520) |
|  | $— | $— | $(17354103) | $(185223) | $— | $— | $(17539326) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(465686) | $— | $— | $— | $(465686) |
|  Forward foreign currency exchange contracts |  |  |  | 11202 |  |  | 11202 |
|  Swaps |  |  | (9761834) |  |  |  | (9761834) |
|  | $— | $— | $(10227520) | $11202 | $— | $— | $(10216318) |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $105092159 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $262200496 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $2548609 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $2897764 |
|  Total return swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value | $621900642 |

---

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

**Derivative Financial Instruments — Offsetting as of Period End** 

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

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $1394920 | $651046 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 36196 | 26403 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — OTC<sup>(a)</sup> | 5461211 | 7776758 |
|  Total derivative assets and liabilities in the Statement of Assets and Liabilities | 6892327 | 8454207 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") | (1394920) | (651046) |
|  Total derivative assets and liabilities subject to an MNA | $5497407 | $7803161 |

---

<sup>(a)</sup> Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statement of Assets and Liabilities.

The following table presents the Master Portfolio's derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Master Portfolio:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  *Counterparty* | *Derivative<br>Assets<br>Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset <br><sup>(a)</sup>* |  | *Cash<br>Collateral<br>Received* | *Net Amount<br>of Derivative<br>Assets* | *<br><sup>(b)(c)</sup>* |
|  Bank of America N.A | $14917 | $(12220) | $– | $— | $2697 |  |
|  Barclays Bank PLC | 445 |  | – |  | 445 |  |
|  JPMorgan Chase Bank N.A | 5461211 | (242093) | – | (5190000) | 29118 |  |
|  Toronto-Dominion Bank | 10104 |  | – |  | 10104 |  |
|  UBS AG | 10730 |  | – |  | 10730 |  |
|  | $5497407 | $(254313) | $– | $(5190000) | $53094 |  |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 29

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset <br><sup>(a)</sup>* |  | *Cash<br>Collateral<br>Pledged <br><sup>(d)</sup>* | *Net Amount<br>of Derivative<br>Liabilities* | *<br><sup>(b)(e)</sup>* |
|  Bank of America N.A | $12220 | $(12220) | $– | $— | $— |  |
|  Goldman Sachs International | 1615672 |  | – | (1615672) |  |  |
|  JPMorgan Chase Bank N.A | 242093 | (242093) | – |  |  |  |
|  Merrill Lynch International | 5918993 |  | – | (5918993) |  |  |
|  Morgan Stanley & Co. International PLC | 14183 |  | – |  | 14183 |  |
|  | $7803161 | $(254313) | $– | $(7534665) | $14183 |  |

---

<sup>(a)</sup> The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. 

<sup>(b)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(c)</sup> Net amount represents the net amount receivable from the counterparty in the event of default. 

<sup>(d)</sup> Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

<sup>(e)</sup> Net amount represents the net amount payable due to counterparty in the event of default. 

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the Master Portfolio's financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aerospace & Defense | $7687084 | $657146 | $— | $8344230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Freight & Logistics | 3600729 | 1136734 |  | 4737463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Airlines | 1914836 | 962316 |  | 2877152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Auto Components | 4074783 | 1676986 |  | 5751769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Automobiles | 4288633 | 5475154 |  | 9763787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Banks | 30385841 | 29255140 | 19 | 59641000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Beverages | 7350057 | 4991863 |  | 12341920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Biotechnology | 23695659 | 1714076 | 3480 | 25413215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Building Products | 4488444 | 402916 |  | 4891360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Capital Markets | 10841545 | 2467714 |  | 13309259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chemicals | 10784757 | 5835774 | 1 | 16620532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Services & Supplies | 3108446 | 356628 |  | 3465074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Communications Equipment | 2013800 | 1151427 |  | 3165227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Construction & Engineering | 4108335 | 2416132 |  | 6524467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Construction Materials | 1436661 | 1124497 |  | 2561158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Consumer Finance | 6854221 | 649329 |  | 7503550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Containers & Packaging | 1842960 | 188125 |  | 2031085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distributors | 403826 | 69089 |  | 472915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diversified Consumer Services | 1463267 | 349698 |  | 1812965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diversified Financial Services | 4835183 | 3756483 |  | 8591666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diversified Telecommunication Services | 2799179 | 2034904 |  | 4834083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Electric Utilities | 5875864 | 2397961 | 725 | 8274550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Electrical Equipment | 3838591 | 3364866 |  | 7203457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Electronic Equipment, Instruments & Components | 6643229 | 7875868 |  | 14519097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Equipment & Services | 6487979 | 122350 |  | 6610329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Entertainment | 2702927 | 1497826 |  | 4200753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Real Estate Investment Trusts (REITs) | 19997743 | 911837 |  | 20909580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Food & Staples Retailing | 7292168 | 2466738 |  | 9758906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Food Products | 9200250 | 3814723 |  | 13014973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Gas Utilities | 2069939 | 2571996 |  | 4641935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Health Care Equipment & Supplies | 14941824 | 1419573 | 137 | 16361534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Health Care Providers & Services | 15550795 | 2766647 |  | 18317442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Health Care Technology | 3136730 | 252142 |  | 3388872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hotels, Restaurants & Leisure | 9076238 | 650706 |  | 9726944 |

---

30 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio** |

---

**Fair Value Hierarchy as of Period End (continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Household Durables | $4858522 | $691404 | $— | $5549926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Household Products | 7631281 | 180741 |  | 7812022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Independent Power and Renewable Electricity Producers | 3143105 | 487361 |  | 3630466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Industrial Conglomerates | 425902 | 2163829 |  | 2589731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Insurance | 10853513 | 6268011 |  | 17121524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interactive Media & Services | 13244427 | 10110736 |  | 23355163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Internet & Direct Marketing Retail | 9611432 | 10157262 |  | 19768694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; IT Services | 17350395 | 6185924 |  | 23536319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Leisure Products | 631707 |  |  | 631707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Life Sciences Tools & Services | 9951648 | 1340224 |  | 11291872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Machinery | 15215404 | 1153812 |  | 16369216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Marine | 728173 | 306230 |  | 1034403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Media | 4775194 | 474674 |  | 5249868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Metals & Mining | 6054982 | 7903058 | 92 | 13958132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mortgage Real Estate Investment Trusts (REITs) | 983629 |  |  | 983629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Multiline Retail | 2262337 | 1245479 |  | 3507816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Multi-Utilities | 5724990 | 449616 |  | 6174606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | 21576118 | 9719548 | 37 | 31295703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paper & Forest Products | 201921 | 242604 |  | 444525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Personal Products | 1580623 | 1927035 |  | 3507658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pharmaceuticals | 17748429 | 6816540 | 2031 | 24567000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional Services | 5213252 | 663781 |  | 5877033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Real Estate Management & Development | 1950012 | 2703854 | 49933 | 4703799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Road & Rail | 3318701 | 439187 |  | 3757888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Semiconductors & Semiconductor Equipment | 19545478 | 15980248 |  | 35525726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Software | 38249680 | 840540 |  | 39090220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Specialty Retail | 16482300 | 1703316 |  | 18185616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Technology Hardware, Storage & Peripherals | 17708005 | 6926351 |  | 24634356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Textiles, Apparel & Luxury Goods | 4979012 | 3428379 |  | 8407391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Thrifts & Mortgage Finance | 4151032 |  |  | 4151032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tobacco | 168198 | 1285426 |  | 1453624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trading Companies & Distributors | 6872562 | 810256 |  | 7682818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transportation Infrastructure | 97670 | 874226 |  | 971896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Water Utilities | 439721 | 578625 |  | 1018346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wireless Telecommunication Services | 519434 | 1144282 |  | 1663716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Airlines |  | 226281 |  | 226281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Automobiles |  | 192775 |  | 192775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Banks |  | 1132335 |  | 1132335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Electric Utilities |  | 116321 |  | 116321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Entertainment | 2675 |  |  | 2675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Household Products |  | 89067 |  | 89067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Life Sciences Tools & Services |  | 60416 |  | 60416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Metals & Mining |  | 305117 |  | 305117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels |  | 1417713 |  | 1417713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Real Estate Management & Development | 99 |  |  | 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trading Companies & Distributors | 38360 |  |  | 38360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rights | 9513 |  |  | 9513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warrants | 15049 |  |  | 15049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 90846881 |  |  | 90846881 |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;609953889 | $&nbsp;&nbsp;&nbsp;&nbsp;205527948 | $&nbsp;&nbsp;&nbsp;&nbsp;56455 | $&nbsp;&nbsp;&nbsp;&nbsp;815538292 |
|  Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | $3039521 | $5461211 | $— | $8500732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | 36196 |  | 36196 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 31

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **Diversified Equity Master Portfolio** |

---

**Fair Value Hierarchy as of Period End (continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | $(7257955) | $(7776758) | $— | $&nbsp;&nbsp;&nbsp;&nbsp;(15034713) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (26403) |  | (26403) |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;(4218434) | $&nbsp;&nbsp;&nbsp;&nbsp;(2305754) | $— | $(6524188) |

---

<sup>(a)</sup> Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

32 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Statement of Assets and Liabilities

December 31, 2022

---

| | |
|:---|:---|
|  | Diversified Equity<br>Master Portfolio |
|  **ASSETS** |  |
|  Investments, at value — unaffiliated<sup>(a)(b)</sup> | $724691411 |
|  Investments, at value — affiliated<sup>(c)</sup> | 90846881 |
|  Cash | 1878832 |
|  Cash pledged: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — OTC derivatives | 7590000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 17016000 |
|  Foreign currency, at value<sup>(d)</sup> | 337330 |
|  Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold | 3754656 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated | 15240 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | 1238562 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 135738 |
|  Due from broker | 7340000 |
|  Variation margin on futures contracts | 1394920 |
|  Unrealized appreciation on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 36196 |
| &nbsp;&nbsp;&nbsp;&nbsp; OTC swaps | 5461211 |
|  Prepaid expenses | 29597 |
|  Total assets | 861766574 |
|  **LIABILITIES** |  |
|  Cash received as collateral for OTC derivatives | 5190000 |
|  Collateral on securities loaned | 48020946 |
|  Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 3955231 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration fees | 68823 |
| &nbsp;&nbsp;&nbsp;&nbsp; Deferred foreign capital gain tax | 243549 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 35338 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees | 2907 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 24073 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 651046 |
|  Unrealized depreciation on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 26403 |
| &nbsp;&nbsp;&nbsp;&nbsp; OTC swaps | 7776758 |
|  Total liabilities | 65995074 |
|  NET ASSETS | $795771500 |
|  **NET ASSETS CONSIST OF** |  |
|  Investors' capital | $763564820 |
|  Net unrealized appreciation (depreciation) | 32206680 |
|  NET ASSETS | $795771500 |
|  <sup>(a)</sup> Investments, at cost — unaffiliated | $685725628 |
|  <sup>(b)</sup> Securities loaned, at value | $46433305 |
|  <sup>(c)</sup> Investments, at cost — affiliated | $90821517 |
|  <sup>(d)</sup> Foreign currency, at cost | $342421 |

---

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L S T A T E M E N T S 33

------

Statement of Operations

Year Ended December 31, 2022

---

| | |
|:---|:---|
|  | Diversified Equity<br>Master Portfolio |
|  **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $16353249 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 1150398 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 264279 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | (986079) |
|  Total investment income | 16781847 |
|  EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 2157935 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration | 863174 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 59281 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees | 11365 |
|  Total expenses | 3091755 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Administrator | (863174) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (952073) |
|  Total expenses after fees waived and/or reimbursed | 1276508 |
|  Net investment income | 15505339 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated<sup>(a)</sup> | (40431640) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (19242) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | (185223) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | (313674) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 58559417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | (75913520) |
|  | (58303882) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated<sup>(b)</sup> | (134016828) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | 17355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 11202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations | (18411) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (465686) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | (9761834) |
|  | (144234202) |
|  Net realized and unrealized loss | (202538084) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(187032745) |
|  <sup>(a)</sup> Net of foreign capital gain tax and capital gain tax refund, if applicable of | $(79302) |
|  <sup>(b)</sup> Net of reduction in deferred foreign capital gain tax of | $43454 |

---

*See notes to financial statements.* 

34 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statements of Changes in Net Assets

---

| | | |
|:---|:---|:---|
|  | Diversified Equity Master Portfolio | Diversified Equity Master Portfolio |
|  | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |
|  **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $15505339 | $11009260 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (58303882) | 198288129 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (144234202) | (1403848) |
|  Net increase (decrease) in net assets resulting from operations | (187032745) | 207893541 |
|  **CAPITAL TRANSACTIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from contributions | 115505093 | 91448184 |
| &nbsp;&nbsp;&nbsp;&nbsp; Value of withdrawals | (90542544) | (75303566) |
|  Net increase in net assets derived from capital transactions | 24962549 | 16144618 |
|  *NET ASSETS* |  |  |
|  Total increase (decrease) in net assets | (162070196) | 224038159 |
|  Beginning of year | 957841696 | 733803537 |
|  End of year | $795771500 | $957841696 |

---

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L S T A T E M E N T S 35

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Financial Highlights

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Diversified Equity Master Portfolio | Diversified Equity Master Portfolio | Diversified Equity Master Portfolio | Diversified Equity Master Portfolio | Diversified Equity Master Portfolio |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Total Return** |  |  |  |  |  |
|  Total return | (19.12)% | 27.62% | 19.60% | 31.98% | (3.90)% |
|  **Ratios to Average Net Assets<sup>(a)</sup>** |  |  |  |  |  |
|  Total expenses | 0.36% | 0.35% | 0.36% | 0.36% | 0.36% |
|  Total expenses after fees waived and/or reimbursed | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
|  Net investment income | 1.80% | 1.28% | 1.52% | 1.85% | 1.88% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $795772 | $957842 | $733804 | $507138 | $429098 |
|  Portfolio turnover rate | 117% | 127% | 150% | 172% | 150% |

---

<sup>(a)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

*See notes to financial statements.* 

36 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements

***1.***  ***ORGANIZATION*** 

Master Investment Portfolio ("MIP") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. MIP is organized as a Delaware statutory trust. Diversified Equity Master Portfolio (the "Master Portfolio") is a series of MIP. The Master Portfolio is classified as diversified.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Fund Advisors (the "Manager") or its affiliates, is included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

***2.***  ***SIGNIFICANT ACCOUNTING POLICIES*** 

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

**Investment Transactions and Income Recognition:** For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.

**Foreign Currency Translation:** The Master Portfolio's books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange ("NYSE"). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

The Master Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The Master Portfolio reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

**Foreign Taxes:** The Master Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Master Portfolio invests. These foreign taxes, if any, are paid by the Master Portfolio and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as "Foreign taxes withheld", and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2022, if any, are disclosed in the Statement of Assets and Liabilities.

The Master Portfolio files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Master Portfolio may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction's applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

**Collateralization:** If required by an exchange or counterparty agreement, the Master Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

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

**Other:** Expenses directly related to the Master Portfolio are charged to the Master Portfolio. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

***3.***  ***INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*** 

**Investment Valuation Policies:** The Master Portfolio's investments are valued at fair value (also referred to as "market value" within the financial statements) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of MIP (the "Board") has approved the designation of the Master Portfolio's Manager as the valuation designee for the Master Portfolio. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager's policies. If a security's market price is not readily available or does not otherwise accurately

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 37

------

Notes to Financial Statements (continued)

represent the fair value of the security, the security will be valued in accordance with the Manager's policies and procedures as reflecting fair value. The Manager has formed a committee (the "Valuation Committee") to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

**Fair Value Inputs and Methodologies:** The following methods and inputs are used to establish the fair value of the Master Portfolio's assets and liabilities:

&nbsp;&nbsp;&nbsp;&nbsp;• Equity investments traded on a recognized securities exchange are valued at that day's official closing price, as
applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

&nbsp;&nbsp;&nbsp;&nbsp;• Investments in open-end U.S. mutual funds (including money market funds) are valued at that day's published net
asset value ("NAV").

&nbsp;&nbsp;&nbsp;&nbsp;• Futures contracts are valued based on that day's last reported settlement or trade price on the exchange where the
contract is traded.

&nbsp;&nbsp;&nbsp;&nbsp;• Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as
of the close of trading on the NYSE based on that day's prevailing forward exchange rate for the underlying currencies.

&nbsp;&nbsp;&nbsp;&nbsp;• Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are
derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Master Portfolio uses current market factors supplied by independent pricing services to value certain foreign instruments ("Systematic Fair Value Price"). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager's policies and procedures as reflecting fair value ("Fair Valued Investments"). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that the Master Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm's-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.

For investments in equity or debt issued by privately held companies or funds ("Private Company" or collectively, the "Private Companies") and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.

---

| | |
|:---|:---|
| | *Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services* |
|  Market approach | (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;<br> (ii) recapitalizations and other transactions across the capital structure; and<br> (iii) market multiples of comparable issuers. |
|  Income approach | (i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;<br> (ii) quoted prices for similar investments or assets in active markets; and<br> (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
|  Cost approach | (i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;<br> (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;<br> (iii) relevant news and other public sources; and<br> (iv) known secondary market transactions in the Private Company's interests and merger or acquisition activity in companies comparable to the Private Company. |

---

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model ("OPM"), a probability weighted expected return model ("PWERM"), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by the Master Portfolio. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Master Portfolio is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Master Portfolio could receive upon the sale of the investment.

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

38 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the
Master Portfolio has the ability to access;

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

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

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

***4.***  ***SECURITIES AND OTHER INVESTMENTS*** 

**Preferred Stocks:** Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer's board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

**Warrants:** Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

**Securities Lending:** The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. ("BTC"), if any, is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Master Portfolio, except in the event of borrower default. The securities on loan, if any, are disclosed in the Master Portfolio's Schedule of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value –unaffiliated and collateral on securities loaned, respectively.

Securities lending transactions are entered into by the Master Portfolio under Master Securities Lending Agreements (each, an "MSLA"), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty's bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties' obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party's net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Master Portfolio's securities on loan by counterparty which are subject to offset under an MSLA:

---

| | | | |
|:---|:---|:---|:---|
|  *Counterparty* | *Securities<br>Loaned at Value* | *Cash Collateral<br>Received <br><sup>(a)</sup>* |  |
|  Barclays Bank PLC | $6838158 | $(6838158) | $– |
|  Barclays Capital, Inc. | 39480 | (39480) | – |
|  BMO Capital Markets Corp. | 134605 | (134605) | – |

---

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 39

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Notes to Financial Statements (continued)

---

| | | | |
|:---|:---|:---|:---|
|  *Counterparty* | *Securities<br>Loaned at Value* | *Cash Collateral<br>Received <br><sup>(a)</sup>* |  |
|  BNP Paribas SA | $6873189 | $(6873189) | $– |
|  BofA Securities, Inc. | 1276948 | (1276948) | – |
|  Citadel Clearing LLC | 1207086 | (1207086) | – |
|  Citigroup Global Markets, Inc. | 958777 | (958777) | – |
|  Goldman Sachs & Co. LLC | 599670 | (599670) | – |
|  HSBC Bank PLC | 223268 | (223268) | – |
|  J.P. Morgan Securities LLC | 10918000 | (10918000) | – |
|  Jefferies LLC | 968425 | (968425) | – |
|  Morgan Stanley | 8505787 | (8505787) | – |
|  National Financial Services LLC | 15331 | (15331) | – |
|  Scotia Capital (USA), Inc. | 2284200 | (2284200) | – |
|  SG Americas Securities LLC | 21521 | (21521) | – |
|  Toronto-Dominion Bank | 1445950 | (1445950) | – |
|  UBS AG | 2370760 | (2370760) | – |
|  UBS Securities LLC | 1747353 | (1747353) | – |
|  Virtu Americas LLC | 4797 | (4797) | – |
|  | $46433305 | $(46433305) | $– |

---

<sup>(a)</sup> Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio's Statement of Assets and Liabilities. 

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

***5.***  ***DERIVATIVE FINANCIAL INSTRUMENTS*** 

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter ("OTC").

**Futures Contracts**: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract's size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract ("variation margin"). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

**Forward Foreign Currency Exchange Contracts**: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Master Portfolio are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statement of Assets and Liabilities. Cash amounts pledged for forward

40 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statement of Assets and Liabilities. A Master Portfolio's risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Master Portfolio.

**Swaps:** Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Master Portfolio and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract ("OTC swaps") or centrally cleared ("centrally cleared swaps").

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statement of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statement of Assets and Liabilities. Payments received or paid are recorded in the Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Master Portfolio's basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the "CCP") and the CCP becomes the Master Portfolio's counterparty on the swap. The Master Portfolio is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statement of Operations, including those at termination.

&nbsp;&nbsp;&nbsp;&nbsp;• Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning
such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest
rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Master Portfolio receives payment from or makes a payment to the counterparty.

**Master Netting Arrangements:** In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, the Master Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Master Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Master Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

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

Cash collateral that has been pledged to cover obligations of the Master Portfolio and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Master Portfolio, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Master Portfolio. Any additional required collateral is delivered to/pledged by the Master Portfolio on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Master Portfolio generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Master Portfolio from the counterparties are not fully collateralized, the Master Portfolio bears the risk of loss from counterparty non-performance. Likewise, to the extent the Master Portfolio has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, the Master Portfolio bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Master Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.

***6.***  ***INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*** 

**Investment Advisory:** MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio's investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of the Master Portfolio's portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Master Portfolio.

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 41

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Notes to Financial Statements (continued)

For such services, the Master Portfolio pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Master Portfolio's net assets:

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| | | | |
|:---|:---|:---|:---|
|  *Average Daily Net Assets* | <br>| *Investment* <br> *Advisory Fees*  | <br>|
|  First $1 billion |  | 0.25% |  |
|  $1 billion — $3 billion |  | 0.24 |  |
|  $3 billion — $5 billion |  | 0.23 |  |
|  $5 billion — $10 billion |  | 0.22 |  |
|  Greater than $10 billion |  | 0.21 |  |

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MIP, on behalf of the Master Portfolio, entered into an Administration Agreement with BlackRock Advisors, LLC ("BAL"), which has agreed to provide general administrative services (other than investment advice and related portfolio activities). BAL has agreed to bear all of the Master Portfolio's ordinary operating expenses,excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolio. BAL is entitled to receive for these administrative services an annual fee of 0.10% based on the average daily net assets of the Master Portfolio.

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

**Expense Waivers and Reimbursements:** The Manager has voluntarily agreed to waive 0.095% of the investment advisory fees payable by the Master Portfolio. This voluntary waiver may be terminated at any time. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. During the year ended December 31, 2022, the Manager waived $820,015 pursuant to this agreement.

BAL voluntarily agreed to waive all of its administration fees payable by the Master Portfolio. This arrangement is voluntary and may be terminated by BAL at any time. This amount is included in fees waived and/or reimbursed by the Administrator in the Statement of Operations. For the year ended December 31, 2022, the amount waived was $863,174.

The fees and expenses of MIP's trustees who are not "interested persons" of MIP, as defined in the 1940 Act ("Independent Trustees"), counsel to the Independent Trustees and the Master Portfolio's independent registered public accounting firm (together, the "independent expenses") are paid directly by the Master Portfolio. Each of BAL and BFA has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the investment advisory fees paid by the Master Portfolio in an amount equal to these independent expenses through June 30, 2023. For the year ended December 31, 2022, the amount waived was $70,646 which is included in fees waived and/or reimbursed by the Manager in the Statement of Operations.

With respect to the Master Portfolio, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the "affiliated money market fund waiver") through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the amount waived was $61,412.

The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Master Portfolio's assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. For the year ended December 31, 2022, there were no fees waived by the Manager pursuant to this arrangement.

**Securities Lending:** The U.S. Securities and Exchange Commission ("SEC") has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan (the "collateral investment fees"). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund's weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, the Master Portfolio retains 82% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

42 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

The share of securities lending income earned by the Master Portfolio is shown as securities lending income — affiliated — net in the Statement of Operations. For the year ended December 31, 2022, the Master Portfolio paid BTC $77,296 for securities lending agent services.

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the SEC, the Master Portfolio may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Master Portfolio's investment policies and restrictions. The Master Portfolio is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended December 31, 2022, the Master Portfolio did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of MIP are directors and/or officers of BlackRock or its affiliates.

**Other Transactions:** The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended December 31, 2022, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

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| | | | |
|:---|:---|:---|:---|
| *Master Portfolio Name* | *Purchases* | *Sales* | *Net Realized<br>Gain (Loss)* |
|  Diversified Equity Master Portfolio | $27718282 | $25333002 | $(1603591) |

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***7.***  ***PURCHASES AND SALES*** 

For the year ended December 31, 2022, purchases and sales of investments, excluding short-term securities, were $957,638,033 and $883,951,893, respectively.

***8.***  ***INCOME TAX INFORMATION*** 

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

The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Master Portfolio's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Master Portfolio as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio's financial statements.

As of December 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

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| | | | | |
|:---|:---|:---|:---|:---|
| *Master Portfolio Name* | *Tax Cost* | *Gross Unrealized<br>Appreciation* | *Gross Unrealized<br>Depreciation* | *Net Unrealized<br>Appreciation<br>(Depreciation)* |
|  Diversified Equity Master Portfolio | $801075336 | $115117222 | $(100653363) | $14463859 |

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***9.***  ***BANK BORROWINGS*** 

MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates ("Participating Funds"), are a party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate ("OBFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate ("SOFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2023 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2022, the Master Portfolio did not borrow under the credit agreement.

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 43

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Notes to Financial Statements (continued)

***10.***  ***PRINCIPAL RISKS*** 

In the normal course of business, the Master Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio's prospectus provides details of the risks to which the Master Portfolio is subject.

The Master Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

**Infectious Illness Risk:** An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

**Valuation Risk:** The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Master Portfolio may invest in illiquid investments. An illiquid investment is any investment that the Master Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Master Portfolio may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Master Portfolio's NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Master Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Master Portfolio invests.

The price the Master Portfolio could receive upon the sale of any particular portfolio investment may differ from the Master Portfolio's valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Master Portfolio's results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Master Portfolio, and the Master Portfolio could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Master Portfolio's ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.

**Counterparty Credit Risk:** The Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio's exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

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

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

**Significant Shareholder Redemption Risk:** Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund's NAV, increase the fund's brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

**LIBOR Transition Risk:** The United Kingdom's Financial Conduct Authority announced a phase out of the London Interbank Offered Rate ("LIBOR"). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Master Portfolio may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Master Portfolio is uncertain.

44 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

***11.***  ***SUBSEQUENT EVENTS*** 

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

M A S T E R P O R T F O L I O N O T E S T O F I N A N C I A L S T A T E M E N T S 45

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Master Investment Portfolio and Investors of Diversified Equity Master Portfolio

**Opinion on the Financial Statements** 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Diversified Equity Master Portfolio (one of the series constituting Master Investment Portfolio, referred to hereafter as the "Master Portfolio") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Master Portfolio as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 23, 2023

We have served as the auditor of one or more BlackRock investment companies since 2000.

46 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statement Regarding Liquidity Risk Management Program

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), Master Investment Portfolio ("MIP") has adopted and implemented a liquidity risk management program (the "Program") for Diversified Equity Master Portfolio (the "Fund"), a series of MIP, which is reasonably designed to assess and manage the Fund's liquidity risk.

The Board of Trustees (the "Board") of MIP, on behalf of the Fund, met on November 8-9, 2022 (the "Meeting") to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors ("BlackRock"), each an investment adviser to certain BlackRock funds, as the program administrator for the Fund's Program, as applicable. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the "Committee"). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of the Fund's Highly Liquid Investment Minimum ("HLIM") where applicable, and any material changes to the Program (the "Report"). The Report covered the period from October 1, 2021 through September 30, 2022 (the "Program Reporting Period").

The Report described the Program's liquidity classification methodology for categorizing the Fund's investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish the Fund's HLIM and noted that the Committee reviews and ratifies the HLIM assigned to the Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing the Fund's liquidity risk, as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***a)***  ***The Fund's investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed whether the Fund's strategy is appropriate for an open-end fund structure with a focus on funds with more significant and consistent holdings
of less liquid and illiquid assets. The Committee also factored a fund's concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a fund participated in borrowings for
investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program's calculation of a fund's liquidity bucketing. A fund's derivative exposure was also considered in such
calculation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***b)***  ***Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish the Fund's reasonably anticipated trading size utilized for liquidity classifications. The
Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a fund's shareholder ownership concentration (which, depending on product type and
distribution channel, may or may not be available), a fund's distribution channels, and the degree of certainty associated with a fund's short-term and long-term cash flow projections.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***c)***  ***Holdings of cash and cash equivalents, as well as borrowing arrangements.*** The Committee considered the
terms of the credit facility committed to the Fund, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is
specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V, and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). The Committee also considered other types of borrowing available to the
Master Portfolio, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.

There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program's classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

S T A T E M E N T R E G A R D I N G L I Q U I D I T Y R I S K M A N A G E M E N T P R O G R A M 47

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Trustee and Officer Information

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees <sup>(a)</sup>** | **Independent Trustees <sup>(a)</sup>** | **Independent Trustees <sup>(a)</sup>** | **Independent Trustees <sup>(a)</sup>** | **Independent Trustees <sup>(a)</sup>** |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During<br>Past 5 Years** |
| **Mark Stalnecker**<br> 1951 | Chair of the Board (Since 2019) and Trustee<br>(Since 2015) | Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees' Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014. | 28 RICs consisting of 164 Portfolios |  |
| **Susan J. Carter**<br> 1956 | Trustee<br>(Since 2016) | Trustee, Financial Accounting Foundation from 2017 to 2021; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business from 1997 to 2021; Director, Pacific Pension Institute from 2014 to 2018; Senior Advisor, Commonfund Capital, Inc. ("CCI") (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof since 2018; Advisory Board Member, Bridges Fund Management since 2016; Practitioner Advisory Board Member, Private Capital Research Institute ("PCRI") since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019; Advisor to Finance Committee, Altman Foundation since 2020; Investment Committee Member, Tostan since 2021. | 28 RICs consisting of 164 Portfolios |  |
| **Collette Chilton**<br> 1958 | Trustee<br>(Since 2015) | Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006; Director, Boys and Girls Club of Boston since 2017; Director, B1 Capital since 2018; Director, David and Lucile Packard Foundation since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Neil A. Cotty**<br> 1954 | Trustee<br>(Since 2016) | Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002. | 28 RICs consisting of 164 Portfolios |  |
| **Lena G. Goldberg**<br> 1949 | Trustee<br>(Since 2019) | Director, Charles Stark Draper Laboratory, Inc. from 2013 to 2021; Senior Lecturer, Harvard Business School from 2008 to 2021; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985. | 28 RICs consisting of 164 Portfolios |  |

---

48 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Trustee and Officer Information (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During<br>Past 5 Years** |
| **Henry R. Keizer**<br> 1956 | Trustee<br>(Since 2019) | Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010. | 28 RICs consisting of 164 Portfolios | Hertz Global Holdings (car rental) from 2015 to 2021; GrafTech International Ltd. (materials manufacturing); WABCO (commercial vehicle safety systems) from 2015 to 2020; Sealed Air Corp. (packaging) from 2015 to 2021 |
| **Cynthia A. Montgomery**<br> 1952 | Trustee<br>(Since 2009) | Professor, Harvard Business School since 1989. | 28 RICs consisting of 164 Portfolios |  |
| **Donald C. Opatrny**<br> 1952 | Trustee<br>(Since 2019) | Director, Athena Capital Advisors LLC (investment management firm) from 2013 to 2020; Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University from 2004 to 2019; President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018; Member of the Board and Investment Committee, University School from 2007 to 2018; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyoming since 2017; Member, Investment Funds Committee, State of Wyoming since 2017; Trustee, Phoenix Art Museum since 2018; Trustee, Arizona Community Foundation and Member of Investment Committee since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Joseph P. Platt**<br> 1947 | Trustee<br>(Since 2009) | General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, Basic Health International (non-profit) since 2015. | 28 RICs consisting of 164 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company); Consol Energy Inc. |
| **Kenneth L. Urish**<br> 1951 | Trustee<br>(Since 2009) | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past- Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since founding in 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter- Tel from 2006 to 2007; Member, Advisory Board, ESG Competent Boards since 2020. | 28 RICs consisting of 164 Portfolios |  |

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T R U S T E E A N D O F F I C E R I N F O R M A T I O N 49

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Trustee and Officer Information (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During<br>Past 5 Years** |
| **Claire A. Walton**<br> 1957 | Trustee<br>(Since 2016) | Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; General Partner of Neon Liberty Capital Management, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Woodstock Ski Runners since 2013; Director, Massachusetts Council on Economic Education from 2013 to 2015. | 28 RICs consisting of 164 Portfolios |  |
| **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** | **Interested Trustees<sup>(a)(d)</sup>** |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships Held<br>During<br>Past 5 Years** |
| **Robert Fairbairn**<br> 1965 | Trustee<br>(Since 2018) | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock's Global Executive and Global Operating Committees; Co-Chair of BlackRock's Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock's Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock's Retail and iShares<sup>®</sup> businesses from 2012 to 2016. | 98 RICs consisting of 266 Portfolios |  |
| **John M. Perlowski<sup>(e)</sup>**<br> 1964 | Trustee (Since 2015) President and Chief Executive Officer<br>(Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 100 RICs consisting of 268 Portfolios |  |

---

<sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

<sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.

<sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. 

<sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.

<sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund.

50 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Trustee and Officer Information (continued)

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| | | |
|:---|:---|:---|
| **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held<br>(Length of Service)** | **Principal Occupation(s) During Past 5 Years** |
| **Roland Villacorta**<br> 1971 | Vice President<br>(Since 2022) | Managing Director of BlackRock, Inc. since 2022; Head of Global Cash Management and Head of Securities Lending within BlackRock's Portfolio Management Group since 2022; Member of BlackRock's Global Operating Committee since 2022; Head of Portfolio Management in BlackRock's Financial Markets Advisory Group within BlackRock Solutions from 2008 to 2015; Co-Head of BlackRock Solutions' Portfolio Analytics Group; previously Mr. Villacorta was Co-Head of Fixed Income within BlackRock's Risk & Quantitative Analysis Group. |
| **Jennifer McGovern**<br> 1977 | Vice President<br>(Since 2014) | Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock's Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock's U.S. Wealth Advisory Group from 2013 to 2019. |
| **Trent Walker**<br> 1974 | Chief Financial Officer<br>(Since 2021) | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. |
| **Jay M. Fife**<br> 1970 | Treasurer<br>(Since 2009) | Managing Director of BlackRock, Inc. since 2007. |
| **Charles Park**<br> 1967 | Chief Compliance Officer<br>(Since 2014) | Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares<sup>®</sup> Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors ("BFA") since 2006; Chief Compliance Officer for the BFA-advised iShares<sup>®</sup> exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. |
| **Lisa Belle**<br> 1968 | Anti-Money Laundering Compliance Officer<br>(Since 2019) | Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012. |
| **Janey Ahn**<br> 1975 | Secretary<br>(Since 2019) | Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. |

---

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

<sup>(b)</sup> Officers of the MIP serve at the pleasure of the Board.

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

Effective March 31, 2022, Thomas Callahan resigned as a Vice President of the MIP and effective May 10, 2022, Roland Villacorta was appointed as a Vice President of the MIP.

Effective December 31, 2022, Joseph P. Platt retired as a Trustee of the MIP.

T R U S T E E A N D O F F I C E R I N F O R M A T I O N 51

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Additional Information

**General Information** 

Quarterly performance, semi-annual and annual reports and other information regarding the Master Portfolio may be found on BlackRock's website, which can be accessed at **blackrock.com**. Any reference to BlackRock's website in this report is intended to allow investors public access to information regarding the Master Portfolio and does not, and is not intended to, incorporate BlackRock's website in this report.

**Householding** 

The Master Portfolio will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called "householding" and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Master Portfolio at (800) 441-7762.

**Availability of Quarterly Schedule of Investments** 

The Master Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Master Portfolio's Form N-PORT is available on the SEC's website at **sec.gov**. Additionally, the Master Portfolio makes its portfolio holdings for the first and third quarters of each fiscal year available at **blackrock.com/fundreports**.

**Availability of Proxy Voting Policies, Procedures and Voting Records** 

A description of the policies and procedures that the Master Portfolio uses to determine how to vote proxies relating to portfolio securities and information about how the Master Portfolio voted proxies relating to securities held in the Master Portfolio's portfolio during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at **blackrock.com**; and (3) on the SEC's website at **sec.gov**.

**BlackRock's Mutual Fund Family** 

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

**Shareholder Privileges Account Information** 

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit **blackrock.com** for more information.

**Automatic Investment Plans** 

Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

**Systematic Withdrawal Plans** 

Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.

**Retirement Plans** 

Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.

**BlackRock Privacy Principles** 

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, "Clients") and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

52 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Additional Information (continued)

**BlackRock Privacy Principles (continued)** 

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

**Master Portfolio and Service Providers** 

---

| | |
|:---|:---|
| **Investment Adviser** | **Independent Registered Public Accounting Firm** |
| BlackRock Fund Advisors | PricewaterhouseCoopers LLP |
| San Francisco, CA 94105 | Philadelphia, PA 19103 |
| **Administrator** | **Legal Counsel** |
| BlackRock Advisors, LLC | Sidley Austin LLP |
| Wilmington, DE 19809 | New York, NY 10019 |
| **Accounting Agent and Custodian** | **Address of MIP** |
| State Street Bank and Trust Company | 400 Howard Street |
| Boston, MA 02111 | San Francisco, CA 94105 |
| **Transfer Agent** |  |
| BNY Mellon Investment Servicing (US) Inc. |  |
| Wilmington, DE 19809 |  |

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A D D I T I O N A L I N F O R M A T I O N 53

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Glossary of Terms Used in this Report

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| | |
|:---|:---|
| **Currency Abbreviation** | **Currency Abbreviation** |
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| USD | United States Dollar |
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| ADR | American Depositary Receipt |
| JSC | Joint Stock Company |
| MSCI | Morgan Stanley Capital International |
| NVDR | Non-Voting Depositary Receipt |
| PCL | Public Company Limited |
| PJSC | Public Joint Stock Company |
| REIT | Real Estate Investment Trust |
| S&P | Standard & Poor's |
| SAB | Special Assessment Bonds |
| SCA | Societe en Commandite par Actions |
| SOFR | Secured Overnight Financing Rate |

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54 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Master Portfolio Information as of December 31, 2022 | **International Tilts Master Portfolio** |

---

---

| | |
|:---|:---|
| **TEN LARGEST HOLDINGS** | **TEN LARGEST HOLDINGS** |
| *Security* | *Percent of <br>Net Assets* |
|  Shell PLC | 2.1% |
|  BHP Group Ltd., Class DI | 2.0 |
|  Novo Nordisk A/S, Class B | 1.8 |
|  Novartis AG, Registered Shares | 1.7 |
|  Nestle SA, Registered Shares | 1.7 |
|  Siemens AG, Registered Shares | 1.6 |
|  SAP SE | 1.6 |
|  Sanofi | 1.6 |
|  AIA Group Ltd. | 1.6 |
|  ASML Holding NV | 1.5 |

---

---

| | |
|:---|:---|
| **GEOGRAPHIC ALLOCATION** | **GEOGRAPHIC ALLOCATION** |
| *Country/Geographic Region* | *Percent of <br>Net Assets* |
|  Japan | 20.2% |
|  United Kingdom | 14.0 |
|  France | 11.4 |
|  Germany | 9.5 |
|  Australia | 8.7 |
|  Switzerland | 8.5 |
|  Netherlands | 4.7 |
|  United States | 4.1 |
|  Hong Kong | 3.6 |
|  Denmark | 3.5 |
|  Sweden | 2.3 |
|  Italy | 2.0 |
|  Norway | 2.0 |
|  Spain | 1.9 |
|  Belgium | 1.8 |
|  Singapore | 1.1 |
|  Other<sup>#</sup>  | 2.6 |
|  Liabilities in Excess of Other Assets | (1.9) |

---

---

| | |
|:---|:---|
| <sup>#</sup> | Includes holdings within countries/geographic regions that are less than 1.0% of net assets. Please refer to the Schedule of Investments for such countries/geographic regions.  |

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Derivative Financial Instruments

International Tilts Master Portfolio (the "Master Portfolio") may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Master Portfolio must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Master Portfolio's successful use of a derivative financial instrument depends on the investment adviser's ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio's investments in these instruments, if any, are discussed in detail in the Master Portfolio Notes to Financial Statements.

P O R T F O L I O I N F O R M A T I O N / D E R I V A T I V E F I N A N C I A L I N S T R U M E N T S 1

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| | |
|:---|:---|
| Schedule of Investments<br> December 31, 2022 | **International Tilts Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Common Stocks** |  |  |
|  **Australia — 8.7%** |  |  |
|  AGL Energy Ltd. | 75107 | $411142 |
|  Allkem Ltd.<sup>(a)</sup>  | 59091 | 447656 |
|  ANZ Group Holdings Ltd. | 24992 | 402594 |
|  Aristocrat Leisure Ltd. | 86741 | 1787368 |
|  BHP Group Ltd., Class DI | 160651 | 4976477 |
|  Charter Hall Group | 3461 | 28075 |
|  Commonwealth Bank of Australia | 5718 | 397143 |
|  CSL Ltd. | 7688 | 1499115 |
|  Deterra Royalties Ltd. | 8528 | 26406 |
|  Downer EDI Ltd. | 3431 | 8622 |
|  Flight Centre Travel Group Ltd.<sup>(a)(b)</sup>  | 43582 | 426531 |
|  Fortescue Metals Group Ltd. | 29730 | 415541 |
|  Glencore PLC | 64074 | 427287 |
|  Iluka Resources Ltd. | 13134 | 84484 |
|  Insurance Australia Group Ltd. | 8068 | 25936 |
|  Macquarie Group Ltd. | 21242 | 2397977 |
|  Magellan Financial Group Ltd. | 1574 | 9523 |
|  Medibank Pvt Ltd. | 136276 | 271876 |
|  Mineral Resources Ltd. | 2057 | 107903 |
|  National Australia Bank Ltd. | 60139 | 1221039 |
|  Nufarm Ltd. | 1 | 4 |
|  OZ Minerals Ltd. | 9587 | 180707 |
|  Pilbara Minerals Ltd.<sup>(a)</sup>  | 7051 | 17855 |
|  Pro Medicus Ltd. | 682 | 25490 |
|  Qantas Airways Ltd.<sup>(a)</sup>  | 14191 | 57441 |
|  REA Group Ltd.<sup>(b)</sup>  | 9700 | 729503 |
|  Rio Tinto Ltd. | 2040 | 161008 |
|  Rio Tinto PLC | 7734 | 544350 |
|  Scentre Group<sup>(b)</sup>  | 93929 | 182838 |
|  Steadfast Group Ltd. | 34133 | 126770 |
|  Stockland<sup>(b)</sup>  | 76739 | 188997 |
|  Telstra Corp. Ltd. | 279469 | 755807 |
|  Treasury Wine Estates Ltd. | 3128 | 28898 |
|  Westpac Banking Corp. | 161660 | 2559322 |
|  WiseTech Global Ltd.<sup>(b)</sup>  | 2703 | 92963 |
|  Worley Ltd. | 96198 | 981263 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22005911 |
| **Austria — 0.4%** |  |  |
|  ams-OSRAM AG<sup>(a)</sup>  | 17802 | 130429 |
|  Andritz AG | 10293 | 589193 |
|  BAWAG Group AG<sup>(c)</sup>  | 2804 | 149426 |
|  Erste Group Bank AG | 5977 | 191235 |
|  |  | 1060283 |
| **Belgium — 1.8%** |  |  |
|  Anheuser-Busch InBev SA | 41251 | 2484587 |
| **KBC Group NV** | 19538 | 1257960 |
|  Proximus SADP | 4771 | 46063 |
|  Solvay SA | 7802 | 788829 |
|  UCB SA | 816 | 64295 |
|  |  | 4641734 |
| **China — 0.3%** |  |  |
|  BOC Hong Kong Holdings Ltd. | 171000 | 580510 |
|  Budweiser Brewing Co. APAC Ltd.<sup>(b)(c)</sup>  | 17400 | 54392 |
|  |  | 634902 |
| **Denmark — 3.5%** |  |  |
|  AP Moller - Maersk A/S, Class A | 105 | 231405 |
|  AP Moller - Maersk A/S, Class B | 468 | 1047667 |
|  Carlsberg A/S, Class B | 1676 | 222316 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Denmark (continued)** |  |  |
|  Coloplast A/S, Class B | 1131 | $132500 |
|  Demant A/S<sup>(a)</sup>  | 775 | 21611 |
|  DSV A/S | 2958 | 467770 |
|  Genmab A/S<sup>(a)</sup>  | 1422 | 601214 |
|  H Lundbeck A/S | 4136 | 15488 |
|  Novo Nordisk A/S, Class B | 32896 | 4467789 |
|  Novozymes A/S, B Shares | 7997 | 405717 |
|  Pandora A/S | 1623 | 114716 |
|  Tryg A/S | 43330 | 1029761 |
|  |  | 8757954 |
| **Finland — 0.4%** |  |  |
|  Nokia OYJ<sup>(b)</sup>  | 179745 | 835041 |
|  Sampo OYJ, A Shares | 698 | 36456 |
|  |  | 871497 |
| **France — 11.4%** |  |  |
|  Accor SA<sup>(a)</sup>  | 893 | 22278 |
|  Air Liquide SA | 3712 | 526864 |
|  Airbus SE | 7036 | 836597 |
|  Arkema SA | 7175 | 645354 |
|  AXA SA | 3826 | 106575 |
|  BNP Paribas SA | 22413 | 1276177 |
|  Capgemini SE | 8782 | 1468140 |
|  Dassault Aviation SA | 739 | 125329 |
|  Dassault Systemes SE | 37529 | 1349530 |
|  Engie SA | 100319 | 1435171 |
|  Eramet SA | 213 | 19167 |
|  Eurazeo SE | 241 | 15004 |
|  Hermes International | 1020 | 1578808 |
|  Ipsen SA | 1172 | 126061 |
|  Kering SA | 18 | 9161 |
|  L'Oreal SA | 6247 | 2237035 |
|  LVMH Moet Hennessy Louis Vuitton SE | 5048 | 3673391 |
|  Pernod Ricard SA | 6979 | 1372926 |
|  Remy Cointreau SA | 1320 | 222570 |
|  Rexel SA | 14397 | 284751 |
|  Safran SA | 16025 | 2007193 |
|  Sanofi | 41283 | 3980776 |
|  Schneider Electric SE | 7888 | 1107748 |
|  Societe Generale SA | 53254 | 1335804 |
|  Teleperformance | 2477 | 592164 |
|  Thales SA | 3601 | 460095 |
|  TotalEnergies SE | 23356 | 1466129 |
|  Ubisoft Entertainment SA<sup>(a)</sup>  | 10523 | 297283 |
|  Vinci SA | 3643 | 363159 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28941240 |
| **Germany — 8.9%** |  |  |
|  Adidas AG | 7009 | 949904 |
|  Bayer AG, Registered Shares | 12373 | 636839 |
|  Bayerische Motoren Werke AG | 10947 | 969192 |
|  Carl Zeiss Meditec AG | 4283 | 538347 |
|  Daimler Truck Holding AG<sup>(a)</sup>  | 6321 | 194318 |
|  Deutsche Boerse AG | 3260 | 561340 |
|  Deutsche Post AG, Registered Shares | 41288 | 1545270 |
|  Deutsche Telekom AG, Registered Shares | 56790 | 1129926 |
|  DWS Group GmbH & Co. KGaA<sup>(c)</sup>  | 7588 | 244868 |
|  Evonik Industries AG | 53880 | 1027697 |
|  Fraport AG Frankfurt Airport Services Worldwide<sup>(a)</sup>  | 321 | 13000 |
|  Freenet AG | 6770 | 147209 |
|  Hochtief AG | 11939 | 670565 |
|  Infineon Technologies AG | 36724 | 1116112 |
|  Jenoptik AG | 2 | 54 |

---

2 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **International Tilts Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Germany (continued)** |  |  |
|  K&S AG, Registered Shares | 6769 | $133443 |
|  Mercedes-Benz Group AG, Registered Shares | 34814 | 2276657 |
|  Nemetschek SE | 6608 | 337843 |
|  RWE AG | 1540 | 68080 |
|  SAP SE | 39743 | 4103094 |
|  Scout24 SE<sup>(c)</sup>  | 21642 | 1089320 |
|  Siemens AG, Registered Shares | 29955 | 4129333 |
|  Siemens Energy AG<sup>(a)</sup>  | 2977 | 55897 |
|  Talanx AG<sup>(a)</sup>  | 242 | 11408 |
|  thyssenkrupp AG<sup>(a)</sup>  | 2485 | 15090 |
|  Volkswagen AG | 510 | 80007 |
|  Wacker Chemie AG | 4507 | 574364 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22619177 |
| **Hong Kong — 3.6%** |  |  |
|  AIA Group Ltd. | 353200 | 3900522 |
|  ASMPT Ltd. | 38300 | 272014 |
|  CK Asset Holdings Ltd. | 37500 | 229994 |
|  CK Hutchison Holdings Ltd. | 41000 | 245625 |
|  CK Infrastructure Holdings Ltd. | 18000 | 93925 |
|  ESR Group Ltd.<sup>(c)</sup>  | 22200 | 46410 |
|  Hang Lung Properties Ltd. | 10000 | 19480 |
|  Henderson Land Development Co. Ltd. | 7000 | 24368 |
|  Hong Kong Exchanges & Clearing Ltd. | 10900 | 468375 |
|  Hysan Development Co. Ltd. | 4000 | 12954 |
|  Jardine Matheson Holdings Ltd. | 21800 | 1108984 |
|  Kerry Properties Ltd. | 183000 | 397008 |
|  Link REIT | 45500 | 332939 |
|  Man Wah Holdings Ltd. | 33600 | 33248 |
|  New World Development Co. Ltd. | 324000 | 908877 |
|  NWS Holdings Ltd. | 51000 | 44023 |
|  Pacific Basin Shipping Ltd.<sup>(b)</sup>  | 130000 | 43795 |
|  PCCW Ltd. | 112000 | 50459 |
|  Power Assets Holdings Ltd.<sup>(b)</sup>  | 13000 | 71051 |
|  Sino Land Co. Ltd. | 46000 | 57375 |
|  SITC International Holdings Co. Ltd.<sup>(b)</sup>  | 32000 | 70926 |
|  Sun Hung Kai Properties Ltd. | 26500 | 361973 |
|  Swire Properties Ltd. | 127400 | 322691 |
|  WH Group Ltd.<sup>(c)</sup>  | 82500 | 48117 |
|  Wharf Holdings Ltd. | 14000 | 41067 |
|  |  | 9206200 |
| **Ireland — 0.6%** |  |  |
|  AIB Group PLC | 5403 | 20739 |
|  Experian PLC | 35663 | 1207846 |
|  James Hardie Industries PLC | 5205 | 93681 |
|  Kingspan Group PLC | 3056 | 165464 |
|  |  | 1487730 |
| **Israel — 0.2%** |  |  |
|  Bank Hapoalim BM | 7474 | 67295 |
|  Bezeq The Israeli Telecommunication Corp. Ltd.<sup>(b)</sup>  | 76430 | 131117 |
|  First International Bank Of Israel Ltd. | 295 | 11635 |
|  Isracard Ltd.<sup>(b)</sup>  | 1271 | 3703 |
|  Nice Ltd.<sup>(a)</sup>  | 647 | 124469 |
|  Paz Oil Co. Ltd.<sup>(a)</sup>  | 194 | 24192 |
|  Shapir Engineering & Industry Ltd. | 4208 | 33190 |
|  Teva Pharmaceutical Industries Ltd.<sup>(a)(b)</sup>  | 5178 | 47750 |
|  |  | 443351 |
| **Italy — 2.0%** |  |  |
|  A2A SpA | 131959 | 175936 |
|  Assicurazioni Generali SpA | 10656 | 189490 |
|  Banca Mediolanum SpA | 15809 | 131728 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Italy (continued)** |  |  |
|  Banca Monte dei Paschi di Siena SpA<sup>(a)</sup>  | 11725 | $24140 |
|  Buzzi Unicem SpA | 3982 | 76734 |
|  Davide Campari-Milano NV | 5094 | 51716 |
|  Eni SpA | 31061 | 441671 |
|  Ferrari NV | 1218 | 261186 |
|  Intesa Sanpaolo SpA | 17435 | 38626 |
|  Italgas SpA | 20833 | 115673 |
|  Mediobanca Banca di Credito Finanziario SpA<sup>(b)</sup>  | 43235 | 415448 |
|  MFE-MediaForEurope NV, Class A | 40 | 15 |
|  Moncler SpA | 1654 | 87888 |
|  Pirelli & C SpA<sup>(c)</sup>  | 78004 | 334368 |
|  Poste Italiane SpA<sup>(c)</sup>  | 46641 | 455051 |
|  PRADA SpA | 3200 | 17964 |
|  Recordati Industria Chimica e Farmaceutica SpA | 617 | 25647 |
|  Reply SpA | 448 | 51394 |
|  Snam SpA | 329289 | 1596668 |
|  Terna - Rete Elettrica Nazionale | 1332 | 9837 |
|  UniCredit SpA | 38174 | 541672 |
|  UnipolSai Assicurazioni SpA<sup>(b)</sup>  | 4922 | 12118 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5054970 |
| **Japan — 20.2%** |  |  |
|  Acom Co. Ltd. | 54800 | 131148 |
|  Advantest Corp. | 1300 | 83263 |
|  Alfresa Holdings Corp.<sup>(b)</sup>  | 18600 | 236430 |
|  Amada Co. Ltd. | 151600 | 1180562 |
|  Aozora Bank Ltd.<sup>(b)</sup>  | 400 | 7862 |
|  Astellas Pharma, Inc. | 140900 | 2142473 |
|  Benesse Holdings, Inc. | 48900 | 743475 |
|  Casio Computer Co. Ltd. | 13800 | 140003 |
|  Central Japan Railway Co. | 3100 | 380617 |
|  COMSYS Holdings Corp. | 600 | 10528 |
|  Cosmos Pharmaceutical Corp. | 400 | 40641 |
|  Daifuku Co. Ltd. | 1600 | 74583 |
|  Dai-ichi Life Holdings, Inc. | 43200 | 975602 |
|  Daiichi Sankyo Co. Ltd. | 7200 | 231744 |
|  Daikin Industries Ltd. | 900 | 136542 |
|  Daiwa House Industry Co. Ltd. | 19000 | 437689 |
|  DMG Mori Co. Ltd.<sup>(b)</sup>  | 37700 | 499251 |
|  Ebara Corp. | 4100 | 146052 |
|  Fancl Corp. | 1600 | 32575 |
|  FANUC Corp. | 7400 | 1107384 |
|  Fast Retailing Co. Ltd. | 3200 | 1947307 |
|  Fuji Media Holdings, Inc. | 13100 | 106554 |
|  Hino Motors Ltd.<sup>(a)</sup>  | 7500 | 28498 |
|  Hitachi Ltd. | 3100 | 155980 |
|  Honda Motor Co. Ltd. | 85000 | 1938766 |
|  Horiba Ltd.<sup>(b)</sup>  | 3300 | 143064 |
|  Hoya Corp. | 4000 | 383114 |
|  Inpex Corp.<sup>(b)</sup>  | 27500 | 295499 |
|  ITOCHU Corp. | 43200 | 1355303 |
|  Itochu Techno-Solutions Corp. | 2400 | 55670 |
|  Japan Post Bank Co. Ltd.<sup>(b)</sup>  | 62500 | 535809 |
|  Japan Tobacco, Inc.<sup>(b)</sup>  | 18500 | 372964 |
|  JGC Holdings Corp. | 1300 | 16479 |
|  Kajima Corp. | 1500 | 17456 |
|  Kakaku.com, Inc. | 7300 | 117133 |
|  Kamigumi Co. Ltd. | 5100 | 103826 |
|  Kandenko Co. Ltd. | 1700 | 11102 |
|  Kao Corp. | 400 | 15880 |
|  KDDI Corp. | 102400 | 3105473 |
|  Kinden Corp. | 2400 | 26129 |
|  Kubota Corp. | 17000 | 232244 |

---

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 3

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **International Tilts Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Japan (continued)** |  |  |
|  Lawson, Inc. | 35800 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1368653 |
|  Lion Corp. | 37300 | 429042 |
|  MatsukiyoCocokara & Co. | 400 | 20106 |
|  Medipal Holdings Corp. | 6300 | 83269 |
|  Mitsubishi Corp. | 86900 | 2821189 |
|  Mitsubishi Electric Corp. | 2600 | 25763 |
|  Mitsubishi Estate Co. Ltd. | 34900 | 452080 |
|  Mitsubishi Gas Chemical Co., Inc. | 46600 | 640590 |
|  Mitsubishi Heavy Industries Ltd. | 1400 | 55323 |
|  Mitsubishi UFJ Financial Group, Inc. | 150800 | 1012383 |
|  Mitsui Fudosan Co. Ltd. | 59400 | 1085652 |
|  MS&AD Insurance Group Holdings, Inc. | 14600 | 466760 |
|  Nabtesco Corp. | 4200 | 106530 |
|  NEC Corp. | 25700 | 901279 |
|  Nippon Steel Corp. | 6200 | 107577 |
|  Nippon Telegraph & Telephone Corp. | 61900 | 1765295 |
|  Nippon Television Holdings, Inc. | 1400 | 11043 |
|  Nitto Denko Corp. | 12700 | 731453 |
|  Nomura Real Estate Holdings, Inc. | 400 | 8553 |
|  Nomura Research Institute Ltd. | 5600 | 133134 |
|  NSK Ltd. | 30000 | 158181 |
|  OBIC Business Consultants Co. Ltd. | 500 | 16277 |
|  Olympus Corp. | 1300 | 22929 |
|  Omron Corp. | 24600 | 1188864 |
|  Oracle Corp. Japan | 600 | 39013 |
|  Oriental Land Co. Ltd. | 3000 | 436573 |
|  Otsuka Corp. | 3400 | 107169 |
|  Pola Orbis Holdings, Inc.<sup>(b)</sup>  | 21800 | 306813 |
|  Recruit Holdings Co. Ltd. | 64200 | 2009587 |
|  Ricoh Co. Ltd. | 26300 | 200173 |
|  Santen Pharmaceutical Co. Ltd. | 60100 | 489720 |
|  Sanwa Holdings Corp. | 1200 | 11048 |
|  SCREEN Holdings Co. Ltd. | 1800 | 114781 |
|  Sega Sammy Holdings, Inc. | 33100 | 499792 |
|  SG Holdings Co. Ltd. | 3000 | 41597 |
|  Shimamura Co. Ltd. | 200 | 19931 |
|  Shiseido Co. Ltd. | 1500 | 73521 |
|  SMC Corp. | 400 | 167021 |
|  SoftBank Corp. | 49500 | 560026 |
|  SoftBank Group Corp. | 20900 | 883922 |
|  Sohgo Security Services Co. Ltd. | 2600 | 70787 |
|  Sompo Holdings, Inc. | 300 | 13273 |
|  Sony Group Corp. | 2400 | 182932 |
|  Sumitomo Chemical Co. Ltd. | 340700 | 1221622 |
|  Sumitomo Corp. | 78400 | 1303250 |
|  Sumitomo Heavy Industries Ltd. | 1000 | 19964 |
|  Sumitomo Mitsui Financial Group, Inc. | 12100 | 486812 |
|  Sundrug Co. Ltd. | 4000 | 118866 |
|  Suzuken Co. Ltd. | 500 | 13528 |
|  Suzuki Motor Corp. | 16800 | 538059 |
|  T&D Holdings, Inc. | 14500 | 207564 |
|  Taisho Pharmaceutical Holdings Co. Ltd. | 800 | 35189 |
|  Takeda Pharmaceutical Co. Ltd. | 89600 | 2799702 |
|  Terumo Corp. | 23600 | 669074 |
|  Tokyo Electron Ltd. | 600 | 176297 |
|  Tokyo Tatemono Co. Ltd. | 1300 | 15738 |
|  Toshiba Corp. | 6900 | 239770 |
|  TOTO Ltd. | 900 | 30528 |
|  Toyota Industries Corp. | 2500 | 135814 |
|  Toyota Motor Corp. | 38600 | 526602 |
|  Trend Micro, Inc.<sup>(a)</sup>  | 6100 | 285281 |
|  Tsuruha Holdings, Inc. | 20700 | 1605597 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Japan (continued)** |  |  |
|  Yamada Holdings Co. Ltd. | 161000 | $571512 |
|  Yaskawa Electric Corp. | 14600 | 465819 |
|  ZOZO, Inc. | 3200 | 79026 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51087892 |
| **Luxembourg — 0.5%** |  |  |
|  ArcelorMittal SA | 50532 | 1333142 |
|  SES SA | 5 | 33 |
|  |  | 1333175 |
| **Macau — 0.0%** |  |  |
|  Wynn Macau Ltd.<sup>(a)</sup>  | 7200 | 7988 |
| **Netherlands — 4.7%** |  |  |
|  Aalberts NV | 609 | 23722 |
|  ABN AMRO Bank NV<sup>(c)</sup>  | 3708 | 51348 |
|  Adyen NV<sup>(a)(c)</sup>  | 17 | 23600 |
|  Argenx SE<sup>(a)</sup>  | 629 | 236130 |
|  ASML Holding NV | 7066 | 3852748 |
|  ASR Nederland NV | 17953 | 853019 |
|  IMCD NV | 4373 | 625520 |
|  JDE Peet's NV | 2344 | 67800 |
|  Koninklijke DSM NV | 4304 | 528508 |
|  Koninklijke Philips NV | 164540 | 2475868 |
|  Koninklijke Vopak NV | 6364 | 189306 |
|  NN Group NV | 324 | 13249 |
|  Randstad NV | 3126 | 191006 |
|  Signify NV<sup>(c)</sup>  | 594 | 19996 |
|  Stellantis NV | 86413 | 1227959 |
|  Wolters Kluwer NV | 14784 | 1546927 |
|  |  | 11926706 |
| **New Zealand — 0.0%** |  |  |
|  Vector Ltd. | 18296 | 47856 |
| **Norway — 2.0%** |  |  |
|  Aker BP ASA | 21723 | 675213 |
|  Aker Carbon Capture ASA<sup>(a)</sup>  | 9 | 11 |
|  Aker Horizons ASA<sup>(a)</sup>  | 1 | 1 |
|  Aker Solutions ASA | 13 | 50 |
|  DNB Bank ASA | 113665 | 2244896 |
|  Dolphin Drilling ASA<sup>(a)(b)(d)</sup>  | 8 |  |
|  Equinor ASA | 45039 | 1618713 |
|  Gjensidige Forsikring ASA | 1160 | 22752 |
|  Kongsberg Gruppen ASA | 2033 | 86532 |
|  Var Energi ASA<sup>(b)</sup>  | 93033 | 321182 |
|  |  | 4969350 |
| **Singapore — 1.1%** |  |  |
|  ComfortDelGro Corp. Ltd. | 60200 | 55286 |
|  Jardine Cycle & Carriage Ltd.<sup>(b)</sup>  | 64600 | 1379322 |
|  Mapletree Pan Asia Commercial Trust | 45200 | 56475 |
|  Oversea-Chinese Banking Corp. Ltd. | 48500 | 441157 |
|  SATS Ltd.<sup>(a)</sup>  | 42200 | 89449 |
|  Singapore Telecommunications Ltd. | 187400 | 359300 |
|  United Overseas Bank Ltd. | 17100 | 391690 |
|  |  | 2772679 |
| **South Africa — 0.3%** |  |  |
|  Anglo American PLC | 20429 | 799997 |
| **Spain — 1.9%** |  |  |
|  Acciona SA | 5067 | 932488 |
|  ACS Actividades de Construccion y Servicios SA | 1054 | 30159 |
|  Amadeus IT Group SA<sup>(a)</sup>  | 10642 | 552083 |
|  Banco Bilbao Vizcaya Argentaria SA | 288452 | 1737423 |
|  Banco Santander SA | 210495 | 629404 |

---

4 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **International Tilts Master Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Spain (continued)** |  |  |
|  Bankinter SA | 10655 | $71383 |
|  Grifols SA <sup>(a)(b)</sup>  | 8628 | 99640 |
|  Iberdrola SA | 30701 | 358388 |
|  Mapfre SA | 68819 | 133130 |
|  Repsol SA | 19876 | 316366 |
|  |  | 4860464 |
| **Sweden — 2.3%** |  |  |
|  Assa Abloy AB, Class B | 887 | 19079 |
|  Boliden AB | 2841 | 106714 |
|  EQT AB | 4033 | 85682 |
|  Industrivarden AB, A Shares | 21245 | 516743 |
|  Industrivarden AB, C Shares | 51367 | 1246289 |
|  Investor AB, A Shares | 6235 | 116000 |
|  Investor AB, B Shares | 97457 | 1764065 |
|  L E Lundbergforetagen AB, B Shares | 1326 | 56532 |
|  Saab AB, Class B | 35766 | 1409450 |
|  Telefonaktiebolaget LM Ericsson, B Shares | 50239 | 294371 |
|  Trelleborg AB, B Shares | 598 | 13813 |
|  Volvo AB, B Shares | 7592 | 137139 |
|  Volvo Car AB, Class B<sup>(a)(b)</sup>  | 9517 | 43335 |
|  |  | 5809212 |
| **Switzerland — 8.5%** |  |  |
|  ABB Ltd., Registered Shares | 37705 | 1149154 |
|  Chocoladefabriken Lindt & Spruengli AG | 122 | 1243185 |
|  Chocoladefabriken Lindt & Spruengli AG, Registered Shares | 5 | 514417 |
|  Cie Financiere Richemont SA, Registered Shares, Class A | 7653 | 992287 |
|  Flughafen Zurich AG, Registered Shares<sup>(a)</sup>  | 114 | 17640 |
|  Givaudan SA, Registered Shares | 9 | 27566 |
|  Helvetia Holding AG, Registered Shares | 1300 | 151272 |
|  Holcim AG, Registered Shares | 2982 | 154358 |
|  Nestle SA, Registered Shares | 37158 | 4292097 |
|  Novartis AG, Registered Shares | 48936 | 4428582 |
|  PSP Swiss Property AG, Registered Shares<sup>(b)</sup>  | 186 | 21850 |
|  Roche Holding AG | 7932 | 2562200 |
|  STMicroelectronics NV | 24795 | 881116 |
|  Swatch Group AG | 4181 | 1188326 |
|  Temenos AG, Registered Shares | 6494 | 357256 |
|  UBS Group AG, Registered Shares | 140774 | 2616456 |
|  VAT Group AG<sup>(c)</sup>  | 616 | 169103 |
|  Zurich Insurance Group AG | 1612 | 770660 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21537525 |
| **United Kingdom — 14.0%** |  |  |
|  Ashtead Group PLC | 2761 | 156838 |
|  AstraZeneca PLC | 24734 | 3346989 |
|  Auto Trader Group PLC<sup>(c)</sup>  | 12542 | 78103 |
|  Barclays PLC | 286725 | 545584 |
|  Bellway PLC | 4879 | 111574 |
|  BP PLC | 582060 | 3358452 |
|  British American Tobacco PLC | 77000 | 3045978 |
|  BT Group PLC | 1223592 | 1652184 |
|  Centrica PLC | 208087 | 242018 |
|  Compass Group PLC | 18360 | 423969 |
|  Croda International PLC | 1450 | 115389 |
|  Diageo PLC | 54103 | 2368189 |
|  Direct Line Insurance Group PLC | 23013 | 61338 |
|  Dr. Martens PLC | 3672 | 8333 |
|  Dunelm Group PLC | 3 | 36 |
|  GSK PLC | 195460 | 3378181 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **United Kingdom (continued)** |  |  |
|  HSBC Holdings PLC | 117209 | $726407 |
|  IG Group Holdings PLC | 12663 | 119315 |
|  IMI PLC<sup>(b)</sup>  | 13158 | 205499 |
|  Intertek Group PLC | 35598 | 1731921 |
|  Lloyds Banking Group PLC | 1808779 | 987074 |
|  London Stock Exchange Group PLC | 1164 | 100012 |
|  Man Group PLC | 6913 | 17786 |
|  National Grid PLC | 106565 | 1276580 |
|  Reckitt Benckiser Group PLC | 4405 | 305338 |
|  RELX PLC | 29550 | 816999 |
|  Rightmove PLC | 6272 | 38801 |
|  Rolls-Royce Holdings PLC<sup>(a)</sup>  | 5728 | 6398 |
|  RS GROUP PLC | 782 | 8420 |
|  Shell PLC | 184417 | 5198865 |
|  Smiths Group PLC | 41635 | 799062 |
|  Spectris PLC | 7072 | 256195 |
|  Spirax-Sarco Engineering PLC | 1144 | 146124 |
|  SSE PLC | 47919 | 985547 |
|  Standard Chartered PLC | 1739 | 12970 |
|  Tesco PLC | 203779 | 549157 |
|  Travis Perkins PLC | 4123 | 44080 |
|  Unilever PLC | 36788 | 1855320 |
|  UNITE Group PLC | 1648 | 18080 |
|  Vodafone Group PLC | 310655 | 314606 |
|  |  | 35413711 |
|  **Total Common Stocks — 97.3%<br>(Cost: $228,335,917)** |  | 246291504 |
| **Preferred Securities** |  |  |
|  **Preferred Stocks — 0.5%** |  |  |
| **Germany — 0.5%** |  |  |
|  Fuchs Petrolub SE, Preference Shares | 2198 | 76830 |
|  Porsche Automobil Holding SE, Preference Shares | 105 | 5726 |
|  Schaeffler AG, Preference Shares | 11 | 75 |
|  Volkswagen AG, Preference Shares | 10389 | 1288751 |
|  |  | 1371382 |
|  **Total Preferred Securities — 0.5%<br>(Cost: $1,553,546)** | **Total Preferred Securities — 0.5%<br>(Cost: $1,553,546)** | 1371382 |
|  **Total Long-Term Investments — 97.8%<br>(Cost: $229,889,463)** | **Total Long-Term Investments — 97.8%<br>(Cost: $229,889,463)** | 247662886 |
| **Short-Term Securities** |  |  |
|  **Money Market Funds — 4.1%** |  |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.53%<sup>(e)(f)(g)</sup>  | 5319136 | 5320732 |
|  BlackRock Cash Funds: Treasury, SL Agency Shares, 4.12%<sup>(e)(f)</sup>  | 5082227 | 5082227 |
|  **Total Short-Term Securities — 4.1%<br>(Cost: $10,400,657)** |  | 10402959 |
|  **Total Investments — 101.9%<br>(Cost: $240,290,120)** | **Total Investments — 101.9%<br>(Cost: $240,290,120)** | 258065845 |
|  **Liabilities in Excess of Other Assets — (1.9)%** | **Liabilities in Excess of Other Assets — (1.9)%** | (4790699) |
|  **Net Assets — 100.0%** |  | $253275146 |

---

<sup>(a)</sup> Non-income producing security.

<sup>(b)</sup> All or a portion of this security is on loan.

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 5

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **International Tilts Master Portfolio** |

---

<sup>(c)</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

<sup>(d)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

<sup>(e)</sup> Affiliate of the Master Portfolio.

<sup>(f)</sup> Annualized 7-day yield as of period end.

<sup>(g)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the Master Portfolio during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares<br>Held at<br>12/31/22* | *Income* | *Capital Gain*<br> *Distributions*<br> *from*<br> *Underlying*<br> *Funds* |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | $5394712 | $— | $(75300)<sup>(a)</sup> | $(355) | $1675 | $5320732 | 5319136 | $28129 <sup>(b)</sup> | $— |
|  BlackRock Cash Funds: Treasury, SL Agency Shares | 5557708 |  | (475481)<sup>(a)</sup> |  |  | 5082227 | 5082227 | 77960 |  |
|  |  |  |  | $(355) | $1675 | $10402959 |  | $106089 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

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

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI EAFE Index | 51 | 03/17/23 | $4971 | $(95842) |

---

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit*<br> &nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Equity*<br> &nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Foreign*<br> *Currency*<br> &nbsp;&nbsp;&nbsp;&nbsp;*Exchange*<br> *Contracts* | *Interest*<br> *Rate*<br> &nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Other*<br> &nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Total* |
|  **Liabilities — Derivative Financial Instruments** | **Liabilities — Derivative Financial Instruments** | **Liabilities — Derivative Financial Instruments** | **Liabilities — Derivative Financial Instruments** | **Liabilities — Derivative Financial Instruments** | **Liabilities — Derivative Financial Instruments** | **Liabilities — Derivative Financial Instruments** | **Liabilities — Derivative Financial Instruments** |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup>  | $— | $— | $95842 | $— | $— | $— | $95842 |

---

<sup>(a)</sup> Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Master Portfolio Schedule of Investments. In the Statement of Assets and Liabilities, only current day's variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in net unrealized appreciation (depreciation). 

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statement of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit*<br> &nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Equity*<br> &nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Foreign*<br> *Currency*<br> &nbsp;&nbsp;&nbsp;&nbsp;*Exchange*<br> *Contracts* | *Interest*<br> *Rate*<br> &nbsp;&nbsp;&nbsp;&nbsp;*Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(833743) | $— | $— | $— | $(833743) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(204630) | $— | $— | $— | $(204630) |

---

6 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **International Tilts Master Portfolio** |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $5322893 |

---

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

**Fair Value Hierarchy as of Period End** 

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

The following table summarizes the Master Portfolio's financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australia | $402594 | $21603317 | $— | $22005911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 1060283 |  | 1060283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 4641734 |  | 4641734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; China |  | 634902 |  | 634902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 8757954 |  | 8757954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 871497 |  | 871497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; France |  | 28941240 |  | 28941240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 22619177 |  | 22619177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 9206200 |  | 9206200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 1487730 |  | 1487730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Israel |  | 443351 |  | 443351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 5054970 |  | 5054970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 51087892 |  | 51087892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Luxembourg | 33 | 1333142 |  | 1333175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Macau |  | 7988 |  | 7988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 11926706 |  | 11926706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 47856 |  | 47856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 4969350 |  | 4969350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 2772679 |  | 2772679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 799997 |  | 799997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 4860464 |  | 4860464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 5809212 |  | 5809212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 21537525 |  | 21537525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 35413711 |  | 35413711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks |  | 1371382 |  | 1371382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 10402959 |  |  | 10402959 |
|  | $10805586 | $247260259 | $— | $258065845 |
|  Derivative Financial Instruments<sup>(a)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | $(95842) | $— | $— | $(95842) |

---

<sup>(a)</sup> Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*See notes to financial statements.* 

M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S 7

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Statement of Assets and Liabilities

December 31, 2022

---

| | |
|:---|:---|
|  | International<br> Tilts Master<br> Portfolio |
|  **ASSETS** |  |
|  Investments, at value — unaffiliated<sup>(a)(b)</sup>  | $247662886 |
|  Investments, at value — affiliated<sup>(c)</sup>  | 10402959 |
|  Cash pledged for futures contracts | 245910 |
|  Foreign currency, at value<sup>(d)</sup>  | 19098 |
|  Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated | 3608 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | 407826 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 17182 |
|  Prepaid expenses | 1887 |
|  Total assets | 258761356 |
|  **LIABILITIES** |  |
|  Bank overdraft | 5003 |
|  Collateral on securities loaned | 5318736 |
|  Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration fees | 10801 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 75301 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' and Officer's fees | 1751 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 23329 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 51289 |
|  Total liabilities | 5486210 |
|  NET ASSETS | $253275146 |
|  **NET ASSETS CONSIST OF** |  |
|  Investors' capital | $235590989 |
|  Net unrealized appreciation (depreciation) | 17684157 |
|  NET ASSETS | $253275146 |
|  <sup>(a) </sup>Investments, at cost — unaffiliated | $229889463 |
|  <sup>(b) </sup>Securities loaned, at value | $5044702 |
|  <sup>(c)</sup> Investments, at cost — affiliated | $10400657 |
|  <sup>(d) </sup>Foreign currency, at cost | $20073 |

---

*See notes to financial statements.* 

8 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statement of Operations

Year Ended December 31, 2022

---

| | |
|:---|:---|
|  | International<br> Tilts Master<br> Portfolio |
|  **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $9071531 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 77978 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net | 28111 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | (1195308) |
|  Total investment income | 7982312 |
|  EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 1022498 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administration | 127812 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 22093 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees and Officer | 6776 |
|  Total expenses | 1179179 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (160312) |
|  Total expenses after fees waived and/or reimbursed | 1018867 |
|  Net investment income | 6963445 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized loss from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (29886165) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (355) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | (157603) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (833743) |
|  | (30877866) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (16744639) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | 1675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations | 3643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (204630) |
|  | (16943951) |
|  Net realized and unrealized loss | (47821817) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(40858372) |

---

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L S T A T E M E N T S 9

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Statements of Changes in Net Assets

---

| | | |
|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;International Tilts Master Portfolio | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;International Tilts Master Portfolio |
|  | Year Ended<br> 12/31/22 | Year Ended<br> 12/31/21 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |
|  **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $6963445 | $5215470 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (30877866) | 25627549 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (16943951) | (282250) |
|  Net increase (decrease) in net assets resulting from operations | (40858372) | 30560769 |
|  **CAPITAL TRANSACTIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from contributions | 17025691 | 43597486 |
| &nbsp;&nbsp;&nbsp;&nbsp; Value of withdrawals | (9591747) | (7672392) |
|  Net increase in net assets derived from capital transactions | 7433944 | 35925094 |
|  *NET ASSETS* |  |  |
|  Total increase (decrease) in net assets | (33424428) | 66485863 |
|  Beginning of year | 286699574 | 220213711 |
|  End of year | $253275146 | $286699574 |

---

*See notes to financial statements.* 

10 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Financial Highlights

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | International Tilts Master Portfolio | International Tilts Master Portfolio | International Tilts Master Portfolio | International Tilts Master Portfolio | International Tilts Master Portfolio |
| | Year Ended<br>12/31/22 | Year Ended<br>12/31/21 | Year Ended<br>12/31/20 | Year Ended<br>12/31/19 | Year Ended<br>12/31/18 |
|  **Total Return** |  |  |  |  |  |
|  Total return | (13.72)% | 13.15% | 6.88% | 22.30% | (15.06)% |
|  **Ratios to Average Net Assets<sup>(a)</sup>**  |  |  |  |  |  |
|  Total expenses | 0.46% | 0.46% | 0.47% | 0.47% | 0.46% |
|  Total expenses after fees waived and/or reimbursed | 0.40% | 0.40% | 0.40% | 0.40% | 0.40% |
|  Net investment income | 2.72% | 2.03% | 1.78% | 3.22% | 2.68 %<sup>(b)</sup> |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $253275 | $286700 | $220214 | $176066 | $147377 |
|  Portfolio turnover rate | 122% | 180% | 261% | 151% | 130% |

---

<sup>(a)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(b)</sup> The ratio of net investment income to average net assets includes 0.04% resulting from a special dividend. 

*See notes to financial statements.* 

M A S T E R P O R T F O L I O F I N A N C I A L H I G H L I G H T S 11

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Notes to Financial Statements

***1.***  ***ORGANIZATION*** 

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

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the "Manager") or its affiliates, is included in a complex of funds referred to as the BlackRock Multi-Asset Complex.

***2.***  ***SIGNIFICANT ACCOUNTING POLICIES*** 

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

**Investment Transactions and Income Recognition:** For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.

**Foreign Currency Translation:** The Master Portfolio's books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange ("NYSE"). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

The Master Portfolio does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Realized currency gains (losses) on foreign currency related transactions are reported as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes. The Master Portfolio has elected to treat realized gains (losses) from certain forward foreign currency exchange contracts as capital gain (loss) for U.S. federal income tax purposes.

**Foreign Taxes:** The Master Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Master Portfolio invests. These foreign taxes, if any, are paid by the Master Portfolio and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as "Foreign taxes withheld", and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2022, if any, are disclosed in the Statement of Assets and Liabilities.

The Master Portfolio files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Master Portfolio may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction's applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

**Collateralization:** If required by an exchange or counterparty agreement, the Master Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

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

**Other:** Expenses directly related to the Master Portfolio are charged to the Master Portfolio. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

***3.***  ***INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*** 

**Investment Valuation Policies:** The Master Portfolio's investments are valued at fair value (also referred to as "market value" within the financial statements) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of the Master Portfolio (the "Board") has approved the designation of the Master Portfolio's Manager as the valuation designee for the Master Portfolio. The Master Portfolio determines the fair values of its

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financial instruments using various independent dealers or pricing services under the Manager's policies. If a security's market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager's policies and procedures as reflecting fair value. The Manager has formed a committee (the "Valuation Committee") to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

**Fair Value Inputs and Methodologies:** The following methods and inputs are used to establish the fair value of the Master Portfolio's assets and liabilities:

&nbsp;&nbsp;&nbsp;&nbsp;• Equity investments traded on a recognized securities exchange are valued at that day's official closing price, as
applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

&nbsp;&nbsp;&nbsp;&nbsp;• Investments in open-end U.S. mutual funds (including money market funds) are
valued at that day's published net asset value ("NAV").

&nbsp;&nbsp;&nbsp;&nbsp;• Futures contracts are valued based on that day's last reported settlement or trade price on the exchange where the
contract is traded.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Master Portfolio uses current market factors supplied by independent pricing services to value certain foreign instruments ("Systematic Fair Value Price"). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager's policies and procedures as reflecting fair value ("Fair Valued Investments"). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that the Master Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm's-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.

For investments in equity or debt issued by privately held companies or funds ("Private Company" or collectively, the "Private Companies") and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.

---

| | |
|:---|:---|
| | *Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services* |
| <br> Market approach | <br> (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;<br> (ii) recapitalizations and other transactions across the capital structure; and<br> (iii) market multiples of comparable issuers. |
| <br> Income approach | <br> (i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;<br> (ii) quoted prices for similar investments or assets in active markets; and<br> (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
| <br> Cost approach | <br> (i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;<br> (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;<br> (iii) relevant news and other public sources; and<br> (iv) known secondary market transactions in the Private Company's interests and merger or acquisition activity in companies comparable to the Private Company. |

---

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model ("OPM"), a probability weighted expected return model ("PWERM"), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by the Master Portfolio. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Master Portfolio is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Master Portfolio could receive upon the sale of the investment.

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

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the
Master Portfolio has the ability to access;

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

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Notes to Financial Statements (continued)

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

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

***4.***  ***SECURITIES AND OTHER INVESTMENTS*** 

**Preferred Stocks:** Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer's board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

**Securities Lending:** The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. ("BTC"), if any, is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Master Portfolio, except in the event of borrower default. The securities on loan, if any, are disclosed in the Master Portfolio's Schedule of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value –unaffiliated and collateral on securities loaned, respectively.

Securities lending transactions are entered into by the Master Portfolio under Master Securities Lending Agreements (each, an "MSLA"), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty's bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties' obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party's net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Master Portfolio's securities on loan by counterparty which are subject to offset under an MSLA:

---

| | | | |
|:---|:---|:---|:---|
|  *Counterparty* | *Securities<br>Loaned at Value* | *Cash Collateral<br>Received <br><sup>(a)</sup>* |  |
|  BofA Securities, Inc. | $3124654 | $(3124654) | $– |
|  Goldman Sachs & Co. LLC | 815475 | (815475) | – |
|  HSBC Bank PLC | 309616 | (309616) | – |
|  Jefferies LLC | 3813 | (3813) | – |
|  Morgan Stanley | 705369 | (705369) | – |
|  UBS AG | 85775 | (85775) | – |
|  | $5044702 | $(5044702) | $– |

---

<sup>(a)</sup> Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio's Statement of Assets and Liabilities. 

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by BlackRock, Inc. ("BlackRock"). BlackRock's indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could incur a loss

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Notes to Financial Statements (continued)

if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Master Portfolio.

***5.***  ***DERIVATIVE FINANCIAL INSTRUMENTS*** 

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter ("OTC").

**Futures Contracts:** Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract's size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract ("variation margin"). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

***6.***  ***INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*** 

**Investment Advisory:** MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio's investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of the Master Portfolio's portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Master Portfolio.

For such services, the Master Portfolio pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Master Portfolio's net assets:

---

| | |
|:---|:---|
| *Average Daily Net Assets* | *Investment* <br> *Advisory Fees*  |
|  First $1 billion | 0.40% |
|  $1 billion -$3 billion | 0.38 |
|  $3 billion -$5 billion | 0.36 |
|  $5 billion -$10 billion | 0.35 |
|  Greater than $10 billion | 0.34 |

---

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

The Manager entered into separate sub-advisory agreements with BlackRock Fund Advisors ("BFA") and BlackRock International Limited ("BIL") (collectively, the "Sub-Advisers"), each an affiliate of the Manager. The Manager pays BFA and BIL for services they provide for that portion of the Master Portfolio for which BFA and BIL, as applicable, acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by the Master Portfolio to the Manager.

**Expense Waivers and Reimbursements:** The fees and expenses of MIP's trustees who are not "interested persons" of MIP, as defined in the 1940 Act ("Independent Trustees"), counsel to the Independent Trustees and the Master Portfolio's independent registered public accounting firm (together, the "independent expenses") are paid directly by the Master Portfolio. The Manager has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the investment advisory fees paid by the Master Portfolio in an amount equal to these independent expenses through June 30, 2023. Such contractual arrangement may not be terminated prior to July 1, 2023 without the consent of the Board of MIP. This amount waived is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the amount waived was $28,869.

The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the "affiliated money market fund waiver") through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the amounts waived were $3,631.

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Notes to Financial Statements (continued)

The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Master Portfolio's assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. For the year ended December 31, 2022, there were no fees waived and/or reimbursed by the Manager pursuant to this agreement.

The Manager has contractually agreed to waive administration fees through June 30, 2023. This waiver agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees or by a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2022, the Manager waived $127,812.

**Securities Lending:** The U.S. Securities and Exchange Commission ("SEC") has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan (the "collateral investment fees"). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by the Manager or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund's weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, the Master Portfolio retains 82% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Master Portfolio is shown as securities lending income — affiliated — net in the Statement of Operations. For the year ended December 31, 2022, the Master Portfolio paid BTC $7,812 for securities lending agent services.

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the SEC, the Master Portfolio may participate in a joint lending and borrowing facility for temporary purposes (the "Interfund Lending Program"), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Master Portfolio's investment policies and restrictions. The Master Portfolio is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund's investment restrictions). If a borrowing BlackRock fund's total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended December 31, 2022, the Master Portfolio did not participate in the Interfund Lending Program.

**Trustees and Officers:** Certain trustees and/or officers of MIP are directors and/or officers of BlackRock or its affiliates.

**Other Transactions:** The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended December 31, 2022, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

---

| | | | |
|:---|:---|:---|:---|
| *Master Portfolio Name* | *Purchases* | *Sales* | *Net Realized<br>Gain (Loss)* |
|  International Tilts Master Portfolio | $34142898 | $26784142 | $(2861958) |

---

***7.***  ***PURCHASES AND SALES*** 

For the year ended December 31, 2022, purchases and sales of investments, excluding short-term securities, were $323,197,334 and $307,977,404, respectively.

***8.***  ***INCOME TAX INFORMATION*** 

The Master Portfolio is classified as a partnership for U.S. federal income tax purposes. As such, each investor in the Master Portfolio is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no U.S. federal income tax provision is

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Notes to Financial Statements (continued)

required. It is intended that the Master Portfolio's assets will be managed so an investor in the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Master Portfolio's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Master Portfolio as of December 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio's financial statements.

As of December 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Master Portfolio Name* | *Tax Cost* | *Gross Unrealized<br>Appreciation* | *Gross Unrealized<br>Depreciation* | *Net Unrealized<br>Appreciation<br>(Depreciation)* |
|  International Tilts Master Portfolio | $246020960 | $&nbsp;&nbsp;&nbsp;&nbsp;26637755 | $&nbsp;&nbsp;&nbsp;&nbsp;(14592870) | $12044885 |

---

***9.***  ***BANK BORROWINGS*** 

MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates ("Participating Funds"), are a party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate ("OBFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate ("SOFR") (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2023 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended December 31, 2022, the Master Portfolio did not borrow under the credit agreement.

***10.***  ***PRINCIPAL RISKS*** 

In the normal course of business, the Master Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio's prospectus provides details of the risks to which the Master Portfolio is subject.

The Master Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

**Infectious Illness Risk:** An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

**Valuation Risk:** The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Master Portfolio may invest in illiquid investments. An illiquid investment is any investment that the Master Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Master Portfolio may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Master Portfolio's NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Master Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Master Portfolio invests.

The price the Master Portfolio could receive upon the sale of any particular portfolio investment may differ from the Master Portfolio's valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Master Portfolio's results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Master Portfolio, and the Master Portfolio could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Master Portfolio's ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.

**Counterparty Credit Risk:** The Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Master Portfolio manages

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Notes to Financial Statements (continued)

counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio's exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

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

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

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

Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. The United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. These events and actions have adversely affected, and may in the future adversely affect, the value and exchange rate of the Euro and may continue to significantly affect the economies of every country in Europe, including countries that do not use the Euro and non-European Union member states. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching. In addition, Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.

**Significant Shareholder Redemption Risk:** Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund's NAV, increase the fund's brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

**LIBOR Transition Risk:** The United Kingdom's Financial Conduct Authority announced a phase out of the London Interbank Offered Rate ("LIBOR"). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Master Portfolio may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Master Portfolio is uncertain.

***11.***  ***SUBSEQUENT EVENTS*** 

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

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Master Investment Portfolio and Investors of International Tilts Master Portfolio

**Opinion on the Financial Statements** 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of International Tilts Master Portfolio (one of the series constituting Master Investment Portfolio, referred to hereafter as the "Master Portfolio") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Master Portfolio as of December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2022 and the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion** 

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 23, 2023

We have served as the auditor of one or more BlackRock investment companies since 2000.

M A S T E R P O R T F O L I O R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M 19

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Statement Regarding Liquidity Risk Management Program

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), Master Investment Portfolio ("MIP") has adopted and implemented a liquidity risk management program (the "Program") for International Tilts Master Portfolio (the "Fund"), a series of MIP, which is reasonably designed to assess and manage the Fund's liquidity risk.

The Board of Trustees (the "Board") of MIP, on behalf of the Fund, met on November 8-9, 2022 (the "Meeting") to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors ("BlackRock"), each an investment adviser to certain BlackRock funds, as the program administrator for the Fund's Program, as applicable. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the "Committee"). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of the Fund's Highly Liquid Investment Minimum ("HLIM") where applicable, and any material changes to the Program (the "Report"). The Report covered the period from October 1, 2021 through September 30, 2022 (the "Program Reporting Period").

The Report described the Program's liquidity classification methodology for categorizing the Fund's investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish the Fund's HLIM and noted that the Committee reviews and ratifies the HLIM assigned to the Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing the Fund's liquidity risk, as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***a)***  ***The Fund's investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed whether the Fund's strategy is appropriate for an open-end fund structure with a focus on funds with
more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund's concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a
fund participated in borrowings for investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program's calculation of a fund's liquidity bucketing. A fund's derivative
exposure was also considered in such calculation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***b)***  ***Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions.*** During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish the Fund's reasonably anticipated trading size utilized for liquidity classifications. The
Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a fund's shareholder ownership concentration (which,
depending on product type and distribution channel, may or may not be available), a fund's distribution channels, and the degree of certainty associated with a fund's short-term and long-term cash flow projections.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***c)***  ***Holdings of cash and cash equivalents, as well as borrowing arrangements.*** The Committee considered the
terms of the credit facility committed to the Fund, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is
specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V, and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). The Committee also considered other types of borrowing available to the
Master Portfolio, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.

There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program's classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

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Trustee and Officer Information

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>**  | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships Held**<br> **During**<br> **Past 5 Years** |
| <br> **Mark Stalnecker**<br> 1951 | <br> Chair of the Board (Since 2019) and Trustee<br> (Since 2015) | <br> Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees' Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014. | <br> 28 RICs consisting of 164 Portfolios |  |
| <br> **Susan J. Carter**<br> 1956 | <br> Trustee<br> (Since 2016) | <br> Trustee, Financial Accounting Foundation from 2017 to 2021; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business from 1997 to 2021; Director, Pacific Pension Institute from 2014 to 2018; Senior Advisor, Commonfund Capital, Inc. ("CCI") (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof since 2018; Advisory Board Member, Bridges Fund Management since 2016; Practitioner Advisory Board Member, Private Capital Research Institute ("PCRI") since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019; Advisor to Finance Committee, Altman Foundation since 2020; Investment Committee Member, Tostan since 2021. | <br> 28 RICs consisting of 164 Portfolios |  |
| <br> **Collette Chilton**<br> 1958 | <br> Trustee<br> (Since 2015) | <br> Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006; Director, Boys and Girls Club of Boston since 2017; Director, B1 Capital since 2018; Director, David and Lucile Packard Foundation since 2020. | <br> 28 RICs consisting of 164 Portfolios |  |
| <br> **Neil A. Cotty**<br> 1954 | <br> Trustee<br> (Since 2016) | <br> Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002. | <br> 28 RICs consisting of 164 Portfolios |  |
| <br> **Lena G. Goldberg**<br> 1949 | <br> Trustee<br> (Since 2019) | <br> Director, Charles Stark Draper Laboratory, Inc. from 2013 to 2021; Senior Lecturer, Harvard Business School from 2008 to 2021; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985. | <br> 28 RICs consisting of 164 Portfolios |  |

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T R U S T E E A N D O F F I C E R I N F O R M A T I O N 21

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>**  | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships Held**<br> **During**<br> **Past 5 Years** |
| **Henry R. Keizer**<br> 1956 | Trustee<br> (Since 2019) | Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010. | 28 RICs consisting of 164 Portfolios | Hertz Global Holdings (car rental) from 2015 to 2021; GrafTech International Ltd. (materials manufacturing); WABCO (commercial vehicle safety systems) from 2015 to 2020; Sealed Air Corp. (packaging) from 2015 to 2021 |
| **Cynthia A. Montgomery**<br> 1952 | Trustee<br> (Since 2009) | Professor, Harvard Business School since 1989. | 28 RICs consisting of 164 Portfolios |  |
| **Donald C. Opatrny**<br> 1952 | Trustee<br> (Since 2019) | Director, Athena Capital Advisors LLC (investment management firm) from 2013 to 2020; Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University from 2004 to 2019; President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018; Member of the Board and Investment Committee, University School from 2007 to 2018; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyoming since 2017; Member, Investment Funds Committee, State of Wyoming since 2017; Trustee, Phoenix Art Museum since 2018; Trustee, Arizona Community Foundation and Member of Investment Committee since 2020. | 28 RICs consisting of 164 Portfolios |  |
| **Joseph P. Platt**<br> 1947 | Trustee<br> (Since 2009) | General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, Basic Health International (non-profit) since 2015. | 28 RICs consisting of 164 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company); Consol Energy Inc. |
| **Kenneth L. Urish**<br> 1951 | Trustee<br> (Since 2009) | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past- Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since founding in 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter- Tel from 2006 to 2007; Member, Advisory Board, ESG Competent Boards since 2020. | 28 RICs consisting of 164 Portfolios |  |

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Trustee and Officer Information (continued)

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| | | | | |
|:---|:---|:---|:---|:---|
| | | **Independent Trustees<sup>(a)</sup>** (continued) | | |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>**  | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships Held**<br> **During**<br> **Past 5 Years** |
| **Claire A. Walton**<br> 1957 | Trustee<br> (Since 2016) | Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; General Partner of Neon Liberty Capital Management, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Woodstock Ski Runners since 2013; Director, Massachusetts Council on Economic Education from 2013 to 2015. | 28 RICs consisting of 164 Portfolios |  |
|  |  | **Interested Trustees<sup>(a)(d)</sup>** |  |  |
| **Name**<br> **Year of Birth<sup>(b)</sup>**  | **Position(s) Held<br>(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised<br>Registered Investment Companies<br>("RICs") Consisting of<br>Investment Portfolios<br>("Portfolios") Overseen** | **Public Company<br>and Other<br>Investment<br>Company<br>Directorships<br>Held During<br>Past 5 Years** |
| **Robert Fairbairn**<br> 1965 | Trustee<br> (Since 2018) | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock's Global Executive and Global Operating Committees; Co-Chair of BlackRock's Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock's Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock's Retail and iShares<sup>®</sup> businesses from 2012 to 2016. | 98 RICs consisting of 266 Portfolios |  |
| **John M. Perlowski**<sup>(e)</sup> <br> 1964 | Trustee<br> (Since 2015)<br>President and Chief<br>Executive Officer<br>(Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 100 RICs consisting of 268 Portfolios |  |
|  <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.<br> <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015.<br> <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.<br> <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.<br> <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015.<br> <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.<br> <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.<br> <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015.<br> <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.<br> <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.<br> <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015.<br> <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.<br> <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. | <sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.<br> <sup>(c)</sup> In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Board. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds or legacy BlackRock funds as follows: Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015.<br> <sup>(d)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the MIP based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex.<br> <sup>(e)</sup> Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. |

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T R U S T E E A N D O F F I C E R I N F O R M A T I O N 23

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Trustee and Officer Information (continued)

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| | | |
|:---|:---|:---|
| **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** |
| **Name<br>Year of Birth<sup>(b)</sup>** | **Position(s) Held<br>(Length of Service)** | **Principal Occupation(s) During Past 5 Years** |
| **Roland Villacorta**<br> 1971 | Vice President<br> (Since 2022) | Managing Director of BlackRock, Inc. since 2022; Head of Global Cash Management and Head of Securities Lending within BlackRock's Portfolio Management Group since 2022; Member of BlackRock's Global Operating Committee since 2022; Head of Portfolio Management in BlackRock's Financial Markets Advisory Group within BlackRock Solutions from 2008 to 2015; Co-Head of BlackRock Solutions' Portfolio Analytics Group; previously Mr. Villacorta was Co-Head of Fixed Income within BlackRock's Risk & Quantitative Analysis Group. |
| **Jennifer McGovern**<br> 1977 | Vice President<br> (Since 2014) | Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock's Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock's U.S. Wealth Advisory Group from 2013 to 2019. |
| **Trent Walker**<br> 1974 | Chief Financial Officer<br> (Since 2021) | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. |
| **Jay M. Fife**<br> 1970 | Treasurer<br> (Since 2009) | Managing Director of BlackRock, Inc. since 2007. |
| **Charles Park**<br> 1967 | Chief Compliance Officer<br> (Since 2014) | Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares<sup>®</sup> Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors ("BFA") since 2006; Chief Compliance Officer for the BFA-advised iShares<sup>®</sup> exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. |
| **Lisa Belle**<br> 1968 | Anti-Money Laundering Compliance Officer<br> (Since 2019) | Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012. |
| **Janey Ahn**<br> 1975 | Secretary<br> (Since 2019) | Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. |
|  <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Officers of the MIP serve at the pleasure of the Board. | <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Officers of the MIP serve at the pleasure of the Board. | <sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.<br> <sup>(b)</sup> Officers of the MIP serve at the pleasure of the Board. |

---

Further information about the MIP's Trustees and Officers is available in the Master Portfolio's Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

Effective March 31, 2022, Thomas Callahan resigned as a Vice President of the MIP and effective May 10, 2022, Roland Villacorta was appointed as a Vice President of the MIP.

Effective December 31, 2022, Joseph P. Platt retired as a Trustee of the MIP.

24 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

Additional Information

**General Information** 

Quarterly performance, semi-annual and annual reports and other information regarding the Master Portfolio may be found on BlackRock's website, which can be accessed at **blackrock.com**. Any reference to BlackRock's website in this report is intended to allow investors public access to information regarding the Master Portfolio and does not, and is not intended to, incorporate BlackRock's website in this report.

**Householding** 

The Master Portfolio will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called "householding" and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Master Portfolio at (800) 441-7762.

**Availability of Quarterly Schedule of Investments** 

The Master Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Master Portfolio's Form N-PORT is available on the SEC's website at **sec.gov**. Additionally, the Master Portfolio makes its portfolio holdings for the first and third quarters of each fiscal year available at **blackrock.com/fundreports**.

**Availability of Proxy Voting Policies, Procedures and Voting Records** 

A description of the policies and procedures that the Master Portfolio uses to determine how to vote proxies relating to portfolio securities and information about how the Master Portfolio voted proxies relating to securities held in the Master Portfolio's portfolio during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at **blackrock.com**; and (3) on the SEC's website at **sec.gov**.

**BlackRock's Mutual Fund Family** 

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

**Shareholder Privileges** 

**Account Information** 

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit **blackrock.com** for more information.

**Automatic Investment Plans** 

Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

**Systematic Withdrawal Plans** 

Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.

**Retirement Plans** 

Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.

**BlackRock Privacy Principles** 

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, "Clients") and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

A D D I T I O N A L I N F O R M A T I O N 25

------

Additional Information (continued)

**BlackRock Privacy Principles (continued)** 

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

**Master Portfolio and Service Providers** 

**Investment Adviser and Administrator** 

BlackRock Advisors, LLC

Wilmington, DE 19809

**Sub-Adviser** 

BlackRock Fund Advisors

San Francisco, CA 94105

BlackRock International Limited

Edinburgh, EH3 8BL

United Kingdom

**Accounting Agent and Custodian** 

State Street Bank and Trust Company

Boston, MA 02111

**Transfer Agent** 

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

**Independent Registered Public Accounting Firm** 

PricewaterhouseCoopers LLP

Philadelphia, PA 19103

**Legal Counsel** 

Sidley Austin LLP

New York, NY 10019

**Address of MIP** 

400 Howard Street

San Francisco, CA 94105

26 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Glossary of Terms Used in this Report

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| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| MSCI | Morgan Stanley Capital International |
| REIT | Real Estate Investment Trust |

---

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

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not Applicable

---

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

---

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

Neil A. Cotty

Henry R. Keizer

Kenneth L. Urish

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

Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by PricewaterhouseCoopers LLP ("PwC") in each of the last two fiscal years for the services rendered to the Funds:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **(a) Audit Fees** | **(a) Audit Fees** | **(b) Audit-Related Fees<sup>1</sup>** | **(b) Audit-Related Fees<sup>1</sup>** | **(c) Tax Fees<sup>2</sup>** | **(c) Tax Fees<sup>2</sup>** | **(d) All Other Fees** | **(d) All Other Fees** |
| &nbsp;&nbsp;&nbsp;**<u>Entity Name</u>** | **<u>Current</u>**<br> **<u>Fiscal Year<br>End</u>** | **<u>Previous</u>**<br> **<u>Fiscal Year<br>End</u>** | **<u>Current</u>**<br> **<u>Fiscal Year<br>End</u>** | **<u>Previous</u>**<br> **<u>Fiscal Year<br>End</u>** | **<u>Current</u>**<br> **<u>Fiscal Year<br>End</u>** | **<u>Previous</u>**<br> **<u>Fiscal Year<br>End</u>** | **<u>Current</u>**<br> **<u>Fiscal Year<br>End</u>** | **<u>Previous</u>**<br> **<u>Fiscal Year<br>End</u>** |
| &nbsp;&nbsp;&nbsp;BlackRock Cash Funds: Institutional | $11000 | $11000 | $0 | $0 | $5000 | $2900 | $0 | $0 |
| &nbsp;&nbsp;&nbsp;BlackRock Cash Funds: Treasury | $11000 | $11000 | $0 | $0 | $5000 | $2900 | $0 | $0 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2025 Fund | $22000 | $22000 | $0 | $323 | $10750 | $9600 | $0 | $0 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2030 Fund | $22000 | $22000 | $0 | $323 | $10750 | $9600 | $0 | $0 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2035 Fund | $22000 | $22000 | $0 | $323 | $10750 | $9600 | $0 | $0 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2040 Fund | $22000 | $22000 | $0 | $323 | $10750 | $9600 | $0 | $0 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2045 Fund | $22000 | $22000 | $0 | $323 | $10750 | $9600 | $0 | $0 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2050 Fund | $22000 | $22000 | $0 | $323 | $10750 | $9600 | $0 | $0 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2055 Fund | $22000 | $22000 | $0 | $323 | $10750 | $9600 | $0 | $0 |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2060 Fund | $22000 | $0 | $323 | $10750 | $9600 | $0 |
| &nbsp;&nbsp;&nbsp;Blackrock LifePath Dynamic 2065 Fund | $22000 | $0 | $323 | $10750 | $9600 | $0 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic Retirement Fund | $22000 | $0 | $323 | $10750 | $9600 | $0 |
| &nbsp;&nbsp;&nbsp;iShares MSCI Total International Index Fund | $11000 | $0 | $0 | $10750 | $8100 | $0 |
| &nbsp;&nbsp;&nbsp;iShares Russell 1000 Large-Cap Index Fund | $11000 | $0 | $207 | $10750 | $8100 | $0 |
| &nbsp;&nbsp;&nbsp;iShares S&P 500 Index Fund | $13400 | $0 | $0 | $10750 | $8100 | $0 |
| &nbsp;&nbsp;&nbsp;iShares U.S. Aggregate Bond Index Fund | $12200 | $0 | $0 | $10750 | $8100 | $0 |
| &nbsp;&nbsp;&nbsp;Diversified Equity Master Portfolio | $22000 | $0 | $0 | $27500 | $18550 | $0 |
| &nbsp;&nbsp;&nbsp;International Tilts Master Portfolio | $22000 | $0 | $0 | $27500 | $20900 | $0 |
| &nbsp;&nbsp;&nbsp;Large Cap Index Master Portfolio | $22000 | $0 | $0 | $27500 | $20900 | $0 |
| &nbsp;&nbsp;&nbsp;Money Market Master Portfolio | $12400 | $0 | $0 | $0 | $0 | $0 |
| &nbsp;&nbsp;&nbsp;S&P 500 Index Master Portfolio | $22000 | $0 | $0 | $27500 | $20900 | $0 |
| &nbsp;&nbsp;&nbsp;Total International ex U.S. Index Master Portfolio | $22000 | $0 | $0 | $27500 | $20900 | $0 |
| &nbsp;&nbsp;&nbsp;Treasury Money Market Master Portfolio | $12400 | $0 | $0 | $8000 | $7100 | $0 |
| &nbsp;&nbsp;&nbsp;U.S. Total Bond Index Master Portfolio | $24100 | $0 | $0 | $27500 | $18550 | $0 |

---

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

---

| | | |
|:---|:---|:---|
|  | **Current Fiscal Year End** | **Previous Fiscal Year End** |
| &nbsp;&nbsp;&nbsp; **(b) Audit-Related Fees<sup>1</sup>** | $0 | $0 |
| &nbsp;&nbsp;&nbsp; **(c) Tax Fees<sup>2</sup>** | $0 | $0 |
| &nbsp;&nbsp;&nbsp; **(d) All Other Fees<sup>3</sup>** | $0 | $0 |

---

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

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

<sup>3</sup> Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by PwC with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

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

Each Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and 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"). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Not Applicable

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

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**<u>Entity Name</u>** | **<u>Current Fiscal</u>**<br> **<u>Year End</u>** | **<u>Previous Fiscal</u>**<br> **<u>Year End</u>** |
| &nbsp;&nbsp;&nbsp;BlackRock Cash Funds: Institutional | $5000 | $2900 |
| &nbsp;&nbsp;&nbsp;BlackRock Cash Funds: Treasury | $5000 | $2900 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2025 Fund | $10750 | $9923 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2030 Fund | $10750 | $9923 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2035 Fund | $10750 | $9923 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2040 Fund | $10750 | $9923 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2045 Fund | $10750 | $9923 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2050 Fund | $10750 | $9923 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2055 Fund | $10750 | $9923 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2060 Fund | $10750 | $9923 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic 2065 Fund | $10750 | $9923 |
| &nbsp;&nbsp;&nbsp;BlackRock LifePath Dynamic Retirement Fund | $10750 | $9923 |
| &nbsp;&nbsp;&nbsp;iShares MSCI Total International Index Fund | $10750 | $8100 |
| &nbsp;&nbsp;&nbsp;iShares Russell 1000 Large-Cap Index Fund | $10750 | $8307 |
| &nbsp;&nbsp;&nbsp;iShares S&P 500 Index Fund | $10750 | $8100 |
| &nbsp;&nbsp;&nbsp;iShares U. S. Aggregate Bond Index Fund | $10750 | $8100 |
| &nbsp;&nbsp;&nbsp;Diversified Equity Master Portfolio | $27500 | $18550 |

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------

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;International Tilts Master Portfolio | $27500 | $20900 |
| &nbsp;&nbsp;&nbsp;Large Cap Index Master Portfolio | $27500 | $20900 |
| &nbsp;&nbsp;&nbsp;Money Market Master Portfolio | $0 | $0 |
| &nbsp;&nbsp;&nbsp;S&P 500 Index Master Portfolio | $27500 | $20900 |
| &nbsp;&nbsp;&nbsp;Total International ex U.S. Index Master Portfolio | $27500 | $20900 |
| &nbsp;&nbsp;&nbsp;Treasury Money Market Master Portfolio | $8000 | $7100 |
| &nbsp;&nbsp;&nbsp;U.S. Total Bond Index Master Portfolio | $27500 | $18550 |

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) – Not Applicable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) – Not Applicable

Item 5 – Audit Committee of Listed Registrants – Not Applicable

Item 6 – Investments

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrants' Schedules of Investments are included as part of the Report to Stockholders filed under Item 1(a) of this Form.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

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

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

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

---

| | |
|:---|:---|
| Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.  |

---

Item 11 – Controls and Procedures

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrants' principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants' disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act")) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) There were no changes in the registrants' internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants' internal control over financial reporting.

Item 12 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

Item 13 – Exhibits attached hereto

[(a)(1) Code of Ethics – See Item 2](#item2457049_500)

[(a)(2) Section 302 Certifications are attached](d457049dex99cert.htm)

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable

(a)(4) Change in Registrant's independent public accountant – Not Applicable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[(b) Section 906 Certifications are attached](d457049dex99906cert.htm)

------

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Funds III and Master Investment Portfolio

---

| | |
|:---|:---|
| By: | /s/ John M. Perlowski  |
|  | John M. Perlowski |
|  | Chief Executive Officer (principal executive officer) of |
|  | BlackRock Funds III and Master Investment Portfolio |

---

Date: February 23, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of each registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| By: | /s/ John M. Perlowski  |
|  | John M. Perlowski |
|  | Chief Executive Officer (principal executive officer) of |
|  | BlackRock Funds III and Master Investment Portfolio |

---

Date: February 23, 2023

---

| | |
|:---|:---|
| By: | /s/ Trent Walker  |
|  | Trent Walker |
|  | Chief Financial Officer (principal financial officer) of |
|  | BlackRock Funds III and Master Investment Portfolio |

---

Date: February 23, 2023

## Ex-99.Cert

**EX-99. CERT** 

**CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE** 

**SARBANES-OXLEY ACT OF 2002** 

------

I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Funds III and Master Investment Portfolio, certify that:

1. I have reviewed this report on Form N-CSR of BlackRock Funds III and Master Investment Portfolio;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrants as of, and for, the periods presented in this report;

4. The registrants' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrants, including their consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) evaluated the effectiveness of the registrants' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) disclosed in this report any change in the registrants' internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants' internal control over financial reporting; and

5. The registrants' other certifying officer(s) and I have disclosed to the registrants' auditors and the audit committees of the registrants' boards of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants' ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants' internal control over financial reporting.

Date: February 23, 2023

<u>/s/ John M. Perlowski</u> 

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Funds III and Master Investment Portfolio

------

**EX-99. CERT** 

**CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE** 

**SARBANES-OXLEY ACT OF 2002** 

------

I, Trent Walker, Chief Financial Officer (principal financial officer) of BlackRock Funds III and Master Investment Portfolio, certify that:

1. I have reviewed this report on Form N-CSR of BlackRock Funds III and Master Investment Portfolio;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrants as of, and for, the periods presented in this report;

4. The registrants' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrants, including their consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) evaluated the effectiveness of the registrants' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) disclosed in this report any change in the registrants' internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants' internal control over financial reporting; and

5. The registrants' other certifying officer(s) and I have disclosed to the registrants' auditors and the audit committees of the registrants' boards of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants' ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants' internal control over financial reporting.

Date: February 23, 2023

<u>/s/ Trent Walker</u> 

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Funds III and Master Investment Portfolio

## Exhibit 99.906

Exhibit 99.906CERT

**Certification Pursuant to Rule 30a-2(b) under the 1940 Act and** 

**Section 906 of the Sarbanes-Oxley Act of 2002** 

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Funds III and Master Investment Portfolio (the "registrants"), hereby certifies, to the best of his knowledge, that the registrants' Report on Form N-CSR for the period ended December 31, 2022 (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrants.

Date: February 23, 2023

<u>/s/ John M. Perlowski</u> 

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Funds III and Master Investment Portfolio

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Funds III and Master Investment Portfolio (the "registrants"), hereby certifies, to the best of his knowledge, that the registrants' Report on Form N-CSR for the period ended December 31, 2022 (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrants.

Date: February 23, 2023

<u>/s/ Trent Walker</u> 

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Funds III and Master Investment Portfolio

This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission**.**