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N-CSRS 1 d352025dncsrs.htm BLACKROCK BALANCED CAPITAL FUND, INC. BLACKROCK BALANCED CAPITAL FUND, INC.

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: 811-02405, 811-09739 and 811-21434

Name of Fund:

BlackRock Sustainable Balanced Fund, Inc. (formerly BlackRock Balanced Capital Fund, Inc.),

Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and

Master Total Return Portfolio of Master Bond LLC

Fund Address:

100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Sustainable Balanced Fund, Inc. (formerly BlackRock Balanced Capital Fund, Inc.), Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC, 55 East 52^nd Street, New York, NY 10055

Registrants’ telephone number, including area code: (800) 441-7762

Date of fiscal year end: 09/30/2022

Date of reporting period: 03/31/2022

Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.


		MARCH 31, 2022

2022 Semi-Annual Report

(Unaudited)

BlackRock Balanced Capital Fund, Inc.

Not FDIC Insured • May Lose Value • No Bank Guarantee

The Markets in Review

Dear Shareholder,

The 12-month reporting period as of March 31, 2022 saw a continuation of the resurgent growth that followed the initial coronavirus (or “COVID-19”) pandemic reopening, albeit at a slower pace. The global economy weathered the emergence of several variant strains and the resulting peaks and troughs in infections amid optimism that increasing vaccinations and economic adaptation could help contain the pandemic’s disruptions. However, rapid changes in consumer spending led to supply constraints and elevated inflation. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the invasion has presented challenges for both investors and policymakers.

Equity prices were mixed, as persistently high inflation drove investors’ expectations for higher interest rates, which particularly weighed on relatively high valuation growth stocks and economically sensitive small-capitalization stocks. Overall, small-capitalization U.S. stocks declined, while large-capitalization U.S. stocks posted a strong advance. International equities from developed markets gained slightly, although emerging market stocks declined, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose during the reporting period as the economy expanded rapidly and inflation reached its highest annualized reading in decades. The corporate bond market also faced inflationary headwinds, although the improving economy assuaged credit concerns and high-yield corporate bonds consequently declined less than investment-grade corporate bonds.

The U.S. Federal Reserve (the “Fed”), acknowledging that inflation is growing faster than expected, raised interest rates in March 2022, the first increase of this business cycle. Furthermore, the Fed wound down its bond-buying programs and raised the prospect of reversing the flow and reducing its balance sheet. Continued high inflation and the Fed’s new tone led many analysts to anticipate that the Fed will continue to raise interest rates multiple times throughout the year.

Looking ahead, however, the horrific war in Ukraine has significantly clouded the outlook for the global economy, leading to major volatility in energy and metal markets. Sanctions on Russia, Europe’s top energy supplier, and general wartime disruption are likely to drive already-high commodity prices even higher. Sharp increases in energy prices will exacerbate inflationary pressure while also constraining economic growth. Combating inflation without stifling a recovery, while buffering against ongoing supply and price shocks amid the ebb and flow of the pandemic, will be an especially challenging environment for setting effective monetary policy. Despite the likelihood of more rate increases on the horizon, we believe the Fed will err on the side of protecting employment, even at the expense of higher inflation.

In this environment, we favor an overweight to equities, as valuations have become more attractive and inflation-adjusted interest rates remain low. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and health care, are particularly attractive in the long term. We favor U.S. equities due to strong earnings momentum, while Japanese equities should benefit from supportive monetary and fiscal policy. We are underweight credit overall, but inflation-protected U.S. Treasuries, Asian fixed income, and emerging market local-currency bonds offer potential opportunities for additional yield. We believe that international diversification and a focus on sustainability and quality can help provide portfolio resilience.

Overall, our view is that investors need to think globally, extend their scope across a broad array of asset classes, 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

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of March 31, 2022

	6-Month	12-Month

U.S. large cap equities (S&P 500^® Index)	5.92%	15.65%

U.S. small cap equities (Russell 2000^® Index)	(5.55)	(5.79)

International equities (MSCI Europe, Australasia, Far East Index)	(3.38)	1.16

Emerging market equities (MSCI Emerging Markets Index)	(8.20)	(11.37)

3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index)	0.05	0.07

U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index)	(6.04)	(3.31)

U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index)	(5.92)	(4.15)

Tax-exempt municipal bonds (Bloomberg Municipal Bond Index)	(5.55)	(4.47)

U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index)	(4.16)	(0.66)

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		2
Semi-Annual Report:
Fund Summary		4
About Fund Performance		6
Disclosure of Expenses		6
Derivative Financial Instruments		6
Fund Financial Statements:
Fund Schedule of Investments		8
Fund Statement of Assets and Liabilities		11
Fund Statement of Operations		13
Fund Statements of Changes in Net Assets		14
Fund Financial Highlights		15
Fund Notes to Financial Statements		20
Master Advantage Large Cap Core Portfolio Financial Statements:
Portfolio Schedule of Investments		28
Portfolio Statement of Assets and Liabilities		33
Portfolio Statement of Operations		34
Portfolio Statements of Changes in Net Assets		35
Portfolio Financial Highlights		36
Portfolio Notes to Financial Statements		37
Master Total Return Portfolio Information		43
Master Total Return Portfolio Financial Statements:
Master Portfolio Schedule of Investments		44
Master Portfolio Statement of Assets and Liabilities		124
Master Portfolio Statement of Operations		126
Master Portfolio Statements of Changes in Net Assets		127
Master Portfolio Financial Highlights		128
Master Portfolio Notes to Financial Statements		129
Statement Regarding Liquidity Risk Management Program		142
Additional Information		143
Glossary of Terms Used in this Report		146

LOGO


		3


Fund Summary as of March 31, 2022		BlackRock Balanced Capital Fund, Inc.

Investment Objective

BlackRock Balanced Capital Fund, Inc.’s (the “Fund”) investment objective is to seek the highest total investment return through a fully managed investment policy utilizing equity, debt (including money market) and convertible securities.

On November 9, 2021, the Board of Directors of the Fund (the “Board”) approved a proposal to change the name of the Fund from BlackRock Balanced Capital Fund, Inc. to BlackRock Sustainable Balanced Fund, Inc. and certain changes to the Fund’s investment strategy and investment process. These changes will become effective on April 8, 2022.

On February 8, 2022, the Board approved a change in the fiscal year end of the Fund, effective as of May 31, 2022, from September 30 to May 31.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended March 31, 2022, through investments in Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC (the “equity allocation” or the “Master Advantage Large Cap Core Portfolio”) and Master Total Return Portfolio of Master Bond LLC (the “fixed income allocation” or the “Master Total Return Portfolio”) (collectively, the “Master Portfolios”), all of the share classes of the Fund outperformed the blended reference benchmark (60% Russell 1000^® Index/40% Bloomberg U.S. Aggregate Bond Index), with the exception of the Investor C Shares, which underperformed the blended reference benchmark. All of the Fund’s share classes outperformed the fixed income portion of the benchmark, the Bloomberg U.S. Aggregate Bond Index, but underperformed the equity portion of the benchmark, the Russell 1000^® Index.

What factors influenced performance?

The Fund combines top-down macroeconomic views and bottom-up security selection from Master Advantage Large Cap Core Portfolio and Master Total Return Portfolio.

From an asset allocation perspective, an overweight in U.S. equities and an underweight in bonds both contributed to Fund performance.

Within the Master Total Return Portfolio, active duration positioning, absolute return strategies, and macro strategies were the leading contributors. (Duration is a measure of interest-rate sensitivity.) Positions in Asian corporate bonds, U.S. high yield bonds and emerging market debt were the largest detractors.

The Master Advantage Large Cap Core Portfolio struggled to keep pace amid a highly changeable backdrop. Nontraditional fundamental quality measures were the primary detractors. Insights that evaluate carbon emissions intensity and track companies’ green patent filings detracted by leading to underweight in industrials. Insights that evaluate corporate culture also detracted, since they resulted in a growth orientation that was not well suited for a time in which the growth style lagged. Measures that look toward the positioning of informed investors and avoid highly shorted stocks further detracted by incorrectly positioning the portfolio in the technology sector. On the other hand, a model that captures investor sentiment contributed positively. In addition, text analysis of conference calls helped correctly position the portfolio in the communication services sector. Traditional valuation metrics also performed well amid the broader strength in value stocks. Insights with a preference for lower-volatility stocks were additional contributors at a time of heightened uncertainty.

The Fund held derivatives as a part of its investment strategy, which marginally contributed to Fund performance. The investment adviser uses derivatives to hedge and/or take outright views on equities, interest rates, credit risk and/or foreign exchange markets. The Fund held cash as collateral for its derivatives positions. The cash position did not have any material impact on Fund performance.

Describe recent portfolio activity.

The Fund entered the period with a moderate overweight in U.S. equities and an underweight in bonds, reflecting a backdrop likely to be characterized by a reduction of monetary and fiscal stimulus. The Fund maintained this positioning over most of the period, and it moved further underweight in bonds in early March on the view that the market’s initial response to the conflict in Ukraine—which indicated a more dovish policy path for the Fed—was inappropriate given the continued increase in inflation.

The Master Advantage Large Cap Core Portfolio maintained a balanced allocation of risk across all major return drivers, while adding several new signals to its stock selection insights. The portfolio built upon its alternative data capabilities by adding an insight that captures brand sentiment in retail stocks. Additionally, given the dynamism of the current environment, the portfolio instituted enhanced signal constructs to identify emerging trends, such as sentiment around supply chain disruptions and wage inflation.

The Master Total Return Portfolio shifted toward a much more defensive posture by trimming its weightings in lower-rated securities. In particular, it reduced its positions in U.S. high yield bonds and emerging market debt. On the other hand, it boosted its cash position and its allocations to higher-quality assets such as U.S. investment-grade corporate bonds, agency mortgage-backed securities and U.S. municipal debt.

Describe portfolio positioning at period end.

The Fund’s investment adviser believes global growth will remain positive thanks in part to the strong labor market. Although the financial markets are entering a period of higher energy prices and less supportive monetary and fiscal policy, the investment adviser believes these headwinds will have a relatively muted impact on consumers. With inflation at multi-decade highs, the investment adviser believes global central banks will be obligated to raise interest rates despite ongoing volatility related to geopolitical events. With this as background, the Fund remained overweight in equities and underweight in bonds at the close of the period.

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 S E M I - 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 March 31, 2022 (continued)		BlackRock Balanced Capital Fund, Inc.

Performance


				Average Annual Total Returns^(a)(b)

				1 Year						5 Years						10 Years

	6-Month Total Returns			Without Sales Charge			With Sales Charge			Without Sales Charge			With Sales Charge			Without Sales Charge			With Sales Charge

Institutional		0.61	%		7.06	%		N/A			10.44	%		N/A			10.01	%		N/A
Investor A		0.45			6.76			1.16	%		10.15			8.97	%		9.69			9.10	%
Investor C		0.08			5.96			5.03			9.31			9.31			9.02			9.02
Class K		0.65			7.13			N/A			10.50			N/A			10.04			N/A
Class R		0.28			6.41			N/A			9.76			N/A			9.31			N/A
60% Russell 1000^® Index/40% Bloomberg U.S. Aggregate Bond Index^(c)		0.14			6.16			N/A			10.51			N/A			9.71			N/A
Bloomberg U.S. Aggregate Bond Index^(d)		(5.92	)		(4.15	)		N/A			2.14			N/A			2.24			N/A
Russell 1000^® Index^(e)		4.15			13.27			N/A			15.82			N/A			14.53			N/A

^(a)

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.

^(b)

The Fund invests in equity securities (including common stock, preferred stock, securities convertible into common stock, or securities or other instruments whose price is linked to the value of common stock) and fixed-income securities (including debt securities, convertible securities and short term securities).

^(c)

A customized weighted index comprised of the returns of the Russell 1000^® Index (60%) and Bloomberg U.S. Aggregate Bond Index (40%).

^(d)

Bloomberg U.S. Aggregate Bond Index (formerly Bloomberg Barclays U.S. Aggregate Bond Index), a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.

^(e)

An index that measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The index represents approximately 93% of the U.S. market.

N/A - Not applicable as 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					Hypothetical 5% Return

		Beginning Account Value (10/01/21)	Ending Account Value (03/31/22)	Expenses Paid During the Period	^(a)		Beginning Account Value (10/01/21)	Ending Account Value (03/31/22)	Expenses Paid During the Period	Annualized Expense Ratio

Institutional		$ 1,000.00	$ 1,006.10	$ 2.50			$ 1,000.00	$ 1,022.44	$ 2.52	0.50	%
Investor A		1,000.00	1,004.50	3.72			1,000.00	1,021.22	3.76	0.75
Investor C		1,000.00	1,000.80	7.56			1,000.00	1,017.38	7.62	1.51
Class K		1,000.00	1,006.50	2.16			1,000.00	1,022.78	2.17	0.43
Class R		1,000.00	1,002.80	5.66			1,000.00	1,019.28	5.71	1.13

^(a)

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 182/366 (to reflect the one-half year period shown). Because the Fund invests a significant amount of its assets in the Master Portfolios the expense example reflects the net expenses of both the Fund and the Master Portfolios in which it invests.

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

Portfolio Information


PORTFOLIO COMPOSITION
Asset Type	Percent of Total Investments

Equity Funds		57	%
Fixed-Income Funds		25
Short-Term Securities		18


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

About Fund Performance

Institutional and Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors. Class K Shares performance shown prior to the Class K Shares inception date of January 25, 2018 is that of Institutional Shares. The performance of the Fund’s Class K Shares would be substantially similar to Institutional Shares because Class K Shares and Institutional Shares invest in the same portfolio of securities and performance would only differ to the extent that Class K Shares and Institutional Shares have different expenses. The actual returns of Class K Shares would have been higher than those of the Institutional Shares because Class K Shares have lower expenses than the Institutional Shares.

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 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 “Manager”), the Fund’s investment adviser, 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 Manager 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 Manager 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 investment advisory 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 (or from the commencement of operations if less than 6 months) 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 Fund and/or the Master Portfolios 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. The Fund’s and/or Master Portfolios’ 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


6		2 0 2 2 B L A C K R O C K S E M I - 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

Derivative Financial Instruments (continued)

appreciation the Fund and/or the Master Portfolios can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s and/or the Master Portfolios’ investments in these instruments, if any, are discussed in detail in the Fund’s and the Master Portfolios’ 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

Schedule of Investments (unaudited)

March 31, 2022

BlackRock Balanced Capital Fund, Inc.

(Percentages shown are based on Net Assets)


Security	Shares/ Investment Value		Value


Investment Companies^(a)

Equity Funds — 56.6%
Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC	$	1,023,822,844	$	1,023,822,844


Fixed-Income Funds — 24.8%
iShares Core U.S. Aggregate Bond ETF		473,739		50,737,447
Master Total Return Portfolio of Master Bond LLC	$	397,278,497		397,278,497


				448,015,944


Total Long-Term Investments — 81.4% (Cost: $1,320,553,596)				1,471,838,788


	Shares

Short-Term Securities^(a)(b)

Money Market Funds — 18.3%
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.21%		329,944,143		329,944,143


Total Short-Term Securities — 18.3% (Cost: $329,944,143)				329,944,143


Total Investments — 99.7% (Cost: $1,650,497,739)				1,801,782,931

Other Assets Less Liabilities — 0.3%				5,783,664


Net Assets — 100.0%			$	1,807,566,595

^(a)	Affiliate of the Fund.

^(b)	Annualized 7-day yield as of period end.


8		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

BlackRock Balanced Capital Fund, Inc.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended March 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 09/30/21		Purchases at Cost			Proceeds from Sale			Net Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value at 03/31/22		Shares/ Investment Value Held at 03/31/22		Income (Expense)		Capital Gain Distributions from Underlying Funds

BlackRock Liquidity Funds, T-Fund, Institutional Class	$	362,498,196	$	—	^(a)	$	(32,554,053	)	$	—		$	—		$	329,944,143		329,944,143	$	36,805		$	—
iShares Core U.S. Aggregate Bond ETF		54,399,450		—			—			—			(3,662,003	)		50,737,447		473,739		454,630			—
Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC		985,394,792		4,993,919	^(a)(b)		—			50,136,237			(16,702,104	)		1,023,822,844	$	1,023,822,844		4,985,970			—
Master Total Return Portfolio of Master Bond LLC		424,270,601		4,298,524	^(a)(b)		—			(6,386,592	)		(24,904,036	)		397,278,497	$	397,278,497		4,304,922			—


									$	43,749,645		$	(45,268,143	)	$	1,801,782,931			$	9,782,327		$	—

^(a)

Represents net shares/investment value purchased (sold).

^(b)

Inclusive of income, expense, realized and unrealized gains and losses allocated from the Master Portfolio.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts




Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)


Long Contracts
S&P 500 E-Mini Index		539		06/17/22	$	122,104	$	7,218,361
U.S. Treasury Notes (10 Year)		327		06/21/22		40,180		(209,905	)
U.S. Ultra Treasury Bonds		123		06/21/22		21,786		(946,645	)


								6,061,811


F U N D 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 (unaudited) (continued)

March 31, 2022

BlackRock Balanced Capital Fund, Inc.

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 Contracts			Credit Contracts			Equity Contracts			Foreign Currency Exchange Contracts			Interest Rate Contracts			Other Contracts			Total


Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts^(a)		$	—		$	—		$	7,218,361		$	—		$	—		$	—		$	7,218,361


Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)		$	—		$	—		$	—		$	—		$	1,156,550		$	—		$	1,156,550

^(a)

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the 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 accumulated earnings (loss).

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




	Commodity Contracts			Credit Contracts			Equity Contracts				Foreign Currency Exchange Contracts			Interest Rate Contracts				Other Contracts			Total


Net Realized Gain (Loss) from
Futures contracts		$	—		$	—		$	(2,809,389	)		$	—		$	(6,162,173	)		$	—		$	(8,971,562	)


Net Change in Unrealized Appreciation (Depreciation)on
Futures contracts		$	—		$	—		$	13,583,106			$	—		$	504,533			$	—		$	14,087,639

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts
Average notional value of contracts — long	$	256,425,153

For more information about the Fund’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 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
Investments
Long-Term Investments
Investment Companies	$	50,737,447			$	—		$	—		$	50,737,447
Short-Term Securities
Money Market Funds		329,944,143				—			—			329,944,143


	$	380,681,590			$	—		$	—			380,681,590


Investments valued at NAV												1,421,101,341


											$	1,801,782,931

Derivative Financial Instruments
Assets
Equity Contracts	$	7,218,361			$	—		$	—		$	7,218,361
Liabilities
Interest Rate Contracts		(1,156,550	)			—			—			(1,156,550	)


	$	6,061,811			$	—		$	—		$	6,061,811


10		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited)

March 31, 2022


	BlackRock Balanced Capital Fund, Inc.

ASSETS
Investments at value — affiliated^(a)	$	1,801,782,931
Cash pledged for futures contracts		9,359,991
Receivables:
Capital shares sold		2,027,465
Dividends — affiliated		29,326
Variation margin on futures contracts		132,938
Prepaid expenses		102,020


Total assets		1,813,434,671


LIABILITIES
Payables:
Capital shares redeemed		2,654,996
Investment advisory fees		232,040
Officer’s fees		4,916
Other accrued expenses		303,182
Other affiliate fees		86,424
Service and distribution fees		312,456
Variation margin on futures contracts		2,274,062


Total liabilities		5,868,076


NET ASSETS	$	1,807,566,595


NET ASSETS CONSIST OF
Paid-in capital	$	1,603,164,169
Accumulated earnings		204,402,426


NET ASSETS	$	1,807,566,595


^(a)Investments, at cost — affiliated	$	1,650,497,739


F U N D F I N A N C I A L S T A T E M E N T S		11

Statement of Assets and Liabilities (unaudited) (continued)

March 31, 2022


	BlackRock Balanced Capital Fund, Inc.

NET ASSET VALUE
Institutional
Net assets	$	617,994,059


Shares outstanding		24,410,694


Net asset value	$	25.32


Shares authorized		400 million


Par value	$	0.10


Investor A
Net assets	$	981,040,135


Shares outstanding		38,968,928


Net asset value	$	25.17


Shares authorized		200 million


Par value	$	0.10


Investor C
Net assets	$	121,407,924


Shares outstanding		5,827,607


Net asset value	$	20.83


Shares authorized		200 million


Par value	$	0.10


Class K
Net assets	$	75,337,770


Shares outstanding		2,975,732


Net asset value	$	25.32


Shares authorized		2 billion


Par value	$	0.10


Class R
Net assets	$	11,786,708


Shares outstanding		522,067


Net asset value	$	22.58


Shares authorized		500 million


Par value	$	0.10

See notes to financial statements.


12		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited)

Six Months Ended March 31, 2022


BlackRock Balanced Capital Fund, Inc.


INVESTMENT INCOME
Dividends — affiliated	$	491,435
Net investment income allocated from the affiliated Master Portfolios:
Dividends — unaffiliated		7,226,598
Dividends — affiliated		13,581
Interest — unaffiliated		4,410,998
Securities lending income — affiliated — net		26,017
Foreign taxes withheld		(38,276	)
Expenses		(2,375,878	)
Fees waived		27,852


Total investment income		9,782,327


FUND EXPENSES
Investment advisory		3,908,431
Service and distribution — class specific		1,927,805
Transfer agent — class specific		624,394
Registration		76,675
Professional		37,092
Miscellaneous		109,181


Total expenses		6,683,578
Less:
Fees waived and/or reimbursed by the Manager		(2,433,893	)


Total expenses after fees waived and/or reimbursed		4,249,685


Net investment income		5,532,642


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Futures contracts		(8,971,562	)
Net realized gain from investments, foreign currency transactions, forward foreign currency exchange contracts, futures contracts, options written and swaps allocated from the affiliated Master Portfolios		43,749,645


		34,778,083

Net change in unrealized appreciation (depreciation) on:
Investments — affiliated		(3,662,003	)
Futures contracts		14,087,639
Net change in unrealized appreciation (depreciation) on investments, foreign currency translations, forward foreign currency exchange contracts, futures contracts, options written, swaps, short sales, unfunded floating rate loan interests and unfunded SPAC PIPE commitments allocated from the affiliated Master Portfolios		(41,606,140	)


		(31,180,504	)


Total net realized and unrealized gain		3,597,579


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	9,130,221

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		13

Statements of Changes in Net Assets


		BlackRock Balanced Capital Fund, Inc.



	Six Months Ended 03/31/22 (unaudited)				Year Ended 09/30/21

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income		$	5,532,642		$	10,908,009
Net realized gain			34,778,083			217,515,757
Net change in unrealized appreciation (depreciation)			(31,180,504	)		46,066,694


Net increase in net assets resulting from operations			9,130,221			274,490,460


DISTRIBUTIONS TO SHAREHOLDERS^(a)
Institutional			(77,221,254	)		(24,269,626	)
Investor A			(111,883,846	)		(30,500,926	)
Investor C			(17,181,797	)		(4,954,528	)
Class K			(8,479,663	)		(2,474,683	)
Class R			(1,542,874	)		(501,960	)


Decrease in net assets resulting from distributions to shareholders			(216,309,434	)		(62,701,723	)


CAPITAL SHARE TRANSACTIONS
Net increase in net assets derived from capital share transactions			174,905,432			146,398,629


NET ASSETS
Total increase (decrease) in net assets			(32,273,781	)		358,187,366
Beginning of period			1,839,840,376			1,481,653,010


End of period		$	1,807,566,595		$	1,839,840,376

^(a)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.


14		2 0 2 2 B L A C K R O C K S E M I - 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 Balanced Capital Fund, Inc.

	Institutional

	Six Months Ended 03/31/22				Year Ended September 30,
	(unaudited)				2021			2020			2019			2018			2017

Net asset value, beginning of period		$	28.28		$	24.89		$	23.32		$	23.95		$	26.09		$	23.86

Net investment loss^(a)			0.11			0.23			0.33			0.48			0.47			0.41
Net realized and unrealized gain			0.19			4.22			2.47			0.52			1.89			3.01


Net increase from investment operations			0.30			4.45			2.80			1.00			2.36			3.42

Distributions^(b)
From net investment income			(0.11	)		(0.24	)		(0.37	)		(0.41	)		(0.47	)		(0.40	)
From net realized gain			(3.15	)		(0.82	)		(0.86	)		(1.22	)		(4.03	)		(0.79	)


Total distributions			(3.26	)		(1.06	)		(1.23	)		(1.63	)		(4.50	)		(1.19	)


Net asset value, end of period		$	25.32		$	28.28		$	24.89		$	23.32		$	23.95		$	26.09


Total Return^(c)
Based on net asset value			0.61	%^(d)		18.30	%		12.35	%		5.16	%		10.14	%		14.83	%^(e)


Ratios to Average Net Assets^(f)(g)
Total expenses			0.76	%^(h)(i)		0.75	%⁽ⁱ⁾		0.78	%^(j)		0.80	%		0.91	%		0.93	%


Total expenses after fees waived and/or reimbursed			0.50	%^(h)(i)		0.50	%⁽ⁱ⁾		0.52	%^(j)		0.53	%		0.62	%		0.62	%


Net investment income			0.79	%^(h)(i)		0.85	%⁽ⁱ⁾		1.42	%^(j)		2.11	%		1.97	%		1.67	%


Supplemental Data
Net assets, end of period (000)		$	617,994		$	666,819		$	568,977		$	488,105		$	427,511		$	395,850


Portfolio turnover rate of the Fund^(k)			—	%		—	%		—	%		4	%		140	%		109	%


Portfolio turnover rate of the Master Total Return Portfolio^(l)			171	%		459	%		556	%		574	%		734	%		806	%


Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio			57	%		111	%		99	%		151	%		148	%		130	%

^(a)	Based on average shares outstanding.

^(b)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(c)	Where applicable, assumes the reinvestment of distributions.

^(d)	Aggregate total return.

^(e)	Includes proceeds received from a settlement of litigation, which had no impact on the Fund’s total return.

^(f)	Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income.

^(g)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(h)	Annualized.

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

^(j)	Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

^(k)	Excludes transactions in the Master Portfolios.

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



	Six Months Ended
	03/31/22			Year Ended September 30,
	(unaudited)			2021			2020			2019			2018			2017
Portfolio turnover rate (excluding MDRs)		26	%		161	%		274	%		241	%		350	%		540	%

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)


	BlackRock Balanced Capital Fund, Inc. (continued)

	Investor A

	Six Months Ended 03/31/22				Year Ended September 30,
	(unaudited)				2021			2020			2019			2018			2017

Net asset value, beginning of period		$	28.14		$	24.78		$	23.22		$	23.86		$	26.00		$	23.78

Net investment income^(a)			0.07			0.16			0.27			0.41			0.40			0.34
Net realized and unrealized gain			0.19			4.20			2.46			0.52			1.89			3.01


Net increase from investment operations			0.26			4.36			2.73			0.93			2.29			3.35

Distributions^(b)
From net investment income			(0.08	)		(0.18	)		(0.31	)		(0.35	)		(0.40	)		(0.34	)
From net realized gain			(3.15	)		(0.82	)		(0.86	)		(1.22	)		(4.03	)		(0.79	)


Total distributions			(3.23	)		(1.00	)		(1.17	)		(1.57	)		(4.43	)		(1.13	)


Net asset value, end of period		$	25.17		$	28.14		$	24.78		$	23.22		$	23.86		$	26.00


Total Return^(c)
Based on net asset value			0.45	%^(d)		17.98	%		12.08	%		4.84	%		9.86	%		14.52	%^(e)


Ratios to Average Net Assets^(f)(g)
Total expenses			1.00	%^(h)(i)		1.01	%⁽ⁱ⁾		1.04	%^(j)		1.07	%^(j)		1.20	%⁽ⁱ⁾		1.21	%⁽ⁱ⁾


Total expenses after fees waived and/or reimbursed			0.75	%^(h)(i)		0.76	%⁽ⁱ⁾		0.79	%^(j)		0.80	%^(j)		0.91	%⁽ⁱ⁾		0.90	%⁽ⁱ⁾


Net investment income			0.55	%^(h)(i)		0.59	%⁽ⁱ⁾		1.15	%^(j)		1.83	%^(j)		1.68	%⁽ⁱ⁾		1.38	%⁽ⁱ⁾


Supplemental Data
Net assets, end of period (000)		$	981,040		$	952,967		$	737,708		$	594,909		$	528,701		$	535,542


Portfolio turnover rate of the Fund^(k)			—	%		—	%		—	%		4	%		140	%		109	%


Portfolio turnover rate of the Master Total Return Portfolio^(l)			171	%		459	%		556	%		574	%		734	%		806	%


Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio			57	%		111	%		99	%		151	%		148	%		130	%

^(a)	Based on average shares outstanding.

^(b)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(c)	Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

^(d)	Aggregate total return.

^(e)	Includes proceeds received from a settlement of litigation, which had no impact on the Fund’s total return.

^(f)	Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income.

^(g)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(h)	Annualized.

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

^(j)	Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

^(k)	Excludes transactions in the Master Portfolios.

^(l)	Includes MDRs. Additional information regarding portfolio turnover rate is as follows:



	Six Months Ended
	03/31/22			Year Ended September 30,
	(unaudited)			2021			2020			2019			2018			2017
Portfolio turnover rate (excluding MDRs)		26	%		161	%		274	%		241	%		350	%		540	%

See notes to financial statements.


16		2 0 2 2 B L A C K R O C K S E M I - 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 Balanced Capital Fund, Inc. (continued)
	Investor C

	Six Months Ended 03/31/22				Year Ended September 30,
	(unaudited)				2021			2020			2019			2018			2017

Net asset value, beginning of period		$	23.81		$	21.15		$	20.00		$	20.79		$	23.21		$	21.34

Net investment income (loss)^(a)			(0.03	)		(0.04	)		0.08			0.21			0.19			0.14
Net realized and unrealized gain			0.19			3.57			2.10			0.43			1.67			2.68


Net increase from investment operations			0.16			3.53			2.18			0.64			1.86			2.82

Distributions^(b)
From net investment income			—			(0.05	)		(0.17	)		(0.21	)		(0.25	)		(0.16	)
From net realized gain			(3.14	)		(0.82	)		(0.86	)		(1.22	)		(4.03	)		(0.79	)


Total distributions			(3.14	)		(0.87	)		(1.03	)		(1.43	)		(4.28	)		(0.95	)


Net asset value, end of period		$	20.83		$	23.81		$	21.15		$	20.00		$	20.79		$	23.21


Total Return^(c)
Based on net asset value			0.08	%^(d)		17.07	%		11.20	%		4.09	%		9.03	%		13.62	%^(e)


Ratios to Average Net Assets^(f)(g)
Total expenses			1.77	%^(h)(i)		1.78	%⁽ⁱ⁾		1.80	%^(j)		1.83	%		1.95	%		1.97	%


Total expenses after fees waived and/or reimbursed			1.51	%^(h)(i)		1.52	%⁽ⁱ⁾		1.55	%^(j)		1.56	%		1.66	%		1.66	%


Net investment income (loss)			(0.23	)%^(h)(i)		(0.17	)%⁽ⁱ⁾		0.41	%^(j)		1.07	%		0.93	%		0.63	%


Supplemental Data
Net assets, end of period (000)		$	121,408		$	134,700		$	126,159		$	125,584		$	103,756		$	104,113


Portfolio turnover rate of the Fund^(k)			—	%		—	%		—	%		4	%		140	%		109	%


Portfolio turnover rate of the Master Total Return Portfolio^(l)			171	%		459	%		556	%		574	%		734	%		806	%


Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio			57	%		111	%		99	%		151	%		148	%		130	%

^(a)	Based on average shares outstanding.

^(b)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(c)	Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

^(d)	Aggregate total return.

^(e)	Includes proceeds received from a settlement of litigation, which had no impact on the Fund’s total return.

^(f)	Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income.

^(g)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(h)	Annualized.

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

^(j)	Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

^(k)	Excludes transactions in the Master Portfolios.

^(l)	Includes MDRs. Additional information regarding portfolio turnover rate is as follows:



	Six Months Ended
	03/31/22			Year Ended September 30,
	(unaudited)			2021			2020			2019			2018			2017
Portfolio turnover rate (excluding MDRs)		26	%		161	%		274	%		241	%		350	%		540	%

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

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BlackRock Balanced Capital Fund, Inc. (continued)

	Class K

	Six Months Ended														Period from
		03/31/22					Year Ended September 30,										01/25/18	^(a)
	(unaudited)					2021			2020			2019			to 09/30/18

Net asset value, beginning of period			$	28.28		$	24.89		$	23.32		$	23.95			$	23.61

Net investment loss^(b)				0.12			0.25			0.34			0.49				0.33
Net realized and unrealized gain				0.19			4.22			2.47			0.52				0.25


Net increase from investment operations				0.31			4.47			2.81			1.01				0.58


Distributions^(c)
From net investment income				(0.12	)		(0.26	)		(0.38	)		(0.42	)			(0.24	)
From net realized gain				(3.15	)		(0.82	)		(0.86	)		(1.22	)			—


Total distributions				(3.27	)		(1.08	)		(1.24	)		(1.64	)			(0.24	)


Net asset value, end of period			$	25.32		$	28.28		$	24.89		$	23.32			$	23.95


Total Return^(d)
Based on net asset value				0.65	%^(e)		18.36	%		12.42	%		5.23	%			2.46	%^(e)


Ratios to Average Net Assets^(f)(g)
Total expenses				0.69	%^(h)(i)		0.69	%⁽ⁱ⁾		0.72	%^(j)		0.73	%			0.81	%^(h)


Total expenses after fees waived and/or reimbursed				0.43	%^(h)(i)		0.44	%⁽ⁱ⁾		0.46	%^(j)		0.46	%			0.51	%^(h)


Net investment income				0.86	%^(h)(i)		0.90	%⁽ⁱ⁾		1.47	%^(j)		2.15	%			2.07	%^(h)


Supplemental Data
Net assets, end of period (000)			$	75,338		$	72,222		$	36,970		$	21,901			$	8,283


Portfolio turnover rate of the Fund^(k)				—	%		—	%		—	%		4	%			140	%^(l)


Portfolio turnover rate of the Master Total Return Portfolio^(m)				171	%		459	%		556	%		574	%			734	%^(l)


Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio				57	%		111	%		99	%		151	%			148	%^(l)

^(a)	Commencement of operations.

^(b)	Based on average shares outstanding.

^(c)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(d)	Where applicable, assumes the reinvestment of distributions.

^(e)	Aggregate total return.

^(f)	Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income.

^(g)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(h)	Annualized.

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

^(j)	Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

^(k)	Excludes transactions in the Master Portfolios.

^(l)	Portfolio turnover is representative of the Fund for the entire year.

^(m)	Includes MDRs. Additional information regarding portfolio turnover rate is as follows:



	Six Months Ended													Period from
		03/31/22				Year Ended September 30,									01/25/18	^(a)
	(unaudited)				2021			2020			2019			to 09/30/18
Portfolio turnover rate			26	%		161	%		274	%		241	%		350	%

See notes to financial statements.


18		2 0 2 2 B L A C K R O C K S E M I - 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 Balanced Capital Fund, Inc. (continued)

	Class R

	Six Months Ended 03/31/22				Year Ended September 30,
	(unaudited)				2021			2020			2019			2018			2017

Net asset value, beginning of period		$	25.55		$	22.59		$	21.27		$	22.00		$	24.30		$	22.31

Net investment income^(a)			0.02			0.05			0.17			0.31			0.29			0.24
Net realized and unrealized gain			0.19			3.83			2.24			0.46			1.77			2.81


Net increase from investment operations			0.21			3.88			2.41			0.77			2.06			3.05

Distributions^(b)
From net investment income			(0.03	)		(0.10	)		(0.23	)		(0.28	)		(0.33	)		(0.27	)
From net realized gain			(3.15	)		(0.82	)		(0.86	)		(1.22	)		(4.03	)		(0.79	)


Total distributions			(3.18	)		(0.92	)		(1.09	)		(1.50	)		(4.36	)		(1.06	)


Net asset value, end of period		$	22.58		$	25.55		$	22.59		$	21.27		$	22.00		$	24.30


Total Return^(c)
Based on net asset value			0.28	%^(d)		17.56	%		11.67	%		4.47	%		9.51	%		14.11	%^(e)


Ratios to Average Net Assets^(f)(g)
Total expenses			1.39	%^(h)(i)		1.39	%⁽ⁱ⁾		1.40	%^(j)		1.41	%^(j)		1.55	%⁽ⁱ⁾		1.56	%⁽ⁱ⁾


Total expenses after fees waived and/or reimbursed			1.13	%^(h)(i)		1.13	%⁽ⁱ⁾		1.15	%^(j)		1.14	%^(j)		1.26	%⁽ⁱ⁾		1.25	%⁽ⁱ⁾


Net investment income			0.15	%^(h)(i)		0.21	%⁽ⁱ⁾		0.82	%^(j)		1.50	%^(j)		1.33	%⁽ⁱ⁾		1.04	%⁽ⁱ⁾


Supplemental Data
Net assets, end of period (000)		$	11,787		$	13,132		$	11,840		$	11,833		$	14,363		$	16,257


Portfolio turnover rate of the Fund^(k)			—	%		—	%		—	%		4	%		140	%		109	%


Portfolio turnover rate of the Master Total Return Portfolio^(l)			171	%		459	%		556	%		574	%		734	%		806	%


Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio			57	%		111	%		99	%		151	%		148	%		130	%

^(a)	Based on average shares outstanding.

^(b)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(c)	Where applicable, assumes the reinvestment of distributions.

^(d)	Aggregate total return.

^(e)	Includes proceeds received from a settlement of litigation, which had no impact on the Fund’s total return.

^(f)	Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income.

^(g)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(h)	Annualized.

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

^(j)	Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

^(k)	Excludes transactions in the Master Portfolios.

^(l)	Includes MDRs. Additional information regarding portfolio turnover rate is as follows:



	Six Months Ended
	03/31/22			Year Ended September 30,
	(unaudited)			2021			2020			2019			2018			2017

Portfolio turnover rate (excluding MDRs)		26	%		161	%		274	%		241	%		350	%		540	%

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		19

Notes to Financial Statements (unaudited)

1.	*ORGANIZATION*

BlackRock Balanced Capital Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Fund is organized as a Maryland corporation. The Fund is classified as diversified. The Fund seeks to achieve its investment objective by investing directly in equity and fixed-income securities, indirectly through one or more funds that invest in such securities, or in a combination of securities and funds. The Fund intends to invest a significant portion of its fixed-income assets in Master Total Return Portfolio (the “Master Total Return Portfolio”) of Master Bond LLC, a mutual fund that has an investment objective and strategy consistent with that of the fixed-income portion of the Fund. The Fund intends to invest a significant portion of its equity assets in Master Advantage Large Cap Core Portfolio (the “Master Advantage Large Cap Core Portfolio”) of Master Large Cap Series LLC, a mutual fund that has an investment objective and strategy consistent with that of the equity portion of the Fund. Master Total Return Portfolio and Master Advantage Large Cap Core Portfolio, both affiliates of the Fund, are collectively referred to as the “Master Portfolios.” The value of the Fund’s investment in the Master Portfolios reflects the Fund’s proportionate interest in the net assets of the Master Portfolios. The performance of the Fund is directly affected by the performance of the Master Portfolios as well as the Fund’s direct investments. At March 31, 2022, the percentages of Master Advantage Large Cap Core Portfolio and Master Total Return Portfolio owned by the Fund were 23.3% and 1.9%, respectively. 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 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, 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).

The Board of Directors of the Fund and Boards of Directors of the Master Portfolios are referred to throughout this report as the “Board” and the members are referred to as “Directors.”

Share Class

Initial Sales Charge

CDSC

Conversion Privilege

Institutional, Class K and Class R Shares

None

Investor A Shares

Yes

^(a)

None

Investor C Shares

Yes

^(b)

To Investor A Shares after approximately 8 years

^(a)

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.

^(b)

A CDSC of 1.00% is assessed on certain redemptions of Investor C Shares made within one year after purchase.

On November 9, 2021, the Board of Directors of the Fund (the “Board”) approved a proposal to change the name of the Fund from BlackRock Balanced Capital Fund, Inc. to BlackRock Sustainable Balanced Fund, Inc. and certain changes to the Fund’s investment objective, investment strategy and investment process. These changes will become effective on April 8, 2022.

On February 8, 2022, the Board approved a change in the fiscal year end of Fund, effective as of May 31, 2022, from September 30 to May 31.

The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of open-end equity, multi-asset, index and money market 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:

Foreign Currency Translation: The 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.

The 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 Statement of Operations from the effects of changes in market prices of those


20		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

investments, but are included as a component of net realized and unrealized gain (loss) from investments. The 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.

Segregation and Collateralization: In cases where the Fund enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investments to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

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 the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Fund has an arrangement with its custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Fund may incur charges on overdrafts, subject to certain conditions.

3.	*INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*

Investment Valuation Policies: The 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 Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. 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 a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:

•

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.

•

Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).

•

Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.

•

The Fund records its proportionate investment in Master Total Return Portfolio and Master Advantage Large Cap Core Portfolio at fair value, which is based upon its pro rata ownership in the net assets of the Master Total Return Portfolio and Master Advantage Large Cap Core Portfolio.

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 Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global 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 Global Valuation Committee, or its delegate, seeks to determine the price that the 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 Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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

•

Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access;

•

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

•

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


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

Notes to Financial Statements (unaudited) (continued)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global 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 March 31, 2022, certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

4.	*DERIVATIVE FINANCIAL INSTRUMENTS*

The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund 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 Fund 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 Fund 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 Fund 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.

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

Investment Advisory: The Fund entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.

For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:


Average Daily Net Assets	Investment Advisory Fees

First $250 million		0.500	%
$250 million — $300 million		0.450
$300 million — $400 million		0.425
Greater than $400 million		0.400

The Fund also pays an investment advisory fee to the Manager, which is the investment adviser of Master Total Return Portfolio and Master Advantage Large Cap Core Portfolio, to the extent it invests in the Master Total Return Portfolio and Master Advantage Large Cap Core Portfolio.

Service and Distribution Fees: The Fund entered into a Distribution Agreement and Distribution Plans with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plans and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:


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 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.


22		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

For the six months ended March 31, 2022, the following table shows the class specific service and distribution fees borne directly by each share class of the Fund:


	Investor A		Investor C		Class R		Total

Service and distribution — class specific	$	1,239,781	$	656,560	$	31,464	$	1,927,805

Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Fund with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the six months ended March 31, 2022, the Fund did not pay any amounts to affiliates in return for these services.

The Manager maintains a call center that is responsible for providing certain shareholder services to the Fund. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the six months ended March 31, 2022, the Fund reimbursed the Manager 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		Investor C		Class K		Class R		Total

Reimbursed amounts		$ 6,414		$ 11,320		$ 3,785		$ 46		$ 46		$ 21,611

For the six months ended March 31, 2022, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:


	Institutional		Investor A		Investor C		Class K		Class R		Total

Transfer agent — class specific		$ 233,094		$ 322,940		$ 55,349		$ 181		$ 12,830		$ 624,394

Other Fees: For the six months ended March 31, 2022, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A Shares of $18,229.

For the six months ended March 31, 2022, affiliates received CDSCs as follows:



Share Class	Amounts


Investor A	$	24,819
Investor C		6,592

Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fee by the amount of any management fees the Fund pays indirectly through its investments in the Master Portfolios. For the six months ended March 31, 2022, the Manager waived $2,276,589, which is included in fees waived and/or reimbursed by the Manager in the Statement of Operations.

With respect to the Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the 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 directors who are not “interested persons” of the Fund, as defined in the 1940 Act (“Independent Directors”), or by a vote of a majority of the outstanding voting securities of the Fund. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended March 31, 2022, the amount waived and/or reimbursed was $51,139.

With the exception of the Fund’s investment in the Master Portfolios, the Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’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 Directors, or by a vote of a majority of the outstanding voting securities of the Fund. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended March 31, 2022, the Manager waived $106,165 in investment advisory fees pursuant to this arrangement.

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 six months ended March 31, 2022, the Fund did not participate in the Interfund Lending Program.

Directors and Officers: Certain directors and/or officers of the Fund are directors and/or officers of BlackRock or its affiliates. The Fund reimburses the Manager for a portion of the compensation paid to the Fund’s Chief Compliance Officer, which is included in Directors and Officer in the Statement of Operations.


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		23

Notes to Financial Statements (unaudited) (continued)

6.	*PURCHASES AND SALES*

For the six months ended March 31, 2022, there were no purchases or sales.

7.	*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 fiscal 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 March 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.

As of March 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:



	Amounts


Tax cost	$	1,629,751,697

Gross unrealized appreciation	$	202,185,377
Gross unrealized depreciation		(24,092,332	)


Net unrealized appreciation (depreciation)	$	178,093,045

8.	*BANK BORROWINGS*

The Fund, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, 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) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2022 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 six months ended March 31, 2022, the Fund did not borrow under the credit agreement.

9.	*PRINCIPAL RISKS*

In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the 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 Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.

Market Risk: An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. Although vaccines have been developed and approved for use by various governments, the duration of this pandemic and its effects cannot be determined with certainty.

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 Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund 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 Fund 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 Fund’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 Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

The price the Fund could receive upon the sale of any particular portfolio investment may differ from the Fund’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


24		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

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 Fund’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 Fund, and the Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Fund’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 Fund 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 Fund 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 Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’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 Fund.

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 Fund 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 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 and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.

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 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 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 Fund 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 Fund is uncertain.

10.

CAPITAL SHARE TRANSACTIONS

Transactions in capital shares for each class were as follows:




	Six Months Ended 03/31/22						Year Ended 09/30/21


Share Class	Shares			Amounts			Shares			Amounts


Institutional
Shares sold		2,449,504		$	66,453,347			5,009,623		$	135,303,668
Shares issued in reinvestment of distributions		2,563,512			67,676,699			800,169			20,675,199
Shares redeemed		(4,182,592	)		(110,359,603	)		(5,087,561	)		(138,660,334	)


		830,424		$	23,770,443			722,231		$	17,318,533


Investor A
Shares sold		4,862,141		$	132,459,207			8,487,976		$	229,471,691
Shares issued in reinvestment of distributions		3,961,722			104,074,391			1,096,073			28,118,598
Shares redeemed		(3,724,417	)		(100,312,203	)		(5,489,051	)		(147,513,575	)


		5,099,446		$	136,221,395			4,094,998		$	110,076,714


Investor C
Shares sold		561,919		$	12,654,591			1,535,210		$	34,781,850
Shares issued in reinvestment of distributions		763,219			16,622,911			222,547			4,827,089
Shares redeemed		(1,154,369	)		(25,693,917	)		(2,066,194	)		(47,084,772	)


		170,769		$	3,583,585			(308,437	)	$	(7,475,833	)


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		25

Notes to Financial Statements (unaudited) (continued)




	Six Months Ended 03/31/22						Year Ended 09/30/21


Share Class	Shares			Amounts			Shares			Amounts


Class K
Shares sold		378,426		$	10,144,856			1,390,844		$	35,813,103
Shares issued in reinvestment of distributions		320,270			8,451,918			95,328			2,465,567
Shares redeemed		(276,765	)		(7,388,564	)		(417,600	)		(11,318,795	)


		421,931		$	11,208,210			1,068,572		$	26,959,875


Class R
Shares sold		49,273		$	1,212,748			221,456		$	5,282,315
Shares issued in reinvestment of distributions		65,431			1,542,874			21,621			501,903
Shares redeemed		(106,688	)		(2,633,823	)		(253,111	)		(6,264,878	)

		8,016		$	121,799			(10,034	)	$	(480,660	)


		6,530,586		$	174,905,432			5,567,330		$	146,398,629

As of March 31, 2022, BlackRock Financial Management, Inc., an affiliate of the Fund, owned 8,471 Class K Shares of the Fund.

11.

SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Fund’s financial statements was completed through the date the financial statements were issued and the following items were noted:

Effective April 8, 2022, the Fund changed its name, investment process and investment strategies.

Effective April 14, 2022, the 364-day credit agreement to which BlackRock Balanced Capital Fund, Inc. and the Participating Funds are party was amended to (i) increase the aggregate commitment amount to $2.50 billion, (ii) update the interest terms 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 and (iii) extend the termination date to April 2023.


26		2 0 2 2 B L A C K R O C K S E M I - 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


Portfolio Information as of March 31, 2022		Master Advantage Large Cap Core Portfolio


TEN LARGEST HOLDINGS


Security^(a)			Percent of Net Assets


Apple Inc.			6%
Microsoft Corp.			6
Amazon.com, Inc.			4
Alphabet, Inc., Class A			2
Tesla, Inc.			2
Johnson & Johnson			2
Alphabet, Inc., Class C			2
Visa, Inc., Class A			2
Exxon Mobil Corp.			1
Prologis, Inc.			1


SECTOR ALLOCATION


Sector^(b)			Percent of Net Assets


Information Technology			29%
Health Care			14
Financials			12
Consumer Discretionary			11
Industrials			8
Communication Services			8
Consumer Staples			5
Energy			4
Real Estate			4
Utilities			2
Materials			2
Short-Term Securities			1

^(a)	Excludes short-term securities.

^(b)

For Master Portfolio compliance purposes, the Master Portfolio’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or 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 sector sub-classifications for reporting ease.


P O R T F O L I O I N F O R M A T I O N		27

Schedule of Investments (unaudited)

March 31, 2022

Master Advantage Large Cap Core Portfolio

(Percentages shown are based on Net Assets)


Security	Shares		Value

Common Stocks

Aerospace & Defense — 3.0%
Axon Enterprise, Inc.^(a)(b)		8,270	$	1,139,027
Boeing Co.^(a)		125,738		24,078,827
Curtiss-Wright Corp.		43,003		6,457,330
General Dynamics Corp.		190,384		45,916,813
HEICO Corp.		25,422		3,903,294
HEICO Corp., Class A		147,454		18,701,591
Lockheed Martin Corp.		61,490		27,141,686
Mercury Systems, Inc.^(a)		10,864		700,185
Northrop Grumman Corp.		13,228		5,915,826


				133,954,579

Air Freight & Logistics — 0.6%
Expeditors International of Washington, Inc.		17,293		1,783,946
United Parcel Service, Inc., Class B		121,253		26,003,918


				27,787,864

Auto Components — 0.4%
BorgWarner, Inc.		491,974		19,137,789
Goodyear Tire & Rubber Co.^(a)		18,877		269,752


				19,407,541

Automobiles — 2.3%
General Motors Co.^(a)		227,632		9,956,624
Tesla, Inc.^(a)		83,362		89,830,891


				99,787,515

Banks — 3.8%
Bank of America Corp.		1,221,324		50,342,975
Citigroup, Inc.		428,806		22,898,240
First Republic Bank		65,900		10,682,390
Huntington Bancshares, Inc.		101,520		1,484,222
JPMorgan Chase & Co.		313,061		42,676,476
Pinnacle Financial Partners, Inc.		66,908		6,160,889
PNC Financial Services Group, Inc.		54,274		10,010,839
Regions Financial Corp.		869,572		19,356,673
Truist Financial Corp.		23,379		1,325,589
Wells Fargo & Co.		41,536		2,012,835


				166,951,128

Beverages — 1.2%
Brown-Forman Corp., Class B		237,925		15,945,733
Coca-Cola Europacific Partners PLC		140,101		6,810,310
Keurig Dr Pepper, Inc.		408,016		15,463,806
PepsiCo, Inc.		76,941		12,878,385


				51,098,234

Biotechnology — 1.1%
AbbVie, Inc.		12,888		2,089,274
Amgen, Inc.		156,467		37,836,850
Biogen, Inc.^(a)		42,350		8,918,910


				48,845,034

Building Products — 0.2%
Builders FirstSource, Inc.^(a)		23,119		1,492,100
Lennox International, Inc.		19,847		5,117,748
Owens Corning		15,274		1,397,571


				8,007,419

Capital Markets — 1.6%
Bank of New York Mellon Corp.		17,784		882,620
Blackstone, Inc.		3,428		435,150
Charles Schwab Corp.		5,367		452,492
FactSet Research Systems, Inc.		21,305		9,249,566
Goldman Sachs Group, Inc.		14,010		4,624,701
Moody’s Corp.		25,271		8,526,688


Security	Shares		Value

Capital Markets (continued)
S&P Global, Inc.		86,420	$	35,447,756
Stifel Financial Corp.		152,536		10,357,194


				69,976,167

Chemicals — 1.4%
Corteva, Inc.		33,837		1,944,951
Ecolab, Inc.		272,217		48,062,634
Linde PLC		26,589		8,493,324
Mosaic Co.		45,278		3,010,987


				61,511,896

Communications Equipment — 0.3%
Ciena Corp.^(a)		43,257		2,622,672
Juniper Networks, Inc.		245,558		9,124,935


				11,747,607

Construction Materials — 0.1%
Vulcan Materials Co.		22,906		4,207,832


Consumer Finance — 1.6%
Ally Financial, Inc.		790,015		34,349,852
American Express Co.		140,619		26,295,753
Capital One Financial Corp.		67,123		8,812,579
Discover Financial Services		15,633		1,722,600


				71,180,784

Diversified Consumer Services — 0.5%
H&R Block, Inc.		503,399		13,108,510
Service Corp. International		137,599		9,056,766


				22,165,276

Diversified Financial Services — 1.4%
Berkshire Hathaway, Inc., Class B^(a)		51,090		18,030,172
Voya Financial, Inc.		677,681		44,964,134


				62,994,306

Diversified Telecommunication Services — 0.1%
AT&T Inc.		249,956		5,906,460


Electric Utilities — 1.8%
Entergy Corp.		272,879		31,858,623
NextEra Energy, Inc.		183,866		15,575,289
OGE Energy Corp.		706,780		28,822,489
Portland General Electric Co.		28,389		1,565,653


				77,822,054

Electrical Equipment — 0.6%
AMETEK, Inc.		62,512		8,325,348
Eaton Corp. PLC		127,884		19,407,676


				27,733,024

Electronic Equipment, Instruments & Components —0.7%
Flex Ltd.^(a)		574,319		10,653,618
Keysight Technologies, Inc.^(a)		124,068		19,599,022
TE Connectivity Ltd.		14,884		1,949,506


				32,202,146

Energy Equipment & Services — 0.7%
Halliburton Co.		240,980		9,125,912
Schlumberger NV		505,383		20,877,372


				30,003,284

Entertainment — 0.4%
ROBLOX Corp., Class A^(a)		54,703		2,529,467
Roku, Inc.^(a)		52,835		6,618,640
Spotify Technology SA^(a)		49,483		7,472,923
Zynga, Inc., Class A^(a)		105,678		976,465


				17,597,495


28		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Advantage Large Cap Core Portfolio

(Percentages shown are based on Net Assets)


Security	Shares		Value

Equity Real Estate Investment Trusts (REITs) — 3.7%
American Homes 4 Rent, Class A		197,650	$	7,911,930
American Tower Corp.		14,117		3,546,473
Brixmor Property Group, Inc.		259,336		6,693,462
Crown Castle International Corp.		57,394		10,594,932
CubeSmart		569,481		29,630,096
Equity LifeStyle Properties, Inc.		33,077		2,529,729
Extra Space Storage, Inc.		66,903		13,755,257
Life Storage, Inc.		155,454		21,830,405
Mid-America Apartment Communities, Inc.		21,531		4,509,668
Prologis, Inc.		376,988		60,876,022
RLJ Lodging Trust		73		1,028
Sun Communities, Inc.		3,375		591,604


				162,470,606

Food & Staples Retailing — 1.3%
Costco Wholesale Corp.		65,219		37,556,361
Kroger Co.		16,711		958,710
Walmart, Inc.		131,864		19,637,187


				58,152,258

Food Products — 0.5%
Bunge Ltd.		27,792		3,079,632
Kellogg Co.		67,053		4,324,248
McCormick & Co., Inc.		131,283		13,102,043


				20,505,923

Health Care Equipment & Supplies — 1.8%
Abbott Laboratories		28,251		3,343,788
Align Technology, Inc.^(a)		24,422		10,647,992
Boston Scientific Corp.^(a)		531,130		23,523,748
IDEXX Laboratories, Inc.^(a)		71,708		39,228,579
Medtronic PLC		33,672		3,735,908
Stryker Corp.		2,022		540,582


				81,020,597

Health Care Providers & Services — 2.3%
AmerisourceBergen Corp.		13,658		2,113,029
Anthem, Inc.		81,297		39,934,712
Cigna Corp.		33,940		8,132,364
CVS Health Corp.		120,619		12,207,849
McKesson Corp.		53,628		16,417,140
Molina Healthcare, Inc.^(a)		14,517		4,842,726
UnitedHealth Group, Inc.		30,564		15,586,723


				99,234,543

Health Care Technology — 0.5%
Cerner Corp.		30,670		2,869,485
Teladoc Health, Inc.^(a)(b)		276,811		19,966,378


				22,835,863

Hotels, Restaurants & Leisure — 0.9%
Airbnb, Inc., Class A^(a)		7,352		1,262,779
Choice Hotels International, Inc.		4,385		621,618
Domino’s Pizza, Inc.		4,177		1,700,081
DraftKings, Inc., Class A^(a)		24,203		471,232
Expedia Group, Inc.^(a)		3,235		632,992
International Game Technology PLC		48,264		1,191,156
McDonald’s Corp.		50,342		12,448,570
Travel + Leisure Co.		287,267		16,644,250
Yum! Brands, Inc.		50,899		6,033,058


				41,005,736

Household Durables — 0.4%
Garmin Ltd.		15,009		1,780,217
Whirlpool Corp.		84,891		14,667,467


				16,447,684


Security	Shares		Value

Household Products — 1.7%
Church & Dwight Co., Inc.		22,125	$	2,198,783
Colgate-Palmolive Co.		735,016		55,736,263
Procter & Gamble Co.		100,813		15,404,226


				73,339,272

Independent Power and Renewable Electricity Producers — 0.0%
Sunnova Energy International, Inc.^(a)		20,623		475,566


Industrial Conglomerates — 0.5%
Honeywell International, Inc.		70,334		13,685,590
Roper Technologies, Inc.		21,406		10,108,555


				23,794,145

Insurance — 3.0%
Allstate Corp.		5,214		722,191
Marsh & McLennan Cos., Inc.		256,432		43,701,142
MetLife, Inc.		760,094		53,419,406
Reinsurance Group of America, Inc.		49,265		5,392,547
Travelers Cos., Inc.		144,748		26,449,802


				129,685,088

Interactive Media & Services — 5.1%
Alphabet, Inc., Class A^(a)		36,603		101,805,754
Alphabet, Inc., Class C^(a)		28,544		79,723,107
Meta Platforms, Inc., Class A^(a)		198,879		44,222,734


				225,751,595

Internet & Direct Marketing Retail — 3.6%
Amazon.com, Inc.^(a)		47,426		154,606,389
Etsy, Inc.^(a)		39,745		4,939,508


				159,545,897

IT Services — 4.2%
Accenture PLC, Class A		29,313		9,885,223
Automatic Data Processing, Inc.		54,481		12,396,607
Block, Inc.^(a)		30,577		4,146,241
EPAM Systems, Inc.^(a)		5,535		1,641,737
Fidelity National Information Services, Inc.		323,033		32,438,974
Global Payments, Inc.		33,217		4,545,414
Mastercard, Inc., Class A		32,802		11,722,779
PayPal Holdings, Inc.^(a)		240,109		27,768,606
Visa, Inc., Class A		347,829		77,138,037
Western Union Co.		163,318		3,060,579


				184,744,197

Life Sciences Tools & Services — 3.7%
Agilent Technologies, Inc.		387,942		51,336,365
Bruker Corp.		27,155		1,746,066
Charles River Laboratories International, Inc.^(a)		4,271		1,212,836
Danaher Corp.		147,000		43,119,510
Mettler-Toledo International, Inc.^(a)		7,859		10,791,900
Syneos Health, Inc.^(a)		303,881		24,599,167
Thermo Fisher Scientific, Inc.		46,847		27,670,181


				160,476,025

Machinery — 1.8%
AGCO Corp.		6,582		961,169
Caterpillar, Inc.		46,790		10,425,748
Cummins, Inc.		19,391		3,977,288
Illinois Tool Works, Inc.		243,815		51,054,861
Otis Worldwide Corp.		173,056		13,316,659


				79,735,725

Media — 2.0%
Altice U.S.A., Inc., Class A^(a)		387,106		4,831,083
Charter Communications, Inc., Class A^(a)		18,731		10,218,135
Comcast Corp., Class A		886,169		41,490,433


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 (unaudited) (continued)

March 31, 2022

Master Advantage Large Cap Core Portfolio

(Percentages shown are based on Net Assets)


Security	Shares		Value

Media (continued)
Discovery, Inc., Class C^(a)		33,334	$	832,350
Fox Corp., Class A		761,805		30,053,207
Fox Corp., Class B		15,776		572,353


				87,997,561

Metals & Mining — 0.8%
Freeport-McMoRan, Inc.		212,003		10,545,029
Reliance Steel & Aluminum Co.		119,805		21,966,247
Steel Dynamics, Inc.		24,832		2,071,734


				34,583,010

Multiline Retail — 0.9%
Nordstrom, Inc.		120,900		3,277,599
Target Corp.		175,710		37,289,176


				40,566,775

Multi-Utilities — 0.6%
CMS Energy Corp.		22,398		1,566,516
DTE Energy Co.		198,897		26,296,173


				27,862,689

Oil, Gas & Consumable Fuels — 3.7%
Devon Energy Corp.		155,813		9,213,223
Diamondback Energy, Inc.		4,458		611,103
EOG Resources, Inc.		388,307		46,297,843
Exxon Mobil Corp.		755,341		62,383,613
Marathon Oil Corp.		865,889		21,742,473
Ovintiv, Inc.		46,859		2,533,666
Phillips 66		162,553		14,042,954
Targa Resources Corp.		10,639		802,925
Valero Energy Corp.		42,282		4,293,314


				161,921,114

Personal Products — 0.3%
Estee Lauder Cos., Inc., Class A		43,551		11,859,808


Pharmaceuticals — 4.6%
Bristol-Myers Squibb Co.		8,855		646,681
Eli Lilly & Co.		24,291		6,956,214
Johnson & Johnson		495,565		87,828,985
Merck & Co., Inc.		394,145		32,339,597
Pfizer, Inc.		433,201		22,426,816
Zoetis, Inc.		271,065		51,120,148


				201,318,441

Professional Services — 0.3%
Equifax, Inc.		48,013		11,383,882


Real Estate Management & Development — 0.1%
CBRE Group, Inc., Class A^(a)		66,237		6,062,010


Road & Rail — 0.9%
CSX Corp.		143,185		5,362,278
Landstar System, Inc.		106,399		16,048,161
Norfolk Southern Corp.		4,202		1,198,495
Old Dominion Freight Line, Inc.		10,204		3,047,731
Ryder System, Inc.		146,427		11,616,054
Schneider National, Inc., Class B		66,842		1,704,471


				38,977,190

Semiconductors & Semiconductor Equipment — 5.2%
Advanced Micro Devices, Inc.^(a)		343,364		37,543,420
Applied Materials, Inc.		52,783		6,956,799
Cirrus Logic, Inc.^(a)		102,719		8,709,544
Intel Corp.		899,915		44,599,787
KLA Corp.		12,127		4,439,210
Lam Research Corp.		14,360		7,720,080
Monolithic Power Systems, Inc.		18,329		8,902,029


Security	Shares		Value

Semiconductors & Semiconductor Equipment (continued)
NVIDIA Corp.		220,171	$	60,075,859
NXP Semiconductors NV		5,947		1,100,671
QUALCOMM, Inc.		181,375		27,717,727
Silicon Laboratories, Inc.^(a)		86,784		13,034,957
Teradyne Inc.		4,395		519,621
Texas Instruments, Inc.		31,855		5,844,755


				227,164,459

Software — 10.2%
Adobe, Inc.^(a)		83,871		38,213,305
Atlassian Corp. PLC, Class A^(a)		2,738		804,507
Cadence Design Systems, Inc.^(a)		85,985		14,141,093
HubSpot, Inc.^(a)		5,668		2,691,960
InterDigital, Inc.		9		574
Intuit, Inc.		54,685		26,294,735
Microsoft Corp.		844,620		260,404,792
Palo Alto Networks, Inc.^(a)		814		506,723
RingCentral, Inc., Class A^(a)		3,599		421,839
salesforce.com, Inc.^(a)		112,496		23,885,151
ServiceNow, Inc.^(a)		79,051		44,022,711
Workday, Inc., Class A^(a)		158,245		37,893,348


				449,280,738

Specialty Retail — 1.3%
Advance Auto Parts, Inc.		14,244		2,947,938
American Eagle Outfitters, Inc.		414,498		6,963,567
Best Buy Co., Inc.		45,346		4,121,952
Home Depot, Inc.		128,501		38,464,204
Lowe’s Cos., Inc.		17,675		3,573,708
Penske Automotive Group, Inc.		11,711		1,097,555


				57,168,924

Technology Hardware, Storage & Peripherals — 8.1%
Apple Inc.		1,555,756		271,650,555
Dell Technologies, Inc., Class C^(a)		716,939		35,983,169
Hewlett Packard Enterprise Co.		1,376,137		22,995,249
HP, Inc.		571,641		20,750,568
Western Digital Corp.^(a)		81,853		4,064,002


				355,443,543

Textiles, Apparel & Luxury Goods — 0.4%
Levi Strauss & Co., Class A		266,393		5,263,926
NIKE, Inc., Class B		9,183		1,235,664
Ralph Lauren Corp.		68,592		7,781,076
Tapestry, Inc.		43,784		1,626,576


				15,907,242

Thrifts & Mortgage Finance — 0.1%
Radian Group, Inc.		124,280		2,760,259


Tobacco — 0.1%
Philip Morris International, Inc.		29,256		2,748,309


Trading Companies & Distributors — 0.4%
SiteOne Landscape Supply, Inc.^(a)		117,825		19,051,124


Wireless Telecommunication Services — 0.1%
United States Cellular Corp.^(a)		123,212		3,724,699


Total Long-Term Investments — 98.9% (Cost: $3,385,452,989)				4,345,890,142


30		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Advantage Large Cap Core Portfolio

(Percentages shown are based on Net Assets)


Security	Shares		Value


Short-Term Securities^(c)(d)

Money Market Funds — 1.2%
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.21%		44,290,690	$	44,290,690
SL Liquidity Series, LLC, Money Market Series, 0.42%^(e)		7,665,163		7,662,863


Total Short-Term Securities — 1.2% (Cost: $51,951,036)				51,953,553


Total Investments — 100.1% (Cost: $3,437,404,025)				4,397,843,695

Liabilities in Excess of Other Assets — (0.1)%				(4,841,606	)


Net Assets — 100.0%			$	4,393,002,089

^(a)	Non-income producing security.

^(b)	All or a portion of this security is on loan.

^(c)	Affiliate of the Portfolio.

^(d)	Annualized 7-day yield as of period end.

^(e)	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 six months ended March 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 09/30/21		Purchases at Cost			Proceeds from Sale			Net Realized Gain (Loss)				Change in Unrealized Appreciation (Depreciation)				Value at 03/31/22		Shares Held at 03/31/22		Income			Capital Gain Distributions from Underlying Funds
BlackRock Liquidity Funds, T-Fund, Institutional Class	$	44,173,269	$	117,421	^(a)	$	—			$	—			$	—		$	44,290,690		44,290,690	$	4,736			$	—
SL Liquidity Series, LLC, Money Market Series		10,666,029		—			(2,985,168	)^(a)			(14,173	)			(3,825	)		7,662,863		7,665,163		97,197	^(b)			—


										$	(14,173	)		$	(3,825	)	$	51,953,553			$	101,933			$	—

^(a)

Represents net amount purchased (sold).

^(b)

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.

For Portfolio compliance purposes, the 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.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts



Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts S&P 500 E-Mini Index		215		06/17/22	$	48,706	$	3,686,549


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 (unaudited) (continued)

March 31, 2022

Master Advantage Large Cap Core Portfolio

Derivative Financial Instruments Categorized by Risk Exposure

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



	Commodity Contracts			Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts			Other Contracts			Total
Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts^(a)		$	—		$	—	$	3,686,549		$	—		$	—		$	—	$	3,686,549

^(a)

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


	Commodity Contracts			Credit Contracts			Equity Contracts			Foreign Currency Exchange Contracts			Interest Rate Contracts			Other Contracts			Total
Net Realized Gain (Loss) from
Futures contracts		$	—		$	—	$	(2,879,411	)		$	—		$	—		$	—	$	(2,879,411	)

Net Change in Unrealized Appreciation (Depreciation) on
Futures contracts		$	—		$	—	$	5,301,026			$	—		$	—		$	—	$	5,301,026

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts
Average notional value of contracts — long	$	52,071,044

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 Portfolio’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

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



	Level 1		Level 2			Level 3			Total
Assets
Investments
Long-Term Investments
Common Stocks	$	4,345,890,142		$	—		$	—		$	4,345,890,142
Short-Term Securities
Money Market Funds		44,290,690			—			—			44,290,690


	$	4,390,180,832		$	—		$	—			4,390,180,832

Investments valued at NAV^(a)											7,662,863


										$	4,397,843,695

Derivative Financial Instruments^(b)
Assets
Equity Contracts	$	3,686,549		$	—		$	—		$	3,686,549

^(a)

Certain investments of the Master Portfolio were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

^(b)

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 S E M I - 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 (unaudited)

March 31, 2022


	Master Advantage Large Cap Core Portfolio

ASSETS
Investments at value — unaffiliated^(a)(b)	$	4,345,890,142
Investments at value — affiliated^(c)		51,953,553
Cash		34,780
Cash pledged for futures contracts		2,643,000
Receivables:
Investments sold		49,085,369
Securities lending income — affiliated		20,591
Dividends — affiliated		3,796
Dividends — unaffiliated		2,802,674
Prepaid expenses		15,217

Total assets		4,452,449,122


LIABILITIES
Collateral on securities loaned		7,693,881
Payables:
Investments purchased		49,280,524
Investment advisory fees		1,522,458
Directors’ fees		5,789
Other accrued expenses		176,274
Variation margin on futures contracts		704,882
Withdrawals to investors		63,225

Total liabilities		59,447,033


NET ASSETS	$	4,393,002,089


NET ASSETS CONSIST OF
Investors’ capital	$	3,428,875,870
Net unrealized appreciation (depreciation)		964,126,219


NET ASSETS	$	4,393,002,089


^(a)Investments, at cost — unaffiliated	$	3,385,452,989
^(b)Securities loaned, at value	$	7,404,576
^(c)Investments, at cost — affiliated	$	51,951,036

See notes to financial statements.


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 (unaudited)

Six Months Ended March 31, 2022


	Master Advantage Large Cap Core Portfolio

INVESTMENT INCOME
Dividends — unaffiliated	$	31,319,520
Dividends — affiliated		4,736
Securities lending income — affiliated — net		97,197
Foreign taxes withheld		(147,433	)


Total investment income		31,274,020


EXPENSES
Investment advisory		9,492,013
Accounting services		135,530
Custodian		37,596
Professional		29,199
Directors		8,358
Miscellaneous		13,218


Total expenses		9,715,914
Less:
Fees waived and/or reimbursed by the Manager		(77,662	)


Total expenses after fees waived and/or reimbursed		9,638,252


Net investment income		21,635,768


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated		220,878,819
Investments — affiliated		(14,173	)
Futures contracts		(2,879,411	)


		217,985,235

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		(72,594,897	)
Investments — affiliated		(3,825	)
Futures contracts		5,301,026


		(67,297,696	)


Net realized and unrealized gain		150,687,539


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	172,323,307

See notes to financial statements.


34		2 0 2 2 B L A C K R O C K S E M I - 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


	Master Advantage Large Cap Core Portfolio

		Six Months Ended 03/31/22 (unaudited)			Year Ended 09/30/21

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income		$	21,635,768		$	38,197,644
Net realized gain			217,985,235			753,819,293
Net change in unrealized appreciation (depreciation)			(67,297,696	)		274,025,932


Net increase in net assets resulting from operations			172,323,307			1,066,042,869


CAPITAL TRANSACTIONS
Proceeds from contributions			181,606,264			470,312,675
Value of withdrawals			(302,515,131	)		(877,262,200	)


Net decrease in net assets derived from capital transactions			(120,908,867	)		(406,949,525	)


NET ASSETS
Total increase in net assets			51,414,440			659,093,344
Beginning of period			4,341,587,649			3,682,494,305


End of period		$	4,393,002,089		$	4,341,587,649

See notes to financial statements.


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

(For a share outstanding throughout each period)


	Master Advantage Large Cap Core Portfolio
	Six Months Ended 03/31/22				Year Ended September 30,
		(unaudited)			2021			2020			2019			2018			2017

Total Return
Total return			3.90	%^(a)		30.39	%		15.98	%		1.43	%		17.40	%		24.06	%^(b)


Ratios to Average Net Assets^(c)
Total expenses			0.43	%^(d)		0.44	%		0.44	%		0.44	%		0.45	%		0.49	%

Total expenses after fees waived and/or reimbursed			0.43	%^(d)		0.43	%		0.43	%		0.43	%		0.45	%		0.49	%

Net investment income			0.96	%^(d)		0.92	%		1.34	%		1.59	%		1.47	%		1.33	%


Supplemental Data
Net assets, end of period (000)		$	4,393,002		$	4,341,588		$	3,682,494		$	3,469,237		$	3,103,189		$	2,262,543

Portfolio turnover rate			57	%		111	%		99	%		151	%		148	%		130	%

^(a)	Aggregate total return.

^(b)	Includes proceeds received from a settlement of litigation, which had no impact on the Portfolio’s total return.

^(c)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(d)	Annualized.

See notes to financial statements.


36		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited)

1.	*ORGANIZATION*

Master Advantage Large Cap Core Portfolio (the “Portfolio”) is a series of Master Large Cap Series LLC (the “Master LLC”). The Master LLC is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and is organized as a Delaware limited liability company. The Portfolio is classified as diversified. The Master LLC’s Limited Liability Company Agreement permits the Board of Directors of Master LLC (the “Board”) to issue non-transferable interests, subject to certain limitations.

On February 8, 2022, the Board of Directors of BlackRock Large Cap Series Funds, Inc., on behalf of BlackRock Advantage Large Cap Core Fund (the “Fund”), approved a proposal pursuant to which the Fund will cease to invest in the Master Portfolio as part of a “master/feeder” structure and will instead operate as a stand-alone fund.

The Portfolio, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market 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 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 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 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 Portfolio invests. These foreign taxes, if any, are paid by the 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 March 31, 2022, if any, are disclosed in the Statement of Assets and Liabilities.

The Portfolio files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The 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.

Segregation and Collateralization: In cases where the Portfolio enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the Portfolio may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investments to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

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

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

The Portfolio has an arrangement with its custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Portfolio may incur charges on overdrafts, subject to certain conditions.

3.	*INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*

Investment Valuation Policies: The Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the 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 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 Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. 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 a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.


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 (unaudited) (continued)

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Portfolio’s assets and liabilities:

•

Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

•

Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).

•

The Portfolio values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets.

•

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 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 Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global 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 Global Valuation Committee, or its delegate, seeks to determine the price that the Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

•

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

•

As of March 31, 2022, certain investments of the Portfolio were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

4.	*SECURITIES AND OTHER INVESTMENTS*

Securities Lending: The Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the 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 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 Portfolio and any additional required collateral is delivered to the Portfolio, or excess collateral returned by the Portfolio, on the next business day. During the term of the loan, the 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.

The market value of any securities on loan, all of which were classified as common stocks in the Portfolio’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value – unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedule of Investments.

Securities lending transactions are entered into by the 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.


38		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

In the event that a borrower defaults, the 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 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 Portfolio’s securities on loan by counterparty which are subject to offset under an MSLA:



Counterparty	Securities Loaned at Value			Cash Collateral Received^(a)				Non-Cash Collateral Received			Net Amount

J.P. Morgan Securities LLC		$	7,404,576		$	(7,404,576	)		$	—		$	—

^(a)

Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Portfolio is disclosed in the 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 Portfolio benefits from a borrower default indemnity provided by BIM. BIM’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 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 Portfolio.

5.	*DERIVATIVE FINANCIAL INSTRUMENTS*

The Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the 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 are exchange-traded agreements between the 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 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 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: The Master LLC, on behalf of the Portfolio, entered into an Investment Advisory Agreement with the Manager, the Portfolio’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Portfolio’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Portfolio.

For such services, the Portfolio pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Portfolio’s net assets:



Average Daily Net Assets	Investment Advisory Fees

First $1 billion		0.45	%
$1 billion — $3 billion		0.42
$3 billion — $5 billion		0.41
$5 billion — $10 billion		0.39
Greater than $10 billion		0.38

Expense Limitations, Waivers and Reimbursements: With respect to the Portfolio, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the 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 directors who are not “interested persons” of the Master LLC,


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 (unaudited) (continued)

as defined in the 1940 Act (“Independent Directors”), or by a vote of a majority of the outstanding voting securities of the Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended March 31, 2022 the amount waived was $6,144.

The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the 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 Directors, or by a vote of a majority of the outstanding voting securities of the Portfolio. For the six months ended March 31, 2022, there were no fees waived by the Manager pursuant to this arrangement.

The Manager has also voluntarily agreed to waive its investment advisory fees to enable the feeder that invests in the Portfolio to limit expenses, if applicable. The Manager may discontinue this voluntary waiver at any time. The amount waived is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended March 31, 2022, the amount waived and/or reimbursed was $71,518.

Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Portfolio, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Portfolio is responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company, SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”), managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the Money Market Series to an annual rate of 0.04%. The investment adviser to the Money Market Series will not charge any advisory fees with respect to shares purchased by the Portfolio. The Money Market Series may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act.

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

Pursuant to the current securities lending agreement, the Portfolio retains 81% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.

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 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 expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.

Prior to January 1, 2022, the Portfolio retained 77% of securities lending income (which excluded collateral investment expenses) and the amount retained could never be less than 70% of the total of securities lending income plus the collateral investment expenses. 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 exceeded a specified threshold, the Portfolio would retain for the remainder of that calendar year 81% of securities lending income (which excluded collateral investment expenses), and the amount retained could never be less than 70% of the total of securities lending income plus the collateral investment expenses.

The share of securities lending income earned by the Portfolio is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended March 31, 2022, the Portfolio paid BIM $22,799 for securities lending agent services.

Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the 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 Portfolio’s investment policies and restrictions. The Portfolio is currently permitted to borrow under the Interfund Lending Program.

During the six months ended March 31, 2022, the Portfolio did not participate in the Interfund Lending Program.

Directors and Officers: Certain directors and/or officers of the Master LLC are directors and/or officers of BlackRock or its affiliates.


40		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

Other Transactions: The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended March 31, 2022, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:


Purchases	Sales		Net Realized Gain
$ 2,820,769	$	4,925,020		$ 767,854

7.	*PURCHASES AND SALES*

For the six months ended March 31, 2022, purchases and sales of investments, excluding short-term investments, were $2,504,048,967 and $2,601,645,446, respectively.

8.	*INCOME TAX INFORMATION*

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

The 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 Portfolio’s U.S. federal tax returns generally remains open for a period of three fiscal years after they are filed. The statutes of limitations on the 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 Portfolio as of March 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 Portfolio’s financial statements.



	Amounts

Tax cost	$	3,450,786,851

Gross unrealized appreciation	$	1,064,546,314
Gross unrealized depreciation		(113,802,919	)

Net unrealized appreciation (depreciation)	$	950,743,395

9.	*BANK BORROWINGS*

The Master LLC, on behalf of the Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the 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) one-month London Interbank Offered Rate (“LIBOR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2022 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 six months ended March 31, 2022, the Portfolio did not borrow under the credit agreement.

10.

PRINCIPAL RISKS

In the normal course of business, the Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the 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 Portfolio and its investments. The Portfolio’s prospectus provides details of the risks to which the Portfolio is subject.

The 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.


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

Notes to Financial Statements (unaudited) (continued)

pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. Although vaccines have been developed and approved for use by various governments, the duration of this pandemic and its effects cannot be determined with certainty.

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 Portfolio may invest in illiquid investments. An illiquid investment is any investment that the 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 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 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 Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Portfolio invests.

Counterparty Credit Risk: The 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 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 Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the 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 Portfolio.

With exchange-traded futures there is less counterparty credit risk to the 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 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 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 Portfolio’s portfolio are disclosed in its Schedule of Investments.

The Portfolio invests a significant portion of its assets in securities within a single or limited number of market sectors. When a Portfolio 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 Portfolio and could affect the income from, or the value or liquidity of, the Portfolio’s portfolio. Investment percentages in specific sectors are presented in the Schedule of Investments.

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the 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 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 Portfolio is uncertain.

11.

SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Master Portfolio’s financial statements was completed through the date the financial statements were issued and the following items were noted:

Effective April 14, 2022, the 364-day credit agreement to which Master Advantage Large Cap Core Portfolio, on behalf of the Portfolio, and the Participating Funds are party was amended to (i) increase the aggregate commitment amount to $2.50 billion, (ii) update the interest terms 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 and (iii) extend the termination date to April 2023.

On April 25, 2022, the BlackRock Advantage Large Cap Core Fund (the “Fund”) ceased to invest in the Portfolio as part of a “master-feeder” structure and began to operate as a stand-alone fund. In connection with this change, the Fund entered into a management agreement with BlackRock Advisors, LLC (the “Manager”), the terms of which are substantially the same as the management agreement between BlackRock Advisors, LLC and the Portfolio, including the management fee rate. The Fund received net assets of $3,173,287,519, which included net unrealized appreciation of $549,890,062, in exchange for its ownership in the Porfolio. The cost basis for the investments received from the Portfolio was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. The change into a stand-alone structure did not result in a change in net assets of the Fund and did not create a taxable event for the Fund or its shareholders.


42		2 0 2 2 B L A C K R O C K S E M I - 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


Portfolio Information as of March 31, 2022		Master Total Return Portfolio

PORTFOLIO COMPOSITION



Asset Type	Percent of Total Investments	^(a)

U.S. Government Sponsored Agency Securities	43	%
Corporate Bonds	26
Asset-Backed Securities	10
U.S. Treasury Obligations	8
Non-Agency Mortgage-Backed Securities	6
Floating Rate Loan Interests	3
Foreign Government Obligations	2
Foreign Agency Obligations	1
Common Stocks	1
Municipal Bonds^(b)	—
Preferred Securities^(b)	—
Investment Companies^(b)	—
Warrants^(b)	—
Rights^(b)	—

CREDIT QUALITY ALLOCATION



Credit Rating^(c)	Percent of Total Investments	^(a)

AAA/Aaa^(d)	56	%
AA/Aa	3
A	11
BBB/Baa	14
BB/Ba	3
B	3
CCC/Caa	1
N/R	9

^(a)	Total investments exclude short-term securities, options purchased, options written and TBA sale commitments.

^(b)	Amount is less than 1%.

^(c)

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

^(d)

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


P O R T F O L I O I N F O R M A T I O N		43

Schedule of Investments (unaudited)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities
510 Loan Acquisition Trust, Series 2020-1, Class A, 5.11%, 09/25/60^(a)(b)	USD		5,793	$	5,729,091
522 Funding CLO Ltd.
Series 2019-4A, Class CR, (3 mo. LIBOR US + 2.40%), 2.65%, 04/20/30^(a)(c)			625		621,923
Series 2019-4A, Class DR, (3 mo. LIBOR US + 3.65%), 3.90%, 04/20/30^(a)(c)			2,170		2,126,974
Series 2019-5A, Class AR, (3 mo. CME Term SOFR + 1.33%), 1.55%, 04/15/35^(a)(c)			510		506,253
ACE Securities Corp. Home Equity Loan Trust
Series 2003-OP1, Class A2, (1 mo. LIBOR US + 0.72%), 1.18%, 12/25/33^(c)			581		542,161
Series 2006-CW1, Class A2C, (1 mo. LIBOR US + 0.28%), 0.74%, 07/25/36^(c)			285		249,427
Series 2007-HE4, Class A2A, (1 mo. LIBOR US + 0.26%), 0.72%, 05/25/37^(c)			2,537		587,841
Series 2007-HE4, Class A2C, (1 mo. LIBOR US + 0.60%), 1.06%, 05/25/37^(c)			224		53,653
ACRES Commercial Realty Ltd., Series 2021- FL1, Class A, (1 mo. LIBOR US + 1.20%), 1.64%, 06/15/36^(a)(c)			2,984		2,948,797
Affirm Asset Securitization Trust, Series 2022- X1, Class A, 1.75%, 02/15/27^(a)			16,382		16,190,563
AGL CLO 11 Ltd., Series 2021-11A, Class E, (3 mo. LIBOR US + 6.36%), 6.60%, 04/15/34^(a)(c)			250		245,165
AGL CLO 12 Ltd., Series 2021-12A, Class A1, (3 mo. LIBOR US + 1.16%), 1.41%, 07/20/34^(a)(c)			7,640		7,563,553
AGL CLO 14 Ltd., Series 2021-14A, Class A, (3 mo. LIBOR US + 1.15%), 1.27%, 12/02/34^(a)(c)			1,000		989,210
AGL CLO 7 Ltd.
Series 2020-7A, Class AR, (3 mo. LIBOR US + 1.20%), 1.44%, 07/15/34^(a)(c)			2,400		2,381,615
Series 2020-7A, Class DR, (3 mo. LIBOR US + 3.10%), 3.34%, 07/15/34^(a)(c)			500		490,680
AGL CLO 9 Ltd., Series 2020-9A, Class D, (3 mo. LIBOR US + 3.70%), 3.95%, 01/20/34^(a)(c)			250		249,756
AGL Core CLO 15 Ltd., Series 2021-15A, Class A1, (3 mo. LIBOR US + 1.15%), 1.27%, 01/20/35^(a)(c)			250		247,206
AGL Core CLO 2 Ltd., Series 2019-2A, Class A1, (3 mo. LIBOR US + 1.39%), 1.64%, 04/20/32^(a)(c)			8,405		8,405,359
AGL Core CLO 4 Ltd., Series 2020-4A, Class A1R, (3 mo. LIBOR US + 1.07%), 1.32%, 04/20/33^(a)(c)			3,620		3,582,536
AIG CLO Ltd.
Series 2018-1A, Class A1R, (3 mo. LIBOR US + 1.12%), 1.37%, 04/20/32^(a)(c)			1,730		1,715,873
Series 2021-1A, Class E, (3 mo. LIBOR US + 6.60%), 6.86%, 04/22/34^(a)(c)			250		243,752
AIMCO CLO
Series 2015-AA, Class BR2, (3 mo. LIBOR US + 1.60%), 1.84%, 10/17/34^(a)(c)			1,200		1,183,860
Series 2017-AA, Class AR, (3 mo. LIBOR US + 1.05%), 1.30%, 04/20/34^(a)(c)			250		247,286
Series 2017-AA, Class CR, (3 mo. LIBOR US + 2.10%), 2.35%, 04/20/34^(a)(c)			500		492,262


Security		Par (000)		Value

Asset-Backed Securities (continued)
AIMCO CLO
Series 2017-AA, Class DR, (3 mo. LIBOR US + 3.15%), 3.40%, 04/20/34^(a)(c)	USD		250	$	245,140
Series 2018-BA, Class AR, (3 mo. LIBOR US + 1.10%), 1.34%, 01/15/32^(a)(c)			5,770		5,723,163
Ajax Mortgage Loan Trust
Series 2017-D, Class B, 0.00%, 12/25/57^(a)(c)(d)			42		36,879
Series 2018-A, Class B, 0.00%, 04/25/58^(a)			75		72,244
Series 2018-B, Class B, 0.00%, 02/26/57^(a)			213		126,867
Series 2018-D, Class A, 3.75%, 08/25/58^(a)(c)			7,873		7,889,683
Series 2018-D, Class B, 0.00%, 08/25/58^(a)(c)(d)			2,839		2,005,321
Series 2018-E, Class C, 0.00%, 06/25/58^(a)(c)			91		87,920
Series 2018-F, Class C, 0.00%, 11/25/58^(a)			289		193,478
Series 2018-G, Class A, 4.38%, 06/25/57^(a)(c)			7,010		7,014,529
Series 2018-G, Class B, 5.25%, 06/25/57^(a)(c)			2,042		2,015,414
Series 2018-G, Class C, 0.00%, 06/25/57^(a)			5,261		5,210,936
Series 2019-A, Class A, 3.75%, 08/25/57^(a)(c)			6,423		6,410,790
Series 2019-A, Class B, 5.25%, 08/25/57^(a)(c)			1,720		1,705,029
Series 2019-A, Class C, 0.00%, 08/25/57^(a)(d)			4,295		3,500,275
Series 2019-B, Class A, 3.75%, 01/25/59^(a)(c)			11,997		12,032,998
Series 2019-B, Class B, 5.25%, 01/25/59^(a)(c)			2,845		2,820,236
Series 2019-B, Class C, 0.00%, 01/25/59^(a)			7,246		7,305,390
Series 2019-E, Class A, 3.00%, 09/25/59^(a)(b)			12,648		12,608,115
Series 2019-E, Class B, 4.88%, 09/25/59^(a)(b)			2,600		2,563,938
Series 2019-E, Class C, 0.00%, 09/25/59^(a)			5,571		5,240,351
Series 2019-G, Class A, 3.00%, 09/25/59^(a)(b)			11,832		11,638,552
Series 2019-G, Class B, 4.25%, 09/25/59^(a)(b)			2,120		2,043,718
Series 2019-G, Class C, 0.00%, 09/25/59^(a)			5,380		4,655,993
Series 2019-H, Class A, 3.00%, 11/25/59^(a)(b)			6,793		6,769,335
Series 2019-H, Class B, 4.25%, 11/25/59^(a)(b)			1,970		1,927,757
Series 2019-H, Class C, 0.00%, 11/25/59^(a)			4,825		4,979,456
Series 2020-A, Class A, 2.38%, 12/25/59^(a)(b)			21,352		20,927,685
Series 2020-A, Class B, 3.50%, 12/25/59^(a)(b)			3,853		3,649,805
Series 2020-A, Class C, 0.00%, 12/25/59^(a)(d)			9,212		5,775,623
Series 2020-C, Class A, 2.25%, 09/27/60^(a)(b)			1,957		1,941,346
Series 2020-C, Class B, 5.00%, 09/27/60^(a)(b)			2,981		2,946,623
Series 2020-C, Class C, 0.00%, 09/27/60^(a)			9,355		8,489,311
Series 2020-D, Class A, 2.25%, 06/25/60^(a)(b)			5,657		5,468,581


44		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Ajax Mortgage Loan Trust
Series 2020-D, Class B, 5.00%, 06/25/60^(a)(b)	USD		4,238	$	4,187,081
Series 2020-D, Class C, 0.00%, 06/25/60^(a)			10,015		8,966,391
Series 2021-C, Class A, 2.12%, 01/25/61^(a)(b)			15,835		15,122,318
Series 2021-C, Class B, 3.72%, 01/25/61^(a)(b)			3,277		3,128,611
Series 2021-C, Class C, 0.00%, 01/25/61^(a)			8,377		7,299,218
Series 2021-D, Class A, 2.00%, 03/25/60^(a)(b)			34,643		32,814,603
Series 2021-D, Class B, 4.00%, 03/25/60^(a)(c)			5,836		5,725,164
Series 2021-D, Class C, 0.00%, 03/25/60^(a)(c)(d)			8,653		6,718,789
Series 2021-E, Class A1, 1.74%, 12/25/60^(a)(c)			27,732		25,582,406
Series 2021-E, Class A2, 2.69%, 12/25/60^(a)(c)			4,422		4,023,215
Series 2021-E, Class B1, 3.73%, 12/25/60^(a)(c)			2,669		2,384,597
Series 2021-E, Class B3, 3.79%, 12/25/60^(a)(c)			7,653		3,846,580
Series 2021-E, Class M1, 2.94%, 12/25/60^(a)(c)			1,744		1,521,615
Series 2021-E, Class SA, 0.00%, 12/25/60^(a)(c)			139		67,119
Series 2021-E, Class XS, 0.00%, 12/25/60^(a)(c)			121,951		3,267,993
Series 2021-F, Class A, 1.88%, 06/25/61^(a)(b)			50,372		47,711,367
Series 2021-F, Class B, 3.75%, 06/25/61^(a)(b)			6,403		6,255,203
Series 2021-F, Class C, 0.00%, 06/25/61^(a)			11,952		10,775,135
Allegro CLO II-S Ltd., Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.08%), 1.34%, 10/21/28^(a)(c)			3,210		3,195,522
Allegro CLO VIII Ltd., Series 2018-2A, Class B1, (3 mo. LIBOR US + 1.67%), 1.91%, 07/15/31^(a)(c)			250		247,397
Allegro CLO XI Ltd., Series 2019-2A, Class A2A, (3 mo. LIBOR US + 1.85%), 2.10%, 01/19/33^(a)(c)			500		496,134
ALM Ltd.
Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.85%), 2.09%, 10/15/29^(a)(c)			7,780		7,755,051
Series 2020-1A, Class B, (3 mo. LIBOR US + 2.00%), 2.24%, 10/15/29^(a)(c)			250		248,198
ALME Loan Funding V BV, Series 5A, Class ER, (3 mo. EURIBOR + 5.41%), 5.41%, 07/15/31^(a)(c)	EUR		1,500		1,582,095
AMMC CLO 21 Ltd., Series 2017-21A, Class A, (3 mo. LIBOR US + 1.25%), 1.56%, 11/02/30^(a)(c)	USD		750		747,007
AMMC CLO 22 Ltd., Series 2018-22A, Class B, (3 mo. LIBOR US + 1.45%), 1.71%, 04/25/31^(a)(c)			500		493,500
AMMC CLO XIII Ltd., Series 2013-13A, Class A1R2, (3 mo. LIBOR US + 1.05%), 1.32%, 07/24/29^(a)(c)			2,890		2,877,696
AMSR Trust
Series 2020-SFR1, Class E, 3.22%, 04/17/37^(a)			1,280		1,224,963


Security		Par (000)		Value

Asset-Backed Securities (continued)
AMSR Trust
Series 2020-SFR2, Class D, 3.28%, 07/17/37^(a)	USD		2,437	$	2,342,227
Series 2020-SFR3, Class E1, 2.56%, 09/17/37^(a)			2,490		2,312,829
Series 2020-SFR4, Class E2, 2.46%, 11/17/37^(a)			2,500		2,289,684
Series 2020-SFR4, Class F, 2.86%, 11/17/37^(a)			2,760		2,525,420
Anchorage Capital CLO 16 Ltd., Series 2020- 16A, Class A1R, (3 mo. LIBOR US + 1.20%), 1.32%, 01/19/35^(a)(c)			250		247,648
Anchorage Capital CLO 17 Ltd., Series 2021- 17A, Class A1, (3 mo. LIBOR US + 1.17%), 1.41%, 07/15/34^(a)(c)			11,115		11,002,009
Anchorage Capital CLO 3-R Ltd.
Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.05%), 1.33%, 01/28/31^(a)(c)			2,370		2,357,468
Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.50%), 1.78%, 01/28/31^(a)(c)			3,600		3,572,534
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.85%), 2.13%, 01/28/31^(a)(c)			500		491,199
Anchorage Capital CLO 4-R Ltd.
Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.05%), 1.33%, 01/28/31^(a)(c)			5,330		5,294,787
Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.85%), 2.13%, 01/28/31^(a)(c)			5,550		5,456,896
Anchorage Capital CLO 5-R Ltd.
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.45%), 1.69%, 01/15/30^(a)(c)			9,200		9,131,000
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.85%), 2.09%, 01/15/30^(a)(c)			3,540		3,515,391
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class ARR, (3 mo. LIBOR US + 1.05%), 1.29%, 07/15/30^(a)(c)			5,470		5,435,169
Anchorage Capital CLO 7 Ltd.
Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 1.37%, 01/28/31^(a)(c)			4,936		4,906,832
Series 2015-7A, Class BR2, (3 mo. LIBOR US + 1.75%), 2.03%, 01/28/31^(a)(c)			7,620		7,576,020
Series 2015-7A, Class CR2, (3 mo. LIBOR US + 2.20%), 2.48%, 01/28/31^(a)(c)			4,250		4,215,565
Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 3.78%, 01/28/31^(a)(c)			1,140		1,111,369
Anchorage Capital CLO 8 Ltd.
Series 2016-8A, Class AR2A, (3 mo. LIBOR US + 1.20%), 1.33%, 10/27/34^(a)(c)			2,430		2,407,919
Series 2016-8A, Class BR2, (3 mo. LIBOR US + 1.80%), 1.93%, 10/27/34^(a)(c)			2,800		2,775,970
Anchorage Capital CLO Ltd.
Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.25%), 1.49%, 10/13/30^(a)(c)			3,075		3,062,742
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.65%), 1.89%, 10/13/30^(a)(c)			750		745,961
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.15%), 2.39%, 10/13/30^(a)(c)			1,410		1,403,058
Anchorage Capital Europe CLO 2 DAC
Series 2A, Class B1R, (3 mo. EURIBOR + 1.60%), 1.60%, 04/15/34^(a)(c)	EUR		1,327		1,432,085
Series 2A, Class CR, (3 mo. EURIBOR + 2.40%), 2.40%, 04/15/34^(a)(c)			1,298		1,393,658


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

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Anchorage Capital Europe CLO 2 DAC Series 2A, Class DR, (3 mo. EURIBOR + 3.55%), 3.55%, 04/15/34^(a)(c)	EUR		2,130	$	2,309,903
Anchorage Capital Europe CLO DAC, Series 4A, Class D, (3 mo. EURIBOR + 3.20%), 3.20%, 04/25/34^(a)(c)			1,042		1,119,123
Antares CLO Ltd., Series 2021-1A, Class A1, (3 mo. LIBOR US + 1.53%), 1.79%, 07/25/33^(a)(c)	USD		10,760		10,751,050
Apidos CLO XII, Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.08%), 1.32%, 04/15/31^(a)(c)			3,652		3,626,761
Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.01%), 1.26%, 04/20/31^(a)(c)			1,080		1,071,612
Apidos CLO XVIII, Series 2018-18A, Class A1, (3 mo. LIBOR US + 1.14%), 1.40%, 10/22/30^(a)(c)			880		875,375
Apidos CLO XX
Series 2015-20A, Class A1RA, (3 mo. LIBOR US + 1.10%), 1.34%, 07/16/31^(a)(c)			450		446,864
Series 2015-20A, Class A2RR, (3 mo. LIBOR US + 1.55%), 1.79%, 07/16/31^(a)(c)			250		247,364
Apidos CLO XXII
Series 2015-22A, Class A2R, (3 mo. LIBOR US + 1.50%), 1.75%, 04/20/31^(a)(c)			500		494,349
Series 2015-22A, Class BR, (3 mo. LIBOR US + 1.95%), 2.20%, 04/20/31^(a)(c)			250		246,468
Series 2015-22A, Class CR, (3 mo. LIBOR US + 2.95%), 3.20%, 04/20/31^(a)(c)			850		828,769
Apidos CLO XXVI, Series 2017-26A, Class BR, (3 mo. LIBOR US + 1.95%), 2.19%, 07/18/29^(a)(c)			570		562,177
Apidos CLO XXX, Series XXXA, Class A1A, (3 mo. LIBOR US + 1.14%), 1.38%, 10/18/31^(a)(c)			250		248,734
Apidos CLO XXXI, Series 2019-31A, Class BR, (3 mo. LIBOR US + 1.55%), 1.79%, 04/15/31^(a)(c)			500		493,942
Apidos CLO XXXII
Series 2019-32A, Class C, (3 mo. LIBOR US + 2.40%), 2.65%, 01/20/33^(a)(c)			250		249,156
Series 2019-32A, Class D, (3 mo. LIBOR US + 3.50%), 3.75%, 01/20/33^(a)(c)			300		298,166
Apidos CLO XXXVII
Series 2021-37A, Class A, (3 mo. LIBOR US + 1.13%), 1.26%, 10/22/34^(a)(c)			1,640		1,620,560
Series 2021-37A, Class E, (3 mo. LIBOR US + 6.30%), 6.43%, 10/22/34^(a)(c)			1,000		978,991
Apres Static CLO Ltd., Series 2019-1A, Class A2R, (3 mo. LIBOR US + 1.70%), 1.94%, 10/15/28^(a)(c)			250		249,401
Aqua Finance Trust, Series 2021-A, Class A, 1.54%, 07/17/46^(a)			714		680,020
Ares European CLO XII DAC, Series 12A, Class B1R, (3 mo. EURIBOR + 1.70%), 1.70%, 04/20/32^(a)(c)	EUR		889		967,514
Ares LII CLO Ltd.
Series 2019-52A, Class A1R, (3 mo. LIBOR US + 1.05%), 1.31%, 04/22/31^(a)(c)	USD		7,910		7,859,112
Series 2019-52A, Class A2R, (3 mo. LIBOR US + 1.45%), 1.71%, 04/22/31^(a)(c)			250		247,865


Security		Par (000)		Value

Asset-Backed Securities (continued)
Ares LIX CLO Ltd.
Series 2021-59A, Class A, (3 mo. LIBOR US + 1.03%), 1.29%, 04/25/34^(a)(c)	USD		500	$	494,030
Series 2021-59A, Class E, (3 mo. LIBOR US + 6.25%), 6.51%, 04/25/34^(a)(c)			250		244,122
Ares LVI CLO Ltd.
Series 2020-56A, Class AR, (3 mo. LIBOR US + 1.16%), 1.42%, 10/25/34^(a)(c)			2,110		2,085,657
Series 2020-56A, Class ER, (3 mo. LIBOR US + 6.50%), 6.76%, 10/25/34^(a)(c)			1,720		1,660,766
Ares XLVIII CLO Ltd., Series 2018-48A, Class B, (3 mo. LIBOR US + 1.58%), 1.83%, 07/20/30^(a)(c)			370		366,354
Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.17%), 1.41%, 10/15/30^(a)(c)			1,150		1,146,459
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.48%), 0.94%, 05/25/35^(c)			3,045		2,791,865
ARM Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1, Class A, 2.43%, 11/15/27^(a)			1,819		1,740,227
Armada Euro CLO III DAC
Series 3A, Class CR, (3 mo. EURIBOR + 2.35%), 2.35%, 07/15/31^(a)(c)	EUR		2,880		3,095,877
Series 3A, Class DR, (3 mo. EURIBOR + 3.30%), 3.30%, 07/15/31^(a)(c)			1,563		1,684,480
ASSURANT CLO I Ltd., Series 2017-1A, Class CR, (3 mo. LIBOR US + 2.15%), 2.40%, 10/20/34^(a)(c)	USD		1,420		1,405,350
ASSURANT CLO Ltd., Series 2018-2A, Class A, (3 mo. LIBOR US + 1.04%), 1.29%, 04/20/31^(a)(c)			750		743,929
Atrium IX, Series 9A, Class AR2, (3 mo. LIBOR US + 0.99%), 1.50%, 05/28/30^(a)(c)			4,010		3,981,322
Atrium XII
Series 12A, Class AR, (3 mo. LIBOR US + 0.83%), 1.09%, 04/22/27^(a)(c)			1,448		1,438,100
Series 12A, Class CR, (3 mo. LIBOR US + 1.65%), 1.91%, 04/22/27^(a)(c)			2,381		2,362,714
Atrium XIII
Series 13A, Class A1, (3 mo. LIBOR US + 1.18%), 1.44%, 11/21/30^(a)(c)			500		498,669
Series 13A, Class B, (3 mo. LIBOR US + 1.50%), 1.76%, 11/21/30^(a)(c)			1,250		1,237,739
Avery Point VI CLO Ltd.
Series 2015-6A, Class AR2, (3 mo. LIBOR US + 0.90%), 1.22%, 08/05/27^(a)(c)			3,516		3,496,649
Series 2015-6A, Class BR2, (3 mo. LIBOR US + 1.35%), 1.67%, 08/05/27^(a)(c)			3,900		3,874,163
Avoca CLO XV DAC, Series 15X, Class B2R, (3 mo. EURIBOR + 1.05%), 1.05%, 04/15/31^(c)(e)	EUR		400		433,502
Avoca CLO XVIII DAC, Series 18X, Class C, (3 mo. EURIBOR + 1.75%), 1.75%, 04/15/31^(c)(e)			400		431,333
Avoca CLO XX DAC, Series 20X, Class E, (3 mo. EURIBOR + 5.75%), 5.75%, 07/15/32^(c)(e)			1,040		1,069,261
Avoca CLO XXII DAC
Series 22A, Class D, (3 mo. EURIBOR + 2.90%), 2.90%, 04/15/35^(a)(c)			500		524,667


46		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Avoca CLO XXII DAC
Series 22X, Class B1, (3 mo. EURIBOR + 1.30%), 1.30%, 04/15/35^(c)(e)	EUR		850	$	903,414
Series 22X, Class E, (3 mo. EURIBOR + 5.23%), 5.23%, 04/15/35^(c)(e)			350		360,911
Avoca CLO XXIII DAC, Series 23A, Class D, (3 mo. EURIBOR + 3.05%), 3.05%, 04/15/34^(a)(c)			500		530,337
Avoca CLO XXIV DAC, Series 24A, Class AR, (3 mo. EURIBOR + 0.90%), 0.90%, 07/15/34^(a)(c)			1,410		1,545,259
Avoca CLO XXV DAC, Series 25A, Class E, (3 mo. EURIBOR + 6.14%), 6.14%, 10/15/34^(a)(c)			1,000		1,031,688
Babson CLO Ltd., Series 2015-IA, Class BR, (3 mo. LIBOR US + 1.40%), 1.65%, 01/20/31^(a)(c)	USD		610		601,601
Bain Capital Credit CLO Ltd.
Series 2017-1A, Class BR, (3 mo. LIBOR US + 1.50%), 1.75%, 07/20/30^(a)(c)			850		840,011
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.08%), 1.33%, 07/19/31^(a)(c)			1,670		1,658,549
Series 2018-2A, Class B, (3 mo. LIBOR US + 1.60%), 1.85%, 07/19/31^(a)(c)			500		494,566
Series 2021-3A, Class D, (3 mo. LIBOR US + 3.10%), 3.36%, 07/24/34^(a)(c)			250		244,247
Series 2021-4A, Class A1, (3 mo. LIBOR US + 1.17%), 1.30%, 10/20/34^(a)(c)			310		306,594
Bain Capital Euro CLO DAC
Series 2019-1X, Class C, (3 mo. EURIBOR + 2.40%), 2.40%, 04/15/32^(c)(e)	EUR		1,160		1,255,149
Series 2019-1X, Class E, (3 mo. EURIBOR + 6.81%), 6.81%, 04/15/32^(c)(e)			500		530,540
Balboa Bay Loan Funding Ltd., Series 2021-1A, Class E, (3 mo. LIBOR US + 6.16%), 6.41%, 07/20/34^(a)(c)	USD		250		244,972
Ballyrock CLO 14 Ltd., Series 2020-14A, Class D, (3 mo. LIBOR US + 7.00%), 7.25%, 01/20/34^(a)(c)			250		238,181
Ballyrock CLO Ltd.
Series 2016-1A, Class DR2, (3 mo. LIBOR US + 3.15%), 3.39%, 10/15/28^(a)(c)			500		497,756
Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.60%), 1.85%, 04/20/31^(a)(c)			500		494,734
Series 2020-2A, Class DR, (3 mo. LIBOR US + 6.15%), 6.40%, 10/20/31^(a)(c)			250		247,627
BankAmerica Manufactured Housing Contract Trust
Series 1997-2, Class B1, 7.07%, 02/10/22^(c)			1,680		636,801
Series 1998-2, Class B1, 7.40%, 12/10/25^(c)			2,790		895,045
Bankers Healthcare Group Securitization Trust, Series 2020-A, Class C, 5.17%, 09/17/31^(a)			410		403,445
Bardot CLO Ltd., Series 2019-2A, Class DR, (3 mo. LIBOR US + 3.00%), 3.26%, 10/22/32^(a)(c)			250		246,908
Barings CLO Ltd.
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.19%), 1.44%, 10/20/30^(a)(c)			2,590		2,578,093
Series 2018-3A, Class A1, (3 mo. LIBOR US + 0.95%), 1.20%, 07/20/29^(a)(c)			846		841,646
Series 2019-3A, Class A1R, (3 mo. LIBOR US + 1.07%), 1.32%, 04/20/31^(a)(c)			1,330		1,317,568


Security		Par (000)		Value

Asset-Backed Securities (continued)
Battalion CLO 18 Ltd., Series 2020-18A, Class BR, (3 mo. LIBOR US + 1.75%), 1.99%, 10/15/36^(a)(c)	USD		1,827	$	1,803,021
Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3 mo. LIBOR US + 3.25%), 3.49%, 07/15/31^(a)(c)			250		248,044
Battalion CLO VIII Ltd.
Series 2015-8A, Class A1R2, (3 mo. LIBOR US + 1.07%), 1.31%, 07/18/30^(a)(c)			6,500		6,465,033
Series 2015-8A, Class A2R2, (3 mo. LIBOR US + 1.55%), 1.79%, 07/18/30^(a)(c)			3,250		3,218,002
Series 2015-8A, Class BR2, (3 mo. LIBOR US + 2.00%), 2.24%, 07/18/30^(a)(c)			2,901		2,866,938
Battalion CLO X Ltd.
Series 2016-10A, Class A1R2, (3 mo. LIBOR US + 1.17%), 1.43%, 01/25/35^(a)(c)			25,430		25,196,125
Series 2016-10A, Class A2R2, (3 mo. LIBOR US + 1.55%), 1.81%, 01/25/35^(a)(c)			2,890		2,838,712
Battalion CLO XI Ltd., Series 2017-11A, Class BR, (3 mo. LIBOR US + 1.72%), 1.98%, 04/24/34^(a)(c)			1,000		987,474
Battalion CLO XX Ltd., Series 2021-20A, Class A, (3 mo. LIBOR US + 1.18%), 1.42%, 07/15/34^(a)(c)			4,520		4,481,580
Bayview Financial Revolving Asset Trust
Series 2004-B, Class A1, (1 mo. LIBOR US + 1.00%), 1.45%, 05/28/39^(a)(c)(d)			8,107		6,809,915
Series 2004-B, Class A2, (1 mo. LIBOR US + 1.30%), 1.75%, 05/28/39^(a)(c)			386		330,336
Series 2005-A, Class A1, (1 mo. LIBOR US + 1.00%), 1.45%, 02/28/40^(a)(c)			1,745		1,668,730
Series 2005-E, Class A1, (1 mo. LIBOR US + 1.00%), 1.45%, 12/28/40^(a)(c)			544		530,999
BCMSC Trust
Series 2000-A, Class A2, 7.58%, 06/15/30^(c)			1,674		323,862
Series 2000-A, Class A3, 7.83%, 06/15/30^(c)			1,554		310,704
Series 2000-A, Class A4, 8.29%, 06/15/30^(c)			1,121		237,298
Bean Creek CLO Ltd., Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.02%), 1.27%, 04/20/31^(a)(c)			250		247,993
Bear Stearns Asset-Backed Securities I Trust
Series 2004-HE7, Class M2, (1 mo. LIBOR US + 1.73%), 2.18%, 08/25/34^(c)			79		77,775
Series 2006-HE1, Class 1M4, (1 mo. LIBOR US + 1.02%), 1.48%, 12/25/35^(c)			1,689		2,459,590
Series 2006-HE7, Class 1A2, (1 mo. LIBOR US + 0.34%), 0.80%, 09/25/36^(c)			1,502		1,469,900
Series 2007-FS1, Class 1A3, (1 mo. LIBOR US + 0.17%), 0.80%, 05/25/35^(c)			198		196,686
Series 2007-HE1, Class 21A2, (1 mo. LIBOR US + 0.16%), 0.62%, 01/25/37^(c)			346		343,017
Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.32%), 0.78%, 03/25/37^(c)			1,153		1,112,574
Series 2007-HE2, Class 22A, (1 mo. LIBOR US + 0.14%), 0.60%, 03/25/37^(c)			514		489,161
Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.14%), 0.60%, 03/25/37^(c)			958		908,269
Series 2007-HE3, Class 1A3, (1 mo. LIBOR US + 0.25%), 0.71%, 04/25/37^(c)			618		782,180
Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.35%), 0.81%, 04/25/37^(c)			6,111		6,055,446


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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A2R2, (3 mo. LIBOR US + 1.45%), 1.69%, 07/15/29^(a)(c)	USD		3,160	$	3,136,740
Benefit Street Partners CLO III Ltd.
Series 2013-IIIA, Class A1R2, (3 mo. LIBOR US + 1.00%), 1.25%, 07/20/29^(a)(c)			610		607,516
Series 2013-IIIA, Class A2R2, (3 mo. LIBOR US + 1.65%), 1.90%, 07/20/29^(a)(c)			1,810		1,801,327
Benefit Street Partners CLO Ltd.
Series 2015-6BR, Class A, (3 mo. LIBOR US + 1.19%), 1.44%, 07/20/34^(a)(c)			12,030		11,891,270
Series 2015-6BR, Class B, (3 mo. LIBOR US + 1.80%), 2.05%, 07/20/34^(a)(c)			3,320		3,282,069
Series 2021-23A, Class E, (3 mo. LIBOR US + 6.81%), 7.07%, 04/25/34^(a)(c)			750		716,435
Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, (3 mo. LIBOR US + 1.09%), 1.34%, 04/20/31^(a)(c)			4,360		4,331,558
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3 mo. LIBOR US + 1.10%), 1.35%, 01/20/31^(a)(c)			2,150		2,137,665
Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class B, (3 mo. LIBOR US + 2.00%), 2.24%, 10/15/30^(a)(c)			1,545		1,522,269
Benefit Street Partners CLO XIX Ltd., Series 2019-19A, Class B, (3 mo. LIBOR US + 2.00%), 2.24%, 01/15/33^(a)(c)			250		248,012
Benefit Street Partners CLO XX Ltd., Series 2020-20A, Class ER, (3 mo. LIBOR US + 6.75%), 6.99%, 07/15/34^(a)(c)			250		247,708
BHG Securitization Trust
Series 2021-A, Class B, 2.79%, 11/17/33^(a)			1,007		942,142
Series 2021-A, Class C, 3.69%, 11/17/33^(a)			100		93,943
Series 2022-A, Class C, 3.08%, 02/20/35^(a)			6,500		6,167,801
Series 2022-A, Class D, 3.56%, 02/20/35^(a)			175		165,737
Series 2022-A, Class E, 4.30%, 02/20/35^(a)			300		284,548
Bilbao CLO III DAC, Series 3X, Class DR, (3 mo. EURIBOR + 5.96%), 5.96%, 05/17/34^(c)(e)	EUR		2,130		2,165,227
Birch Grove CLO 2 Ltd.
Series 2021-2A, Class A1, (3 mo. LIBOR US + 1.26%), 1.51%, 10/19/34^(a)(c)	USD		680		672,778
Series 2021-2A, Class B, (3 mo. LIBOR US + 1.75%), 2.00%, 10/19/34^(a)(c)			250		246,992
Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.30%), 3.55%, 10/19/34^(a)(c)			250		249,997
Birch Grove CLO Ltd.
Series 19A, Class AR, (3 mo. LIBOR US + 1.13%), 1.96%, 06/15/31^(a)(c)			250		248,687
Series 19A, Class BR, (3 mo. LIBOR US + 1.75%), 2.58%, 06/15/31^(a)(c)			250		248,147
Series 19A, Class CR, (3 mo. LIBOR US + 2.20%), 3.03%, 06/15/31^(a)(c)			1,250		1,236,739
Series 19A, Class DR, (3 mo. LIBOR US + 3.35%), 4.18%, 06/15/31^(a)(c)			2,695		2,687,688
BlueMountain CLO Ltd.
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.18%), 1.44%, 10/22/30^(a)(c)			6,882		6,865,223
Series 2013-2A, Class BR, (3 mo. LIBOR US + 1.60%), 1.86%, 10/22/30^(a)(c)			500		495,239
Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.00%), 1.25%, 04/20/31^(a)(c)			2,550		2,527,698


Security		Par (000)		Value

Asset-Backed Securities (continued)
BlueMountain CLO Ltd.
Series 2016-2A, Class BR2, (3 mo. LIBOR US + 2.25%), 2.73%, 08/20/32^(a)(c)	USD		1,440	$	1,421,599
Series 2018-2A, Class B, (3 mo. LIBOR US + 1.70%), 2.21%, 08/15/31^(a)(c)			300		297,590
BlueMountain CLO XXII Ltd., Series 2018-22A, Class B, (3 mo. LIBOR US + 1.50%), 1.74%, 07/15/31^(a)(c)			3,970		3,929,567
BlueMountain CLO XXIII Ltd.
Series 2018-23A, Class B, (3 mo. LIBOR US + 1.70%), 1.95%, 10/20/31^(a)(c)			250		247,739
Series 2018-23A, Class C, (3 mo. LIBOR US + 2.15%), 2.40%, 10/20/31^(a)(c)			650		644,935
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3 mo. LIBOR US + 1.75%), 2.01%, 07/25/34^(a)(c)			1,080		1,068,942
BlueMountain CLO XXV Ltd., Series 2019-25A, Class BR, (3 mo. LIBOR US + 1.70%), 1.94%, 07/15/36^(a)(c)			250		246,737
BlueMountain CLO XXVIII Ltd., Series 2021- 28A, Class A, (3 mo. LIBOR US + 1.26%), 1.50%, 04/15/34^(a)(c)			570		564,571
Bluemountain Euro CLO DAC
Series 2021-2A, Class B1, (3 mo. EURIBOR + 1.75%), 1.75%, 10/15/35^(a)(c)	EUR		3,280		3,589,446
Series 2021-2A, Class E, (3 mo. EURIBOR + 6.21%), 6.21%, 10/15/35^(a)(c)			750		782,093
BlueMountain Fuji Euro CLO V DAC, Series 5X, Class C, (3 mo. EURIBOR + 2.45%), 2.45%, 01/15/33^(c)(e)			1,560		1,674,027
BlueMountain Fuji U.S. CLO III Ltd.
Series 2017-3A, Class A2, (3 mo. LIBOR US + 1.15%), 1.39%, 01/15/30^(a)(c)	USD		750		732,809
Series 2017-3A, Class B, (3 mo. LIBOR US + 1.38%), 1.62%, 01/15/30^(a)(c)			250		246,463
Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.09%, 07/15/24^(a)			5,290		5,229,828
Bridge Street CLO II Ltd., Series 2021-1A, Class A1A, (3 mo. LIBOR US + 1.23%), 1.48%, 07/20/34^(a)(c)			500		493,725
Brookside Mill CLO Ltd.
Series 2013-1A, Class BR, (3 mo. LIBOR US + 1.35%), 1.59%, 01/17/28^(a)(c)			500		498,137
Series 2013-1A, Class DR, (3 mo. LIBOR US + 2.65%), 2.89%, 01/17/28^(a)(c)			1,073		1,070,183
Burnham Park CLO Ltd., Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.50%), 1.75%, 10/20/29^(a)(c)			250		247,519
Buttermilk Park CLO Ltd.
Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.10%), 1.34%, 10/15/31^(a)(c)			750		744,301
Series 2018-1A, Class D, (3 mo. LIBOR US + 3.10%), 3.34%, 10/15/31^(a)(c)			625		606,124
Canyon Capital CLO Ltd.
Series 2019-1A, Class A1R, (3 mo. LIBOR US + 1.10%), 1.34%, 04/15/32^(a)(c)			2,680		2,662,580
Series 2021-2A, Class D, (3 mo. LIBOR US + 3.35%), 3.59%, 04/15/34^(a)(c)			1,000		999,989
Canyon CLO Ltd.
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.07%), 1.31%, 07/15/31^(a)(c)			250		248,011


48		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Canyon CLO Ltd.
Series 2020-3A, Class B, (3 mo. LIBOR US + 1.70%), 1.94%, 01/15/34^(a)(c)	USD		1,610	$	1,592,439
Series 2020-3A, Class E, (3 mo. LIBOR US + 7.25%), 7.49%, 01/15/34^(a)(c)			250		249,754
Capital Four CLO I DAC, Series 1X, Class E, (3 mo. EURIBOR + 6.47%), 6.47%, 01/15/33^(c)(e)	EUR		525		544,541
Carlyle C17 CLO Ltd., Series C17A, Class A1AR, (3 mo. LIBOR US + 1.03%), 1.33%, 04/30/31^(a)(c)	USD		7,620		7,578,681
Carlyle Euro CLO DAC, Series 2021-2A, Class C, (3 mo. EURIBOR + 3.30%), 3.30%, 10/15/35^(a)(c)	EUR		2,650		2,822,308
Carlyle Global Market Strategies CLO Ltd.
Series 2013-3A, Class A1AR, (3 mo. LIBOR US + 1.10%), 1.34%, 10/15/30^(a)(c)	USD		248		247,180
Series 2013-4A, Class A1RR, (3 mo. LIBOR US + 1.00%), 1.24%, 01/15/31^(a)(c)			1,853		1,838,964
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 0.97%), 1.21%, 04/17/31^(a)(c)			3,160		3,120,886
Series 2016-1A, Class A1R2, (3 mo. LIBOR US + 1.14%), 1.39%, 04/20/34^(a)(c)			250		247,375
Carlyle U.S. CLO Ltd.
Series 2016-4A, Class A2R, (3 mo. LIBOR US + 1.45%), 1.70%, 10/20/27^(a)(c)			750		742,542
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.18%), 1.42%, 01/15/30^(a)(c)			4,620		4,605,597
Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.50%), 1.75%, 04/20/31^(a)(c)			250		246,778
Series 2018-4A, Class B, (3 mo. LIBOR US + 2.07%), 2.32%, 01/20/31^(a)(c)			470		466,078
Series 2019-2A, Class A1R, (3 mo. LIBOR US + 1.12%), 1.36%, 07/15/32^(a)(c)			4,000		3,963,598
Series 2021-10A, Class A, (3 mo. LIBOR US + 1.15%), 1.27%, 10/20/34^(a)(c)			4,350		4,302,914
Series 2021-11A, Class C, (3 mo. LIBOR US + 2.05%), 2.30%, 01/25/33^(a)(c)			500		495,195
Series 2021-1A, Class A1, (3 mo. LIBOR US + 1.14%), 1.38%, 04/15/34^(a)(c)			250		247,425
Series 2021-6A, Class A1, (3 mo. LIBOR US + 1.16%), 1.40%, 07/15/34^(a)(c)			3,590		3,551,436
Carrington Mortgage Loan Trust
Series 2006-NC1, Class M2, (1 mo. LIBOR US + 0.63%), 1.09%, 01/25/36^(c)			610		564,221
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.16%), 0.62%, 10/25/36^(c)			481		469,077
CarVal CLO II Ltd.
Series 2019-1A, Class CR, (3 mo. LIBOR US + 2.00%), 2.25%, 04/20/32^(a)(c)			700		693,731
Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.20%), 3.45%, 04/20/32^(a)(c)			5,500		5,454,208
CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 6.69%, 07/20/32^(a)(c)			250		237,703
CarVal CLO Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 2.89%), 3.13%, 07/16/31^(a)(c)			750		736,043
CarVal CLO VC Ltd.
Series 2021-2A, Class D, (3 mo. LIBOR US + 3.25%), 3.46%, 10/15/34^(a)(c)			250		248,315


Security		Par (000)		Value

Asset-Backed Securities (continued)
CarVal CLO VC Ltd.
Series 2021-2A, Class E, (3 mo. LIBOR US + 6.75%), 0.00%, 10/15/34^(a)(c)	USD		250	$	247,786
Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44^(a)(c)			9,513		9,517,551
CBAM Ltd.
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.25%), 1.50%, 07/20/30^(a)(c)			6,535		6,513,567
Series 2017-1A, Class C, (3 mo. LIBOR US + 2.40%), 2.65%, 07/20/30^(a)(c)			750		744,590
Series 2018-6A, Class B1R, (3 mo. LIBOR US + 2.10%), 2.34%, 01/15/31^(a)(c)			250		248,724
Series 2018-7A, Class A, (3 mo. LIBOR US + 1.10%), 1.35%, 07/20/31^(a)(c)			250		248,178
Series 2018-7A, Class B1, (3 mo. LIBOR US + 1.60%), 1.85%, 07/20/31^(a)(c)			250		246,943
Series 2019-9A, Class B2, (3 mo. LIBOR US + 1.90%), 2.14%, 02/12/30^(a)(c)			500		498,589
C-BASS Trust, Series 2006-CB7, Class A4, (1 mo. LIBOR US + 0.16%), 0.78%, 10/25/36^(c)			446		358,700
Cedar Funding II CLO Ltd.
Series 2013-1A, Class ARR, (3 mo. LIBOR US + 1.08%), 1.33%, 04/20/34^(a)(c)			3,255		3,203,286
Series 2013-1A, Class BRR, (3 mo. LIBOR US + 1.35%), 1.60%, 04/20/34^(a)(c)			3,110		3,041,649
Cedar Funding IX CLO Ltd.
Series 2018-9A, Class A1, (3 mo. LIBOR US + 0.98%), 1.23%, 04/20/31^(a)(c)			940		930,630
Series 2018-9A, Class D, (3 mo. LIBOR US + 2.60%), 2.85%, 04/20/31^(a)(c)			250		242,334
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3 mo. LIBOR US + 1.10%), 1.34%, 07/17/31^(a)(c)			2,130		2,115,841
Cedar Funding VI CLO Ltd., Series 2016-6A, Class ARR, (3 mo. LIBOR US + 1.05%), 1.30%, 04/20/34^(a)(c)			18,290		18,088,810
Cedar Funding VII CLO Ltd., Series 2018-7A, Class A2, (3 mo. LIBOR US + 1.13%), 1.38%, 01/20/31^(a)(c)			250		245,625
Cedar Funding XI CLO Ltd., Series 2019-11A, Class A2R, (3 mo. LIBOR US + 1.35%), 1.86%, 05/29/32^(a)(c)			1,220		1,203,627
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class D, (3 mo. LIBOR US + 3.25%), 3.49%, 07/15/33^(a)(c)			250		248,508
CIFC European Funding CLO I DAC, Series 1X, Class E, (3 mo. EURIBOR + 5.86%), 5.86%, 07/15/32^(c)(e)	EUR		500		524,847
CIFC European Funding CLO II DAC, Series 2X, Class B1, (3 mo. EURIBOR + 1.60%), 1.60%, 04/15/33^(c)(e)			900		968,024
CIFC European Funding CLO IV DAC, Series 4X, Class E, (3 mo. EURIBOR + 5.97%), 5.97%, 08/18/35^(c)(e)			1,400		1,443,366
CIFC Funding Ltd.
Series 2012-2RA, Class A2, (3 mo. LIBOR US + 1.25%), 1.50%, 01/20/28^(a)(c)	USD		750		743,742
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.75%), 1.99%, 07/16/30^(a)(c)			750		746,921
Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.55%), 3.79%, 07/16/30^(a)(c)			250		244,804


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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
CIFC Funding Ltd.
Series 2013-4A, Class BRR, (3 mo. LIBOR US + 1.60%), 1.87%, 04/27/31^(a)(c)	USD		500	$	495,388
Series 2013-4A, Class DRR, (3 mo. LIBOR US + 2.80%), 3.07%, 04/27/31^(a)(c)			250		244,876
Series 2014-2RA, Class A1, (3 mo. LIBOR US + 1.05%), 1.31%, 04/24/30^(a)(c)			250		248,741
Series 2014-2RA, Class B1, (3 mo. LIBOR US + 2.80%), 3.06%, 04/24/30^(a)(c)			650		639,797
Series 2014-3A, Class BR2, (3 mo. LIBOR US + 1.80%), 2.06%, 10/22/31^(a)(c)			700		696,201
Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.11%), 1.37%, 01/22/31^(a)(c)			250		248,376
Series 2015-1A, Class BRR, (3 mo. LIBOR US + 1.45%), 1.71%, 01/22/31^(a)(c)			250		246,980
Series 2015-2A, Class AR2, (3 mo. LIBOR US + 1.01%), 1.25%, 04/15/30^(a)(c)			1,270		1,263,650
Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.00%), 2.24%, 04/15/30^(a)(c)			2,904		2,896,362
Series 2015-3A, Class BR, (3 mo. LIBOR US + 1.15%), 1.40%, 04/19/29^(a)(c)			1,420		1,395,150
Series 2017-1A, Class AR, (3 mo. LIBOR US + 1.01%), 1.27%, 04/23/29^(a)(c)			5,639		5,612,951
Series 2017-1A, Class B, (3 mo. LIBOR US + 1.70%), 1.96%, 04/23/29^(a)(c)			2,910		2,898,396
Series 2017-1A, Class C, (3 mo. LIBOR US + 2.45%), 2.71%, 04/23/29^(a)(c)			250		249,629
Series 2017-5A, Class A1, (3 mo. LIBOR US + 1.18%), 1.42%, 11/16/30^(a)(c)			350		349,024
Series 2017-5A, Class C, (3 mo. LIBOR US + 2.85%), 3.09%, 11/16/30^(a)(c)			300		293,892
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.00%), 1.24%, 04/18/31^(a)(c)			6,964		6,908,288
Series 2019-3A, Class CR, (3 mo. LIBOR US + 3.05%), 3.29%, 10/16/34^(a)(c)			325		322,471
Series 2019-5A, Class A1R1, (3 mo. LIBOR US + 1.14%), 1.38%, 01/15/35^(a)(c)			400		395,218
Series 2020-1A, Class A1R, (3 mo. LIBOR US + 1.15%), 1.39%, 07/15/36^(a)(c)			1,200		1,187,734
Series 2020-1A, Class BR, (3 mo. LIBOR US + 1.65%), 1.89%, 07/15/36^(a)(c)			3,260		3,221,768
Series 2020-1A, Class DR, (3 mo. LIBOR US + 3.10%), 3.34%, 07/15/36^(a)(c)			1,120		1,096,812
Series 2020-3A, Class A1R, (3 mo. LIBOR US + 1.13%), 1.38%, 10/20/34^(a)(c)			7,210		7,124,153
Series 2021-4A, Class A, (3 mo. LIBOR US + 1.05%), 1.29%, 07/15/33^(a)(c)			6,450		6,384,361
Series 2021-4A, Class B, (3 mo. LIBOR US + 1.58%), 1.82%, 07/15/33^(a)(c)			500		491,553
Series 2021-4A, Class C, (3 mo. LIBOR US + 1.85%), 2.09%, 07/15/33^(a)(c)			250		246,452
Series 2021-5A, Class A, (3 mo. LIBOR US + 1.14%), 1.38%, 07/15/34^(a)(c)			1,690		1,671,760
Citigroup Mortgage Loan Trust
Series 2007-AHL2, Class A3B, (1 mo. LIBOR US + 0.20%), 0.66%, 05/25/37^(c)			5,147		4,075,594
Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.27%), 0.73%, 05/25/37^(c)			2,338		1,864,937
Series 2007-AHL3, Class A3B, (1 mo. LIBOR US + 0.17%), 0.63%, 07/25/45^(c)			3,873		3,051,630


Security		Par (000)		Value

Asset-Backed Securities (continued)
Clear Creek CLO
Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.20%), 1.45%, 10/20/30^(a)(c)	USD		1,250	$	1,245,984
Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.95%), 3.20%, 10/20/30^(a)(c)			620		602,558
Clontarf Park CLO DAC, Series 1X, Class CE, (3 mo. EURIBOR + 3.05%), 3.05%, 08/05/30^(c)(e)	EUR		1,750		1,897,785
Cloud Pass-Through Trust, Series 2019-1A, Class CLOU, 3.55%, 12/05/22^(a)(c)	USD		133		132,721
College Ave Student Loans LLC
Series 2021-B, Class B, 2.42%, 06/25/52^(a)			1,120		1,041,901
Series 2021-B, Class C, 2.72%, 06/25/52^(a)			480		446,222
Series 2021-B, Class D, 3.78%, 06/25/52^(a)			120		112,567
Series 2021-C, Class D, 4.11%, 07/26/55^(a)			270		255,310
Conseco Finance Corp.
Series 1997-3, Class M1, 7.53%, 03/15/28^(c)			941		919,465
Series 1997-6, Class M1, 7.21%, 01/15/29^(c)			173		167,482
Series 1998-4, Class M1, 6.83%, 04/01/30^(c)			325		305,217
Series 1998-8, Class A1, 6.28%, 09/01/30			229		233,097
Series 1998-8, Class M1, 6.98%, 09/01/30^(c)			2,455		2,378,459
Series 1999-5, Class A5, 7.86%, 03/01/30^(c)			861		435,677
Series 1999-5, Class A6, 7.50%, 03/01/30^(c)			923		449,742
Series 2001-D, Class B1, (1 mo. LIBOR US + 2.50%), 2.90%, 11/15/32^(c)			724		712,921
Conseco Finance Securitizations Corp.
Series 2000-1, Class A5, 8.06%, 09/01/29^(c)			1,600		443,613
Series 2000-4, Class A6, 8.31%, 05/01/32^(c)			1,373		359,849
Series 2000-5, Class A6, 7.96%, 05/01/31			2,135		825,680
Series 2000-5, Class A7, 8.20%, 05/01/31			3,895		1,550,628
Contego CLO VIII DAC, Series 8A, Class DR, (3 mo. EURIBOR + 3.20%), 3.20%, 01/25/34^(a)(c)	EUR		500		532,121
Cook Park CLO Ltd., Series 2018-1A, Class B, (3 mo. LIBOR US + 1.40%), 1.64%, 04/17/30^(a)(c)	USD		250		246,530
Countrywide Asset-Backed Certificates
Series 2004-5, Class A, (1 mo. LIBOR US + 0.90%), 1.36%, 10/25/34^(c)			408		393,557
Series 2005-16, Class 1AF, 4.52%, 04/25/36^(c)			2,676		2,471,212
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.16%), 0.62%, 09/25/46^(c)			58		58,181
Series 2006-12, Class 1A, (1 mo. LIBOR US + 0.26%), 0.72%, 12/25/36^(c)			1,812		1,765,732
Series 2006-17, Class 2A2, (1 mo. LIBOR US + 0.15%), 0.61%, 03/25/47^(c)			128		125,470
Series 2006-18, Class M1, (1 mo. LIBOR US + 0.30%), 0.76%, 03/25/37^(c)			6,361		6,405,409
Series 2006-8, Class 2A4, (1 mo. LIBOR US + 0.50%), 0.96%, 01/25/46^(c)			8,363		8,075,590
Series 2006-S3, Class A4, 6.04%, 01/25/29^(b)			78		124,022
Series 2006-SPS1, Class A, (1 mo. LIBOR US + 0.22%), 0.68%, 12/25/25^(c)			4		25,367
Series 2007-12, Class 1A2, (1 mo. LIBOR US + 0.84%), 1.30%, 08/25/47^(c)			4,103		4,035,972
Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.27%), 0.67%, 03/15/34^(c)			305		294,970


50		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class B1, 8.10%, 09/25/31^(c)	USD		1,214	$	1,194,844
Credit Suisse Mortgage Trust, Series 2021-JR1, Class A1, 2.47%, 09/27/66^(a)(c)			35,560		34,147,368
Credit-Based Asset Servicing & Securitization LLC
Series 2006-CB2, Class AF4, 3.00%, 12/25/36^(b)			373		362,350
Series 2006-MH1, Class B1, 6.25%, 10/25/36^(a)(b)			852		838,772
Series 2006-SL1, Class A2, 6.06%, 09/25/36^(a)(b)			2,844		161,057
Series 2007-CB6, Class A4, (1 mo. LIBOR US + 0.34%), 0.80%, 07/25/37^(a)(c)			489		372,956
Crown City CLO III, Series 2021-1A, Class A1A, (3 mo. LIBOR US + 1.17%), 1.42%, 07/20/34^(a)(c)			250		247,424
Crown Point CLO 10 Ltd., Series 2021-10A, Class A, (3 mo. LIBOR US + 1.17%), 1.42%, 07/20/34^(a)(c)			4,780		4,731,603
CVC Cordatus Loan Fund IV DAC, Series 4X, Class BR1, (3 mo. EURIBOR + 1.30%), 1.30%, 02/22/34^(c)(e)	EUR		990		1,053,107
CVC Cordatus Loan Fund V DAC, Series 5X, Class B1R, (3 mo. EURIBOR + 1.50%), 1.50%, 07/21/30^(c)(e)			250		273,186
CVC Cordatus Loan Fund VI DAC, Series 6X, Class CR, (3 mo. EURIBOR + 1.60%), 1.60%, 04/15/32^(c)(e)			1,160		1,263,437
CVC Cordatus Loan Fund XVII DAC
Series 17A, Class ER, (3 mo. EURIBOR + 6.12%), 6.12%, 11/18/33^(a)(c)			1,440		1,520,438
Series 17X, Class ER, (3 mo. EURIBOR + 6.12%), 6.12%, 11/18/33^(c)(e)			850		897,481
CVC Cordatus Loan Fund XVIII DAC, Series 18A, Class ER, (3 mo. EURIBOR + 6.06%), 6.06%, 07/29/34^(a)(c)			760		763,261
CVC Cordatus Loan Fund XX DAC
Series 20A, Class DE, (3 mo. EURIBOR + 3.00%), 3.00%, 06/22/34^(a)(c)			850		889,390
Series 20A, Class E, (3 mo. EURIBOR + 5.61%), 5.61%, 06/22/34^(a)(c)			500		501,553
CVC Cordatus Loan Fund XXI DAC, Series 21X, Class E, (3 mo. EURIBOR + 5.93%), 5.93%, 09/22/34^(c)(e)			500		487,349
CWHEQ Home Equity Loan Trust, Series 2006- S5, Class A5, 6.16%, 06/25/35	USD		97		121,334
CWHEQ Revolving Home Equity Loan Resuritization Trust
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.30%), 0.70%, 12/15/33^(a)(c)			407		405,072
Series 2006-RES, Class 5B1A, (1 mo. LIBOR US + 0.19%), 0.59%, 05/15/35^(a)(c)			101		99,225
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.19%), 0.59%, 05/15/35^(a)(c)			83		81,359
CWHEQ Revolving Home Equity Loan Trust
Series 2005-B, Class 2A, (1 mo. LIBOR US + 0.18%), 0.58%, 05/15/35^(c)			193		190,098
Series 2006-C, Class 2A, (1 mo. LIBOR US + 0.18%), 0.58%, 05/15/36^(c)			1,300		1,256,653


Security		Par (000)		Value

Asset-Backed Securities (continued)
CWHEQ Revolving Home Equity Loan Trust
Series 2006-H, Class 1A, (1 mo. LIBOR US + 0.15%), 0.55%, 11/15/36^(c)	USD		749	$	686,803
Dartry Park CLO DAC, Series 1A, Class CRR, (3 mo. EURIBOR + 3.35%), 3.35%, 01/28/34^(a)(c)	EUR		500		535,333
Deer Creek CLO Ltd.
Series 2017-1A, Class A, (3 mo. LIBOR US + 1.18%), 1.43%, 10/20/30^(a)(c)	USD		5,561		5,545,046
Series 2017-1A, Class B, (3 mo. LIBOR US + 1.65%), 1.90%, 10/20/30^(a)(c)			500		495,008
Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3 mo. LIBOR US + 1.24%), 1.48%, 07/15/36^(a)(c)			1,180		1,166,646
Diameter Capital CLO 2 Ltd.
Series 2021-2A, Class A1, (3 mo. LIBOR US + 1.22%), 1.34%, 10/15/36^(a)(c)			250		246,803
Series 2021-2A, Class D, (3 mo. LIBOR US + 6.06%), 6.18%, 10/15/36^(a)(c)			250		240,624
Diameter Capital CLO 3 Ltd., Series 2022-3A, Class A1A, (3 mo. CME Term SOFR + 1.39%), 1.69%, 04/15/37^(a)(c)			510		510,616
Dryden 42 Senior Loan Fund, Series 2016-42A, Class CR, (3 mo. LIBOR US + 2.05%), 2.29%, 07/15/30^(a)(c)			250		247,303
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3 mo. LIBOR US + 1.04%), 1.29%, 04/20/34^(a)(c)			5,540		5,478,206
Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR, (3 mo. LIBOR US + 1.70%), 1.94%, 10/15/30^(a)(c)			3,440		3,411,556
Dryden 49 Senior Loan Fund, Series 2017-49A, Class BR, (3 mo. LIBOR US + 1.60%), 1.84%, 07/18/30^(a)(c)			500		495,864
Dryden 50 Senior Loan Fund, Series 2017-50A, Class B, (3 mo. LIBOR US + 1.65%), 1.89%, 07/15/30^(a)(c)			450		446,552
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3 mo. LIBOR US + 1.12%), 1.36%, 01/15/31^(a)(c)			18,720		18,617,779
Dryden 65 CLO Ltd., Series 2018-65A, Class B, (3 mo. LIBOR US + 1.60%), 1.84%, 07/18/30^(a)(c)			300		297,057
Dryden 76 CLO Ltd., Series 2019-76A, Class A1R, (3 mo. LIBOR US + 1.15%), 1.40%, 10/20/34^(a)(c)			750		742,046
Dryden 77 CLO Ltd.
Series 2020-77A, Class AR, (3 mo. LIBOR US + 1.12%), 1.60%, 05/20/34^(a)(c)			3,580		3,544,200
Series 2020-77A, Class XR, (3 mo. LIBOR US + 1.00%), 1.48%, 05/20/34^(a)(c)			500		499,350
Dryden 78 CLO Ltd.
Series 2020-78A, Class B, (3 mo. LIBOR US + 1.50%), 1.74%, 04/17/33^(a)(c)			500		492,878
Series 2020-78A, Class D, (3 mo. LIBOR US + 3.00%), 3.24%, 04/17/33^(a)(c)			250		246,641
Dryden 83 CLO Ltd.
Series 2020-83A, Class A, (3 mo. LIBOR US + 1.22%), 1.46%, 01/18/32^(a)(c)			250		249,144
Series 2020-83A, Class E, (3 mo. LIBOR US + 5.55%), 5.79%, 01/18/32^(a)(c)			350		324,550


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

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Dryden Senior Loan Fund, Series 2021-87A, Class A1, (3 mo. LIBOR US + 1.10%), 1.58%, 05/20/34^(a)(c)	USD		2,330	$	2,295,547
Dryden XXVI Senior Loan Fund, Series 2013- 26A, Class AR, (3 mo. LIBOR US + 0.90%), 1.14%, 04/15/29^(a)(c)			1,122		1,114,048
Dryden XXVIII Senior Loan Fund, Series 2013- 28A, Class A1LR, (3 mo. LIBOR US + 1.20%), 1.71%, 08/15/30^(a)(c)			9,085		9,042,721
Eaton Vance CLO Ltd.
Series 2014-1RA, Class A2, (3 mo. LIBOR US + 1.49%), 1.73%, 07/15/30^(a)(c)			250		249,117
Series 2018-1A, Class C, (3 mo. LIBOR US + 2.20%), 2.44%, 10/15/30^(a)(c)			3,550		3,509,539
Series 2019-1A, Class ER, (3 mo. LIBOR US + 6.50%), 6.74%, 04/15/31^(a)(c)			1,500		1,489,281
Elmwood CLO II Ltd.
Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.15%), 1.40%, 04/20/34^(a)(c)			3,750		3,710,601
Series 2019-2A, Class BR, (3 mo. LIBOR US + 1.65%), 1.90%, 04/20/34^(a)(c)			500		494,398
Series 2019-2A, Class ER, (3 mo. LIBOR US + 6.80%), 7.05%, 04/20/34^(a)(c)			1,500		1,480,041
Elmwood CLO V Ltd.
Series 2020-2A, Class BR, (3 mo. LIBOR US + 1.65%), 1.90%, 10/20/34^(a)(c)			2,880		2,844,490
Series 2020-2A, Class CR, (3 mo. LIBOR US + 2.00%), 2.25%, 10/20/34^(a)(c)			2,514		2,493,888
Elmwood CLO X Ltd.
Series 2021-3A, Class A, (3 mo. LIBOR US + 1.04%), 1.29%, 10/20/34^(a)(c)			7,250		7,192,000
Series 2021-3A, Class C, (3 mo. LIBOR US + 1.95%), 2.20%, 10/20/34^(a)(c)			1,200		1,185,310
Elmwood CLO XII Ltd., Series 2021-5A, Class A, (3 mo. LIBOR US + 1.15%), 1.27%, 01/20/35^(a)(c)			790		781,454
Euro-Galaxy III CLO BV
Series 2013-3A, Class CRRR, (3 mo. EURIBOR + 2.35%), 2.35%, 04/24/34^(a)(c)	EUR		1,200		1,303,704
Series 2013-3A, Class DRRR, (3 mo. EURIBOR + 3.25%), 3.25%, 04/24/34^(a)(c)			1,585		1,706,757
Euro-Galaxy VII CLO DAC
Series 2019-7A, Class CR, (3 mo. EURIBOR + 2.40%), 2.40%, 07/25/35^(a)(c)			1,140		1,224,185
Series 2019-7A, Class DR, (3 mo. EURIBOR + 3.50%), 3.50%, 07/25/35^(a)(c)			850		907,530
Fairstone Financial Issuance Trust I, Series 2020-1A, Class B, 3.74%, 10/20/39^(a)	CAD		2,743		2,155,325
FBR Securitization Trust, Series 2005-5, Class M2, (1 mo. LIBOR US + 0.71%), 1.16%, 11/25/35^(c)	USD		6,465		6,361,385
Fidelity Grand Harbour CLO DAC, Series 2021- 1A, Class D, (3 mo. EURIBOR + 3.60%), 3.60%, 10/15/34^(a)(c)	EUR		500		545,126
First Franklin Mortgage Loan Trust
Series 2004-FFH3, Class M3, (1 mo. LIBOR US + 1.05%), 1.51%, 10/25/34^(c)	USD		1,000		969,459
Series 2006-FF13, Class A1, (1 mo. LIBOR US + 0.24%), 0.70%, 10/25/36^(c)			2,215		1,649,059
Series 2006-FF13, Class A2C, (1 mo. LIBOR US + 0.32%), 0.78%, 10/25/36^(c)			1,299		981,985


Security		Par (000)		Value

Asset-Backed Securities (continued)
First Franklin Mortgage Loan Trust
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.28%), 0.74%, 12/25/36^(c)	USD		10,456	$	5,504,720
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.15%), 0.61%, 12/25/36^(c)			11,645		11,156,525
Series 2006-FFH1, Class M2, (1 mo. LIBOR US + 0.60%), 1.06%, 01/25/36^(c)			2,775		2,443,634
FirstKey Homes Trust, Series 2020-SFR1, Class F1, 3.64%, 08/17/37^(a)			2,690		2,522,626
Flatiron CLO 18 Ltd., Series 2018-1A, Class A, (3 mo. LIBOR US + 0.95%), 1.19%, 04/17/31^(a)(c)			1,230		1,216,900
Flatiron CLO 19 Ltd., Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.00%), 3.46%, 11/16/34^(a)(c)			250		244,061
Flatiron CLO 21 Ltd., Series 2021-1A, Class A1, (3 mo. LIBOR US + 1.11%), 1.36%, 07/19/34^(a)(c)			13,960		13,758,670
Foundation Finance Trust, Series 2021-2A, Class A, 2.19%, 01/15/42^(a)			6,456		6,215,153
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.28%), 0.74%, 02/25/37^(c)			2,289		1,858,771
FS Rialto Issuer Ltd.
Series 2021-FL3, Class A, (1 mo. LIBOR US + 1.25%), 1.68%, 11/16/36^(a)(c)			4,032		3,966,984
Series 2022-FL4, Class A, (SOFR (30-day) + 1.90%), 2.20%, 01/19/39^(a)(c)			20,481		20,481,000
Galaxy XIX CLO Ltd., Series 2015-19A, Class A2RR, (3 mo. LIBOR US + 1.40%), 1.66%, 07/24/30^(a)(c)			250		246,928
Galaxy XV CLO Ltd., Series 2013-15A, Class ARR, (3 mo. LIBOR US + 0.97%), 1.21%, 10/15/30^(a)(c)			1,350		1,338,208
Galaxy XVIII CLO Ltd., Series 2018-28A, Class A1, (3 mo. LIBOR US + 1.10%), 1.34%, 07/15/31^(a)(c)			1,220		1,211,527
Galaxy XXII CLO Ltd., Series 2016-22A, Class ARR, (3 mo. LIBOR US + 1.20%), 1.44%, 04/16/34^(a)(c)			4,180		4,150,468
Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, (3 mo. LIBOR US + 1.02%), 1.48%, 05/16/31^(a)(c)			1,320		1,310,100
Generate CLO 2 Ltd., Series 2A, Class AR, (3 mo. LIBOR US + 1.15%), 1.41%, 01/22/31^(a)(c)			250		249,008
Generate CLO 3 Ltd., Series 3A, Class BR, (3 mo. LIBOR US + 1.75%), 2.00%, 10/20/29^(a)(c)			3,380		3,363,726
Generate CLO 4 Ltd.
Series 4A, Class A1R, (3 mo. LIBOR US + 1.09%), 1.34%, 04/20/32^(a)(c)			8,250		8,208,597
Series 4A, Class BR, (3 mo. LIBOR US + 1.55%), 1.80%, 04/20/32^(a)(c)			3,000		2,966,356
Series 4A, Class CR, (3 mo. LIBOR US + 2.15%), 2.40%, 04/20/32^(a)(c)			3,000		2,973,493
Generate CLO 6 Ltd.
Series 6A, Class CR, (3 mo. LIBOR US + 2.45%), 2.70%, 01/22/35^(a)(c)			570		568,009
Series 6A, Class DR, (3 mo. LIBOR US + 3.50%), 3.75%, 01/22/35^(a)(c)			250		247,960


52		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Generate CLO 7 Ltd.
Series 7A, Class A1, (3 mo. LIBOR US + 1.37%), 1.63%, 01/22/33^(a)(c)	USD		250	$	248,895
Series 7A, Class C, (3 mo. LIBOR US + 2.75%), 3.01%, 01/22/33^(a)(c)			500		499,722
Gilbert Park CLO Ltd.
Series 2017-1A, Class A, (3 mo. LIBOR US + 1.19%), 1.43%, 10/15/30^(a)(c)			500		495,863
Series 2017-1A, Class B, (3 mo. LIBOR US + 1.60%), 1.84%, 10/15/30^(a)(c)			250		247,692
Series 2017-1A, Class C, (3 mo. LIBOR US + 1.95%), 2.19%, 10/15/30^(a)(c)			3,360		3,319,694
Series 2017-1A, Class D, (3 mo. LIBOR US + 2.95%), 3.19%, 10/15/30^(a)(c)			2,652		2,604,902
GoldenTree Loan Management U.S. CLO 1 Ltd.
Series 2017-1A, Class A1R2, (3 mo. LIBOR US + 1.02%), 1.27%, 04/20/34^(a)(c)			450		442,486
Series 2021-11A, Class A, (3 mo. LIBOR US + 1.13%), 1.38%, 10/20/34^(a)(c)			5,520		5,454,458
Series 2021-11A, Class E, (3 mo. LIBOR US + 5.35%), 5.60%, 10/20/34^(a)(c)			250		223,565
Series 2021-9A, Class E, (3 mo. LIBOR US + 4.75%), 5.00%, 01/20/33^(a)(c)			250		221,599
GoldenTree Loan Management U.S. CLO
3 Ltd., Series 2018-3A, Class B1, (3 mo. LIBOR US + 1.55%), 1.80%, 04/20/30^(a)(c)			500		495,899
GoldenTree Loan Opportunities IX Ltd.
Series 2014-9A, Class AR2, (3 mo. LIBOR US + 1.11%), 1.41%, 10/29/29^(a)(c)			1,782		1,774,895
Series 2014-9A, Class BR2, (3 mo. LIBOR US + 1.60%), 1.90%, 10/29/29^(a)(c)			1,000		993,261
GoldenTree Loan Opportunities X Ltd.
Series 2015-10A, Class AR, (3 mo. LIBOR US + 1.12%), 1.37%, 07/20/31^(a)(c)			4,688		4,658,921
Series 2015-10A, Class DR, (3 mo. LIBOR US + 3.05%), 3.30%, 07/20/31^(a)(c)			500		492,222
GoldenTree Loan Opportunities XI Ltd., Series 2015-11A, Class AR2, (3 mo. LIBOR US + 1.07%), 1.31%, 01/18/31^(a)(c)			3,749		3,725,091
Golub Capital BDC 3 CLO 1 LLC, Series 2021-1A, Class C1, (3 mo. LIBOR US + 2.80%), 3.04%, 04/15/33^(a)(c)			1,250		1,241,455
Golub Capital Partners CLO Ltd.
Series 2021-55A, Class A, (3 mo. LIBOR US + 1.20%), 1.45%, 07/20/34^(a)(c)			430		425,738
Series 2021-58A, Class A1, (3 mo. LIBOR US + 1.18%), 1.42%, 01/25/35^(a)(c)			1,640		1,621,914
Gracie Point International Funding
Series 2021-1A, Class B, (1 mo. LIBOR US + 1.40%), 1.63%, 11/01/23^(a)(c)			710		705,407
Series 2021-1A, Class C, (1 mo. LIBOR US + 2.40%), 2.63%, 11/01/23^(a)(c)			940		928,745
Great Lakes CLO Ltd., Series 2019-1A, Class AR, (3 mo. LIBOR US + 1.56%), 1.80%, 07/15/31^(a)(c)			4,300		4,299,039
Great Lakes CLO V Ltd., Series 2021-5A, Class A, (3 mo. LIBOR US + 1.70%), 1.94%, 04/15/33^(a)(c)			2,540		2,544,294
GreenPoint Manufactured Housing Series 1999-5, Class M1B, 8.29%, 12/15/29^(c)			713		729,019
Series 1999-5, Class M2, 9.23%, 12/15/29^(c)			832		754,064


Security		Par (000)		Value

Asset-Backed Securities (continued)
Grippen Park CLO Ltd.
Series 2017-1A, Class A, (3 mo. LIBOR US + 1.26%), 1.51%, 01/20/30^(a)(c)	USD		1,123	$	1,119,676
Series 2017-1A, Class D, (3 mo. LIBOR US + 3.30%), 3.55%, 01/20/30^(a)(c)			250		248,088
GSAA Home Equity Trust
Series 2005-14, Class 1A2, (1 mo. LIBOR US + 0.70%), 1.16%, 12/25/35^(c)			836		411,059
Series 2006-4, Class 1A1, 2.94%, 03/25/36^(c)			1,802		1,427,026
Series 2006-5, Class 2A1, (1 mo. LIBOR US + 0.14%), 0.60%, 03/25/36^(c)			12		4,986
Series 2007-2, Class AF3, 5.92%, 03/25/37^(c)			468		123,665
GSAMP Trust
Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.20%), 0.66%, 01/25/47^(c)			816		506,243
Series 2007-HS1, Class M6, (1 mo. LIBOR US + 3.38%), 3.83%, 02/25/47^(c)			1,300		1,343,344
GT Loan Financing I Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 2.10%), 2.38%, 07/28/31^(a)(c)			250		249,644
Gulf Stream Meridian 1 Ltd.
Series 2020-IA, Class A1, (3 mo. LIBOR US + 1.37%), 1.61%, 04/15/33^(a)(c)			6,070		6,049,151
Series 2020-IA, Class B, (3 mo. LIBOR US + 2.00%), 2.24%, 04/15/33^(a)(c)			250		247,922
Series 2020-IA, Class E, (3 mo. LIBOR US + 6.45%), 6.69%, 04/15/33^(a)(c)			1,000		987,747
Gulf Stream Meridian 3 Ltd., Series 2021-IIIA, Class A1, (3 mo. LIBOR US + 1.32%), 1.56%, 04/15/34^(a)(c)			300		297,994
Gulf Stream Meridian 4 Ltd.
Series 2021-4A, Class A1, (3 mo. LIBOR US + 1.20%), 1.44%, 07/15/34^(a)(c)			12,060		11,942,800
Series 2021-4A, Class A2, (3 mo. LIBOR US + 1.85%), 2.09%, 07/15/34^(a)(c)			1,750		1,741,482
Series 2021-4A, Class D, (3 mo. LIBOR US + 6.35%), 6.59%, 07/15/34^(a)(c)			750		735,100
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3 mo. LIBOR US + 1.80%), 2.04%, 07/15/34^(a)(c)			470		467,123
Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class A1, (3 mo. CME Term SOFR + 1.36%), 1.66%, 07/15/35^(a)(c)(d)			1,950		1,940,640
Harbor Park CLO Ltd., Series 2018-1A, Class E, (3 mo. LIBOR US + 5.60%), 5.85%, 01/20/31^(a)(c)			500		482,290
Harvest CLO XXIII DAC, Series 23A, Class CE, (3 mo. EURIBOR + 2.05%), 2.05%, 10/20/32^(a)(c)	EUR		1,430		1,545,775
Henley CLO IV DAC
Series 4A, Class C, (3 mo. EURIBOR + 2.10%), 2.10%, 04/25/34^(a)(c)			560		604,059
Series 4A, Class D, (3 mo. EURIBOR + 3.00%), 3.00%, 04/25/34^(a)(c)(d)			750		800,142
Series 4X, Class B1, (3 mo. EURIBOR + 1.35%), 1.35%, 04/25/34^(c)(e)			540		577,126
Highbridge Loan Management Ltd.
Series 12A-18, Class A1B, (3 mo. LIBOR US + 1.25%), 1.49%, 07/18/31^(a)(c)	USD		750		742,880


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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Highbridge Loan Management Ltd.
Series 3A-2014, Class A1R, (3 mo. LIBOR US + 1.18%), 1.42%, 07/18/29^(a)(c)	USD		3,070	$	3,063,145
Series 7A-2015, Class BR, (3 mo. LIBOR US + 1.18%), 1.69%, 03/15/27^(a)(c)			750		744,438
Home Equity Asset Trust
Series 2006-3, Class M2, (1 mo. LIBOR US + 0.60%), 1.06%, 07/25/36^(c)			2,440		2,273,795
Series 2007-1, Class 2A3, (1 mo. LIBOR US + 0.30%), 0.76%, 05/25/37^(c)			2,108		1,689,024
Home Equity Mortgage Loan Asset-Backed Trust
Series 2004-A, Class M2, (1 mo. LIBOR US + 2.03%), 2.48%, 07/25/34^(c)			379		376,646
Series 2007-A, Class 2A2, (1 mo. LIBOR US + 0.19%), 0.65%, 04/25/37^(c)			1,651		1,237,566
Home Equity Mortgage Trust, Series 2006-2, Class 1A1, 5.87%, 07/25/36^(b)			1,914		251,815
Home Loan Mortgage Loan Trust, Series 2005-1, Class A3, (1 mo. LIBOR US + 0.72%), 1.12%, 04/15/36^(c)			699		664,245
Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26^(a)			9,022		8,271,460
HPS Loan Management Ltd.
Series 10A-16, Class A1RR, (3 mo. LIBOR US + 1.14%), 1.39%, 04/20/34^(a)(c)			5,620		5,575,040
Series 6A-2015, Class A1R, (3 mo. LIBOR US + 1.00%), 1.32%, 02/05/31^(a)(c)			11,313		11,230,118
Series 9A-2016, Class A1BR, (3 mo. LIBOR US + 1.40%), 1.65%, 07/19/30^(a)(c)			300		297,612
ICG U.S. CLO Ltd., Series 2015-1A, Class A1R, (3 mo. LIBOR US + 1.14%), 1.39%, 10/19/28^(a)(c)			4,337		4,324,238
Invesco Euro CLO II DAC, Series 2A, Class B1R, (3 mo. EURIBOR + 1.70%), 1.70%, 08/15/34^(a)(c)	EUR		490		526,751
Invesco Euro CLO V DAC, Series 5X, Class D, (3 mo. EURIBOR + 3.80%), 3.80%, 01/15/34^(c)(e)			350		378,020
Invesco Euro CLO VII DAC, Series 7A, Class E, (3 mo. EURIBOR + 6.24%), 6.24%, 01/15/35^(a)(c)			1,000		1,040,756
Invitation Homes Trust, Series 2018-SFR3, Class A, (1 mo. LIBOR US + 1.00%), 1.44%, 07/17/37^(a)(c)	USD		664		663,831
Irwin Home Equity Loan Trust, Series 2006-3, Class 2A3, 6.53%, 09/25/37^(a)(b)			215		206,054
Jamestown CLO XII Ltd., Series 2019-1A, Class A2, (3 mo. LIBOR US + 2.15%), 2.40%, 04/20/32^(a)(c)			1,630		1,620,575
Jamestown CLO XVI Ltd., Series 2021-16A, Class B, (3 mo. LIBOR US + 1.80%), 2.06%, 07/25/34^(a)(c)			250		247,662
JPMorgan Mortgage Acquisition Trust, Series 2006-CW1, Class M1, (1 mo. LIBOR US + 0.41%), 0.86%, 05/25/36^(c)			1,039		1,023,721
Kapitus Asset Securitization LLC, Series 2022- 1A, Class A, 3.38%, 07/10/28^(a)			7,928		7,692,819
Kayne CLO 4 Ltd., Series 2019-4A, Class C, (3 mo. LIBOR US + 2.80%), 3.06%, 04/25/32^(a)(c)			675		673,039


Security		Par (000)		Value

Asset-Backed Securities (continued)
KKR CLO 10 Ltd., Series 10, Class BR, (3 mo. LIBOR US + 1.70%), 2.53%, 09/15/29^(a)(c)	USD		360	$	359,199
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.07%), 1.32%, 01/20/31^(a)(c)			8,120		8,068,294
LCM 29 Ltd., Series 29A, Class AR, (3 mo. LIBOR US + 1.07%), 1.31%, 04/15/31^(a)(c)			850		841,785
LCM XIV LP, Series 14A, Class AR, (3 mo. LIBOR US + 1.04%), 1.29%, 07/20/31^(a)(c)			500		497,384
LCM XVII LP, Series 17A, Class A1AR, (3 mo. LIBOR US + 1.13%), 1.37%, 10/15/31^(a)(c)			350		348,073
LCM XX LP
Series 20A, Class AR, (3 mo. LIBOR US + 1.04%), 1.29%, 10/20/27^(a)(c)			1,613		1,606,408
Series 20A, Class BR, (3 mo. LIBOR US + 1.55%), 1.80%, 10/20/27^(a)(c)			610		607,948
LCM XXI LP
Series 21A, Class AR, (3 mo. LIBOR US + 0.88%), 1.13%, 04/20/28^(a)(c)			1,304		1,298,652
Series 21A, Class BR, (3 mo. LIBOR US + 1.40%), 1.65%, 04/20/28^(a)(c)			250		248,820
Legacy Mortgage Asset Trust
Series 2019-SL2, Class A, 3.38%, 02/25/59^(a)(c)			5,325		5,139,643
Series 2019-SL2, Class B, 0.00%, 02/25/59^(a)(d)			1,935		290,281
Series 2019-SL2, Class M, 4.25%, 02/25/59^(a)(c)			2,083		1,998,758
Lehman ABS Manufactured Housing Contract Trust
Series 2001-B, Class M1, 6.63%, 04/15/40^(c)			2,819		2,858,420
Series 2002-A, Class C, 0.00%, 06/15/33			264		243,418
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1 mo. LIBOR US + 0.09%), 0.55%, 06/25/37^(a)(c)			350		268,100
LendingPoint Pass-Through Trust
Series 2022-ST1, Class A, 2.50%, 03/15/28^(a)			1,088		1,064,458
Series 2022-ST2, Class A, 3.25%, 04/15/28^(a)(d)			1,467		1,467,000
Lendmark Funding Trust
Series 2021-1A, Class B, 2.47%, 11/20/31^(a)			1,670		1,524,707
Series 2021-1A, Class C, 3.41%, 11/20/31^(a)			1,270		1,164,383
Series 2021-1A, Class D, 5.05%, 11/20/31^(a)			725		653,229
Series 2021-2A, Class C, 3.09%, 04/20/32^(a)			1,000		905,585
Series 2021-2A, Class D, 4.46%, 04/20/32^(a)			730		666,073
Litigation Fee Residual Funding LLC,
Series 2015-1, Class A, 4.00%, 10/01/27^(d)			165		162,142
LoanCore Issuer Ltd.
Series 2018-CRE1, Class A, (1 mo. LIBOR US + 1.13%), 1.53%, 05/15/28^(a)(c)			484		482,789
Series 2021-CRE6, Class A, (1 mo. LIBOR US + 1.30%), 1.70%, 11/15/38^(a)(c)			3,560		3,536,106
Loanpal Solar Loan Ltd.
Series 2020-2GF, Class A, 2.75%, 07/20/47^(a)			5,852		5,548,670
Series 2021-1GS, Class A, 2.29%, 01/20/48^(a)			5,852		5,346,850
Logan CLO I Ltd., Series 2021-1A, Class A, (3 mo. LIBOR US + 1.16%), 1.41%, 07/20/34^(a)(c)			4,510		4,460,950


54		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Long Beach Mortgage Loan Trust
Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.30%), 0.76%, 06/25/36^(c)	USD		3,262	$	2,004,673
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.62%, 08/25/36^(c)			8,726		4,175,943
Long Point Park CLO Ltd., Series 2017-1A, Class A2, (3 mo. LIBOR US + 1.38%), 1.62%, 01/17/30^(a)(c)			430		423,978
Longfellow Place CLO Ltd., Series 2013-1A, Class BR3, (3 mo. LIBOR US + 1.75%), 1.99%, 04/15/29^(a)(c)			500		499,446
Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class B2, (1 mo. LIBOR US + 3.25%), 3.71%, 03/25/32^(c)			538		537,907
Madison Park Euro Funding XIV DAC, Series 14A, Class DR, (3 mo. EURIBOR + 3.60%), 3.60%, 07/15/32^(a)(c)	EUR		750		803,423
Madison Park Euro Funding XVI DAC
Series 16A, Class D, (3 mo. EURIBOR + 3.20%), 3.20%, 05/25/34^(a)(c)			1,000		1,056,867
Series 16A, Class E, (3 mo. EURIBOR + 6.02%), 6.02%, 05/25/34^(a)(c)			900		926,918
Madison Park Funding XI Ltd., Series 2013- 11A, Class AR2, (3 mo. LIBOR US + 0.90%), 1.16%, 07/23/29^(a)(c)	USD		5,293		5,254,008
Madison Park Funding XIII Ltd.
Series 2014-13A, Class AR2, (3 mo. LIBOR US + 0.95%), 1.20%, 04/19/30^(a)(c)			7,622		7,576,810
Series 2014-13A, Class BR2, (3 mo. LIBOR US + 1.50%), 1.75%, 04/19/30^(a)(c)			4,890		4,853,030
Madison Park Funding XIX Ltd.
Series 2015-19A, Class A1R2, (3 mo. LIBOR US + 0.92%), 1.18%, 01/22/28^(a)(c)			7,194		7,145,338
Series 2015-19A, Class A2R2, (3 mo. LIBOR US + 1.50%), 1.76%, 01/22/28^(a)(c)			1,000		993,572
Madison Park Funding XLIX Ltd., Series 2021- 49A, Class E, (3 mo. LIBOR US + 6.25%), 6.37%, 10/19/34^(a)(c)			250		245,649
Madison Park Funding XLV Ltd., Series 2020- 45A, Class AR, (3 mo. LIBOR US + 1.12%), 1.36%, 07/15/34^(a)(c)			4,660		4,618,060
Madison Park Funding XVIII Ltd., Series 2015- 18A, Class ARR, (3 mo. LIBOR US + 0.94%), 1.20%, 10/21/30^(a)(c)			14,970		14,829,544
Madison Park Funding XXII Ltd., Series 2016- 22A, Class A1R, (3 mo. LIBOR US + 1.26%), 1.50%, 01/15/33^(a)(c)			3,000		2,982,769
Madison Park Funding XXIII Ltd.
Series 2017-23A, Class AR, (3 mo. LIBOR US + 0.97%), 1.24%, 07/27/31^(a)(c)			750		744,482
Series 2017-23A, Class BR, (3 mo. LIBOR US + 1.55%), 1.82%, 07/27/31^(a)(c)			500		496,361
Series 2017-23A, Class CR, (3 mo. LIBOR US + 2.00%), 2.27%, 07/27/31^(a)(c)			900		895,732
Madison Park Funding XXIV Ltd., Series 2016- 24A, Class BR, (3 mo. LIBOR US + 1.75%), 2.00%, 10/20/29^(a)(c)			510		508,521
Madison Park Funding XXV Ltd., Series 2017- 25A, Class A2R, (3 mo. LIBOR US + 1.65%), 1.91%, 04/25/29^(a)(c)			1,430		1,421,243


Security		Par (000)		Value

Asset-Backed Securities (continued)
Madison Park Funding XXVI Ltd., Series 2017- 26A, Class AR, (3 mo. LIBOR US + 1.20%), 1.50%, 07/29/30^(a)(c)	USD		11,375	$	11,387,282
Madison Park Funding XXVII Ltd., Series 2018- 27A, Class A1A, (3 mo. LIBOR US + 1.03%), 1.28%, 04/20/30^(a)(c)			500		496,132
Madison Park Funding XXXI Ltd.
Series 2018-31A, Class B, (3 mo. LIBOR US + 1.70%), 1.96%, 01/23/31^(a)(c)			500		496,530
Series 2018-31A, Class C, (3 mo. LIBOR US + 2.15%), 2.41%, 01/23/31^(a)(c)			500		499,432
Madison Park Funding XXXIII Ltd.
Series 2019-33A, Class AR, (3 mo. CME Term SOFR + 1.29%), 1.45%, 10/15/32^(a)(c)			1,560		1,548,099
Series 2019-33A, Class BR, (3 mo. CME Term SOFR + 1.80%), 1.96%, 10/15/32^(a)(c)			1,510		1,501,141
Madison Park Funding XXXIV Ltd.
Series 2019-34A, Class AR, (3 mo. LIBOR US + 1.12%), 1.38%, 04/25/32^(a)(c)			250		248,438
Series 2019-34A, Class DR, (3 mo. LIBOR US + 3.35%), 3.61%, 04/25/32^(a)(c)			250		248,975
Madison Park Funding XXXV Ltd., Series 2019- 35A, Class A1R, (3 mo. LIBOR US + 0.99%), 1.24%, 04/20/32^(a)(c)			3,220		3,172,499
Madison Park Funding XXXVII Ltd., Series 2019-37A, Class AR, (3 mo. LIBOR US + 1.07%), 1.31%, 07/15/33^(a)(c)			2,110		2,087,728
Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class A, (3 mo. LIBOR US + 1.12%), 1.36%, 07/17/34^(a)(c)			5,010		4,939,093
Man GLG Euro CLO, Series 6A, Class DR, (3 mo. EURIBOR + 3.50%), 3.50%, 10/15/32^(a)(c)	EUR		1,680		1,860,239
Marble Point CLO XI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.18%), 1.42%, 12/18/30^(a)(c)	USD		2,000		1,993,823
Marble Point CLO XXII Ltd., Series 2021-2A, Class B, (3 mo. LIBOR US + 1.85%), 2.11%, 07/25/34^(a)(c)			250		247,418
Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3 mo. LIBOR US + 3.65%), 3.74%, 01/22/35^(a)(c)			250		248,593
Mariner CLO LLC
Series 2016-3A, Class AR2, (3 mo. LIBOR US + 0.99%), 1.25%, 07/23/29^(a)(c)			1,570		1,561,608
Series 2016-3A, Class BR2, (3 mo. LIBOR US + 1.50%), 1.76%, 07/23/29^(a)(c)			1,978		1,959,843
Series 2016-3A, Class CR2, (3 mo. LIBOR US + 2.05%), 2.31%, 07/23/29^(a)(c)			5,162		5,084,995
Series 2016-3A, Class DR2, (3 mo. LIBOR US + 2.90%), 3.16%, 07/23/29^(a)(c)			500		481,429
Mariner Finance Issuance Trust
Series 2019-AA, Class B, 3.51%, 07/20/32^(a)			2,420		2,372,786
Series 2019-AA, Class C, 4.01%, 07/20/32^(a)			2,150		2,095,768
Series 2020-AA, Class B, 3.21%, 08/21/34^(a)			1,630		1,539,388
Series 2020-AA, Class C, 4.10%, 08/21/34^(a)			1,536		1,443,874
Series 2020-AA, Class D, 5.75%, 08/21/34^(a)			2,030		1,900,206
Series 2021-BA, Class D, 3.42%, 11/20/36^(a)			570		521,469
Series 2021-BA, Class E, 4.68%, 11/20/36^(a)			1,265		1,156,700


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

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
MASTR Asset-Backed Securities Trust
Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.52%), 0.98%, 06/25/36^(a)(c)	USD		1,212	$	1,154,486
Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.28%), 0.74%, 05/25/37^(c)			1,318		1,185,553
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1 mo. LIBOR US + 0.26%), 0.72%, 06/25/46^(a)(c)			357		343,977
Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.50%, 09/21/26^(a)			21,272		20,524,687
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.24%), 0.70%, 05/25/37^(c)			1,612		1,337,008
Merrill Lynch Mortgage Investors Trust
Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.26%), 0.72%, 08/25/37^(c)			388		406,860
Series 2006-RM3, Class A2B, (1 mo. LIBOR US + 0.18%), 0.64%, 06/25/37^(c)			870		226,089
MidOcean Credit CLO III, Series 2014-3A, Class A3A2, (3 mo. LIBOR US + 0.97%), 1.23%, 04/21/31^(a)(c)			1,987		1,969,727
Mill City Solar Loan Ltd., Series 2019-2GS, Class A, 3.69%, 07/20/43^(a)			5,282		5,244,971
Morgan Stanley ABS Capital I, Inc. Trust
Series 2005-HE1, Class A2MZ, (1 mo. LIBOR US + 0.60%), 1.06%, 12/25/34^(c)			820		731,946
Series 2005-HE5, Class M4, (1 mo. LIBOR US + 0.87%), 1.33%, 09/25/35^(c)			4,005		3,961,517
Series 2007-SEA1, Class 2A1, (1 mo. LIBOR US + 1.90%), 2.36%, 02/25/47^(a)(c)			866		842,205
Morgan Stanley Home Equity Loan Trust,
Series 2006-3, Class A3, (1 mo. LIBOR US + 0.32%), 0.78%, 04/25/36^(c)			1,601		1,294,127
Morgan Stanley Mortgage Loan Trust,
Series 2006-16AX, Class 1A, (1 mo. LIBOR US + 0.34%), 0.80%, 11/25/36^(c)			3,824		946,476
Mosaic Solar Loan Trust
Series 2018-2GS, Class A, 4.20%, 02/22/44^(a)			2,017		2,002,339
Series 2019-2A, Class A, 2.88%, 09/20/40^(a)			647		627,457
Series 2020-1A, Class A, 2.10%, 04/20/46^(a)			1,017		960,570
MP CLO III Ltd., Series 2013-1A, Class AR,
(3 mo. LIBOR US + 1.25%), 1.50%, 10/20/30^(a)(c)			2,820		2,808,403
MP CLO VII Ltd., Series 2015-1A, Class BRR, (3 mo. LIBOR US + 1.60%), 1.84%, 10/18/28^(a)(c)			750		742,603
MP CLO VIII Ltd.
Series 2015-2A, Class ARR, (3 mo. LIBOR US + 1.20%), 1.48%, 04/28/34^(a)(c)			5,910		5,853,543
Series 2015-2A, Class BRR, (3 mo. LIBOR US + 1.80%), 2.08%, 04/28/34^(a)(c)			3,500		3,463,386
Myers Park CLO Ltd.
Series 2018-1A, Class B1, (3 mo. LIBOR US + 1.60%), 1.85%, 10/20/30^(a)(c)			250		247,378
Series 2018-1A, Class C, (3 mo. LIBOR US + 2.05%), 2.30%, 10/20/30^(a)(c)			250		247,909
Series 2018-1A, Class E, (3 mo. LIBOR US + 5.50%), 5.75%, 10/20/30^(a)(c)			250		236,640
Nationstar Home Equity Loan Trust, Series 2007-B, Class M1, (1 mo. LIBOR US + 0.41%), 0.87%, 04/25/37^(c)			3,320		3,151,082


Security		Par (000)		Value

Asset-Backed Securities (continued)
Navient Private Education Loan Trust, Series 2014-AA, Class B, 3.50%, 08/15/44^(a)	USD		6,000	$	5,742,793
Navient Private Education Refi Loan Trust
Series 2020-A, Class A2B, (1 mo. LIBOR US + 0.90%), 1.30%, 11/15/68^(a)(c)			2,219		2,203,906
Series 2020-FA, Class B, 2.69%, 07/15/69^(a)			2,590		2,476,874
Series 2021-DA, Class B, 2.61%, 04/15/60^(a)			1,700		1,644,963
Series 2021-DA, Class C, 3.48%, 04/15/60^(a)			4,380		4,098,153
Series 2021-DA, Class D, 4.00%, 04/15/60^(a)			1,400		1,304,503
Nelnet Student Loan Trust
Series 2021-A, Class B2, 2.85%, 04/20/62^(a)			22,590		21,009,125
Series 2021-A, Class C, 3.75%, 04/20/62^(a)			13,100		12,718,740
Series 2021-A, Class D, 4.93%, 04/20/62^(a)			5,340		5,032,603
Series 2021-BA, Class B, 2.68%, 04/20/62^(a)			18,310		16,756,316
Series 2021-BA, Class C, 3.57%, 04/20/62^(a)			5,130		4,732,140
Series 2021-BA, Class D, 4.75%, 04/20/62^(a)			1,499		1,397,775
Series 2021-CA, Class B, 2.53%, 04/20/62^(a)			16,690		15,122,460
Series 2021-CA, Class C, 3.36%, 04/20/62^(a)			650		612,193
Series 2021-CA, Class D, 4.44%, 04/20/62^(a)			990		940,704
Series 2021-DA, Class B, 2.90%, 04/20/62^(a)			9,900		9,257,097
Series 2021-DA, Class C, 3.50%, 04/20/62^(a)			1,070		1,000,820
Series 2021-DA, Class D, 4.38%, 04/20/62^(a)			331		314,102
Neuberger Berman CLO XIV Ltd., Series 2013- 14A, Class AR2, (3 mo. LIBOR US + 1.03%), 1.31%, 01/28/30^(a)(c)			750		746,101
Neuberger Berman CLO XVII Ltd.
Series 2014-17A, Class BR2, (3 mo. LIBOR US + 1.50%), 1.76%, 04/22/29^(a)(c)			1,500		1,487,068
Series 2014-17A, Class CR2, (3 mo. LIBOR US + 2.00%), 2.26%, 04/22/29^(a)(c)			1,900		1,880,573
Neuberger Berman CLO XVI-S Ltd.,
Series 2017-16SA, Class AR, (3 mo. LIBOR US + 1.04%), 1.28%, 04/15/34^(a)(c)			2,690		2,659,618
Neuberger Berman CLO XX Ltd.
Series 2015-20A, Class ARR, (3 mo. LIBOR US + 1.16%), 1.40%, 07/15/34^(a)(c)			1,000		988,936
Series 2015-20A, Class BRR, (3 mo. LIBOR US + 1.65%), 1.89%, 07/15/34^(a)(c)			750		740,611
Neuberger Berman CLO XXII Ltd.
Series 2016-22A, Class BR, (3 mo. LIBOR US + 1.65%), 1.89%, 10/17/30^(a)(c)			250		247,920
Series 2016-22A, Class CR, (3 mo. LIBOR US + 2.20%), 2.44%, 10/17/30^(a)(c)			250		247,622
Neuberger Berman Loan Advisers CLO 25 Ltd., Series 2017-25A, Class BR, (3 mo. LIBOR US + 1.35%), 1.59%, 10/18/29^(a)(c)			250		246,800
Neuberger Berman Loan Advisers CLO 26 Ltd.
Series 2017-26A, Class AR, (3 mo. LIBOR US + 0.92%), 1.16%, 10/18/30^(a)(c)			6,750		6,685,928
Series 2017-26A, Class BR, (3 mo. LIBOR US + 1.40%), 1.64%, 10/18/30^(a)(c)			250		246,922
Neuberger Berman Loan Advisers CLO 29 Ltd.
Series 2018-29A, Class A1, (3 mo. LIBOR US + 1.13%), 1.38%, 10/19/31^(a)(c)			500		497,226
Series 2018-29A, Class B1, (3 mo. LIBOR US + 1.70%), 1.95%, 10/19/31^(a)(c)			250		248,299
Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class BR, (3 mo. CME Term SOFR + 1.75%), 1.99%, 01/20/35^(a)(c)(d)			500		500,000


56		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Neuberger Berman Loan Advisers CLO 37 Ltd., Series 2020-37A, Class BR, (3 mo. LIBOR US + 1.45%), 1.70%, 07/20/31^(a)(c)	USD		1,000	$	988,142
Neuberger Berman Loan Advisers CLO 39 Ltd., Series 2020-39A, Class E, (3 mo. LIBOR US + 7.20%), 7.45%, 01/20/32^(a)(c)			250		248,012
Neuberger Berman Loan Advisers CLO 42 Ltd., Series 2021-42A, Class A, (3 mo. LIBOR US + 1.10%), 1.34%, 07/16/35^(a)(c)			3,940		3,898,630
New Century Home Equity Loan Trust, Series 2005-C, Class M2, (1 mo. LIBOR US + 0.68%), 1.13%, 12/25/35^(c)			2,168		2,008,815
Newark BSL CLO 1 Ltd., Series 2016-1A, Class A1R, (3 mo. LIBOR US + 1.10%), 1.37%, 12/21/29^(a)(c)			250		248,866
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.40%), 0.86%, 10/25/36^(a)(c)			96		119,484
OAK Hill European Credit Partners V Designated Activity Co., Series 2016-5A, Class BR, (3 mo. EURIBOR + 1.90%), 1.90%, 01/21/35^(a)(c)	EUR		400		436,221
Oaktree CLO Ltd., Series 2015-1A, Class A1R, (3 mo. LIBOR US + 0.87%), 1.12%, 10/20/27^(a)(c)	USD		87		86,689
Oakwood Mortgage Investors, Inc.
Series 2001-D, Class A2, 5.26%, 01/15/19^(c)			575		346,091
Series 2001-D, Class A4, 6.93%, 09/15/31^(c)			366		256,113
Series 2002-B, Class M1, 7.62%, 06/15/32^(c)			4,492		3,775,484
Ocean Trails CLO V, Series 2014-5A, Class BRR, (3 mo. LIBOR US + 1.95%), 2.19%, 10/13/31^(a)(c)			250		248,575
Ocean Trails CLO X, Series 2020-10A, Class BR, (3 mo. LIBOR US + 1.80%), 2.04%, 10/15/34^(a)(c)			250		247,093
OCP CLO Ltd.
Series 2013-4A, Class A2RR, (3 mo. LIBOR US + 1.45%), 1.71%, 04/24/29^(a)(c)			2,500		2,484,324
Series 2013-4A, Class BRR, (3 mo. LIBOR US + 1.90%), 2.16%, 04/24/29^(a)(c)			4,618		4,590,914
Series 2013-4A, Class CRR, (3 mo. LIBOR US + 3.00%), 3.26%, 04/24/29^(a)(c)			3,000		2,973,627
Series 2014-5A, Class A1R, (3 mo. LIBOR US + 1.08%), 1.35%, 04/26/31^(a)(c)			660		655,490
Series 2014-5A, Class A2R, (3 mo. LIBOR US + 1.40%), 1.67%, 04/26/31^(a)(c)			1,070		1,054,539
Series 2014-6X, Class BR, (3 mo. LIBOR US + 2.15%), 2.39%, 10/17/30^(c)(e)			250		246,476
Series 2014-7A, Class A1RR, (3 mo. LIBOR US + 1.12%), 1.37%, 07/20/29^(a)(c)			450		448,836
Series 2014-7A, Class A2RR, (3 mo. LIBOR US + 1.65%), 1.90%, 07/20/29^(a)(c)			1,250		1,240,711
Series 2015-9A, Class BR2, (3 mo. CME Term SOFR + 1.75%), 2.16%, 01/15/33^(a)(c)			250		249,564
Series 2015-9A, Class ER, (3 mo. CME Term SOFR + 6.80%), 7.21%, 01/15/33^(a)(c)			500		497,475
Series 2017-14A, Class B, (3 mo. LIBOR US + 1.95%), 2.43%, 11/20/30^(a)(c)			500		492,977
Series 2019-16A, Class AR, (3 mo. LIBOR US + 1.00%), 1.23%, 04/10/33^(a)(c)			1,480		1,466,680


Security		Par (000)		Value

Asset-Backed Securities (continued)
OCP CLO Ltd.
Series 2019-16A, Class ER, (3 mo. LIBOR US + 6.35%), 6.58%, 04/10/33^(a)(c)	USD		950	$	899,844
Series 2020-18A, Class AR, (3 mo. LIBOR US + 1.09%), 1.34%, 07/20/32^(a)(c)			2,080		2,059,271
Series 2020-19A, Class BR, (3 mo. LIBOR US + 1.70%), 1.95%, 10/20/34^(a)(c)			500		492,750
Series 2021-22A, Class A, (3 mo. LIBOR US + 1.18%), 1.30%, 12/02/34^(a)(c)			2,010		1,987,734
OCP Euro CLO DAC
Series 2017-2X, Class B, (3 mo. EURIBOR + 1.35%), 1.35%, 01/15/32^(c)(e)	EUR		1,130		1,231,348
Series 2019-3A, Class CR, (3 mo. EURIBOR + 2.30%), 2.30%, 04/20/33^(a)(c)			250		272,412
Series 2019-3A, Class DR, (3 mo. EURIBOR + 3.30%), 3.30%, 04/20/33^(a)(c)			250		268,054
Series 2020-4A, Class B1R, (3 mo. EURIBOR + 1.70%), 1.70%, 09/22/34^(a)(c)(d)			3,320		3,639,622
Series 2020-4A, Class ER, (3 mo. EURIBOR + 5.94%), 5.94%, 09/22/34^(a)(c)			2,300		2,438,628
Series 2020-4X, Class ER, (3 mo. EURIBOR + 5.94%), 5.94%, 09/22/34^(c)(e)			500		530,136
Octagon 54 Ltd., Series 2021-1A, Class D, (3 mo. LIBOR US + 3.05%), 3.29%, 07/15/34^(a)(c)	USD		1,000		989,164
Octagon 56 Ltd., Series 2021-1A, Class B, (3 mo. LIBOR US + 1.65%), 1.77%, 10/15/34^(a)(c)			250		246,961
Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A, (3 mo. LIBOR US + 0.96%), 1.20%, 04/16/31^(a)(c)			7,300		7,221,144
Octagon Investment Partners 24 Ltd., Series 2015-1A, Class A2S, (3 mo. LIBOR US + 1.70%), 1.96%, 04/21/31^(a)(c)			3,440		3,410,048
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.19%), 1.44%, 01/20/31^(a)(c)			500		497,479
Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 0.97%), 1.21%, 04/15/31^(a)(c)			250		247,466
Octagon Investment Partners 37 Ltd., Series 2018-2A, Class A2, (3 mo. LIBOR US + 1.58%), 1.84%, 07/25/30^(a)(c)			750		742,245
Octagon Investment Partners 39 Ltd., Series 2018-3A, Class B, (3 mo. LIBOR US + 1.65%), 1.90%, 10/20/30^(a)(c)			350		346,867
Octagon Investment Partners 43 Ltd., Series 2019-1A, Class A2, (3 mo. LIBOR US + 1.65%), 1.91%, 10/25/32^(a)(c)			250		247,897
Octagon Investment Partners 46 Ltd., Series 2020-2A, Class BR, (3 mo. LIBOR US + 1.65%), 1.89%, 07/15/36^(a)(c)			3,290		3,248,157
Octagon Investment Partners XV Ltd., Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.35%), 1.60%, 07/19/30^(a)(c)			1,430		1,423,675
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.02%), 1.26%, 07/17/30^(a)(c)			3,580		3,549,985
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.00%), 1.26%, 01/25/31^(a)(c)			8,490		8,425,211


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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
OHA Credit Funding 2 Ltd., Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.15%), 1.41%, 04/21/34^(a)(c)	USD		14,440	$	14,323,888
OHA Credit Funding 3 Ltd.
Series 2019-3A, Class AR, (3 mo. LIBOR US + 1.14%), 1.39%, 07/02/35^(a)(c)			3,475		3,443,725
Series 2019-3A, Class BR, (3 mo. LIBOR US + 1.65%), 1.90%, 07/02/35^(a)(c)			2,989		2,954,785
OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR, (3 mo. LIBOR US + 1.15%), 1.41%, 10/22/36^(a)(c)			1,000		987,491
OHA Credit Funding 6 Ltd., Series 2020-6A, Class AR, (3 mo. LIBOR US + 1.14%), 1.39%, 07/20/34^(a)(c)			850		840,716
OHA Loan Funding Ltd.
Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.04%), 1.50%, 05/23/31^(a)(c)			6,219		6,169,446
Series 2015-1A, Class AR3, (3 mo. LIBOR US + 1.15%), 1.36%, 01/19/37^(a)(c)			5,400		5,339,126
Series 2016-1A, Class B1R, (3 mo. LIBOR US + 1.60%), 1.85%, 01/20/33^(a)(c)			250		247,254
OneMain Financial Issuance Trust
Series 2019-1A, Class E, 5.69%, 02/14/31^(a)			5,010		5,001,866
Series 2019-2A, Class A, 3.14%, 10/14/36^(a)			14,760		14,424,154
Series 2020-1A, Class A, 3.84%, 05/14/32^(a)			12,330		12,425,353
Series 2020-2A, Class C, 2.76%, 09/14/35^(a)			2,620		2,457,682
Series 2020-2A, Class D, 3.45%, 09/14/35^(a)			6,620		6,276,618
Series 2021-1A, Class C, 2.22%, 06/16/36^(a)			430		390,416
Series 2021-1A, Class D, 2.47%, 06/16/36^(a)			920		813,428
Oportun Issuance Trust
Series 2021-B, Class B, 1.96%, 05/08/31^(a)			1,070		1,018,792
Series 2021-B, Class C, 3.65%, 05/08/31^(a)			510		496,148
Series 2021-B, Class D, 5.41%, 05/08/31^(a)			910		876,602
Series 2021-C, Class A, 2.18%, 10/08/31^(a)			15,195		14,308,914
Series 2021-C, Class B, 2.67%, 10/08/31^(a)			7,070		6,674,454
Series 2021-C, Class C, 3.61%, 10/08/31^(a)			2,276		2,170,951
Series 2021-C, Class D, 5.57%, 10/08/31^(a)			250		238,859
Option One Mortgage Loan Trust
Series 2005-4, Class M3, (1 mo. LIBOR US + 0.74%), 1.19%, 11/25/35^(c)			4,030		3,793,389
Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.14%), 0.60%, 02/25/37^(c)			1,033		763,750
Series 2007-CP1, Class 2A3, (1 mo. LIBOR US + 0.21%), 0.67%, 03/25/37^(c)			2,360		1,953,761
Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37^(b)			2,232		2,042,286
Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37^(b)			5,349		4,917,643
Series 2007-FXD2, Class 1A1, 5.82%, 03/25/37^(b)			2,821		2,612,351
Origen Manufactured Housing Contract Trust
Series 2001-A, Class M1, 7.82%, 03/15/32^(c)			1,189		1,141,730
Series 2007-B, Class A1, (1 mo. LIBOR US + 1.20%), 1.60%, 10/15/37^(a)(c)			1,027		995,484
Owl Rock CLO VI Ltd., Series 2021-6A, Class A, (3 mo. LIBOR US + 1.45%), 1.57%, 06/21/32^(a)(c)			1,000		989,701
Ownit Mortgage Loan Trust Series, Series 2006-2, Class A2C, 6.50%, 01/25/37^(b)			1,891		1,759,651


Security		Par (000)		Value

Asset-Backed Securities (continued)
OZLM Funding IV Ltd.
Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.25%), 1.51%, 10/22/30^(a)(c)	USD		13,280	$	13,203,420
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.70%), 1.96%, 10/22/30^(a)(c)			2,120		2,103,012
OZLM VI Ltd., Series 2014-6A, Class A2AS, (3 mo. LIBOR US + 1.75%), 1.99%, 04/17/31^(a)(c)			2,080		2,062,870
OZLM VIII Ltd., Series 2014-8A, Class BR3, (3 mo. LIBOR US + 2.10%), 2.34%, 10/17/29^(a)(c)(d)			1,160		1,154,200
OZLM XII Ltd., Series 2015-12A, Class A2R, (3 mo. LIBOR US + 1.60%), 1.90%, 04/30/27^(a)(c)			500		498,680
OZLM XVIII Ltd., Series 2018-18A, Class A, (3 mo. LIBOR US + 1.02%), 1.26%, 04/15/31^(a)(c)			3,120		3,094,605
OZLM XX Ltd., Series 2018-20A, Class A2, (3 mo. LIBOR US + 1.65%), 1.90%, 04/20/31^(a)(c)			850		840,675
OZLM XXI Ltd., Series 2017-21A, Class B, (3 mo. LIBOR US + 1.90%), 2.15%, 01/20/31^(a)(c)			930		910,901
OZLM XXII Ltd., Series 2018-22A, Class A1, (3 mo. LIBOR US + 1.07%), 1.31%, 01/17/31^(a)(c)			999		991,895
OZLM XXIV Ltd., Series 2019-24A, Class A2AR, (3 mo. LIBOR US + 1.70%), 1.95%, 07/20/32^(a)(c)			750		740,793
Pagaya AI Debt Selection Trust, Series 2022-1, Class A, 2.03%, 10/15/29^(a)			23,292		22,866,264
Palmer Square CLO Ltd.
Series 2013-2A, Class A1A3, (3 mo. LIBOR US + 1.00%), 1.25%, 10/17/31^(a)(c)			3,390		3,357,491
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.13%), 1.37%, 01/17/31^(a)(c)			4,548		4,522,986
Series 2015-1A, Class A2R4, (3 mo. LIBOR US + 1.70%), 2.18%, 05/21/34^(a)(c)			1,250		1,237,649
Series 2015-2A, Class A2R2, (3 mo. LIBOR US + 1.55%), 1.80%, 07/20/30^(a)(c)			2,500		2,478,472
Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.75%), 3.00%, 07/20/30^(a)(c)			1,000		977,542
Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), 1.27%, 04/18/31^(a)(c)			4,860		4,835,509
Series 2018-2A, Class A1A, (3 mo. LIBOR US + 1.10%), 1.34%, 07/16/31^(a)(c)			4,820		4,786,847
Series 2018-2A, Class A1B, (3 mo. LIBOR US + 1.35%), 1.59%, 07/16/31^(a)(c)			250		247,814
Series 2018-2A, Class A2, (3 mo. LIBOR US + 1.65%), 1.89%, 07/16/31^(a)(c)			1,500		1,488,419
Series 2018-2A, Class D, (3 mo. LIBOR US + 5.60%), 5.84%, 07/16/31^(a)(c)			250		238,281
Series 2020-3A, Class A1AR, (3 mo. LIBOR US + 1.08%), 1.59%, 11/15/31^(a)(c)			1,020		1,011,301
Series 2021-1A, Class A2, (3 mo. LIBOR US + 1.40%), 1.65%, 04/20/34^(a)(c)			250		244,742
Series 2021-3A, Class A1, (3 mo. LIBOR US + 1.15%), 1.38%, 01/15/35^(a)(c)			360		355,994
Palmer Square Loan Funding Ltd.
Series 2019-1A, Class A2, (3 mo. LIBOR US + 1.65%), 1.90%, 04/20/27^(a)(c)			250		249,724


58		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Palmer Square Loan Funding Ltd.
Series 2019-1A, Class D, (3 mo. LIBOR US + 5.80%), 6.05%, 04/20/27^(a)(c)	USD		2,050	$	2,046,747
Series 2019-2A, Class B, (3 mo. LIBOR US + 2.25%), 2.50%, 04/20/27^(a)(c)			2,340		2,335,320
Series 2019-2A, Class C, (3 mo. LIBOR US + 3.25%), 3.50%, 04/20/27^(a)(c)			250		249,997
Series 2019-2A, Class D, (3 mo. LIBOR US + 5.50%), 5.75%, 04/20/27^(a)(c)			1,500		1,492,936
Series 2019-2A, Class E, (3 mo. LIBOR US + 6.75%), 7.00%, 04/20/27^(a)(c)			250		248,874
Series 2019-3A, Class A2, (3 mo. LIBOR US + 1.60%), 2.08%, 08/20/27^(a)(c)			2,610		2,605,030
Series 2019-3A, Class B, (3 mo. LIBOR US + 2.10%), 2.58%, 08/20/27^(a)(c)			1,940		1,938,855
Series 2019-3A, Class D, (3 mo. LIBOR US + 5.35%), 5.83%, 08/20/27^(a)(c)			1,250		1,237,792
Series 2019-4A, Class B, (3 mo. LIBOR US + 2.10%), 2.36%, 10/24/27^(a)(c)			1,460		1,459,064
Series 2019-4A, Class D, (3 mo. LIBOR US + 5.90%), 6.16%, 10/24/27^(a)(c)			3,013		3,002,629
Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.35%), 1.83%, 02/20/28^(a)(c)			4,860		4,833,040
Series 2020-1A, Class C, (3 mo. LIBOR US + 2.50%), 2.98%, 02/20/28^(a)(c)			375		374,314
Series 2020-1A, Class D, (3 mo. LIBOR US + 4.85%), 5.33%, 02/20/28^(a)(c)			400		388,035
Series 2020-2A, Class A2, (3 mo. LIBOR US + 1.55%), 1.80%, 04/20/28^(a)(c)			5,850		5,831,468
Series 2020-2A, Class B, (3 mo. LIBOR US + 2.25%), 2.50%, 04/20/28^(a)(c)			1,000		998,722
Series 2020-2A, Class C, (3 mo. LIBOR US + 3.00%), 3.25%, 04/20/28^(a)(c)			1,000		997,737
Series 2020-4A, Class A2, (3 mo. LIBOR US + 1.60%), 2.10%, 11/25/28^(a)(c)			2,640		2,632,901
Series 2020-4A, Class C, (3 mo. LIBOR US + 3.60%), 4.10%, 11/25/28^(a)(c)			500		499,007
Series 2021-1A, Class D, (3 mo. LIBOR US + 6.00%), 6.25%, 04/20/29^(a)(c)			500		499,979
Series 2021-2A, Class A2, (3 mo. LIBOR US + 1.25%), 1.73%, 05/20/29^(a)(c)			1,430		1,411,427
Series 2021-2A, Class D, (3 mo. LIBOR US + 5.00%), 5.48%, 05/20/29^(a)(c)			500		484,652
Series 2021-4A, Class D, (3 mo. LIBOR US + 5.00%), 5.13%, 10/15/29^(a)(c)			1,480		1,343,182
Parallel Ltd., Series 2015-1A, Class C1R, (3 mo. LIBOR US + 1.75%), 2.00%, 07/20/27^(a)(c)			1,150		1,142,928
Park Avenue Institutional Advisers CLO Ltd.
Series 2017-1A, Class A1R, (3 mo. LIBOR US + 1.24%), 1.64%, 02/14/34^(a)(c)			6,400		6,333,188
Series 2017-1A, Class A2R, (3 mo. LIBOR US + 1.55%), 1.95%, 02/14/34^(a)(c)			4,450		4,371,317
Series 2019-1A, Class A1, (3 mo. LIBOR US + 1.48%), 1.99%, 05/15/32^(a)(c)			500		498,116
Series 2019-1A, Class A2A, (3 mo. LIBOR US + 2.00%), 2.51%, 05/15/32^(a)(c)			500		495,945
Series 2021-1A, Class D, (3 mo. LIBOR US + 7.30%), 7.55%, 01/20/34^(a)(c)			250		239,161
Series 2021-2A, Class D, (3 mo. LIBOR US + 3.40%), 3.64%, 07/15/34^(a)(c)			250		248,164


Security		Par (000)		Value

Asset-Backed Securities (continued)
Penta CLO
Series 2022-11A, Class B, (3 mo. EURIBOR + 2.45%), 0.00%, 11/15/34^(a)(c)	EUR		2,720	$	3,009,000
Series 2022-11A, Class D, (3 mo. EURIBOR + 4.80%), 0.00%, 11/15/34^(a)(c)			2,110		2,334,187
Penta CLO 8 DAC, Series 2020-8A, Class ER, (3 mo. EURIBOR + 5.93%), 5.93%, 01/15/34^(a)(c)			500		547,583
Pikes Peak CLO 1, Series 2018-1A, Class A, (3 mo. LIBOR US + 1.18%), 1.44%, 07/24/31^(a)(c)	USD		975		972,161
Pikes Peak CLO 8, Series 2021-8A, Class A, (3 mo. LIBOR US + 1.17%), 1.42%, 07/20/34^(a)(c)			7,000		6,928,669
Post CLO Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 2.95%), 3.19%, 04/16/31^(a)(c)			500		494,809
PPM CLO 2 Ltd.
Series 2019-2A, Class BR, (3 mo. LIBOR US + 1.75%), 2.00%, 04/16/32^(a)(c)			500		495,182
Series 2019-2A, Class DR, (3 mo. LIBOR US + 3.40%), 3.65%, 04/16/32^(a)(c)			250		248,510
Preston Ridge Partners Mortgage LLC, Series 2020-4, Class A1, 2.95%, 10/25/25^(a)(b)			7,228		7,042,506
PRET LLC
Series 2021-NPL6, Class A1, 2.49%, 07/25/51^(a)(b)			15,197		14,738,301
Series 2021-RN4, Class A1, 2.49%, 10/25/51^(a)(c)			7,303		7,231,217
Prima Capital CRE Securitization Ltd.
Series 2015-4A, Class C, 4.00%, 08/24/49^(a)(d)			1,590		1,544,844
Series 2016-6A, Class C, 4.00%, 08/24/40^(a)(d)			7,170		7,060,299
Prodigy Finance DAC
Series 2021-1A, Class A, (1 mo. LIBOR US + 1.25%), 1.71%, 07/25/51^(a)(c)			6,080		6,066,822
Series 2021-1A, Class B, (1 mo. LIBOR US + 2.50%), 2.96%, 07/25/51^(a)(c)			1,260		1,259,763
Series 2021-1A, Class C, (1 mo. LIBOR US + 3.75%), 4.21%, 07/25/51^(a)(c)			730		730,994
Series 2021-1A, Class D, (1 mo. LIBOR US + 5.90%), 6.36%, 07/25/51^(a)(c)			500		500,201
Progress Residential Trust
Series 2020-SFR2, Class B, 2.58%, 06/17/37^(a)			550		525,372
Series 2020-SFR2, Class D, 3.87%, 06/17/37^(a)			1,886		1,848,009
Series 2020-SFR3, Class E, 2.30%, 10/17/27^(a)			2,870		2,582,277
Series 2020-SFR3, Class F, 2.80%, 10/17/27^(a)			5,410		4,914,648
Series 2021-SFR1, Class F, 2.76%, 04/17/38^(a)			2,900		2,497,396
Series 2021-SFR10, Class E2, 3.67%, 12/17/40^(a)			2,128		1,937,453
Series 2021-SFR10, Class F, 4.61%, 12/17/40^(a)			8,594		7,924,017
Series 2021-SFR2, Class F, 3.40%, 04/19/38^(a)			5,967		5,441,333
Series 2021-SFR3, Class F, 3.44%, 05/17/26^(a)			6,640		5,992,805


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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Progress Residential Trust
Series 2021-SFR4, Class F, 3.41%, 05/17/38^(a)	USD		8,330	$	7,631,066
Series 2021-SFR9, Class F, 4.05%, 11/17/40^(a)			1,342		1,148,726
Series 2022-SFR1, Class F, 4.88%, 02/17/41^(a)			2,617		2,396,128
Series 2022-SFR1, Class G, 5.52%, 02/17/41^(a)			2,617		2,388,900
Race Point IX CLO Ltd., Series 2015-9A, Class A1A2, (3 mo. LIBOR US + 0.94%), 1.18%, 10/15/30^(a)(c)			4,805		4,761,549
Race Point X CLO Ltd., Series 2016-10A, Class A1R, (3 mo. LIBOR US + 1.10%), 1.36%, 07/25/31^(a)(c)			5,472		5,434,120
Rad CLO 15 Ltd.
Series 2021-15A, Class A, (3 mo. LIBOR US + 1.09%), 1.34%, 01/20/34^(a)(c)			300		296,413
Series 2021-15A, Class B, (3 mo. LIBOR US + 1.65%), 1.90%, 01/20/34^(a)(c)			430		425,679
Series 2021-15A, Class E, (3 mo. LIBOR US + 6.20%), 6.45%, 01/20/34^(a)(c)			250		247,540
Rad CLO 2 Ltd., Series 2018-2A, Class AR, (3 mo. LIBOR US + 1.08%), 1.32%, 10/15/31^(a)(c)			3,255		3,228,085
Rad CLO 3 Ltd.
Series 2019-3A, Class BR, (3 mo. LIBOR US + 1.55%), 1.79%, 04/15/32^(a)(c)			250		246,951
Series 2019-3A, Class CR, (3 mo. LIBOR US + 1.85%), 2.09%, 04/15/32^(a)(c)			475		468,137
Rad CLO 5 Ltd., Series 2019-5A, Class AR, (3 mo. LIBOR US + 1.12%), 1.38%, 07/24/32^(a)(c)			3,770		3,736,064
Rad CLO 7 Ltd., Series 2020-7A, Class A1, (3 mo. LIBOR US + 1.20%), 1.44%, 04/17/33^(a)(c)			500		496,124
Rad CLO 9 Ltd., Series 2020-9A, Class B1, (3 mo. LIBOR US + 1.90%), 2.14%, 01/15/34^(a)(c)			250		248,657
RAMP Series Trust, Series 2004-RS7, Class A2A, (1 mo. LIBOR US + 0.62%), 0.81%, 07/25/34^(c)			1,506		1,269,112
Recette CLO Ltd., Series 2015-1A, Class BRR, (3 mo. LIBOR US + 1.40%), 1.65%, 04/20/34^(a)(c)			500		490,251
Regatta IX Funding Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.45%), 2.69%, 04/17/30^(a)(c)			250		249,541
Regatta VI Funding Ltd., Series 2016-1A, Class AR2, (3 mo. LIBOR US + 1.16%), 1.41%, 04/20/34^(a)(c)			4,700		4,664,750
Regatta VII Funding Ltd.
Series 2016-1A, Class A1R2, (3 mo. LIBOR US + 1.15%), 2.08%, 06/20/34^(a)(c)			1,600		1,583,626
Series 2016-1A, Class BR2, (3 mo. LIBOR US + 1.60%), 2.53%, 06/20/34^(a)(c)			500		493,492
Regatta VIII Funding Ltd., Series 2017-1A, Class B, (3 mo. LIBOR US + 1.70%), 1.94%, 10/17/30^(a)(c)			750		746,250
Regatta X Funding Ltd., Series 2017-3A, Class B, (3 mo. LIBOR US + 1.45%), 1.69%, 01/17/31^(a)(c)			250		247,091


Security		Par (000)		Value

Asset-Backed Securities (continued)
Regatta XIII Funding Ltd., Series 2018-2A, Class C, (3 mo. LIBOR US + 3.10%), 3.34%, 07/15/31^(a)(c)	USD		375	$	370,007
Regatta XVI Funding Ltd., Series 2019-2A, Class B, (3 mo. LIBOR US + 2.05%), 2.29%, 01/15/33^(a)(c)			250		248,315
Regatta XVIII Funding Ltd., Series 2021-1A, Class B, (3 mo. LIBOR US + 1.45%), 1.69%, 01/15/34^(a)(c)			750		737,581
Regatta XXIV Funding Ltd.
Series 2021-5A, Class D, (3 mo. LIBOR US + 3.10%), 3.19%, 01/20/35^(a)(c)			250		245,110
Series 2021-5A, Class E, (3 mo. LIBOR US + 6.80%), 6.89%, 01/20/35^(a)(c)			250		243,085
Regional Management Issuance Trust
Series 2020-1, Class C, 3.80%, 10/15/30^(a)			1,526		1,476,431
Series 2021-3, Class A, 0.00%, 10/17/33^(d)			21,460		20,440,650
Series 2022-1, Class A, 3.07%, 03/15/32^(a)			4,274		4,155,712
Series 2022-1, Class B, 3.71%, 03/15/32^(a)			810		785,683
Series 2022-1, Class C, 4.46%, 03/15/32^(a)			534		517,865
Series 2022-1, Class D, 6.72%, 03/15/32^(a)			1,695		1,645,657
Republic Finance Issuance Trust
Series 2021-A, Class A, 2.30%, 12/22/31^(a)			13,570		12,876,789
Series 2021-A, Class B, 2.80%, 12/22/31^(a)			3,000		2,822,206
Series 2021-A, Class C, 3.53%, 12/22/31^(a)			1,020		959,622
Series 2021-A, Class D, 5.23%, 12/22/31^(a)			1,440		1,356,713
Riserva CLO Ltd., Series 2016-3A, Class ARR, (3 mo. LIBOR US + 1.06%), 1.30%, 01/18/34^(a)(c)			5,690		5,601,692
Rockfield Park CLO DAC, Series 1X, Class D, (3 mo. EURIBOR + 5.95%), 5.95%, 07/16/34^(c)(e)	EUR		125		123,073
Rockford Tower CLO Ltd.
Series 2017-1A, Class AR2, (3 mo. LIBOR US + 1.10%), 1.35%, 04/20/34^(a)(c)	USD		11,327		11,160,217
Series 2017-1A, Class BR2A, (3 mo. LIBOR US + 1.65%), 1.90%, 04/20/34^(a)(c)			7,079		6,963,966
Series 2017-2A, Class BR, (3 mo. LIBOR US + 1.50%), 1.74%, 10/15/29^(a)(c)			8,271		8,196,702
Series 2017-2A, Class CR, (3 mo. LIBOR US + 1.90%), 2.14%, 10/15/29^(a)(c)			2,750		2,728,912
Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 3.09%, 10/15/29^(a)(c)			4,766		4,682,748
Series 2017-2A, Class ER, (3 mo. LIBOR US + 6.25%), 6.49%, 10/15/29^(a)(c)			1,750		1,651,397
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.19%), 1.44%, 10/20/30^(a)(c)			15,384		15,329,993
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.10%), 1.58%, 05/20/31^(a)(c)			1,953		1,943,235
Series 2018-1A, Class B, (3 mo. LIBOR US + 1.72%), 2.20%, 05/20/31^(a)(c)			1,500		1,489,019
Series 2018-1A, Class D, (3 mo. LIBOR US + 3.00%), 3.48%, 05/20/31^(a)(c)			750		741,844
Series 2018-2A, Class A, (3 mo. LIBOR US + 1.16%), 1.41%, 10/20/31^(a)(c)			1,000		995,818
Series 2018-2A, Class B, (3 mo. LIBOR US + 1.80%), 2.05%, 10/20/31^(a)(c)			500		497,036
Series 2019-2A, Class BR, (3 mo. LIBOR US + 1.65%), 2.13%, 08/20/32^(a)(c)			1,250		1,236,782
Series 2020-1A, Class B, (3 mo. LIBOR US + 1.80%), 2.05%, 01/20/32^(a)(c)			680		675,922


60		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Rockford Tower CLO Ltd.
Series 2021-1A, Class A1, (3 mo. LIBOR US + 1.17%), 1.42%, 07/20/34^(a)(c)	USD		7,760	$	7,679,956
Rockford Tower Europe CLO DAC
Series 2018-1A, Class E, (3 mo. EURIBOR + 5.36%), 5.36%, 12/20/31^(a)(c)	EUR		1,480		1,565,514
Series 2018-1X, Class B, (3 mo. EURIBOR + 1.85%), 1.85%, 12/20/31^(c)(e)			3,898		4,313,145
Series 2018-1X, Class C, (3 mo. EURIBOR + 2.47%), 2.47%, 12/20/31^(c)(e)			1,805		1,997,450
Romark CLO IV Ltd.
Series 2021-4A, Class C1, (3 mo. LIBOR US + 3.20%), 3.43%, 07/10/34^(a)(c)	USD		1,940		1,896,922
Series 2021-4A, Class C2, (3 mo. LIBOR US + 5.00%), 5.23%, 07/10/34^(a)(c)			1,000		992,892
Romark CLO Ltd., Series 2017-1A, Class B, (3 mo. LIBOR US + 2.15%), 2.41%, 10/23/30^(a)(c)			750		742,396
Romark WM-R Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), 1.28%, 04/20/31^(a)(c)			5,262		5,219,892
RR 1 LLC, Series 2017-1A, Class A1AB, (3 mo. LIBOR US + 1.15%), 1.39%, 07/15/35^(a)(c)			9,490		9,398,477
RR 3 Ltd., Series 2018-3A, Class A1R2, (3 mo. LIBOR US + 1.09%), 1.33%, 01/15/30^(a)(c)			4,130		4,105,679
RR 4 Ltd., Series 2018-4A, Class A2, (3 mo. LIBOR US + 1.55%), 1.79%, 04/15/30^(a)(c)			1,400		1,390,294
RR 5 Ltd., Series 2018-5A, Class A2, (3 mo. LIBOR US + 1.65%), 1.89%, 10/15/31^(a)(c)			1,000		996,724
RRE 5 Loan Management DAC, Series 5A, Class A2R, (3 mo. EURIBOR + 1.75%), 1.75%, 01/15/37^(a)(c)(d)	EUR		2,160		2,371,101
RRE 6 Loan Management DAC, Series 6X, Class D, (3 mo. EURIBOR + 6.25%), 6.25%, 04/15/35^(c)(e)			500		512,930
RRE 9 Loan Management DAC, Series 9A, Class A2, (3 mo. EURIBOR + 1.70%), 1.70%, 10/15/36^(a)(c)			3,130		3,405,435
SACO I Trust, Series 2006-9, Class A1, (1 mo. LIBOR US + 0.30%), 0.76%, 08/25/36^(c)	USD		49		48,485
Securitized Asset Backed Receivables LLC Trust, Series 2006-OP1, Class M6, (1 mo. LIBOR US + 1.01%), 1.46%, 10/25/35^(c)			340		311,942
Security National Mortgage Loan Trust, Series 2007-1A, Class 2A, (1 mo. LIBOR US + 0.35%), 0.81%, 04/25/37^(a)(c)			33		33,069
Service Experts Issuer LLC, Series 2021-1A, Class A, 2.67%, 02/02/32^(a)			7,275		6,961,491
SG Mortgage Securities Trust, Series 2006- FRE2, Class A2C, (1 mo. LIBOR US + 0.32%), 0.78%, 07/25/36^(c)			904		238,362
Shackleton CLO Ltd., Series 2019-14A, Class BR, (3 mo. LIBOR US + 1.80%), 2.05%, 07/20/34^(a)(c)			250		247,581
Signal Peak CLO 1 Ltd.
Series 2014-1A, Class AR3, (3 mo. LIBOR US + 1.16%), 1.40%, 04/17/34^(a)(c)			23,070		22,830,520
Series 2014-1A, Class BR3, (3 mo. LIBOR US + 1.80%), 2.04%, 04/17/34^(a)(c)			3,010		2,972,620
Signal Peak CLO 2 LLC
Series 2015-1A, Class BR2, (3 mo. LIBOR US + 1.50%), 1.75%, 04/20/29^(a)(c)			7,152		7,091,418


Security		Par (000)		Value

Asset-Backed Securities (continued)
Signal Peak CLO 2 LLC
Series 2015-1A, Class CR2, (3 mo. LIBOR US + 1.90%), 2.15%, 04/20/29^(a)(c)	USD		2,000	$	1,968,240
Signal Peak CLO 5 Ltd., Series 2018-5A, Class A, (3 mo. LIBOR US + 1.11%), 1.37%, 04/25/31^(a)(c)			3,550		3,528,667
Signal Peak CLO 8 Ltd.
Series 2020-8A, Class A, (3 mo. LIBOR US + 1.27%), 1.52%, 04/20/33^(a)(c)			3,010		2,986,610
Series 2020-8A, Class B, (3 mo. LIBOR US + 1.65%), 1.90%, 04/20/33^(a)(c)			1,000		986,435
Silver Creek CLO Ltd.
Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.24%), 1.49%, 07/20/30^(a)(c)			5,444		5,428,308
Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.30%), 2.55%, 07/20/30^(a)(c)			500		496,758
Sixth Street CLO XIX Ltd., Series 2021-19A, Class A, (3 mo. LIBOR US + 1.10%), 1.35%, 07/20/34^(a)(c)			16,995		16,737,196
Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3 mo. LIBOR US + 6.20%), 6.45%, 01/20/34^(a)(c)			625		619,732
Sixth Street CLO XVIII Ltd., Series 2021-18A, Class E, (3 mo. LIBOR US + 6.50%), 6.75%, 04/20/34^(a)(c)			1,500		1,484,839
Sixth Street CLO XX Ltd., Series 2021-20A, Class A1, (3 mo. LIBOR US + 1.16%), 1.41%, 10/20/34^(a)(c)			250		247,130
SLM Private Credit Student Loan Trust Series 2004-A, Class A3, (3 mo. LIBOR US + 0.40%), 1.23%, 06/15/33^(c)			1,099		1,074,122
Series 2004-B, Class A3, (3 mo. LIBOR US + 0.33%), 1.16%, 03/15/24^(c)			2,325		2,314,121
SLM Private Education Loan Trust, Series 2010-C, Class A5, (1 mo. LIBOR US + 4.75%), 5.15%, 10/15/41^(a)(c)			17,085		18,937,338
SMB Private Education Loan Trust
Series 2015-B, Class B, 3.50%, 12/17/40^(a)			2,480		2,400,502
Series 2020-B, Class B, 2.76%, 07/15/53^(a)			2,440		2,266,000
Series 2020-PTA, Class A2A, 1.60%, 09/15/54^(a)			16,547		15,834,675
Series 2020-PTA, Class B, 2.50%, 09/15/54^(a)			6,740		6,153,956
Series 2021-A, Class B, 2.31%, 01/15/53^(a)			4,670		4,361,377
Series 2021-A, Class C, 2.99%, 01/15/53^(a)			11,470		10,694,964
Series 2021-A, Class D1, 3.86%, 01/15/53^(a)			6,160		5,887,881
Series 2021-A, Class D2, 3.86%, 01/15/53^(a)			3,360		3,197,445
Series 2021-C, Class B, 2.30%, 01/15/53^(a)			880		821,499
Series 2021-C, Class C, 3.00%, 01/15/53^(a)			730		696,058
Series 2021-C, Class D, 3.93%, 01/15/53^(a)			350		330,553
SoFi RR Funding IV Trust, Series 2021-1, Class A, 2.98%, 12/31/25^(a)(b)(d)			5,827		5,768,697
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.07%), 1.34%, 01/26/31^(a)(c)			825		819,594
Sound Point CLO XII Ltd., Series 2016-2A, Class CR2, (3 mo. LIBOR US + 2.05%), 2.30%, 10/20/28^(a)(c)			4,500		4,481,062
Sound Point CLO XV Ltd.
Series 2017-1A, Class ARR, (3 mo. LIBOR US + 0.90%), 1.16%, 01/23/29^(a)(c)			1,352		1,343,784


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

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Sound Point CLO XV Ltd.
Series 2017-1A, Class BR, (3 mo. LIBOR US + 1.50%), 1.76%, 01/23/29^(a)(c)	USD		350	$	347,034
Sound Point CLO XVIII Ltd., Series 2017-4A, Class B, (3 mo. LIBOR US + 1.80%), 2.05%, 01/21/31^(a)(c)			500		485,451
Sound Point CLO XXII Ltd., Series 2019-1A, Class AR, (3 mo. LIBOR US + 1.08%), 1.33%, 01/20/32^(a)(c)			600		594,761
Sound Point CLO XXIII Ltd., Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.17%), 1.41%, 07/15/34^(a)(c)			19,610		19,403,220
Sound Point CLO XXVI Ltd., Series 2020-1A, Class DR, (3 mo. LIBOR US + 3.35%), 3.60%, 07/20/34^(a)(c)			1,430		1,429,980
Sound Point CLO XXVIII Ltd., Series 2020-3A, Class A1, (3 mo. LIBOR US + 1.28%), 1.54%, 01/25/32^(a)(c)			2,065		2,059,837
Sound Point Euro CLO, Series 7A, Class E, (3 mo. EURIBOR + 6.27%), 6.27%, 01/25/35^(a)(c)	EUR		1,000		1,005,162
Sound Point Euro CLO II Funding DAC, Series 2A, Class ER, (3 mo. EURIBOR + 6.34%), 6.34%, 01/26/36^(a)(c)			1,600		1,634,405
Soundview Home Loan Trust, Series 2004- WMC1, Class M2, (1 mo. LIBOR US + 0.80%), 1.25%, 01/25/35^(c)	USD		39		35,718
St. Paul’s CLO VI DAC, Series 6A, Class DRRE, (3 mo. EURIBOR + 3.30%), 3.30%, 05/20/34^(a)(c)	EUR		1,250		1,334,087
St. Paul’s CLO XII DAC, Series 12X, Class B1, (3 mo. EURIBOR + 1.60%), 1.60%, 04/15/33^(c)(e)			1,420		1,540,745
STAR Trust, Series 2021-SFR1, Class F, (1 mo. LIBOR US + 2.40%), 2.84%, 04/17/38^(a)(c)	USD		1,030		993,782
Steele Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.25%), 1.49%, 10/15/30^(a)(c)			4,140		4,124,146
Stewart Park CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.80%), 2.04%, 01/15/30^(a)(c)			1,630		1,592,729
Stratus CLO Ltd.
Series 2021-1A, Class E, (3 mo. LIBOR US + 5.00%), 5.09%, 12/29/29^(a)(c)			1,000		919,665
Series 2021-1A, Class SUB, 0.00%, 12/29/29^(a)(c)			1,000		779,600
Series 2021-2A, Class E, (3 mo. LIBOR US + 5.75%), 5.84%, 12/28/29^(a)(c)			250		239,369
Series 2021-3A, Class C, (3 mo. LIBOR US + 2.05%), 2.14%, 12/29/29^(a)(c)			250		244,957
Series 2021-3A, Class E, (3 mo. LIBOR US + 5.75%), 5.84%, 12/29/29^(a)(c)			250		239,472
Structured Asset Securities Corp. Assistance Loan Trust, Series 2003-AL2, Class A, 3.36%, 01/25/31^(a)			146		140,138
Sutton Park CLO DAC, Series 1X, Class BE, (3 mo. EURIBOR + 2.35%), 2.35%, 11/15/31^(c)(e)	EUR		940		1,019,158
Symphony CLO XVI Ltd., Series 2015-16A, Class AR, (3 mo. LIBOR US + 1.15%), 1.39%, 10/15/31^(a)(c)	USD		450		447,667


Security		Par (000)		Value

Asset-Backed Securities (continued)
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (3 mo. LIBOR US + 0.88%), 1.12%, 04/15/28^(a)(c)	USD		1,926	$	1,916,530
Symphony CLO XXII Ltd., Series 2020-22A, Class B, (3 mo. LIBOR US + 1.70%), 1.94%, 04/18/33^(a)(c)			250		247,738
Symphony CLO XXIII Ltd.
Series 2020-23A, Class BR, (3 mo. LIBOR US + 1.60%), 1.84%, 01/15/34^(a)(c)			500		494,717
Series 2020-23A, Class CR, (3 mo. LIBOR US + 2.00%), 2.24%, 01/15/34^(a)(c)			500		495,410
Series 2020-23A, Class ER, (3 mo. LIBOR US + 6.15%), 6.39%, 01/15/34^(a)(c)			250		247,319
Symphony CLO XXIV Ltd., Series 2020-24A, Class A, (3 mo. LIBOR US + 1.20%), 1.46%, 01/23/32^(a)(c)			250		248,122
Symphony CLO XXVI Ltd., Series 2021-26A, Class AR, (3 mo. LIBOR US + 1.08%), 1.33%, 04/20/33^(a)(c)			2,377		2,354,125
TCI-Flatiron CLO Ltd., Series 2017-1A, Class AR, (3 mo. LIBOR US + 0.96%), 1.43%, 11/18/30^(a)(c)			4,180		4,141,531
TCW CLO AMR Ltd., Series 2019-1A, Class ASNR, (3 mo. LIBOR US + 1.22%), 1.68%, 08/16/34^(a)(c)			250		246,868
TCW CLO Ltd., Series 2020-1A, Class DRR, (3 mo. LIBOR US + 3.40%), 3.65%, 04/20/34^(a)(c)			1,100		1,070,601
TIAA CLO III Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.15%), 1.39%, 01/16/31^(a)(c)			1,467		1,459,029
TICP CLO III-2 Ltd., Series 2018-3R, Class B, (3 mo. LIBOR US + 1.35%), 1.60%, 04/20/28^(a)(c)			500		497,671
TICP CLO IX Ltd.
Series 2017-9A, Class A, (3 mo. LIBOR US + 1.14%), 1.39%, 01/20/31^(a)(c)			3,080		3,062,727
Series 2017-9A, Class B, (3 mo. LIBOR US + 1.60%), 1.85%, 01/20/31^(a)(c)			450		446,704
Series 2017-9A, Class D, (3 mo. LIBOR US + 2.90%), 3.15%, 01/20/31^(a)(c)			500		492,120
TICP CLO V Ltd., Series 2016-5A, Class ER, (3 mo. LIBOR US + 5.75%), 5.99%, 07/17/31^(a)(c)			1,000		947,898
TICP CLO VI Ltd.
Series 2016-6A, Class AR2, (3 mo. LIBOR US + 1.12%), 1.36%, 01/15/34^(a)(c)			4,870		4,808,408
Series 2016-6A, Class BR2, (3 mo. LIBOR US + 1.50%), 1.74%, 01/15/34^(a)(c)			6,270		6,175,797
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 7.29%, 04/15/33^(a)(c)			1,000		975,034
TICP CLO XI Ltd.
Series 2018-11A, Class A, (3 mo. LIBOR US + 1.18%), 1.43%, 10/20/31^(a)(c)			750		747,375
Series 2018-11A, Class B, (3 mo. LIBOR US + 1.73%), 1.98%, 10/20/31^(a)(c)			250		248,783
Series 2018-11A, Class D, (3 mo. LIBOR US + 3.05%), 3.30%, 10/20/31^(a)(c)			250		245,851
TICP CLO XII Ltd., Series 2018-12A, Class AR, (3 mo. LIBOR US + 1.17%), 1.41%, 07/15/34^(a)(c)			500		494,858


62		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
TICP CLO XV Ltd., Series 2020-15A, Class D, (3 mo. LIBOR US + 3.15%), 3.40%, 04/20/33^(a)(c)	USD		500	$	499,994
Trestles CLO III Ltd.
Series 2020-3A, Class A1, (3 mo. LIBOR US + 1.33%), 1.58%, 01/20/33^(a)(c)			8,860		8,820,962
Series 2020-3A, Class B1, (3 mo. LIBOR US + 1.85%), 2.10%, 01/20/33^(a)(c)			2,590		2,574,181
Series 2020-3A, Class C, (3 mo. LIBOR US + 2.25%), 2.50%, 01/20/33^(a)(c)			750		745,345
Series 2020-3A, Class E, (3 mo. LIBOR US + 6.50%), 6.75%, 01/20/33^(a)(c)			500		492,528
Trestles CLO IV Ltd., Series 2021-4A, Class A, (3 mo. LIBOR US + 1.17%), 1.43%, 07/21/34^(a)(c)			6,950		6,873,550
Trestles CLO Ltd.
Series 2017-1A, Class A1R, (3 mo. LIBOR US + 0.99%), 1.25%, 04/25/32^(a)(c)			250		246,289
Series 2017-1A, Class CR, (3 mo. LIBOR US + 2.90%), 3.16%, 04/25/32^(a)(c)			250		244,839
Trestles CLO V Ltd.
Series 2021-5A, Class A1, (3 mo. LIBOR US + 1.17%), 1.33%, 10/20/34^(a)(c)			6,950		6,866,600
Series 2021-5A, Class E, (3 mo. LIBOR US + 6.35%), 6.51%, 10/20/34^(a)(c)			250		247,650
Tricon American Homes, Series 2020-SFR1, Class D, 2.55%, 07/17/38^(a)			6,675		6,103,240
Tricon American Homes Trust
Series 2017-SFR2, Class F, 5.10%, 01/17/36^(a)			8,715		8,655,389
Series 2018-SFR1, Class E, 4.56%, 05/17/37^(a)			890		857,082
Series 2018-SFR1, Class F, 4.96%, 05/17/37^(a)			610		595,580
Tricon Residential Trust
Series 2021-SFR1, Class F, 3.69%, 07/17/38^(a)			4,805		4,441,298
Series 2021-SFR1, Class G, 4.13%, 07/17/38^(a)			3,324		3,012,713
Trimaran Cavu Ltd.
Series 2019-1A, Class B, (3 mo. LIBOR US + 2.20%), 2.45%, 07/20/32^(a)(c)			750		744,957
Series 2019-1A, Class C1, (3 mo. LIBOR US + 3.15%), 3.40%, 07/20/32^(a)(c)			500		499,850
Series 2019-1A, Class D, (3 mo. LIBOR US + 4.15%), 4.40%, 07/20/32^(a)(c)			500		492,722
Series 2019-1A, Class E, (3 mo. LIBOR US + 7.04%), 7.29%, 07/20/32^(a)(c)			250		243,662
Trimaran CAVU Ltd.
Series 2019-2A, Class C, (3 mo. LIBOR US + 4.72%), 4.96%, 11/26/32^(a)(c)			500		497,221
Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.25%), 3.38%, 10/25/34^(a)(c)			250		245,246
Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2, (3 mo. LIBOR US + 1.40%), 1.64%, 10/18/31^(a)(c)			970		973,257
Trinitas CLO XIV Ltd.
Series 2020-14A, Class B, (3 mo. LIBOR US + 2.00%), 2.26%, 01/25/34^(a)(c)			3,460		3,428,279
Series 2020-14A, Class C, (3 mo. LIBOR US + 3.00%), 3.26%, 01/25/34^(a)(c)			2,290		2,289,449


Security		Par (000)		Value

Asset-Backed Securities (continued)
Upstart Pass-Through Trust
Series 2020-ST5, Class A, 3.00%, 12/20/26^(a)	USD		736	$	717,838
Series 2021-ST4, Class A, 2.00%, 07/20/27^(a)			1,061		1,024,434
Series 2021-ST5, Class A, 2.00%, 07/20/27^(a)			541		522,510
Series 2022-ST1, Class A, 2.60%, 03/20/30^(a)			4,365		4,257,384
Venture CLO Ltd., Series 2018-32A, Class A2A, (3 mo. LIBOR US + 1.07%), 1.31%, 07/18/31^(a)(c)			1,480		1,468,936
Venture XVIII CLO Ltd., Series 2014-18A, Class AR, (3 mo. LIBOR US + 1.22%), 1.46%, 10/15/29^(a)(c)			9,820		9,790,421
VERDE CLO Ltd., Series 2019-1A, Class AR, (3 mo. LIBOR US + 1.10%), 1.34%, 04/15/32^(a)(c)			250		247,721
VOLT CVI LLC, Series 2021-NP12, Class A1, 2.73%, 12/26/51^(a)(b)			14,790		14,373,292
Voya CLO Ltd.
Series 2014-4A, Class A1RA, (3 mo. LIBOR US + 1.10%), 1.34%, 07/14/31^(a)(c)			248		246,004
Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.19%), 1.44%, 10/20/31^(a)(c)			250		249,735
Series 2017-1A, Class A1R, (3 mo. LIBOR US + 0.95%), 1.19%, 04/17/30^(a)(c)			500		496,355
Series 2017-3A, Class A1R, (3 mo. LIBOR US + 1.04%), 1.29%, 04/20/34^(a)(c)			2,178		2,153,264
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.13%), 1.37%, 10/15/30^(a)(c)			7,140		7,107,509
Series 2017-4A, Class B, (3 mo. LIBOR US + 1.45%), 1.69%, 10/15/30^(a)(c)			250		247,024
Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.30%), 1.55%, 04/19/31^(a)(c)			250		246,718
Series 2019-1A, Class AR, (3 mo. LIBOR US + 1.06%), 1.30%, 04/15/31^(a)(c)			10,079		10,002,843
Voya Euro CLO II DAC
Series 2A, Class AR, (3 mo. EURIBOR + 0.96%), 0.96%, 07/15/35^(a)(c)(d)	EUR		6,060		6,673,708
Series 2A, Class CR, (3 mo. EURIBOR + 2.15%), 2.15%, 07/15/35^(a)(c)(d)			750		812,057
Voya Euro CLO V DAC
Series 5A, Class B1, (3 mo. EURIBOR + 1.75%), 1.75%, 04/15/35^(a)(c)			1,970		2,143,323
Series 5A, Class D, (3 mo. EURIBOR + 3.10%), 3.10%, 04/15/35^(a)(c)			500		531,844
Series 5A, Class E, (3 mo. EURIBOR + 5.81%), 5.81%, 04/15/35^(a)(c)			850		869,348
Wachovia Asset Securitization Issuance II LLC Trust, Series 2007-HE2A, Class A, (1 mo. LIBOR US + 0.13%), 0.59%, 07/25/37^(a)(c)	USD		907		896,914
Washington Mutual Asset-Backed Certificates Trust
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.36%), 0.82%, 09/25/36^(c)			4,387		1,627,064
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.16%), 0.61%, 10/25/36^(c)			1,434		1,199,108
Series 2007-HE3, Class 2A3, (1 mo. LIBOR US + 0.24%), 0.70%, 05/25/37^(c)			1,063		981,508


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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Wellfleet CLO Ltd., Series 2017-3A, Class B, (3 mo. LIBOR US + 1.95%), 2.19%, 01/17/31^(a)(c)	USD		750	$	734,324
Whitebox CLO I Ltd.
Series 2019-1A, Class CR, (3 mo. LIBOR US + 3.05%), 3.31%, 07/24/32^(a)(c)			4,120		4,033,374
Series 2019-1A, Class DR, (3 mo. LIBOR US + 6.40%), 6.66%, 07/24/32^(a)(c)			3,300		3,100,549
Whitebox CLO II Ltd.
Series 2020-2A, Class A1R, (3 mo. LIBOR US + 1.22%), 1.48%, 10/24/34^(a)(c)			1,900		1,874,844
Series 2020-2A, Class BR, (3 mo. LIBOR US + 1.75%), 2.01%, 10/24/34^(a)(c)			1,470		1,452,702
Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.35%), 3.61%, 10/24/34^(a)(c)			1,470		1,438,669
Whitebox CLO III Ltd.
Series 2021-3A, Class D, (3 mo. LIBOR US + 3.35%), 3.47%, 10/15/34^(a)(c)			1,250		1,235,762
Series 2021-3A, Class E, (3 mo. LIBOR US + 6.85%), 6.97%, 10/15/34^(a)(c)			1,000		990,587
Wind River CLO Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.05%), 1.29%, 07/15/28^(a)(c)			1,439		1,439,084
Woodmont Trust, Series 2017-2A, Class A1R, (3 mo. LIBOR US + 1.67%), 1.92%, 04/20/33^(a)(c)			9,340		9,361,872
Yale Mortgage Loan Trust, Series 2007-1, Class A, (1 mo. LIBOR US + 0.40%), 0.86%, 06/25/37^(a)(c)			2,220		871,268
York CLO 1 Ltd.
Series 2014-1A, Class BRR, (3 mo. LIBOR US + 1.65%), 1.91%, 10/22/29^(a)(c)			750		745,303
Series 2014-1A, Class DRR, (3 mo. LIBOR US + 3.01%), 3.27%, 10/22/29^(a)(c)			250		248,611


Total Asset-Backed Securities — 12.8% (Cost: $2,762,491,284)					2,696,907,819


		Shares

Common Stocks

Aerospace & Defense — 0.0%
Astra Space, Inc. (Acquired 8/13/21, cost $6,050,300)^(f)(g)			605,030		2,335,416
Rocket Lab U.S.A., Inc.^(f)			356,061		2,866,291


					5,201,707

Chemicals — 0.1%
CF Industries Holdings, Inc.			43,687		4,502,382
Element Solutions, Inc.			152,789		3,346,079
Mosaic Co.			35,655		2,371,058


					10,219,519

Diversified Financial Services — 0.1%
Crown PropTech Acquisitions^(f)			385,188		3,836,473
Crown PropTech Acquisitions^(d)(f)			147,660		484,325
KINS Technology Group, Inc.^(f)			798,484		8,048,719
KINS Technology Group, Inc.^(d)(f)			299,400		209,580
Pivotal Investment Corp. III^(f)			155,262		1,530,883
Proof Acquisition Corp. I^(d)(f)			43,947		46,584
Rotor Acquisition Corp.^(d)(f)			68,776		306,053


Security	Shares		Value

Diversified Financial Services (continued)
Tishman Speyer Innovation Corp. II^(f)		99,570	$	975,786
TPB Acquisition Corp. I, Class A^(f)		238,684		2,322,395


				17,760,798

Diversified Telecommunication Services — 0.0%
Frontier Communications Parent, Inc.^(f)		208,073		5,757,380


Energy Equipment & Services — 0.0%
Vantage Drilling Co.^(f)		311,000		—


Entertainment — 0.0%
Lions Gate Entertainment Corp., Class A^(f)		322,025		5,232,906
Playstudios, Inc. (Acquired 7/30/21, cost $6,614,230)^(f)(g)		661,423		3,207,902


				8,440,808

Equity Real Estate Investment Trusts (REITs) — 0.1%
DiamondRock Hospitality Co.^(f)		448,690		4,531,769
Park Hotels & Resorts, Inc.		211,699		4,134,481
Service Properties Trust		460,014		4,061,924
Sonder Holdings, Inc., Class A (Acquired 2/09/22, cost $5,889,917)^(f)(g)		655,861		3,115,340
Sunstone Hotel Investors, Inc.^(f)		193,160		2,275,425
Xenia Hotels & Resorts, Inc.^(f)		247,348		4,771,343


				22,890,282

Health Care Providers & Services — 0.1%
Cano Health, Inc. (Acquired 7/21/21, cost $5,389,680)^(f)(g)		538,968		3,422,447
CareMax Corp. (Acquired 7/15/21, cost $3,556,720)^(f)(g)		355,672		2,656,870
HCA Healthcare, Inc.		9,971		2,498,932
Tenet Healthcare Corp.^(f)		25,710		2,210,031


				10,788,280

Hotels, Restaurants & Leisure — 0.0%
Caesars Entertainment, Inc.^(f)		29,128		2,253,342


Household Durables — 0.0%
Century Communities, Inc.		33,731		1,806,970
Taylor Morrison Home Corp.^(f)		101,170		2,753,847


				4,560,817

Independent Power and Renewable Electricity Producers — 0.0%
Altus Power, Inc. (Acquired 1/21/22, cost $3,683,000)^(f)(g)		368,300		2,736,469


Interactive Media & Services — 0.0%
Genius Sports Ltd.^(f)		613,543		2,822,298


Internet & Direct Marketing Retail — 0.0%
Amazon.com, Inc.^(f)		2,447		7,977,098


Machinery — 0.1%
Sarcos Technology & Robotics (Acquired 10/21/21, cost $27,841,430)^(f)(g)		2,784,143		18,514,551
Sarcos Technology & Robotics Corp.^(f)(h)		252,296		1,677,768


				20,192,319

Media — 0.0%
Altice U.S.A., Inc., Class A^(f)		70,556		880,539


Metals & Mining — 0.0%
Northern Graphite Corp.^(f)		99,612		62,947


Oil, Gas & Consumable Fuels — 0.2%
California Resources Corp.⁽ⁱ⁾		581,346		26,003,606
Chesapeake Energy Corp.		26,158		2,275,746
Green Plains, Inc.^(f)		172,197		5,339,829


				33,619,181


64		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Shares		Value

Professional Services — 0.0%
Planet Labs PBC, Class A (Acquired 1/06/22, cost $4,680,000)^(f)(g)			468,000	$	2,377,440


Real Estate Management & Development — 0.1%
Forestar Group, Inc.^(f)			64,597		1,147,243
Offerpad Solutions, Inc., Class A (Acquired 10/1/21, cost $5,895,570)^(f)(g)			589,557		2,965,471
Opendoor Technologies, Inc.^(f)(h)			833,000		7,205,450


					11,318,164

Software — 0.0%
Informatica, Inc., Class A^(f)(h)			191,500		3,780,210
Latch, Inc. (Acquired 6/04/21, cost $4,118,490)^(f)(g)			411,849		1,758,595


					5,538,805

Technology Hardware, Storage & Peripherals — 0.0%
Western Digital Corp.^(f)			47,635		2,365,078


Total Common Stocks — 0.8% (Cost: $200,004,315)					177,763,271


		Par (000)

Corporate Bonds

Aerospace & Defense — 1.1%
BAE Systems Holdings, Inc., 3.85%, 12/15/25^(a)	USD		10,484		10,519,559
BAE Systems PLC, 3.40%, 04/15/30^(a)			17,757		17,497,159
Boeing Co.
2.85%, 10/30/24			2,714		2,701,613
5.81%, 05/01/50			1,878		2,168,596
5.93%, 05/01/60			2,036		2,350,737
Embraer Netherlands Finance BV
5.05%, 06/15/25			1,747		1,764,470
5.40%, 02/01/27			947		948,776
6.95%, 01/17/28^(a)			1,027		1,083,036
Huntington Ingalls Industries, Inc.
3.84%, 05/01/25			5,245		5,301,027
2.04%, 08/16/28^(a)			1,291		1,167,042
4.20%, 05/01/30			7,846		8,160,210
L3Harris Technologies, Inc.
4.40%, 06/15/28			13,382		13,916,508
4.40%, 06/15/28			6,041		6,282,292
2.90%, 12/15/29			2,864		2,752,999
1.80%, 01/15/31			13,168		11,441,342
Lockheed Martin Corp.
3.60%, 03/01/35			14,240		14,388,015
3.80%, 03/01/45			1,981		2,022,804
2.80%, 06/15/50			4,958		4,339,821
Northrop Grumman Corp.
3.25%, 01/15/28			21,091		21,091,958
4.03%, 10/15/47			5,580		5,871,146
5.25%, 05/01/50			7,520		9,371,002
Raytheon Technologies Corp.
3.15%, 12/15/24			4,040		4,057,674
7.20%, 08/15/27			2,353		2,800,640
7.00%, 11/01/28			7,205		8,637,670
4.13%, 11/16/28			27,218		28,451,046
2.15%, 05/18/30	EUR		4,391		4,857,981
2.38%, 03/15/32	USD		7,351		6,748,429
4.50%, 06/01/42			712		785,119
4.15%, 05/15/45			1,895		1,941,283
2.82%, 09/01/51			8,774		7,378,854


Security		Par (000)		Value

Aerospace & Defense (continued)
Raytheon Technologies Corp. 3.03%, 03/15/52	USD		16,169	$	14,166,117
Textron, Inc.
3.90%, 09/17/29			8,086		8,228,717
2.45%, 03/15/31			2,258		2,044,303


					235,237,945

Air Freight & Logistics — 0.0%
FedEx Corp., 2.40%, 05/15/31			2,037		1,859,374
GXO Logistics, Inc.
1.65%, 07/15/26^(a)			1,030		929,884
2.65%, 07/15/31^(a)			5,405		4,686,675


					7,475,933

Airlines — 0.6%
Air Canada Pass-Through Trust
Series 2017-1, Class AA, 3.30%, 01/15/30^(a)			1,805		1,721,744
Series 2017-1, Class B, 3.70%, 01/15/26^(a)			16		15,691
Allegiant Travel Co., 8.50%, 02/05/24^(a)			5,339		5,579,255
American Airlines Pass-Through Trust 4.95%, 01/15/23			1,067		1,063,601
4.00%, 12/15/25^(d)			1,254		1,231,809
3.50%, 12/15/27^(d)			4,143		4,018,649
Series 2015-2, Class AA, 3.60%, 09/22/27			941		914,038
Series 2015-2, Class B, 4.40%, 09/22/23			5,002		4,870,213
Series 2016-1, Class AA, 3.58%, 01/15/28			3,761		3,573,140
Series 2016-1, Class B, 5.25%, 01/15/24			3,605		3,516,903
Series 2016-2, Class AA, 3.20%, 06/15/28			1,738		1,649,783
Series 2016-3, Class AA, 3.00%, 10/15/28			10,352		9,618,803
Series 2017-1, Class AA, 3.65%, 02/15/29			1,324		1,282,467
Series 2017-1, Class B, 4.95%, 02/15/25			1,047		1,003,586
Series 2019-1, Class AA, 3.15%, 02/15/32			4,708		4,421,969
Series 2019-1, Class B, 3.85%, 02/15/28			4,162		3,695,094
American Airlines, Inc.
4.13%, 06/15/22^(d)			15,927		15,907,888
4.87%, 10/22/23^(d)			687		683,154
Delta Air Lines Pass-Through Trust, Series 2019-1, Class AA, 3.20%, 04/25/24			10,553		10,561,989
Gol Equity Finance SA, 3.75%, 07/15/24^(a)(j)			790		644,838
Gol Finance, Inc., 7.00%, 01/31/25^(a)			4,700		3,848,125
Sun Country Airlines
Series 2019-1B, 4.70%, 12/15/25^(d)			1,932		1,871,523
Series 2019-1C, 7.00%, 12/15/25^(d)			1,821		1,784,634
Series 2022-1A, 4.84%, 03/15/31			4,740		4,740,000
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A, 4.20%, 03/15/27^(a)			1,175		963,800
United Airlines Pass-Through Trust Series 2014-1, Class A, 4.00%, 04/11/26			3,405		3,417,671
Series 2014-1, Class B, 4.75%, 04/11/22			275		275,217
Series 2014-2, Class B, 4.63%, 09/03/22			311		312,649
Series 2015-1, Class AA, 3.45%, 12/01/27			1,340		1,322,931
Series 2016-1, Class AA, 3.10%, 07/07/28			522		505,904
Series 2016-2, Class AA, 2.88%, 10/07/28			1,646		1,559,612
Series 2016-2, Class B, 3.65%, 10/07/25			201		187,944
Series 2018-1, Class AA, 3.50%, 03/01/30			1,117		1,079,875
Series 2019-2, Class AA, 2.70%, 05/01/32			3,148		2,881,965
Series 2019-2, Class B, 3.50%, 05/01/28			3,220		2,908,637
Series 2020-1, Class A, 5.88%, 10/15/27			19,120		19,791,156
Series 2020-1, Class B, 4.88%, 01/15/26			3,344		3,300,034


					126,726,291

Auto Components — 0.0%
Dana, Inc., 4.25%, 09/01/30			870		796,224


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

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Auto Components (continued)
Metalsa S A P I De CV, 3.75%, 05/04/31^(e)	USD		1,261	$	1,086,036
Nemak SAB de CV, 3.63%, 06/28/31^(e)			1,261		1,089,031


					2,971,291

Automobiles — 0.2%
BMW Finance NV, 2.85%, 08/14/29^(a)			2,107		2,035,301
Ford Motor Co., 3.25%, 02/12/32			2,396		2,139,939
General Motors Co., 6.13%, 10/01/25			6,381		6,850,140
Lightning eMotors, Inc., 7.50%, 05/15/24^(a)(j)			2,487		2,148,542
Nissan Motor Co. Ltd., 4.81%, 09/17/30^(a)			30,687		30,421,716
TML Holdings Pte Ltd., 4.35%, 06/09/26^(e)			1,511		1,424,118


					45,019,756

Banks — 4.8%
Banco Espirito Santo SA 2.63%, 05/08/17^(e)(f)(k)	EUR		400		64,163
4.75%, 01/15/18^(e)(f)(k)			2,200		352,894
4.00%, 01/21/19^(e)(f)(k)			6,300		1,010,559
Banco GNB Sudameris SA, 7.50%, 04/16/31^(a)	USD		680		627,742
Banco Santander SA
2.71%, 06/27/24			17,000		16,819,641
1.85%, 03/25/26			9,400		8,785,816
3.31%, 06/27/29			4,400		4,260,868
Banco Votorantim SA, 4.00%, 09/24/22^(a)			1,258		1,266,885
Bangkok Bank PCL
3.73%, 09/25/34^(e)			600		559,425
3.47%, 09/23/36^(e)			1,130		1,010,491
Bank of America Corp.
3.00%, 12/20/23			3,584		3,593,049
3.55%, 03/05/24			6,568		6,605,499
0.81%, 10/24/24			17,714		17,138,536
4.00%, 01/22/25			4,268		4,346,146
2.46%, 10/22/25			57,084		56,090,768
3.37%, 01/23/26			7,675		7,678,874
4.45%, 03/03/26			7,276		7,524,753
3.38%, 04/02/26			37,621		37,570,352
3.56%, 04/23/27			9,646		9,673,467
1.73%, 07/22/27			25,938		24,088,231
3.82%, 01/20/28			8,622		8,721,461
2.55%, 02/04/28			39,948		38,169,628
3.71%, 04/24/28			15,339		15,437,097
3.59%, 07/21/28			4,479		4,486,796
3.97%, 03/05/29			15,446		15,681,054
4.27%, 07/23/29			9,689		9,996,172
3.97%, 02/07/30			12,139		12,334,924
3.19%, 07/23/30			2,132		2,062,975
2.59%, 04/29/31			7,000		6,457,965
1.92%, 10/24/31			11,536		10,021,067
2.65%, 03/11/32			12,464		11,431,427
2.30%, 07/21/32			21,149		18,822,930
2.57%, 10/20/32			15,611		14,185,146
2.97%, 02/04/33			25,869		24,239,066
2.68%, 06/19/41			13,912		11,746,712
BNP Paribas SA, 2.59%, 01/20/28^(a)			14,925		14,045,988
BPCE SA, 2.70%, 10/01/29^(a)			9,322		8,852,378
Citigroup, Inc.
3.29%, 03/17/26			34,237		34,121,478
3.07%, 02/24/28			48,500		47,236,998
3.67%, 07/24/28			23,560		23,565,212
2.98%, 11/05/30			46,263		43,880,853
3.06%, 01/25/33			2,320		2,167,654
Citizens Financial Group, Inc., 3.25%, 04/30/30			2,910		2,844,062
Danske Bank A/S 1.17%, 12/08/23^(a)			3,435		3,390,683


Security		Par (000)		Value

Banks (continued)
Danske Bank A/S
5.38%, 01/12/24^(a)	USD		10,356	$	10,677,443
3.24%, 12/20/25^(a)			2,142		2,110,493
1.62%, 09/11/26^(a)			3,505		3,241,032
Grupo Aval Ltd., 4.75%, 09/26/22^(e)			1,073		1,077,694
HSBC Holdings PLC
2.25%, 11/22/27			11,394		10,616,208
4.58%, 06/19/29			7,160		7,366,941
3.97%, 05/22/30			9,719		9,722,934
2.80%, 05/24/32			4,699		4,269,697
ICICI Bank Ltd., 3.80%, 12/14/27^(e)			1,900		1,879,575
ING Groep NV, 4.63%, 01/06/26^(a)			10,727		11,086,629
Intesa Sanpaolo SpA, 3.13%, 07/14/22^(a)			2,686		2,689,997
JPMorgan Chase & Co.
4.02%, 12/05/24			9,414		9,564,704
3.22%, 03/01/25			8,357		8,386,592
2.01%, 03/13/26			7,098		6,842,950
3.78%, 02/01/28			31,394		31,795,715
2.95%, 02/24/28			23,334		22,771,096
3.54%, 05/01/28			31,691		31,773,924
2.18%, 06/01/28			2,018		1,893,181
4.01%, 04/23/29			1,030		1,053,072
4.45%, 12/05/29			8,248		8,597,409
2.96%, 01/25/33			23,312		21,977,465
4.26%, 02/22/48			3,796		4,056,721
4.03%, 07/24/48			7,638		7,850,633
3.96%, 11/15/48			10,734		10,964,571
3.90%, 01/23/49			4,640		4,693,034
Kasikornbank PCL, 3.34%, 10/02/31^(e)			908		851,988
KeyCorp, 4.10%, 04/30/28			75		76,984
Kookmin Bank, 2.50%, 11/04/30^(e)			1,610		1,428,038
Lloyds Banking Group PLC, 1.63%, 05/11/27			10,241		9,390,502
Mitsubishi UFJ Financial Group, Inc.
2.62%, 07/18/22			206		206,799
3.46%, 03/02/23			13,006		13,141,948
0.85%, 09/15/24			10,565		10,239,159
2.19%, 02/25/25			8,281		8,006,023
1.41%, 07/17/25			4,615		4,323,547
Mizuho Financial Group, Inc.
2.84%, 07/16/25			797		787,918
2.56%, 09/13/25			18,319		17,942,753
1.98%, 09/08/31			8,781		7,676,874
Santander UK Group Holdings PLC 1.09%, 03/15/25			13,776		13,103,230
1.53%, 08/21/26			8,185		7,523,955
Standard Chartered PLC, 2.61%, 01/12/28^(a)			23,796		22,246,805
Sumitomo Mitsui Financial Group, Inc.
2.70%, 07/16/24			16,297		16,139,140
2.35%, 01/15/25			16,561		16,092,892
Texas Capital Bank N.A., (3 mo. LIBOR US + 4.50%), 5.51%, 09/30/24^(a)(c)			18,500		18,199,562
Toronto-Dominion Bank, 3.20%, 03/10/32			4,750		4,674,683
Washington Mutual Escrow Bonds 0.00%^(d)(f)(k)(l)			13,308		1
0.00%^(d)(f)(k)(l)			11,911		1
0.00%^(d)(f)(k)(l)			2,570		—
0.00%^(d)(f)(k)(l)			3,115		—
Wells Fargo & Co.
0.81%, 05/19/25			4,309		4,113,588
3.53%, 03/24/28			7,012		6,997,918


66		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Banks (continued)
Wells Fargo & Co.
3.58%, 05/22/28	USD		2,740	$	2,735,546
2.88%, 10/30/30			1,635		1,553,967


					1,017,381,416

Beverages — 0.4%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
4.70%, 02/01/36			25,977		27,860,738
4.90%, 02/01/46			4,980		5,538,481
Anheuser-Busch InBev Worldwide, Inc.
4.75%, 01/23/29			27,853		30,197,532
8.00%, 11/15/39			1,382		2,014,531
4.60%, 04/15/48			13,461		14,528,104
5.55%, 01/23/49			2,589		3,156,705


					83,296,091

Biotechnology — 0.6%
AbbVie, Inc.
2.60%, 11/21/24			27,141		26,953,266
3.80%, 03/15/25			10,493		10,687,985
3.60%, 05/14/25			15,855		16,063,181
4.55%, 03/15/35			12,142		13,034,507
4.50%, 05/14/35			7,179		7,705,197
4.45%, 05/14/46			2,398		2,548,076
4.88%, 11/14/48			7,823		8,841,639
Amgen, Inc.
4.40%, 05/01/45			13,058		13,711,932
4.20%, 02/22/52			1,374		1,420,983
Biogen, Inc.
2.25%, 05/01/30			10,692		9,620,082
3.15%, 05/01/50			7,550		6,182,638
Gilead Sciences, Inc.
4.80%, 04/01/44			8,324		9,150,527
4.50%, 02/01/45			3,278		3,492,715
4.75%, 03/01/46			2,657		2,944,438
4.15%, 03/01/47			3,241		3,332,530


					135,689,696

Building Products — 0.0%
Johnson Controls International plc, 5.13%, 09/14/45			7		7,982
Masonite International Corp., 5.38%, 02/01/28^(a)			928		934,960
Owens Corning, 3.95%, 08/15/29			240		244,261
Standard Industries, Inc.
5.00%, 02/15/27^(a)			915		907,021
4.75%, 01/15/28^(a)			375		358,594


					2,452,818

Capital Markets — 3.3%
Blackstone Private Credit Fund
3.25%, 03/15/27^(a)			13,944		12,779,220
4.00%, 01/15/29^(a)			5,150		4,767,959
Credit Suisse AG
3.63%, 09/09/24			6,918		6,997,357
1.25%, 08/07/26			15,257		13,912,794
Credit Suisse Group AG
3.80%, 06/09/23			3,341		3,371,633
3.00%, 12/14/23^(a)			253		252,973
4.21%, 06/12/24^(a)			3,162		3,190,160
Deutsche Bank AG
1.45%, 04/01/25			19,258		18,392,652
1.69%, 03/19/26			19,808		18,578,645
2.55%, 01/07/28			9,544		8,804,754


Security		Par (000)		Value

Capital Markets (continued)
Goldman Sachs Group, Inc. 4.00%, 03/03/24	USD		18,916	$	19,302,440
0.67%, 03/08/24			14,000		13,702,606
3.00%, 03/15/24			40,602		40,550,552
3.50%, 01/23/25			25,863		26,079,938
3.50%, 04/01/25			57,826		58,257,266
3.75%, 05/22/25			2,180		2,212,810
0.86%, 02/12/26			11,346		10,570,188
3.75%, 02/25/26			165		167,602
(3 mo. LIBOR US + 1.17%), 1.68%, 05/15/26^(c)			10,315		10,367,901
3.50%, 11/16/26			21,248		21,336,357
3.85%, 01/26/27			5,678		5,728,978
1.43%, 03/09/27			26,656		24,563,527
2.64%, 02/24/28			10,220		9,771,616
3.62%, 03/15/28			26,084		26,047,478
3.69%, 06/05/28			22,258		22,283,534
4.22%, 05/01/29			3,961		4,055,635
2.62%, 04/22/32			6,160		5,598,583
2.65%, 10/21/32			15,457		13,974,105
3.10%, 02/24/33			42,334		39,903,499
Intercontinental Exchange, Inc.
3.75%, 09/21/28			5,126		5,229,591
2.10%, 06/15/30			2,412		2,202,805
1.85%, 09/15/32			3,643		3,146,251
Lehman Brothers Holdings, Inc., 6.75%, 12/28/17^(d)(f)(k)			7,360		1
Moody’s Corp.
3.25%, 01/15/28			4,450		4,442,889
3.75%, 02/25/52			4,114		4,054,626
3.10%, 11/29/61			4,378		3,661,133
Morgan Stanley
1.59%, 05/04/27			13,018		12,094,786
1.51%, 07/20/27			17,094		15,712,866
2.48%, 01/21/28			23,718		22,610,906
3.59%, 07/22/28			21,128		21,186,757
3.77%, 01/24/29			13,563		13,668,834
4.43%, 01/23/30			28,886		30,202,761
2.70%, 01/22/31			36,252		34,017,659
3.62%, 04/01/31			2,864		2,849,101
1.79%, 02/13/32			13,771		11,842,041
1.93%, 04/28/32			11,727		10,136,100
2.24%, 07/21/32			19,170		16,987,102
2.51%, 10/20/32			6,195		5,583,794
2.94%, 01/21/33			10,162		9,529,294
Nomura Holdings, Inc.
2.61%, 07/14/31			13,485		12,120,442
3.00%, 01/22/32			9,052		8,338,358


					695,140,859

Chemicals — 0.3%
Braskem Idesa SAPI, 6.99%, 02/20/32^(a)			2,325		2,272,687
Braskem Netherlands Finance BV
5.88%, 01/31/50^(a)			2,574		2,540,538
8.50%, 01/23/81^(a)			2,808		3,071,250
8.50%, 01/23/81^(e)			993		1,086,094
Cydsa SAB de CV, 6.25%, 10/04/27^(a)			2,982		2,847,810
Dow Chemical Co., 1.13%, 03/15/32	EUR		4,983		4,961,839
DuPont de Nemours, Inc., 4.49%, 11/15/25	USD		15,078		15,681,848
Ecolab, Inc., 2.75%, 08/18/55			7,665		6,338,314
LG Chem Ltd., 2.38%, 07/07/31^(e)			1,200		1,073,904
LYB International Finance III LLC, 4.20%, 05/01/50			7,049		6,961,957


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

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Chemicals (continued)
Orbia Advance Corp. SAB de CV, 5.50%, 01/15/48^(e)	USD		931	$	910,053
Sasol Financing U.S.A. LLC
5.88%, 03/27/24			1,461		1,479,262
4.38%, 09/18/26			4,687		4,499,520
6.50%, 09/27/28			1,265		1,283,975
5.50%, 03/18/31			2,795		2,606,337
Sherwin-Williams Co., 2.30%, 05/15/30			8,672		7,929,449
UPL Corp. Ltd.
5.25%^(e)(l)			1,309		1,209,843
4.50%, 03/08/28^(e)			1,203		1,141,948
Westlake Chemical Corp., 3.38%, 08/15/61			5,042		4,101,160


					71,997,788

Commercial Services & Supplies — 0.2%
Covanta Holding Corp., 4.88%, 12/01/29^(a)			1,631		1,557,116
KAR Auction Services, Inc., 5.13%, 06/01/25^(a)			1,693		1,714,162
Pitney Bowes, Inc.
6.88%, 03/15/27^(a)			9,050		8,559,671
7.25%, 03/15/29^(a)			6,625		6,249,164
Republic Services, Inc.
2.90%, 07/01/26			2,994		2,971,322
3.95%, 05/15/28			9,162		9,417,883
Waste Management, Inc.
1.15%, 03/15/28			10,160		9,080,037
2.95%, 06/01/41			1,183		1,069,479
Waste Pro U.S.A., Inc., 5.50%, 02/15/26^(a)			878		829,780


					41,448,614

Communications Equipment — 0.2%
Juniper Networks, Inc., 2.00%, 12/10/30			4,462		3,859,448
Motorola Solutions, Inc.
4.60%, 05/23/29			10,242		10,650,481
2.75%, 05/24/31			12,750		11,535,964
5.50%, 09/01/44			13,228		14,545,401


					40,591,294

Construction & Engineering — 0.0%
China City Construction International Co. Ltd., 5.35%, 07/03/17^(d)(e)(f)(k)	CNH		340		—
GMR Hyderabad International Airport Ltd.
5.38%, 04/10/24^(e)	USD		688		691,569
4.25%, 10/27/27^(e)			384		350,472
IHS Holding Ltd.
5.63%, 11/29/26^(a)			2,014		1,898,195
6.25%, 11/29/28^(a)			1,265		1,179,612


					4,119,848

Construction Materials — 0.0%
Cemex SAB de CV, 5.20%, 09/17/30^(a)			1,115		1,109,425


Consumer Finance — 0.6%
American Express Co., 2.55%, 03/04/27			11,304		10,991,149
Capital One Financial Corp.
3.90%, 01/29/24			10,017		10,173,457
3.27%, 03/01/30			6,584		6,357,217
Discover Bank, 3.45%, 07/27/26			2,008		1,996,339
Discover Financial Services, 4.50%, 01/30/26			4,031		4,152,847
General Motors Financial Co., Inc. 3.70%, 05/09/23			8,790		8,877,769
1.70%, 08/18/23			5,725		5,663,274
5.10%, 01/17/24			4,641		4,798,149
1.05%, 03/08/24			10,527		10,131,505
4.00%, 01/15/25			14,339		14,515,200
4.35%, 04/09/25			2,812		2,859,924


Security		Par (000)		Value

Consumer Finance (continued)
General Motors Financial Co., Inc. 2.75%, 06/20/25	USD		14,636	$	14,215,347
1.50%, 06/10/26			4,892		4,469,793
2.40%, 10/15/28			9,905		8,864,012
Hyundai Capital Services, Inc., 3.00%, 08/29/22^(a)			7,790		7,810,936
Navient Corp.
7.25%, 09/25/23			555		576,506
5.88%, 10/25/24			865		882,421
6.75%, 06/25/25			908		932,811
6.75%, 06/15/26			894		911,880
Synchrony Financial
4.50%, 07/23/25			153		156,069
3.70%, 08/04/26			2,488		2,473,393


					121,809,998

Containers & Packaging — 0.1%
Ardagh Metal Packaging Finance U.S.A.
LLC/Ardagh Metal Packaging Finance PLC, 3.25%, 09/01/28^(a)			4,584		4,159,980
Ardagh Packaging Finance PLC/Ardagh Holdings U.S.A., Inc.
5.25%, 04/30/25^(a)			4,584		4,577,697
5.25%, 08/15/27^(a)			1,392		1,286,730
International Paper Co., 6.00%, 11/15/41			2,411		2,870,591
Klabin Austria GmbH, 3.20%, 01/12/31^(a)			2,015		1,745,494
Trivium Packaging Finance BV, 5.50%, 08/15/26^(a)			1,969		1,960,888


					16,601,380

Diversified Financial Services — 0.9%
ASG Finance Designated Activity Co., 7.88%, 12/03/24^(a)			3,356		3,188,200
Avianca Midco 2 Ltd., 9.00%, 12/01/28^(a)			5,240		5,018,158
Azul Investments LLP
5.88%, 10/26/24^(a)			1,759		1,540,554
7.25%, 06/15/26^(a)			2,923		2,444,359
CDI Escrow Issuer, Inc., 5.75%, 04/01/30^(a)			1,918		1,937,180
CNH Industrial Capital LLC, 4.20%, 01/15/24			19,431		19,816,749
Deutsche Telekom International Finance BV, 3.60%, 01/19/27^(a)			4,339		4,379,924
Easy Tactic Ltd.
9.13%, 07/28/22^(e)			400		102,000
12.38%, 11/18/22^(e)			293		68,544
5.88%, 02/13/23^(e)			593		130,460
8.13%, 02/27/23^(e)			533		114,595
11.75%, 08/02/23^(e)			580		124,700
8.63%, 02/27/24^(e)			830		174,300
11.63%, 09/03/24^(e)			836		171,380
Fortune Star BVI Ltd.
5.95%, 01/29/23^(e)			200		193,750
6.85%, 07/02/24^(e)			540		523,800
5.95%, 10/19/25^(e)			823		750,988
GE Capital Funding LLC, 4.55%, 05/15/32			4,103		4,406,112
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35			14,311		15,366,987
Glencore Funding LLC
1.63%, 09/01/25^(a)			5,403		5,051,932
1.63%, 04/27/26^(a)			11,551		10,667,007
2.50%, 09/01/30^(a)			14,997		13,419,952
2.85%, 04/27/31^(a)			7,334		6,697,264
3.38%, 09/23/51^(a)			5,400		4,540,409
GLP Pte Ltd., 4.50%^(e)(l)			1,693		1,506,029
Gohl Capital Ltd., 4.25%, 01/24/27^(e)			1,780		1,675,759


68		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Diversified Financial Services (continued)
Grupo Aval Ltd., 4.38%, 02/04/30^(a)	USD		6,348	$	5,497,241
Hyundai Capital America, 1.25%, 09/18/23^(a)			7,665		7,456,445
InRetail Consumer, 3.25%, 03/22/28^(a)			1,985		1,859,449
Latam Finance Ltd., 6.88%, 04/11/24^(e)(f)(k)			873		772,223
Minejesa Capital BV
4.63%, 08/10/30^(e)			200		190,022
5.63%, 08/10/37^(e)			1,760		1,600,830
Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25^(a)			4,386		3,273,875
ORIX Corp., 2.90%, 07/18/22			4,137		4,152,617
Pearl Holding II Ltd., (6.00% Cash or 6.00% PIK), 6.00%^(e)(l)(m)			286		9,141
Pearl Holding III Ltd., 9.00%, 10/22/25^(e)			228		81,510
Prime Bloom Holdings Ltd., 6.95%, 07/05/22^(e)(f)(k)			890		155,361
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.63%, 03/01/29^(a)			3,343		3,055,001
RELX Capital, Inc.
3.50%, 03/16/23			2,045		2,062,521
4.00%, 03/18/29			11,279		11,569,365
3.00%, 05/22/30			15,042		14,371,640
Santos Finance Ltd., 5.25%, 03/13/29^(e)			1,500		1,561,527
Shell International Finance BV
3.88%, 11/13/28			540		561,854
2.38%, 11/07/29			9,715		9,201,873
Shriram Transport Finance Co. Ltd.
5.95%, 10/24/22^(e)			1,508		1,511,770
5.10%, 07/16/23^(e)			561		561,000
Simpar Europe SA, 5.20%, 01/26/31^(a)			3,105		2,771,212
United Shore Financial Services LLC, 5.50%, 11/15/25^(a)			9,586		9,298,420


					185,585,989

Diversified Telecommunication Services — 2.0%
AT&T Inc.
0.00%, 11/27/22^(a)(n)			36,000		35,418,678
1.65%, 02/01/28			4,794		4,367,851
4.35%, 03/01/29			6,111		6,466,774
2.75%, 06/01/31			9,739		9,132,055
2.25%, 02/01/32			5,347		4,741,283
2.55%, 12/01/33			8,650		7,685,044
4.50%, 05/15/35			20,091		21,283,415
2.60%, 05/19/38	EUR		5,000		5,693,891
4.90%, 06/15/42	USD		2,043		2,204,290
4.50%, 03/09/48			5,642		5,925,680
5.15%, 02/15/50			6,376		7,266,146
3.50%, 09/15/53			16,640		14,600,669
3.55%, 09/15/55			7,730		6,817,599
3.80%, 12/01/57			5,915		5,396,491
3.65%, 09/15/59			16,332		14,322,063
3.85%, 06/01/60			5,628		5,037,694
Avaya, Inc., 6.13%, 09/15/28^(a)			8,150		8,037,285
Axtel SAB de CV, 6.38%, 11/14/24^(a)			2,516		2,568,364
Connect Finco S.a.r.l/Connect U.S. Finco LLC, 6.75%, 10/01/26^(a)			9,769		9,938,883
Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd. 8.75%, 05/25/24^(a)			1,109		1,100,879
(6.00% Cash and 7.00% PIK), 13.00%, 12/31/25^(a)(m)			630		623,025
8.00%, 12/31/26^(a)			443		411,139
Frontier Communications Holdings LLC 5.88%, 10/15/27^(a)			7,429		7,3 79,226


Security		Par (000)		Value

Diversified Telecommunication Services (continued)
Frontier Communications Holdings LLC
5.00%, 05/01/28^(a)	USD		6,727	$	6,457,920
6.75%, 05/01/29^(a)			10,382		9,966,720
Frontier Florida LLC, Series E, 6.86%, 02/01/28			3,150		3,207,802
Frontier North, Inc., Series G, 6.73%, 02/15/28			1,500		1,522,500
Globe Telecom, Inc.
2.50%, 07/23/30^(e)			221		191,897
3.00%, 07/23/35^(e)			260		206,911
Level 3 Financing, Inc., 4.63%, 09/15/27^(a)			375		352,999
Liquid Telecommunications Financing PLC, 5.50%, 09/04/26^(a)			2,632		2,493,820
Lumen Technologies, Inc., 5.13%, 12/15/26^(a)			12,149		11,571,922
Network i2i Ltd., 5.65%^(e)(l)			2,482		2,467,728
Oi SA, (10.00% Cash or 12.00% (8.00% Cash + 4.00% PIK), 10.00%, 07/27/25^(m)			4,426		3,336,097
Summit Digitel Infrastructure Pvt Ltd., 2.88%, 08/12/31^(e)			2,335		2,027,107
Verizon Communications, Inc.
2.10%, 03/22/28			12,636		11,777,684
4.33%, 09/21/28			6,969		7,351,417
3.88%, 02/08/29			9,803		10,198,453
4.02%, 12/03/29			13,101		13,596,896
3.15%, 03/22/30			18,389		18,085,128
1.50%, 09/18/30			15,867		13,778,779
1.68%, 10/30/30			9,631		8,397,546
1.75%, 01/20/31			20,003		17,440,019
2.55%, 03/21/31			8,631		8,018,631
2.36%, 03/15/32^(a)			19,213		17,353,472
2.65%, 11/20/40			28,345		24,111,911
3.40%, 03/22/41			2,164		2,028,570
2.85%, 09/03/41			670		589,769
2.88%, 11/20/50			10,648		8,896,651
3.55%, 03/22/51			4,387		4,122,450
3.70%, 03/22/61			11,835		10,962,473
Zayo Group Holdings, Inc.
4.00%, 03/01/27^(a)			5,170		4,757,589
6.13%, 03/01/28^(a)			1,500		1,342,500
Ziggo BV, 4.88%, 01/15/30^(a)			861		810,830


					413,842,615

Electric Utilities — 2.1%
Adani Electricity Mumbai Ltd., 3.95%, 02/12/30^(e)			897		810,632
Adani Transmission Ltd.
4.00%, 08/03/26^(e)			332		320,857
4.25%, 05/21/36^(e)			377		346,369
AEP Texas, Inc.
3.95%, 06/01/28			10,571		10,786,082
3.45%, 05/15/51			5,324		4,715,747
Series H, 3.45%, 01/15/50			1,440		1,278,061
AEP Transmission Co. LLC 4.25%, 09/15/48			2,195		2,305,907
3.80%, 06/15/49			4,475		4,417,619
3.15%, 09/15/49			3,515		3,112,331
2.75%, 08/15/51			3,704		3,034,235
Series M, 3.65%, 04/01/50			5,215		5,029,765
Alabama Power Co.
3.75%, 03/01/45			6,806		6,524,985
3.45%, 10/01/49			1,012		938,833
American Transmission Systems, Inc., 2.65%, 01/15/32^(a)			3,004		2,776,288
Baltimore Gas & Electric Co.
3.50%, 08/15/46			4,197		4,055,540


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

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Electric Utilities (continued)
Baltimore Gas & Electric Co. 3.75%, 08/15/47	USD		2,530	$	2,491,576
3.20%, 09/15/49			3,823		3,446,445
2.90%, 06/15/50			4,364		3,794,008
Capex SA, 6.88%, 05/15/24^(a)			573		540,697
CenterPoint Energy Houston Electric LLC
2.35%, 04/01/31			3,260		3,026,277
4.25%, 02/01/49			3,130		3,407,265
3.35%, 04/01/51			7,416		7,061,838
3.60%, 03/01/52			352		352,486
Commonwealth Edison Co. 3.13%, 03/15/51			3,050		2,764,552
2.75%, 09/01/51			3,065		2,604,160
Series 133, 3.85%, 03/15/52			1,848		1,910,318
DTE Electric Co.
3.95%, 03/01/49			3,229		3,334,251
3.25%, 04/01/51			3,142		2,977,705
Series A, 4.05%, 05/15/48			6,639		6,998,995
Duke Energy Carolinas LLC 3.95%, 11/15/28			1,701		1,766,040
3.88%, 03/15/46			3,172		3,187,208
3.70%, 12/01/47			5,364		5,232,433
3.45%, 04/15/51			2,047		1,984,156
3.55%, 03/15/52			1,658		1,637,866
Duke Energy Florida LLC, 2.50%, 12/01/29			21,814		20,516,232
Duke Energy Progress LLC 3.45%, 03/15/29			12,906		12,931,406
2.50%, 08/15/50			2,600		2,111,830
Edison International 2.40%, 09/15/22			139		139,123
3.13%, 11/15/22			10		10,052
4.95%, 04/15/25			4,907		5,020,290
Entergy Arkansas LLC 4.20%, 04/01/49			24		25,708
3.35%, 06/15/52			3,202		2,982,339
Entergy Louisiana LLC, 4.20%, 09/01/48			7,609		7,969,290
Exelon Corp.
2.75%, 03/15/27^(a)			3,073		2,994,241
5.10%, 06/15/45			1,023		1,136,892
4.45%, 04/15/46			3,952		4,131,873
4.10%, 03/15/52^(a)			1,040		1,056,298
FEL Energy VI Sarl, 5.75%, 12/01/40^(e)			2,485		2,227,968
FirstEnergy Corp.
2.05%, 03/01/25			1,392		1,325,880
2.65%, 03/01/30			7,667		6,960,831
Series B, 4.40%, 07/15/27			9,423		9,482,836
Series B, 2.25%, 09/01/30			2,734		2,419,590
Series C, 3.40%, 03/01/50			4,237		3,568,783
FirstEnergy Transmission LLC 4.35%, 01/15/25^(a)			13,860		13,926,775
5.45%, 07/15/44^(a)			1,121		1,222,115
4.55%, 04/01/49^(a)			16,508		15,771,569
Florida Power & Light Co.
3.70%, 12/01/47			5,538		5,639,413
3.95%, 03/01/48			7,001		7,448,701
4.13%, 06/01/48			2,000		2,167,819
3.15%, 10/01/49			12,142		11,317,625
2.88%, 12/04/51			2,050		1,837,762
Generacion Mediterranea SA/Central Termica Roca SA, 9.63%, 12/01/27^(a)			4,331		3,465,013
Huachen Energy Co. Ltd., 6.63%, 05/18/20^(e)(f)(k)			200		77,000


Security		Par (000)		Value

Electric Utilities (continued)
India Green Power Holdings, 4.00%, 02/22/27^(e)	USD		1,669	$	1,522,963
ITC Holdings Corp., 2.70%, 11/15/22			3,406		3,416,053
LLPL Capital Pte Ltd., 6.88%, 02/04/39^(e)			985		979,665
MidAmerican Energy Co.
3.10%, 05/01/27			390		389,823
3.65%, 04/15/29			13,756		14,139,126
3.95%, 08/01/47			1,905		1,979,073
3.65%, 08/01/48			1,020		1,010,601
4.25%, 07/15/49			4,426		4,829,073
3.15%, 04/15/50			3,370		3,095,085
2.70%, 08/01/52			842		719,729
Mid-Atlantic Interstate Transmission LLC, 4.10%, 05/15/28^(a)			1,403		1,415,582
Mong Duong Finance Holdings BV, 5.13%, 05/07/29^(e)			3,000		2,684,625
Northern States Power Co.
2.25%, 04/01/31			10		9,213
2.90%, 03/01/50			2,475		2,183,432
2.60%, 06/01/51			2,448		2,070,416
3.20%, 04/01/52			2,500		2,352,256
NRG Energy, Inc., 2.45%, 12/02/27^(a)			13,282		12,250,036
NSTAR Electric Co., 3.95%, 04/01/30			2,510		2,605,351
Ohio Power Co.
4.00%, 06/01/49			3,666		3,652,414
Series Q, 1.63%, 01/15/31			2,624		2,244,790
Series R, 2.90%, 10/01/51			3,167		2,624,455
Oncor Electric Delivery Co. LLC 3.70%, 11/15/28			5,350		5,502,709
3.80%, 09/30/47			2,314		2,337,193
4.10%, 11/15/48			606		640,290
3.80%, 06/01/49			3,582		3,653,674
3.10%, 09/15/49			3,583		3,282,854
2.70%, 11/15/51^(a)			4,528		3,874,352
Pacific Gas & Electric Co.
4.95%, 07/01/50			7,152		6,736,466
5.25%, 03/01/52			2,500		2,545,891
PECO Energy Co., 3.05%, 03/15/51			6,773		6,101,596
Public Service Electric & Gas Co.
3.65%, 09/01/28			6,843		6,947,931
3.85%, 05/01/49			3,410		3,498,982
Southern California Edison Co.
2.25%, 06/01/30			16,784		15,173,056
Series E, 3.70%, 08/01/25			10,666		10,843,181
Southwestern Public Service Co., 3.15%, 05/01/50			8,586		7,687,134
Star Energy Geothermal Darajat II/Star Energy Geothermal Salak 4.85%, 10/14/38^(a)			3,000		2,975,250
4.85%, 10/14/38^(e)			2,635		2,613,261
Tampa Electric Co.
4.30%, 06/15/48			1,207		1,281,164
4.45%, 06/15/49			2,671		2,863,988
Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25^(a)			18,145		18,268,603
Vistra Operations Co. LLC
5.50%, 09/01/26^(a)			1,847		1,857,103
5.63%, 02/15/27^(a)			2,393		2,390,978
5.00%, 07/31/27^(a)			2,388		2,349,338
4.30%, 07/15/29^(a)			13,729		13,251,754


					451,707,290


70		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Electrical Equipment — 0.0%
Carrier Global Corp., 2.24%, 02/15/25	USD		1,872	$	1,822,425


Energy Equipment & Services — 0.0%
Hilong Holding Ltd., 9.75%, 11/18/24^(e)			1,112		689,440
Transocean Phoenix 2 Ltd., 7.75%, 10/15/24^(a)			5,812		5,855,580
Transocean Proteus Ltd., 6.25%, 12/01/24^(a)			584		579,124


					7,124,144

Equity Real Estate Investment Trusts (REITs) — 1.6%
Alexandria Real Estate Equities, Inc., 2.95%, 03/15/34			4,371		4,112,203
American Tower Corp.
5.00%, 02/15/24			1,921		1,986,963
2.95%, 01/15/25			714		705,903
3.65%, 03/15/27			5,620		5,604,981
3.95%, 03/15/29			1,825		1,827,435
3.80%, 08/15/29			24,210		24,092,181
2.10%, 06/15/30			9,936		8,665,281
Boston Properties LP, 3.13%, 09/01/23			245		246,457
Crown Castle International Corp.
3.15%, 07/15/23			403		405,723
1.35%, 07/15/25			2,608		2,431,356
4.45%, 02/15/26			2,370		2,440,516
3.70%, 06/15/26			1,551		1,560,830
1.05%, 07/15/26			4,347		3,927,247
2.90%, 03/15/27			1,310		1,266,462
3.80%, 02/15/28			7,798		7,790,097
3.10%, 11/15/29			16,276		15,421,816
3.30%, 07/01/30			6,417		6,136,757
2.25%, 01/15/31			3,936		3,469,130
2.10%, 04/01/31			7,832		6,773,006
2.50%, 07/15/31			5,249		4,682,348
Digital Dutch Finco BV 1.50%, 03/15/30^(e)	EUR		6,150		6,260,931
1.00%, 01/15/32^(e)			5,050		4,720,165
Duke Realty LP, 1.75%, 02/01/31	USD		12,762		11,068,882
Equinix, Inc.
1.25%, 07/15/25			2,633		2,454,714
1.00%, 09/15/25			11,613		10,671,437
3.20%, 11/18/29			14,000		13,397,946
2.15%, 07/15/30			5,046		4,416,091
2.50%, 05/15/31			9,265		8,309,072
3.90%, 04/15/32			14,700		14,607,096
GLP Capital LP/GLP Financing II, Inc. 5.75%, 06/01/28			2,496		2,686,378
5.30%, 01/15/29			3,908		4,105,628
4.00%, 01/15/30			10,500		10,191,405
4.00%, 01/15/31			11,274		10,934,427
3.25%, 01/15/32			15,369		13,944,294
Iron Mountain, Inc., 5.00%, 07/15/28^(a)			6,795		6,624,242
LMIRT Capital Pte Ltd.
7.25%, 06/19/24^(e)			431		426,690
7.50%, 02/09/26^(e)			377		369,460
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.
5.63%, 05/01/24			3,915		4,030,414
4.50%, 09/01/26			1,086		1,091,430
5.75%, 02/01/27			3,217		3,397,956
MPT Operating Partnership LP/MPT Finance Corp., 5.25%, 08/01/26			188		192,409
National Retail Properties, Inc.
2.50%, 04/15/30			4,195		3,858,396
3.50%, 04/15/51			6,750		5,937,055
3.00%, 04/15/52			4,890		3,921,143


Security		Par (000)		Value

Equity Real Estate Investment Trusts (REITs) (continued)
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 4.88%, 05/15/29^(a)	USD		5,230	$	4,902,864
Realty Income Corp.
3.00%, 01/15/27			95		93,539
3.25%, 01/15/31			6,356		6,241,638
RHP Hotel Properties LP/RHP Finance Corp., 4.75%, 10/15/27			1,480		1,424,189
Service Properties Trust 5.00%, 08/15/22			4,481		4,458,595
4.50%, 06/15/23			7,725		7,636,549
4.35%, 10/01/24			945		909,563
7.50%, 09/15/25			1,479		1,551,545
5.50%, 12/15/27			790		761,955
Sonder Holdings, Inc., 7.26%, 01/19/27^(d)			8,437		7,909,688
VICI Properties LP/VICI Note Co., Inc. 3.50%, 02/15/25^(a)			24,437		24,076,554
4.25%, 12/01/26^(a)			12,954		12,899,593
3.75%, 02/15/27^(a)			3,878		3,771,355
4.13%, 08/15/30^(a)			4,576		4,417,487
WP Carey, Inc., 2.40%, 02/01/31			7,500		6,758,918
XHR LP
6.38%, 08/15/25^(a)			1,392		1,434,560
4.88%, 06/01/29^(a)			804		781,030


					341,193,975

Food & Staples Retailing — 0.3%
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
5.88%, 02/15/28^(a)			2,339		2,331,082
4.88%, 02/15/30^(a)			375		365,156
CVS Health Corp.
3.75%, 04/01/30			28,683		29,184,658
5.13%, 07/20/45			22,044		24,883,498
Frigorifico Concepcion SA, 7.70%, 07/21/28^(a)			1,592		1,411,706
Performance Food Group, Inc., 5.50%, 10/15/27^(a)			1,891		1,881,923


					60,058,023

Food Products — 0.1%
BRF GmbH, 4.35%, 09/29/26^(a)			2,245		2,185,788
BRF SA, 5.75%, 09/21/50^(a)			2,767		2,427,489
Darling Ingredients, Inc., 5.25%, 04/15/27^(a)			924		942,480
JBS U.S.A. LUX SA/JBS U.S.A. Finance, Inc., 6.75%, 02/15/28^(a)			2,935		3,094,224
Knight Castle Investments Ltd., 7.99%, 01/23/22^(f)(k)			700		490,000
Post Holdings, Inc.
5.63%, 01/15/28^(a)			1,713		1,681,421
5.50%, 12/15/29^(a)			1,354		1,302,791


					12,124,193

Gas Utilities — 0.1%
Atmos Energy Corp.
4.13%, 03/15/49			206		216,919
3.38%, 09/15/49			2,876		2,684,326
ONE Gas, Inc., 2.00%, 05/15/30			2,235		1,999,552
Piedmont Natural Gas Co., Inc., 2.50%, 03/15/31			4,895		4,494,285
Promigas SA ESP/Gases del Pacifico SAC
3.75%, 10/16/29^(a)			2,055		1,852,685
3.75%, 10/16/29^(e)			1,460		1,316,263


					12,564,030


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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Health Care Equipment & Supplies — 0.2%
Boston Scientific Corp., 2.65%, 06/01/30	USD		7,654	$	7,181,869
Medtronic Global Holdings SCA
1.38%, 10/15/40	EUR		570		559,181
1.75%, 07/02/49			3,500		3,471,206
Mozart Debt Merger Sub, Inc., 3.88%, 04/01/29^(a)	USD		21,660		20,035,500


					31,247,756

Health Care Providers & Services — 1.1%
Aetna, Inc., 4.50%, 05/15/42			2,558		2,662,693
AMN Healthcare, Inc., 4.63%, 10/01/27^(a)			2,029		1,972,817
Anthem, Inc., 3.60%, 03/15/51			6,840		6,539,225
Centene Corp.
2.45%, 07/15/28			7,276		6,648,081
2.63%, 08/01/31			4,923		4,381,470
Cigna Corp.
4.13%, 11/15/25			11,387		11,736,576
4.90%, 12/15/48			5,206		5,833,476
DaVita, Inc., 4.63%, 06/01/30^(a)			6,689		6,246,188
HCA, Inc.
4.75%, 05/01/23			20,365		20,873,394
5.38%, 02/01/25			2,619		2,725,069
5.25%, 04/15/25			25,240		26,572,959
5.25%, 06/15/26			17,946		18,942,101
5.88%, 02/01/29			392		428,534
3.50%, 09/01/30			2,029		1,960,143
2.38%, 07/15/31			19,513		17,438,907
3.63%, 03/15/32^(a)			16,705		16,370,145
4.63%, 03/15/52^(a)			13,511		13,615,990
Humana, Inc.
4.50%, 04/01/25			4,430		4,587,058
4.88%, 04/01/30			2,923		3,149,859
Rede D’or Finance S.a.r.l, 4.50%, 01/22/30^(a)			807		740,423
Select Medical Corp., 6.25%, 08/15/26^(a)			16,279		16,852,672
Tenet Healthcare Corp.
4.88%, 01/01/26^(a)			3,767		3,799,961
6.25%, 02/01/27^(a)			5,486		5,631,900
5.13%, 11/01/27^(a)			563		565,649
4.63%, 06/15/28^(a)			511		501,419
4.25%, 06/01/29^(a)			4,997		4,790,874
4.38%, 01/15/30^(a)			9,051		8,688,326
UnitedHealth Group, Inc.
4.63%, 11/15/41			3,918		4,449,095
4.75%, 07/15/45			6,263		7,267,257
3.75%, 10/15/47			1,148		1,163,377
3.25%, 05/15/51			8,511		7,994,089


					235,129,727

Health Care Technology — 0.0%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25^(a)			3,125		3,125,000


Hotels, Restaurants & Leisure — 0.5%
1011778 BC ULC/New Red Finance, Inc., 3.88%, 01/15/28^(a)			281		266,257
Affinity Gaming, 6.88%, 12/15/27^(a)			2,092		2,034,470
Aramark Services, Inc., 5.00%, 02/01/28^(a)			2,110		2,046,700
Boyd Gaming Corp., 8.63%, 06/01/25^(a)			828		869,698
Caesars Entertainment, Inc.
6.25%, 07/01/25^(a)			13,890		14,340,592
8.13%, 07/01/27^(a)			4,331		4,640,472
4.63%, 10/15/29^(a)			1,217		1,137,895
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25^(a)			2,601		2,654,542


Security		Par (000)		Value

Hotels, Restaurants & Leisure (continued)
Carrols Restaurant Group, Inc., 5.88%, 07/01/29^(a)	USD		750	$	611,250
Cedar Fair LP, 5.25%, 07/15/29			1,826		1,798,647
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op
5.50%, 05/01/25^(a)			5,332		5,475,511
5.38%, 04/15/27			1,820		1,801,800
Champion Path Holdings Ltd.
4.50%, 01/27/26^(e)			1,501		1,275,850
4.85%, 01/27/28^(e)			600		477,487
Churchill Downs, Inc.
5.50%, 04/01/27^(a)			2,174		2,198,653
4.75%, 01/15/28^(a)			1,068		1,035,960
Freed Corp., 10.00%, 12/01/23^(d)			7,253		7,062,971
Full House Resorts, Inc., 8.25%, 02/15/28^(a)			1,565		1,600,212
HIS Co. Ltd., 0.00%, 11/15/24^(e)(j)(n)	JPY		40,000		270,741
International Game Technology PLC, 6.50%, 02/15/25^(a)	USD		745		781,248
Marriott International, Inc., 4.63%, 06/15/30			2,084		2,158,380
Marriott Ownership Resorts, Inc., 6.13%, 09/15/25^(a)			1,941		1,989,525
Melco Resorts Finance Ltd.
5.25%, 04/26/26^(e)			825		742,500
5.38%, 12/04/29^(a)			337		281,395
5.38%, 12/04/29^(e)			540		450,900
MGM China Holdings Ltd.
5.38%, 05/15/24^(a)			1,357		1,262,010
5.88%, 05/15/26^(a)			1,371		1,253,008
5.88%, 05/15/26^(e)			200		182,788
4.75%, 02/01/27^(e)			2,800		2,394,000
MGM Resorts International 5.75%, 06/15/25			246		252,155
4.63%, 09/01/26			144		141,840
5.50%, 04/15/27			245		247,450
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29^(a)			3,762		3,468,037
Peninsula Pacific Entertainment LLC/Peninsula Pacific Entertainment Finance In, 8.50%, 11/15/27^(a)			9,165		10,138,781
REXLot Holdings Ltd., 4.50%, 04/17/19^(e)(f)(j)(k)	HKD		1,161		1,482
Sands China Ltd., 4.38%, 06/18/30	USD		1,962		1,766,761
Scientific Games International, Inc., 5.00%, 10/15/25^(a)			719		736,975
SeaWorld Parks & Entertainment, Inc., 8.75%, 05/01/25^(a)			4,134		4,289,025
Studio City Finance Ltd.
5.00%, 01/15/29^(a)			290		222,448
5.00%, 01/15/29^(e)			1,611		1,235,738
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.50%, 03/01/25^(a)			3,906		3,906,078
5.25%, 05/15/27^(a)			1,947		1,883,722
Wynn Macau Ltd.
4.88%, 10/01/24^(a)			2,345		2,133,950
4.88%, 10/01/24^(e)			1,187		1,080,170
5.50%, 10/01/27^(a)			1,577		1,340,450
5.13%, 12/15/29^(a)			375		312,188


72		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Hotels, Restaurants & Leisure (continued)
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.
7.75%, 04/15/25^(a)	USD		5,371	$	5,573,272
5.13%, 10/01/29^(a)			4,231		3,982,429


					105,808,413

Household Durables — 0.2%
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co.
6.63%, 01/15/28^(a)			6,260		6,413,683
4.63%, 08/01/29^(a)			1,198		1,056,432
4.63%, 04/01/30^(a)			3,054		2,660,553
Beazer Homes U.S.A., Inc., 7.25%, 10/15/29			4,961		4,987,541
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp., 6.25%, 09/15/27^(a)			2,160		2,114,780
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 5.00%, 06/15/29^(a)			1,551		1,408,324
Century Communities, Inc., 6.75%, 06/01/27			5,674		5,887,342
Homes by West Bay LLC, 9.50%, 04/30/27^(d)			7,801		7,664,483
M/I Homes, Inc., 4.95%, 02/01/28			5,263		4,960,378
Mattamy Group Corp.
5.25%, 12/15/27^(a)			2,999		2,960,283
4.63%, 03/01/30^(a)			3,535		3,320,461
New Home Co., Inc., 7.25%, 10/15/25^(a)			1,272		1,229,795
TRI Pointe Group, Inc.
5.25%, 06/01/27			2,378		2,361,152
5.70%, 06/15/28			333		332,427
Weekley Homes LLC/Weekley Finance Corp., 4.88%, 09/15/28^(a)			1,891		1,742,850


					49,100,484

Independent Power and Renewable Electricity Producers — 0.2%
Adani Green Energy Ltd., 4.38%, 09/08/24^(e)			700		685,125
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24^(e)			436		445,619
Calpine Corp., 4.50%, 02/15/28^(a)			15,793		15,405,756
Continuum Energy Levanter Pte Ltd.
4.50%, 02/09/27^(a)			2,145		2,048,565
4.50%, 02/09/27^(e)			1,418		1,354,407
Genneia SA, 8.75%, 09/02/27^(a)			1,008		951,363
NRG Energy, Inc.
5.75%, 01/15/28			1,521		1,545,952
4.45%, 06/15/29^(a)			1,962		1,962,803
5.25%, 06/15/29^(a)			1,362		1,330,987
ReNew Power Pvt Ltd., 5.88%, 03/05/27^(e)			1,629		1,593,651
ReNew Power Synthetic, 6.67%, 03/12/24^(e)			1,000		1,015,188
Renewable Energy Group, Inc., 5.88%, 06/01/28^(a)			807		866,823
Star Energy Geothermal Wayang Windu Ltd.
6.75%, 04/24/33^(e)			846		892,422
6.75%, 04/24/33^(a)			168		176,892
Stem, Inc., 0.50%, 12/01/28^(a)(j)			622		461,337
Stoneway Capital Corp.
10.00%, 03/01/27^(e)(f)(k)			4,059		1,127,030
10.00%, 03/01/27^(a)(f)(k)			4,327		1,201,542


					33,065,462

Industrial Conglomerates — 0.0%
Roper Technologies, Inc., 2.95%, 09/15/29			4,177		4,026,195


Insurance — 0.4%
AIA Group Ltd., 2.70%^(e)(l)			2,050		1,927,000
Ambac Assurance Corp., 5.10%^(a)(l)			462		522,289


Security		Par (000)		Value

Insurance (continued)
American International Group, Inc.
4.50%, 07/16/44	USD		4,118	$	4,443,671
4.75%, 04/01/48			4,486		5,139,884
4.38%, 06/30/50			2,188		2,398,090
4.38%, 01/15/55			3,445		3,680,468
Aon Corp.
4.50%, 12/15/28			9,057		9,487,938
3.75%, 05/02/29			13,865		14,176,779
2.80%, 05/15/30			9,283		8,842,575
Aon Corp./Aon Global Holdings PLC, 3.90%, 02/28/52			986		973,096
Berkshire Hathaway Finance Corp., 3.85%, 03/15/52			2,958		3,024,753
Marsh & McLennan Cos., Inc.
1.35%, 09/21/26	EUR		4,390		4,817,197
1.98%, 03/21/30			3,035		3,338,701
2.25%, 11/15/30	USD		11,287		10,303,154
Sitka Holdings LLC, (3 mo. LIBOR US + 4.50%), 5.51%, 07/06/26^(a)(c)			5,435		5,183,661
Willis North America, Inc., 3.60%, 05/15/24			2,050		2,061,805
ZhongAn Online P&C Insurance Co. Ltd., 3.50%, 03/08/26^(e)			600		534,000


					80,855,061

Internet & Direct Marketing Retail — 0.1%
Amazon.com, Inc.
4.05%, 08/22/47			1,863		2,026,545
2.50%, 06/03/50			14,819		12,371,808
Baozun, Inc., 1.63%, 05/01/24^(j)			258		255,446


					14,653,799

IT Services — 0.6%
Atento Luxco 1 SA, 8.00%, 02/10/26^(a)			1,010		1,021,236
Fidelity National Information Services, Inc., 1.00%, 12/03/28	EUR		10,500		11,059,585
Fiserv, Inc., 3.50%, 07/01/29	USD		18,168		17,882,623
Global Payments, Inc.
1.20%, 03/01/26			16,500		15,200,970
4.80%, 04/01/26			13,857		14,546,697
2.15%, 01/15/27			4,258		3,996,454
4.45%, 06/01/28			2,703		2,783,187
3.20%, 08/15/29			9,990		9,490,629
2.90%, 05/15/30			12,664		11,688,147
International Business Machines Corp.
4.25%, 05/15/49			3,612		3,846,682
3.43%, 02/09/52			4,126		3,930,639
Leidos, Inc.
4.38%, 05/15/30			16,819		17,006,616
2.30%, 02/15/31			11,100		9,622,035
Sabre GLBL, Inc.
9.25%, 04/15/25^(a)			4,000		4,434,540
7.38%, 09/01/25^(a)			1,000		1,044,230


					127,554,270

Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc.
3.05%, 09/22/26			9,644		9,576,511
2.75%, 09/15/29			5,154		4,915,028
2.10%, 06/04/30			3,339		2,996,893
Charles River Laboratories International, Inc., 4.25%, 05/01/28^(a)			647		632,442
IQVIA, Inc., 5.00%, 05/15/27^(a)			2,027		2,049,388


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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Life Sciences Tools & Services (continued)
Thermo Fisher Scientific, Inc.
2.80%, 10/15/41	USD		2,995	$	2,682,465
1.88%, 10/01/49	EUR		7,400		7,338,973


					30,191,700

Machinery — 0.1%
HTA Group Ltd., 7.00%, 12/18/25^(a)	USD		2,290		2,262,806
Otis Worldwide Corp., 2.57%, 02/15/30			3,659		3,419,673
Parker-Hannifin Corp., 2.70%, 06/14/24			2,526		2,505,979
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27^(a)			5,290		5,231,969


					13,420,427

Media — 1.2%
Altice France SA, 5.50%, 01/15/28^(a)			1,887		1,748,683
CCO Holdings LLC/CCO Holdings Capital Corp.
5.38%, 06/01/29^(a)			2,201		2,201,000
4.75%, 03/01/30^(a)			2,545		2,443,811
Charter Communications Operating LLC/Charter Communications Operating Capital
2.25%, 01/15/29			1,647		1,482,083
4.40%, 04/01/33			10,299		10,268,540
6.48%, 10/23/45			18,393		20,938,284
5.38%, 05/01/47			11,668		11,946,760
5.75%, 04/01/48			5,150		5,475,146
5.13%, 07/01/49			11,527		11,435,686
6.83%, 10/23/55			5,998		7,111,633
4.40%, 12/01/61			8,165		7,107,423
3.95%, 06/30/62			15,428		12,476,041
Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/27^(a)			2,537		2,509,575
Comcast Corp.
2.65%, 02/01/30			12,141		11,654,057
4.25%, 10/15/30			2,142		2,285,003
3.20%, 07/15/36			2,567		2,455,878
3.90%, 03/01/38			11,314		11,653,122
3.40%, 07/15/46			6,070		5,699,011
4.00%, 08/15/47			445		453,991
3.97%, 11/01/47			8,345		8,477,774
3.45%, 02/01/50			4,000		3,742,136
2.45%, 08/15/52			6,759		5,361,075
2.99%, 11/01/63^(a)			11		9,002
Cox Communications, Inc.
3.15%, 08/15/24^(a)			6,590		6,600,795
3.60%, 06/15/51^(a)			4,893		4,353,811
CSC Holdings LLC
7.50%, 04/01/28^(a)			1,995		1,960,087
5.75%, 01/15/30^(a)			4,044		3,599,160
Discovery Communications LLC
1.90%, 03/19/27	EUR		10,803		11,708,361
4.13%, 05/15/29	USD		292		294,622
DISH DBS Corp., 5.25%, 12/01/26^(a)			5,015		4,776,787
FactSet Research Systems, Inc., 3.45%, 03/01/32			6,782		6,551,191
iHeartCommunications, Inc.
6.38%, 05/01/26			1,542		1,584,182
8.38%, 05/01/27			2,775		2,869,211
5.25%, 08/15/27^(a)			2,379		2,352,236
4.75%, 01/15/28^(a)			188		179,540
Interpublic Group of Cos., Inc., 4.75%, 03/30/30			1,828		1,962,655
Lamar Media Corp., 3.75%, 02/15/28			225		213,648


Security		Par (000)		Value

Media (continued)
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29^(a)	USD		954	$	919,417
Magallanes, Inc., 3.43%, 03/15/24^(a)			11,838		11,902,897
Nexstar Broadcasting, Inc.
5.63%, 07/15/27^(a)			2,020		2,044,644
4.75%, 11/01/28^(a)			2,573		2,492,594
Omnicom Group, Inc., 2.45%, 04/30/30			2,639		2,441,018
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.00%, 08/15/27^(a)			2,365		2,311,977
4.63%, 03/15/30^(a)			188		176,955
Paramount Global
4.38%, 03/15/43			3,745		3,564,304
5.85%, 09/01/43			2,978		3,431,167
Sirius XM Radio, Inc., 5.50%, 07/01/29^(a)			2,318		2,352,770
TEGNA, Inc.
4.63%, 03/15/28			4,237		4,214,629
5.00%, 09/15/29			412		413,008
VTR Comunicaciones SpA
5.13%, 01/15/28^(a)			1,136		1,076,573
4.38%, 04/15/29^(a)			2,585		2,352,350
Walt Disney Co.
2.75%, 09/01/49			7,330		6,236,984
4.70%, 03/23/50			7,060		8,187,733
Ziggo Bond Co. BV, 6.00%, 01/15/27^(a)			1,117		1,123,981


					253,185,001

Metals & Mining — 0.3%
ABJA Investment Co. Pte Ltd.
5.95%, 07/31/24^(e)			200		208,250
5.45%, 01/24/28^(e)			2,300		2,369,000
Anglo American Capital PLC
4.50%, 03/15/28^(a)			5,306		5,476,124
5.63%, 04/01/30^(a)			6,417		7,076,026
2.88%, 03/17/31^(a)			5,000		4,579,062
AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30			1,102		1,025,742
Commercial Metals Co., 4.38%, 03/15/32			3,785		3,515,319
CSN Resources SA, 5.88%, 04/08/32^(a)			2,423		2,347,112
Glencore Funding LLC, 2.63%, 09/23/31^(a)			11,250		10,063,225
JSW Steel Ltd., 5.38%, 04/04/25^(e)			1,100		1,104,125
Metinvest BV, 8.50%, 04/23/26^(a)			594		258,390
Newmont Corp.
2.80%, 10/01/29			4,682		4,478,550
2.25%, 10/01/30			4,592		4,196,768
Nucor Corp., 3.95%, 05/01/28			4,682		4,788,586
Periama Holdings LLC, 5.95%, 04/19/26^(e)			1,349		1,368,560
Vedanta Resources Finance II PLC
8.00%, 04/23/23^(e)			1,887		1,807,369
8.95%, 03/11/25^(a)			5,450		5,286,500
Vedanta Resources Ltd., 6.13%, 08/09/24^(a)			1,339		1,161,582


					61,110,290

Multiline Retail — 0.0%
Dollar General Corp., 4.13%, 04/03/50			6		5,985
Grupo Axo SAPI de CV, 5.75%, 06/08/26^(a)			370		347,291


					353,276

Multi-Utilities — 0.3%
Ameren Illinois Co.
3.80%, 05/15/28			3,671		3,767,094
3.25%, 03/15/50			3,650		3,342,041
CenterPoint Energy Resources Corp., 1.75%, 10/01/30			15,457		13,550,465


74		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Multi-Utilities (continued)
Consumers Energy Co.
3.25%, 08/15/46	USD		628	$	577,139
3.75%, 02/15/50			5,099		5,122,264
3.10%, 08/15/50			3,802		3,480,489
3.50%, 08/01/51			5,760		5,626,015
2.65%, 08/15/52			120		99,606
Pacific Gas & Electric Co.
2.50%, 02/01/31			723		623,615
3.25%, 06/01/31			4,810		4,350,783
4.40%, 03/01/32			3,000		2,949,258
4.50%, 07/01/40			6,978		6,352,558
4.20%, 06/01/41			375		325,870
4.60%, 06/15/43			1,100		975,776
PG&E Corp., 5.00%, 07/01/28			2,425		2,344,005
Virginia Electric & Power Co., 4.00%, 01/15/43			8,396		8,551,099


					62,038,077

Oil, Gas & Consumable Fuels — 3.0%
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25^(a)			945		988,101
Boardwalk Pipelines LP
4.80%, 05/03/29			640		661,882
3.40%, 02/15/31			181		171,179
BP Capital Markets America, Inc.
3.79%, 02/06/24			7,003		7,124,477
2.94%, 06/04/51			4,844		4,134,557
3.00%, 03/17/52			2,441		2,102,785
BP Capital Markets PLC, 3.81%, 02/10/24			2,475		2,526,601
Buckeye Partners LP
4.15%, 07/01/23			1,988		1,994,918
4.35%, 10/15/24			2,500		2,512,475
4.13%, 03/01/25^(a)			1,160		1,143,980
3.95%, 12/01/26			225		219,879
California Resources Corp., 7.13%, 02/01/26^(a)			1,674		1,740,575
Cameron LNG LLC
3.30%, 01/15/35^(a)			10,602		9,964,022
3.40%, 01/15/38^(a)			11,339		10,560,835
Cenovus Energy, Inc., 3.75%, 02/15/52			5,386		4,816,599
Centennial Resource Production LLC, 5.38%, 01/15/26^(a)			375		363,750
Cheniere Corpus Christi Holdings LLC
7.00%, 06/30/24			9,120		9,704,012
5.88%, 03/31/25			16,210		17,108,564
5.13%, 06/30/27			24,499		26,114,153
Cheniere Energy, Inc., 4.63%, 10/15/28			2,529		2,537,472
Chesapeake Energy Corp.
5.50%, 02/01/26^(a)			1,644		1,683,596
0.00%, 02/15/26^(d)(f)(k)			9,090		1
0.00%, 06/15/26^(d)(f)(k)			425		—
0.00%, 08/15/26^(d)(f)(k)			623		—
Chevron U.S.A., Inc., 2.34%, 08/12/50			3,671		2,972,181
Colgate Energy Partners III LLC
7.75%, 02/15/26^(a)			765		815,498
5.88%, 07/01/29^(a)			1,443		1,487,661
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25^(a)			969		987,639
Devon Energy Corp.
8.25%, 08/01/23			2,833		3,000,566
5.85%, 12/15/25			1,567		1,695,885
5.88%, 06/15/28			447		473,234
4.50%, 01/15/30			3,495		3,606,612
4.75%, 05/15/42			5,775		6,102,535
5.00%, 06/15/45			3,575		3,892,208


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Diamondback Energy, Inc.
3.25%, 12/01/26	USD		10,450	$	10,434,475
3.50%, 12/01/29			37,964		37,605,856
3.13%, 03/24/31			13,508		12,900,837
4.40%, 03/24/51			9,391		9,526,677
4.25%, 03/15/52			7,021		6,939,152
EIG Pearl Holdings Sarl
3.55%, 08/31/36^(a)			10,335		9,869,925
4.39%, 11/30/46^(a)			8,881		8,303,735
Enbridge, Inc., 2.90%, 07/15/22			977		979,469
Energy Transfer LP
3.60%, 02/01/23			4,737		4,764,296
7.60%, 02/01/24			2,846		3,036,816
4.25%, 04/01/24			9,393		9,575,305
4.50%, 04/15/24			2,927		2,994,816
3.90%, 05/15/24			5,607		5,640,132
4.05%, 03/15/25			2,850		2,890,399
2.90%, 05/15/25			18,413		18,010,701
5.95%, 12/01/25			7,710		8,256,840
5.50%, 06/01/27			2,749		2,954,183
4.00%, 10/01/27			3,796		3,820,416
6.50%, 02/01/42			6,240		7,171,848
6.10%, 02/15/42			2,093		2,279,510
6.25%, 04/15/49			4,200		4,819,400
5.00%, 05/15/50			17,436		17,642,426
Enterprise Products Operating LLC
3.13%, 07/31/29			6,516		6,398,478
2.80%, 01/31/30			329		316,239
5.95%, 02/01/41			5,000		5,927,560
EOG Resources, Inc., 4.15%, 01/15/26			2,005		2,076,097
Frontera Energy Corp., 7.88%, 06/21/28^(a)			2,330		2,178,783
Galaxy Pipeline Assets BidCo. Ltd.
2.16%, 03/31/34^(a)			2,690		2,471,812
2.63%, 03/31/36^(e)			1,875		1,681,992
2.94%, 09/30/40^(a)			3,115		2,811,174
Geopark Ltd., 5.50%, 01/17/27^(a)			905		857,374
Great Western Petroleum LLC/Great Western Finance Corp., 12.00%, 09/01/25^(a)			2,672		2,979,280
Hammerhead Resources, Inc., Series AI, 9.00%, 07/10/22^(d)			3,195		3,195,278
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26^(e)			800		774,000
Kinder Morgan Energy Partners LP
6.50%, 02/01/37			2,734		3,196,650
6.55%, 09/15/40			1,664		1,989,786
Marathon Petroleum Corp., 5.85%, 12/15/45			1,915		2,129,983
Matador Resources Co., 5.88%, 09/15/26			394		401,210
MC Brazil Downstream Trading S.a.r.l, 7.25%, 06/30/31^(a)			2,928		2,664,480
MPLX LP
4.88%, 12/01/24			8,663		8,971,936
1.75%, 03/01/26			3,255		3,050,031
NGPL PipeCo LLC
4.88%, 08/15/27^(a)			7,707		7,999,558
3.25%, 07/15/31^(a)			9,682		9,039,514
Northwest Pipeline LLC, 4.00%, 04/01/27			16,671		17,096,708
Odebrecht Offshore Drilling Finance Ltd., (7.72% Cash or 7.72% PIK), 7.72%, 12/01/26^(a)(m)			1		157
Ovintiv Exploration, Inc., 5.63%, 07/01/24			9,593		10,085,718
Puma International Financing SA, 5.13%, 10/06/24^(a)			1,957		1,859,150
Rattler Midstream LP, 5.63%, 07/15/25^(a)			1,350		1,370,250


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

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Reliance Industries Ltd., 3.67%, 11/30/27^(e)	USD		400	$	396,450
Sabine Pass Liquefaction LLC
5.63%, 04/15/23			6,227		6,371,141
5.75%, 05/15/24			25,601		26,794,979
5.63%, 03/01/25			34,953		36,955,753
5.88%, 06/30/26			22,510		24,335,009
5.00%, 03/15/27			20,935		22,140,106
Shelf Drilling Holdings Ltd., 8.88%, 11/15/24^(a)			436		443,085
SK Battery America, Inc., 2.13%, 01/26/26^(e)			1,440		1,334,376
SM Energy Co., 10.00%, 01/15/25^(a)			6,054		6,608,910
Suncor Energy, Inc., 6.80%, 05/15/38^(o)			4,459		5,743,594
Sunoco LP/Sunoco Finance Corp., 4.50%, 04/30/30^(a)			5,895		5,430,975
Tap Rock Resources LLC, 7.00%, 10/01/26^(a)			8,393		8,687,762
Texas Eastern Transmission LP
3.50%, 01/15/28^(a)			9,413		9,354,405
7.00%, 07/15/32			1,082		1,344,616
Thaioil Treasury Center Co. Ltd.
5.38%, 11/20/48^(e)			1,270		1,221,130
3.75%, 06/18/50^(e)			1,747		1,320,190
TransCanada PipeLines Ltd.
4.10%, 04/15/30			4,369		4,511,298
4.63%, 03/01/34			2,441		2,604,675
Transcontinental Gas Pipe Line Co. LLC
7.85%, 02/01/26			20,169		23,120,853
4.00%, 03/15/28			13,905		14,223,451
4.60%, 03/15/48			3,414		3,642,241
3.95%, 05/15/50			5,137		4,995,176
Venture Global Calcasieu Pass LLC, 3.88%, 11/01/33^(a)			2,772		2,650,725
Williams Cos., Inc., Series A, 7.50%, 01/15/31			2,180		2,708,858


					642,088,602

Paper & Forest Products — 0.0%
Georgia-Pacific LLC
7.75%, 11/15/29			1,275		1,635,643
8.88%, 05/15/31			528		737,633
Suzano Austria GmbH
5.75%, 07/14/26^(a)			707		758,258
3.75%, 01/15/31			800		749,200
3.13%, 01/15/32			2,360		2,091,078


					5,971,812

Pharmaceuticals — 0.3%
AstraZeneca PLC, 1.38%, 08/06/30			13,317		11,604,852
Bausch Health Americas, Inc.
9.25%, 04/01/26^(a)			2,469		2,528,651
8.50%, 01/31/27^(a)			2,881		2,873,135
Bausch Health Cos., Inc.
9.00%, 12/15/25^(a)			2,506		2,596,404
6.13%, 02/01/27^(a)			6,957		7,001,107
5.75%, 08/15/27^(a)			774		762,661
7.00%, 01/15/28^(a)			1,191		1,066,279
4.88%, 06/01/28^(a)			1,376		1,317,520
7.25%, 05/30/29^(a)			1,231		1,049,957
Johnson & Johnson, 3.50%, 01/15/48			2,585		2,648,119
Luye Pharma Group Ltd., 1.50%, 07/09/24^(e)(j)			500		499,219
Merck & Co., Inc., 2.45%, 06/24/50			2,945		2,448,318
Roche Holdings, Inc., 2.61%, 12/13/51^(a)			5,519		4,780,433
Shire Acquisitions Investments Ireland DAC, 2.88%, 09/23/23			1,760		1,764,879
Takeda Pharmaceutical Co. Ltd.
5.00%, 11/26/28			8,445		9,157,519
2.05%, 03/31/30			7,902		7,132,627


Security		Par (000)		Value

Pharmaceuticals (continued)
Takeda Pharmaceutical Co. Ltd. 2.00%, 07/09/40	EUR		9,260	$	9,678,720
Teva Pharmaceutical Finance Netherlands III BV
4.75%, 05/09/27	USD		1,175		1,123,535
5.13%, 05/09/29			1,560		1,490,268


					71,524,203

Professional Services — 0.0%
JSM Global S.a.r.l, 4.75%, 10/20/30^(a)			2,640		2,309,670


Real Estate Management & Development — 0.3%
Agile Group Holdings Ltd.
7.88%^(e)(l)			588		114,660
5.75%, 01/02/25^(e)			1,478		487,740
6.05%, 10/13/25^(e)			1,179		377,280
Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26^(a)			3,135		2,962,575
Arabian Centres Sukuk Ltd., 5.38%, 11/26/24^(e)			1,736		1,673,070
Central China Real Estate Ltd.
7.25%, 04/24/23^(e)			200		110,000
7.90%, 11/07/23^(e)			230		105,800
China Aoyuan Group Ltd.
8.50%, 01/23/22^(e)(f)(k)			747		123,255
6.35%, 02/08/24^(e)(f)(k)			1,300		208,000
5.98%, 08/18/25^(e)(f)(k)			500		80,000
6.20%, 03/24/26^(e)(f)(k)			4,461		713,760
China Evergrande Group
9.50%, 04/11/22^(e)(f)(k)			1,993		249,125
11.50%, 01/22/23^(e)(f)(k)			2,077		259,625
8.25%, 03/23/23^(e)(f)(k)			1,960		254,800
10.00%, 04/11/23^(e)(f)(k)			600		75,000
China SCE Group Holdings Ltd.
7.25%, 04/19/23^(e)			700		512,444
7.38%, 04/09/24^(e)			687		379,696
5.95%, 09/29/24^(e)			786		495,180
7.00%, 05/02/25^(e)			778		405,678
CIFI Holdings Group Co. Ltd.
6.45%, 11/07/24^(e)			200		176,000
6.00%, 07/16/25^(e)			592		488,400
5.95%, 10/20/25^(e)			200		163,000
Country Garden Holdings Co. Ltd.
5.40%, 05/27/25^(e)			765		585,225
2.70%, 07/12/26^(e)			695		483,025
DaFa Properties Group Ltd., 12.50%, 06/30/22			951		66,570
Fantasia Holdings Group Co. Ltd.
6.95%, 12/17/21^(e)(f)(k)			465		62,775
11.75%, 04/17/22^(e)(f)(k)			2,430		328,050
7.95%, 07/05/22^(e)(f)(k)			530		71,550
12.25%, 10/18/22^(e)(f)(k)			200		27,000
10.88%, 01/09/23^(e)(f)(k)			2,657		358,695
11.88%, 06/01/23^(e)(f)(k)			1,093		153,020
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25^(a)			4,330		4,430,889
Forestar Group, Inc.
3.85%, 05/15/26^(a)			1,482		1,381,965
5.00%, 03/01/28^(a)			3,502		3,283,125
Greenland Global Investment Ltd.
6.13%, 04/22/23^(e)			455		318,500
6.75%, 09/26/23^(e)			325		224,250
Haimen Zhongnan Investment Development International Co. Ltd., 10.88%, 06/18/22^(e)			695		243,250
Howard Hughes Corp., 5.38%, 08/01/28^(a)			4,396		4,413,496


76		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Real Estate Management & Development (continued)
Invitation Homes Operating Partnership LP
2.30%, 11/15/28	USD		2,681	$	2,425,339
4.15%, 04/15/32			4,058		4,144,307
Jingrui Holdings Ltd., 12.00%, 07/25/22^(e)			800		320,000
Kaisa Group Holdings Ltd.
11.95%, 10/22/22^(e)(f)(k)			900		175,500
11.50%, 01/30/23^(e)(f)(k)			1,161		220,590
10.88%, 07/23/23^(e)(f)(k)			1,321		258,255
9.75%, 09/28/23^(e)(f)(k)			1,191		223,164
KWG Group Holdings Ltd.
7.88%, 09/01/23^(e)			286		141,570
7.40%, 03/05/24^(e)			598		242,190
5.88%, 11/10/24^(e)			1,129		429,020
5.95%, 08/10/25^(e)			614		227,180
Logan Group Co. Ltd.
5.75%, 01/14/25^(e)			236		50,150
5.25%, 10/19/25^(e)			255		51,000
4.50%, 01/13/28^(e)			575		115,000
MAF Global Securities Ltd., 4.75%, 05/07/24^(e)			1,073		1,095,801
Modern Land China Co. Ltd.
11.50%, 11/13/22^(e)(f)(k)			593		106,740
9.80%, 04/11/23^(e)(f)(k)			1,544		277,920
11.95%, 03/04/24^(e)(f)(k)			450		81,000
New Metro Global Ltd.
6.80%, 08/05/23^(e)			1,017		772,920
4.80%, 12/15/24^(e)			335		234,500
4.50%, 05/02/26^(e)			399		255,360
Powerlong Real Estate Holdings Ltd.
7.13%, 11/08/22^(e)			620		303,800
6.95%, 07/23/23^(e)			200		78,000
6.25%, 08/10/24^(e)			672		255,360
Redsun Properties Group Ltd.
10.50%, 10/03/22^(e)			600		120,000
9.70%, 04/16/23^(e)			1,771		301,070
RKPF Overseas 2019 A Ltd.
5.90%, 03/05/25^(e)			1,184		917,600
6.00%, 09/04/25^(e)			345		269,100
RKPF Overseas 2020 A Ltd.
5.20%, 01/12/26^(e)			780		600,600
5.13%, 07/26/26^(e)			700		535,500
Ronshine China Holdings Ltd.
8.75%, 10/25/22^(e)			730		262,800
8.10%, 06/09/23^(e)			300		54,000
7.35%, 12/15/23^(e)			586		99,620
6.75%, 08/05/24^(e)			200		32,000
7.10%, 01/25/25^(e)			2,283		342,450
Shimao Group Holdings Ltd.
5.60%, 07/15/26^(e)			200		52,500
4.60%, 07/13/30^(e)			1,263		328,380
3.45%, 01/11/31^(e)			1,249		312,250
Shui On Development Holding Ltd.
5.75%, 11/12/23^(e)			300		286,500
6.15%, 08/24/24^(e)			895		836,825
5.50%, 03/03/25^(e)			1,284		1,174,860
Sinic Holdings Group Co. Ltd., 10.50%, 06/18/22^(e)(f)(k)			782		15,640
Sunac China Holdings Ltd.
7.95%, 10/11/23^(e)			693		187,110
7.50%, 02/01/24^(e)			987		241,815
6.65%, 08/03/24^(e)			1,189		291,305
6.50%, 01/10/25^(e)			1,089		266,805
7.00%, 07/09/25^(e)			1,233		302,085


Security		Par (000)		Value

Real Estate Management & Development (continued)
Theta Capital Pte Ltd.
8.13%, 01/22/25^(e)	USD		1,507	$	1,514,535
6.75%, 10/31/26^(e)			200		189,750
Times China Holdings Ltd.
5.75%, 04/26/22^(e)			300		277,500
6.75%, 07/08/25^(e)			1,325		516,750
5.75%, 01/14/27^(e)			1,997		718,920
Wanda Group Overseas Ltd.
7.50%, 07/24/22^(e)			840		798,000
8.88%, 03/21/23^(e)			630		548,100
Yango Justice International Ltd.
10.25%, 09/15/22^(f)(k)			606		30,300
9.25%, 04/15/23^(e)(f)(k)			305		15,250
8.25%, 11/25/23^(e)(f)(k)			1,700		85,000
7.50%, 04/15/24^(e)(f)(k)			1,482		74,100
Yanlord Land HK Co. Ltd.
6.75%, 04/23/23^(e)			200		194,000
6.80%, 02/27/24^(e)			680		646,000
5.13%, 05/20/26^(e)			671		603,900
Yuzhou Group Holdings Co. Ltd.
7.70%, 02/20/25^(e)(f)(k)			584		81,760
8.30%, 05/27/25^(e)			818		114,520
7.38%, 01/13/26^(e)			673		87,827
6.35%, 01/13/27^(e)			800		112,000
Yuzhou Properties Co. Ltd.
6.00%, 10/25/23^(e)			620		86,800
8.50%, 02/26/24^(e)(f)(k)			1,389		194,460
8.38%, 10/30/24^(e)			700		91,350
Zhenro Properties Group Ltd., 8.35%, 03/10/24^(e)			560		61,600


					54,204,376

Road & Rail — 0.7%
Burlington Northern Santa Fe LLC
5.75%, 05/01/40			4,135		5,152,849
3.30%, 09/15/51			13,073		12,362,289
2.88%, 06/15/52			1,218		1,078,977
CSX Corp.
4.30%, 03/01/48			5,959		6,401,839
4.75%, 11/15/48			379		434,051
3.35%, 09/15/49			2,236		2,081,272
4.25%, 11/01/66			3,597		3,738,860
Movida Europe SA, 5.25%, 02/08/31^(e)			707		630,644
Norfolk Southern Corp.
3.65%, 08/01/25			3,515		3,556,788
2.90%, 06/15/26			6,045		5,969,979
3.00%, 03/15/32			11,713		11,414,273
3.40%, 11/01/49			1,244		1,161,000
3.05%, 05/15/50			4,801		4,276,505
4.05%, 08/15/52			6,058		6,361,572
Penske Truck Leasing Co. LP/PTL Finance Corp.
4.25%, 01/17/23^(a)			2,565		2,602,833
3.95%, 03/10/25^(a)			2,210		2,233,844
4.00%, 07/15/25^(a)			6,435		6,497,528
1.20%, 11/15/25^(a)			6,444		5,914,369
4.45%, 01/29/26^(a)			280		287,950
1.70%, 06/15/26^(a)			9,334		8,660,842
Ryder System, Inc.
2.50%, 09/01/22			120		120,353
2.50%, 09/01/24			1,829		1,805,047
4.63%, 06/01/25			17,920		18,550,252


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		77

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Road & Rail (continued)
Union Pacific Corp.
3.25%, 08/15/25	USD		4,144	$	4,163,223
2.75%, 03/01/26			4,737		4,706,646
3.84%, 03/20/60			10,971		11,009,144
2.97%, 09/16/62			7,923		6,704,518
3.75%, 02/05/70			2,520		2,453,533
3.85%, 02/14/72			3,478		3,436,710
Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1, 3.23%, 05/14/26			2,471		2,465,830


					146,233,520

Semiconductors & Semiconductor Equipment — 1.1%
Analog Devices, Inc.
2.10%, 10/01/31			3,352		3,091,379
2.80%, 10/01/41			2,385		2,139,951
Applied Materials, Inc., 2.75%, 06/01/50			2,671		2,375,237
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27			10,184		10,252,080
Broadcom, Inc.
4.11%, 09/15/28			4,360		4,411,790
4.75%, 04/15/29			8,666		9,105,638
5.00%, 04/15/30			5,430		5,772,055
2.45%, 02/15/31^(a)			3,438		3,066,964
4.15%, 04/15/32^(a)			7,895		7,877,710
4.30%, 11/15/32			3,746		3,801,315
3.42%, 04/15/33^(a)			21,345		19,921,750
3.47%, 04/15/34^(a)			15,397		14,259,643
Intel Corp.
3.73%, 12/08/47			9,559		9,547,105
4.75%, 03/25/50			3,913		4,556,823
3.20%, 08/12/61			2,968		2,624,717
KLA Corp.
4.10%, 03/15/29			9,367		9,830,854
5.00%, 03/15/49			2,768		3,306,614
3.30%, 03/01/50			11,466		10,800,058
Lam Research Corp.
3.75%, 03/15/26			3,675		3,776,241
4.88%, 03/15/49			4,318		5,143,537
2.88%, 06/15/50			5,283		4,673,086
Micron Technology, Inc., 2.70%, 04/15/32			3,573		3,234,673
NVIDIA Corp., 3.50%, 04/01/50			9,168		9,265,273
NXP BV/NXP Funding LLC/NXP U.S.A., Inc.
4.30%, 06/18/29^(a)			16,413		16,913,597
3.40%, 05/01/30^(a)			15,918		15,452,558
2.50%, 05/11/31^(a)			17,559		15,725,840
2.65%, 02/15/32^(a)			10,939		9,822,456
3.25%, 11/30/51^(a)			2,658		2,226,527
QUALCOMM, Inc.
4.80%, 05/20/45			7,444		8,635,482
4.30%, 05/20/47			7,139		8,033,400


					229,644,353

Software — 1.0%
Autodesk, Inc.
3.50%, 06/15/27			8,651		8,695,705
2.40%, 12/15/31			5,098		4,545,323
Broadridge Financial Solutions, Inc., 3.40%, 06/27/26			3,949		3,981,655
Consensus Cloud Solutions, Inc., 6.00%, 10/15/26^(a)			952		944,860
Coupa Software, Inc., 0.38%, 06/15/26^(j)			1,000		839,000
Electronic Arts, Inc., 1.85%, 02/15/31			9,295		8,163,473
LogMeIn, Inc., 5.50%, 09/01/27^(a)			12,500		11,667,000
Microsoft Corp., 2.92%, 03/17/52			14,242		13,364,538


Security		Par (000)		Value

Software (continued)
Oracle Corp.
3.90%, 05/15/35	USD		11,460	$	10,776,786
3.85%, 07/15/36			6,365		5,858,694
3.80%, 11/15/37			8,118		7,341,796
6.13%, 07/08/39			3,476		3,966,258
3.60%, 04/01/40			18,895		16,391,155
3.65%, 03/25/41			29,736		25,972,491
4.13%, 05/15/45			6,334		5,688,064
4.00%, 07/15/46			6,377		5,658,584
4.00%, 11/15/47			12,066		10,670,803
3.60%, 04/01/50			15,434		12,800,378
3.95%, 03/25/51			4,795		4,191,862
Playtika Holding Corp., 4.25%, 03/15/29^(a)			972		896,670
S&P Global, Inc.
4.75%, 08/01/28^(a)			10,000		10,743,462
3.90%, 03/01/62^(a)			435		447,449
salesforce.com, Inc., 3.05%, 07/15/61			8,407		7,374,597
ServiceNow, Inc., 1.40%, 09/01/30			13,747		11,683,237
VMware, Inc.
1.80%, 08/15/28			3,606		3,198,185
2.20%, 08/15/31			14,881		13,101,720
Workday, Inc., 3.80%, 04/01/32			4,535		4,526,370


					213,490,115

Specialty Retail — 0.2%
Home Depot, Inc.
4.25%, 04/01/46			4,490		4,911,097
4.50%, 12/06/48			4,660		5,235,348
Li & Fung Ltd., 4.38%, 10/04/24^(e)			1,250		1,213,125
Lowe’s Cos., Inc.
1.70%, 09/15/28			8,411		7,612,228
3.65%, 04/05/29			9,190		9,338,910
2.80%, 09/15/41			8,435		7,224,588
4.25%, 04/01/52			2,036		2,105,903
SRS Distribution, Inc., 4.63%, 07/01/28^(a)			859		820,525


					38,461,724

Technology Hardware, Storage & Peripherals — 0.3%
Apple Inc.
3.85%, 05/04/43			7,698		8,097,053
2.55%, 08/20/60			6,900		5,654,699
2.80%, 02/08/61			9,649		8,296,353
CA Magnum Holdings, 5.38%, 10/31/26^(e)			1,775		1,730,625
Dell International LLC/EMC Corp.
6.02%, 06/15/26			2,932		3,176,026
4.90%, 10/01/26			9,113		9,558,577
8.35%, 07/15/46			552		806,687
3.45%, 12/15/51^(a)			3,341		2,714,194
HP, Inc.
2.65%, 06/17/31			5,245		4,692,709
6.00%, 09/15/41			3,064		3,570,843
SK Hynix, Inc., 2.38%, 01/19/31^(e)			1,640		1,419,256
Western Digital Corp., 2.85%, 02/01/29			1,835		1,676,438
Xerox Holdings Corp.
5.00%, 08/15/25^(a)			18,100		18,303,625
5.50%, 08/15/28^(a)			1,833		1,787,652


					71,484,737

Textiles, Apparel & Luxury Goods — 0.0%
William Carter Co., 5.63%, 03/15/27^(a)			220		223,247


Thrifts & Mortgage Finance — 0.0%
Freedom Mortgage Corp.
8.13%, 11/15/24^(a)			2,638		2,628,107
8.25%, 04/15/25^(a)			2,068		2,061,755


78		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Thrifts & Mortgage Finance (continued)
Nationstar Mortgage Holdings, Inc.
6.00%, 01/15/27^(a)	USD		793	$	806,957
5.50%, 08/15/28^(a)			2,642		2,539,754


					8,036,573

Tobacco — 0.3%
Altria Group, Inc.
3.40%, 05/06/30			4,962		4,772,144
3.13%, 06/15/31	EUR		12,780		14,141,353
5.80%, 02/14/39	USD		9,650		10,400,787
3.40%, 02/04/41			3,201		2,626,887
BAT Capital Corp.
3.22%, 09/06/26			6,146		5,949,572
5.28%, 04/02/50			2,455		2,428,344
Philip Morris International, Inc., 1.45%, 08/01/39	EUR		10,050		8,444,201
Reynolds American, Inc., 5.85%, 08/15/45	USD		6,970		7,171,620


					55,934,908

Trading Companies & Distributors — 0.0%
Herc Holdings, Inc., 5.50%, 07/15/27^(a)			2,137		2,166,918


Transportation Infrastructure — 0.0%
Delhi International Airport Ltd., 6.13%, 10/31/26^(e)			300		292,369


Wireless Telecommunication Services — 0.5%
Digicel Group Holdings Ltd., (5.00% Cash and 3.00% PIK or 8.00% PIK), 8.00%, 04/01/25^(a)(m)			1,069		931,155
Kenbourne Invest SA
6.88%, 11/26/24^(a)			3,075		3,013,885
4.70%, 01/22/28^(a)			1,260		1,102,500
Millicom International Cellular SA, 6.63%, 10/15/26^(a)			990		1,012,151
Rogers Communications, Inc.
3.80%, 03/15/32^(a)			18,232		18,090,822
4.55%, 03/15/52^(a)			11,308		11,241,941
T-Mobile U.S.A., Inc.
3.75%, 04/15/27			13,083		13,159,474
3.88%, 04/15/30			44,497		44,667,830
2.55%, 02/15/31			2,455		2,226,198
2.70%, 03/15/32^(a)			6,045		5,499,091
3.40%, 10/15/52^(a)			3,138		2,668,681


					103,613,728


Total Corporate Bonds — 32.6% (Cost: $7,355,366,622)					6,885,638,920


Floating Rate Loan Interests^(c)

Aerospace & Defense — 0.0%
Cobham Ultra U.S. Co-Borrower LLC, Term Loan, 12/24/28^(p)			1,953		1,929,408


Air Freight & Logistics — 0.0%
XPO Logistics, Inc., Refinancing Term Loan (2018), (1 mo. LIBOR US + 1.75%, 0.00% Floor), 1.99%, 02/23/25			6,661		6,592,674


Security	Par (000)		Value

Airlines — 0.1%
Allegiant Travel Co., Replacement Term Loan, (3 mo. LIBOR US + 3.00%, 0.00% Floor), 3.47%, 02/05/24 USD		11,806	$	11,633,634
Kestrel Bidco, Inc., Term Loan, (3 mo. LIBOR US + 3.00%, 1.00% Floor), 4.00%, 12/11/26		7,434		7,147,933


				18,781,567

Beverages — 0.0%
City Brewing Co. LLC, Closing Date Term Loan (First Lien), (3 mo. LIBOR US + 3.50%, 0.75% Floor), 4.25%, 04/05/28		2,158		1,963,921
Naked Juice LLC
Term Loan B, 01/24/29^(p)		1,250		1,227,809
Term Loan B, 01/24/30^(p)		460		457,700
Triton Water Holdings, Inc., Initial Term Loan (First Lien), (3 mo. LIBOR US + 3.50%, 0.50% Floor), 4.51%, 03/31/28		2,282		2,221,863


				5,871,293

Biotechnology — 0.0%
Grifols Worldwide Operations Ltd., Dollar Tranche B Term Loan, (1 mo. LIBOR US + 2.00%, 0.00% Floor), 2.46%, 11/15/27		6,717		6,596,456


Building Products — 0.1%
Cornerstone Building Brands, Inc., Tranche B Term Loan, (1 mo. LIBOR US + 3.25%, 0.50% Floor), 3.75%, 04/12/28		2,300		2,221,440
CP Iris Holdco I, Inc., Initial Term Loan (First Lien), (1 mo. LIBOR US + 3.50%, 0.50% Floor), 4.00%, 10/05/28		840		818,433
JELD-WEN, Inc., Replacement Term Loan, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 2.71%, 07/31/28		4,493		4,446,994
TAMKO Building Products LLC
Initial Term Loan, (3 mo. LIBOR US + 3.00%, 0.00% Floor), 3.30%, 05/31/26		1,886		1,843,107
Initial Term Loan, (3 mo. LIBOR US + 3.00%, 0.00% Floor), 4.01%, 05/31/26		895		875,086
Initial Term Loan, (3 mo. LIBOR US + 3.00%, 0.00% Floor), 3.51%, 05/31/26		927		906,303
Zurn LLC (Zurn Holdings, Inc.), Term B Loan (First Lien), (1 mo. LIBOR US + 2.25%, 0.50% Floor), 2.75%, 10/04/28		874		867,982


				11,979,345

Chemicals — 0.1%
Aruba Investments Holdings LLC, Initial Dollar Term Loan (First Lien), (3 mo. LIBOR US + 3.75%, 0.75% Floor), 4.50%, 11/24/27		2,493		2,456,068
Bakelite UK Intermediate Ltd., Term Loan, 02/02/29^(d)(p)		7,459		7,253,877
Flexsys Holdings, Inc., Initial Term Loan (First Lien), (3 mo. LIBOR US + 5.25%, 0.75% Floor), 6.00%, 11/01/28^(d)		2,312		2,285,990
LSF11 A5 Holdco LLC, Term Loan, (1 mo. CME Term SOFR US + 3.50%, 0.50% Floor), 4.11%, 10/13/28		9,431		9,287,177
SCIH Salt Holdings, Inc., Incremental Term B-1 Loan (First Lien), (3 mo. LIBOR US + 4.00%, 0.75% Floor), 4.75%, 03/16/27		5,152		5,057,480


				26,340,592


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		79

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Commercial Services & Supplies — 0.2%
621 17th Street Operating Co. LLC (633 17th Street Operating Co. LLC), Loan, (1 mo. LIBOR US + 6.94%, 0.00% Floor), 7.38%, 11/15/22^(d) USD		7,082	$	6,515,765
AEA International Holdings (Luxembourg) S.a.r.l., Initial Term Loan (First Lien), (3 mo. LIBOR US + 3.75%, 0.50% Floor), 4.81%, 09/07/28^(d)		3,796		3,782,149
Allied Universal Holdco LLC (FKA USAGM Holdco LLC), Initial U.S. Dollar Term Loan, (1 mo. LIBOR US + 3.75%, 0.50% Floor), 4.25%, 05/14/28		3,767		3,704,499
American Auto Auction Group LLC
Tranche B Term Loan (First Lien), (3 mo. CME Term SOFR US + 5.00%, 0.75% Floor), 5.90%, 12/30/27		9,967		9,780,138
Tranche B Term Loan (Second Lien), (3 mo. CME Term SOFR US + 8.75%, 0.75% Floor), 9.50%, 12/30/28^(d)		5,313		5,206,740
DRI Holding, Inc., Closing Date Term Loan (First Lien), (1 mo. LIBOR US + 5.25%, 0.50% Floor), 5.75%, 12/21/28		3,178		3,114,440
DS Parent, Inc., Term B Loan, (3 mo. LIBOR US + 5.75%, 0.75% Floor), 6.76%, 12/10/28^(d)		5,052		4,900,488
KAR Auction Services, Inc., Tranche B-6 Term Loan, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 2.75%, 09/19/26^(d)		1,053		1,042,599
MIP V Waste LLC, Initial Term Loan, (1 mo. LIBOR US + 3.25%, 0.50% Floor), 3.75%, 12/10/28		2,698		2,664,275
Signal Parent, Inc., Initial Term Loan, (1 mo. LIBOR US + 3.50%, 0.75% Floor), 4.25%, 04/01/28		3,419		3,036,661


				43,747,754

Construction & Engineering — 0.0%
PLH Infrastructure Services, Inc., Term Loan, (3 mo. LIBOR US + 6.00%, 0.00% Floor), 6.39%, 08/07/23^(d)		2,312		2,277,670


Construction Materials — 0.0%
Advanced Drainage Systems, Inc., Initial Term Loan, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 2.50%, 09/24/26		739		734,385
White Cap Supply Holdings LLC, Initial Closing Date Term Loan, (1 mo. CME Term SOFR US + 3.75%, 0.50% Floor), 4.25%, 10/19/27		8,081		7,976,310


				8,710,695

Consumer Finance — 0.0%
Crédito Real SAB de CV, SOFOM, ENR (Marevalley Corp.), Tranche A Loan, (3 mo. LIBOR US + 3.75%, 0.00% Floor), 4.23%, 02/21/23^(d)		571		114,100


Containers & Packaging — 0.0%
Valcour Packaging LLC, Initial Term Loan (First Lien), (3 mo. LIBOR US + 3.75%, 0.50% Floor), 4.25%, 09/30/28^(d)		2,051		1,999,725


Diversified Financial Services — 0.4%
BSREP II Houston Office 1HC Owner LLC, Mezzanine Loan, (1 mo. LIBOR US + 2.10%, 0.00% Floor), 2.29%, 01/09/23^(d)		11,236		11,235,822


Security		Par (000)		Value

Diversified Financial Services (continued)
Clydesdale Acquisition Holdings, Inc., Seven Year Term Loan, 03/30/29^(p)	USD		4,176	$	4,106,386
Flutter Entertainment PLC, USD Term Loan, (3 mo. LIBOR US + 2.25%, 0.00% Floor), 3.26%, 07/21/26			12,976		12,860,090
PECO-PD III Borrower LP, Revolving Credit Facility, 11/20/24^(d)(p)			17,841		17,840,667
Project Pearl Pasco Holdings LLC, Advance, (3 mo. LIBOR US + 2.25%, 1.00% Floor), 09/15/23^(p)			32,350		32,236,677
Woof Holdings, Inc., Initial Term Loan (First Lien), (3 mo. LIBOR US + 3.75%, 0.75% Floor), 4.68%, 12/21/27			1,869		1,852,765


					80,132,407

Diversified Telecommunication Services — 0.1%
Cablevision Lightpath LLC, Initial Term Loan, (1 mo. LIBOR US + 3.25%, 0.50% Floor), 3.75%, 12/01/27			1,208		1,190,805
Connect Finco S.a.r.l., Amendment No. 1 Refinancing Term Loan, (1 mo. LIBOR US + 3.50%, 1.00% Floor), 4.50%, 12/12/26			2,484		2,460,699
Frontier Communications Corp., Term Loan B, (3 mo. LIBOR US + 3.75%, 0.75% Floor), 4.81%, 10/08/27			7,056		6,938,555
MetroNet Systems Holdings LLC, 2021 Term Loan (First Lien), (1 mo. CME Term SOFR US + 3.75%, 0.75% Floor), 4.50%, 06/02/28			2,783		2,748,933


					13,338,992

Electronic Equipment, Instruments & Components — 0.0%
Emerald Technologies (U.S.) Acquisitionco, Inc., Term B Loan, (3 mo. CME Term SOFR US + 6.25%, 1.00% Floor), 7.25%, 12/29/27^(d)			3,808		3,693,760
Robertshaw U.S. Holding Corp. (FKA Fox U.S. Bidco Corp.), Initial Term Loan (Second Lien), (3 mo. LIBOR US + 8.00%, 1.00% Floor), 9.00%, 02/28/26^(d)			1,795		1,346,250


					5,040,010

Energy Equipment & Services — 0.1%
ProFrac Holdings II LLC, Term Loan, 03/04/25^(p)			8,927		8,748,460


Entertainment — 0.0%
Entain plc, Facility B (USD), (6 mo. LIBOR US + 2.25%, 0.50% Floor), 3.74%, 03/16/27^(d)			5,058		5,007,202


Food Products — 0.1%
BCPE North Star U.S. Holdco 2, Inc., Initial Term Loan (First Lien), (3 mo. LIBOR US + 4.00%, 0.75% Floor), 4.75%, 06/10/28			4,961		4,853,587
JBS U.S.A. Lux SA (FKA JBS U.S.A. LLC), New Term Loan, (3 mo. LIBOR US + 2.00%, 0.00% Floor), 2.80%, 05/01/26			3,291		3,257,356
Shearer’s Foods LLC, Refinancing Term Loan (First Lien), (1 mo. LIBOR US + 3.50%, 0.75% Floor), 4.25%, 09/23/27			977		946,615
Sovos Brands Intermediate, Inc., Initial Term Loan (First Lien), (3 mo. LIBOR US + 3.75%, 0.75% Floor), 4.50%, 06/08/28			826		815,781


					9,873,339


80		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Health Care Equipment & Supplies — 0.1%
Medline Borrower LP, Initial Dollar Term Loan, (1 mo. LIBOR US + 3.25%, 0.50% Floor), 3.75%, 10/21/28	USD		20,877	$	20,657,791
Owens & Minor, Inc., Term B-1 Facility, 03/29/29^(d)(p)			3,446		3,428,770


				24,086,561

Health Care Providers & Services — 0.0%
Change Healthcare Holdings LLC, Closing Date Term Loan, (1 mo. LIBOR US + 2.50%, 1.00% Floor), 3.50%, 03/01/24			2,970		2,950,374
Medical Solutions Holdings, Inc., Initial Term Loan (Second Lien), (3 mo. LIBOR US + 7.00%, 0.50% Floor), 7.50%, 11/01/29			1,587		1,523,520
Select Medical Corp., Tranche B Term Loan, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 2.71%, 03/06/25			1,124		1,109,167


					5,583,061

Hotels, Restaurants & Leisure — 0.9%
Aimbridge Acquisition Co., Inc.
2021 Term Loan (First Lien), (1 mo. LIBOR US + 4.75%, 0.75% Floor), 5.50%, 02/01/26			2,021		2,003,594
Initial Term Loan (2019) (First Lien), (1 mo. LIBOR US + 3.75%, 0.00% Floor), 4.21%, 02/01/26			3,854		3,768,790
Aspen Owner LLC, Advance, (3 mo. CME Term SOFR US + 2.90%, 0.10% Floor), 3.36%, 02/09/27^(d)			14,555		14,341,450
Bally’s Corp., Term B Facility Loan, (3 mo. LIBOR US + 3.25%, 0.50% Floor), 3.75%, 10/01/28			16,006		15,905,848
Caesars Resort Collection LLC, Term B-1 Loan, (1 mo. LIBOR US + 3.50%, 0.00% Floor), 3.96%, 07/20/25			2,170		2,160,190
DuPont Hotel Project Owner LLC, Term Loan, 04/01/24^(d)(p)			12,322		11,336,506
ECL Entertainment LLC, Term B Loan, (3 mo. LIBOR US + 7.50%, 0.75% Floor), 8.25%, 04/30/28			5,238		5,260,259
Enterprise Development Authority, Term B Loan, (1 mo. LIBOR US + 4.25%, 0.75% Floor), 5.00%, 02/01/28			3,415		3,381,098
Fertitta Entertainment LLC, Initial B Term Loan, (1 mo. CME Term SOFR US + 4.00%, 0.50% Floor), 4.50%, 01/27/29			7,382		7,335,626
Herschend Entertainment Co. LLC, Initial Term Loan (2021), (1 mo. LIBOR US + 3.75%, 0.50% Floor), 4.25%, 08/27/28			1,915		1,901,010
Hilton Grand Vacations Borrower LLC, Initial Term Loan, (1 mo. LIBOR US + 3.00%, 0.50% Floor), 3.50%, 08/02/28			6,762		6,714,686
HLP Hotel LLC, Term Loan, (1 mo. LIBOR US + 3.43%, 1.00% Floor), 3.56%, 09/09/26^(d)			12,200		12,139,000
HRNI Holdings LLC (FKA Spectacle Gary Holdings LLC), Term B Loan, (1 mo. LIBOR US + 4.25%, 0.75% Floor), 5.00%, 12/10/28			20,029		19,845,755
Jack Ohio Finance LLC, Initial Term Loan, (1 mo. LIBOR US + 4.75%, 0.75% Floor), 5.50%, 10/04/28^(d)			3,029		2,991,540
Maverick Gaming LLC, Term B Facility Loan, (3 mo. LIBOR US + 7.50%, 1.00% Floor), 8.50%, 09/07/26			2,811		2,761,685


Security		Par (000)		Value

Hotels, Restaurants & Leisure (continued)
Mensa II Austin Hotel LP, Promissory Note A-3, (1 mo. LIBOR US + 3.48%, 0.25% Floor), 3.73%, 06/01/24^(d)	USD		10,770	$	10,646,627
PCI Gaming Authority, Term B Facility Loan, (1 mo. LIBOR US + 2.50%, 0.00% Floor), 2.96%, 05/31/26			6,077		6,022,545
Raptor Acquisition Corp., Term B Loan (First Lien), (3 mo. LIBOR US + 4.00%, 0.75% Floor), 4.93%, 11/01/26			821		815,557
Scientific Games Corp., Term Loan, 02/04/29^(p)			9,946		9,842,959
SeaWorld Parks & Entertainment, Inc., Term B Loan, (1 mo. LIBOR US + 3.00%, 0.50% Floor), 3.50%, 08/25/28			21,425		21,141,449
Sodalite Tahoe Hotel LLC, Loan, (3 mo. LIBOR US + 2.99%, 0.00% Floor), 2.99%, 10/25/24^(d)			6,570		6,570,290
The Vinoy St. Petersburg, Note A, (1 mo. LIBOR US + 2.55%, 0.50% Floor), 3.05%, 06/07/24^(d)			13,596		13,477,695


					180,364,159

Household Durables — 0.0%
ACProducts Holdings, Inc., Initial Term Loan, (3 mo. LIBOR US + 4.25%, 0.50% Floor), 4.75%, 05/17/28			4,618		4,153,706
MI Windows and Doors LLC, Term B-1 Loan, (1 mo. SOFR US + 3.50%, 0.50% Floor), 4.00%, 12/18/27			1,948		1,922,031


					6,075,737

Household Products — 0.0%
Conair Holdings LLC, Initial Term Loan (First Lien), (3 mo. LIBOR US + 3.75%, 0.50% Floor), 4.76%, 05/17/28			1,242		1,220,029
Kronos Acquisition Holdings, Inc., Initial Loan, (3 mo. CME Term SOFR US + 6.00%, 1.00% Floor), 7.00%, 12/22/26			1,688		1,671,829
SWF Holdings I Corp., Initial Term Loan (First Lien), (1 mo. LIBOR US + 4.00%, 0.75% Floor), 4.75%, 10/06/28			1,991		1,927,945


					4,819,803

Independent Power and Renewable Electricity Producers — 0.0%
Green Plains Operating Co. LLC, Loan, (3 mo. LIBOR US + 8.00%, 0.00% Floor), 8.20%, 07/20/26^(d)			6,407		6,407,000
WIN Waste Innovations Holdings, Inc., Initial Term Loan, (3 mo. LIBOR US + 2.75%, 0.50% Floor), 3.76%, 03/25/28			794		786,560


					7,193,560

Interactive Media & Services — 0.1%
OD Intermediate SUBI Holdco II LLC, Closing Date Advance, (1 mo. FIXED US + 10.00%, 0.00% Floor), 10.00%, 04/01/26^(d)			9,670		9,369,963


IT Services — 0.1%
Avaya, Inc.
Tranche B-1 Term Loan, (1 mo. LIBOR US + 4.25%, 0.00% Floor), 4.64%, 12/15/27			1,500		1,487,625
Tranche B-2 Term Loan, (1 mo. LIBOR US + 4.00%, 0.00% Floor), 4.40%, 12/15/27			1,500		1,481,250


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		81

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

IT Services (continued)
GoTo Group, Inc., Initial Term Loan (First Lien), (1 mo. LIBOR US + 4.75%, 0.00% Floor), 5.22%, 08/31/27	USD		6,650	$	6,519,024
Surf Holdings S.a r.l., Dollar Tranche Term Loan (First Lien), (3 mo. LIBOR US + 3.50%, 0.00% Floor), 4.11%, 03/05/27			2,031		2,009,603


					11,497,502

Leisure Products — 0.0%
J & J Ventures Gaming LLC, Initial Term Loan, (1 mo. LIBOR US + 4.00%, 0.75% Floor), 4.75%, 04/26/28			4,385		4,335,634
Leslie’s Poolmart, Inc., Initial Term Loan, (3 mo. LIBOR US + 2.50%, 0.50% Floor), 3.02%, 03/09/28			1,183		1,165,561
OVG Business Services LLC, Initial Term Loan, (3 mo. LIBOR US + 6.25%, 1.00% Floor), 7.25%, 11/20/28			3,086		2,970,275


					8,471,470

Machinery — 0.1%
Apex Tool Group LLC, Initial Term Loan (First Lien), (1 mo. CME Term SOFR US + 5.25%, 0.50% Floor), 5.75%, 02/08/29			10,246		9,964,280
Columbus McKinnon Corp., Initial Term Loan, (3 mo. LIBOR US + 2.75%, 0.50% Floor), 3.81%, 05/14/28			513		503,632
Gates Global LLC, Initial B-3 Dollar Term Loan, (1 mo. LIBOR US + 2.50%, 0.75% Floor), 3.25%, 03/31/27			792		779,295
Hydrofarm Holdings Group, Inc., Term Loan, (1 mo. LIBOR US + 5.50%, 1.00% Floor), 6.50%, 10/25/28^(d)			2,282		2,168,166


					13,415,373

Media — 0.1%
Charter Communications Operating LLC, Term A-4 Loan, (1 mo. LIBOR US + 1.25%, 0.00% Floor), 1.71%, 02/01/25^(d)			3,902		3,882,556
CSC Holdings LLC (FKA CSC Holdings, Inc. (Cablevision)), September 2019 Initial Term Loan, (1 mo. LIBOR US + 2.50%, 0.00% Floor), 2.90%, 04/15/27			4,458		4,373,234
DirecTV Financing LLC, Closing Date Term Loan, (1 mo. LIBOR US + 5.00%, 0.75% Floor), 5.75%, 08/02/27			5,000		4,989,329
Gray Television, Inc., Term D Loan, (1 mo. LIBOR US + 3.00%, 0.00% Floor), 3.23%, 12/01/28			6,085		6,047,816
Lamar Media Corp., Term B Loan, (1 mo. LIBOR US + 1.50%, 0.00% Floor), 1.97%, 02/06/27			477		473,593
Univision Communications, Inc.
2021 Replacement Converted First-Lien Term Loan, (1 mo. LIBOR US + 3.25%, 0.75% Floor), 4.00%, 03/24/26			2,783		2,763,286
Initial First-Lien Term Loan, (1 mo. LIBOR US + 3.25%, 0.75% Floor), 4.00%, 01/31/29			2,000		1,976,660


					24,506,474


Security		Par (000)		Value

Metals & Mining — 0.0%
American Rock Salt Co. LLC, Initial Loan (First Lien), (1 mo. LIBOR US + 4.00%, 0.75% Floor), 4.75%, 06/11/28	USD		1,268	$	1,252,560
Zekelman Industries, Inc., 2020 Term Loan, (1 mo. LIBOR US + 2.00%, 0.00% Floor), 2.46%, 01/24/27			1,330		1,302,546


					2,555,106

Multiline Retail — 0.0%
Michaels Cos., Inc., Term B Loan, (3 mo. LIBOR US + 4.25%, 0.75% Floor), 5.26%, 04/15/28			1,125		1,052,501


Multi-Utilities — 0.0%
PG&E Corp., Loan, (1 mo. LIBOR US + 3.00%, 0.50% Floor), 3.50%, 01/01/22			7,701		7,595,519


Oil, Gas & Consumable Fuels — 0.1%
Buckeye Partners LP, 2021 Tranche B-1 Term Loan, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 2.71%, 11/01/26			11,404		11,309,943
DT Midstream, Inc., Initial Term Loan, (3 mo. LIBOR US + 2.00%, 0.50% Floor), 2.50%, 06/10/28			4,160		4,148,586
ITT Holdings LLC, Initial Term Loan, (1 mo. LIBOR US + 2.75%, 0.50% Floor), 3.25%, 07/08/28			2,068		2,036,596
Southwestern Energy Co., Initial Loan, (3 mo. CME Term SOFR US + 2.50%, 0.50% Floor), 3.15%, 06/22/27^(d)			4,243		4,232,756


					21,727,881

Personal Products — 0.1%
Olaplex, Inc., Initial Term Loan, (3 mo. CME Term SOFR US + 3.75%, 0.50% Floor), 4.38%, 02/23/29^(d)			12,107		12,046,465


Pharmaceuticals — 0.1%
Bausch Health Cos., Inc., Initial Term Loan, (1 mo. LIBOR US + 3.00%, 0.00% Floor), 3.46%, 06/01/25			5,566		5,514,938
Jazz Pharmaceuticals Public Ltd. Co., Initial Dollar Term Loan, (1 mo. LIBOR US + 3.50%, 0.50% Floor), 4.00%, 05/05/28			6,985		6,952,568


					12,467,506

Professional Services — 0.0%
Vaco Holdings LLC, Term Loan B, 01/21/29^(p)			3,797		3,765,849


Real Estate Management & Development — 0.2%
BRE Park Avenue Tower Owner LLC, Mezzanine A Loan, (1 mo. LIBOR US + 2.05%, 0.00% Floor), 2.36%, 03/09/24^(d)			16,472		16,471,936
HP LQ Investment LP, Term Loan, (1 mo. CME Term SOFR US + 3.00%, 0.00% Floor), 3.22%, 12/09/24^(d)			9,990		9,989,744
MUPR 3 Assets LLC, Facility, (1 mo. SOFR US + 2.75%, 0.00% Floor), 2.80%, 09/25/23			9,012		9,011,664
Paradise Plaza Associates LLC, Term Loan, 12/07/26^(d)(p)			12,093		11,937,912


				47,411,256

Road & Rail — 0.0%
Genesee & Wyoming, Inc., Initial Term Loan, (3 mo. LIBOR US + 2.00%, 0.00% Floor), 3.01%, 12/30/26			4,173		4,121,973


82		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Semiconductors & Semiconductor Equipment — 0.1%
Altar Bidco, Inc., Initial Term Loan (First Lien), 02/01/29^(p)	USD		19,648	$	19,359,371


Software — 0.2%
Barracuda Networks, Inc., 2020 Term Loan (First Lien), (3 mo. LIBOR US + 3.75%, 0.75% Floor), 4.73%, 02/12/25			1,980		1,969,010
ConnectWise LLC, Initial Term Loan, (1 mo. LIBOR US + 3.50%, 0.50% Floor), 4.00%, 09/30/28			6,371		6,320,064
Genesys Cloud Services Holdings I LLC
Initial Dollar Term Loan (2020), (1 mo. LIBOR US + 4.00%, 0.75% Floor), 4.98%, 12/01/27			1,159		1,155,694
Initial Dollar Term Loan (2020), (1 mo. LIBOR US + 4.00%, 0.75% Floor), 4.75%, 12/01/27			543		541,274
Informatica LLC, Initial Term Loan, (1 mo. LIBOR US + 2.75%, 0.00% Floor), 3.25%, 10/29/28			9,771		9,658,634
Interface Security Systems LLC, Initial Term Loan, 08/07/23^(d)(p)			5,413		5,217,501
Ping Identity Corp., Term Loan, (1 mo. CME Term SOFR US + 3.75%, 0.50% Floor), 4.25%, 11/23/28^(d)			2,500		2,481,250
Playtika Holding Corp., Term B-1 Loan, (1 mo. LIBOR US + 2.75%, 0.00% Floor), 3.21%, 03/11/28			6,443		6,338,931
Project Ruby Ultimate Parent Corp., Closing Date Term Loan (First Lien), (1 mo. LIBOR US + 3.25%, 0.75% Floor), 4.00%, 03/10/28			4,334		4,286,544
VS Buyer LLC, Initial Term Loan, (1 mo. LIBOR US + 3.00%, 0.00% Floor), 3.46%, 03/02/27			5,889		5,825,052


					43,793,954

Specialty Retail — 0.2%
Fanatics Commerce Intermediate Holdco LLC, Initial Term Loan, (1 mo. LIBOR US + 3.25%, 0.50% Floor), 3.75%, 11/23/28			5,361		5,306,959
Foundation Building Materials, Inc., Initial Term Loan (First Lien), (3 mo. LIBOR US + 3.25%, 0.50% Floor), 3.75%, 01/29/28			6,835		6,707,212
Jo-Ann Stores LLC, Term B-1 Loan, (3 mo. LIBOR US + 4.75%, 0.75% Floor), 5.50%, 06/30/28			1,672		1,450,715
LBM Acquisition LLC, Term Loan B, 12/18/27^(p)			10,878		10,596,411
Park River Holdings, Inc., Initial Term Loan (First Lien), (3 mo. LIBOR US + 3.25%, 0.75% Floor), 4.00%, 12/28/27			1,214		1,185,432
SRS Distribution, Inc.
2021 Refinancing Term Loan, (3 mo. LIBOR US + 3.50%, 0.50% Floor), 4.00%, 06/04/28			14		13,668
2021 Refinancing Term Loan, (3 mo. LIBOR US + 3.50%, 0.50% Floor), 4.02%, 06/04/28			5,499		5,426,135


					30,686,532

Technology Hardware, Storage & Peripherals — 0.1%
Everi Holdings, Inc., Term B Loan, (3 mo. LIBOR US + 2.50%, 0.50% Floor), 3.01%, 08/03/28			1,413		1,402,154


Security		Par (000)		Value

Technology Hardware, Storage & Peripherals (continued)
Redstone Holdco 2 LP
Initial Loan (Second Lien), (3 mo. LIBOR US + 7.75%, 0.75% Floor), 8.50%, 08/06/29	USD		4,728	$	4,302,480
Initial Term Loan (First Lien), (3 mo. LIBOR US + 4.75%, 0.75% Floor), 5.50%, 04/27/28			11,968		11,668,663


					17,373,297

Textiles, Apparel & Luxury Goods — 0.0%
Tory Burch LLC, Initial Term B Loan, (1 mo. LIBOR US + 3.00%, 0.50% Floor), 3.50%, 04/16/28			3,498		3,392,643


Thrifts & Mortgage Finance — 0.1%
Caliber Home Loans, Inc., Advances, (3 mo. LIBOR US + 2.88%, 0.00% Floor), 2.98%, 07/24/25^(d)			18,650		18,603,375


Total Floating Rate Loan Interests — 3.8% (Cost: $807,761,612)					798,418,580


Foreign Agency Obligations

Argentina — 0.0%
YPF SA, 7.00%, 12/15/47^(a)			2,982		1,913,699


Bahrain — 0.0%
Oil and Gas Holding Co. BSCC, 7.63%, 11/07/24^(e)			2,309		2,430,223


China — 0.0%
Sino-Ocean Land Treasure III Ltd., 4.90%^(e)(l)			714		456,201


Colombia — 0.1%
Ecopetrol SA, 6.88%, 04/29/30			7,094		7,455,794
Empresas Publicas de Medellin ESP
4.25%, 07/18/29^(a)			1,883		1,666,832
4.38%, 02/15/31^(a)			1,447		1,234,291


					10,356,917

Germany — 0.3%
Kreditanstalt fuer Wiederaufbau, 1.13%, 03/31/37^(e)	EUR		60,741		66,244,598


Hong Kong — 0.0%
Nanyang Commercial Bank Ltd., 3.80%, 11/20/29^(e)	USD		1,100		1,084,050


India — 0.1%
Bharat Petroleum Corp. Ltd., 4.00%, 05/08/25^(e)			300		298,931
BPRL International Singapore Pte Ltd., 4.38%, 01/18/27^(e)			1,590		1,577,379
Greenko Solar Mauritius Ltd., 5.55%, 01/29/25^(e)			2,000		2,000,000
Hindustan Petroleum Corp. Ltd., 4.00%, 07/12/27^(e)			1,560		1,538,355
Indian Railway Finance Corp. Ltd.
3.25%, 02/13/30^(e)			1,650		1,547,486
2.80%, 02/10/31^(e)			200		177,786
Oil India International Pte Ltd., 4.00%, 04/21/27^(e)			290		286,248
Oil India Ltd., 5.13%, 02/04/29^(e)			1,300		1,358,744
ONGC Videsh Vankorneft Pte Ltd., 3.75%, 07/27/26^(e)			1,570		1,546,254


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		83

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

India (continued)
Power Finance Corp. Ltd., 4.50%, 06/18/29^(e)	USD		2,634	$	2,619,934
REC Ltd., 3.88%, 07/07/27^(e)			559		548,949


					13,500,066

Indonesia — 0.0%
Bank Negara Indonesia Persero Tbk PT, 3.75%, 03/30/26^(e)			1,320		1,254,145
Pertamina Persero PT, 5.63%, 05/20/43^(e)			1,850		1,964,238
Perusahaan Listrik Negara PT, 5.38%, 01/25/29^(e)			2,000		2,147,720


				5,366,103

Kuwait — 0.0%
Equate Petrochemical BV
4.25%, 11/03/26^(e)			879		889,878
2.63%, 04/28/28^(a)			1,625		1,501,094
MEGlobal Canada ULC
5.00%, 05/18/25^(a)			3,035		3,118,083
5.88%, 05/18/30^(e)			1,350		1,500,187


				7,009,242

Malaysia — 0.0%
TNB Global Ventures Capital Bhd
3.24%, 10/19/26^(e)			300		295,931
4.85%, 11/01/28^(e)			2,310		2,460,583


				2,756,514

Mexico — 0.3%
Comision Federal de Electricidad, 3.35%, 02/09/31^(e)			1,186		1,039,826
Mexico City Airport Trust, 5.50%, 07/31/47^(e)			5,465		4,829,694
Petroleos Mexicanos
7.19%, 09/12/24	MXN		62,757		3,011,849
6.88%, 10/16/25	USD		2,613		2,739,469
6.84%, 01/23/30			7,563		7,506,277
6.70%, 02/16/32			27,692		26,307,400
5.50%, 06/27/44			1,366		1,029,964
6.75%, 09/21/47			1,997		1,603,491
7.69%, 01/23/50			2,669		2,322,030
6.95%, 01/28/60			949		768,595


					51,158,595

Morocco — 0.0%
OCP SA, 3.75%, 06/23/31^(e)			1,907		1,723,451


Oman — 0.0%
OQ SAOC, 5.13%, 05/06/28^(a)			1,267		1,250,608


Pakistan — 0.0%
Pakistan Water & Power Development Authority, 7.50%, 06/04/31^(e)			2,007		1,299,753


Panama — 0.0%
Aeropuerto Internacional de Tocumen SA, 5.13%, 08/11/61^(a)			1,225		1,116,894


Qatar — 0.0%
Qatar Petroleum
3.13%, 07/12/41^(a)			1,717		1,566,762
3.13%, 07/12/41^(e)			750		684,375
3.30%, 07/12/51^(e)			700		644,000


				2,895,137

Singapore — 0.0%
BOC Aviation Ltd., 3.50%, 09/18/27^(e)			1,270		1,245,791


South Africa — 0.0%
Eskom Holdings SOC Ltd., 7.13%, 02/11/25^(e)			3,075		2,965,837


Security		Par (000)		Value

Ukraine — 0.0%
NPC Ukrenergo, 6.88%, 11/09/26^(a)	USD		1,374	$	515,250


United Arab Emirates — 0.0%
Abu Dhabi Crude Oil Pipeline LLC, 4.60%, 11/02/47^(e)			1,100		1,162,769


United States — 0.0%
Citgo Holding, Inc., 9.25%, 08/01/24^(a)			1,775		1,792,750


Total Foreign Agency Obligations — 0.8% (Cost: $185,575,063)					178,244,448


Foreign Government Obligations

Argentina — 0.0%
Republic of Argentina, 1.13%, 07/09/35^(b)			11,172		3,401,874


Austria — 0.3%
Republic of Austria
0.90%, 02/20/32^(a)(e)	EUR		42,359		46,463,492
0.75%, 03/20/51^(a)(e)			14,689		14,581,837
0.70%, 04/20/71^(a)(e)			5,232		4,347,732
2.10%, 09/20/17^(a)(e)			3,010		4,020,149


					69,413,210

Chile — 0.0%
Republic of Chile, 4.34%, 03/07/42	USD		4,095		4,205,565


China — 0.3%
China Government Bond, 3.01%, 05/13/28	CNY		117,530		18,746,892
People’s Republic of China, 2.85%, 06/04/27			218,700		34,752,344


					53,499,236

Colombia — 0.1%
Republic of Colombia, 4.50%, 03/15/29	USD		11,914		11,465,736


Côte d’Ivoire — 0.0%
Republic of Côte d’Ivoire, 6.63%, 03/22/48^(e)	EUR		2,005		1,934,262


Cyprus — 0.1%
Republic of Cyprus, 0.95%, 01/20/32^(e)			20,630		20,501,232


Dominican Republic — 0.0%
Dominican Republic, 5.50%, 02/22/29^(a)	USD		6,855		6,770,598


Finland — 0.2%
Republic of Finland
0.13%, 09/15/31^(a)(e)	EUR		20,983		21,594,537
1.38%, 04/15/47^(a)(e)			17,330		20,770,353


					42,364,890

France — 0.1%
Republic of France, 0.75%, 05/25/52^(e)			13,559		12,614,005


Ghana — 0.0%
Republic of Ghana, 7.63%, 05/16/29^(e)	USD		3,011		2,167,920


Hungary — 0.0%
Republic of Hungary, 5.38%, 03/25/24			8,710		9,128,080


Indonesia — 0.1%
Perusahaan Penerbit SBSN Indonesia III
4.15%, 03/29/27^(e)			700		737,100
2.80%, 06/23/30^(e)			2,010		1,970,177
Republic of Indonesia
4.10%, 04/24/28			500		530,875
4.75%, 02/11/29			1,390		1,536,103
2.85%, 02/14/30			2,600		2,553,362
8.38%, 03/15/34	IDR		92,157,000		7,032,485


84		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Indonesia (continued)
Republic of Indonesia
7.50%, 06/15/35	IDR		91,618,000	$	6,548,016
3.05%, 03/12/51	USD		11,595		10,480,257


				31,388,375

Mexico — 0.3%
United Mexican States
2.66%, 05/24/31			16,739		15,249,229
4.50%, 01/31/50			25,868		24,432,326
4.40%, 02/12/52			15,936		14,669,088


				54,350,643

Mongolia — 0.0%
Mongolian People’s Republic, 5.13%, 04/07/26^(e)			1,503		1,480,620


Nigeria — 0.0%
Republic of Nigeria, 8.38%, 03/24/29^(a)			3,983		3,997,936


Pakistan — 0.0%
Islamic Republic of Pakistan
6.00%, 04/08/26^(e)			1,319		1,028,965
7.38%, 04/08/31^(e)			1,321		971,080


					2,000,045

Panama — 0.1%
Republic of Panama
3.88%, 03/17/28			7,669		7,842,991
4.50%, 04/01/56			10,739		10,546,369


					18,389,360

Peru — 0.1%
Republic of Peru
4.13%, 08/25/27			6,860		7,129,255
3.55%, 03/10/51			9,365		8,737,545


					15,866,800

Philippines — 0.1%
Republic of the Philippines
3.00%, 02/01/28			11,468		11,512,266
6.38%, 01/15/32			600		735,816
6.38%, 10/23/34			780		985,811
3.20%, 07/06/46			12,110		10,885,195


					24,119,088

Russian Federation — 0.0%
Russian Federation, 6.10%, 07/18/35	RUB		909,930		335,974


Sri Lanka — 0.0%
Republic of Sri Lanka
6.85%, 03/14/24^(e)	USD		325		159,286
6.35%, 06/28/24^(e)			200		98,022
6.83%, 07/18/26^(e)			200		96,287
7.85%, 03/14/29^(e)			200		94,522
7.55%, 03/28/30^(e)			562		265,607


					713,724

Ukraine — 0.0%
Ukraine Government
7.38%, 09/25/32^(a)			1,654		682,275
7.25%, 03/15/33^(a)			2,078		857,175


					1,539,450


Security		Par (000)		Value

Uruguay — 0.1%
Republic of Uruguay
4.38%, 10/27/27	USD		5,923	$	6,273,949
5.10%, 06/18/50			6,207		7,346,287


					13,620,236


Total Foreign Government Obligations — 1.9% (Cost: $439,867,231)					405,268,859


		Shares

Investment Companies

Equity Funds — 0.0%
Invesco QQQ Trust Series 1			100		36,254


Fixed-Income Funds — 0.2%
iShares 5-10 Year Investment Grade Corporate Bond ETF^(q)			55,000		3,017,850
iShares iBoxx $ Investment Grade Corporate Bond ETF^(h)(q)			251,600		30,428,504


				33,446,354


Total Investment Companies — 0.2% (Cost: $33,399,274)					33,482,608


		Par (000)

Municipal Bonds

California — 0.3%
Bay Area Toll Authority, RB, Series S1, 7.04%, 04/01/50	USD		9,275		14,222,125
Los Angeles Community College District, GO, 6.60%, 08/01/42			3,990		5,640,800
Los Angeles Unified School District
GO, 5.75%, 07/01/34			555		660,147
GO, 6.76%, 07/01/34			9,940		12,611,866
State of California
GO, 7.55%, 04/01/39			4,000		5,946,208
Refunding GO, 4.60%, 04/01/38			22,215		23,674,646
University of California, RB, 4.86%, 05/15/2112			2,467		2,764,588


				65,520,380

Georgia — 0.0%
Municipal Electric Authority of Georgia, RB, 6.64%, 04/01/57			3,301		4,406,406


Illinois — 0.1%
State of Illinois, GO, 5.10%, 06/01/33			17,635		18,733,739


Massachusetts — 0.0%
Massachusetts HFA, RB, Series A, 4.50%, 12/01/48			965		979,147


New Jersey — 0.0%
New Jersey Turnpike Authority, RB, Series F, 7.41%, 01/01/40			3,126		4,570,659


New York — 0.1%
Metropolitan Transportation Authority
RB, 5.87%, 11/15/39			985		1,150,738
RB, 6.67%, 11/15/39			470		590,234
RB, Series E, 6.81%, 11/15/40			1,025		1,329,511
New York City Water & Sewer System
RB, 6.01%, 06/15/42			850		1,133,237
RB, 5.88%, 06/15/44			1,665		2,207,647


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		85

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

New York (continued)
New York State Dormitory Authority, RB, Series H, 5.39%, 03/15/40	USD		1,470	$	1,727,407
Port Authority of New York & New Jersey
RB, 5.65%, 11/01/40			2,780		3,430,791
RB, 4.96%, 08/01/46			5,020		5,910,455
RB, 4.93%, 10/01/51			1,400		1,684,675


					19,164,695

Ohio — 0.0%
American Municipal Power, Inc., RB, Series B, 8.08%, 02/15/50			3,555		5,870,975


Texas — 0.1%
City of San Antonio, TX Electric & Gas Systems Revenue, RB, 5.81%, 02/01/41			4,375		5,560,440
State of Texas, GO, 5.52%, 04/01/39			5,715		7,240,497


					12,800,937


Total Municipal Bonds — 0.6% (Cost: $130,902,212)					132,046,938


Non-Agency Mortgage-Backed Securities

Collateralized Mortgage Obligations — 3.1%
Ajax Mortgage Loan Trust
Series 2021-G, Class A, 1.88%, 06/25/61^(a)(c)			49,875		47,227,853
Series 2021-G, Class B, 3.75%, 06/25/61^(a)(c)			8,006		7,609,005
Series 2021-G, Class C, 0.00%, 06/25/61^(a)			14,498		13,392,098
American Home Mortgage Assets Trust
Series 2006-3, Class 2A11, (12 mo. Federal Reserve Cumulative Average US + 0.94%), 1.08%, 10/25/46^(c)			690		551,923
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.21%), 0.67%, 10/25/46^(c)			1,836		1,130,752
Series 2006-5, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.92%), 1.06%, 11/25/46^(c)			3,116		1,104,156
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.70%), 0.84%, 02/25/47^(c)			661		329,754
Angel Oak Mortgage Trust, Series 2020-4, Class A3, 2.81%, 06/25/65^(a)(c)			1,530		1,516,554
Angel Oak Mortgage Trust I LLC, Series 2019-4, Class A3, 3.30%, 07/26/49^(a)(c)			730		728,654
Angel Oak Mortgage Trust LLC
Series 2020-3, Class A3, 2.87%, 04/25/65^(a)(c)			2,421		2,390,074
Series 2020-3, Class M1, 3.81%, 04/25/65^(a)(c)			4,120		4,058,009
APS Resecuritization Trust
Series 2016-1, Class 1MZ, 3.49%, 07/31/57^(a)(c)			7,751		3,107,927
Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.85%), 3.31%, 09/27/46^(a)(c)			2,067		2,062,703
ARI Investments LLC
Series 2017-1, Class A, 4.61%, 01/06/25^(d)			2,145		2,145,026
Series 2019-1, 4.55%, 01/30/25^(d)			2,890		2,832,016
Banc of America Funding Trust
Series 2014-R2, Class 1C, 0.00%, 11/26/36^(a)(c)			3,651		1,045,103


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Banc of America Funding Trust
Series 2016-R2, Class 1A1, 4.70%, 05/01/33^(a)(c)	USD		1,170	$	1,146,857
Barclays Mortgage Trust
Series 2021-NPL1, Class A, 2.00%, 11/25/51^(a)(b)			28,028		27,011,416
Series 2021-NPL1, Class B, 4.63%, 11/25/51^(a)(b)			3,139		3,034,909
Series 2021-NPL1, Class C, 0.00%, 11/25/51^(a)(d)			7,130		6,752,265
BCAP LLC Trust, Series 2011-RR5, Class 11A5, (1 mo. LIBOR US + 0.15%), 0.49%, 05/28/36^(a)(c)			2,805		2,733,276
Bear Stearns ALT-A Trust, Series 2007-1, Class 1A1, (1 mo. LIBOR US + 0.32%), 0.78%, 01/25/47^(c)			1,012		947,703
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC9, Class A5, 6.25%, 12/25/35^(b)			172		145,952
Bear Stearns Mortgage Funding Trust
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.28%), 0.74%, 08/25/36^(c)			592		581,379
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.17%), 0.63%, 03/25/37^(c)			247		231,217
Series 2007-AR3, Class 1A1, (1 mo. LIBOR US + 0.14%), 0.60%, 03/25/37^(c)			419		394,267
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.21%), 0.67%, 06/25/37^(c)			384		373,761
BlackRock Capital Finance LP, Series 1997-R2, Class AP, 0.00%, 12/25/35^(a)(c)(q)			3		2,572
Chase Mortgage Finance Trust, Series 2007- S6, Class 1A1, 6.00%, 12/25/37			19,650		11,118,361
CHNGE Mortgage Trust, Series 2022-1, Class A1, 3.01%, 01/25/67^(a)(c)			2,917		2,842,047
Citicorp Mortgage Securities Trust
Series 2007-9, Class 1A1, 6.25%, 12/25/37			1,356		1,174,413
Series 2008-2, Class 1A1, 6.50%, 06/25/38			4,041		3,464,790
CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A11, 6.00%, 06/25/37			607		592,772
COLT Mortgage Loan Trust, Series 2020-3, Class A3, 2.38%, 04/27/65^(a)(c)			522		519,684
Countrywide Alternative Loan Trust
Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.35%), 0.81%, 06/25/35^(c)			3,047		2,622,431
Series 2005-72, Class A3, (1 mo. LIBOR US + 0.60%), 1.06%, 01/25/36^(c)			429		378,416
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.00%), 1.14%, 02/25/36^(c)			548		515,865
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36			1,448		933,093
Series 2006-15CB, Class A1, 6.50%, 06/25/36			332		219,640
Series 2006-23CB, Class 2A5, (1 mo. LIBOR US + 0.40%), 0.86%, 08/25/36^(c)			5,001		892,645
Series 2006-OA14, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 1.73%), 1.87%, 11/25/46^(c)			2,315		1,963,488
Series 2006-OA16, Class A2, (1 mo. LIBOR US + 0.38%), 0.84%, 10/25/46^(c)			2,717		2,586,495


86		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Countrywide Alternative Loan Trust
Series 2006-OA16, Class A4C, (1 mo. LIBOR US + 0.68%), 1.14%, 10/25/46^(c)	USD		4,086	$	3,231,535
Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.19%), 0.64%, 03/20/47^(c)			6,406		5,422,211
Series 2006-OA8, Class 1A1, (1 mo. LIBOR US + 0.38%), 0.84%, 07/25/46^(c)			306		278,986
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.46%), 0.92%, 11/25/36^(c)			1,615		1,557,143
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.50%), 0.96%, 07/25/46^(c)			2,016		1,933,615
Series 2007-14T2, Class A1, 6.00%, 07/25/37			2,216		1,447,582
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37			286		169,133
Series 2007-OA3, Class 1A1, (1 mo. LIBOR US + 0.28%), 0.74%, 04/25/47^(c)			770		693,156
Series 2007-OA3, Class 2A2, (1 mo. LIBOR US + 0.36%), 0.82%, 04/25/47^(c)			19		2,065
Series 2007-OA8, Class 2A1, (1 mo. LIBOR US + 0.36%), 0.82%, 06/25/47^(c)			263		210,572
Series 2007-OH2, Class A2A, (1 mo. LIBOR US + 0.48%), 0.94%, 08/25/47^(c)			322		310,427
Countrywide Home Loan Mortgage Pass- Through Trust
Series 2004-29, Class 1A1, (1 mo. LIBOR US + 0.54%), 1.00%, 02/25/35^(c)			170		164,345
Series 2006-OA4, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.96%), 1.10%, 04/25/46^(c)			1,273		477,531
Series 2006-OA5, Class 3A1, (1 mo. LIBOR US + 0.40%), 0.86%, 04/25/46^(c)			514		473,784
Series 2007-15, Class 2A2, 6.50%, 09/25/37			8,068		4,145,654
Credit Suisse Mortgage Capital Certificates
Series 2009-12R, Class 3A1, 6.50%, 10/27/37^(a)			8,102		4,121,029
Series 2021-RPL9, Class A1, 2.44%, 02/25/61^(a)(c)			12,468		11,853,642
Credit Suisse Mortgage Trust
Series 2014-11R, Class 16A1, 2.94%, 09/27/47^(a)(c)			118		118,418
Series 2014-4R, Class 16A3, (1 mo. LIBOR US + 0.20%), 0.39%, 02/27/36^(a)(c)			527		508,814
Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.12%), 0.31%, 08/27/36^(a)(c)			908		784,194
Series 2020-SPT1, Class M1, 3.39%, 04/25/65^(a)(c)			4,796		4,776,686
CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 10A1, (1 mo. LIBOR US + 1.35%), 1.81%, 11/25/35^(c)			1,230		223,767
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3, 2.86%, 05/25/65^(a)			3,800		3,778,902
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class A2A, (1 mo. LIBOR US + 0.17%), 0.63%, 08/25/47^(c)			929		1,024,880
Deutsche Alt-A Securities, Inc., Series 2007- RS1, Class A2, (1 mo. LIBOR US + 0.50%), 0.71%, 01/27/37^(a)(c)			8		8,106
Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3, Class A3, 6.51%, 07/25/36^(c)			343		322,584


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3, Class A8, 6.36%, 07/25/36^(c)	USD		219	$	205,711
GreenPoint Mortgage Funding Trust,
Series 2006-AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.00%), 2.14%, 03/25/36^(c)			607		597,451
GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ2, Class B4, 4.37%, 11/25/49^(a)(c)			1,476		1,552,527
GSR Mortgage Loan Trust
Series 2007-1F, Class 2A4, 5.50%, 01/25/37			94		112,063
Series 2007-OA2, Class 2A1, 2.25%, 06/25/47^(c)			1,038		737,959
HarborView Mortgage Loan Trust
Series 2006-12, Class 1A1A, (1 mo. LIBOR US + 0.21%), 0.65%, 12/19/36^(c)			11,573		10,687,305
Series 2007-4, Class 2A2, (1 mo. LIBOR US + 0.25%), 0.70%, 07/19/47^(c)			501		458,506
Homeward Opportunities Fund I Trust
Series 2020-2, Class A2, 2.64%, 05/25/65^(a)(c)			4,767		4,688,302
Series 2020-2, Class A3, 3.20%, 05/25/65^(a)(c)			5,763		5,663,237
Impac CMB Trust
Series 2004-11, Class 1A2, (1 mo. LIBOR US + 0.52%), 0.98%, 03/25/35^(c)			879		923,093
Series 2005-6, Class 1A1, (1 mo. LIBOR US + 0.50%), 0.96%, 10/25/35^(c)			661		650,082
Impac Secured Assets Trust, Series 2006-3, Class A1, (1 mo. LIBOR US + 0.34%), 0.80%, 11/25/36^(c)			1,207		1,094,082
IndyMac Index Mortgage Loan Trust
Series 2006-AR15, Class A1, (1 mo. LIBOR US + 0.24%), 0.70%, 07/25/36^(c)			365		353,523
Series 2007-AR19, Class 3A1, 2.97%, 09/25/37^(c)			2,752		2,101,338
Series 2007-FLX5, Class 2A2, (1 mo. LIBOR US + 0.24%), 0.70%, 08/25/37^(c)			693		643,081
JPMorgan Alternative Loan Trust
Series 2007-A1, Class 1A4, (1 mo. LIBOR US + 0.42%), 0.88%, 03/25/37^(c)			1,202		1,222,880
Series 2007-A2, Class 2A1, 3.25%, 05/25/37^(c)			226		206,560
JPMorgan Mortgage Trust
Series 2021-4, Class B1, 2.89%, 08/25/51^(a)(c)			15,754		14,198,489
Series 2021-4, Class B2, 2.89%, 08/25/51^(a)(c)			3,997		3,563,927
Series 2021-4, Class B3, 2.90%, 08/25/51^(a)(c)			3,772		3,319,895
Series 2021-INV5, Class A5A, 2.50%, 12/25/51^(a)(c)			10,405		9,539,782
Series 2021-INV5, Class B4, 3.19%, 12/25/51^(a)(c)			1,327		1,097,877
Series 2021-INV5, Class B5, 3.19%, 12/25/51^(a)(c)			465		357,750
Series 2021-INV5, Class B6, 3.06%, 12/25/51^(a)(c)			1,593		746,540
Series 2021-INV7, Class A3A, 2.50%, 02/25/52^(a)(c)			29,935		28,479,303


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		87

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
JPMorgan Mortgage Trust
Series 2021-INV7, Class A4A, 2.50%, 02/25/52^(a)(c)	USD		10,539	$	8,775,976
Series 2021-INV7, Class A5A, 2.50%, 02/25/52^(a)(c)			6,149		5,625,175
Series 2021-INV7, Class B1, 3.27%, 02/25/52^(a)(c)			3,356		3,113,220
Series 2021-INV7, Class B2, 3.27%, 02/25/52^(a)(c)			788		713,857
Series 2021-INV7, Class B3, 3.27%, 02/25/52^(a)(c)			1,096		957,737
Series 2021-INV7, Class B4, 3.27%, 02/25/52^(a)(c)			582		483,264
Series 2021-INV7, Class B5, 3.27%, 02/25/52^(a)(c)			240		184,333
Series 2021-INV7, Class B6, 3.22%, 02/25/52^(a)(c)			787		361,560
Legacy Mortgage Asset Trust
Series 2020-GS5, Class A1, 3.25%, 06/25/60^(a)(b)			3,527		3,496,453
Series 2020-SL1, Class A, 2.73%, 01/25/60^(a)(b)			2,158		2,143,812
Series 2021-GS2, Class A1, 1.75%, 04/25/61^(a)(b)			21,575		20,569,209
Lehman XS Trust
Series 2007-16N, Class AF2, (1 mo. LIBOR US + 0.95%), 1.41%, 09/25/47^(c)			2,253		2,763,296
Series 2007-20N, Class A1, (1 mo. LIBOR US + 1.15%), 1.61%, 12/25/37^(c)			614		649,078
Loan Revolving Advance Investment Trust, Series 2021-2, Class A1X, (1 mo. LIBOR US + 2.75%), 2.84%, 06/30/23^(a)(c)			22,224		22,008,921
MASTR Resecuritization Trust, Series 2008-3, Class A1, 0.62%, 08/25/37^(a)(c)			765		457,879
MCM Trust
Series 2021-VFN1, Class Cert, 3.00%, 08/25/28^(d)			10,549		6,990,848
Series 2021-VFN1, Class Note, 3.00%, 08/25/28^(d)			25,435		25,434,662
Mello Warehouse Securitization Trust, Series 2021-2, Class E, (1 mo. LIBOR US + 2.75%), 3.21%, 04/25/55^(a)(c)			1,090		1,077,983
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR2, Class A2, (1 mo. LIBOR US + 0.42%), 0.88%, 04/25/37^(c)			1,416		1,334,129
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1, 2.98%, 05/25/36^(c)			904		848,846
MFA Trust
Series 2020-NQM1, Class A3, 2.30%, 08/25/49^(a)(c)			247		243,185
Series 2021-NQM1, Class B1, 3.51%, 04/25/65^(a)(c)			3,310		3,219,776
Morgan Stanley Resecuritization Trust, Series 2013-R7, Class 1B, (1 mo. LIBOR US + 0.16%), 0.51%, 12/26/46^(a)(c)			816		796,631
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.34%), 0.57%, 04/16/36^(a)(c)			2,806		2,657,463
NACC Reperforming Loan REMIC Trust
Series 2004-R1, Class A1, 6.50%, 03/25/34^(a)			2,073		1,960,426


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
NACC Reperforming Loan REMIC Trust
Series 2004-R1, Class A2, 7.50%, 03/25/34^(a)	USD		476	$	460,393
New Residential Mortgage Loan Trust
Series 2019-2A, Class A1, 4.25%, 12/25/57^(a)(c)			1,113		1,127,010
Series 2020-RPL1, Class B3, 3.88%, 11/25/59^(a)(c)			6,210		5,270,902
Nomura Asset Acceptance Corp. Alternative Loan Trust
Series 2001-R1A, Class A, 7.00%, 02/19/30^(a)(c)			352		348,133
Series 2006-AF1, Class 1A4, 7.13%, 05/25/36^(b)			539		155,610
Series 2007-2, Class A4, (1 mo. LIBOR US + 0.42%), 0.88%, 06/25/37^(c)			311		274,554
NYMT Loan Trust, Series 2020-SP2, Class A1, 2.94%, 10/25/60^(a)(c)			14,036		13,741,439
Provident Funding Mortgage Warehouse Securitization Trust, Series 2021-1, Class F, (1 mo. LIBOR US + 4.50%), 4.69%, 02/25/55^(a)(c)			1,294		1,275,822
RALI Trust, Series 2007-QH9, Class A1, 1.33%, 11/25/37^(c)			559		528,746
RCO VI Mortgage LLC, Series 2022-1, Class A1, 3.00%, 01/25/27^(a)(b)			19,221		18,628,130
Reperforming Loan REMIC Trust
Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.34%), 0.80%, 06/25/35^(a)(c)			325		316,621
Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.40%), 0.86%, 09/25/35^(a)(c)			100		88,705
Residential Mortgage Loan Trust
Series 2020-2, Class A2, 2.51%, 05/25/60^(a)(c)			3,500		3,444,269
Series 2020-2, Class M1, 3.57%, 05/25/60^(a)(c)			7,854		7,778,142
RFMSI Series Trust, Series 2006-SA2, Class 2A1, 4.45%, 08/25/36^(c)			5,388		4,081,914
RMF Buyout Issuance Trust
Series 2021-HB1, Class M3, 3.69%, 11/25/31^(a)(c)			3,112		2,937,190
Series 2021-HB1, Class M6, 6.00%, 11/25/31^(a)(c)(d)			1,866		1,620,558
Seasoned Credit Risk Transfer Trust, Series 2018-1, Class BX, 4.27%, 05/25/57^(c)			529		290,604
Seasoned Loans Structured Transaction Trust, Series 2020-2, Class M1, 4.75%, 09/25/60^(a)(c)			15,220		14,797,706
Sequoia Mortgage Trust, Series 2007-3, Class 2AA1, 2.65%, 07/20/37^(c)			955		836,816
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 4A, 3.02%, 04/25/36^(c)			616		434,379
Structured Asset Mortgage Investments II Trust
Series 2006-AR4, Class 3A1, (1 mo. LIBOR US + 0.38%), 0.84%, 06/25/36^(c)			1,919		1,776,454
Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.42%), 0.88%, 05/25/46^(c)			355		252,651
Thornburg Mortgage Securities Trust
Series 2006-3, Class A1, 2.39%, 06/25/46^(c)			1,171		912,515
Series 2007-3, Class 4A1, (12 mo. LIBOR US + 1.25%), 3.26%, 06/25/47^(c)			76		72,665


88		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
TVC DSCR
Series 21-1, Class A, 2.38%, 02/01/51^(d)	USD		28,642	$	28,641,717
Series 21-1, Class CERT, 0.00%, 02/01/51^(d)			7,160		8,771,526
TVC Mortgage Trust, Series 2020-RTL1, Class A1, 3.47%, 09/25/24^(a)			1,540		1,539,278
Verus Securitization Trust
Series 2019-INV2, Class M1, 3.50%, 07/25/59^(a)(c)			835		835,857
Series 2020-4, Class A3, 2.32%, 05/25/65^(a)(b)			1,331		1,306,563
Series 2020-4, Class M1, 3.29%, 05/25/65^(a)(c)			3,120		3,037,990
Series 2020-5, Class M1, 2.60%, 05/25/65^(a)(c)			2,312		2,202,318
Series 2020-INV1, Class A2, 3.04%, 03/25/60^(a)(c)			1,895		1,868,803
Series 2020-INV1, Class A3, 3.89%, 03/25/60^(a)(c)			1,800		1,785,295
Series 2022-1, Class B1, 4.01%, 01/25/67^(a)(c)			1,354		1,215,282
Visio Trust
Series 2019-2, Class B1, 3.91%, 11/25/54^(a)(c)			906		868,810
Series 2020-1, Class M1, 4.45%, 08/25/55^(a)(c)			1,100		1,055,490
Vista Point Securitization Trust
Series 2020-1, Class A1, 1.76%, 03/25/65^(a)(c)			2,061		2,055,844
Series 2020-2, Class A3, 2.50%, 04/25/65^(a)(c)			1,644		1,599,126
Series 2020-2, Class B1, 4.90%, 04/25/65^(a)(c)			640		625,110
Series 2020-2, Class M1, 3.40%, 04/25/65^(a)(c)			1,480		1,430,437
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2006-1, Class 4CB, 6.50%, 02/25/36			1,063		988,981
Series 2006-4, Class 1A1, 6.00%, 04/25/36			2,308		2,286,267
Series 2006-4, Class 3A1, 7.00%, 05/25/36^(b)			964		925,162
Series 2006-4, Class 3A5, 6.85%, 05/25/36^(b)			374		358,720
Series 2007-OA5, Class 1A, (12 mo. Federal Reserve Cumulative Average US + 0.75%), 0.89%, 06/25/47^(c)			2,744		2,589,855
Series 2007-OA5, Class 2A, (Cost of Funds for the 11th District of San Francisco + 1.25%), 1.47%, 06/25/47^(c)			1,348		1,184,640
Western Alliance CLN, Series 2021-CL1, Class M, 5.63%, 12/28/24			54,690		54,685,114
Western Mortgage Reference Notes
Series 2021-CL2, Class M1, (SOFR (30-day) + 3.15%), 3.25%, 07/25/59^(a)(c)			9,614		9,567,077
Series 2021-CL2, Class M2, (SOFR (30-day) + 3.70%), 3.80%, 07/25/59^(a)(c)			9,671		9,623,875


					645,020,129

Commercial Mortgage-Backed Securities — 4.0%
1211 Avenue of the Americas Trust
Series 2015-1211, Class C, 4.14%, 08/10/35^(a)(c)			600		594,692
Series 2015-1211, Class D, 4.14%, 08/10/35^(a)(c)			6,157		5,947,374


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
1211 Avenue of the Americas Trust
Series 2015-1211, Class E, 4.14%, 08/10/35^(a)(c)	USD		1,110	$	1,027,468
245 Park Avenue Trust
Series 2017-245P, Class D, 3.66%, 06/05/37^(a)(c)			480		428,258
Series 2017-245P, Class E, 3.66%, 06/05/37^(a)(c)			2,463		2,155,993
280 Park Avenue Mortgage Trust
Series 2017-280P, Class D, (1 mo. LIBOR US + 1.54%), 1.84%, 09/15/34^(a)(c)			2,920		2,888,061
Series 2017-280P, Class E, (1 mo. LIBOR US + 2.12%), 2.43%, 09/15/34^(a)(c)			5,835		5,756,591
Series 2017-280P, Class F, (1 mo. LIBOR US + 2.83%), 3.13%, 09/15/34^(a)(c)			630		614,590
Alen Mortgage Trust, Series 2021-ACEN, Class D, (1 mo. LIBOR US + 3.10%), 3.50%, 04/15/34^(a)(c)			2,670		2,608,847
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class E, 1.75%, 05/15/53^(a)			636		477,094
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1 mo. LIBOR US + 2.10%), 2.50%, 04/15/35^(a)(c)			740		715,921
Atrium Hotel Portfolio Trust
Series 2017-ATRM, Class D, (1 mo. LIBOR US + 1.95%), 2.35%, 12/15/36^(a)(c)			4,840		4,693,854
Series 2017-ATRM, Class E, (1 mo. LIBOR US + 3.05%), 3.45%, 12/15/36^(a)(c)			568		533,665
Banc of America Merrill Lynch Commercial Mortgage Securities Trust
Series 2015-200P, Class F, 3.60%, 04/14/33^(a)(c)			2,691		2,521,147
Series 2017-SCH, Class AF, (1 mo. LIBOR US + 1.00%), 1.40%, 11/15/33^(a)(c)			150		146,017
Series 2017-SCH, Class BF, (1 mo. LIBOR US + 1.40%), 1.80%, 11/15/33^(a)(c)			2,870		2,750,751
Series 2017-SCH, Class CL, (1 mo. LIBOR US + 1.50%), 1.90%, 11/15/32^(a)(c)			970		850,603
Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.00%), 2.40%, 11/15/32^(a)(c)			1,930		1,596,322
Series 2018-DSNY, Class C, (1 mo. LIBOR US + 1.35%), 1.75%, 09/15/34^(a)(c)			350		342,079
Series 2018-DSNY, Class D, (1 mo. LIBOR US + 1.70%), 2.10%, 09/15/34^(a)(c)			3,275		3,194,974
BANK
Series 2019-BN21, Class A5, 2.85%, 10/17/52			1,088		1,050,531
Series 2021-BN37, Class A5, 2.62%, 11/15/64^(c)			4,043		3,804,197
Bayview Commercial Asset Trust
Series 2005-3A, Class A1, (1 mo. LIBOR US + 0.48%), 0.94%, 11/25/35^(a)(c)			1,908		1,786,472
Series 2005-4A, Class A1, (1 mo. LIBOR US + 0.45%), 0.91%, 01/25/36^(a)(c)			3,898		3,677,451
Series 2005-4A, Class A2, (1 mo. LIBOR US + 0.59%), 1.04%, 01/25/36^(a)(c)			61		56,851
Series 2005-4A, Class M1, (1 mo. LIBOR US + 0.68%), 1.13%, 01/25/36^(a)(c)			161		148,641
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.54%), 1.00%, 04/25/36^(a)(c)			210		195,955


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		89

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Bayview Commercial Asset Trust
Series 2006-2A, Class A2, (1 mo. LIBOR US + 0.42%), 0.88%, 07/25/36^(a)(c)	USD		697	$	659,046
Series 2006-3A, Class A1, (1 mo. LIBOR US + 0.25%), 0.71%, 10/25/36^(a)(c)			319		301,811
Series 2006-3A, Class A2, (1 mo. LIBOR US + 0.30%), 0.76%, 10/25/36^(a)(c)			222		210,810
Series 2006-4A, Class A1, (1 mo. LIBOR US + 0.35%), 0.80%, 12/25/36^(a)(c)			1,250		1,193,358
Series 2007-1, Class A2, (1 mo. LIBOR US + 0.27%), 0.73%, 03/25/37^(a)(c)			1,026		964,098
Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.27%), 0.73%, 07/25/37^(a)(c)			7,491		7,052,159
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.50%), 1.96%, 12/25/37^(a)(c)			5,354		5,193,757
Series 2008-2, Class A4A, (1 mo. LIBOR US + 2.50%), 2.96%, 04/25/38^(a)(c)			2,322		2,313,796
BBCMS Mortgage Trust
Series 2017-DELC, Class F, (1 mo. LIBOR US + 3.50%), 3.90%, 08/15/36^(a)(c)			1,807		1,757,241
Series 2018-CHRS, Class E, 4.27%, 08/05/38^(a)(c)			980		783,293
Series 2018-TALL, Class A, (1 mo. LIBOR US + 0.72%), 1.12%, 03/15/37^(a)(c)			918		895,443
Series 2021-C12, Class A5, 2.69%, 11/15/54			7,994		7,560,388
Series 2022-C15, Class A5, 3.66%, 04/15/55^(c)			3,220		3,297,411
BBCMS Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35^(a)			2,191		2,164,390
BB-UBS Trust, Series 2012-SHOW, Class E, 4.03%, 11/05/36^(a)(c)			790		730,401
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 4.88%, 02/11/41^(c)			207		204,981
Beast Mortgage Trust
Series 2021-SSCP, Class B, (1 mo. LIBOR US + 1.10%), 1.50%, 04/15/36^(a)(c)			3,731		3,618,553
Series 2021-SSCP, Class C, (1 mo. LIBOR US + 1.35%), 1.75%, 04/15/36^(a)(c)			4,582		4,445,273
Series 2021-SSCP, Class D, (1 mo. LIBOR US + 1.60%), 2.00%, 04/15/36^(a)(c)			4,292		4,163,989
Series 2021-SSCP, Class E, (1 mo. LIBOR US + 2.10%), 2.50%, 04/15/36^(a)(c)			3,650		3,542,290
Series 2021-SSCP, Class F, (1 mo. LIBOR US + 2.90%), 3.30%, 04/15/36^(a)(c)			3,508		3,420,606
Series 2021-SSCP, Class G, (1 mo. LIBOR US + 3.80%), 4.20%, 04/15/36^(a)(c)			3,947		3,870,568
Series 2021-SSCP, Class H, (1 mo. LIBOR US + 4.90%), 5.30%, 04/15/36^(a)(c)			2,773		2,719,642
Benchmark Mortgage Trust
Series 2018-B3, Class D, 3.04%, 04/10/51^(a)(c)			210		178,416
Series 2018-B5, Class A3, 3.94%, 07/15/51			4,840		4,958,411
Series 2019-B10, Class 3CCA, 3.90%, 03/15/62^(a)(c)			3,610		3,438,374
Series 2022-B34, Class A5, 3.79%, 04/15/55.			4,746		4,888,164
BFLD Trust, Series 2020-EYP, Class E, (1 mo. LIBOR US + 3.70%), 4.10%, 10/15/35^(a)(c)			5,885		5,789,557
BHMS, Series 2018-ATLS, Class A, (1 mo. LIBOR US + 1.25%), 1.65%, 07/15/35^(a)(c)			2,770		2,741,290


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
BWAY Mortgage Trust
Series 2013-1515, Class A2, 3.45%, 03/10/33^(a)	USD		3,004	$	2,982,108
Series 2013-1515, Class D, 3.63%, 03/10/33^(a)			1,400		1,339,634
Series 2013-1515, Class E, 3.72%, 03/10/33^(a)			250		236,551
Series 2013-1515, Class F, 3.93%, 03/10/33^(a)(c)(d)			250		231,274
BX Commercial Mortgage Trust
Series 2018-BIOA, Class E, (1 mo. LIBOR US + 1.95%), 2.35%, 03/15/37^(a)(c)			1,100		1,081,723
Series 2018-BIOA, Class F, (1 mo. LIBOR US + 2.47%), 2.87%, 03/15/37^(a)(c)			7,543		7,406,998
Series 2018-IND, Class G, (1 mo. LIBOR US + 2.05%), 2.45%, 11/15/35^(a)(c)			2,324		2,306,466
Series 2018-IND, Class H, (1 mo. LIBOR US + 3.00%), 3.40%, 11/15/35^(a)(c)			11,634		11,490,071
Series 2019-XL, Class G, (1 mo. LIBOR US + 2.30%), 2.70%, 10/15/36^(a)(c)			18,463		18,069,453
Series 2019-XL, Class J, (1 mo. LIBOR US + 2.65%), 3.05%, 10/15/36^(a)(c)			25,571		24,968,169
Series 2020-FOX, Class E, (1 mo. LIBOR US + 3.60%), 4.00%, 11/15/32^(a)(c)			6,211		6,155,926
Series 2020-VIV2, Class C, 3.54%, 03/09/44^(a)(c)			2,550		2,331,542
Series 2020-VIV3, Class B, 3.54%, 03/09/44^(a)(c)			320		303,641
Series 2020-VIV4, Class A, 2.84%, 03/09/44^(a)			4,098		3,833,731
Series 2020-VKNG, Class F, (1 mo. LIBOR US + 2.75%), 3.15%, 10/15/37^(a)(c)			3,841		3,726,775
Series 2021-21M, Class E, (1 mo. LIBOR US + 2.17%), 2.57%, 10/15/36^(a)(c)			5,661		5,460,297
Series 2021-CIP, Class E, (1 mo. LIBOR US + 2.82%), 3.22%, 12/15/38^(a)(c)			8,799		8,533,907
Series 2021-NWM, Class A, (1 mo. LIBOR US + 0.91%), 1.31%, 02/15/33^(a)(c)(d)			17,038		16,867,620
Series 2021-NWM, Class B, (1 mo. LIBOR US + 2.15%), 2.55%, 02/15/33^(a)(c)(d)			10,439		10,334,610
Series 2021-NWM, Class C, (1 mo. LIBOR US + 4.25%), 4.65%, 02/15/33^(a)(c)(d)			6,988		6,918,120
Series 2022-LP2, Class F, (1 mo. CME Term SOFR + 3.26%), 3.56%, 02/15/39^(a)(c)			3,364		3,280,019
BX Trust
Series 2019-OC11, Class A, 3.20%, 12/09/41^(a)			1,183		1,142,028
Series 2019-OC11, Class D, 4.08%, 12/09/41^(a)(c)			8,267		7,671,370
Series 2019-OC11, Class E, 4.08%, 12/09/41^(a)(c)			8,492		7,364,553
Series 2021-ARIA, Class D, (1 mo. LIBOR US + 1.90%), 2.29%, 10/15/36^(a)(c)			2,090		2,042,767
Series 2021-ARIA, Class G, (1 mo. LIBOR US + 3.14%), 3.54%, 10/15/36^(a)(c)			6,604		6,355,962
Series 2021-LBA, Class FJV, (1 mo. LIBOR US + 2.40%), 2.80%, 02/15/36^(a)(c)			6,390		6,084,419
Series 2021-LBA, Class FV, (1 mo. LIBOR US + 2.40%), 2.80%, 02/15/36^(a)(c)			5,128		4,936,272
Series 2021-LBA, Class GJV, (1 mo. LIBOR US + 3.00%), 3.40%, 02/15/36^(a)(c)			8,390		7,974,392


90		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
BX Trust
Series 2021-LBA, Class GV, (1 mo. LIBOR US + 3.00%), 3.40%, 02/15/36^(a)(c)	USD		6,640	$	6,390,585
Series 2021-MFM1, Class E, (1 mo. LIBOR US + 2.25%), 2.65%, 01/15/34^(a)(c)			1,650		1,601,767
Series 2021-MFM1, Class F, (1 mo. LIBOR US + 3.00%), 3.40%, 01/15/34^(a)(c)			2,550		2,504,639
Series 2021-SOAR, Class G, (1 mo. LIBOR US + 2.80%), 3.20%, 06/15/38^(a)(c)			12,106		11,717,973
Series 2021-SOAR, Class J, (1 mo. LIBOR US + 3.75%), 4.15%, 06/15/38^(a)(c)			10,660		10,265,516
Series 2022-LBA6, Class D, (1 mo. CME Term SOFR + 2.00%), 2.30%, 01/15/39^(a)(c)			2,890		2,837,324
BXP Trust
Series 2017-CC, Class D, 3.55%, 08/13/37^(a)(c)			750		700,714
Series 2017-CC, Class E, 3.55%, 08/13/37^(a)(c)			1,450		1,321,060
Series 2017-GM, Class D, 3.43%, 06/13/39^(a)(c)			590		556,598
Series 2017-GM, Class E, 3.43%, 06/13/39^(a)(c)			1,240		1,134,027
Series 2021-601L, Class D, 2.78%, 01/15/44^(a)(c)			2,789		2,238,866
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D, (1 mo. LIBOR US + 1.75%), 2.15%, 12/15/37^(a)(c)			3,618		3,559,568
Cassia SRL, Series 2022-1A, Class A, (3 mo. EURIBOR + 2.50%), 2.50%, 05/22/34^(a)(c)	EUR		8,023		8,875,444
CD Mortgage Trust, Series 2017-CD5, Class B, 3.96%, 08/15/50^(c)	USD		2,091		2,053,667
CFCRE Commercial Mortgage Trust
Series 2016-C3, Class A3, 3.87%, 01/10/48			410		416,349
Series 2018-TAN, Class A, 4.24%, 02/15/33^(a)			1,860		1,869,186
Series 2018-TAN, Class B, 4.69%, 02/15/33^(a)			2,274		2,279,021
Series 2018-TAN, Class C, 5.30%, 02/15/33^(a)			1,160		1,162,901
Series 2018-TAN, Class E, 6.45%, 02/15/33^(a)(c)			670		669,014
CFK Trust, Series 2019-FAX, Class D, 4.64%, 01/15/39^(a)(c)			2,643		2,571,082
CHC Commercial Mortgage Trust, Series 2019- CHC, Class B, (1 mo. LIBOR US + 1.50%), 1.90%, 06/15/34^(a)(c)			7,240		7,130,818
Citigroup Commercial Mortgage Trust
Series 2014-GC19, Class C, 5.09%, 03/10/47^(c)			440		444,870
Series 2015-GC27, Class B, 3.77%, 02/10/48			990		968,041
Series 2016-C1, Class D, 4.94%, 05/10/49^(a)(c)			450		424,176
Series 2016-GC37, Class C, 4.93%, 04/10/49^(c)			640		631,839
Series 2016-P3, Class C, 4.89%, 04/15/49^(c)			30		29,020
Series 2017-C4, Class A4, 3.47%, 10/12/50			1,220		1,221,204
Series 2018-C6, Class A4, 4.41%, 11/10/51			1,960		2,067,631
Series 2019-PRM, Class D, 4.35%, 05/10/36^(a)			1,120		1,105,019


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Citigroup Commercial Mortgage Trust
Series 2019-PRM, Class E, 4.73%, 05/10/36^(a)(c)	USD		5,271	$	5,167,659
Series 2019-PRM, Class F, 4.73%, 05/10/36^(a)(c)			5,180		4,974,488
Series 2019-SMRT, Class D, 4.75%, 01/10/36^(a)(c)			7,200		7,196,748
Series 2019-SMRT, Class E, 4.75%, 01/10/36^(a)(c)			419		414,574
Series 2020-420K, Class E, 3.31%, 11/10/42^(a)(c)			1,540		1,274,926
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2017-CD3, Class A4, 3.63%, 02/10/50			850		857,394
Cold Storage Trust
Series 2020-ICE5, Class E, (1 mo. LIBOR US + 2.77%), 3.16%, 11/15/37^(a)(c)			9,270		9,165,344
Series 2020-ICE5, Class F, (1 mo. LIBOR US + 3.49%), 3.89%, 11/15/37^(a)(c)			4,266		4,230,867
Commercial Mortgage Pass-Through Certificates
Series 2014-CR15, Class C, 4.69%, 02/10/47^(c)			3,920		3,957,115
Series 2014-CR18, Class A4, 3.55%, 07/15/47			329		326,452
Series 2015-LC21, Class C, 4.33%, 07/10/48^(c)			1,600		1,574,522
Series 2018-HCLV, Class B, (1 mo. LIBOR US + 1.40%), 1.80%, 09/15/33^(a)(c)			1,420		1,384,454
Commercial Mortgage Trust
Series 2013-GAM, Class A2, 3.37%, 02/10/28^(a)			1,386		1,378,784
Series 2013-GAM, Class E, 3.42%, 02/10/28^(a)(c)			2,170		2,030,643
Series 2014-CR21, Class A3, 3.53%, 12/10/47			1,334		1,326,102
Series 2015-LC19, Class D, 2.87%, 02/10/48^(a)			76		68,903
Series 2015-LC23, Class A4, 3.77%, 10/10/48			1,040		1,050,582
Series 2016-667M, Class D, 3.18%, 10/10/36^(a)(c)			630		553,085
CORE Mortgage Trust, Series 2019-CORE, Class F, (1 mo. LIBOR US + 2.35%), 2.75%, 12/15/31^(a)(c)			2,560		2,455,628
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class E, (1 mo. LIBOR US + 2.15%), 2.55%, 05/15/36^(a)(c)			2,600		2,551,179
Credit Suisse Mortgage Trust
Series 2017-CALI, Class C, 3.78%, 11/10/32^(a)(c)			1,729		1,683,736
Series 2017-PFHP, Class A, (1 mo. LIBOR US + 0.95%), 1.35%, 12/15/30^(a)(c)			900		893,800
Series 2017-TIME, Class A, 3.65%, 11/13/39^(a)			850		796,847
Series 2020-FACT, Class E, (1 mo. LIBOR US + 4.86%), 5.26%, 10/15/37^(a)(c)			4,380		4,385,265
Series 2020-NET, Class D, 3.71%, 08/15/37^(a)(c)			710		676,150
Series 2020-NET, Class E, 3.71%, 08/15/37^(a)(c)			3,580		3,423,959


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		91

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Credit Suisse Mortgage Trust
Series 2021-BHAR, Class E, (1 mo. LIBOR US + 3.50%), 3.90%, 11/15/38^(a)(c)	USD		1,166	$	1,166,000
CSAIL Commercial Mortgage Trust
Series 2015-C2, Class A4, 3.50%, 06/15/57			1,160		1,160,329
Series 2016-C5, Class B, 4.46%, 11/15/48^(c)			2,410		2,411,468
Series 2018-C14, Class C, 4.92%, 11/15/51^(c)			300		289,535
Series 2018-CX12, Class A4, 4.22%, 08/15/51^(c)			460		476,275
Series 2018-CX12, Class C, 4.74%, 08/15/51^(c)			570		570,695
Series 2019-C15, Class A4, 4.05%, 03/15/52			4,080		4,207,879
Series 2019-C16, Class C, 4.24%, 06/15/52^(c)			2,919		2,734,362
Series 2020-C19, Class A3, 2.56%, 03/15/53			6,155		5,756,913
DBGS Mortgage Trust
Series 2018-5BP, Class B, (1 mo. LIBOR US + 0.98%), 1.38%, 06/15/33^(a)(c)			2,890		2,842,927
Series 2019-1735, Class F, 4.20%, 04/10/37^(a)(c)			1,144		950,863
Del Amo Fashion Center Trust, Series 2017- AMO, Class D, 3.64%, 06/05/35^(a)(c)			962		792,913
Deutsche Bank JPMorgan Mortgage Trust, Series 2016-C1, Class A4, 3.28%, 05/10/49			1,430		1,425,602
Deutsche Bank UBS Mortgage Trust
Series 2017-BRBK, Class A, 3.45%, 10/10/34^(a)			2,540		2,526,692
Series 2017-BRBK, Class D, 3.53%, 10/10/34^(a)(c)			1,800		1,733,549
Series 2017-BRBK, Class E, 3.53%, 10/10/34^(a)(c)			3,560		3,368,556
Series 2017-BRBK, Class F, 3.53%, 10/10/34^(a)(c)			1,270		1,183,244
ELP Commercial Mortgage Trust
Series 2021-ELP, Class G, (1 mo. LIBOR US + 3.12%), 3.51%, 11/15/38^(a)(c)			6,008		5,871,604
Series 2021-ELP, Class J, (1 mo. LIBOR US + 3.61%), 4.01%, 11/15/38^(a)(c)			2,327		2,274,660
Extended Stay America Trust
Series 2021-ESH, Class D, (1 mo. LIBOR US + 2.25%), 2.65%, 07/15/38^(a)(c)			4,995		4,919,997
Series 2021-ESH, Class E, (1 mo. LIBOR US + 2.85%), 3.25%, 07/15/38^(a)(c)			7,981		7,845,606
Series 2021-ESH, Class F, (1 mo. LIBOR US + 3.70%), 4.10%, 07/15/38^(a)(c)			8,329		8,140,026
FREMF Mortgage Trust
Series 2017-KGX1, Class BFX, 3.59%, 10/25/27^(a)(c)			1,190		1,135,008
Series 2018-K74, Class B, 4.09%, 02/25/51^(a)(c)			120		120,798
Series 2018-K80, Class B, 4.23%, 08/25/50^(a)(c)			1,510		1,515,410
FRESB Mortgage Trust, Series 2018-SB53, Class A10F, 3.63%, 06/25/28^(c)			1,185		1,197,700
GCT Commercial Mortgage Trust
Series 2021-GCT, Class A, (1 mo. LIBOR US + 0.80%), 1.20%, 02/15/38^(a)(c)			1,870		1,838,163
Series 2021-GCT, Class D, (1 mo. LIBOR US + 2.35%), 2.75%, 02/15/38^(a)(c)			440		429,871
Grace Trust, Series 2020-GRCE, Class E, 2.68%, 12/10/40^(a)(c)			3,335		2,751,661


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
GS Mortgage Securities Corp. II
Series 2005-ROCK, Class A, 5.37%, 05/03/32^(a)	USD		2,750	$	2,873,820
Series 2012-TMSQ, Class D, 3.46%, 12/10/30^(a)(c)			1,210		1,160,301
GS Mortgage Securities Corp. Trust
Series 2017-GPTX, Class A, 2.86%, 05/10/34^(a)			2,290		2,283,413
Series 2019-BOCA, Class A, (1 mo. LIBOR US + 1.20%), 1.60%, 06/15/38^(a)(c)			1,431		1,430,594
Series 2020-TWN3, Class B, (1 mo. LIBOR US + 2.50%), 2.90%, 11/15/37^(a)(c)			320		319,614
Series 2020-TWN3, Class D, (1 mo. LIBOR US + 3.70%), 4.10%, 11/15/37^(a)(c)			200		199,678
Series 2021-DM, Class F, (1 mo. LIBOR US + 3.44%), 3.83%, 11/15/36^(a)(c)			1,835		1,787,678
GS Mortgage Securities Trust
Series 2012-GCJ9, Class C, 4.45%, 11/10/45^(a)(c)			1,507		1,511,066
Series 2014-GC20, Class B, 4.53%, 04/10/47^(c)			140		136,936
Series 2015-590M, Class E, 3.81%, 10/10/35^(a)(c)			1,790		1,645,091
Series 2015-GC32, Class C, 4.42%, 07/10/48^(c)			290		284,751
Series 2015-GS1, Class A3, 3.73%, 11/10/48			670		675,564
Series 2017-GS7, Class D, 3.00%, 08/10/50^(a)			530		467,990
Series 2019-GSA1, Class C, 3.80%, 11/10/52^(c)			520		489,157
GSCG Trust, Series 2019-600C, Class F, 3.99%, 09/06/34^(a)(c)			3,090		2,858,534
HMH Trust, Series 2017-NSS, Class A, 3.06%, 07/05/31^(a)			3,390		3,311,624
HONO Mortgage Trust, Series 2021-LULU, Class E, (1 mo. LIBOR US + 3.35%), 3.75%, 10/15/36^(a)(c)			1,089		1,068,522
Hudson Yards Mortgage Trust
Series 2019-30HY, Class E, 3.44%, 07/10/39^(a)(c)			2,178		2,009,557
Series 2019-55HY, Class F, 2.94%, 12/10/41^(a)(c)			4,179		3,496,072
IMT Trust
Series 2017-APTS, Class AFX, 3.48%, 06/15/34^(a)			1,540		1,535,029
Series 2017-APTS, Class DFX, 3.50%, 06/15/34^(a)(c)			1,600		1,550,002
Series 2017-APTS, Class EFX, 3.50%, 06/15/34^(a)(c)			810		773,865
Independence Plaza Trust
Series 2018-INDP, Class B, 3.91%, 07/10/35^(a)			700		688,693
Series 2018-INDP, Class C, 4.16%, 07/10/35^(a)			1,600		1,560,127
JPMBB Commercial Mortgage Securities Trust
Series 2014-C22, Class B, 4.55%, 09/15/47^(c)			670		655,184
Series 2015-C33, Class D1, 4.11%, 12/15/48^(a)(c)			1,873		1,708,006
JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class A4, 4.21%, 06/15/51			965		1,004,779


92		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2021-MHC, Class F, (1 mo. LIBOR US + 2.95%), 3.35%, 04/15/38^(a)(c)	USD		6,630	$	6,380,166
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2012-CBX, Class A4FL, (1 mo. LIBOR US + 1.30%), 1.74%, 06/15/45^(a)(c)			48		48,366
Series 2015-JP1, Class C, 4.72%, 01/15/49^(c)			710		708,903
Series 2016-NINE, Class A, 2.85%, 09/06/38^(a)(c)			647		625,950
Series 2017-JP5, Class D, 4.60%, 03/15/50^(a)(c)			147		132,681
Series 2017-JP6, Class A5, 3.49%, 07/15/50			1,180		1,187,030
Series 2017-JP7, Class B, 4.05%, 09/15/50			320		317,027
Series 2018-AON, Class A, 4.13%, 07/05/31^(a)			1,819		1,833,863
Series 2018-PHH, Class A, (1 mo. LIBOR US + 1.06%), 2.56%, 06/15/35^(a)(c)			1,938		1,906,905
Series 2018-WPT, Class DFX, 5.35%, 07/05/33^(a)			1,996		2,012,857
Series 2019-COR5, Class A3, 3.12%, 06/13/52			1,700		1,661,788
Series 2019-COR5, Class C, 3.75%, 06/13/52			988		923,254
Series 2019-MFP, Class E, (1 mo. LIBOR US + 2.16%), 2.56%, 07/15/36^(a)(c)			2,460		2,392,555
Series 2019-MFP, Class F, (1 mo. LIBOR US + 3.00%), 3.40%, 07/15/36^(a)(c)			4,361		4,225,050
Series 2020-609M, Class D, (1 mo. LIBOR US + 2.77%), 3.17%, 10/15/33^(a)(c)			1,600		1,548,799
Series 2021-MHC, Class E, (1 mo. LIBOR US + 2.45%), 2.85%, 04/15/38^(a)(c)			6,310		6,119,751
Series 2022-OPO, Class D, 3.45%, 01/05/39^(a)(c)			4,220		3,727,875
KKR Industrial Portfolio Trust, Series 2021- KDIP, Class F, (1 mo. LIBOR US + 2.05%), 2.45%, 12/15/37^(a)(c)			2,490		2,408,738
KNDL Mortgage Trust
Series 2019-KNSQ, Class E, (1 mo. LIBOR US + 1.80%), 2.20%, 05/15/36^(a)(c)			11,283		11,119,797
Series 2019-KNSQ, Class F, (1 mo. LIBOR US + 2.00%), 2.40%, 05/15/36^(a)(c)			2,550		2,482,499
Lehman Brothers Small Balance Commercial Mortgage Trust
Series 2006-2A, Class M3, (1 mo. LIBOR US + 0.45%), 0.91%, 09/25/36^(a)(c)			2,254		2,177,929
Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.25%), 0.71%, 03/25/37^(a)(c)			263		261,191
Life Mortgage Trust, Series 2021-BMR, Class F, (1 mo. LIBOR US + 2.35%), 2.75%, 03/15/38^(a)(c)			7,844		7,510,281
LSTAR Commercial Mortgage Trust, Series 2015-3, Class AS, 3.17%, 04/20/48^(a)(c)			189		186,873
MAD Mortgage Trust
Series 2017-330M, Class D, 3.71%, 08/15/34^(a)(c)			1,085		1,041,235
Series 2017-330M, Class E, 3.76%, 08/15/34^(a)(c)(d)			1,846		1,836,955


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Med Trust, Series 2021-MDLN, Class G, (1 mo. LIBOR US + 5.25%), 5.65%, 11/15/38^(a)(c)	USD		33,853	$	33,053,947
MF1, Series 2021-W10, Class G, (1 mo. CME Term SOFR + 4.22%), 4.52%, 12/15/34^(a)(c)			1,005		1,003,744
MFT Trust
Series 2020-ABC, Class C, 3.48%, 02/10/42^(a)(c)			6,719		5,864,570
Series 2020-ABC, Class D, 3.48%, 02/10/42^(a)(c)			2,188		1,820,137
MHC Commercial Mortgage Trust
Series 2021-MHC, Class E, (1 mo. LIBOR US + 2.10%), 2.50%, 04/15/38^(a)(c)			15,630		15,257,196
Series 2021-MHC, Class F, (1 mo. LIBOR US + 2.60%), 3.00%, 04/15/38^(a)(c)			6,420		6,258,806
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C23, Class A4, 3.72%, 07/15/50.			1,016		1,024,117
Series 2015-C23, Class D, 4.14%, 07/15/50^(a)(c)			110		102,393
Series 2015-C25, Class B, 4.53%, 10/15/48^(c)			2,910		2,938,581
Series 2015-C25, Class C, 4.53%, 10/15/48^(c)			430		424,154
Series 2015-C26, Class D, 3.06%, 10/15/48^(a)			209		186,861
Series 2017-C33, Class C, 4.56%, 05/15/50^(c)			840		807,049
Morgan Stanley Capital I Trust
Series 2014-150E, Class D, 4.30%, 09/09/32^(a)(c)			3,015		2,854,414
Series 2014-150E, Class F, 4.30%, 09/09/32^(a)(c)			508		461,083
Series 2015-MS1, Class A4, 3.78%, 05/15/48^(c)			420		423,370
Series 2015-MS1, Class C, 4.04%, 05/15/48^(c)			1,060		1,002,665
Series 2015-MS1, Class D, 4.04%, 05/15/48^(a)(c)			158		139,156
Series 2017-CLS, Class E, (1 mo. LIBOR US + 1.95%), 2.35%, 11/15/34^(a)(c)			471		466,249
Series 2017-CLS, Class F, (1 mo. LIBOR US + 2.60%), 3.00%, 11/15/34^(a)(c)			6,092		6,015,714
Series 2017-H1, Class C, 4.28%, 06/15/50^(c)(d)			560		574,896
Series 2017-H1, Class D, 2.55%, 06/15/50^(a)			4,190		3,334,728
Series 2017-HR2, Class D, 2.73%, 12/15/50			430		349,741
Series 2018-H3, Class A5, 4.18%, 07/15/51			175		180,807
Series 2018-H3, Class C, 4.86%, 07/15/51^(c)			420		428,910
Series 2018-H4, Class C, 5.07%, 12/15/51^(c)			670		660,574
Series 2018-L1, Class A3, 4.14%, 10/15/51			940		968,184
Series 2018-MP, Class E, 4.28%, 07/11/40^(a)(c)			2,730		2,284,133
Series 2018-SUN, Class A, (1 mo. LIBOR US + 0.90%), 1.30%, 07/15/35^(a)(c)			1,410		1,392,268
Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.55%), 2.95%, 07/15/35^(a)(c)			417		404,428
Series 2019-L2, Class A4, 4.07%, 03/15/52			1,485		1,528,923
Series 2019-NUGS, Class E, (1 mo. LIBOR US + 2.24%), 3.74%, 12/15/36^(a)(c)			1,066		1,049,197
Series 2020-L4, Class D, 2.50%, 02/15/53^(a)			120		95,975
Morgan Stanley Capital I, Inc., Series 2018-H3, Class D, 3.00%, 07/15/51^(a)			549		463,694


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		93

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
MSCG Trust
Series 2018-SELF, Class E, (1 mo. LIBOR US + 2.15%), 2.55%, 10/15/37^(a)(c)	USD		743	$	730,421
Series 2018-SELF, Class F, (1 mo. LIBOR US + 3.05%), 3.45%, 10/15/37^(a)(c)			3,450		3,373,264
MSDB Trust, Series 2017-712F, Class B, 3.45%, 07/11/39^(a)(c)			1,650		1,598,993
MTN Commercial Mortgage Trust
Series 2022-LPFL, Class A, (1 mo. CME Term SOFR + 1.40%), 1.45%, 03/15/39^(a)(c)			6,160		6,132,982
Series 2022-LPFL, Class F, (1 mo. CME Term SOFR + 5.29%), 5.34%, 03/15/39^(a)(c)			5,305		5,272,182
Natixis Commercial Mortgage Securities Trust
Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.95%), 1.35%, 06/15/35^(a)(c)			425		409,316
Series 2018-SOX, Class A, 4.40%, 06/17/38^(a)			4,162		4,248,103
Series 2019-LVL, Class D, 4.44%, 08/15/38^(a)			1,550		1,386,013
Series 2020-AGC, Class A, (1 mo. LIBOR US + 2.55%), 3.02%, 08/18/25^(a)(c)			19,914		19,939,669
Olympic Tower Mortgage Trust, Series 2017-OT, Class E, 3.95%, 05/10/39^(a)(c)			2,910		2,417,823
One Market Plaza Trust, Series 2017-1MKT, Class D, 4.15%, 02/10/32^(a)			4,327		4,286,511
One New York Plaza Trust, Series 2020-1NYP, Class D, (1 mo. LIBOR US + 2.75%), 3.15%, 01/15/36^(a)(c)			960		945,583
PFP Ltd., Series 2019-5, Class AS, (1 mo. LIBOR US + 1.42%), 1.85%, 04/14/36^(a)(c)			739		730,689
Scorpio European Loan Conduit No. 34 DAC, Series 34A, Class C, (1 day SONIA + 2.22%), 2.96%, 05/17/29^(a)(c)	GBP		1,168		1,524,462
SG Commercial Mortgage Securities Trust, Series 2019-PREZ, Class D, 3.48%, 09/15/39^(a)(c)	USD		2,200		1,973,192
SMRT, Series 2022-MINI, Class E, (1 mo. CME Term SOFR + 2.70%), 3.00%, 01/15/24^(a)(c)			1,550		1,522,797
SREIT Trust
Series 2021-MFP, Class F, (1 mo. LIBOR US + 2.62%), 3.02%, 11/15/38^(a)(c)			5,400		5,203,674
Series 2021-MFP2, Class F, (1 mo. LIBOR US + 2.62%), 3.02%, 11/15/36^(a)(c)			4,101		3,998,328
Series 2021-MFP2, Class J, (1 mo. LIBOR US + 3.92%), 4.31%, 11/15/36^(a)(c)			1,378		1,347,791
TPGI Trust
Series 2021-DGWD, Class F, (1 mo. LIBOR US + 3.00%), 3.40%, 06/15/26^(a)(c)			1,830		1,778,317
Series 2021-DGWD, Class G, (1 mo. LIBOR US + 3.85%), 4.25%, 06/15/26^(a)(c)			1,275		1,237,297
UBS Commercial Mortgage Trust, Series 2017- C7, Class A4, 3.68%, 12/15/50			880		891,854
UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class D, 5.05%, 08/10/49^(a)(c)			570		569,838
VCC Trust, Series 2020-MC1, Class A, 4.50%, 06/25/45^(a)(c)			1,432		1,431,868
Velocity Commercial Capital Loan Trust
Series 2017-2, Class M3, 4.24%, 11/25/47^(a)(c)			325		315,394


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Velocity Commercial Capital Loan Trust
Series 2017-2, Class M4, 5.00%, 11/25/47^(a)(c)	USD		196	$	190,934
Series 2018-1, Class M2, 4.26%, 04/25/48^(a)			190		187,116
Series 2020-1, Class M1, 2.80%, 02/25/50^(a)(c)			918		875,989
Series 2020-1, Class M2, 2.98%, 02/25/50^(a)(c)			1,010		959,327
Series 2021-4, Class A, 2.52%, 12/26/51^(a)(c)			13,270		12,642,567
Series 2021-4, Class M4, 4.48%, 12/26/51^(a)(c)			1,213		1,129,002
VNDO Trust, Series 2016-350P, Class D, 3.90%, 01/10/35^(a)(c)			3,390		3,178,112
Wells Fargo Commercial Mortgage Trust
Series 2015-P2, Class D, 3.24%, 12/15/48^(a)			884		731,866
Series 2016-C32, Class A3FL, (1 mo. LIBOR US + 1.42%), 1.86%, 01/15/59^(c)			3,077		3,067,526
Series 2016-C34, Class A3FL, (1 mo. LIBOR US + 1.04%), 1.48%, 06/15/49^(a)(c)			1,830		1,845,836
Series 2016-NXS5, Class B, 4.95%, 01/15/59^(c)			860		894,066
Series 2017-C39, Class D, 4.34%, 09/15/50^(a)(c)			594		530,372
Series 2017-C41, Class D, 2.60%, 11/15/50^(a)(c)			1,172		879,119
Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.85%), 1.24%, 12/13/31^(a)(c)			1,508		1,489,733
Series 2018-1745, Class A, 3.75%, 06/15/36^(a)(c)			1,987		1,982,963
Series 2018-C44, Class D, 3.00%, 05/15/51^(a)			348		281,879
Series 2018-C45, Class C, 4.73%, 06/15/51			530		527,309
Series 2018-C48, Class B, 4.90%, 01/15/52^(c)			3,612		3,702,692
Series 2019-C52, Class C, 3.56%, 08/15/52^(d)			465		445,470
Series 2020-SDAL, Class D, (1 mo. LIBOR US + 2.09%), 2.49%, 02/15/37^(a)(c)			1,530		1,468,728
Series 2020-SDAL, Class E, (1 mo. LIBOR US + 2.74%), 3.14%, 02/15/37^(a)(c)			1,300		1,231,054
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.20%, 11/15/47^(c)			770		732,300


					837,562,694

Interest Only Collateralized Mortgage Obligations — 0.0%
JPMorgan Mortgage Trust
Series 2021-INV5, Class A2X, 0.50%, 12/25/51^(a)(c)			58,833		1,664,265
Series 2021-INV5, Class A5X, 0.50%, 12/25/51^(a)(c)			6,317		178,708
Series 2021-INV5, Class AX1, 0.19%, 12/25/51^(a)(c)			113,714		914,526
Series 2021-INV7, Class A2X, 0.50%, 02/25/52^(a)(c)			30,483		774,512
Series 2021-INV7, Class A3X, 0.50%, 02/25/52^(a)(c)			19,189		257,484
Series 2021-INV7, Class A4X, 0.50%, 02/25/52^(a)(c)			6,756		411,487
Series 2021-INV7, Class A5X, 0.50%, 02/25/52^(a)(c)			3,319		84,330
Series 2021-INV7, Class AX1, 0.27%, 02/25/52^(a)(c)			59,747		676,350


94		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Interest Only Collateralized Mortgage Obligations (continued)
Seasoned Credit Risk Transfer Trust, Series 2017-3, Class BIO, 2.13%, 07/25/56^(a)(c)	USD		3,164	$	294,012
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 9.20%, 02/25/38^(a)(c)			12,705		3,798,306


					9,053,980

Interest Only Commercial Mortgage-Backed Securities — 0.1%
245 Park Avenue Trust, Series 2017-245P, Class XA, 0.15%, 06/05/37^(a)(c)			13,000		112,146
Banc of America Commercial Mortgage Trust
Series 2017-BNK3, Class XB, 0.60%, 02/15/50^(c)			11,850		320,226
Series 2017-BNK3, Class XD, 1.26%, 02/15/50^(a)(c)			5,000		266,050
BANK, Series 2019-BN20, Class XB, 0.38%, 09/15/62^(c)			39,279		960,619
BBCMS Mortgage Trust
Series 2015-SRCH, Class XA, 0.93%, 08/10/35^(a)(c)			16,930		644,354
Series 2020-C7, Class XB, 0.99%, 04/15/53^(c)			1,596		113,570
Benchmark Mortgage Trust
Series 2019-B9, Class XA, 1.04%, 03/15/52^(c)			13,293		760,376
Series 2020-B17, Class XB, 0.53%, 03/15/53^(c)			7,100		237,566
Series 2021-B23, Class XA, 1.28%, 02/15/54^(c)			27,530		2,272,632
CFCRE Commercial Mortgage Trust
Series 2016-C3, Class XD, 1.70%, 01/10/48^(a)(c)			5,497		308,988
Series 2016-C4, Class XB, 0.70%, 05/10/58^(c)			5,810		154,720
Citigroup Commercial Mortgage Trust, Series 2020-420K, Class X, 0.89%, 11/10/42^(a)(c)			46,500		2,745,090
Commercial Mortgage Pass-Through Certificates
Series 2013-CR6, Class XA, 1.00%, 03/10/46^(c)			15,693		46,415
Series 2015-3BP, Class XA, 0.06%, 02/10/35^(a)(c)			150,000		390,000
Series 2015-CR25, Class XA, 0.82%, 08/10/48^(c)			4,474		102,152
Series 2018-COR3, Class XD, 1.75%, 05/10/51^(a)(c)			3,200		274,106
CSAIL Commercial Mortgage Trust
Series 2017-CX10, Class XB, 0.13%, 11/15/50^(c)			12,490		159,365
Series 2019-C16, Class XA, 1.56%, 06/15/52^(c)			30,441		2,675,640
Series 2019-C17, Class XA, 1.36%, 09/15/52^(c)			10,308		763,507
Series 2019-C17, Class XB, 0.56%, 09/15/52^(c)			19,090		684,758
DBGS Mortgage Trust, Series 2019-1735, Class X, 0.29%, 04/10/37^(a)(c)			21,535		419,933
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50^(c)			5,780		239,292


Security		Par (000)		Value

Interest Only Commercial Mortgage-Backed Securities (continued)
FREMF Mortgage Trust, Series 2019-KW08, Class X2A, 0.10%, 01/25/29^(a)	USD		151,283	$	813,705
GS Mortgage Securities Corp. II, Series 2005- ROCK, Class X1, 0.21%, 05/03/32^(a)(c)			21,000		163,185
GS Mortgage Securities Trust
Series 2019-GSA1, Class XA, 0.83%, 11/10/52^(c)			8,045		415,344
Series 2020-GSA2, Class XA, 1.73%, 12/12/53^(a)(c)			18,610		2,059,242
JPMBB Commercial Mortgage Securities Trust
Series 2014-C22, Class XA, 0.82%, 09/15/47^(c)			1,820		28,217
Series 2014-C23, Class XA, 0.60%, 09/15/47^(c)			24,249		291,124
Series 2015-C29, Class XA, 0.60%, 05/15/48^(c)			1,530		22,791
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC, 0.75%, 12/15/49^(a)(c)			4,940		140,564
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2013-LC11, Class XB, 0.51%, 04/15/46^(c)			4,570		24,163
Series 2016-JP3, Class XC, 0.75%, 08/15/49^(a)(c)			13,040		364,284
Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class XA, 1.17%, 02/15/36^(a)(c)			3,753		202,622
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 0.79%, 03/10/50^(a)(c)			2,619		67,541
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C19, Class XF, 1.18%, 12/15/47^(a)(c)			4,370		123,409
Series 2015-C26, Class XD, 1.32%, 10/15/48^(a)(c)			4,490		186,021
Morgan Stanley Capital I Trust
Series 2016-UBS9, Class XD, 1.61%, 03/15/49^(a)(c)			13,984		790,655
Series 2017-H1, Class XD, 2.16%, 06/15/50^(a)(c)			3,293		313,102
Series 2019-H6, Class XB, 0.72%, 06/15/52^(c)			23,510		1,051,837
Series 2019-L2, Class XA, 1.02%, 03/15/52^(c)			8,775		498,272
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.38%, 05/10/39^(a)(c)			36,697		670,454
One Market Plaza Trust
Series 2017-1MKT, Class XCP, 0.00%, 02/10/32^(a)(c)			53,230		1,597
Series 2017-1MKT, Class XNCP, 0.09%, 02/10/32^(a)(c)(d)			10,646		10,646
UBS Commercial Mortgage Trust
Series 2019-C17, Class XA, 1.48%, 10/15/52^(c)			32,158		2,704,534
Series 2019-C18, Class XA, 1.03%, 12/15/52^(c)			35,242		1,962,000
Wells Fargo Commercial Mortgage Trust
Series 2015-NXS4, Class XA, 0.51%, 12/15/48^(c)			2,270		69,433


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		95

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Interest Only Commercial Mortgage-Backed Securities (continued)
Wells Fargo Commercial Mortgage Trust
Series 2016-BNK1, Class XD, 1.25%, 08/15/49^(a)(c)	USD		4,420	$	198,856
Series 2019-C50, Class XA, 1.41%, 05/15/52^(c)			23,429		1,752,352


					29,577,455

Principal Only Collateralized Mortgage Obligations — 0.0%
Seasoned Credit Risk Transfer Trust, Series 2017-3, Class B, 0.00%, 07/25/56^(a)(n)			1,541		453,090


Total Non-Agency Mortgage-Backed Securities — 7.2% (Cost: $1,580,646,175)					1,521,667,348


Preferred Securities

Capital Trusts — 0.5%

Banks — 0.3%
Ahli United Sukuk Ltd., 3.88%^(e)(l)			350		332,500
Banco Davivienda SA, 6.65%^(a)(l)			840		769,545
Banco Mercantil del Norte SA
5.88%^(a)(l)			1,815		1,672,409
6.63%^(a)(l)			1,650		1,522,950
Bangkok Bank PCL, 5.00%^(e)(l)			920		898,610
Bank of America Corp., Series FF, 5.88%^(l)			10,500		10,602,900
Bank of East Asia Ltd.
5.83%^(e)(l)			1,881		1,866,892
5.88%^(e)(l)			909		905,478
Burgan Bank SAK, 5.75%^(e)(l)			1,729		1,666,648
Citigroup, Inc.
3.88%^(l)			6,991		6,589,017
Series W, 4.00%^(l)			15,453		14,834,880
Emirates NBD Bank PJSC, 6.13%^(e)(l)			3,399		3,432,990
HDFC Bank Ltd., 3.70%^(e)(l)			2,250		2,081,250
Kasikornbank PCL, 5.28%^(e)(l)			1,677		1,631,197
Kookmin Bank, 4.35%^(e)(l)			1,307		1,309,696
Krung Thai Bank PCL, 4.40%^(e)(l)			1,314		1,230,233
Lehman Brothers Holdings Capital Trust VII, 5.86%^(d)(f)(k)(l)			1,888		—
NBK Tier 1 Financing Ltd., 3.63%^(a)(l)			3,798		3,548,756
Shinhan Financial Group Co. Ltd., 2.88%^(e)(l)			1,810		1,642,575
TMB Bank PCL, 4.90%^(e)(l)			1,508		1,445,135
United Overseas Bank Ltd., 3.88%^(e)(l)			300		297,244


					58,280,905

Capital Markets — 0.2%
Bank of New York Mellon Corp.
3.70%^(l)			2,900		2,755,000
Series F, 4.63%^(l)			9,722		9,576,170
Charles Schwab Corp., Series H, 4.00%^(l)			12,500		11,226,500
State Street Corp.
Series F, (3 mo. LIBOR US + 3.60%), 4.42%^(c)(l)			1,338		1,337,616
Series H, 5.63%^(l)			19,655		19,419,140


					44,314,426

Diversified Financial Services — 0.0%
DBS Group Holdings Ltd., 3.30%^(e)(l)			1,000		970,290


Electric Utilities — 0.0%
Vistra Corp., 7.00%^(a)(l)			2,600		2,531,750


Insurance — 0.0%
Hanwha Life Insurance Co. Ltd., 4.70%^(e)(l)			1,480		1,496,002
Heungkuk Life Insurance Co. Ltd., 4.48%^(e)(l)			1,000		995,188


Security		Par (000)		Value

Insurance (continued)
KDB Life Insurance Co. Ltd., 7.50%^(e)(l)	USD		630	$	626,850
Tongyang Life Insurance Co. Ltd., 5.25%^(e)(l)			950		969,000


					4,087,040

Real Estate Management & Development — 0.0%
MAF Global Securities Ltd., 5.50%^(e)(l)			1,341		1,331,613
NWD Finance BVI Ltd., 4.13%^(e)(l)			3,140		2,857,400


				4,189,013


Total Capital Trusts — 0.5%					114,373,424


		Shares

Preferred Stocks — 0.1%

Household Durables — 0.1%
Dream Finders Homes, Inc.^(d)			15,124		14,991,665


Total Preferred Stocks — 0.1%					14,991,665


Total Preferred Securities — 0.6% (Cost: $135,389,283)					129,365,089


Rights

Diversified Financial Services — 0.0%
Crown PropTech Acquisitions^(d)			214,560		42,912


Total Rights — 0.0% (Cost: $321,840)					42,912


		Par (000)

U.S. Government Sponsored Agency Securities

Agency Obligations — 0.0%
Fannie Mae, 6.63%, 11/15/30	USD		1,450		1,900,365


Collateralized Mortgage Obligations — 0.5%
Fannie Mae
Series 2003-W5, Class A, (1 mo. LIBOR US + 0.11%), 0.41%, 04/25/33^(c)			1		1,156
Series 2021-R01, Class 1B1, (SOFR (30- day) + 3.10%), 3.20%, 10/25/41^(a)(c)			12,635		11,625,297
Series 2021-R03, Class 1B2, (SOFR (30- day) + 5.50%), 5.60%, 12/25/41^(a)(c)			1,641		1,456,638
Series 2022-R01, Class 1B1, (SOFR (30- day) + 3.15%), 3.25%, 12/25/41^(a)(c)			7,500		6,958,175
Series 2022-R01, Class 1B2, (SOFR (30- day) + 6.00%), 6.10%, 12/25/41^(a)(c)			4,228		3,752,187
Freddie Mac
Series 2015-DN1, Class B, (1 mo. LIBOR US + 11.50%), 11.96%, 01/25/25^(c)			337		341,609
Series 2015-HQ2, Class B, (1 mo. LIBOR US + 7.95%), 8.41%, 05/25/25^(c)			512		518,534
Series 2017-DNA3, Class B1, (1 mo. LIBOR US + 4.45%), 4.91%, 03/25/30^(c)			1,860		1,939,143
Series 2017-HRP1, Class M2, (1 mo. LIBOR US + 2.45%), 2.91%, 12/25/42^(c)			432		432,755
Series 2020-DNA4, Class M2, (1 mo. LIBOR US + 3.75%), 4.21%, 08/25/50^(a)(c)			499		499,125
Series 2020-DNA5, Class B1, (SOFR (30- day) + 4.80%), 4.90%, 10/25/50^(a)(c)			990		1,004,862
Series 2020-DNA6, Class B1, (SOFR (30- day) + 3.00%), 3.10%, 12/25/50^(a)(c)			3,640		3,403,230
Series 2020-HQA5, Class B1, (SOFR (30- day) + 4.00%), 4.10%, 11/25/50^(a)(c)			2,410		2,349,707


96		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Freddie Mac
Series 2021-DNA1, Class B1, (SOFR (30- day) + 2.65%), 2.75%, 01/25/51^(a)(c)	USD		8,510	$	7,535,717
Series 2021-DNA1, Class B2, (SOFR (30- day) + 4.75%), 4.85%, 01/25/51^(a)(c)			5,220		4,540,525
Series 2021-DNA2, Class B1, (SOFR (30- day) + 3.40%), 3.50%, 08/25/33^(a)(c)			7,000		6,517,848
Series 2021-DNA2, Class B2, (SOFR (30- day) + 6.00%), 6.10%, 08/25/33^(a)(c)			6,320		6,007,985
Series 2021-DNA3, Class B1, (SOFR (30- day) + 3.50%), 3.60%, 10/25/33^(a)(c)			7,155		6,694,882
Series 2021-DNA7, Class B1, (SOFR (30- day) + 3.65%), 3.75%, 11/25/41^(a)(c)			9,000		8,520,510
Series 2021-DNA7, Class B2, (SOFR (30- day) + 7.80%), 7.90%, 11/25/41^(a)(c)			6,330		5,905,520
Series 2021-HQA1, Class B1, (SOFR (30- day) + 3.00%), 3.10%, 08/25/33^(a)(c)			8,632		7,515,966
Series 2021-HQA1, Class B2, (SOFR (30- day) + 5.00%), 5.10%, 08/25/33^(a)(c)			5,189		4,611,490
Series 2022-DNA1, Class B1, (SOFR (30- day) + 3.40%), 3.50%, 01/25/42^(a)(c)			7,060		6,406,988
Series 2022-DNA1, Class B2, (SOFR (30- day) + 7.10%), 7.20%, 01/25/42^(a)(c)			4,900		4,324,493


					102,864,342

Commercial Mortgage-Backed Securities — 0.0%
Fannie Mae, Series 2006-M2, Class A2A, 5.27%, 10/25/32^(c)			527		542,671


Interest Only Collateralized Mortgage Obligations — 0.2%
Fannie Mae
Series 2020-32, Class PI, 4.00%, 05/25/50			7,262		1,199,445
Series 2020-77, Class HI, 4.00%, 11/25/50			27,035		4,596,423
Series 2021-31, Class IB, 4.00%, 06/25/51			7,713		1,349,103
Series 2021-50, Class IO, 4.00%, 08/25/51			10,427		1,803,366
Freddie Mac
Series 4940, Class PI, 4.00%, 07/25/49^(d)			3,172		441,885
Series 4995, Class BI, 4.50%, 06/25/50			3,446		620,970
Series 5014, Class DI, 4.00%, 09/25/50^(d)			2,611		445,495
Series 5018, Class CI, 4.50%, 10/25/50			3,409		655,264
Series 5029, Class GI, 2.00%, 10/25/50			4,612		558,040
Series 5057, Class TI, 3.00%, 11/25/50			7,542		1,144,446
Series 5082, Class IW, 3.00%, 03/25/51^(d)			5,635		834,696
Series 5097, Class ID, 2.50%, 04/25/51			7,687		1,114,710
Series 5100, Class MI, 3.50%, 09/25/48			5,960		1,037,100
Series 5129, Class IO, 3.00%, 09/25/50^(d)			2,950		360,218
Series 5139, Class IG, 3.00%, 09/25/51			7,056		871,175
Series 5142, Class IP, 3.00%, 09/25/51			3,106		367,411
Series 5142, Class PI, 3.00%, 09/25/51			4,006		576,104
Series 5145, Class HI, 3.00%, 09/25/51			2,783		332,656
Series 5155, Class JI, 3.00%, 10/25/51			6,549		815,866
Series 5155, Class KI, 3.00%, 10/25/51^(d)			3,563		467,626
Series 5155, Class NI, 3.00%, 10/25/51			7,646		955,257
Series 5167, Class MI, 3.00%, 11/25/51^(d)			4,058		502,145
Series 5184, Class PI, 3.00%, 01/25/52			7,066		774,279
Ginnie Mae
Series 2020-144, Class IO, 2.50%, 09/20/50			7,927		967,488
Series 2020-146, Class DI, 2.50%, 10/20/50			6,284		755,390
Series 2020-151, Class MI, 2.50%, 10/20/50			33,024		4,217,000
Series 2020-175, Class DI, 2.50%, 11/20/50			2,250		270,745
Series 2020-185, Class MI, 2.50%, 12/20/50			7,773		1,028,632
Series 2021-15, Class GI, 3.50%, 01/20/51			4,559		667,155
Series 2021-161, Class IB, 4.00%, 09/20/51^(d)			2,939		382,886


Security		Par (000)		Value

Interest Only Collateralized Mortgage Obligations (continued)
Ginnie Mae
Series 2021-176, Class IA, 3.50%, 10/20/51	USD		6,935	$	719,370
Series 2021-199, Class KI, 3.50%, 11/20/51^(d)			3,628		417,560
Series 2021-209, Class TJ, 3.50%, 11/20/51^(d)			3,078		378,607
Series 2021-214, Class AI, 4.00%, 12/20/51			6,836		880,466
Series 2021-215, Class LI, 3.00%, 12/20/51			4,940		544,173
Series 2021-221, Class AI, 3.50%, 12/20/51			6,525		731,633
Series 2021-221, Class CI, 3.00%, 12/20/51			3,220		413,222
Series 2021-78, Class IC, 4.00%, 05/20/51^(d)			4,760		678,309


					34,876,316

Interest Only Commercial Mortgage-Backed Securities — 0.0%
Freddie Mac
Series K110, Class X1, 1.70%, 04/25/30^(c)			5,576		608,247
Series K111, Class X1, 1.57%, 05/25/30^(c)			20,279		2,120,237
Series K121, Class X1, 1.03%, 10/25/30^(c)			13,790		967,214
Series K122, Class X1, 0.88%, 11/25/30^(c)			7,719		474,048
Series KL06, Class XFX, 1.36%, 12/25/29			6,710		525,807
Series KW09, Class X1, 0.80%, 05/25/29^(c)			36,874		1,682,733
Ginnie Mae
Series 2013-30, Class IO, 0.60%, 09/16/53^(c)			4,721		73,520
Series 2013-78, Class IO, 0.31%, 10/16/54^(c)			5,134		79,534
Series 2015-173, Class IO, 0.67%, 09/16/55^(c)			3,915		117,085
Series 2015-22, Class IO, 0.54%, 03/16/55^(c)			4,018		86,469
Series 2015-37, Class IO, 0.67%, 10/16/56^(c)			923		30,491
Series 2015-48, Class IO, 0.69%, 02/16/50^(c)			1,119		31,254
Series 2016-125, Class IO, 0.82%, 12/16/57^(c)			4,306		185,227
Series 2016-36, Class IO, 0.73%, 08/16/57^(c)			1,101		39,060
Series 2016-96, Class IO, 0.76%, 12/16/57^(c)			3,865		158,276


					7,179,202

Mortgage-Backed Securities — 53.5%
Fannie Mae Mortgage-Backed Securities
1.50%, 11/01/41 - 12/01/41			199,518		180,858,922
2.00%, 10/01/31 - 02/01/52			287,087		267,916,719
2.50%, 09/01/27 - 02/01/52			310,557		301,293,233
3.00%, 04/01/28 - 03/01/52			258,149		256,369,147
3.50%, 08/01/28 - 04/01/52^(r)			602,333		606,253,337
4.00%, 08/01/31 - 05/01/52			307,441		315,019,455
4.50%, 02/01/25 - 01/01/51			230,732		242,640,621
5.00%, 11/01/32 - 05/01/49			23,270		24,895,316
5.50%, 12/01/32 - 04/01/41			12,892		13,998,626
6.00%, 02/01/34 - 06/01/41			7,704		8,440,351
6.50%, 05/01/40			1,492		1,646,349
Freddie Mac Mortgage-Backed Securities
2.00%, 02/01/42 - 02/01/52			231,248		215,400,457
2.50%, 04/01/27 - 01/01/52			296,302		284,661,498
3.00%, 09/01/27 - 02/01/52			210,069		207,880,267
3.50%, 02/01/31 - 02/01/52			110,527		112,547,036
4.00%, 08/01/40 - 02/01/52			116,013		120,650,291
4.50%, 02/01/39 - 01/01/51			96,135		100,928,393
5.00%, 07/01/35 - 11/01/48			6,219		6,704,815
5.50%, 02/01/35 - 06/01/41			1,721		1,895,466


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		97

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Mortgage-Backed Securities (continued)
Ginnie Mae Mortgage-Backed Securities
2.00%, 08/20/50 - 04/15/52^(s)	USD		339,652	$	323,456,004
2.50%, 10/20/51 - 04/15/52^(r)(s)			388,888		377,276,517
3.00%, 12/20/44 - 04/15/52^(s)			335,595		331,659,385
3.50%, 01/15/42 - 04/15/52^(s)			188,156		189,817,988
4.00%, 04/20/39 - 04/15/52^(s)			114,603		117,302,280
4.50%, 12/20/39 - 04/15/52^(s)			25,384		26,583,971
5.00%, 04/15/33 - 04/15/52^(s)			59,521		62,350,334
Uniform Mortgage-Backed Securities
1.50%, 04/01/37 - 04/01/52^(s)			468,581		429,168,356
2.00%, 04/01/37 - 04/01/52^(s)			1,533,802		1,433,893,226
2.50%, 04/01/37 - 04/01/52^(s)			807,962		771,822,416
3.00%, 04/01/37 - 04/01/52^(s)			708,874		693,808,926
3.50%, 04/01/52^(s)			979,348		980,670,966
4.00%, 04/01/52^(s)			2,204,118		2,247,038,018
4.50%, 04/01/52^(s)			10,051		10,415,038
5.00%, 04/01/52^(s)			38,124		40,109,128


				11,305,372,852


Total U.S. Government Sponsored Agency Securities — 54.2% (Cost: $11,685,772,440)					11,452,735,748


U.S. Treasury Obligations
U.S. Treasury Bonds
4.63%, 02/15/40			10,812		14,166,254
1.13%, 05/15/40 - 08/15/40			18,140		14,257,261
3.88%, 08/15/40			10,812		12,914,427
1.38%, 11/15/40			9,070		7,415,079
4.25%, 11/15/40			10,812		13,512,466
1.75%, 08/15/41			286		247,708
2.50%, 02/15/45^(r)			102,915		100,237,602
2.75%, 11/15/47^(r)(t)			103,431		107,317,743
3.00%, 02/15/48^(r)(t)			102,915		112,125,089
U.S. Treasury Notes
1.75%, 07/15/22 - 11/15/29			253,010		251,073,555
0.50%, 03/15/23 - 05/31/27			436,195		413,674,597
0.13%, 03/31/23 - 05/31/23			102,915		101,073,786
0.25%, 04/15/23			167,495		164,923,690
1.50%, 10/31/24 - 02/15/30			85,515		82,227,386
2.25%, 11/15/24 - 08/15/27			147,346		146,338,705
0.38%, 04/30/25 - 12/31/25			261,996		244,321,680
0.75%, 05/31/26			40,427		37,600,268
0.63%, 03/31/27			60,677		55,469,681
2.38%, 05/15/27			20,160		20,073,375
1.25%, 03/31/28 - 05/31/28			52,269		48,702,049
3.13%, 11/15/28			6,518		6,786,613
1.63%, 08/15/29 - 05/15/31			38,077		36,064,636
1.13%, 02/15/31			6,518		5,885,296


Total U.S. Treasury Obligations — 9.5% (Cost: $2,161,434,379)					1,996,408,946


Security	Shares		Value

Warrants^(f)

Auto Components — 0.0%
Aurora Innovation, Inc. (Issued/Exercisable 05/04/22, 1 Share for 1 Warrant, Expires 12/31/28, Strike Price USD 11.50)		25,012	$	37,768
Embark Technology, Inc. (Issued/Exercisable 12/28/20, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50)		18,053		20,220


				57,988

Automobiles — 0.0%
EVgo, Inc. (Issued/Exercisable 11/10/20, 1 Share for 1 Warrant, Expires 09/15/25, Strike Price USD 11.50)		118,340		465,076
Hyzon Motors, Inc. (Issued/Exercisable 12/10/20, 1 Share for 1 Warrant, Expires 10/02/25, Strike Price USD 11.50)		196,188		333,520
Lightning eMotors, Inc. (Issued/Exercisable, 1 Share for 1 Warrant, Expires 12/15/25, Strike Price USD 11.50)		216,261		296,455


				1,095,051

Capital Markets — 0.0%
Cano Health, Inc. (Issued/Exercisable 07/06/21, 1 Share for 1 Warrant, Expires 07/06/25, Strike Price USD 11.50)		98,960		156,357


Diversified Financial Services — 0.0%
ArcLight Clean Transition Corp. II (Issued/Exercisable 05/19/22, 1 Share for 1 Warrant, Expires 02/04/23, Strike Price USD 11.50)		26,604		35,384
Climate Real Impact Solutions II Acquisition Corp. (Issued/Exercisable 03/11/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50)		11,057		5,086
Gores Holdings VIII, Inc. (Issued/Exercisable 01/28/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50)		42,918		56,222
KINS Technology Group, Inc. (Issued/Exercisable, 1 Share for 1 Warrant, Expires 10/31/25, Strike Price USD 11.50)^(d)		469,648		79,840
Lakestar Spac I SE (Issued/Exercisable 02/22/21, 1 Share for 1 Warrant, Expires 12/31/25, Strike Price EUR 11.50)		18,160		10,045
Proof Acquisition Corp. I (Issued/Exercisable, 1 Share for 1 Warrant, Expires 10/01/26, Strike Price USD 11.50)^(d)		109,868		23,072
Rotor Acquisition Corp. (Issued/Exercisable, 1 Share for 1 Warrant, Expires 01/31/26, Strike Price USD 11.50)		72,998		65,698
Science Strategic Acquisition Corp. Alpha (Issued/Exercisable 01/22/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50)		55,798		12,298
Tishman Speyer Innovation Corp. II (Issued/Exercisable 01/27/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50)		19,914		7,567


98		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

(Percentages shown are based on Net Assets)


Security	Shares		Value


Diversified Financial Services (continued)
TPB Acquisition Corp. I (Issued/Exercisable 02/19/22, 1 Share for 1 Warrant, Expires 02/19/23, Strike Price USD 11.50)		79,561	$	35,007
TPG Pace Beneficial Finance Corp. (Issued/Exercisable 11/17/20, 1 Share for 1 Warrant, Expires 10/09/27, Strike Price USD 11.50)		52,890		33,850


				364,069

Electrical Equipment — 0.0%
Volta, Inc. (Issued/Exercisable 10/22/20, 1 Share for 1 Warrant, Expires 06/14/27, Strike Price USD 11.50)		121,900		115,805


Equity Real Estate Investment Trusts (REITs) — 0.0%
Sonder Holdings, Inc. (Issued/Exercisable, 1 Share for 1 Warrant, Expires 11/19/26, Strike Price USD 12.50)^(d)		126,555		50,622


Independent Power and Renewable Electricity Producers — 0.0%
Altus Power, Inc. (Issued/Exercisable 01/22/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.00)		57,363		92,928


Interactive Media & Services — 0.0%
Genius Sports Ltd. (Issued/Exercisable 03/30/21, 1 Share for 1 Warrant, Expires 12/31/28, Strike Price USD 11.50)		455,188		477,947


Machinery — 0.0%
Sarcos Technology & Robotics Corp. (Issued/Exercisable 12/21/20, 1 Share for 1 Warrant, Expires 06/15/27, Strike Price USD 11.50)		267,475		283,523


Oil, Gas & Consumable Fuels — 0.0%
California Resources Corp. (Issued/Exercisable, 1 Share for 1 Warrant, Expires 10/28/24, Strike Price USD 36.00)		4,466		64,266
Chesapeake Energy Corp. (Issued/Exercisable 02/09/21, 1 Share for 1 Warrant, Expires 02/09/26, Strike Price USD 35.71)		2,103		117,074


				181,340

Real Estate Management & Development — 0.0%
Offerpad Solutions, Inc. (Issued/Exercisable 10/13/20, 1 Share for 1 Warrant, Expires 10/13/25, Strike Price USD 11.50)		183,068		148,285
Target Hospitality Corp. (Issued/Exercisable 03/05/18, 1 Share for 1 Warrant, Expires 03/05/25, Strike Price USD 11.50)		8,280		4,140


				152,425

Software — 0.0%
Latch, Inc. (Issued/Exercisable 12/29/20, 1 Share for 1 Warrant, Expires 12/31/26, Strike Price USD 11.50)		89,742		59,230
Pear Therapeutics, Inc. (Issued/Exercisable 03/23/21, 1 Share for 1 Warrant, Expires 02/04/26, Strike Price USD 11.50)		63,832		50,555

				109,785


Total Warrants — 0.0% (Cost: $13,611,112)				3,137,840


Total Long-Term Investments — 125.0% (Cost: $27,492,542,842)				26,411,129,326


Security		Shares			Value


Short-Term Securities^(q)(u)

Money Market Funds — 13.5%
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.21%			2,840,558,970		$	2,840,558,970
SL Liquidity Series, LLC, Money Market Series, 0.42%^(v)			10,466,543			10,463,404


Total Short-Term Securities — 13.5% (Cost: $2,851,020,280)						2,851,022,374


Options Purchased — 0.1% (Cost: $29,574,686)						26,006,957


Total Investments Before Options Written and TBA Sale Commitments — 138.6% (Cost: $30,373,137,808)						29,288,158,657


		Par (000)


TBA Sale Commitments^(s)

Mortgage-Backed Securities — (19.9)%
Ginnie Mae Mortgage-Backed Securities
2.50%, 04/15/52	USD		(46,656	)		(45,250,852	)
3.00%, 04/15/52			(99,502	)		(98,328,805	)
3.50%, 04/15/52			(10,669	)		(10,714,052	)
4.00%, 04/15/52			(33,007	)		(33,647,096	)
4.50%, 04/15/52			(2,842	)		(2,937,918	)
5.00%, 04/15/52			(29,839	)		(31,193,386	)
Uniform Mortgage-Backed Securities
1.50%, 04/01/37 - 04/01/52			(282,119	)		(257,482,384	)
2.00%, 04/01/37 - 04/01/52			(409,746	)		(380,363,102	)
2.50%, 04/01/52			(404,133	)		(385,568,522	)
3.00%, 04/01/37 - 04/01/52			(943,482	)		(922,688,978	)
3.50%, 04/01/37 - 04/01/52			(470,239	)		(471,123,055	)
4.00%, 04/01/52			(1,511,839	)		(1,540,815,719	)
4.50%, 04/01/52			(31,029	)		(32,141,212	)


Total TBA Sale Commitments — (19.9)% (Proceeds: $(4,246,170,143))						(4,212,255,081	)


Options Written — (0.1)% (Premiums Received: $(25,045,275))						(25,432,459	)


Total Investments Net of Options Written and TBA Sale Commitments — 118.6% (Cost: $26,101,922,390)						25,050,471,117

Liabilities in Excess of Other Assets — (18.6)%						(3,928,539,694	)


Net Assets — 100.0%					$	21,121,931,423

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

^(b)	Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

^(c)	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.

^(d)	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

^(e)	This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

^(f)	Non-income producing security.

^(g)	Restricted security as to resale, excluding 144A securities. The Master Portfolio held restricted securities with a current value of $43,090,501, representing 0.2% of its net assets as of period end, and an original cost of $73,719,336.

^(h)	All or a portion of this security is on loan.

⁽ⁱ⁾	All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

^(j)	Convertible security.


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		99

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

^(k)	Issuer filed for bankruptcy and/or is in default.

^(l)	Perpetual security with no stated maturity date.

^(m)	Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

⁽ⁿ⁾	Zero-coupon bond.

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

^(p)	Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

^(q)	Affiliate of the Master Portfolio.

^(r)	All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments.

^(s)	Represents or includes a TBA transaction.

^(t)	All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

^(u)	Annualized 7-day yield as of period end.

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

Affiliates




Affiliated Issuer	Value at 09/30/21		Purchases at Cost			Proceeds from Sale			Net Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value at 03/31/22		Par/Shares Held at 03/31/22		Income			Capital Gain Distributions from Underlying Fund


BlackRock Capital Finance LP, Series 1997- R2, Class AP	$	2,523	$	—		$	—		$	—		$	49		$	2,572		2,839	$	—			$	—
BlackRock Liquidity Funds, T-Fund, Institutional Class		2,208,093,771		632,465,199	^(a)		—			—			—			2,840,558,970		2,840,558,970		321,987				—
iShares 5-10 Year Investment Grade Corporate Bond ETF		—		3,097,050			—			—			(79,200	)		3,017,850		55,000		—				—
iShares AAA - A Rated Corporate Bond ETF^(b)		—		1,540,480			(1,485,952	)		(54,528	)		—			—		—		—				—
iShares iBoxx $ Investment Grade Corporate Bond ETF		—		30,267,924			—			—			160,580			30,428,504		251,600		—				—
iShares iBoxx High Yield Corporate Bond ETF^(b)		50,417,950		157,307,941			(208,537,024	)		898,842			(87,709	)		—		—		341,620				—
SL Liquidity Series, LLC, Money Market Series		60,259,745		—			(49,790,319	)^(a)		(8,115	)		2,093			10,463,404		10,466,543		190,161	^(c)			—


									$	836,199		$	(4,187	)	$	2,884,471,300			$	853,768			$	—

^(a)

Represents net shares purchased (sold).

^(b)

As of period end, the entity is no longer held by the Master Portfolio.

^(c)

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.


100		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts




Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)


Long Contracts
Fed Funds, 30-Day		295		05/31/22	$	122,035	$	2,680
Euro-Bund		2,400		06/08/22		421,242		(3,214,921	)
U.S. Treasury Bonds (30 Year)		7,032		06/21/22		1,055,240		(30,700,962	)
U.S. Treasury Notes (10 Year)		2,700		06/21/22		331,763		1,739,098
U.S. Ultra Treasury Bonds		5,086		06/21/22		900,858		(33,474,442	)
U.S. Treasury Notes (2 Year)		5,091		06/30/22		1,078,894		(10,707,845	)
U.S. Treasury Notes (5 Year)		11,503		06/30/22		1,319,250		(16,100,709	)
3-month SONIA Index		785		09/20/22		254,169		349,502
3-month EURIBOR		783		12/19/22		215,942		(1,012,029	)
3-month SONIA Index		668		12/20/22		215,211		(1,682,505	)
3-month EURIBOR		1,904		06/19/23		521,125		(929,486	)


								(95,731,619	)


Short Contracts
Euro-Bobl		293		06/08/22		41,768		694,875
Euro-BTP Italian Government Bond		2,672		06/08/22		408,831		12,047,304
Euro-Buxl		1,521		06/08/22		313,301		17,543,382
Euro-OAT		1,463		06/08/22		245,210		7,866,971
E-Mini S&P 500 Index		39		06/17/22		8,835		140,368
Euro STOXX 50 Index		272		06/17/22		11,503		(420,425	)
NASDAQ 100 E-Mini Index		63		06/17/22		18,735		(1,950,575	)
Russell 2000 E-Mini Index		115		06/17/22		11,882		(583,050	)
U.S. Ultra Treasury Notes (10 Year)		3,812		06/21/22		516,407		8,391,363
10 Year U.K. Gilt		682		06/28/22		108,611		(302,993	)
3-month SONIA Index		994		03/14/23		319,407		184,110
3-month SOFR		7		03/19/24		1,701		11,077
3-month SOFR		85		09/17/24		20,703		231,389
3-month SOFR		845		03/18/25		206,085		(85,292	)


								43,768,504


							$	(51,963,115	)

Forward Foreign Currency Exchange Contracts




Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)


MXN	66,426,683	USD	3,221,000	Citibank N.A.		04/01/22		$ 118,115
MXN	66,426,683	USD	3,221,000	Citibank N.A.		04/01/22		118,115
MXN	67,551,413	USD	3,254,000	Citibank N.A.		04/01/22		141,653
MXN	67,551,413	USD	3,254,000	Citibank N.A.		04/01/22		141,653
USD	6,366,747	EUR	5,734,000	Bank of America N.A.		04/01/22		23,323
USD	6,366,747	EUR	5,734,000	Bank of America N.A.		04/01/22		23,323
USD	3,254,000	ZAR	47,347,089	UBS AG		04/01/22		14,238
USD	3,254,000	ZAR	47,345,560	UBS AG		04/01/22		14,342
ZAR	50,005,520	USD	3,254,000	Bank of America N.A.		04/01/22		167,667
ZAR	50,005,520	USD	3,254,000	Bank of America N.A.		04/01/22		167,667
BRL	10,721,961	USD	2,097,000	Citibank N.A.		04/04/22		152,518
BRL	10,721,961	USD	2,097,000	Citibank N.A.		04/04/22		152,518
BRL	11,141,145	USD	2,149,970	Goldman Sachs International		04/04/22		187,495
BRL	11,141,145	USD	2,149,970	Goldman Sachs International		04/04/22		187,495
BRL	16,752,420	USD	3,240,000	Goldman Sachs International		04/04/22		274,737
BRL	16,752,420	USD	3,240,000	Goldman Sachs International		04/04/22		274,737
CAD	41,781,746	USD	33,376,000	Goldman Sachs International		04/11/22		43,514
USD	33,376,000	AUD	44,500,147	Goldman Sachs International		04/11/22		72,185
USD	33,376,000	CAD	41,693,967	Morgan Stanley & Co. International PLC		04/11/22		26,697
USD	33,376,000	EUR	30,032,743	Deutsche Bank AG		04/11/22		141,514


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		101

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

Forward Foreign Currency Exchange Contracts (continued)




Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)


USD	33,376,000	GBP	25,369,143	HSBC Bank PLC		04/11/22		$ 52,160
USD	3,189,000	JPY	372,515,508	Citibank N.A.		04/18/22		127,993
USD	3,189,000	JPY	372,515,508	Citibank N.A.		04/18/22		127,993
AUD	4,376,000	CAD	4,036,829	Royal Bank of Canada		04/20/22		46,593
CAD	3,950,515	USD	3,157,000	HSBC Bank PLC		04/20/22		2,711
COP	12,121,425,000	USD	3,169,000	Citibank N.A.		04/20/22		35,179
COP	12,121,425,000	USD	3,169,000	Citibank N.A.		04/20/22		35,179
CZK	121,291,943	EUR	4,873,000	Bank of New York Mellon		04/20/22		89,566
CZK	121,291,943	EUR	4,873,000	Bank of New York Mellon		04/20/22		89,566
CZK	49,134,751	USD	2,160,000	Bank of New York Mellon		04/20/22		61,337
CZK	49,134,751	USD	2,160,000	Bank of New York Mellon		04/20/22		61,337
EUR	2,868,000	SEK	29,786,430	Deutsche Bank AG		04/20/22		5,489
EUR	3,825,000	USD	4,225,220	Deutsche Bank AG		04/20/22		8,679
EUR	3,825,000	USD	4,225,220	Deutsche Bank AG		04/20/22		8,679
MXN	22,210,785	USD	1,108,000	BNP Paribas S.A.		04/20/22		4,765
MXN	22,210,036	USD	1,108,000	BNP Paribas S.A.		04/20/22		4,727
MXN	131,053,821	USD	6,227,970	HSBC Bank PLC		04/20/22		337,853
MXN	63,532,112	USD	3,169,000	HSBC Bank PLC		04/20/22		13,972
MXN	63,532,112	USD	3,169,000	HSBC Bank PLC		04/20/22		13,972
MXN	158,737,082	USD	7,542,970	UBS AG		04/20/22		409,790
USD	3,159,000	CLP	2,490,871,500	Citibank N.A.		04/20/22		4,667
USD	3,159,000	CLP	2,490,871,500	Citibank N.A.		04/20/22		4,667
RUB	108,372,579	USD	1,231,507	Goldman Sachs International		05/24/22		30,782
RUB	247,154,750	USD	2,051,077	JPMorgan Chase Bank N.A.		05/24/22		827,702
USD	53,324,468	CNH	339,697,122	BNP Paribas S.A.		05/24/22		46,910
USD	9,591,175	RUB	741,465,000	JPMorgan Chase Bank N.A.		05/24/22		954,831
RUB	29,424,512	USD	264,490	Citibank N.A.		05/25/22		77,963
RUB	30,482,472	USD	264,490	Citibank N.A.		05/25/22		90,276
RUB	42,847,380	USD	396,735	JPMorgan Chase Bank N.A.		05/25/22		101,938
RUB	127,776,000	USD	1,056,000	JPMorgan Chase Bank N.A.		05/25/22		431,103
RUB	43,442,592	USD	396,736	Morgan Stanley & Co. International PLC		05/25/22		108,865
TRY	1,061,414	USD	66,683	Barclays Bank PLC		06/08/22		1,960
TRY	1,061,414	USD	66,683	Barclays Bank PLC		06/08/22		1,960
TRY	33,384,814	USD	2,091,317	UBS AG		06/08/22		67,723
TRY	33,384,814	USD	2,091,317	UBS AG		06/08/22		67,723
CHF	32,625,994	EUR	31,590,000	BNP Paribas S.A.		06/15/22		374,370
EUR	15,940,000	GBP	13,417,734	Bank of America N.A.		06/15/22		64,963
EUR	15,890,000	GBP	13,276,333	Bank of America N.A.		06/15/22		195,184
EUR	32,790,000	GBP	27,397,685	Deutsche Bank AG		06/15/22		401,267
EUR	32,800,000	GBP	27,228,264	Goldman Sachs International		06/15/22		634,858
EUR	7,930,000	GBP	6,683,166	Goldman Sachs International		06/15/22		21,852
EUR	6,746,000	NOK	64,316,531	Deutsche Bank AG		06/15/22		182,968
EUR	22,960,000	USD	25,156,468	Barclays Bank PLC		06/15/22		318,671
EUR	7,965,000	USD	8,786,725	Barclays Bank PLC		06/15/22		50,796
EUR	8,494,000	USD	9,342,890	BNP Paribas S.A.		06/15/22		81,580
EUR	13,130,000	USD	14,284,770	Deutsche Bank AG		06/15/22		283,548
EUR	9,600,000	USD	10,541,232	Deutsche Bank AG		06/15/22		110,394
EUR	19,050,000	USD	21,018,665	Deutsche Bank AG		06/15/22		118,156
EUR	15,740,000	USD	17,425,046	Deutsche Bank AG		06/15/22		39,183
EUR	19,690,000	USD	21,484,153	HSBC Bank PLC		06/15/22		362,777
EUR	12,700,000	USD	14,068,019	Morgan Stanley & Co. International PLC		06/15/22		23,195
EUR	9,566,000	USD	10,499,594	State Street Bank and Trust Co.		06/15/22		114,308
JPY	150,000,000	USD	1,233,781	Deutsche Bank AG		06/15/22		901
NOK	66,657,841	EUR	6,746,000	Deutsche Bank AG		06/15/22		82,847
SGD	480,662	USD	353,251	Goldman Sachs International		06/15/22		1,390
SGD	269,338	USD	198,145	HSBC Bank PLC		06/15/22		577
USD	18,282,182	EUR	16,411,000	Bank of New York Mellon		06/15/22		73,449
USD	17,485,031	EUR	15,740,000	Barclays Bank PLC		06/15/22		20,802
USD	14,119,123	EUR	12,700,000	Deutsche Bank AG		06/15/22		27,909
USD	33,525,943	EUR	29,974,000	Deutsche Bank AG		06/15/22		268,459
USD	21,172,360	EUR	19,050,000	JPMorgan Chase Bank N.A.		06/15/22		35,540
USD	8,341,858	EUR	7,438,000	Royal Bank of Canada		06/15/22		89,067


102		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

Forward Foreign Currency Exchange Contracts (continued)




Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)


USD	17,525,772	GBP	13,340,000	JPMorgan Chase Bank N.A.		06/15/22		$	6,683
USD	279,816	HKD	2,185,926	Royal Bank of Canada		06/15/22			445
USD	531,334	JPY	62,552,000	Bank of America N.A.		06/15/22			16,455
USD	1,881,210	JPY	216,564,026	Morgan Stanley & Co. International PLC		06/15/22			98,627


								$	10,901,337


EUR	1,392,311	USD	1,566,705	Deutsche Bank AG		04/01/22			(26,416	)
EUR	1,392,311	USD	1,566,705	Deutsche Bank AG		04/01/22			(26,416	)
EUR	4,076,487	USD	4,585,672	HSBC Bank PLC		04/01/22			(75,925	)
EUR	4,076,487	USD	4,585,672	HSBC Bank PLC		04/01/22			(75,925	)
EUR	265,202	USD	298,435	JPMorgan Chase Bank N.A.		04/01/22			(5,047	)
EUR	265,202	USD	298,435	JPMorgan Chase Bank N.A.		04/01/22			(5,047	)
USD	1,327,940	MXN	27,473,782	Barclays Bank PLC		04/01/22			(53,104	)
USD	1,327,940	MXN	27,473,782	Barclays Bank PLC		04/01/22			(53,104	)
USD	1,108,000	MXN	22,138,877	BNP Paribas S.A.		04/01/22			(4,870	)
USD	1,108,000	MXN	22,138,167	BNP Paribas S.A.		04/01/22			(4,834	)
USD	663,969	MXN	13,747,744	Citibank N.A.		04/01/22			(27,098	)
USD	663,969	MXN	13,747,744	Citibank N.A.		04/01/22			(27,098	)
USD	2,711,121	MXN	56,128,699	Citibank N.A.		04/01/22			(110,338	)
USD	2,711,121	MXN	56,128,699	Citibank N.A.		04/01/22			(110,338	)
USD	331,985	MXN	6,865,832	Deutsche Bank AG		04/01/22			(13,144	)
USD	331,985	MXN	6,865,832	Deutsche Bank AG		04/01/22			(13,144	)
USD	331,985	MXN	6,869,543	Goldman Sachs International		04/01/22			(13,331	)
USD	331,985	MXN	6,869,543	Goldman Sachs International		04/01/22			(13,331	)
USD	3,222,000	BRL	16,403,202	Citibank N.A.		04/04/22			(219,469	)
USD	3,222,000	BRL	16,403,202	Citibank N.A.		04/04/22			(219,469	)
USD	2,154,970	BRL	10,410,660	Deutsche Bank AG		04/04/22			(29,236	)
USD	2,154,970	BRL	10,410,660	Deutsche Bank AG		04/04/22			(29,236	)
USD	2,110,000	BRL	10,438,592	Goldman Sachs International		04/04/22			(80,066	)
USD	2,110,000	BRL	10,438,592	Goldman Sachs International		04/04/22			(80,066	)
AUD	44,466,531	USD	33,376,000	Bank of America N.A.		04/11/22			(97,343	)
EUR	30,047,327	USD	33,376,000	BNP Paribas S.A.		04/11/22			(125,376	)
GBP	25,404,364	USD	33,376,000	Morgan Stanley & Co. International PLC		04/11/22			(5,895	)
JPY	373,639,455	USD	3,169,000	HSBC Bank PLC		04/18/22			(98,757	)
JPY	373,639,455	USD	3,169,000	HSBC Bank PLC		04/18/22			(98,757	)
USD	1,767,363	IDR	25,515,426,646	Citibank N.A.		04/18/22			(7,888	)
USD	5,592,561	IDR	80,739,804,104	Citibank N.A.		04/18/22			(24,961	)
USD	6,743,955	IDR	97,247,826,824	Citibank N.A.		04/18/22			(22,124	)
USD	3,169,000	ZAR	48,007,229	Citibank N.A.		04/19/22			(108,377	)
CLP	2,430,381,000	USD	3,138,000	Citibank N.A.		04/20/22			(60,270	)
CLP	2,430,381,000	USD	3,138,000	Citibank N.A.		04/20/22			(60,270	)
COP	11,782,500,000	USD	3,142,000	Goldman Sachs International		04/20/22			(27,413	)
COP	11,782,500,000	USD	3,142,000	Goldman Sachs International		04/20/22			(27,413	)
EUR	5,734,000	USD	6,370,343	Bank of America N.A.		04/20/22			(23,368	)
EUR	5,734,000	USD	6,370,343	Bank of America N.A.		04/20/22			(23,368	)
USD	6,503,603	COP	24,820,675,669	Citibank N.A.		04/20/22			(57,497	)
USD	6,711,603	COP	25,614,497,269	Citibank N.A.		04/20/22			(59,336	)
USD	3,157,000	COP	12,061,318,500	Citibank N.A.		04/20/22			(31,290	)
USD	3,157,000	COP	12,061,318,500	Citibank N.A.		04/20/22			(31,290	)
USD	2,160,000	CZK	48,498,372	HSBC Bank PLC		04/20/22			(32,567	)
USD	2,160,000	CZK	48,498,372	HSBC Bank PLC		04/20/22			(32,567	)
USD	4,236,817	EUR	3,865,000	Royal Bank of Canada		04/20/22			(41,359	)
USD	4,236,817	EUR	3,865,000	Royal Bank of Canada		04/20/22			(41,359	)
USD	3,166,000	MXN	64,679,797	HSBC Bank PLC		04/20/22			(74,471	)
USD	6,722,000	ZAR	102,042,380	Barclays Bank PLC		04/20/22			(243,380	)
USD	6,431,000	ZAR	97,676,652	UBS AG		04/20/22			(236,377	)
ZAR	47,470,715	USD	3,254,000	UBS AG		04/20/22			(13,664	)
ZAR	47,469,183	USD	3,254,000	UBS AG		04/20/22			(13,769	)
USD	3,254,000	TRY	49,903,344	UBS AG		04/29/22			(67,978	)
USD	3,254,000	TRY	49,903,344	UBS AG		04/29/22			(67,978	)
USD	2,017,239	EUR	1,843,000	Bank of America N.A.		05/24/22			(25,535	)
USD	2,912,410	MXN	60,287,519	BNP Paribas S.A.		05/24/22			(89,024	)


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		103

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

Forward Foreign Currency Exchange Contracts (continued)




Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)


USD	3,224,955	RUB	302,662,027	Citibank N.A.		05/25/22		$	(297,535	)
USD	2,158,000	TRY	34,528,000	Citibank N.A.		06/08/22			(74,971	)
USD	2,158,000	TRY	34,528,000	Citibank N.A.		06/08/22			(74,971	)
CHF	16,665,687	EUR	16,360,000	Barclays Bank PLC		06/15/22			(56,762	)
CHF	16,634,030	EUR	16,360,000	Barclays Bank PLC		06/15/22			(91,134	)
EUR	10,800,000	CHF	11,077,344	Barclays Bank PLC		06/15/22			(44,556	)
EUR	10,960,000	CHF	11,241,836	Barclays Bank PLC		06/15/22			(45,632	)
EUR	2,507,200	CHF	2,572,730	Barclays Bank PLC		06/15/22			(11,587	)
EUR	698,594	CHF	718,150	Barclays Bank PLC		06/15/22			(4,638	)
EUR	12,464,206	CHF	12,806,723	HSBC Bank PLC		06/15/22			(75,782	)
EUR	10,960,000	CHF	11,259,307	JPMorgan Chase Bank N.A.		06/15/22			(64,601	)
EUR	15,920,000	CHF	16,376,188	Morgan Stanley & Co. International PLC		06/15/22			(117,104	)
EUR	7,850,000	GBP	6,639,765	BNP Paribas S.A.		06/15/22			(9,914	)
EUR	16,260,000	USD	18,078,274	Goldman Sachs International		06/15/22			(37,082	)
GBP	13,146,364	EUR	15,710,000	Bank of America N.A.		06/15/22			(166,152	)
GBP	10,728,609	EUR	12,820,000	Bank of America N.A.		06/15/22			(134,745	)
GBP	8,042,174	EUR	9,590,000	Bank of America N.A.		06/15/22			(78,945	)
GBP	27,395,061	EUR	32,790,000	Deutsche Bank AG		06/15/22			(404,712	)
GBP	7,977,958	EUR	9,490,000	Deutsche Bank AG		06/15/22			(52,323	)
GBP	13,640,782	EUR	16,400,000	HSBC Bank PLC		06/15/22			(282,430	)
GBP	13,638,224	EUR	16,400,000	JPMorgan Chase Bank N.A.		06/15/22			(285,790	)
GBP	978,295	USD	1,291,623	Barclays Bank PLC		06/15/22			(6,853	)
GBP	9,070,000	USD	11,950,333	JPMorgan Chase Bank N.A.		06/15/22			(38,928	)
GBP	3,291,705	USD	4,347,092	State Street Bank and Trust Co.		06/15/22			(24,178	)
HKD	2,185,926	USD	279,616	UBS AG		06/15/22			(245	)
USD	2,910,576	AUD	4,020,000	UBS AG		06/15/22			(101,593	)
USD	11,342,583	CAD	14,461,000	Bank of New York Mellon		06/15/22			(222,590	)
USD	17,997,625	EUR	16,260,000	Bank of America N.A.		06/15/22			(43,567	)
USD	11,852,081	EUR	10,830,000	Barclays Bank PLC		06/15/22			(164,285	)
USD	12,648,320	EUR	11,480,000	BNP Paribas S.A.		06/15/22			(89,250	)
USD	367,744,657	EUR	334,200,000	BNP Paribas S.A.		06/15/22			(3,065,086	)
USD	19,564,819	EUR	17,755,000	Deutsche Bank AG		06/15/22			(135,142	)
USD	12,608,484	EUR	11,480,000	Goldman Sachs International		06/15/22			(129,086	)
USD	10,597,104	EUR	9,600,000	HSBC Bank PLC		06/15/22			(54,522	)
USD	24,038,236	EUR	21,990,000	Morgan Stanley & Co. International PLC		06/15/22			(360,645	)
USD	2,273,518	EUR	2,058,000	Westpac Banking Corp.		06/15/22			(9,925	)
USD	551,799	SGD	750,000	Goldman Sachs International		06/15/22			(1,564	)


									(10,145,898	)


								$	755,439

Exchange-Traded Options Purchased




Description	Number of Contracts		Expiration Date		Exercise Price			Notional Amount (000)			Value


Call
Devon Energy Corp.		6,101		04/14/22		USD	60.00		USD	36,075	$	1,180,543
Diamondback Energy, Inc.		535		04/14/22		USD	135.00		USD	7,334		350,425
Discovery, Inc.		500		04/14/22		USD	42.50		USD	1,246		3,750
iShares iBoxx High Yield Corporate Bond ETF		200		04/14/22		USD	83.50		USD	1,646		1,600
Marathon Oil Corp.		2,013		04/14/22		USD	25.00		USD	5,055		214,385
Marathon Oil Corp.		2,014		04/14/22		USD	24.00		USD	5,057		334,324
Marathon Petroleum Corp.		850		04/14/22		USD	87.50		USD	7,267		108,375
Occidental Petroleum Corp.		1,424		04/14/22		USD	60.00		USD	8,080		183,696
Sabre Corp.		300		04/14/22		USD	13.00		USD	343		1,950
Valero Energy Corp.		685		04/14/22		USD	101.00		USD	6,955		222,625
Western Digital Corp.		825		04/14/22		USD	55.00		USD	4,096		15,675
Western Digital Corp.		890		04/14/22		USD	80.00		USD	4,419		9,345
Western Digital Corp.		1,500		04/14/22		USD	65.00		USD	7,447		11,250


104		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

Exchange-Traded Options Purchased (continued)




Description	Number of Contracts		Expiration Date		Exercise Price			Notional Amount (000)		Value


Xerox Holdings Corp.		300		04/14/22		USD	30.00	USD	605	$	6,000
U.S. Treasury 5-Year Notes Futures		1,864		04/22/22		USD	115.25	USD	213,530		611,625
U.S. Treasury 5-Year Notes Futures		3,723		04/22/22		USD	117.25	USD	426,487		174,516
Diamondback Energy, Inc.		538		05/20/22		USD	150.00	USD	7,375		298,590
Diamondback Energy, Inc.		655		05/20/22		USD	155.00	USD	8,979		271,825
Occidental Petroleum Corp.		1,423		05/20/22		USD	60.00	USD	8,074		515,837
Occidental Petroleum Corp.		1,423		05/20/22		USD	65.00	USD	8,074		309,502
Occidental Petroleum Corp.		1,424		05/20/22		USD	55.00	USD	8,080		829,480
Ovintiv, Inc.		3,207		05/20/22		USD	55.00	USD	17,340		1,314,870
Xerox Holdings Corp.		1,000		05/20/22		USD	23.00	USD	2,017		27,500
Discovery, Inc.		300		06/17/22		USD	45.00	USD	748		4,350
EURO STOXX Banks Index		2,169		06/17/22		EUR	100.00	EUR	9,845		182,959
EURO STOXX Banks Index		2,169		06/17/22		EUR	95.00	EUR	9,845		332,925
Marathon Oil Corp.		2,013		07/15/22		USD	26.00	USD	5,055		483,120
Marathon Oil Corp.		2,014		07/15/22		USD	25.00	USD	5,057		578,018
Xerox Holdings Corp.		150		07/15/22		USD	30.00	USD	303		4,875


										$	8,583,935


Put
EURO STOXX 50 Index		1,189		04/14/22		EUR	3,500.00	EUR	46,401		133,506
Invesco Senior Loan ETF		1,000		04/14/22		USD	21.00	USD	2,177		10,000
Invesco Senior Loan ETF		1,500		04/14/22		USD	20.00	USD	3,266		15,000
iShares iBoxx High Yield Corporate Bond ETF		1,500		04/14/22		USD	80.00	USD	12,343		28,500
iShares Russell 2000 Index ETF		200		04/14/22		USD	175.00	USD	4,105		2,200
iShares Russell 2000 Index ETF		250		04/14/22		USD	170.00	USD	5,132		1,750
Pitney Bowes, Inc.		62		04/14/22		USD	5.00	USD	32		620
Sabre Corp.		115		04/14/22		USD	5.00	USD	131		1,093
SPDR S&P 500 ETF Trust		313		04/14/22		USD	440.00	USD	14,136		68,547
SPDR S&P 500 ETF Trust		342		04/14/22		USD	435.00	USD	15,446		51,642
SPDR S&P 500 ETF Trust		2,796		04/14/22		USD	415.00	USD	126,279		130,014
Uber Technologies, Inc.		300		04/14/22		USD	25.00	USD	1,070		750
United States Steel Corp.		650		04/14/22		USD	27.00	USD	2,453		2,925
iShares Russell 2000 Index ETF		200		04/18/22		USD	188.00	USD	4,105		9,900
EURO STOXX 50 Index		902		05/20/22		EUR	3,475.00	EUR	35,201		508,398
U.S. Treasury 10-Year Notes Futures		7,432		05/20/22		USD	119.00	USD	912,278		1,974,125
Avaya Holdings Corp.		325		06/17/22		USD	11.00	USD	412		23,563
PG&E Corp.		350		06/17/22		USD	9.00	USD	418		3,325
SPDR S&P 500 ETF Trust		1,168		06/30/22		USD	380.00	USD	52,752		418,728
Invesco Senior Loan ETF		500		07/15/22		USD	20.00	USD	1,089		16,250
Pitney Bowes, Inc.		252		07/15/22		USD	4.00	USD	131		4,410


										$	3,405,246


										$	11,989,181


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		105

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

OTC Barrier Options Purchased




Description	Type of Option	Counterparty	Number of Contracts		Expiration Date		Exercise Price			Barrier Price/Range			Notional Amount (000)			Value


Call
EUR Currency	One-Touch	UBS AG		—		04/11/22		SEK	9.95		SEK	9.95		EUR	1,376	$	2,515
USD Currency	One-Touch	Morgan Stanley & Co. International PLC		—		05/19/22		COP	4,100.00		COP	4,100.00		USD	1,076		103,303
USD Currency	One-Touch	Goldman Sachs International		—		06/28/22		JPY	115.00		JPY	115.00		USD	2,670		210,396
EUR Currency	One-Touch	UBS AG		—		09/06/22		CHF	1.10		CHF	1.11		EUR	4,080		192,411


																	508,625


Put
USD Currency	One-Touch	Deutsche Bank AG		—		08/03/22		567	113.56		567	113.56		USD	10,000		359,798
USD Currency	One-Touch	Morgan Stanley & Co. International PLC		—		08/05/22		567	115.53		567	113.80		USD	10,000		367,150


																	726,948


																$	1,235,573

OTC Options Purchased




Description	Counterparty	Number of Contracts		Expiration Date		Exercise Price			Notional Amount (000)			Value


Call
USD Currency	Bank of America N.A.		—		04/12/22		ZAR	15.50		USD	15,248	$	8,898
EUR Currency	Bank of America N.A.		—		04/13/22		CZK	24.85		EUR	7,648		15,715
CF Industries Holdings, Inc.	Citibank N.A.		171,000		05/20/22		USD	115.00		USD	17,623		735,300
Mosaic Co.	Citibank N.A.		302,000		05/20/22		USD	75.00		USD	20,083		895,430
USD Currency	Bank of America N.A.		—		05/27/22		ZAR	15.00		USD	8,418		134,538
USD Currency	Goldman Sachs International		—		05/27/22		MXN	20.30		USD	12,678		163,311
EUR Currency	Bank of America N.A.		—		08/05/22		USD	1.19		EUR	127,210		215,410
EUR Currency	UBS AG		—		09/05/22		CHF	1.06		EUR	27,180		137,109


												2,305,711


Put
EUR Currency	Bank of America N.A.		—		04/01/22		USD	1.10		EUR	38,534		1,033
EUR Currency	BNP Paribas S.A.		—		04/06/22		USD	1.09		EUR	52,921		20,413
USD Currency	Morgan Stanley & Co. International PLC		—		04/13/22		JPY	119.25		USD	51,383		89,024
EUR Currency	UBS AG		—		04/28/22		SEK	10.50		EUR	7,645		121,097
EUR Currency	Deutsche Bank AG		—		05/06/22		USD	1.12		EUR	15,930		—
USD Currency	Barclays Bank PLC		—		05/06/22		CLP	815.00		USD	17,264		658,586
EUR Currency	Morgan Stanley & Co. International PLC		—		08/29/22		NOK	9.83		EUR	17,810		496,587
EUR Currency	Morgan Stanley & Co. International PLC		—		09/08/22		NOK	9.65		EUR	25,426		455,347
USD Currency	Goldman Sachs International		—		09/13/22		JPY	115.00		USD	33,470		247,312
EUR Currency	HSBC Bank PLC		—		09/30/22		NOK	9.39		EUR	52,410		479,721


												2,569,120


												$ 4,874,831

OTC Credit Default Swaptions Purchased

Paid by the Fund

Received by the Fund

Counterparty

Expiration

Date

Exercise

Price

Notional

Amount

(000)

Value

Description

Rate

Frequency

Rate

Frequency

Put

Bought Protection on 5-Year Credit Default Swap, 12/20/26

5.00%

Quarterly

CDX.NA.HY.37.V1

Quarterly

Barclays Bank PLC

04/20/22

101.00

USD

13,500

9,261

Bought Protection on 5-Year Credit Default Swap, 12/20/26

5.00%

Quarterly

CDX.NA.HY.37.V1

Quarterly

Morgan Stanley & Co. International PLC

04/20/22

101.00

USD

15,000

10,290

Bought Protection on 5-Year Credit Default Swap, 06/20/27

5.00%

Quarterly

CDX.NA.HY.38.V1

Quarterly

Credit Suisse International

05/18/22

102.00

USD

10,000

48,315

67,866


106		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

OTC Interest Rate Swaptions Purchased

Paid by the Fund

Received by the Fund

Expiration

Date

Exercise

Rate

Notional

Amount

(000)

Value

Description

Rate

Frequency

Rate

Frequency

Counterparty

Put

3-Year Forward/1-Year Interest Rate Swap, 05/06/22

2.02%

Semi-Annual

SOFR, 0.29

Quarterly

Bank of America N.A.

05/04/22

2.02

USD

3,800,210

7,839,506

Exchange-Traded Options Written




Description	Number of Contracts		Expiration Date		Exercise Price			Notional Amount (000)			Value


Call
EURO STOXX Banks Index		2,169		04/14/22		EUR	95.00		EUR	9,845	$	(122,972	)
Valero Energy Corp.		685		04/14/22		USD	110.00		USD	6,956		(40,758	)
U.S. Treasury 5-Year Notes Futures		2,797		04/22/22		USD	116.00		USD	320,409		(393,328	)
U.S. Treasury 5-Year Notes Futures		3,723		04/22/22		USD	118.00		USD	426,487		(116,344	)


												(673,402	)


Put
EURO STOXX 50 Index		1,189		04/14/22		EUR	3,200.00		EUR	46,401		(44,064	)
iShares iBoxx High Yield Corporate Bond ETF		1,000		04/14/22		USD	76.00		USD	8,229		(4,000	)
iShares Russell 2000 Index ETF		200		04/14/22		USD	150.00		USD	4,105		(500	)
SPDR S&P 500 ETF Trust		313		04/14/22		USD	420.00		USD	14,136		(18,311	)
SPDR S&P 500 ETF Trust		342		04/14/22		USD	400.00		USD	15,446		(10,089	)
SPDR S&P 500 ETF Trust		2,796		04/14/22		USD	410.00		USD	126,279		(107,646	)
United States Steel Corp.		650		04/14/22		USD	22.00		USD	2,453		(1,300	)
iShares Russell 2000 Index ETF		200		04/18/22		USD	170.00		USD	4,105		(2,000	)
U.S. Treasury 10-Year Notes Futures		40		04/22/22		USD	121.50		USD	4,910		(15,625	)
U.S. Treasury 10-Year Notes Futures		135		04/22/22		USD	123.00		USD	16,571		(124,453	)
EURO STOXX 50 Index		902		05/20/22		EUR	2,900.00		EUR	35,201		(105,771	)
SPDR S&P 500 ETF Trust		932		05/20/22		USD	420.00		USD	42,093		(396,566	)
U.S. Treasury 5-Year Notes Futures		699		05/20/22		USD	113.00		USD	80,074		(218,437	)
SPDR S&P 500 ETF Trust		1,863		06/30/22		USD	355.00		USD	84,141		(401,476	)


												(1,450,238	)


											$	(2,123,640	)

OTC Options Written




Description	Counterparty	Number of Contracts		Expiration Date		Exercise Price			Notional Amount (000)			Value


Call
USD Currency	Bank of America N.A.		—		04/12/22		ZAR	16.25		USD	21,782	$	(1,457	)
EUR Currency	UBS AG		—		04/28/22		SEK	10.80		EUR	3,823		(4,621	)
USD Currency	Goldman Sachs International		—		04/28/22		TRY	15.00		USD	6,508		(195,462	)
EUR Currency	UBS AG		—		05/05/22		CHF	1.05		EUR	27,180		(34,819	)
USD Currency	Barclays Bank PLC		—		05/06/22		CLP	855.00		USD	8,632		(21,011	)
USD Currency	Bank of America N.A.		—		05/27/22		ZAR	15.70		USD	12,628		(78,534	)
USD Currency	Goldman Sachs International		—		05/27/22		MXN	20.70		USD	19,016		(145,057	)


													(480,961	)


Put
USD Currency	Bank of America N.A.		—		04/08/22		RUB	72.00		USD	6,740		(90,702	)
USD Currency	Citibank N.A.		—		04/08/22		RUB	72.00		USD	21,810		(293,504	)
USD Currency	Barclays Bank PLC		—		05/06/22		CLP	795.00		USD	17,264		(360,379	)
EUR Currency	Morgan Stanley & Co. International PLC		—		09/08/22		NOK	9.20		EUR	25,426		(104,610	)
USD Currency	Goldman Sachs International		—		09/13/22		JPY	109.00		USD	33,470		(87,230	)


													(936,425	)


												$	(1,417,386	)


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		107

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

OTC Credit Default Swaptions Written

Paid by the Fund

Received by the Fund

Expiration

Date

Credit

Rating^(a)

Exercise

Price

Notional

Amount

(000)^(b)

Value

Description

Rate

Frequency

Rate

Frequency

Counterparty

Put

Sold Protection on
5-Year Credit Default Swap, 12/20/26

CDX.NA.HY.37.V1

Quarterly

5.00

Quarterly

Barclays Bank PLC

04/20/22

N/R

96.00

USD

(13,500

)

(4,177

)

Sold Protection on
5-Year Credit Default Swap, 12/20/26

CDX.NA.HY.37.V1

Quarterly

5.00

Quarterly

Morgan Stanley & Co. International PLC

04/20/22

N/R

96.00

USD

(15,000

)

(4,641

)

(8,818

)

^(a)

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

^(b)

The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of agreement.

OTC Interest Rate Swaptions Written




	Paid by the Fund			Received by the Fund					Expiration Date		Exercise Rate				Notional Amount (000)		Value
Description	Rate		Frequency	Rate			Frequency	Counterparty	Expiration Date		Exercise Rate				Notional Amount (000)		Value


Call
10-Year Interest Rate Swap, 03/04/33		1.72%	Semi-Annual		SOFR, 0.29	%	Quarterly	Morgan Stanley & Co. International PLC		03/02/23		1.72	%	USD		18,795	$	(334,633	)
10-Year Interest Rate Swap, 03/09/33		1.69%	Semi-Annual		SOFR, 0.29	%	Quarterly	JPMorgan Chase Bank N.A.		03/07/23		1.69	%	USD		62,903		(1,077,790	)
10-Year Interest Rate Swap, 03/10/33		1.75%	Semi-Annual		SOFR, 0.29	%	Quarterly	Bank of America N.A.		03/08/23		1.75	%	USD		9,186		(175,723	)
10-Year Interest Rate Swap, 03/10/33		1.77%	Semi-Annual		SOFR, 0.29	%	Quarterly	Goldman Sachs International		03/08/23		1.77	%	USD		52,319		(1,018,183	)
10-Year Interest Rate Swap, 03/11/33		1.84%	Semi-Annual		SOFR, 0.29	%	Quarterly	Morgan Stanley & Co. International PLC		03/09/23		1.84	%	USD		18,868		(413,145	)
10-Year Interest Rate Swap, 03/15/33		1.93%	Semi-Annual		SOFR, 0.29	%	Quarterly	Bank of America N.A.		03/13/23		1.93	%	USD		18,868		(475,292	)
10-Year Interest Rate Swap, 03/25/33		2.28%	Semi-Annual		SOFR, 0.29	%	Quarterly	JPMorgan Chase Bank N.A.		03/23/23		2.28	%	USD		29,113		(1,179,875	)
10-Year Interest Rate Swap, 03/31/33		2.28%	Semi-Annual		SOFR, 0.29	%	Quarterly	Deutsche Bank AG		03/29/23		2.28	%	USD		19,409		(789,611	)


																		(5,464,252	)


108		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

OTC Interest Rate Swaptions Written (continued)




	Paid by the Fund		Received by the Fund			Expiration Date		Exercise Rate				Notional Amount (000)		Value
Description	Rate	Frequency	Rate	Frequency	Counterparty	Expiration Date		Exercise Rate				Notional Amount (000)		Value


Put
3-Year Forward/1- Year Interest Rate Swap, 05/06/22	SOFR, 0.29%	Quarterly	2.32%	Semi-Annual	Bank of America N.A.		05/04/22		2.32	%	USD		3,800,210	$	(3,073,711	)
10-Year Interest Rate Swap, 03/04/33	SOFR, 0.29%	Quarterly	1.72%	Semi-Annual	Morgan Stanley & Co. International PLC		03/02/23		1.72	%	USD		18,795		(1,050,517	)
10-Year Interest Rate Swap, 03/09/33	SOFR, 0.29%	Quarterly	1.69%	Semi-Annual	JPMorgan Chase Bank N.A.		03/07/23		1.69	%	USD		62,903		(3,640,336	)
10-Year Interest Rate Swap, 03/10/33	SOFR, 0.29%	Quarterly	1.75%	Semi-Annual	Bank of America N.A.		03/08/23		1.75	%	USD		9,186		(494,929	)
10-Year Interest Rate Swap, 03/10/33.	SOFR, 0.29%	Quarterly	1.77%	Semi-Annual	Goldman Sachs International		03/08/23		1.77	%	USD		52,319		(2,785,858	)
10-Year Interest Rate Swap, 03/11/33	SOFR, 0.29%	Quarterly	1.84%	Semi-Annual	Morgan Stanley & Co. International PLC		03/09/23		1.84	%	USD		18,868		(926,441	)
10-Year Interest Rate Swap, 03/15/33.	SOFR, 0.29%	Quarterly	1.93%	Semi-Annual	Bank of America N.A.		03/13/23		1.93	%	USD		18,868		(840,888	)
10-Year Interest Rate Swap, 03/25/33	SOFR, 0.29%	Quarterly	2.28%	Semi-Annual	JPMorgan Chase Bank N.A.		03/23/23		2.28	%	USD		29,113		(877,261	)
10-Year Interest Rate Swap, 03/31/33	SOFR, 0.29%	Quarterly	2.28%	Semi-Annual	Deutsche Bank AG		03/29/23		2.28	%	USD		19,409		(590,429	)
5-Year Interest Rate Swap, 06/17/31	3-month LIBOR, 0.96%	Quarterly	3.05%	Semi-Annual	Barclays Bank PLC		06/15/26		3.05	%	USD		64,391		(1,425,336	)
5-Year Interest Rate Swap, 06/17/31	3-month LIBOR, 0.96%	Quarterly	3.05%	Semi-Annual	Deutsche Bank AG		06/15/26		3.05	%	USD		32,195		(712,657	)


															(16,418,363	)


														$	(21,882,615	)


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		109

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

Centrally Cleared Credit Default Swaps — Buy Protection




Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency		Termination Date		Notional Amount (000)			Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)


CDX.NA.HY.33.V1		5.00	%		Quarterly		12/20/24		USD	35,459	$	(2,103,512	)	$	(1,799,934	)	$	(303,578	)
CDX.NA.HY.37.V1		5.00			Quarterly		12/20/26		USD	9,464		(611,422	)		(499,511	)		(111,911	)
ITRAXX.EUR.37.V1		1.00			Quarterly		06/20/27		EUR	157,510		(2,434,596	)		(1,922,312	)		(512,284	)
ITRAXX.FINSR.37.V1		1.00			Quarterly		06/20/27		EUR	45,177		(496,641	)		(378,465	)		(118,176	)
ITRAXX.FINSUB.37.V1		1.00			Quarterly		06/20/27		EUR	22,587		652,283			736,885			(84,602	)
ITRAXX.XO.37.V1		5.00			Quarterly		06/20/27		EUR	74,476		(6,133,129	)		(4,984,249	)		(1,148,880	)


											$	(11,127,017	)	$	(8,847,586	)	$	(2,279,431	)

Centrally Cleared Credit Default Swaps — Sell Protection

Reference Obligation/Index

Financing

Rate

Received

the Fund

Payment

Frequency

Termination

Date

Credit

Rating^(a)

Notional

Amount

(000)^(b)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

ITRAXX.XO.36.V1

5.00

Quarterly

12/20/26

BB-

EUR

4,793

429,510

357,320

72,190

^(a)

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

^(b)

The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of agreement.

Centrally Cleared Inflation Swaps




Paid by the Fund		Received by the Fund		Termination			Notional Amount				Upfront Premium Paid			Unrealized Appreciation
Reference	Frequency	Rate	Frequency	Date			(000)	Value			(Received)			(Depreciation)


4.81%	At Termination	UK RPI All Items Monthly	At Termination		09/15/23	GBP	9,270	$	732,343			$	—	$	732,343
5.20%	At Termination	UK RPI All Items Monthly	At Termination		10/15/23	GBP	13,800		880,544				—		880,544
5.48%	At Termination	UK RPI All Items Monthly	At Termination		11/15/23	GBP	12,560		684,359				—		684,359
UK RPI All Items Monthly	At Termination	4.34%	At Termination		09/15/26	GBP	6,800		(663,382	)			—		(663,382	)
UK RPI All Items Monthly	At Termination	4.57%	At Termination		10/15/26	GBP	13,800		(1,128,488	)			—		(1,128,488	)
UK RPI All Items Monthly	At Termination	4.89%	At Termination		11/15/26	GBP	12,560		(698,481	)			—		(698,481	)
2.85%	At Termination	Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU)	At Termination		03/15/27	EUR	8,670		202,694				795		201,899
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	3.50%	At Termination		03/31/27	USD	99,259		657,157				—		657,157
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	3.52%	At Termination		03/31/27	USD	99,259		765,415				—		765,415
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	3.53%	At Termination		03/31/27	USD	19,460		153,805				—		153,805
UK RPI All Items Monthly	At Termination	3.42%	At Termination		11/15/30	GBP	13,500		(3,444,327	)			—		(3,444,327	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	2.47%	At Termination		04/26/31	USD	116,930		(12,589,973	)			—		(12,589,973	)
UK RPI All Items Monthly	At Termination	3.73%	At Termination		05/15/31	GBP	4,386		(950,240	)			—		(950,240	)


110		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

Centrally Cleared Inflation Swaps (continued)



Paid by the Fund		Received by the Fund		Termination	Notional Amount						Upfront Premium Paid			Unrealized Appreciation
Reference	Frequency	Rate	Frequency	Date	(000)			Value			(Received)			(Depreciation)

U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	2.64%	At Termination	05/21/31		USD	95,310	$	(8,448,768	)		$	—	$	(8,448,768	)
UK RPI All Items Monthly	At Termination	3.81%	At Termination	07/15/31		GBP	12,590		(2,412,141	)			—		(2,412,141	)
UK RPI All Items Monthly	At Termination	3.85%	At Termination	07/15/31		GBP	12,590		(2,322,568	)			—		(2,322,568	)
UK RPI All Items Monthly	At Termination	3.91%	At Termination	09/15/31		GBP	13,880		(2,193,371	)			—		(2,193,371	)
UK RPI All Items Monthly	At Termination	4.07%	At Termination	09/15/31		GBP	7,285		(968,235	)			—		(968,235	)
UK RPI All Items Monthly	At Termination	4.13%	At Termination	09/15/31		GBP	3,970		(489,180	)			—		(489,180	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	2.65%	At Termination	10/08/31		USD	21,878		(1,386,499	)			—		(1,386,499	)
UK RPI All Items Monthly	At Termination	4.25%	At Termination	10/15/31		GBP	3,970		(404,981	)			—		(404,981	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	2.89%	At Termination	10/29/31		USD	48,380		(1,806,921	)			—		(1,806,921	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	2.88%	At Termination	11/01/31		USD	48,373		(1,859,108	)			—		(1,859,108	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	2.76%	At Termination	11/05/31		USD	50,758		(2,557,320	)			—		(2,557,320	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	2.77%	At Termination	11/05/31		USD	50,758		(2,544,086	)			—		(2,544,086	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	2.80%	At Termination	11/08/31		USD	21,207		(988,157	)			—		(988,157	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	2.83%	At Termination	11/10/31		USD	29,551		(1,298,366	)			—		(1,298,366	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	2.89%	At Termination	11/15/31		USD	25,379		(923,142	)			—		(923,142	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	2.93%	At Termination	11/15/31		USD	25,379		(836,019	)			—		(836,019	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	2.89%	At Termination	02/28/32		USD	51,365		(912,794	)			—		(912,794	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	3.06%	At Termination	04/04/32		USD	38,327		223,702				—		223,702


								$	(47,526,528	)		$	795	$	(47,527,323	)

Centrally Cleared Interest Rate Swaps

Paid by the Fund

Received by the Fund

Effective

Termination

Notional

Amount

Upfront

Premium

Paid

Unrealized

Appreciation

Rate

Frequency

Rate

Frequency

Date

(000)

Value

(Received)

(Depreciation)

1-day Overnight Fed Funds Rate, 0.33%

At Termination

1.18%

At Termination

07/27/22^(a)

09/21/22

USD

7,292,490

(3,802,457

)

—

(3,802,457

)


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		111

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

Centrally Cleared Interest Rate Swaps (continued)


Paid by the Fund		Received by the Fund		Effective		Termination	Notional Amount					Upfront Premium Paid					Unrealized Appreciation
Rate	Frequency	Rate	Frequency	Date		Date	(000)			Value		(Received)					(Depreciation)

1-day Overnight Fed Funds Rate, 0.33%	At Termination	1.20%	At Termination	07/27/22^(a	⁾	09/21/22	USD	7,032,050	$	(4,039,286	)		$	—		$	(4,039,286	)
1-day Overnight Fed Funds Rate, 0.33%	At Termination	1.24%	At Termination	07/27/22^(a	⁾	09/21/22	USD	2,223,941		(1,132,855	)			—			(1,132,855	)
1-day ESTR, (0.59)%	At Termination	(0.43)%	At Termination	10/17/22^(a	⁾	10/17/23	EUR	192,710		(1,850,743	)			—			(1,850,743	)
1-day ESTR, (0.59)%	At Termination	(0.38)%	At Termination	10/20/22^(a	⁾	10/20/23	EUR	208,910		(1,894,306	)			—			(1,894,306	)
1-day ESTR, (0.59)%	At Termination	(0.28)%	At Termination	01/09/23^(a	⁾	01/09/24	EUR	84,000		(917,187	)			—			(917,187	)
SOFR, 0.29%	Annual	2.14%	Annual	N/A		03/24/24	USD	314,604		(484,599	)			—			(484,599	)
1.41%	Annual	SOFR, 0.29%	Annual	07/06/22^(a	⁾	03/31/24	USD	85,063		1,552,900				—			1,552,900
0.55%	Annual	1-day ESTR, (0.59)%	Annual	03/21/23^(a	⁾	03/21/25	EUR	158,210		1,444,970				(86,542	)		1,531,512
0.64%	Annual	1-day ESTR, (0.59)%	Annual	03/23/23^(a	⁾	03/23/25	EUR	80,250		582,538				—			582,538
0.70%	Annual	1-day ESTR, (0.59)%	Annual	03/24/23^(a	⁾	03/24/25	EUR	80,240		470,719				—			470,719
0.74%	Annual	1-day ESTR, (0.59)%	Annual	03/27/23^(a	⁾	03/27/25	EUR	160,180		843,095				—			843,095
2.91%	Semi-Annual	3-month LIBOR, 0.96%	Quarterly	N/A		08/23/26	USD	3,692		(67,018	)			(46	)		(66,972	)
6-month EURIBOR, (0.37)%	Semi-Annual	0.46%	Annual	N/A		10/09/26	EUR	42,118		(994,638	)			—			(994,638	)
1-day ESTR, (0.59)%	At Termination	0.85%	At Termination	03/20/26^(a	⁾	03/20/27	EUR	320,220		(267,227	)			169,972			(437,199	)
1-day ESTR, (0.59)%	At Termination	0.87%	At Termination	03/25/26^(a	⁾	03/25/27	EUR	326,080		(1,443,842	)			—			(1,443,842	)
1-day ESTR, (0.59)%	At Termination	1.00%	At Termination	03/30/26^(a	⁾	03/30/27	EUR	334,840		293,919				—			293,919
2.93%	Semi-Annual	3-month LIBOR, 0.96%	Quarterly	N/A		08/24/28	USD	8,170		(253,186	)			128			(253,314	)
3.16%	Semi-Annual	3-month LIBOR, 0.96%	Quarterly	N/A		10/03/28	USD	4,519		(259,266	)			71			(259,337	)
6-month EURIBOR, (0.37)%	Semi-Annual	0.65%	Annual	06/10/22^(a	⁾	02/15/31	EUR	14,279		(706,320	)			—			(706,320	)
6-month EURIBOR, (0.37)%	Semi-Annual	0.70%	Annual	06/10/22^(a	⁾	02/15/31	EUR	22,846		(1,012,046	)			—			(1,012,046	)
6-month EURIBOR, (0.37)%	Semi-Annual	0.71%	Annual	06/10/22^(a	⁾	02/15/31	EUR	11,085		(489,326	)			(92,334	)		(396,992	)
6-month EURIBOR, (0.37)%	Semi-Annual	0.77%	Annual	N/A		02/15/31	EUR	21,710		(755,317	)			—			(755,317	)
6-month EURIBOR, (0.37)%	Semi-Annual	0.79%	Annual	N/A		02/15/31	EUR	45,952		(1,529,936	)			—			(1,529,936	)
6-month EURIBOR, (0.37)%	Semi-Annual	0.81%	Annual	06/10/22^(a	⁾	02/15/31	EUR	7,167		(245,773	)			—			(245,773	)
6-month EURIBOR, (0.37)%	Semi-Annual	0.82%	Annual	N/A		02/15/31	EUR	65,532		(1,925,064	)			—			(1,925,064	)
6-month EURIBOR, (0.37)%	Semi-Annual	0.82%	Annual	N/A		02/15/31	EUR	21,710		(652,950	)			—			(652,950	)


112		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

Centrally Cleared Interest Rate Swaps (continued)


Paid by the Fund		Received by the Fund		Effective			Termination		Notional Amount					Upfront Premium Paid			Unrealized Appreciation
Rate	Frequency	Rate	Frequency	Date			Date		(000)		Value			(Received)			(Depreciation)

6-month EURIBOR, (0.37)%	Semi-Annual	0.82%	Annual		06/10/22	^(a)		02/15/31	EUR	2,415	$	(81,886	)	$	—		$	(81,886	)
6-month EURIBOR, (0.37)%	Semi-Annual	0.83%	Annual		N/A			02/15/31	EUR	40,954		(1,189,821	)		—			(1,189,821	)
6-month EURIBOR, (0.37)%	Semi-Annual	0.84%	Annual		N/A			02/15/31	EUR	19,635		(548,670	)		—			(548,670	)
6-month EURIBOR, (0.37)%	Semi-Annual	1.21%	Annual		06/10/22	^(a)		02/15/31	EUR	14,333		43,659			—			43,659
2.14%	Semi-Annual	3-month LIBOR, 0.96%	Quarterly		06/15/26	^(a)		06/15/31	USD	64,391		243,871			—			243,871
2.14%	Semi-Annual	3-month LIBOR, 0.96%	Quarterly		06/15/26	^(a)		06/15/31	USD	32,196		130,250			(10,768	)		141,018
6-month EURIBOR, (0.37)%	Semi-Annual	0.22%	Annual		N/A			10/19/31	EUR	13,270		(1,231,641	)		(2,973	)		(1,228,668	)
SOFR, 0.29%	Annual	1.58%	Annual		06/30/22	^(a)		11/15/31	USD	22,218		(1,084,239	)		—			(1,084,239	)
28-day MXIBTIIE, 6.72%	Monthly	7.60%	Monthly		N/A			01/01/32	MXN	240,047		(465,606	)		—			(465,606	)
28-day MXIBTIIE, 6.72%	Monthly	7.57%	Monthly		N/A			01/12/32	MXN	273,363		(817,775	)		—			(817,775	)
28-day MXIBTIIE, 6.72%	Monthly	7.53%	Monthly		N/A			01/23/32	MXN	161,745		(354,058	)		—			(354,058	)
1.61%	Annual	SOFR, 0.29%	Annual		N/A			03/09/32	USD	7,538		334,812			—			334,812
1.67%	Annual	SOFR, 0.29%	Annual		N/A			03/10/32	USD	13,226		516,475			—			516,475
1.97%	Annual	SOFR, 0.29%	Annual		N/A			03/16/32	USD	9,024		109,734			—			109,734
28-day MXIBTIIE, 6.72%	Monthly	8.29%	Monthly		N/A			03/17/32	MXN	144,799		63,379			—			63,379
2.01%	Annual	SOFR, 0.29%	Annual		N/A			03/18/32	USD	7,480		68,026			—			68,026
2.14%	Annual	SOFR, 0.29%	Annual		N/A			03/23/32	USD	14,948		(33,286	)		—			(33,286	)
2.15%	Annual	SOFR, 0.29%	Annual		N/A			03/23/32	USD	8,888		(36,241	)		—			(36,241	)
3-month Canadian Bankers Acceptances, 1.26%	Semi-Annual	2.86%	Semi-Annual		N/A			03/23/32	CAD	2,770		(5,687	)		—			(5,687	)
2.18%	Annual	SOFR, 0.29%	Annual		N/A			03/24/32	USD	54,196		(340,583	)		—			(340,583	)
2.20%	Annual	SOFR, 0.29%	Annual		N/A			03/25/32	USD	1,900		(15,103	)		—			(15,103	)
2.29%	Annual	SOFR, 0.29%	Annual		N/A			03/29/32	USD	10,608		(173,138	)		—			(173,138	)
0.70%	Annual	1-day SONIA, 0.69%	Annual		N/A			11/08/51	GBP	2,477		562,243			452			561,791
1-day SONIA, 0.69%	Annual	0.70%	Annual		N/A			11/08/51	GBP	2,477		(562,243	)		(107,122	)		(455,121	)
3-month Canadian Bankers Acceptances, 1.26%	Semi-Annual	2.97%	Semi-Annual		N/A			03/22/52	CAD	2,660		39,481			—			39,481
3-month Canadian Bankers Acceptances, 1.26%	Semi-Annual	3.01%	Semi-Annual		N/A			03/23/52	CAD	2,660		58,912			—			58,912
2.15%	Annual	SOFR, 0.29%	Annual		N/A			03/24/52	USD	1,900		(66,897	)		—			(66,897	)
2.16%	Annual	SOFR, 0.29%	Annual		N/A			03/25/52	USD	1,900		(71,482	)		—			(71,482	)
2.16%	Annual	SOFR, 0.29%	Annual		N/A			03/25/52	USD	950		(36,805	)		—			(36,805	)


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		113

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

Centrally Cleared Interest Rate Swaps (continued)



Paid by the Fund		Received by the Fund		Effective			Termination		Notional Amount					Upfront Premium Paid			Unrealized Appreciation
Rate	Frequency	Rate	Frequency	Date			Date		(000)		Value			(Received)			(Depreciation)

3-month Canadian Bankers Acceptances, 1.26%	Semi-Annual	3.03%	Semi-Annual		03/29/22^(a	⁾		03/29/52	CAD	1,385	$	34,653		$	—		$	34,653
0.45%	Annual	6-month EURIBOR, (0.37)%	Semi-Annual		04/01/42^(a	⁾		04/01/52	EUR	8,003		55,413			(844	)		56,257


											$	(24,389,454	)	$	(130,006	)	$	(24,259,448	)

^(a)

Forward Swap.

OTC Credit Default Swaps — Buy Protection



Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency	Counterparty	Termination Date		Notional Amount (000)		Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)

DISH DBS Corp.		5.00	%	Quarterly	Goldman Sachs International		12/20/23	USD	2,168	$	(78,557	)	$	38,468		$	(117,025	)
KB Home		5.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/23	USD	2,138		(148,542	)		(61,837	)		(86,705	)
Realogy Group LLC		5.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/23	USD	1,069		(62,125	)		(3,614	)		(58,511	)
RR Donnelley & Sons Co.		5.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/23	USD	1,070		(71,920	)		18,697			(90,617	)
Staples, Inc.		5.00		Quarterly	Morgan Stanley & Co. International PLC		12/20/23	USD	1,000		46,269			23,969			22,300
Beazer Homes U.S.A., Inc.		5.00		Quarterly	Barclays Bank PLC		06/20/24	USD	1,199		(65,516	)		(35,595	)		(29,921	)
Beazer Homes U.S.A., Inc.		5.00		Quarterly	BNP Paribas S.A.		06/20/24	USD	1,000		(54,642	)		(26,213	)		(28,429	)
Beazer Homes U.S.A., Inc.		5.00		Quarterly	BNP Paribas S.A.		06/20/24	USD	1,103		(60,270	)		(31,200	)		(29,070	)
Tenet Healthcare Corp.		5.00		Quarterly	Barclays Bank PLC		06/20/24	USD	1,000		(77,922	)		(5,231	)		(72,691	)
Tenet Healthcare Corp.		5.00		Quarterly	Goldman Sachs International		06/20/24	USD	1,175		(92,797	)		(18,856	)		(73,941	)
Tenet Healthcare Corp.		5.00		Quarterly	Goldman Sachs International		06/20/24	USD	1,150		(90,823	)		(18,455	)		(72,368	)
Tenet Healthcare Corp.		5.00		Quarterly	Goldman Sachs International		06/20/24	USD	1,175		(92,798	)		(18,873	)		(73,925	)
Tenet Healthcare Corp.		5.00		Quarterly	Goldman Sachs International		06/20/24	USD	1,223		(95,299	)		(7,739	)		(87,560	)
Tenet Healthcare Corp.		5.00		Quarterly	JPMorgan Chase Bank N.A.		06/20/24	USD	500		(39,488	)		(3,063	)		(36,425	)
Avis Budget Group, Inc.		5.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/24	USD	750		(67,268	)		34,554			(101,822	)
Avis Budget Group, Inc.		5.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/24	USD	1,680		(147,987	)		76,690			(224,677	)
Boeing Co.		1.00		Quarterly	BNP Paribas S.A.		12/20/24	USD	2,250		7,156			(24,447	)		31,603
Boeing Co.		1.00		Quarterly	Morgan Stanley & Co. International PLC		12/20/24	USD	5,950		18,925			(38,268	)		57,193
Federative Republic of Brazil		1.00		Quarterly	Barclays Bank PLC		12/20/24	USD	3,216		18,582			44,154			(25,572	)
Federative Republic of Brazil		1.00		Quarterly	Barclays Bank PLC		12/20/24	USD	3,215		18,577			44,141			(25,564	)
Federative Republic of Brazil		1.00		Quarterly	Barclays Bank PLC		12/20/24	USD	3,220		18,605			44,209			(25,604	)
Federative Republic of Brazil		1.00		Quarterly	Barclays Bank PLC		12/20/24	USD	3,215		18,577			43,301			(24,724	)
Federative Republic of Brazil		1.00		Quarterly	Barclays Bank PLC		12/20/24	USD	4,500		26,002			60,607			(34,605	)
Federative Republic of Brazil		1.00		Quarterly	Barclays Bank PLC		12/20/24	USD	1,948		11,256			26,236			(14,980	)
Occidental Petroleum Corp.		1.00		Quarterly	Barclays Bank PLC		12/20/24	USD	5,080		(19,211	)		1,450,675			(1,469,886	)
Avis Budget Group, Inc.		5.00		Quarterly	JPMorgan Chase Bank N.A.		06/20/25	USD	2,540		(242,731	)		203,200			(445,931	)
Southwest Airlines Co.		1.00		Quarterly	Goldman Sachs International		12/20/26	USD	5,000		27,415			(4,474	)		31,889
Abbot Laboratories		1.00		Quarterly	JPMorgan Chase Bank N.A.		06/20/27	USD	7,786		(225,201	)		(189,314	)		(35,887	)
Federative Republic of Brazil		1.00		Quarterly	Barclays Bank PLC		06/20/27	USD	46,041		2,317,069			2,805,011			(487,942	)
Republic of Chile		1.00		Quarterly	Goldman Sachs International		06/20/27	USD	5,147		(77,360	)		(29,815	)		(47,545	)
Republic of Colombia		1.00		Quarterly	Goldman Sachs International		06/20/27	USD	38,102		1,654,040			2,120,395			(466,355	)
Republic of Indonesia		1.00		Quarterly	Goldman Sachs International		06/20/27	USD	31,972		(255,791	)		391,377			(647,168	)
Republic of South Africa		1.00		Quarterly	Morgan Stanley & Co. International PLC		06/20/27	USD	5,680		288,222			352,017			(63,795	)
Republic of South Africa		1.00		Quarterly	Morgan Stanley & Co. International PLC		06/20/27	USD	19,986		1,014,077			1,238,534			(224,457	)
Republic of South Africa		1.00		Quarterly	Morgan Stanley & Co. International PLC		06/20/27	USD	5,100		258,748			316,020			(57,272	)
Republic of the Philippines		1.00		Quarterly	Goldman Sachs International		06/20/27	USD	11,217		(118,726	)		60,705			(179,431	)
United Mexican States		1.00		Quarterly	Goldman Sachs International		06/20/27	USD	5,970		692			(12,854	)		13,546


114		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

OTC Credit Default Swaps — Buy Protection (continued)



Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency		Counterparty	Termination Date		Notional Amount (000)		Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)

United Mexican States		1.00	%		Quarterly	Goldman Sachs International		06/20/27	USD	4,770	$	552		$	(6,844	)	$	7,396
United Mexican States		1.00			Quarterly	Morgan Stanley & Co. International PLC		06/20/27	USD	60,284		6,987			382,046			(375,059	)
CMBX.NA.9.AAA		0.50			Monthly	Credit Suisse International		09/17/58	USD	4,534		(27,050	)		49,272			(76,322	)
CMBX.NA.9.AAA		0.50			Monthly	Deutsche Bank AG		09/17/58	USD	3,615		(21,569	)		39,856			(61,425	)
CMBX.NA.9.AAA		0.50			Monthly	Morgan Stanley & Co. International PLC		09/17/58	USD	2,526		(15,074	)		27,458			(42,532	)
CMBX.NA.9.AAA		0.50			Monthly	Morgan Stanley & Co. International PLC		09/17/58	USD	3,046		(18,173	)		33,101			(51,274	)
CMBX.NA.9.AAA		0.50			Monthly	Morgan Stanley & Co. International PLC		09/17/58	USD	5,562		(33,188	)		66,328			(99,516	)
CMBX.NA.9.BBB-		3.00			Monthly	Citigroup Global Markets, Inc.		09/17/58	USD	2,080		211,138			67,922			143,216
CMBX.NA.9.BBB-		3.00			Monthly	Goldman Sachs International		09/17/58	USD	3,544		359,746			272,728			87,018
CMBX.NA.9.BBB-		3.00			Monthly	Morgan Stanley & Co. International PLC		09/17/58	USD	204		20,708			10,907			9,801
CMBX.NA.6.AAA		0.50			Monthly	Deutsche Bank AG		05/11/63	USD	1,348		(1,203	)		240			(1,443	)
CMBX.NA.6.AAA		0.50			Monthly	Deutsche Bank AG		05/11/63	USD	3,277		(2,925	)		(976	)		(1,949	)
CMBX.NA.6.BBB-		3.00			Monthly	J.P. Morgan Securities LLC		05/11/63	USD	813		197,953			73,257			124,696
CMBX.NA.13.BBB-		3.00			Monthly	Goldman Sachs International		12/16/72	USD	1,346		127,581			74,412			53,169
CMBX.NA.13.BBB-		3.00			Monthly	Goldman Sachs International		12/16/72	USD	1,346		127,581			72,109			55,472


											$	4,492,302		$	10,024,928		$	(5,532,626	)

OTC Credit Default Swaps — Sell Protection


Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency	Counterparty	Termination Date		Credit Rating^(a)	Notional Amount (000)^(b)				Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)

Yum! Brands, Inc.		1.00	%	Quarterly	BNP Paribas S.A.		12/20/25	BB		USD	2,000		$	(10,134	)	$	(10,701	)	$	567
Yum! Brands, Inc.		1.00		Quarterly	BNP Paribas S.A.		12/20/25	BB		USD	2,000			(10,133	)		(14,221	)		4,088
Advanced Micro Devices, Inc.		5.00		Quarterly	Goldman Sachs International		06/20/26	A-		USD	4,000			733,406			697,780			35,626
HCA, Inc.		5.00		Quarterly	Citibank N.A.		06/20/26	BB-		USD	5,000			795,402			754,913			40,489
NRG Energy, Inc.		5.00		Quarterly	Barclays Bank PLC		06/20/26	N/R		USD	2,000			201,307			240,289			(38,982	)
NRG Energy, Inc.		5.00		Quarterly	JPMorgan Chase Bank N.A.		06/20/26	N/R		USD	2,000			201,306			249,956			(48,650	)
T-Mobile U.S.A., Inc.		5.00		Quarterly	Citibank N.A.		06/20/26	BB+		USD	4,000			628,389			636,077			(7,688	)
Yum! Brands, Inc.		1.00		Quarterly	BNP Paribas S.A.		06/20/27	BB		USD	1,150			(29,960	)		(30,280	)		320
CMBX.NA.7.AAA		0.50		Monthly	Morgan Stanley & Co. International PLC		01/17/47	AAA		USD	4,892			18,468			(131,461	)		149,929
CMBX.NA.3.AM		0.50		Monthly	Credit Suisse International		12/13/49	N/R		USD	—	^(c)		—			(9	)		9
CMBX.NA.3.AM		0.50		Monthly	Goldman Sachs International		12/13/49	N/R		USD	—	^(c)		—			(24	)		24
CMBX.NA.3.AM		0.50		Monthly	JPMorgan Chase Bank N.A.		12/13/49	N/R		USD	1			—			(48	)		48
CMBX.NA.9.A		2.00		Monthly	Morgan Stanley & Co. International PLC		09/17/58	N/R		USD	2,692			(16,804	)		(6,480	)		(10,324	)
CMBX.NA.9.BBB-		3.00		Monthly	Deutsche Bank AG		09/17/58	N/R		USD	906			(91,967	)		(100,163	)		8,196
CMBX.NA.9.BBB-		3.00		Monthly	Goldman Sachs International		09/17/58	N/R		USD	1,310			(132,976	)		(141,047	)		8,071
CMBX.NA.9.BBB-		3.00		Monthly	J.P. Morgan Securities LLC		09/17/58	N/R		USD	800			(81,207	)		(174,300	)		93,093
CMBX.NA.9.BBB-		3.00		Monthly	JPMorgan Chase Bank N.A.		09/17/58	N/R		USD	438			(44,460	)		(35,720	)		(8,740	)
CMBX.NA.9.BBB-		3.00		Monthly	Morgan Stanley & Co. International PLC		09/17/58	N/R		USD	1,000			(101,508	)		(254,480	)		152,972
CMBX.NA.9.BBB-		3.00		Monthly	Morgan Stanley & Co. International PLC		09/17/58	N/R		USD	1,060			(107,599	)		(49,493	)		(58,106	)
CMBX.NA.9.BBB-		3.00		Monthly	Morgan Stanley & Co. International PLC		09/17/58	N/R		USD	231			(23,449	)		(12,967	)		(10,482	)
CMBX.NA.9.BBB-		3.00		Monthly	Morgan Stanley & Co. International PLC		09/17/58	N/R		USD	1,200			(121,810	)		(1,438	)		(120,372	)
CMBX.NA.10.A		2.00		Monthly	Deutsche Bank AG		11/17/59	A-		USD	3,340			(27,901	)		(134,209	)		106,308
CMBX.NA.10.A		2.00		Monthly	Deutsche Bank AG		11/17/59	A-		USD	1,670			(13,950	)		(68,232	)		54,282


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		115

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

OTC Credit Default Swaps — Sell Protection (continued)



Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency		Counterparty	Termination Date		Credit Rating^(a)	Notional Amount (000)^(b)			Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)

CMBX.NA.10.BBB-		3.00	%		Monthly	J.P. Morgan Securities LLC		11/17/59	BBB-		USD	60	$	(6,650	)	$	(4,771	)		$	(1,879	)
CMBX.NA.6.BBB-		3.00			Monthly	Credit Suisse International		05/11/63	B		USD	813		(197,954	)		(59,324	)			(138,630	)

													$	1,559,816		$	1,349,647			$	210,169

^(a)

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

^(b)

The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of agreement.

^(c)

Notional amount is less than USD 500.

OTC Interest Rate Swaps


Paid by the Fund		Received by the Fund		Counterparty	Termination Date		Notional Amount (000)			Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)


Rate	Frequency	Rate	Frequency
1.42%	At Termination	1-day CLICP, 19,431.57	At Termination	Bank of America N.A.		04/01/23		CLP	19,436,176	$	1,548,815			$	—		$	1,548,815
1-day CLICP, 19,431.57	At Termination	1.65%	At Termination	Bank of America N.A.		05/28/23		CLP	19,436,176		(1,703,258	)			—			(1,703,258	)
1-day BZDIOVER, 0.04%	At Termination	11.47%	At Termination	Goldman Sachs International		01/02/24		BRL	75,304		(109,621	)			—			(109,621	)

										$	(264,064	)		$	—		$	(264,064	)

OTC Total Return Swaps


Paid by the Fund		Received by the Fund		Counterparty	Termination Date		Notional Amount (000)			Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)


Reference	Frequency	Rate	Frequency
Universal Health Services, Inc.	Quarterly	SOFR minus 0.08%, 0.05%	Quarterly	BNP Paribas S.A.		06/10/22		USD	2,469	$	93,735			$	—		$	93,735
Universal Health Services, Inc.	Quarterly	SOFR minus 0.07%, 0.29%	Quarterly	BNP Paribas S.A.		08/10/22		USD	2,245		(176,821	)			—			(176,821	)
0.00%	Quarterly	Goldman Sachs U.S. Series 4 Excess Return Strategy	Quarterly	Goldman Sachs International		08/19/22		USD	4,913		19,923				—			19,923
Sherwin Williams	Quarterly	SOFR minus 0.08%, 0.29%	Quarterly	BNP Paribas S.A.		09/02/22		USD	2,116		73,969				—			73,969
PPG Industries, Inc.	Quarterly	SOFR minus 0.08%, 0.29%	Quarterly	BNP Paribas S.A.		09/02/22		USD	2,222		(57,584	)			—			(57,584	)
Sherwin Williams	Quarterly	SOFR minus 0.10%, 0.29%	Quarterly	BNP Paribas S.A.		09/02/22		USD	2,319		(120,857	)			—			(120,857	)
PPG Industries, Inc.	Quarterly	SOFR minus 0.12%, 0.29%	Quarterly	BNP Paribas S.A.		09/02/22		USD	2,337		(202,169	)			—			(202,169	)
iShares Broad USD High Yield Corporate Bond ETF	Quarterly	SOFR minus 0.40%, 0.29%	Quarterly	Citibank N.A.		09/07/22		USD	3,149		(14,180	)			—			(14,180	)
iShares Broad USD High Yield Corporate Bond ETF	Quarterly	SOFR minus 0.75%, 0.29%	Quarterly	Citibank N.A.		09/09/22		USD	31,404		(336,444	)			—			(336,444	)
Treehouse Foods, Inc.	Quarterly	SOFR minus 0.25%, 0.29%	Quarterly	Citibank N.A.		09/09/22		USD	252		4,446				—			4,446
Treehouse Foods, Inc.	Quarterly	SOFR minus 0.25%, 0.29%	Quarterly	Citibank N.A.		09/09/22		USD	41		1,526				—			1,526
Treehouse Foods, Inc.	Quarterly	SOFR minus 0.25%, 0.29%	Quarterly	Citibank N.A.		09/09/22		USD	773		13,363				—			13,363


116		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

OTC Total Return Swaps (continued)

Paid by the Fund

Received by the Fund

Termination

Notional

Amount

Upfront

Premium

Paid

Unrealized

Appreciation

Reference

Frequency

Rate

Frequency

Counterparty

Date

(000)

Value

(Received)

(Depreciation)

Treehouse Foods, Inc.

Quarterly

SOFR minus 0.25%, 0.29%

Quarterly

Citibank N.A.

09/09/22

USD

581

11,940

—

11,940

Treehouse Foods, Inc.

Quarterly

SOFR minus 0.25%, 0.29%

Quarterly

Citibank N.A.

09/09/22

USD

161

4,428

—

4,428

Treehouse Foods, Inc.

Quarterly

SOFR minus 0.25%, 0.29%

Quarterly

Citibank N.A.

09/09/22

USD

301

8,316

—

8,316

0.00%

Quarterly

Goldman Sachs Systematic Skew U.S. Series 10 Excess Return Strategy

Quarterly

Goldman Sachs International

12/07/22

USD

4,331

52,630

—

52,630

(623,779

)

—

(623,779

)

Balances Reported in the Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written



	Swaps Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation			Value

Centrally Cleared Swaps^(a)	$	1,265,623	$	(9,885,100	)	$	11,918,165	$	(85,912,177	)	$	—
OTC Swaps		13,141,611		(1,767,036	)		3,124,412		(9,334,712	)		—
Options Written		N/A		N/A			5,985,400		(6,372,584	)		(25,432,459	)

^(a)

Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

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 Contracts			Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts^(a)		$	—	$	—	$	140,368	$	—	$	49,061,751	$	—	$	49,202,119
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts			—		—		—		10,901,337		—		—		10,901,337
Options purchased
Investments at value — unaffiliated^(b)			—		67,866		10,859,645		4,479,674		10,599,772		—		26,006,957
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps^(a)			—		72,190		—		—		7,546,751		4,299,224		11,918,165
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid			—		14,432,932		284,276		—		1,548,815		—		16,266,023

		$	—	$	14,572,988	$	11,284,289	$	15,381,011	$	68,757,089	$	4,299,224	$	114,294,601


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		117

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio



	Commodity Contracts			Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total

Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)		$	—	$	—	$	2,954,050	$	—	$	98,211,184	$	—	$	101,165,234
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts			—		—		—		10,145,898		—		—		10,145,898
Options written
Options written at value			—		8,818		1,255,453		1,417,386		22,750,802		—		25,432,459
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps^(a)			—		2,279,431		—		—		31,806,199		51,826,547		85,912,177
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received			—		8,380,814		908,055		—		1,812,879		—		11,101,748

		$	—	$	10,669,063	$	5,117,558	$	11,563,284	$	154,581,064	$	51,826,547	$	233,757,516

^(a)

Net cumulative unrealized appreciation (depreciation) on futures and centrally cleared swaps, if any, are reported in the 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 accumulated earnings (loss).

^(b)

Includes options purchased at value as reported in the Schedule of Investments.


118		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

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



	Commodity Contracts			Credit Contracts			Equity Contracts			Foreign Currency Exchange Contracts			Interest Rate Contracts			Other Contracts			Total

Net Realized Gain (Loss) from
Futures contracts		$	—	$	—		$	12,463,129		$	—		$	(104,942,524	)	$	—		$	(92,479,395	)
Forward foreign currency exchange contracts			—		—			—			32,459,881			—			—			32,459,881
Options purchased^(a)			—		—			11,746,180			(21,455,163	)		28,271,936			—			18,562,953
Options written			—		5,094,030			6,215,849			19,391,959			(41,964,489	)		—			(11,262,651	)
Swaps			—		7,666,027			(786,362	)		—			8,949,209			(26,762,884	)		(10,934,010	)

		$	—	$	12,760,057		$	29,638,796		$	30,396,677		$	(109,685,868	)	$	(26,762,884	)	$	(63,653,222	)


Net Change in Unrealized Appreciation (Depreciation) on Futures contracts		$	—	$	—		$	(3,077,395	)	$	—		$	(30,567,534	)	$	—		$	(33,644,929	)
Forward foreign currency exchange contracts			—		—			—			(10,024,707	)		—			—			(10,024,707	)
Options purchased^(b)			—		(183,088	)		(5,232,782	)		(4,435,057	)		15,125,640			—			5,274,713
Options written			—		40,218			2,023,812			(355,479	)		(2,603,339	)		—			(894,788	)
Swaps			—		(6,745,542	)		(508,364	)		—			(27,097,331	)		(26,632,356	)		(60,983,593	)

		$	—	$	(6,888,412	)	$	(6,794,729	)	$	(14,815,243	)	$	(45,142,564	)	$	(26,632,356	)	$	(100,273,304	)

^(a)

Options purchased are included in net realized gain (loss) from investments — unaffiliated.

^(b)

Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated.

Average Quarterly Balances of Outstanding Derivative Financial Instruments



Futures contracts
Average notional value of contracts — long	$	8,925,250,715
Average notional value of contracts — short	$	2,321,229,426
Forward foreign currency exchange contracts
Average amounts purchased — in USD	$	1,006,685,299
Average amounts sold — in USD	$	601,303,792
Options
Average value of option contracts purchased	$	16,555,651
Average value of option contracts written	$	5,621,273
Average notional value of swaption contracts purchased	$	2,084,455,000
Average notional value of swaption contracts written	$	3,019,252,000
Credit default swaps
Average notional value — buy protection	$	589,562,862
Average notional value — sell protection	$	56,834,995
Total return swaps
Average notional amount	$	35,475,517
Interest rate swaps
Average notional value — pays fixed rate	$	9,755,843,829
Average notional value — received fixed rate	$	1,392,218,467
Inflation swaps
Average notional amount — pays	$	829,741,291
Average notional amount — receives	$	53,461,762

For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the 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		119

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

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
Futures contracts	$	16,203,787		$	12,847,670
Forward foreign currency exchange contracts		10,901,337			10,145,898
Options		26,006,957	^(a)		25,432,459
Swaps — centrally cleared		7,262,788			—
Swaps — OTC^(b)		16,266,023			11,101,748

Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	76,640,892		$	59,527,775

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(35,455,756	)		(14,971,310	)

Total derivative assets and liabilities subject to an MNA	$	41,185,136		$	44,556,465

^(a)

Includes options purchased at value which is included in Investments at value — unaffiliated in the Statement of Assets and Liabilities and reported in the Schedule of Investments.

^(b)

Includes unrealized appreciation (depreciation) on OTC swaps in the Statement of Assets and Liabilities.

The following tables present the Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Master Portfolio:


Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)			Non- Cash Collateral Received^(b)			Cash Collateral Received^(b)			Net Amount of Derivative Assets^(c)(d)

Bank of America N.A.	$	10,422,497	$	(7,527,517	)	$	(2,894,980	)	$	—		$	—
Bank of New York Mellon		375,255		(222,590	)		—			—			152,665
Barclays Bank PLC		5,820,659		(4,877,235	)		(943,424	)		—			—
BNP Paribas S.A.		737,047		(737,047	)		—			—			—
Citibank N.A.		4,434,717		(2,276,406	)		—			(356,915	)		1,801,396
Citigroup Global Markets, Inc.		211,138		—			—			(211,138	)		—
Credit Suisse International		97,596		(97,596	)		—			—			—
Deutsche Bank AG		2,248,673		(2,248,673	)		—			—			—
Goldman Sachs International		6,442,802		(6,442,802	)		—			—			—
HSBC Bank PLC		1,263,743		(901,703	)		—			—			362,040
J.P. Morgan Securities LLC		291,046		(180,950	)		—			—			110,096
JPMorgan Chase Bank N.A		2,940,942		(2,940,942	)		—			—			—
Morgan Stanley & Co. International PLC		4,621,660		(4,621,660	)		—			—			—
Royal Bank of Canada		136,105		(82,718	)		—			—			53,387
State Street Bank and Trust Co.		114,308		(24,178	)		—			—			90,130
UBS AG		1,026,948		(541,044	)		—			(485,904	)		—

	$	41,185,136	$	(33,723,061	)	$	(3,838,404	)	$	(1,053,957	)	$	2,569,714



Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)			Non- Cash Collateral Pledged^(e)			Cash Collateral Pledged^(e)			Net Amount of Derivative Liabilities^(d)(f)
Bank of America N.A.	$	7,527,517	$	(7,527,517	)	$	—		$	—		$	—
Bank of New York Mellon		222,590		(222,590	)		—			—			—
Barclays Bank PLC		4,877,235		(4,877,235	)		—			—			—
BNP Paribas S.A.		4,140,346		(737,047	)		(973,726	)		—			2,429,573
Citibank N.A.		2,276,406		(2,276,406	)		—			—			—
Credit Suisse International		274,285		(97,596	)		—			(176,689	)		—
Deutsche Bank AG		3,190,863		(2,248,673	)		—			(770,000	)		172,190
Goldman Sachs International		6,775,062		(6,442,802	)		(332,260	)		—			—
HSBC Bank PLC		901,703		(901,703	)		—			—			—
J.P. Morgan Securities LLC		180,950		(180,950	)		—			—			—
JPMorgan Chase Bank N.A		8,606,236		(2,940,942	)		—			(5,350,000	)		315,294
Morgan Stanley & Co. International PLC		4,925,407		(4,621,660	)		—			—			303,747
Royal Bank of Canada		82,718		(82,718	)		—			—			—
State Street Bank and Trust Co.		24,178		(24,178	)		—			—			—


120		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio



Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)			Non- Cash Collateral Pledged^(e)			Cash Collateral Pledged^(e)			Net Amount of Derivative Liabilities^(d)(f)

UBS AG	$	541,044	$	(541,044	)	$	—		$	—		$	—
Westpac Banking Corp.		9,925		—			—			—			9,925


	$	44,556,465	$	(33,723,061	)	$	(1,305,986	)	$	(6,296,689	)	$	3,230,729

^(a)

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

^(b)

Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

^(c)

Net amount represents the net amount receivable from the counterparty in the event of default.

^(d)

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

^(e)

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

^(f)

Net amount represents the net amount payable due to the counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statement of Assets and Liabilities.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For 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 investments categorized in the fair value hierarchy. The breakdown of the Master Portfolio’s investments into major categories is disclosed in the Schedule of Investments above.




	Level 1		Level 2		Level 3		Total


Assets
Investments
Long-Term Investments
Asset-Backed Securities	$	—	$	2,617,435,634	$	79,472,185	$	2,696,907,819
Common Stocks
Aerospace & Defense		2,866,291		2,335,416		—		5,201,707
Chemicals		10,219,519		—		—		10,219,519
Diversified Financial Services		16,714,256		—		1,046,542		17,760,798
Diversified Telecommunication Services		5,757,380		—		—		5,757,380
Energy Equipment & Services		—		—		—		0
Entertainment		5,232,906		3,207,902		—		8,440,808
Equity Real Estate Investment Trusts (REITs)		19,774,942		3,115,340		—		22,890,282
Health Care Providers & Services		4,708,963		6,079,317		—		10,788,280
Hotels, Restaurants & Leisure		2,253,342		—		—		2,253,342
Household Durables		4,560,817		—		—		4,560,817
Independent Power and Renewable Electricity Producers		—		2,736,469		—		2,736,469
Interactive Media & Services		2,822,298		—		—		2,822,298
Internet & Direct Marketing Retail		7,977,098		—		—		7,977,098
Machinery		1,677,768		18,514,551		—		20,192,319
Media		880,539		—		—		880,539
Metals & Mining		62,947		—		—		62,947
Oil, Gas & Consumable Fuels		33,619,181		—		—		33,619,181
Professional Services		—		2,377,440		—		2,377,440
Real Estate Management & Development		8,352,693		2,965,471		—		11,318,164
Software		3,780,210		1,758,595		—		5,538,805
Technology Hardware, Storage & Peripherals		2,365,078		—		—		2,365,078
Corporate Bonds		—		6,834,308,839		51,330,081		6,885,638,920
Floating Rate Loan Interests		—		546,175,274		252,243,306		798,418,580
Foreign Agency Obligations		—		178,244,448		—		178,244,448
Foreign Government Obligations		—		405,268,859		—		405,268,859
Investment Companies		33,482,608		—		—		33,482,608
Municipal Bonds		—		132,046,938		—		132,046,938
Non-Agency Mortgage-Backed Securities		—		1,401,259,139		120,408,209		1,521,667,348
Preferred Securities		—		114,373,424		14,991,665		129,365,089
Rights		—		—		42,912		42,912
U.S. Government Sponsored Agency Securities		—		11,447,826,321		4,909,427		11,452,735,748
U.S. Treasury Obligations		—		1,996,408,946		—		1,996,408,946
Warrants
Auto Components		57,988		—		—		57,988


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		121

Schedule of Investments (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio




	Level 1			Level 2			Level 3			Total

Warrants (continued)
Automobiles	$	798,596		$	296,455		$	—		$	1,095,051
Capital Markets		156,357			—			—			156,357
Diversified Financial Services		195,459			65,698			102,912			364,069
Electrical Equipment		115,805			—			—			115,805
Equity Real Estate Investment Trusts (REITs)		—			—			50,622			50,622
Independent Power and Renewable Electricity Producers		92,928			—			—			92,928
Interactive Media & Services		477,947			—			—			477,947
Machinery		283,523			—			—			283,523
Oil, Gas & Consumable Fuels		181,340			—			—			181,340
Real Estate Management & Development		152,425			—			—			152,425
Software		109,785			—			—			109,785
Short-Term Securities
Money Market Funds		2,840,558,970			—			—			2,840,558,970
Options Purchased
Credit Contracts		—			67,866			—			67,866
Equity Contracts		9,228,915			1,630,730			—			10,859,645
Foreign Currency Exchange Contracts		—			4,479,674			—			4,479,674
Interest Rate Contracts		2,760,266			7,839,506			—			10,599,772
Unfunded Floating Rate Loan Interests ^(a)		—			—			5,766			5,766
Liabilities
TBA Sale Commitments		—			(4,212,255,081	)		—			(4,212,255,081	)
Unfunded Floating Rate Loan Interests ^(a)		—			(93,566	)		(45,721	)		(139,287	)


	$	3,022,279,140		$	21,518,469,605		$	524,557,906			25,065,306,651

Investments valued at NAV^(b)											10,463,404


										$	25,075,770,055

Derivative Financial Instruments^(c)
Assets
Credit Contracts	$	—		$	1,363,511		$	—		$	1,363,511
Equity Contracts		140,368			284,276			—			424,644
Foreign Currency Exchange Contracts		—			10,901,337			—			10,901,337
Interest Rate Contracts		49,061,751			9,095,566			—			58,157,317
Other Contracts		—			4,299,224			—			4,299,224
Liabilities
Credit Contracts		—			(8,902,027	)		—			(8,902,027	)
Equity Contracts		(3,789,078	)		(1,328,480	)		—			(5,117,558	)
Foreign Currency Exchange Contracts		—			(11,563,284	)		—			(11,563,284	)
Interest Rate Contracts		(99,079,371	)		(55,501,693	)		—			(154,581,064	)
Other Contracts		—			(51,826,547	)		—			(51,826,547	)


	$	(53,666,330	)	$	(103,178,117	)	$	—		$	(156,844,447	)

^(a)

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

^(b)

Certain investments of the Master Portfolio were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

^(c)

Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.


122		2 0 2 2 B L A C K R O C K S E M I - 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 (unaudited) (continued)

March 31, 2022

Master Total Return Portfolio

A reconciliation of Level 3 investments is presented when the Master Portfolio had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following tables are a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:




	Asset-Backed Securities			Common Stocks			Corporate Bonds			Floating Rate Loan Interests			Non-Agency Mortgage-Backed Securities			Preferred Securities


Assets
Opening Balance, as of September 30, 2021	$	92,177,417		$	962,397		$	42,593,155		$	202,765,544		$	83,897,836		$	—
Transfers into Level 3		—			—			—			40,952,143			11,654,649			14,972,760
Transfers out of Level 3		(30,641,727	)		—			—			(24,703,714	)		(14,624,742	)		—
Other^(a)		—			(112,736	)		112,736			—			—			—
Accrued discounts/premiums		114,790			—			57,947			142,041			112,334			—
Net realized gain (loss)		4,775			(2,515,338	)		261,342			2,194,361			(16,654	)		—
Net change in unrealized appreciation (depreciation)^(b)(c)		(2,359,340	)		2,793,126			(2,280,088	)		(3,888,767	)		(2,354,151	)		18,905
Purchases		29,009,552			220			15,394,244			101,276,591			42,148,842			—
Sales		(8,833,282	)		(81,127	)		(4,809,255	)		(66,494,893	)		(409,905	)		—


Closing Balance, as of March 31, 2022	$	79,472,185		$	1,046,542		$	51,330,081		$	252,243,306		$	120,408,209		$	14,991,665


Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2022^(c)	$	(2,370,702	)	$	196,662		$	(358,138	)	$	(1,949,201	)	$	(2,354,151	)	$	18,905




	Rights			U.S. Government Sponsored Agency Securities				Warrants			Unfunded Floating Rate Loan Interests			Unfunded SPAC PIPE Commitments				Total


Assets
Opening Balance, as of September 30, 2021	$	102,989			$	—		$	344,768			$	1,951		$	3,032,416		$	425,878,473
Transfers into Level 3		—				(2,335,086	)		—				—			—			69,914,638
Transfers out of Level 3		—				—			(81,765	)			—			—			(70,051,948	)
Other^(a)		—				—			—				—			—			—
Accrued discounts/premiums		—				(126,678	)		—				—			—			300,434
Net realized gain (loss)		—				—			—				—			—			(71,514	)
Net change in unrealized appreciation (depreciation)^(b)(c)		(60,077	)			296,168			(219,337	)			3,815			(3,032,416	)		(11,082,162	)
Purchases		—				2,404,851			109,868				—			—			190,344,168
Sales		—				—			—				—			—			(80,628,462	)


Closing Balance, as of March 31, 2022	$	42,912			$	4,909,427		$	153,534			$	5,766		$	—		$	524,603,627


Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2022^(c)	$	(60,077	)		$	296,168		$	(219,337	)		$	5,766		$	—		$	(6,794,105	)




	Unfunded Floating Rate Loan Interests


Liabilities
Opening Balance, as of September 30, 2021		$	(8,042	)
Transfers into Level 3			—
Transfers out of Level 3			—
Other^(a)			—
Accrued discounts/premiums			—
Net realized gain (loss)			—
Net change in unrealized appreciation (depreciation)^(b)(c)			(37,679	)
Purchases			—
Sales			—

Closing Balance, as of March 31, 2022		$	(45,721	)

Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2022^(c)		$	(37,679	)

^(a)

Certain Level 3 investments were re-classified between Common Stocks and Corporate Bonds.

^(b)

Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations.

^(c)

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2022, is generally due to investments no longer held or categorized as Level 3 at period end.

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		123

Statement of Assets and Liabilities (unaudited)

March 31, 2022


	Master Total Return Portfolio

ASSETS
Investments at value — unaffiliated^(a)(b)	$	26,403,687,357
Investments at value — affiliated^(c)		2,884,471,300
Cash		6,069,473
Cash pledged:
Collateral — OTC derivatives		6,610,000
Collateral — TBA commitments		21,356,000
Futures contracts		99,718,010
Centrally cleared swaps		57,536,626
Foreign currency, at value^(d)		133,032,429
Receivables:
Investments sold		137,163,750
Options written		5,001,144
Securities lending income — affiliated		7,581
Swaps		375,461
TBA sale commitments		4,246,170,143
Contributions from investors		3,465,719
Dividends — affiliated		237,849
Dividends — unaffiliated		2,160
Interest — unaffiliated		98,974,921
Principal paydowns		369,237
Variation margin on futures contracts		16,203,787
Variation margin on centrally cleared swaps		7,262,788
Swap premiums paid		13,141,611
Unrealized appreciation on:
Forward foreign currency exchange contracts		10,901,337
OTC swaps		3,124,412
Unfunded floating rate loan interests		5,766
Prepaid expenses		188,421


Total assets		34,155,077,282


LIABILITIES
Cash received as collateral for OTC derivatives		2,427,435
Collateral on securities loaned		10,467,518
Options written at value^(f)		25,432,459
TBA sale commitments at value^(g)		4,212,255,081
Payables:
Investments purchased		8,714,513,973
Swaps		536,735
Investment advisory fees		864,643
Directors’ fees		101,520
Options written		3,347,648
Other accrued expenses		1,275,715
Variation margin on futures contracts		12,847,670
Withdrawals to investors		27,688,529
Swap premiums received		1,767,036
Unrealized depreciation on:
Forward foreign currency exchange contracts		10,145,898
OTC swaps		9,334,712
Unfunded floating rate loan interests		139,287


Total liabilities		13,033,145,859


NET ASSETS	$	21,121,931,423


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Statement of Assets and Liabilities (unaudited) (continued)

March 31, 2022


	Master Total Return Portfolio

NET ASSETS CONSIST OF
Investors’ capital	$	22,304,418,274
Net unrealized appreciation (depreciation)		(1,182,486,851	)


NET ASSETS	$	21,121,931,423


^(a)Investments, at cost — unaffiliated	$	27,488,749,723
^(b)Securities loaned, at value	$	10,166,248
^(c)Investments, at cost — affiliated	$	2,884,388,085
^(d)Foreign currency, at cost	$	132,657,502
^(f)Premiums received	$	25,045,275
^(g)Proceeds from TBA sale commitments	$	4,246,170,143

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		125

Statement of Operations (unaudited)

Six Months Ended March 31, 2022


	Master Total Return Portfolio

INVESTMENT INCOME
Dividends — unaffiliated	$	656,684
Dividends — affiliated		663,607
Interest — unaffiliated		233,858,718
Securities lending income — affiliated — net		190,161
Foreign taxes withheld		(236,665	)


Total investment income		235,132,505


EXPENSES
Investment advisory		5,769,642
Custodian		935,484
Accounting services		254,301
Directors		115,380
Professional		74,500
Miscellaneous		280,230


Total expenses		7,429,537
Less:
Fees waived and/or reimbursed by the Manager		(528,542	)


Total expenses after fees waived and/or reimbursed		6,900,995


Net investment income		228,231,510


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated		(252,854,978	)
Investments — affiliated		836,199
Options written		(11,262,651	)
Futures contracts		(92,479,395	)
Forward foreign currency exchange contracts		32,459,881
Foreign currency transactions		(4,282,680	)
Swaps		(10,934,010	)


		(338,517,634	)

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		(1,213,683,051	)
Investments — affiliated		(4,187	)
Options written		(894,788	)
Futures contracts		(33,644,929	)
Forward foreign currency exchange contracts		(10,024,707	)
Foreign currency translations		2,445,405
Short sales — unaffiliated		(29,918	)
Swaps		(60,983,593	)
Unfunded floating rate loan interests		(171,590	)
Unfunded SPAC PIPE commitments		(3,032,416	)


		(1,320,023,774	)


Net realized and unrealized loss		(1,658,541,408	)


NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(1,430,309,898	)

See notes to financial statements.


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Statements of Changes in Net Assets


	Master Total Return Portfolio

	Six Months Ended 03/31/22 (unaudited)			Year Ended 09/30/21

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	228,231,510		$	472,484,760
Net realized gain (loss)		(338,517,634	)		150,993,880
Net change in unrealized appreciation (depreciation)		(1,320,023,774	)		(293,039,608	)


Net increase (decrease) in net assets resulting from operations		(1,430,309,898	)		330,439,032


CAPITAL TRANSACTIONS
Proceeds from contributions		4,967,776,641			8,259,997,077
Value of withdrawals		(4,041,216,838	)		(6,969,204,216	)


Net increase in net assets derived from capital transactions		926,559,803			1,290,792,861


NET ASSETS
Total increase (decrease) in net assets		(503,750,095	)		1,621,231,893
Beginning of period		21,625,681,518			20,004,449,625


End of period	$	21,121,931,423		$	21,625,681,518

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		127

Financial Highlights

(For a share outstanding throughout each period)


			Master Total Return Portfolio
		Six Months Ended 03/31/22 (unaudited)
						Year Ended September 30,
						2021			2020			2019^(a)			2018^(a)			2017^(a)

Total Return
Total return				(6.43	)%^(b)		1.63	%		7.90	%		10.60	%		(1.19	)%^(c)		1.90	%


Ratios to Average Net Assets^(d)
Total expenses				0.07	%^(e)		0.07	%		0.07	%		0.07	%		0.34	%		0.32	%


Total expenses after fees waived and/or reimbursed				0.06	%^(e)		0.07	%		0.06	%		0.07	%		0.34	%		0.32	%


Total expenses after fees waived and/or reimbursed and excluding interest expense				0.06	%^(e)		0.07	%		0.06	%		0.07	%		0.07	%		0.08	%


Net investment income				2.07	%^(e)		2.25	%		2.70	%		3.70	%		3.67	%		3.30	%


Supplemental Data
Net assets, end of period (000)			$	21,121,931		$	21,625,682		$	20,004,450		$	15,712,831		$	13,063,847		$	11,601,109


Portfolio turnover rate^(f)				171	%		459	%		556	%		574	%		734	%		806	%

^(a) Consolidated Financial Highlights. ^(b) Aggregate total return. ^(c) Includes a payment received from an affiliate, which had no impact on the Master Portfolio’s total return. ^(d) Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. ^(e) Annualized. ^(f) Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

		Six Months Ended 03/31/22 (unaudited)
						Year Ended September 30,
						2021			2020			2019			2018			2017

	Portfolio turnover rate (excluding MDRs)			26	%		161	%		274	%		241	%		350	%		540	%

See notes to financial statements.


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Notes to Financial Statements (unaudited)

1.	*ORGANIZATION*

Master Bond LLC is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Master Bond LLC is organized as a Delaware limited liability company. Master Total Return Portfolio (the “Master Portfolio”) is a series of Master Bond LLC. The Master Portfolio is classified as diversified. The Master Bond LLC’s Limited Liability Company Agreement permits the Board of Directors of Master Bond LLC (the “Board”) to issue non-transferable interests, subject to certain limitations.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of open-end non-index fixed-income funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

2.	*SIGNIFICANT ACCOUNTING POLICIES*

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

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, and payment-in-kind interest are recognized daily on an accrual basis. For convertible securities, premiums attributable to the debt instrument are amortized, but premiums attributable to the conversion feature are not amortized.

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 March 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.

Segregation and Collateralization: In cases where the Master Portfolio enters into certain investments (e.g., to-be-announced (“TBA”) sale commitments, futures contracts, forward foreign currency exchange contracts, options written, swaps and structured options) that would be treated as “senior securities” for 1940 Act purposes, the Master Portfolio may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investments or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Master Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Master Portfolio’s Board, the directors who are not “interested persons” of the Master Bond LLC, as defined in the 1940 Act (“Independent Directors”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.


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		129

Notes to Financial Statements (unaudited) (continued)

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Master Portfolio, as applicable. Deferred compensation liabilities, if any, are included in the Directors’ and Officer’s fees payable in the Statement of Assets and Liabilities and will remain as a liability of the Master Portfolio until such amounts are distributed in accordance with the Plan.

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

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

The Master Portfolio has an arrangement with its custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Master Portfolio may incur charges on overdrafts, subject to certain conditions.

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 the Master Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. 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 a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

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

•

Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. 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.

•

Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).

•

The Master Portfolio values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets.

•

Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.

•

Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies.

•

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price, is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

•

Swap agreements are valued utilizing quotes received daily by 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 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.


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Notes to Financial Statements (unaudited) (continued)

value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Master Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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 Global Valuation Committee and third-party pricing services utilize one or a combination of, but not limited to, the following inputs.



*Standard Inputs Generally Considered By Third-Party Pricing Services*

Market approach	(i)	recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;
	(ii)	recapitalizations and other transactions across the capital structure; and
	(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;
	(ii)	quoted prices for similar investments or assets in active markets; and
	(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;
	(ii)	changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;
	(iii)	relevant news and other public sources; and
	(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:

•

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

•

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 Global 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.

As of March 31, 2022, certain investments of the Master Portfolio were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

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


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		131

Notes to Financial Statements (unaudited) (continued)

the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, the Master Portfolio may subsequently have to reinvest the proceeds at lower interest rates. If the Master Portfolio has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (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.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. ACDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond is included as interest income in the Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, the Master Portfolio’s initial investment in the IOs may not fully recoup.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.

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

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

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


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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.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Master Portfolio may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, the Master Portfolio earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statement of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statement of Assets and Liabilities and Statement of Operations. As of period end, the Master Portfolio had the following unfunded floating rate loan interests:


Borrower	Par		Commitment Amount		Value		Unrealized Appreciation (Depreciation)

BRE Park Avenue Tower Owner LLC, Mezzanine A Loan		$ 528,064		$ 528,064		$ 528,064		$ —
BSREP II Houston Office 1HC Owner LLC, Mezzanine Loan		1,852,712		1,852,712		1,852,712		—
CP Iris Holdco I, Inc., Delayed Draw Term Loan (First Lien)		167,990		167,990		163,686		(4,304	)
HP LQ Investment LP, Term Loan		2,210,256		2,204,490		2,210,256		5,766
Mensa II Austin Hotel LP, Promissory Note A-3		3,689,536		3,663,003		3,647,114		(15,889	)
MUPR 3 Assets LLC, Facility		5,228,094		5,228,093		5,228,093		—
Opendoor Mezz, Term Loan		12,424,796		12,424,796		12,424,796		—
Paradise Plaza Associates LLC, Term Loan		2,007,225		2,003,040		1,981,520		(21,520	)
Project Pearl Pasco Holdings LLC, Advance		23,302,637		23,310,340		23,221,078		(89,262	)
The Vinoy St. Petersburg, Note A		1,503,863		1,499,074		1,490,762		(8,312	)

Forward Commitments, When-Issued and Delayed Delivery Securities: The Master Portfolio may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Master Portfolio may purchase securities under such conditions with the intention of actually acquiring them but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Master Portfolio may be required to pay more at settlement than the security is worth. In addition, the Master Portfolio is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Master Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Master Portfolio’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

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, the Master Portfolio may take possession of or deliver the underlying


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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 the Master Portfolio mitigate its counterparty risk, TBA commitments may be entered into by the Master Portfolio under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by the Master Portfolio and the counterparty. Cash collateral that has been pledged to cover the obligations of the Master Portfolio and cash collateral received from the counterparty, if any, is reported separately 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 the Master Portfolio, if any, is noted in the Schedule of Investments. Typically, the Master Portfolio 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 the Master Portfolio are not fully collateralized, contractually or otherwise, the Master Portfolio 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 Investment Management, LLC (“BIM”), 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:


	Securities				Cash					Non-Cash				Net
Counterparty		Loaned at Value				Collateral Received^(a)					Collateral Received				Amount^(b)

BNP Paribas SA			$	5,805,120			$	(5,805,120	)			$	—			$	—
Goldman Sachs & Co. LLC				330,990				(328,502	)				—				2,488
J.P. Morgan Securities LLC				3,660,783				(3,660,783	)				—				—
Toronto-Dominion Bank				369,355				(369,355	)				—				—


			$	10,166,248			$	(10,163,760	)			$	—			$	2,488

^(a)

Collateral received 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.

^(b)

The market value of the loaned securities is determined as of March 31, 2022. Additional collateral is delivered to the Master Portfolio on the next business day in accordance with the MSLA. The net amount would be subject to the borrower default indemnity in the event of default by the counterparty.


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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 OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Master Portfolio are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statement of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statement of Assets and Liabilities. The Master Portfolio’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Master Portfolio.

Options: The Master Portfolio may purchase and write call and put options to increase or decrease its exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value – unaffiliated and options written at value, respectively, in the Statement of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statement of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statement of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Master Portfolio writes a call option, such option is typically “covered,” meaning that it holds the underlying instrument subject to being called by the option counterparty. When the Master Portfolio writes a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statement of Assets and Liabilities.

•

Swaptions – The Master Portfolio may purchase and write swaptions primarily to preserve a return or spread on a particular investment or portion of the Master Portfolio’s holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

•

Interest rate caps and floors – Interest rate caps and floors are entered into to gain or reduce exposure to interest rates (interest rate risk and/or other risk). Caps are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes exceed a specified rate, or “cap.” Floors are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes fall below a specified


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rate, or “floor.” The maximum potential amount of future payments that the Master Portfolio would be required to make under an interest rate cap would be the notional amount times the percentage increase in interest rates determined by the difference between the interest rate index current value and the value at the time the cap was entered into.

•

Foreign currency options – The Master Portfolio may purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option.

•

Barrier options – The Master Portfolio may purchase and write a variety of options with non-standard payout structures or other features (“barrier options”) that are generally traded OTC.

The Master Portfolio may invest in various types of barrier options, including down-and-out options, down-and-in options, double no-touch options, one-touch options, instant one-touch options, up-and-out options and up-and-in options. Down-and-out options expire worthless to the purchaser if the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Down-and-in options expire worthless to the purchaser unless the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Double no-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument does not reach or surpass predetermined barrier price levels prior to the option’s expiration date. One-touch options and instant one-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument reaches or surpasses predetermined barrier price levels prior to the expiration date. Up-and-out options expire worthless to the purchaser if the price of the underlying instrument increases beyond a predetermined barrier price level prior to the expiration date. Up-and-in options can only be exercised when the price of the underlying instrument increases beyond a predetermined barrier price level.

•

Structured options – The Master Portfolio may invest in structured options to increase or decrease its exposure to an underlying index or group of securities (equity risk).

These options may consist of single or multiple OTC options which are priced as a single instrument. They may only be exercised at the expiration date but may be transferred/sold prior to the expiration date. The value of a structured option may either increase or decrease with the underlying index or group of securities, depending on the combination of options used. Structured options are issued in units whereby each unit represents a structure based on the specific index with an initial reference strike price. One type of structure involves the combination of selling a put while buying a call on a specific index. This option would rise in value as the underlying index increases and fall in value as the underlying index decreases. Alternatively, another structure involves the sale of a call and the purchase of a put. This option structure would rise in value as the underlying index decreases and fall in value as the underlying index increases. Upon the exercise of the structured option, the Master Portfolio will receive a payment from, or be required to remit a payment to, the counterparty depending on the value of the underlying index at exercise.

In purchasing and writing options, the Master Portfolio bears the risk of an unfavorable change in the value of the underlying instrument or the risk that it may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Master Portfolio purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: 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.

•

Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Master Portfolio may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Master Portfolio will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event


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Notes to Financial Statements (unaudited) (continued)

occurs, the Master Portfolio will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

•

Total return swaps — 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.

Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Master Portfolio has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.

Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Master Portfolio and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Statement of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Master Portfolio and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.

•

Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

•

Currency swaps — Currency swaps are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

Currency swaps are interest rate swaps in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Currency swaps may also involve an exchange of notional amounts at the start, during and/or at expiration of the contract, either at the current spot rate or another specified rate.

•

Forward swaps — The Master Portfolio may enter into forward interest rate swaps and forward total return swaps. In a forward swap, the Master Portfolio and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination.

•

Inflation swaps — Inflation swaps are entered into to gain or reduce exposure to inflation (inflation risk). In an inflation swap, one party makes fixed interest payments on a notional principal amount in exchange for another party’s variable payments based on an inflation index, such as the Consumer Price Index.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help mitigate its counterparty risk, the Master Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the Master Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Master Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. When the Master Portfolio enters into an ISDA Master Agreement and an MRA and/or MSLA with the same counterparty, the agreements may contain a set-off provision allowing the Master Portfolio to offset a net amount payable with amounts due to the Master Portfolio upon default of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. For example, notwithstanding what contractual rights may be included in an ISDA Master Agreement, such laws may prohibit the Master Portfolio from setting off amounts owed to a defaulting counterparty under an ISDA Master Agreement against amounts owed to the Master Portfolio by affiliates of the defaulting counterparty. The insolvency regimes of many jurisdictions do, however, generally permit set-off of simultaneous payables and receivables under certain types of financial contracts between the same legal entity upon a default of the entity, regardless of the existence of a contractual set-off right in those contracts.

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.


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Notes to Financial Statements (unaudited) (continued)

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: The Master Bond LLC, 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 and administrative 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 Advisory Fees

First $250 million		0.16	%
$250 million — $500 million		0.12
$500 million — $750 million		0.08
Greater than $750 million		0.05

With respect to the Master Portfolio, the Manager entered into separate sub-advisory agreements with each of BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BRS”), each an affiliate of the Manager. The Manager pays BIL and BRS for services they provide, for that portion of the Master Portfolio for which BIL and BRS, as applicable, act 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: 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 directors who are not “interested persons” of the Master Bond LLC, as defined in the 1940 Act (“Independent Directors”), or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended March 31, 2022, the amount waived was $525,165.

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 Directors, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended March 31, 2022, the Manager waived $3,377 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 BIM, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Master Portfolio is responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company, SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”), managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the Money Market Series to an annual rate of 0.04%. The investment adviser to the Money Market Series will not charge any advisory fees with respect to shares purchased by the Master Portfolio. The Money Market Series may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act.

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 expenses. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BIM 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 expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.


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Notes to Financial Statements (unaudited) (continued)

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Fixed-Income 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 expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.

Prior to January 1, 2022, the Master Portfolio retained 82% of securities lending income (which excluded collateral investment expenses) and the amount retained could never be less than 70% of the total of securities lending income plus the collateral investment expenses. In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Fixed-Income Complex in a calendar year exceeded a specified threshold, the Master Portfolio would retain for the remainder of that calendar year 85% of securities lending income (which excluded collateral investment expenses), and the amount retained could never be less than 70% of the total of securities lending income plus the collateral investment expenses.

The share of securities lending income earned by the Master Portfolio is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended March 31, 2022, the Master Portfolio paid BIM $35,573 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.

During the six months ended March 31, 2022, the Master Portfolio did not participate in the Interfund Lending Program.

Directors and Officers: Certain directors and/or officers of the Master Bond LLC 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 directors. For the six months ended March 31, 2022, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:



Purchases	Sales	Net Realized Loss

$815,286	$ 9,691,304	$ (1,014,923)

7.	*PURCHASES AND SALES*

For the six months ended March 31, 2022, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term investments transactions, were as follows:




	Purchases		Sales


Non-U.S. Government Securities	$	37,683,544,909	$	38,865,724,406
U.S. Government Securities		2,427,439,645		2,482,565,865

For the six months ended March 31, 2022, purchases and sales related to mortgage dollar rolls were as follows:




	Purchases		Sales


Mortgage Dollar Rolls	$	34,027,872,998	$	34,083,464,334

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 fiscal 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 March 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.


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Notes to Financial Statements (unaudited) (continued)




	Amounts


Tax cost	$	30,384,599,774

Gross unrealized appreciation	$	216,471,756
Gross unrealized depreciation		(1,410,796,983	)

Net unrealized appreciation (depreciation)	$	(1,194,325,227	)

9.	*BANK BORROWINGS*

The Master Bond LLC, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 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) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2022 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 six months ended March 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.

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’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.

An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. Although vaccines have been developed and approved for use by various governments, the duration of this pandemic and its effects cannot be determined with certainty.

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


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Notes to Financial Statements (unaudited) (continued)

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.

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

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

Concentration Risk: A diversified portfolio, where this is appropriate and consistent with the Master Portfolio’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of the Master Portfolio. 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 increase as interest rates fall and decrease as interest rates rise. The Master Portfolio may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

The Master Portfolio invests a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When the 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 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

Effective April 14, 2022, the 364-day credit agreement to which Master Bond LLC, on behalf of the Master Portfolio, and the Participating Funds are party was amended to (i) increase the aggregate commitment amount to $2.50 billion, (ii) update the interest terms 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 and (iii) extend the termination date to April 2023.


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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 Balanced Capital Fund, Inc. (the “Fund”) has adopted and implemented a liquidity risk management program (the “Program”) for the Fund, which is reasonably designed to assess and manage the Fund’s liquidity risk.

The Board of Directors (the “Board”) of the Fund met on November 9-10, 2021 (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, 2020 through September 30, 2021 (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:

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. Derivative exposure was also considered in such calculation.

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 (“RATS”). 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.

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). 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 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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Additional Information

Proxy Results

At a Joint Special Meeting of Shareholders of Master Total Return Portfolio, held on October 26, 2021, and adjourned to November 19, 2021, Fund shareholders were asked to vote on the following proposals:

Proposal 1. To approve the amendment or elimination, as applicable, of certain of the fundamental investment restrictions of the Fund.

Proposal 1a. To Approve the Amendment of the Fundamental Investment Restriction Regarding Concentration.

With respect to this Proposal, the shares of the Fund were voted as follows:



For	Against	Abstain

18,417,024,559	538,527,587	2,776,133,529

Proposal 1c. To Approve the Amendment of the Fundamental Investment Restriction Regarding Borrowing.

With respect to this Proposal, the shares of the Fund were voted as follows:



For	Against	Abstain

18,391,167,716	564,772,205	2,775,745,754

Proposal 1d. To Approve the Amendment of the Fundamental Investment Restriction Regarding the Issuance of Senior Securities.

With respect to this Proposal, the shares of the Fund were voted as follows:



For	Against	Abstain

18,464,522,082	527,912,791	2,739,250,802

Proposal 1e. To Approve the Amendment of the Fundamental Investment Restriction Regarding Investing in Real Estate.

With respect to this Proposal, the shares of the Fund were voted as follows:



For	Against	Abstain

18,469,796,445	534,159,766	2,727,729,463

Proposal 1f. To Approve the Amendment of the Fundamental Investment Restriction Regarding Underwriting.

With respect to this Proposal, the shares of the Fund were voted as follows:



For	Against	Abstain

18,460,906,759	522,458,952	2,748,319,964

Proposal 1g. To Approve the Amendment of the Fundamental Investment Restriction Regarding Investing in Commodities.

With respect to this Proposal, the shares of the Fund were voted as follows:



For	Against	Abstain

18,492,735,562	499,889,543	2,739,060,569

Proposal 1h. To Approve the Amendment of the Fundamental Investment Restriction Regarding Lending.

With respect to this Proposal, the shares of the Fund were voted as follows:



For	Against	Abstain

18,422,851,503	557,926,357	2,750,907,815

Proposal 1j. To Approve the Elimination of the Fundamental Investment Restriction Regarding Investing for the Purpose of Exercising Control or Management.

With respect to this Proposal, the shares of the Fund were voted as follows:



For	Against	Abstain

18,375,544,863	592,519,860	2,763,620,952


A D D I T I O N A L I N F O R M A T I O N		143

Additional Information (continued)

Regulation Regarding Derivatives

On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Fund/Master LLC/Master Bond LLC will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

General Information

Householding

The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Fund at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The Fund/Master LLC/Master Bond LLC 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 LLC’s/Master Bond LLC’s Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, the Fund/Master LLC/Master Bond LLC make 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 LLC/Master Bond LLC use to determine how to vote proxies relating to portfolio securities and information about how the Fund/Master LLC/Master Bond LLC voted proxies relating to securities held in the Fund’s/Master LLC’s/Master Bond LLC’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 8:00AM 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.


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Additional Information (continued)

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 Service Providers

Investment Adviser and Administrator

BlackRock Advisors, LLC

Wilmington, DE 19809

Accounting Agent and Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

Sub-Advisors of Master Bond LLC

BlackRock International Limited

Edinburgh, EH3 8BL

United Kingdom

BlackRock (Singapore) Limited

079912 Singapore

Custodian of the Fund/Master Bond LLC

The Bank of New York Mellon

New York, NY 10286

Custodian of the Master LLC

Brown Brothers Harriman & Co.

Boston, MA 02109

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 19103

Distributor

BlackRock Investments, LLC

New York, NY 10022

Legal Counsel of Master Bond LLC

Willkie Farr & Gallagher LLP

New York, NY 10019

Legal Counsel of the Fund/Master LLC

Sidley Austin LLP

New York, NY 10019

Address of the Fund/Master LLC/Master Bond LLC

100 Bellevue Parkway

Wilmington, DE 19809


A D D I T I O N A L I N F O R M A T I O N		145

Glossary of Terms Used in this Report


Currency Abbreviation

AUD		Australian Dollar

BRL		Brazilian Real

CAD		Canadian Dollar

CHF		Swiss Franc

CLP		Chilean Peso

CNH		Chinese Yuan Offshore

CNY		Chinese Yuan

COP		Colombian Peso

CZK		Czech Koruna

EUR		Euro

GBP		British Pound

HKD		Hong Kong Dollar

IDR		Indonesian Rupiah

JPY		Japanese Yen

MXN		Mexican Peso

NOK		Norwegian Krone

RUB		Russian Ruble

SEK		Swedish Krona

SGD		Singapore Dollar

TRY		Turkish Lira

USD		United States Dollar

ZAR		South African Rand


Portfolio Abbreviation

ABS		Asset-Backed Security

BZDIOVER		Overnight Brazil CETIP - Interbank Rate

CDI		CREST Depository Interest

CLICP		Chile Indice de Camara Promedio Interbank Overnight Index

CLN		Credit-Linked-Note

CLO		Collateralized Loan Obligation

DAC		Designated Activity Co.

ESTR		Euro Short-Term Rate

ETF		Exchange-Traded Fund

EURIBOR		Euro Interbank Offered Rate

FKA		Formally Known As

GO		General Obligation Bonds

HFA		Housing Finance Agency

IO		Interest Only

LIBOR		London Interbank Offered Rate

LP		Limited Partnership

MXIBTIIE		Mexico Interbank TIIE 28-Day

OTC		Over-the-Counter

PIK		Payment-in-Kind

RB		Revenue Bonds

REMIC		Real Estate Mortgage Investment Conduit

S&P		Standard & Poor’s

SOFR		Secured Overnight Financing Rate

SONIA		Sterling Overnight Index Average

SPDR		Standard & Poor’s Depository Receipt

TBA		To-be-Announced

UK RPI		United Kingdom Retail Price Index


146		2 0 2 2 B L A C K R O C K S E M I - 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

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.

BC-3/22-SAR

(b) Not Applicable

Item 2 –

Code of Ethics – Not Applicable to this semi-annual report

Item 3 –

Audit Committee Financial Expert – Not Applicable to this semi-annual report

Item 4 –

Principal Accountant Fees and Services – Not Applicable to this semi-annual report

Item 5 –

Audit Committee of Listed Registrants – Not Applicable

Item 6 –

Investments

(a) The registrants’ Schedules of Investments are included as part of the Report to Stockholders filed under Item 1(a) of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies – Not Applicable

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

Item 10 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 –

Controls and Procedures

(a) The registrants’ principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants’ disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrants’ internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants’ internal control over financial reporting.

Item 12 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

Item 13 –

Exhibits attached hereto

(a)(1) Code of Ethics – Not Applicable to this semi-annual report

(a)(2) Section 302 Certifications are attached

(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

(b) Section 906 Certifications are attached

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 Sustainable Balanced Fund, Inc. (formerly BlackRock Balanced Capital Fund, Inc.), Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC


		By:		/s/ John M. Perlowski
				John M. Perlowski
				Chief Executive Officer (principal executive officer) of
				BlackRock Sustainable Balanced Fund, Inc. (formerly BlackRock Balanced Capital Fund, Inc.), Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC

Date: May 20, 2022

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 Sustainable Balanced Fund, Inc. (formerly BlackRock Balanced Capital Fund, Inc.), Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC

Date: May 20, 2022


		By:		/s/ Trent Walker
				Trent Walker
				Chief Financial Officer (principal financial officer) of
				BlackRock Sustainable Balanced Fund, Inc. (formerly BlackRock Balanced Capital Fund, Inc.), Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC

Date: May 20, 2022