N-CSRS 1 d483637dncsrs.htm BLACKROCK BOND FUND, INC. BlackRock Bond 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: 811-02857 and 811-21434

 

Name of Fund:   BlackRock Bond Fund, Inc.
       BlackRock Total Return Fund
       Master Bond LLC
       Master Total Return Portfolio

 

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Bond Fund, Inc.
and Master Bond LLC, 50 Hudson Yards, New York, NY 10001

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

Date of fiscal year end: 09/30/2023

Date of reporting period: 03/31/2023


Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.


 

LOGO

  MARCH 31, 2023

 

  

2023 Semi-Annual Report

(Unaudited)

 

 

BlackRock Bond Fund, Inc.

 

·  

BlackRock Total Return Fund

 

 

 

 

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

Significant economic headwinds emerged during the 12-month reporting period ended March 31, 2023, as investors navigated changing economic conditions and volatile markets. The U.S. economy shrank in the first half of 2022 before returning to modest growth in the second half of the year, marking a shift to a more challenging post-reopening economic environment. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high before beginning to moderate.

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

The 10-year U.S. Treasury yield rose during the reporting period, driving its price down, as investors reacted to fluctuating inflation data and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and higher interest rates led to rising borrowing costs for corporate issuers.

The U.S. Federal Reserve (the “Fed”), acknowledging that inflation has been more persistent than expected, raised interest rates eight times. Furthermore, the Fed wound down its bond-buying programs and accelerated the reduction of its balance sheet.

Restricted labor supply kept inflation elevated even as other inflation drivers, such as goods prices and energy costs, moderated. While economic growth slowed in the last year, we believe that taming inflation requires a more substantial decline that lowers demand to a level more in line with the economy’s productive capacity. Although the Fed has decelerated the pace of interest rate hikes, we believe that it still seems determined to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, but the dimming economic outlook has not yet been fully reflected in current market prices. We believe investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions. Turmoil in the banking sector late in the period highlighted the potential for the knock-on effects of substantially higher interest rates to disrupt markets with little warning.

While we favor an overweight to equities in the long term, we prefer an underweight stance on equities overall in the near term. Expectations for corporate earnings remain elevated, which seems inconsistent with the possibility of a recession. Nevertheless, we are overweight on emerging market stocks as we believe a weakening U.S. dollar provides a supportive backdrop. We also see long-term opportunities in credit, where we believe that valuations are appealing and higher yields provide attractive income, although we are neutral on credit in the near term, as we’re concerned about tightening credit and financial conditions. However, we believe there are still some strong opportunities for a six- to twelve-month horizon, particularly short-term U.S. Treasuries, global inflation-linked bonds, and emerging market bonds denominated in local currency.

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

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of March 31, 2023
     
       6-Month           12-Month      
   

U.S. large cap equities  
(S&P 500® Index)

  15.62%   (7.73)%
   

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

  9.14      (11.61)    
   

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

  27.27      (1.38)  
   

Emerging market equities
(MSCI Emerging Markets Index)

  14.04      (10.70)    
   

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

  1.93      2.52   
   

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

  4.38      (6.90)  
   

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

  4.89      (4.78)  
   

Tax-exempt municipal bonds (Bloomberg Municipal Bond Index)

  7.00      0.26   
   

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

  7.88      (3.35)  

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

     7  

Disclosure of Expenses

     7  

Derivative Financial Instruments

     8  

Fund Financial Statements:

  

Statement of Assets and Liabilities

     9  

Statement of Operations

     11  

Statements of Changes in Net Assets

     12  

Fund Financial Highlights

     13  

Fund Notes to Financial Statements

     20  

Master Portfolio Information

     25  

Master Portfolio Financial Statements:

  

Schedule of Investments

     26  

Consolidated Statement of Assets and Liabilities

     94  

Consolidated Statement of Operations

     96  

Consolidated Statements of Changes in Net Assets

     97  

Master Portfolio Consolidated Financial Highlights

     98  

Master Portfolio Consolidated Notes to Financial Statements

     99  

Statement Regarding Liquidity Risk Management Program

     112  

Additional Information

     113  

Glossary of Terms Used in this Report

     115  

 

 

 

 

LOGO

 

 

  3


Fund Summary as of March 31, 2023    BlackRock Total Return Fund

 

Investment Objective

BlackRock Total Return Fund’s (the “Fund”) investment objective is to realize a total return that exceeds that of the Bloomberg U.S. Aggregate Bond Index.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended March 31, 2023, all of the Fund’s share classes outperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index. The Fund invests all of its assets in Master Total Return Portfolio (the “Master Portfolio”).

What factors influenced performance?

The Fund’s active positioning with respect to duration (sensitivity to interest rate changes) was the most significant contributor to performance relative to the benchmark as Treasury yields declined over the reporting period. Holdings of U.S. investment grade corporate bonds and structured products also proved additive.

The Fund’s index replication and macro strategies detracted from relative performance over the reporting period.

Describe recent portfolio activity.

During the fourth quarter of 2022, the Fund increased risk within high quality fixed income sectors as the opportunity set shifted on the back of the Fed’s fastest rate hiking cycle in decades. In this vein, the Fund strategically tilted further into high quality shorter maturity assets while maintaining its high yield corporate bonds exposure near historically low levels. The Fund increased its active tilts within U.S. investment grade corporate credit given the increased dispersion of risk/reward within the sector, while reducing its overweight in agency mortgage-backed securities (“MBS”). Within securitized assets, exposure was rotated toward higher quality commercial mortgage-backed securities and structurally protected collateralized loan obligations. The Fund was defensively positioned in emerging market debt given concerns around tighter central bank policies, weakening growth and reduced liquidity.

During the first quarter of 2023, the Fund shifted to an underweight stance with respect to duration and corresponding interest rate sensitivity. The Fund continued to tactically rotate across select spread sectors given more attractive opportunities. Exposure to U.S. investment grade corporate bonds was slightly trimmed as spreads became less attractive, while exposure to agency MBS was tactically increased given the sectors favorable risk/reward profile in a shifting rate environment. Finally, the Fund became somewhat less defensive with respect to emerging markets.

Describe portfolio positioning at period end.

At the end of the reporting period, the Fund maintained a below-benchmark duration stance. The aggregate yield-to-worst of the Fund’s holdings was above that of the benchmark. The Fund was cautiously positioned with respect to credit risk, with high yield corporate exposure near historically low levels. Within structured products, the Fund was focused on the top of the capital structure.

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 3    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, 2023 (continued)    BlackRock Total Return Fund

 

Performance

 

                            Average Annual Total Returns(a)(b)  
                            1 Year     5 Years     10 Years  
                      6-Month     Without     With     Without     With     Without     With  
          Standardized     Unsubsidized     Total     Sales     Sales     Sales     Sales     Sales     Sales  
            30 Day Yields     30 Day Yields     Returns     Charge     Charge     Charge     Charge     Charge     Charge  

Institutional

      3.96     3.95     5.86     (4.84 )%      N/A       1.23     N/A       1.97     N/A  

Service

      3.63       3.60       5.59       (5.14     N/A       0.92       N/A       1.68       N/A  

Investor A

      3.53       3.52       5.70       (5.13     (8.93 )%      0.91       0.09     1.65       1.24

Investor A1

      3.80       3.67       5.78       (4.99     N/A       1.08       N/A       1.83       N/A  

Investor C

               2.91       2.87       5.34       (5.79     (6.71     0.22       0.22       1.12       1.12  

Class K

      4.05       4.04       5.90       (4.77     N/A       1.30       N/A       2.04       N/A  

Class R

      3.33       3.32       5.55       (5.40     N/A       0.63       N/A       1.39       N/A  

Bloomberg U.S. Aggregate Bond Index(c)

                        4.89       (4.78     N/A       0.91       N/A       1.36       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.

(b) 

The Fund invests all of its assets in the Master Portfolio. The Master Portfolio typically invests more than 90% of its assets in a diversified portfolio of fixed-income securities such as corporate bonds and notes, mortgage-backed securities, asset-backed securities, convertible securities, preferred securities and government obligations. Under normal circumstances, the Master Portfolio invests at least 80% of its assets in bonds and invests primarily in investment grade fixed income securities.

(c) 

A widely recognized unmanaged market-weighted index, comprised of investment grade corporate bonds rated BBB or better, mortgages and U.S. Treasury and U.S. Government agency issues with at least one year to maturity.

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.

 

 

F U N D    S U M M A R Y

  5


Fund Summary as of March 31, 2023 (continued)    BlackRock Total Return Fund

 

Expense Example

 

    Actual           Hypothetical 5% Return           
 

 

 

     

 

 

      
    Beginning      Ending      Expenses           Beginning      Ending      Expenses        Annualized  
    Account Value      Account Value      Paid During           Account Value      Account Value      Paid During        Expense  
      (10/01/22)        (03/31/23)        the Period               (10/01/22)        (03/31/23)        the Period (a)         Ratio  

Institutional

    $        1,000.00        $        1,058.60        $          2.28         $        1,000.00        $        1,022.99        $          2.24          0.44

Service

    1,000.00        1,055.90        3.89         1,000.00        1,021.42        3.82          0.75  

Investor A

    1,000.00        1,057.00        3.89         1,000.00        1,021.42        3.82          0.75  

Investor A1

    1,000.00        1,057.80        3.06         1,000.00        1,022.23        3.01          0.59  

Investor C

    1,000.00        1,053.40        7.45         1,000.00        1,017.95        7.32          1.44  

Class K

    1,000.00        1,059.00        1.92         1,000.00        1,023.34        1.89          0.37  

Class R

    1,000.00        1,055.50        5.34               1,000.00        1,020.01        5.24          1.03  

 

  (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 184/365 (to reflect the one-half year period shown). Because the Fund invests all of its assets in the Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests.

 

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

 

 

6  

2 0 2 3    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


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.

Service Shares are not subject to any sales charge. These shares are subject to a service fee of 0.25% per year (but no distribution fee) and are only available to certain eligible investors.

Investor A Shares are subject to a maximum initial sales charge (front-end load) of 4.00% and a service fee of 0.25% per year (but no distribution fee). Certain 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 A1 Shares are subject to a maximum initial sales charge (front-end load) of 1.00% and a service fee of 0.10% per year (but no distribution fee). The maximum initial sales charge does not apply to current eligible shareholders of Investor A1 Shares of the Fund. These shares are only available for dividend and capital gain reinvestment by existing shareholders and for purchase by certain eligible employer-sponsored retirement plans. Certain redemptions of these shares may be subject to a CDSC where no initial sales charge was paid at the time of purchase. However, the CDSC does not apply to redemptions by certain employer-sponsored retirement plans or to redemptions of shares acquired through the reinvestment of dividends and capital gains by existing shareholders.

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. The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements.

Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees, administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown (which is based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.

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

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

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

 

 

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

  7


Derivative Financial Instruments

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

 

 

8  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


 

Statement of Assets and Liabilities (unaudited)

March 31, 2023

 

    

BlackRock

Total Return

Fund

 

ASSETS

 

Investments at value — Master Portfolio

  $ 17,431,030,048  

Receivables:

 

Capital shares sold

    70,553,053  

From the Manager

    49,689  

Withdrawals from the Master Portfolio

    6,641,391  

Prepaid expenses

    208,812  
 

 

 

 

Total assets

    17,508,482,993  
 

 

 

 

LIABILITIES

 

Payables:

 

Capital shares redeemed

    77,194,444  

Income dividend distributions

    9,121,443  

Investment advisory fees

    4,584,777  

Officer’s fees

    29,879  

Other accrued expenses

    3,458,459  

Other affiliate fees

    38,165  

Service and distribution fees

    385,416  
 

 

 

 

Total liabilities

    94,812,583  
 

 

 

 

NET ASSETS

  $ 17,413,670,410  
 

 

 

 

NET ASSETS CONSIST OF:

 

Paid-in capital

  $ 20,513,316,510  

Accumulated loss

    (3,099,646,100
 

 

 

 

NET ASSETS

  $ 17,413,670,410  
 

 

 

 

 

 

F I N A N C I A L    S T A T E M E N T S

  9


 

Statement of Assets and Liabilities (unaudited) (continued)

March 31, 2023

 

    

BlackRock

Total Return

Fund

 

NET ASSET VALUE

 

Institutional

 

Net assets

  $   9,147,264,896  
 

 

 

 

Shares outstanding

    901,946,098  
 

 

 

 

Net asset value

  $ 10.14  
 

 

 

 

Shares authorized

    1.6 billion  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 

Service

 

Net assets

  $ 42,862,484  
 

 

 

 

Shares outstanding

    4,225,500  
 

 

 

 

Net asset value

  $ 10.14  
 

 

 

 

Shares authorized

    50 million  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 

Investor A

 

Net assets

  $ 1,335,702,825  
 

 

 

 

Shares outstanding

    131,654,288  
 

 

 

 

Net asset value

  $ 10.15  
 

 

 

 

Shares authorized

    450 million  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 

Investor A1

 

Net assets

  $ 20,419,552  
 

 

 

 

Shares outstanding

    2,014,344  
 

 

 

 

Net asset value

  $ 10.14  
 

 

 

 

Shares authorized

    50 million  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 

Investor C

 

Net assets

  $ 49,025,503  
 

 

 

 

Shares outstanding

    4,836,153  
 

 

 

 

Net asset value

  $ 10.14  
 

 

 

 

Shares authorized

    100 million  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 

Class K

 

Net assets

  $ 6,753,347,873  
 

 

 

 

Shares outstanding

    665,996,912  
 

 

 

 

Net asset value

  $ 10.14  
 

 

 

 

Shares authorized

    1 billion  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 

Class R

 

Net assets

  $ 65,047,277  
 

 

 

 

Shares outstanding

    6,410,234  
 

 

 

 

Net asset value

  $ 10.15  
 

 

 

 

Shares authorized

    250 million  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 

See notes to financial statements.

 

 

10  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


 

Statement of Operations (unaudited)

Six Months Ended March 31, 2023

 

    

BlackRock

Total Return

Fund

 

INVESTMENT INCOME

 

Net investment income allocated from the Master Portfolio:

 

Dividends — unaffiliated

  $ 1,740,685  

Dividends — affiliated

    18,630,539  

Interest — unaffiliated

    343,252,631  

Securities lending income — affiliated — net

    180,922  

Expenses

    (5,681,366

Fees waived

    347,039  
 

 

 

 

Total investment income

     358,470,450  
 

 

 

 

FUND EXPENSES

 

Investment advisory

    24,866,979  

Transfer agent — class specific

    5,528,004  

Service and distribution — class specific

    2,163,808  

Registration

    682,046  

Professional

    19,034  

Officer

    5,214  

Accounting services

    3,529  

Miscellaneous

    45,371  
 

 

 

 

Total expenses

    33,313,985  

Less:

 

Transfer agent fees waived and/or reimbursed — class specific

    (732,131
 

 

 

 

Total expenses after fees waived and/or reimbursed

    32,581,854  
 

 

 

 

Net investment income

    325,888,596  
 

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) allocated from the Master Portfolio:

 

Investments — unaffiliated

    (499,018,027

Investments — affiliated

    149,936  

Options written

    (63,077,880

Futures contracts

    (27,061,465

Forward foreign currency exchange contracts

    (2,093,816

Foreign currency transactions

    3,204,897  

Swaps

    3,437,341  
 

 

 

 
    (584,459,014
 

 

 

 

Net change in unrealized appreciation (depreciation) allocated from the Master Portfolio:

 

Investments — unaffiliated

    1,013,879,440  

Investments — affiliated

    329,793  

Options written

    82,748,195  

Futures contracts

    116,444,195  

Forward foreign currency exchange contracts

    (10,018,249

Foreign currency translations

    578,232  

Swaps

    6,043,022  

Unfunded floating rate loan interests

    219,623  
 

 

 

 
    1,210,224,251  
 

 

 

 

Total net realized and unrealized gain

    625,765,237  
 

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 951,653,833  
 

 

 

 

See notes to financial statements.

 

 

I N A N C I A L    T A T E M E N T  S

  11


 

Statements of Changes in Net Assets

 

    BlackRock Total Return Fund  
    

Six Months

Ended

03/31/23

(unaudited)

   

Year Ended

09/30/22

 

INCREASE (DECREASE) IN NET ASSETS

   

OPERATIONS

   

Net investment income

  $ 325,888,596     $ 449,100,503  

Net realized loss

    (584,459,014     (1,311,374,975

Net change in unrealized appreciation (depreciation)

    1,210,224,251       (2,474,670,916
 

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    951,653,833       (3,336,945,388
 

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS

   

Institutional

    (169,384,319     (299,087,560

Service

    (740,133     (1,318,341

Investor A

    (23,263,817     (41,803,454

Investor A1

    (380,196     (613,205

Investor C

    (724,813     (1,485,206

Class K

    (127,210,026     (219,556,363

Class R

    (1,041,320     (1,810,350
 

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (322,744,624     (565,674,479
 

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

   

Net increase in net assets derived from capital share transactions

    121,453,116       91,715,235  
 

 

 

   

 

 

 

NET ASSETS

   

Total increase (decrease) in net assets

    750,362,325       (3,810,904,632

Beginning of period

    16,663,308,085       20,474,212,717  
 

 

 

   

 

 

 

End of period

  $  17,413,670,410     $  16,663,308,085  
 

 

 

   

 

 

 

See notes to financial statements.

 

 

12  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Financial Highlights

(For a share outstanding throughout each period)

 

 

    BlackRock Total Return Fund  
    Institutional  
    

Six Months

Ended

03/31/23

(unaudited)

   

Year Ended

09/30/22

   

Year Ended

09/30/21

   

Year Ended

09/30/20

   

Year Ended

09/30/19

   

Year Ended

09/30/18

 

Net asset value, beginning of period

  $ 9.76     $ 11.96     $ 12.53     $ 11.95     $ 11.21     $ 11.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.19       0.25       0.23       0.28       0.38       0.38  

Net realized and unrealized gain (loss)

    0.38       (2.13     (0.07     0.60       0.75       (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.57       (1.88     0.16       0.88       1.13       (0.18
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

           

From net investment income

    (0.19     (0.25     (0.24     (0.30     (0.39     (0.38

From net realized gain

          (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.19     (0.32     (0.73     (0.30     (0.39     (0.38
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 10.14     $ 9.76     $ 11.96     $ 12.53     $ 11.95     $ 11.21  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

           

Based on net asset value

    5.86 %(d)       (15.99 )%      1.25     7.51 %(e)       10.23     (1.55 )%(e)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(f)(g)

           

Total expenses

    0.46 %(h)(i)       0.47 %(i)       0.47 %(i)       0.47 %(j)       0.47 %(j)       0.75 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.44 %(h)(i)       0.45 %(i)       0.45 %(i)       0.44 %(j)       0.44 %(j)       0.71 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    0.44 %(h)(i)       0.45 %(i)       0.45 %(i)       0.44 %(j)       0.44 %(j)       0.45 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    3.81 %(h)(i)       2.30 %(i)       1.88 %(i)       2.32 %(j)       3.33 %(j)       3.31 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $  9,147,265     $  8,809,121     $  9,915,659     $  9,067,527     $  6,535,538     $  5,402,121  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(k)

    161     289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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) 

Not annualized.

(e) 

Includes a payment received from an affiliate, 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) 

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

 

    
       Six Months
Ended
03/31/23
(unaudited)
       Year Ended
09/30/22
       Year Ended
09/30/21
       Year Ended
09/30/20
       Year Ended
09/30/19
       Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    68      42      161      274      241      350
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

I N A N C I A L    I G H L I G H T  S 

  13


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Total Return Fund (continued)  
    Service  
     Six Months
Ended
(unaudited)
03/31/23
    Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of period

  $ 9.77     $ 11.96     $ 12.54     $ 11.95     $ 11.22     $ 11.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.18       0.22       0.19       0.26       0.35       0.34  

Net realized and unrealized gain (loss)

    0.36       (2.12     (0.08     0.60       0.73       (0.54
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.54       (1.90     0.11       0.86       1.08       (0.20
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

           

From net investment income

    (0.17     (0.22     (0.20     (0.27     (0.35     (0.35

From net realized gain

          (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.17     (0.29     (0.69     (0.27     (0.35     (0.35
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 10.14     $ 9.77     $ 11.96     $ 12.54     $ 11.95     $ 11.22  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

           

Based on net asset value

    5.59 %(d)      (16.17 )%      0.86     7.28 %(e)      9.80     (1.76 )%(e) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(f)(g)

           

Total expenses

    0.79 %(h)(i)      0.80 %(i)      0.80 %(i)      0.74 %(j)      0.74 %(j)       1.03 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.75 %(h)(i)      0.76 %(i)      0.76 %(i)      0.74 %(j)      0.74 %(j)       1.03 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    0.75 %(h)(i)      0.76 %(i)      0.76 %(i)      0.74 %(j)      0.74 %(j)       0.75 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    3.50 %(h)(i)      1.98 %(i)      1.57 %(i)      2.15 %(j)      3.04 %(j)       3.01 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 42,862     $ 42,155     $ 55,378     $ 57,849     $ 120,243     $ 117,278  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(k)

    161     289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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) 

Not annualized.

(e) 

Includes a payment received from an affiliate, 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) 

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

 

    
     Six Months
Ended
03/31/23
(unaudited)
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    68      42      161      274      241      350
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

14  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Total Return Fund (continued)  
    Investor A  
     Six Months
Ended
03/31/23
(unaudited)
    Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of period

  $ 9.77     $ 11.96     $ 12.54     $ 11.96     $ 11.22     $ 11.78  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.18       0.22       0.19       0.25       0.34       0.34  

Net realized and unrealized gain (loss)

    0.37       (2.12     (0.08     0.60       0.75       (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.55       (1.90     0.11       0.85       1.09       (0.22
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

           

From net investment income

    (0.17     (0.22     (0.20     (0.27     (0.35     (0.34

From net realized gain

          (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.17     (0.29     (0.69     (0.27     (0.35     (0.34
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 10.15     $ 9.77     $ 11.96     $ 12.54     $ 11.96     $ 11.22  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

           

Based on net asset value

    5.70 %(d)       (16.16 )%      0.87     7.16 %(e)       9.85     (1.88 )%(e)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(f)(g)

           

Total expenses

    0.75 %(h)(i)       0.76 %(i)       0.74 %(i)       0.76 %(j)       0.79 %(j)       1.08 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.75 %(h)(i)       0.76 %(i)       0.74 %(i)       0.76 %(j)       0.78 %(j)       1.07 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    0.75 %(h)(i)       0.76 %(i)       0.74 %(i)       0.76 %(j)       0.78 %(j)       0.79 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    3.50 %(h)(i)       1.98 %(i)       1.58 %(i)       2.02 %(j)       3.00 %(j)       2.97 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $  1,335,703     $ 1,330,459     $ 1,822,670     $ 2,147,025     $  1,840,587     $  1,729,459  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(k)

    161     289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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) 

Not annualized.

(e) 

Includes a payment received from an affiliate, 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) 

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

 

    
     Six Months
Ended
03/31/23
(unaudited)
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    68      42      161      274      241      350
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

I N A N C I A L    I G H L I G H T  S

  15


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Total Return Fund (continued)  
    Investor A1  
     Six Months
Ended
(unaudited)
03/31/23
    Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of period

  $ 9.76     $ 11.95     $ 12.53     $ 11.95     $ 11.21     $ 11.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.18       0.24       0.21       0.27       0.37       0.36  

Net realized and unrealized gain (loss)

    0.38       (2.13     (0.08     0.60       0.74       (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.56       (1.89     0.13       0.87       1.11       (0.20
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

           

From net investment income

    (0.18     (0.23     (0.22     (0.29     (0.37     (0.36

From net realized gain

          (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.18     (0.30     (0.71     (0.29     (0.37     (0.36
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 10.14     $ 9.76     $ 11.95     $ 12.53     $ 11.95     $ 11.21  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

           

Based on net asset value

    5.78 %(d)      (16.04 )%      1.02     7.35 %(e)      10.06     (1.69 )%(e) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(f)(g)

           

Total expenses

    0.71 %(h)(i)      0.70 %(i)      0.68 %(i)      0.61 %(j)      0.63 %(i)      0.92 %(i) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.59 %(h)(i)      0.60 %(i)      0.60 %(i)      0.59 %(j)      0.59 %(i)      0.88 %(i) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    0.59 %(h)(i)      0.60 %(i)      0.60 %(i)      0.59 %(j)      0.59 %(i)      0.60 %(i) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    3.66 %(h)(i)      2.19 %(i)      1.73 %(i)      2.22 %(j)      3.20 %(i)      3.17 %(i) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 20,420     $ 20,124     $ 21,957     $ 24,443     $ 28,769     $ 28,072  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(k)

    161     289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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) 

Not annualized.

(e) 

Includes a payment received from an affiliate, 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) 

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

 

    
     Six Months
Ended
03/31/23
(unaudited)
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    68      42      161      274      241      350
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

16  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Total Return Fund (continued)  
    Investor C  
     Six Months
Ended
03/31/23
(unaudited)
    Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of period

  $ 9.76     $ 11.95     $ 12.53     $ 11.95     $ 11.21     $ 11.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.14       0.14       0.11       0.16       0.27       0.27  

Net realized and unrealized gain (loss)

    0.38       (2.12     (0.08     0.60       0.74       (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.52       (1.98     0.03       0.76       1.01       (0.29
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

           

From net investment income

    (0.14     (0.14     (0.12     (0.18     (0.27     (0.27

From net realized gain

          (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.14     (0.21     (0.61     (0.18     (0.27     (0.27
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 10.14     $ 9.76     $ 11.95     $ 12.53     $ 11.95     $ 11.21  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

           

Based on net asset value

    5.34 %(d)      (16.76 )%      0.16     6.44 %(e)       9.14     (2.53 )%(e) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(f)(g)

           

Total expenses

    1.49 %(h)(i)      1.48 %(i)(j)      1.47 %(i)       1.49 %(k)       1.51 %(k)       1.82 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.44 %(h)(i)      1.46 %(i)(j)      1.45 %(i)       1.44 %(k)       1.44 %(k)       1.74 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    1.44 %(h)(i)      1.46 %(i)(j)      1.45 %(i)       1.44 %(k)       1.44 %(k)       1.45 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    2.80 %(h)(i)      1.23 %(i)      0.89 %(i)       1.36 %(k)       2.35 %(k)       2.32 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 49,026     $ 56,468     $ 100,462     $ 140,034     $ 209,532     $ 235,682  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(l)

    161     289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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) 

Not annualized.

(e) 

Includes a payment received from an affiliate, 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 non-recurring expenses of proxy costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed, and total expenses after fees waived and/or reimbursed and excluding interest expense would have been 1.46%, 1.44% and 1.44%, respectively.

(k) 

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

(l) 

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

 

    
     Six Months
Ended
03/31/23
(unaudited)
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    68      42      161      274      241      350
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

I N A N C I A L    I G H L I G H T  S

  17


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Total Return Fund (continued)  
    Class K  
     Six Months
Ended
03/31/23
(unaudited)
    Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of period

  $ 9.76     $ 11.96     $ 12.53     $ 11.95     $ 11.21     $ 11.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.20       0.26       0.24       0.29       0.39       0.39  

Net realized and unrealized gain (loss)

    0.37       (2.13     (0.07     0.60       0.74       (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.57       (1.87     0.17       0.89       1.13       (0.17
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

           

From net investment income

    (0.19     (0.26     (0.25     (0.31     (0.39     (0.39

From net realized gain

          (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.19     (0.33     (0.74     (0.31     (0.39     (0.39
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 10.14     $ 9.76     $ 11.96     $ 12.53     $ 11.95     $ 11.21  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

           

Based on net asset value

    5.90 %(d)       (15.93 )%      1.32     7.59 %(e)       10.30     (1.49 )%(e)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(f)(g)

           

Total expenses

    0.37 %(h)(i)       0.38 %(i)       0.38 %(i)       0.37 %(j)       0.37 %(j)       0.64 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.37 %(h)(i)       0.38 %(i)       0.38 %(i)       0.37 %(j)       0.37 %(j)       0.64 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    0.37 %(h)(i)       0.38 %(i)       0.38 %(i)       0.37 %(j)       0.37 %(j)       0.38 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    3.89 %(h)(i)       2.37 %(i)       1.94 %(i)       2.41 %(j)       3.40 %(j)       3.36 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 6,753,348     $ 6,340,122     $ 8,472,180     $ 7,491,107     $ 6,015,062     $ 4,726,240  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(k)

    161     289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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) 

Not annualized.

(e) 

Includes a payment received from an affiliate, 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) 

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

 

    
     Six Months
Ended
03/31/23
(unaudited)
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    68      42      161      274      241      350
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

18  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Total Return Fund (continued)  
    Class R  
     Six Months
Ended
03/31/23
(unaudited)
    Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of period

  $ 9.77     $ 11.96     $ 12.54     $ 11.96     $ 11.22     $ 11.78  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.16       0.19       0.16       0.22       0.32       0.31  

Net realized and unrealized gain (loss)

    0.38       (2.13     (0.08     0.59       0.74       (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.54       (1.94     0.08       0.81       1.06       (0.25
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

           

From net investment income

    (0.16     (0.18     (0.17     (0.23     (0.32     (0.31

From net realized gain

          (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.16     (0.25     (0.66     (0.23     (0.32     (0.31
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 10.15     $ 9.77     $ 11.96     $ 12.54     $ 11.96     $ 11.22  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

           

Based on net asset value

    5.55 %(d)      (16.40 )%      0.57     6.88 %(e)      9.58     (2.12 )%(e) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(f)(g)

           

Total expenses

    1.05 %(h)(i)      1.06 %(i)      1.05 %(i)      1.04 %(j)      1.07 %(i)       1.37 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.03 %(h)(i)      1.04 %(i)      1.04 %(i)      1.03 %(j)      1.03 %(i)       1.31 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    1.03 %(h)(i)      1.04 %(i)      1.04 %(i)      1.03 %(j)      1.03 %(i)       1.04 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    3.22 %(h)(i)      1.71 %(i)      1.29 %(i)      1.80 %(j)      2.76 %(i)       2.72 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 65,047     $ 64,860     $ 85,906     $ 85,550     $ 142,718     $ 156,009  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(k)

    161     289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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) 

Not annualized.

(e) 

Includes a payment received from an affiliate, 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) 

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

 

    
     Six Months
Ended
03/31/23
(unaudited)
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    68      42      161      274      241      350
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

I N A N C I A L    I G H L I G H T  S

  19


Notes to Financial Statements (unaudited)

 

1.

ORGANIZATION

BlackRock Bond Fund, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Corporation is organized as a Maryland corporation. BlackRock Total Return Fund (the “Fund”) is a series of the Corporation. The Fund is classified as diversified. The Fund seeks to achieve its investment objective by investing all of its assets in Master Total Return Portfolio (the “Master Portfolio”) of Master Bond LLC, an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The Master Bond LLC is organized as a Delaware limited liability company. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At March 31, 2023, the percentage of the Master Portfolio owned by the Fund was 96.8%. The financial statements of the Master Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.

The Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional, Service and Class K Shares are sold only to certain eligible investors. Class R Shares are sold only to certain employer-sponsored retirement plans. Service, Investor A, Investor A1, 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. Investor A1 Shares are only available for dividend and capital gain reinvestment by existing shareholders, and for purchase by 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 Corporation and Board of Directors of the Master Bond LLC are referred to throughout this report as the “Board of Directors” or the “Board” and the members are referred to as “Directors”.

 

       
Share Class   Initial Sales Charge      CDSC      Conversion Privilege

Institutional, Service, Class K and Class R Shares

    No        No      None

Investor A Shares

    Yes        No (a)     None

Investor A1 Shares

    No (b)       No (c)     None

Investor C Shares

    No        Yes (d)     To Investor A Shares after approximately 8 years

 

(a) 

Investor A Shares may be subject to a contingent deferred sales charge (“CDSC”) where no initial sales charge was paid at the time of purchase.

(b) 

Investor A1 Shares are subject to a maximum sales charge on purchases of 1.00%. The sales charge does not apply to dividend and capital gain reinvestments by existing shareholders and new purchases for certain employer-sponsored retirement plans, which are currently the only investors who may invest in Investor A1 Shares.

(c) 

Investor A1 Shares may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase. However, the CDSC does not apply to redemptions by certain employer-sponsored retirement plans, or to redemptions of shares acquired through reinvestment of dividends and capital gains by existing shareholders.

(d) 

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

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 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 Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

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

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Corporation’s Board, the directors who are not “interested persons” of the Corporation, 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.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Fund, as applicable. Deferred compensation liabilities, if any, are included in the Officer’s fees payable in the Statement of Assets and Liabilities and will remain as a liability of the Fund until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the BlackRock Fixed Income Complex and reflected as Officer expense on the Statement of Operations. The Officer expense may be negative as a result of a decrease in value of the deferred accounts.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

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

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

 

4.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: The Corporation, on behalf of 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(a)
 

First $250 million

    0.32

$250 million — $500 million

    0.31  

$500 million — $750 million

    0.30  

Greater than $750 million

    0.29  

 

(a) 

This investment advisory fee applies to the Fund for as long as the Fund invests in the Master Portfolio or another master fund advised by the Manager or an affiliate thereof in a master-feeder structure. If the Fund ceases to operate as a feeder fund in a master/feeder structure, the maximum actual investment advisory fees payable to the Manager (as a percentage of average daily net assets) by the Fund are as follows: 0.48% (first $250 million), 0.43% ($250 million - $500 million), 0.38% ($500 million - $750 million) and 0.34% (greater than $750 million).

 

With respect to the Fund, the Manager entered into separate sub-advisory agreements with each of BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BSL”), each an affiliate of the Manager. The Manager pays BIL and BSL for services they provide for that portion of the Fund for which BIL and BSL, as applicable, act as sub-advisers, a monthly fee that is equal to a percentage of the investment advisory fees paid by the Fund to the Manager.

Service and Distribution Fees: The Corporation, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution and Service Plan 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  

Service

     0.25     N/A  

Investor A

     0.25       N/A  

Investor A1

     0.10       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.

For the six months ended March 31, 2023, the following table shows the class specific service and distribution fees borne directly by each share class of the Fund:

 

 

 
    Service           Investor A            Investor A1             Investor C             Class R             Total  

 

 

Service and distribution — class specific

    $  53,323         $  1,676,054          $    10,478           $  260,707           $  163,246           $  2,163,808  

 

 

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, 2023, the Fund did not pay any amounts to affiliates in return for these services.

 

 

O T E S    T O    I N A N C I A L     T A T E M E N T S

  21


Notes to Financial Statements (unaudited) (continued)

 

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, 2023, 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     Service     Investor A      Investor A1      Investor C      Class K      Class R      Total  

 

 

Reimbursed amounts

    $      14,175       $      152       $       10,065        $                90        $           931        $    10,784        $    641        $   36,838  

 

 

For the six months ended March 31, 2023, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:

 

                                                                                                       

 

 
    Institutional     Service     Investor A      Investor A1      Investor C      Class K      Class R      Total  

 

 

Transfer agent — class specific

    $  4,189,814       $  38,868       $  925,146        $      25,561        $    33,215        $  253,437        $  61,963        $  5,528,004  

 

 

Other Fees: For the six months ended March 31, 2023, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A Shares for a total of $8,900.

For the six months ended March 31, 2023, affiliates received CDSCs as follows:

 

 

 

Share Class

    Amounts  

 

 

Investor A

    $  33,438  

Investor C

    1,210  

Expense Limitations, Waivers and Reimbursements: With the exception of the Fund’s investment in the Master Portfolio, the Manager 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, 2024. 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. For the six months ended March 31, 2023, there were no fees waived by the Manager pursuant to this arrangement.

With respect to the Fund, the Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:

 

 

 

Share Class

   
Expense
Limitations
 
 

 

 

Institutional

    0.44

Service

    0.75  

Investor A

    0.78  

Investor A1

    0.59  

Investor C

    1.44  

Class K

    0.39  

Class R

    1.03  

 

 

The Manager has agreed not to reduce or discontinue the contractual expense limitations through June 30, 2024, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended March 31, 2023, there were no fees waived and/or reimbursed by the Manager pursuant to this agreement.

In addition, these amounts waived and/or reimbursed by the Manager are included in transfer agent fees waived and/or reimbursed — class specific in the Statement of Operations. For the six months ended March 31, 2023, the class specific waivers and/or reimbursements are as follows:

 

 

 
    Institutional           Service            Investor A1             Investor C             Class R             Total  

 

 

Transfer agent fees waived and/or reimbursed — class specific

  $   690,789             $   9,400              $   12,152               $   12,851               $   6,939               $   732,131  

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, 2023, the Fund did not participate in the Interfund Lending Program.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

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

 

5.

INCOME TAX INFORMATION

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

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

Management has analyzed tax laws and regulations and their application to the Fund as of March 31, 2023, 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 September 30, 2022, the Fund had qualified late-year losses as follows:

 

 

 
    Amounts  

 

 

Qualified late-year losses

  $   (1,400,836,378

 

6.

CAPITAL SHARE TRANSACTIONS

Transactions in capital shares for each class were as follows:

 

     Six Months Ended 03/31/23     Year Ended 09/30/22  
  Share Class   Shares     Amount     Shares     Amount  

Institutional

       

Shares sold

    222,017,894     $    2,214,282,468       471,198,724     $    5,294,524,445  

Shares issued in reinvestment of distributions

    15,316,580       152,535,260       23,849,602       262,361,092  

Shares redeemed

    (237,524,357     (2,360,412,724     (422,169,779     (4,601,574,876
 

 

 

   

 

 

   

 

 

   

 

 

 
    (189,883   $ 6,405,004       72,878,547     $ 955,310,661  
 

 

 

   

 

 

   

 

 

   

 

 

 

Service

       

Shares sold

    384,294     $ 3,836,581       955,363     $ 10,691,567  

Shares issued in reinvestment of distributions

    72,905       726,065       118,949       1,310,630  

Shares redeemed

    (547,888     (5,445,671     (1,388,626     (15,040,752
 

 

 

   

 

 

   

 

 

   

 

 

 
    (90,689   $ (883,025     (314,314   $ (3,038,555
 

 

 

   

 

 

   

 

 

   

 

 

 

Investor A

       

Shares sold

    15,538,025     $ 154,931,165       33,567,548     $ 373,631,405  

Shares issued in reinvestment of distributions

    1,610,562       16,041,123       2,640,697       29,156,417  

Shares redeemed

    (21,691,244     (215,776,910     (52,383,659     (576,880,831
 

 

 

   

 

 

   

 

 

   

 

 

 
    (4,542,657   $ (44,804,622     (16,175,414   $ (174,093,009
 

 

 

   

 

 

   

 

 

   

 

 

 

Investor A1

       

Shares sold

    277,378     $ 2,759,831       614,430     $ 6,895,105  

Shares issued in reinvestment of distributions

    3,926       39,060       6,605       72,696  

Shares redeemed

    (328,691     (3,275,539     (396,358     (4,299,413
 

 

 

   

 

 

   

 

 

   

 

 

 
    (47,387   $ (476,648     224,677     $ 2,668,388  
 

 

 

   

 

 

   

 

 

   

 

 

 

Investor C

       

Shares sold

    442,983     $ 4,414,864       575,953     $ 6,423,509  

Shares issued in reinvestment of distributions

    62,540       621,940       114,547       1,269,910  

Shares redeemed and automatic conversion of shares

    (1,454,606     (14,426,825     (3,310,438     (36,470,705
 

 

 

   

 

 

   

 

 

   

 

 

 
    (949,083   $ (9,390,021     (2,619,938   $ (28,777,286
 

 

 

   

 

 

   

 

 

   

 

 

 

 

 

O T E S    T O    I N A N C I A L     T A T E M E N T S

  23


Notes to Financial Statements (unaudited) (continued)

 

     Six Months Ended 03/31/23     Year Ended 09/30/22  
  Share Class   Shares     Amount     Shares     Amount  

Class K

       

Shares sold

    119,811,476     $    1,199,770,528       141,634,495     $    1,580,228,305  

Shares issued in reinvestment of distributions

    11,700,885       116,489,170       18,480,602       203,331,003  

Shares redeemed

    (114,870,917     (1,143,404,282     (219,382,907     (2,438,386,314
 

 

 

   

 

 

   

 

 

   

 

 

 
    16,641,444     $ 172,855,416       (59,267,810   $ (654,827,006
 

 

 

   

 

 

   

 

 

   

 

 

 

Class R

       

Shares sold

    713,189     $ 7,122,231       1,800,108     $ 19,919,767  

Shares issued in reinvestment of distributions

    102,027       1,016,262       161,358       1,777,727  

Shares redeemed

    (1,043,390     (10,391,481     (2,503,561     (27,225,452
 

 

 

   

 

 

   

 

 

   

 

 

 
    (228,174   $ (2,252,988     (542,095   $ (5,527,958
 

 

 

   

 

 

   

 

 

   

 

 

 
    10,593,571     $ 121,453,116       (5,816,347   $ 91,715,235  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

7.

SUBSEQUENT EVENTS

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

 

 

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Portfolio Information as of March 31, 2023    Master Total Return Portfolio

 

PORTFOLIO COMPOSITION

 

Asset Type

   

Percent of

Total Investments

 

(a) 

U.S. Government Sponsored Agency Securities

    47.5

Corporate Bonds

    18.7  

U.S. Treasury Obligations

    15.2  

Asset-Backed Securities

    8.3  

Non-Agency Mortgage-Backed Securities

    6.6  

Floating Rate Loan Interests

    1.5  

Foreign Government Obligations

    0.9  

Municipal Bonds

    0.5  

Preferred Securities

    0.2  

Common Stocks

    0.2  

Investment Companies

    0.2  

Foreign Agency Obligations

    0.2  

Warrants

    (b) 

CREDIT QUALITY ALLOCATION

 

Credit Rating(c)

   

Percent of

Total Investments

 

(a) 

AAA/Aaa(d)

    68.5

AA/Aa

    2.3  

A

    7.9  

BBB/Baa

    10.9  

BB/Ba

    1.0  

B

    0.8  

CCC/Caa

    0.3  

CC/Ca

    0.3  

C

    0.1  

N/R

    7.9  
 
(a) 

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

 

(b) 

Amount is less than 0.1%.

 

(c) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service (“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.

 

 

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

  25


Schedule of Investments (unaudited) 

March 31, 2023

  

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         5,025     $     4,837,571  

522 Funding CLO Ltd.

     

Series 2019-4A, Class CR, (3-mo. LIBOR US + 2.40%), 7.21%, 04/20/30(a)(c)

      625       611,800  

Series 2019-4A, Class DR, (3-mo. LIBOR US + 3.65%), 8.46%, 04/20/30(a)(c)

      2,170       1,966,180  

Series 2019-5A, Class AR, (3-mo. CME Term SOFR + 1.33%), 5.99%, 04/15/35(a)(c)

      510       495,861  

ACE Securities Corp. Home Equity Loan Trust

     

Series 2003-OP1, Class A2, (1-mo. LIBOR US + 0.72%), 5.57%, 12/25/33(c)

      547       496,680  

Series 2006-CW1, Class A2C, (1-mo. LIBOR US + 0.28%), 5.13%, 07/25/36(c)

      257       199,769  

Series 2007-HE4, Class A2A, (1-mo. LIBOR US + 0.26%), 5.11%, 05/25/37(c)

      2,476       426,965  

Series 2007-HE4, Class A2C, (1-mo. LIBOR US + 0.60%), 5.45%, 05/25/37(c)

      218       38,390  

ACRES Commercial Realty Ltd., Series 2021- FL1, Class A, (1-mo. LIBOR US + 1.20%), 5.91%, 06/15/36(a)(c)

      306       296,820  

AGL CLO 11 Ltd., Series 2021-11A, Class E, (3-mo. LIBOR US + 6.36%), 11.15%, 04/15/34(a)(c)

      250       229,236  

AGL CLO 12 Ltd., Series 2021-12A, Class A1, (3-mo. LIBOR US + 1.16%), 5.97%, 07/20/34(a)(c)

      7,640       7,466,991  

AGL CLO 14 Ltd., Series 2021-14A, Class A, (3-mo. LIBOR US + 1.15%), 5.97%, 12/02/34(a)(c)

      1,000       976,572  

AGL CLO 7 Ltd.

     

Series 2020-7A, Class AR, (3-mo. LIBOR US + 1.20%), 5.99%, 07/15/34(a)(c)

      2,400       2,345,790  

Series 2020-7A, Class DR, (3-mo. LIBOR US + 3.10%), 7.89%, 07/15/34(a)(c)

      500       461,632  

AGL CLO 9 Ltd., Series 2020-9A, Class D, (3-mo. LIBOR US + 3.70%), 8.51%, 01/20/34(a)(c)

      250       235,077  

AGL Core CLO 15 Ltd., Series 2021-15A, Class A1, (3-mo. LIBOR US + 1.15%), 5.96%, 01/20/35(a)(c)

      250       244,016  

AGL Core CLO 2 Ltd., Series 2019-2A, Class A1, (3-mo. LIBOR US + 1.39%), 6.20%, 04/20/32(a)(c)

      8,405       8,357,276  

AGL Core CLO 4 Ltd., Series 2020-4A, Class A1R, (3-mo. LIBOR US + 1.07%), 5.88%, 04/20/33(a)(c)

      3,620       3,562,016  

AGL Static CLO 18 Ltd., Series 2022-18A, Class B, (3-mo. CME Term SOFR + 2.00%), 6.65%, 04/21/31(a)(c)

      1,400       1,345,322  

AIG CLO Ltd., Series 2018-1A, Class A1R, (3-mo. LIBOR US + 1.12%), 5.93%, 04/20/32(a)(c)

      1,730       1,704,183  

AIMCO CLO

     

Series 2015-AA, Class BR2, (3-mo. LIBOR US + 1.60%), 6.39%, 10/17/34(a)(c)

      1,200       1,155,860  

Series 2017-AA, Class AR, (3-mo. LIBOR US + 1.05%), 5.86%, 04/20/34(a)(c)

      250       244,768  

Series 2017-AA, Class CR, (3-mo. LIBOR US + 2.10%), 6.91%, 04/20/34(a)(c)

      500       472,528  

Series 2017-AA, Class DR, (3-mo. LIBOR US + 3.15%), 7.96%, 04/20/34(a)(c)

      250       226,100  

Series 2018-BA, Class AR, (3-mo. LIBOR US + 1.10%), 5.89%, 01/15/32(a)(c)

      5,770       5,680,606  
Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Allegro CLO II-S Ltd., Series 2014-1RA, Class A1, (3-mo. LIBOR US + 1.08%), 5.90%, 10/21/28(a)(c)

    USD         2,696     $     2,675,501  

Allegro CLO IV Ltd., Series 2016-1A, Class BR2, (3-mo. LIBOR US + 1.55%), 6.34%, 01/15/30(a)(c)

      400       390,000  

Allegro CLO VIII Ltd., Series 2018-2A, Class B1, (3-mo. LIBOR US + 1.67%), 6.46%, 07/15/31(a)(c)

      250       240,091  

Allegro CLO XI Ltd.

     

Series 2019-2A, Class A2A, (3-mo. LIBOR US + 1.85%), 6.65%, 01/19/33(a)(c)

      500       488,896  

Series 2019-2A, Class C, (3-mo. LIBOR US + 3.00%), 7.80%, 01/19/33(a)(c)

      250       244,240  

ALM Ltd.

     

Series 2020-1A, Class A2, (3-mo. LIBOR US + 1.85%), 6.64%, 10/15/29(a)(c)

      7,780       7,619,824  

Series 2020-1A, Class B, (3-mo. LIBOR US + 2.00%), 6.79%, 10/15/29(a)(c)

      250       240,524  

ALME Loan Funding V BV, Series 5A, Class ER, (3-mo. EURIBOR + 5.41%), 7.70%, 07/15/31(a)(c)

    EUR       1,500       1,448,901  

AMMC CLO 21 Ltd., Series 2017-21A, Class A, (3-mo. LIBOR US + 1.25%), 6.06%, 11/02/30(a)(c)

    USD       747       739,797  

AMMC CLO 22 Ltd., Series 2018-22A, Class B, (3-mo. LIBOR US + 1.45%), 6.27%, 04/25/31(a)(c)

      500       482,750  

AMMC CLO XIII Ltd., Series 2013-13A, Class A1R2, (3-mo. LIBOR US + 1.05%), 5.87%, 07/24/29(a)(c)

      1,827       1,814,758  

AMSR Trust

     

Series 2020-SFR1, Class E, 3.22%, 04/17/37(a)

      1,280       1,194,611  

Series 2020-SFR2, Class D, 3.28%, 07/17/37(a)

      2,437       2,280,117  

Series 2020-SFR3, Class E1, 2.56%, 09/17/37(a)

      2,490       2,263,061  

Series 2020-SFR4, Class E2, 2.46%, 11/17/37(a)

      2,500       2,231,270  

Series 2020-SFR4, Class F, 2.86%, 11/17/37(a)

      2,760       2,465,052  

Anchorage Capital CLO 16 Ltd., Series 2020-16A, Class A1R, (3-mo. LIBOR US + 1.20%), 6.00%, 01/19/35(a)(c)

      250       243,283  

Anchorage Capital CLO 17 Ltd., Series 2021-17A, Class A1, (3-mo. LIBOR US + 1.17%), 5.96%, 07/15/34(a)(c)

      11,115       10,837,256  

Anchorage Capital CLO 3-R Ltd.

     

Series 2014-3RA, Class A, (3-mo. LIBOR US + 1.05%), 5.85%, 01/28/31(a)(c)

      2,321       2,289,475  

Series 2014-3RA, Class B, (3-mo. LIBOR US + 1.50%), 6.30%, 01/28/31(a)(c)

      3,850       3,709,706  

Series 2014-3RA, Class C, (3-mo. LIBOR US + 1.85%), 6.65%, 01/28/31(a)(c)

      500       479,144  

Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class A, (3-mo. LIBOR US + 1.05%), 5.85%, 01/28/31(a)(c)

      5,214       5,154,351  

Anchorage Capital CLO 5-R Ltd.

     

Series 2014-5RA, Class B, (3-mo. LIBOR US + 1.45%), 6.24%, 01/15/30(a)(c)

      9,200       9,040,781  
 

 

 

26  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Anchorage Capital CLO 5-R Ltd.

     

Series 2014-5RA, Class C, (3-mo. LIBOR US + 1.85%), 6.64%, 01/15/30(a)(c)

    USD         3,540     $     3,437,033  

Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class ARR, (3-mo. LIBOR US + 1.05%), 5.84%, 07/15/30(a)(c)

      5,430       5,369,548  

Anchorage Capital CLO 7 Ltd.

     

Series 2015-7A, Class AR2, (3-mo. LIBOR US + 1.09%), 5.89%, 01/28/31(a)(c)

      4,931       4,884,998  

Series 2015-7A, Class BR2, (3-mo. LIBOR US + 1.75%), 6.55%, 01/28/31(a)(c)

      7,620       7,415,777  

Series 2015-7A, Class CR2, (3-mo. LIBOR US + 2.20%), 7.00%, 01/28/31(a)(c)

      4,250       4,109,455  

Series 2015-7A, Class D1R2, (3-mo. LIBOR US + 3.50%), 8.30%, 01/28/31(a)(c)

      1,140       1,007,655  

Anchorage Capital CLO 8 Ltd., Series 2016-8A, Class BR2, (3-mo. LIBOR US + 1.80%), 6.62%, 10/27/34(a)(c)

      2,800       2,682,818  

Anchorage Capital CLO Ltd.

     

Series 2013-1A, Class A1R, (3-mo. LIBOR US + 1.25%), 6.07%, 10/13/30(a)(c)

      3,075       3,047,395  

Series 2013-1A, Class A2R, (3-mo. LIBOR US + 1.65%), 6.47%, 10/13/30(a)(c)

      750       728,160  

Series 2013-1A, Class BR, (3-mo. LIBOR US + 2.15%), 6.97%, 10/13/30(a)(c)

      1,410       1,352,700  

Anchorage Capital Europe CLO 2 DAC

     

Series 2A, Class B1R, (3-mo. EURIBOR + 1.60%), 3.89%, 04/15/34(a)(c)

    EUR       1,327       1,361,488  

Series 2A, Class DR, (3-mo. EURIBOR + 3.55%), 5.84%, 04/15/34(a)(c)

      1,380       1,327,429  

Anchorage Capital Europe CLO DAC, Series 4A, Class D, (3-mo. EURIBOR + 3.20%), 5.65%, 04/25/34(a)(c)

      542       526,268  

Apidos CLO XII, Series 2013-12A, Class AR, (3-mo. LIBOR US + 1.08%), 5.87%, 04/15/31(a)(c)

    USD       3,652       3,610,482  

Apidos CLO XV, Series 2013-15A, Class A1RR, (3-mo. LIBOR US + 1.01%), 5.82%, 04/20/31(a)(c)

      1,080       1,068,971  

Apidos CLO XVIII, Series 2018-18A, Class A1, (3-mo. LIBOR US + 1.14%), 5.96%, 10/22/30(a)(c)

      880       868,344  

Apidos CLO XX

     

Series 2015-20A, Class A1RA, (3-mo. LIBOR US + 1.10%), 5.89%, 07/16/31(a)(c)

      450       443,949  

Series 2015-20A, Class A2RR, (3-mo. LIBOR US + 1.55%), 6.34%, 07/16/31(a)(c)

      250       243,758  

Apidos CLO XXII

     

Series 2015-22A, Class A2R, (3-mo. LIBOR US + 1.50%), 6.31%, 04/20/31(a)(c)

      500       488,014  

Series 2015-22A, Class BR, (3-mo. LIBOR US + 1.95%), 6.76%, 04/20/31(a)(c)

      250       242,538  

Series 2015-22A, Class CR, (3-mo. LIBOR US + 2.95%), 7.76%, 04/20/31(a)(c)

      850       798,974  

Apidos CLO XXVI, Series 2017-26A, Class BR, (3-mo. LIBOR US + 1.95%), 6.75%, 07/18/29(a)(c)

      570       555,167  

Apidos CLO XXX, Series XXXA, Class A1A, (3-mo. LIBOR US + 1.14%), 5.94%, 10/18/31(a)(c)

      250       247,045  

Apidos CLO XXXI, Series 2019-31A, Class BR, (3-mo. LIBOR US + 1.55%), 6.34%, 04/15/31(a)(c)

      500       486,515  
Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Apidos CLO XXXII

     

Series 2019-32A, Class C, (3-mo. LIBOR US + 2.40%), 7.21%, 01/20/33(a)(c)

    USD            250     $        245,853  

Series 2019-32A, Class D, (3-mo. LIBOR US + 3.50%), 8.31%, 01/20/33(a)(c)

      300       286,476  

Apidos CLO XXXVII, Series 2021-37A, Class E, (3-mo. LIBOR US + 6.30%), 11.12%, 10/22/34(a)(c)

      455       424,691  

Apres Static CLO Ltd., Series 2019-1A, Class A2R, (3-mo. LIBOR US + 1.70%), 6.49%, 10/15/28(a)(c)

      250       247,614  

Aqua Finance Trust, Series 2021-A, Class A, 1.54%, 07/17/46(a)

      503       451,182  

Arbor Realty Commercial Real Estate Notes Ltd.

     

Series 2021-FL4, Class A, (1-mo. LIBOR US + 1.35%), 6.03%, 11/15/36(a)(c)

      883       864,284  

Series 2022-FL2, Class A, (1-mo. CME Term SOFR + 1.85%), 6.68%,
05/15/37(a)(c)

      8,334       8,186,627  

Ares European CLO XII DAC, Series 12A, Class B1R, (3-mo. EURIBOR + 1.70%), 4.04%, 04/20/32(a)(c)

    EUR       889       921,057  

Ares LII CLO Ltd.

     

Series 2019-52A, Class A1R, (3-mo. LIBOR US + 1.05%), 5.87%,
04/22/31(a)(c)

    USD       7,910       7,802,063  

Series 2019-52A, Class A2R, (3-mo. LIBOR US + 1.45%), 6.27%,
04/22/31(a)(c)

      250       241,343  

Ares LIX CLO Ltd., Series 2021-59A, Class A, (3-mo. LIBOR US + 1.03%), 5.85%, 04/25/34(a)(c)

      500       489,059  

Ares LVI CLO Ltd., Series 2020-56A, Class AR, (3-mo. LIBOR US + 1.16%), 5.98%, 10/25/34(a)(c)

      2,110       2,056,030  

Ares XLVIII CLO Ltd., Series 2018-48A, Class B, (3-mo. LIBOR US + 1.58%), 6.39%, 07/20/30(a)(c)

      370       360,906  

Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3-mo. LIBOR US + 1.17%), 5.96%, 10/15/30(a)(c)

      1,149       1,139,516  

Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1-mo. LIBOR US + 0.48%), 5.33%, 05/25/35(c)

      2,690       2,325,174  

ARM Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1, Class A, 2.43%, 11/15/27(a)

      1,819       1,697,491  

Armada Euro CLO III DAC, Series 3A, Class DR, (3-mo. EURIBOR + 3.30%), 5.59%, 07/15/31(a)(c)

    EUR       1,563       1,535,403  

ASSURANT CLO Ltd., Series 2018-2A, Class A, (3-mo. LIBOR US + 1.04%), 5.85%, 04/20/31(a)(c)

    USD       750       741,016  

Atrium IX

     

Series 9A, Class AR2, (3-mo. LIBOR US + 0.99%), 5.94%, 05/28/30(a)(c)

      3,964       3,921,735  

Series 9A, Class CR2, (3-mo. LIBOR US + 2.00%), 6.95%, 05/28/30(a)(c)

      1,659       1,586,991  

Atrium XIII

     

Series 13A, Class A1, (3-mo. LIBOR US + 1.18%), 6.00%, 11/21/30(a)(c)

      498       493,258  

Series 13A, Class B, (3-mo. LIBOR US + 1.50%), 6.32%, 11/21/30(a)(c)

      1,250       1,216,209  

Series 13A, Class C, (3-mo. LIBOR US + 1.80%), 6.62%, 11/21/30(a)(c)

      390       372,047  
 

 

 

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

  27


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Avoca CLO XV DAC, Series 15X, Class B2R, (3-mo. EURIBOR + 1.05%), 3.34%, 04/15/31(c)(d)

    EUR            400     $        409,061  

Avoca CLO XVIII DAC, Series 18X, Class C, (3-mo. EURIBOR + 1.75%), 4.04%, 04/15/31(c)(d)

      400       404,670  

Avoca CLO XXII DAC

     

Series 22A, Class D, (3-mo. EURIBOR + 2.90%), 5.19%, 04/15/35(a)(c)

      500       472,757  

Series 22X, Class B1, (3-mo. EURIBOR + 1.30%), 3.59%, 04/15/35(c)(d)

      850       857,298  

Avoca CLO XXIII DAC, Series 23A, Class D, (3-mo. EURIBOR + 3.05%), 5.34%, 04/15/34(a)(c)

      500       472,396  

Babson CLO Ltd., Series 2015-IA, Class BR, (3-mo. LIBOR US + 1.40%), 6.21%, 01/20/31(a)(c)

    USD       610       594,431  

Bain Capital Credit CLO Ltd.

     

Series 2017-1A, Class BR, (3-mo. LIBOR US + 1.50%), 6.31%, 07/20/30(a)(c)

      850       817,013  

Series 2018-2A, Class A1, (3-mo. LIBOR US + 1.08%), 5.88%, 07/19/31(a)(c)

      1,670       1,654,233  

Series 2018-2A, Class B, (3-mo. LIBOR US + 1.60%), 6.40%, 07/19/31(a)(c)

      500       478,273  

Series 2021-3A, Class D, (3-mo. LIBOR US + 3.10%), 7.92%, 07/24/34(a)(c)

      250       214,073  

Series 2021-4A, Class A1, (3-mo. LIBOR US + 1.17%), 5.98%, 10/20/34(a)(c)

      310       301,975  

Ballyrock CLO 14 Ltd., Series 2020-14A, Class D, (3-mo. LIBOR US + 7.00%), 11.81%, 01/20/34(a)(c)

      250       227,094  

Ballyrock CLO Ltd.

     

Series 2018-1A, Class A2, (3-mo. LIBOR US + 1.60%), 6.41%, 04/20/31(a)(c)

      500       481,911  

Series 2020-2A, Class DR, (3-mo. LIBOR US + 6.15%), 10.96%, 10/20/31(a)(c)

      250       226,338  

BankAmerica Manufactured Housing Contract Trust

     

Series 1997-2, Class B1, 7.07%, 02/10/22(c)

      1,680       472,824  

Series 1998-2, Class B1, 7.33%, 12/10/25(c)

      2,790       566,757  

Bankers Healthcare Group Securitization Trust,

     

Series 2020-A, Class C, 5.17%, 09/17/31(a)

      410       382,737  

Bardot CLO Ltd., Series 2019-2A, Class DR, (3-mo. LIBOR US + 3.00%), 7.82%, 10/22/32(a)(c)

      250       232,968  

Barings CLO Ltd.

     

Series 2015-2A, Class AR, (3-mo. LIBOR US + 1.19%), 6.00%, 10/20/30(a)(c)

      2,516       2,491,169  

Series 2018-3A, Class A1, (3-mo. LIBOR US + 0.95%), 5.76%, 07/20/29(a)(c)

      539       535,864  

Series 2019-3A, Class A1R, (3-mo. LIBOR US + 1.07%), 5.88%, 04/20/31(a)(c)

      1,330       1,309,973  

Battalion CLO 18 Ltd., Series 2020-18A, Class BR, (3-mo. LIBOR US + 1.75%), 6.54%, 10/15/36(a)(c)

      1,827       1,715,324  

Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3-mo. LIBOR US + 3.25%), 8.04%, 07/15/31(a)(c)

      250       221,423  

Battalion CLO VIII Ltd.

     

Series 2015-8A, Class A1R2, (3-mo. LIBOR US + 1.07%), 5.87%, 07/18/30(a)(c)

      6,369       6,300,000  

Series 2015-8A, Class A2R2, (3-mo. LIBOR US + 1.55%), 6.35%, 07/18/30(a)(c)

      3,250       3,166,438  

Series 2015-8A, Class BR2, (3-mo. LIBOR US + 2.00%), 6.80%, 07/18/30(a)(c)

      2,901       2,817,742  
Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Battalion CLO X Ltd., Series 2016-10A, Class A1R2, (3-mo. LIBOR US + 1.17%), 5.99%, 01/25/35(a)(c)

    USD       13,430     $   13,080,326  

Battalion CLO XI Ltd., Series 2017-11A, Class BR, (3-mo. LIBOR US + 1.72%), 6.54%, 04/24/34(a)(c)

      1,000       941,879  

Battalion CLO XX Ltd., Series 2021-20A, Class A, (3-mo. LIBOR US + 1.18%), 5.97%, 07/15/34(a)(c)

      4,520       4,404,823  

Bayview Financial Revolving Asset Trust

     

Series 2004-B, Class A1, (1-mo. LIBOR US + 1.00%), 5.83%, 05/28/39(a)(c)

      6,968       5,567,566  

Series 2004-B, Class A2, (1-mo. LIBOR US + 1.30%), 6.13%, 05/28/39(a)(c)

      332       281,609  

Series 2005-A, Class A1, (1-mo. LIBOR US + 1.00%), 5.83%, 02/28/40(a)(c)

      1,445       1,246,165  

Series 2005-E, Class A1, (1-mo. LIBOR US + 1.00%), 5.83%, 12/28/40(a)(c)

      214       212,699  

BCMSC Trust

     

Series 2000-A, Class A2, 7.58%, 06/15/30(c)

      1,674       218,942  

Series 2000-A, Class A3, 7.83%, 06/15/30(c)

      1,554       210,047  

Series 2000-A, Class A4, 8.29%, 06/15/30(c)

      1,121       160,421  

BDS Ltd., Series 2022-FL11, Class ATS, (1-mo. CME Term SOFR + 1.80%), 6.56%, 03/19/39(a)(c)

      11,341       11,092,604  

Bean Creek CLO Ltd., Series 2015-1A, Class AR, (3-mo. LIBOR US + 1.02%), 5.83%, 04/20/31(a)(c)

      250       247,044  

Bear Stearns Asset-Backed Securities I Trust

     

Series 2004-HE7, Class M2, (1-mo. LIBOR US + 1.73%), 6.57%, 08/25/34(c)

      37       36,658  

Series 2006-HE1, Class 1M4, (1-mo. LIBOR US + 1.02%), 5.50%, 12/25/35(c)

      1,689       2,405,008  

Series 2006-HE7, Class 1A2, (1-mo. LIBOR US + 0.34%), 5.19%, 09/25/36(c)

      1,187       1,128,556  

Series 2007-FS1, Class 1A3, (1-mo. LIBOR US + 0.34%), 5.19%, 05/25/35(c)

      130       127,261  

Series 2007-HE2, Class 1A4, (1-mo. LIBOR US + 0.32%), 5.17%, 03/25/37(c)

      1,153       1,015,747  

Series 2007-HE2, Class 22A, (1-mo. LIBOR US + 0.14%), 4.99%, 03/25/37(c)

      440       389,025  

Series 2007-HE2, Class 23A, (1-mo. LIBOR US + 0.14%), 4.99%, 03/25/37(c)

      698       616,069  

Series 2007-HE3, Class 1A3, (1-mo. LIBOR US + 0.25%), 5.10%, 04/25/37(c)

      448       618,333  

Series 2007-HE3, Class 1A4, (1-mo. LIBOR US + 0.35%), 5.20%, 04/25/37(c)

      6,115       5,967,119  

Benefit Street Partners CLO II Ltd., Series 2013- IIA, Class A2R2, (3-mo. LIBOR US + 1.45%), 6.24%, 07/15/29(a)(c)

      3,570       3,513,009  

Benefit Street Partners CLO III Ltd.

     

Series 2013-IIIA, Class A1R2, (3-mo. LIBOR US + 1.00%), 5.81%, 07/20/29(a)(c)

      317       315,144  

Series 2013-IIIA, Class A2R2, (3-mo. LIBOR US + 1.65%), 6.46%, 07/20/29(a)(c)

      1,810       1,792,919  

Benefit Street Partners CLO Ltd., Series 2021- 23A, Class E, (3-mo. LIBOR US + 6.81%), 11.63%, 04/25/34(a)(c)

      750       667,126  

Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, (3-mo. LIBOR US + 1.09%), 5.90%, 04/20/31(a)(c)

      4,360       4,314,274  
 

 

 

28  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Benefit Street Partners CLO VIII Ltd.,

     

Series 2015-8A, Class A1AR, (3-mo. LIBOR US + 1.10%), 5.91%, 01/20/31(a)(c)

    USD         2,150     $     2,124,464  

Benefit Street Partners CLO XII Ltd., Series 2017- 12A, Class B, (3-mo. LIBOR US + 2.00%), 6.79%, 10/15/30(a)(c)

      1,545       1,491,639  

Benefit Street Partners CLO XIX Ltd.,

     

Series 2019-19A, Class B, (3-mo. LIBOR US + 2.00%), 6.79%, 01/15/33(a)(c)

      250       244,654  

Benefit Street Partners CLO XX Ltd.,

     

Series 2020-20A, Class ER, (3-mo. LIBOR US + 6.75%), 11.54%, 07/15/34(a)(c)

      250       222,124  

BHG Securitization Trust

     

Series 2021-A, Class B, 2.79%, 11/17/33(a)

      1,007       880,210  

Series 2021-A, Class C, 3.69%, 11/17/33(a)

      100       85,958  

Series 2022-A, Class C, 3.08%, 02/20/35(a)

      4,080       3,369,751  

Series 2022-A, Class E, 4.30%, 02/20/35(a)

      300       231,551  

Series 2022-C, Class A, 5.32%, 10/17/35(a)

      4,289       4,252,042  

Series 2022-C, Class B, 5.93%, 10/17/35(a)

      1,625       1,622,840  

Birch Grove CLO 2 Ltd.

     

Series 2021-2A, Class A1, (3-mo. LIBOR US + 1.26%), 6.06%, 10/19/34(a)(c)

      680       664,985  

Series 2021-2A, Class B, (3-mo. LIBOR US + 1.75%), 6.55%, 10/19/34(a)(c)

      250       237,845  

Series 2021-2A, Class D1, (3-mo. LIBOR US + 3.30%), 8.10%, 10/19/34(a)(c)

      250       227,059  

Birch Grove CLO Ltd.

     

Series 19A, Class AR, (3-mo. LIBOR US + 1.13%), 6.00%, 06/15/31(a)(c)

      250       244,882  

Series 19A, Class BR, (3-mo. LIBOR US + 1.75%), 6.62%, 06/15/31(a)(c)

      250       242,450  

Series 19A, Class CR, (3-mo. LIBOR US + 2.20%), 7.07%, 06/15/31(a)(c)

      1,250       1,188,472  

Series 19A, Class DR, (3-mo. LIBOR US + 3.35%), 8.22%, 06/15/31(a)(c)

      2,695       2,546,701  

BlueMountain CLO Ltd.

     

Series 2013-2A, Class A1R, (3-mo. LIBOR US + 1.18%), 6.00%, 10/22/30(a)(c)

      6,751       6,681,587  

Series 2013-2A, Class BR, (3-mo. LIBOR US + 1.60%), 6.42%, 10/22/30(a)(c)

      500       482,345  

Series 2015-3A, Class A1R, (3-mo. LIBOR US + 1.00%), 5.81%, 04/20/31(a)(c)

      2,550       2,511,166  

Series 2018-2A, Class B, (3-mo. LIBOR US + 1.70%), 6.56%, 08/15/31(a)(c)

      300       289,099  

BlueMountain CLO XXII Ltd., Series 2018-22A, Class B, (3-mo. LIBOR US + 1.50%), 6.29%, 07/15/31(a)(c)

      3,970       3,814,972  

BlueMountain CLO XXIII Ltd.

     

Series 2018-23A, Class B, (3-mo. LIBOR US + 1.70%), 6.51%, 10/20/31(a)(c)

      250       239,190  

Series 2018-23A, Class C, (3-mo. LIBOR US + 2.15%), 6.96%, 10/20/31(a)(c)

      650       619,461  

BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3-mo. LIBOR US + 1.75%), 6.57%, 07/25/34(a)(c)

      1,080       1,035,747  

BlueMountain CLO XXV Ltd., Series 2019-25A, Class BR, (3-mo. LIBOR US + 1.70%), 6.49%, 07/15/36(a)(c)

      250       237,512  

BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class A, (3-mo. LIBOR US + 1.26%), 6.05%, 04/15/34(a)(c)

      570       557,808  
Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Bluemountain Euro CLO DAC, Series 2021-2A, Class B1, (3-mo. EURIBOR + 1.75%), 4.04%, 10/15/35(a)(c)

    EUR       3,280     $     3,313,969  

BlueMountain Fuji U.S. CLO III Ltd.

     

Series 2017-3A, Class A2, (3-mo. LIBOR US + 1.15%), 5.94%, 01/15/30(a)(c)

    USD       750       726,547  

Series 2017-3A, Class B, (3-mo. LIBOR US + 1.38%), 6.17%, 01/15/30(a)(c)

      250       239,822  

BPCRE Ltd., Series 2022-FL2, Class A, (1-mo. CME Term SOFR + 2.40%), 7.09%, 01/16/37(a)(c)

      4,517       4,470,580  

Bridge Street CLO II Ltd., Series 2021-1A, Class A1A, (3-mo. LIBOR US + 1.23%), 6.04%, 07/20/34(a)(c)

      500       489,650  

Bristol Park CLO Ltd., Series 2016-1A, Class BR, (3-mo. LIBOR US + 1.45%), 6.24%, 04/15/29(a)(c)

      400       388,747  

Burnham Park CLO Ltd., Series 2016-1A, Class BR, (3-mo. LIBOR US + 1.50%), 6.31%, 10/20/29(a)(c)

      250       244,828  

Buttermilk Park CLO Ltd.

     

Series 2018-1A, Class A1, (3-mo. LIBOR US + 1.10%), 5.89%, 10/15/31(a)(c)

      750       739,435  

Series 2018-1A, Class D, (3-mo. LIBOR US + 3.10%), 7.89%, 10/15/31(a)(c)

      625       556,616  

Canyon Capital CLO Ltd., Series 2019-1A, Class A1R, (3-mo. LIBOR US + 1.10%), 5.89%, 04/15/32(a)(c)

      2,680       2,636,545  

Canyon CLO Ltd.

     

Series 2018-1A, Class A, (3-mo. LIBOR US + 1.07%), 5.86%, 07/15/31(a)(c)

      250       246,107  

Series 2020-3A, Class B, (3-mo. LIBOR US + 1.70%), 6.49%, 01/15/34(a)(c)

      1,610       1,546,250  

Series 2020-3A, Class E, (3-mo. LIBOR US + 7.25%), 12.04%, 01/15/34(a)(c)

      250       226,160  

Carlyle C17 CLO Ltd., Series C17A, Class A1AR, (3-mo. LIBOR US + 1.03%), 5.83%, 04/30/31(a)(c)

      7,620       7,539,867  

Carlyle Global Market Strategies CLO Ltd.

     

Series 2013-3A, Class A1AR, (3-mo. LIBOR US + 1.10%), 5.89%, 10/15/30(a)(c)

      244       241,852  

Series 2013-4A, Class A1RR, (3-mo. LIBOR US + 1.00%), 5.79%, 01/15/31(a)(c)

      1,853       1,836,007  

Series 2014-1A, Class A1R2, (3-mo. LIBOR US + 0.97%), 5.76%, 04/17/31(a)(c)

      3,160       3,122,276  

Series 2016-1A, Class A1R2, (3-mo. LIBOR US + 1.14%), 5.95%, 04/20/34(a)(c)

      250       244,059  

Carlyle U.S. CLO Ltd.

     

Series 2016-4A, Class A2R, (3-mo. LIBOR US + 1.45%), 6.26%, 10/20/27(a)(c)

      750       737,152  

Series 2017-4A, Class A1, (3-mo. LIBOR US + 1.18%), 5.97%, 01/15/30(a)(c)

      4,620       4,577,940  

Series 2018-1A, Class A2, (3-mo. LIBOR US + 1.50%), 6.31%, 04/20/31(a)(c)

      250       243,568  

Series 2018-4A, Class B, (3-mo. LIBOR US + 2.07%), 6.88%, 01/20/31(a)(c)

      470       456,351  

Series 2019-2A, Class A1R, (3-mo. LIBOR US + 1.12%), 5.91%, 07/15/32(a)(c)

      4,000       3,936,200  

Series 2021-1A, Class A1, (3-mo. LIBOR US + 1.14%), 5.93%, 04/15/34(a)(c)

      250       244,008  

Series 2021-6A, Class A1, (3-mo. LIBOR US + 1.16%), 5.95%, 07/15/34(a)(c)

      3,590       3,508,706  
 

 

 

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

  29


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Carrington Mortgage Loan Trust

     

Series 2006-NC1, Class M2, (1-mo. LIBOR US + 0.63%), 5.48%, 01/25/36(c)

    USD       610     $ 483,394  

Series 2006-NC4, Class A3, (1-mo. LIBOR US + 0.16%), 5.01%, 10/25/36(c)

      376       359,146  

CarVal CLO II Ltd., Series 2019-1A, Class CR, (3-mo. LIBOR US + 2.00%), 6.81%, 04/20/32(a)(c)

      700       663,466  

CarVal CLO III Ltd., Series 2019-2A, Class E, (3-mo. LIBOR US + 6.44%), 11.25%, 07/20/32(a)(c)

      250       219,617  

CarVal CLO VC Ltd.

     

Series 2021-2A, Class D, (3-mo. LIBOR US + 3.25%), 8.04%, 10/15/34(a)(c)

      250       233,116  

Series 2021-2A, Class E, (3-mo. LIBOR US + 6.75%), 11.54%, 10/15/34(a)(c)

      250       220,091  

Cascade MH Asset Trust, Series 2019-MH1,

     

Class A, 4.00%, 11/25/44(a)(c)

      8,296         7,797,462  

CBAM Ltd.

     

Series 2017-1A, Class A1, (3-mo. LIBOR US + 1.25%), 6.06%, 07/20/30(a)(c)

      6,408       6,356,034  

Series 2017-1A, Class C, (3-mo. LIBOR US + 2.40%), 7.21%, 07/20/30(a)(c)

      750       729,361  

Series 2018-6A, Class B1R, (3-mo. CME Term SOFR + 2.36%), 7.02%, 01/15/31(a)(c)

      250       243,686  

Series 2018-7A, Class A, (3-mo. LIBOR US + 1.10%), 5.91%, 07/20/31(a)(c)

      250       245,851  

Series 2018-7A, Class B1, (3-mo. LIBOR US + 1.60%), 6.41%, 07/20/31(a)(c)

      250       242,239  

Series 2019-9A, Class B2, (3-mo. LIBOR US + 1.90%), 6.69%, 02/12/30(a)(c)

      500       491,665  

C-BASS Trust, Series 2006-CB7, Class A4, (1-mo. LIBOR US + 0.32%), 5.17%, 10/25/36(c)

      402       260,541  

Cedar Funding II CLO Ltd.

     

Series 2013-1A, Class ARR, (3-mo. LIBOR US + 1.08%), 5.89%, 04/20/34(a)(c)

      3,255       3,174,586  

Series 2013-1A, Class BRR, (3-mo. LIBOR US + 1.35%), 6.16%, 04/20/34(a)(c)

      3,110       2,947,722  

Cedar Funding IX CLO Ltd.

     

Series 2018-9A, Class A1, (3-mo. LIBOR US + 0.98%), 5.79%, 04/20/31(a)(c)

      940       928,289  

Series 2018-9A, Class D, (3-mo. LIBOR US + 2.60%), 7.41%, 04/20/31(a)(c)

      250       225,165  

Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3-mo. LIBOR US + 1.10%), 5.89%, 07/17/31(a)(c)

      2,130       2,098,728  

Cedar Funding VI CLO Ltd., Series 2016-6A, Class ARR, (3-mo. LIBOR US + 1.05%), 5.86%, 04/20/34(a)(c)

      18,290       17,825,485  

Cedar Funding VII CLO Ltd., Series 2018-7A,

     

Class A2, (3-mo. LIBOR US + 1.13%), 5.94%, 01/20/31(a)(c)

      250       241,054  

Cedar Funding XI CLO Ltd., Series 2019-11A, Class A2R, (3-mo. LIBOR US + 1.35%), 6.30%, 05/29/32(a)(c)

      1,220       1,187,695  

Cedar Funding XIV CLO Ltd., Series 2021-14A, Class D, (3-mo. LIBOR US + 3.25%), 8.04%, 07/15/33(a)(c)

      250       221,759  

CIFC European Funding CLO II DAC, Series 2X, Class B1, (3-mo. EURIBOR + 1.60%), 3.89%, 04/15/33(c)(d)

    EUR       900       917,536  
Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

CIFC Funding Ltd.

     

Series 2012-2RA, Class A2, (3-mo. LIBOR US + 1.25%), 6.06%, 01/20/28(a)(c)

    USD       750     $ 737,774  

Series 2013-1A, Class A2R, (3-mo. LIBOR US + 1.75%), 6.54%, 07/16/30(a)(c)

      750       732,893  

Series 2013-1A, Class CR, (3-mo. LIBOR US + 3.55%), 8.34%, 07/16/30(a)(c)

      250       229,729  

Series 2013-4A, Class BRR, (3-mo. LIBOR US + 1.60%), 6.42%, 04/27/31(a)(c)

      500       488,002  

Series 2013-4A, Class DRR, (3-mo. LIBOR US + 2.80%), 7.62%, 04/27/31(a)(c)

      250       232,904  

Series 2014-2RA, Class A1, (3-mo. LIBOR US + 1.05%), 5.87%, 04/24/30(a)(c)

      233       231,148  

Series 2014-2RA, Class B1, (3-mo. LIBOR US + 2.80%), 7.62%, 04/24/30(a)(c)

      650       611,036  

Series 2014-3A, Class BR2, (3-mo. LIBOR US + 1.80%), 6.62%, 10/22/31(a)(c)

      700       682,705  

Series 2015-1A, Class ARR, (3-mo. LIBOR US + 1.11%), 5.93%, 01/22/31(a)(c)

      250       247,738  

Series 2015-1A, Class BRR, (3-mo. LIBOR US + 1.45%), 6.27%, 01/22/31(a)(c)

      250       243,506  

Series 2015-3A, Class BR, (3-mo. LIBOR US + 1.15%), 5.95%, 04/19/29(a)(c)

      1,420       1,381,445  

Series 2017-1A, Class AR, (3-mo. LIBOR US + 1.01%), 5.83%, 04/23/29(a)(c)

      4,935         4,890,495  

Series 2017-1A, Class B, (3-mo. LIBOR US + 1.70%), 6.52%, 04/23/29(a)(c)

      2,910       2,862,794  

Series 2017-1A, Class C, (3-mo. LIBOR US + 2.45%), 7.27%, 04/23/29(a)(c)

      250       242,979  

Series 2017-5A, Class A1, (3-mo. LIBOR US + 1.18%), 5.97%, 11/16/30(a)(c)

      331       328,555  

Series 2017-5A, Class C, (3-mo. LIBOR US + 2.85%), 7.64%, 11/16/30(a)(c)

      300       276,840  

Series 2018-1A, Class A, (3-mo. LIBOR US + 1.00%), 5.80%, 04/18/31(a)(c)

      6,964       6,881,576  

Series 2019-5A, Class A1R1, (3-mo. LIBOR US + 1.14%), 5.93%, 01/15/35(a)(c)

      400       390,171  

Series 2020-1A, Class A1R, (3-mo. LIBOR US + 1.15%), 5.94%, 07/15/36(a)(c)

      1,200       1,172,596  

Series 2020-1A, Class BR, (3-mo. LIBOR US + 1.65%), 6.44%, 07/15/36(a)(c)

      3,260       3,148,516  

Series 2020-3A, Class A1R, (3-mo. LIBOR US + 1.13%), 5.94%, 10/20/34(a)(c)

      7,210       7,034,856  

Series 2021-4A, Class A, (3-mo. LIBOR US + 1.05%), 5.84%, 07/15/33(a)(c)

      6,450       6,358,513  

Series 2021-4A, Class B, (3-mo. LIBOR US + 1.58%), 6.37%, 07/15/33(a)(c)

      500       485,647  

Series 2021-4A, Class C, (3-mo. LIBOR US + 1.85%), 6.64%, 07/15/33(a)(c)

      250       240,009  

Series 2021-5A, Class A, (3-mo. LIBOR US + 1.14%), 5.93%, 07/15/34(a)(c)

      1,690       1,650,878  

Citigroup Mortgage Loan Trust

     

Series 2007-AHL2, Class A3B, (1-mo. LIBOR US + 0.20%), 5.05%, 05/25/37(c)

      4,779       3,146,869  

Series 2007-AHL2, Class A3C, (1-mo. LIBOR US + 0.27%), 5.12%, 05/25/37(c)

      2,171       1,434,224  

Series 2007-AHL3, Class A3B, (1-mo. LIBOR US + 0.17%), 5.02%, 07/25/45(c)

      3,530       2,469,306  

Clear Creek CLO

     

Series 2015-1A, Class AR, (3-mo. LIBOR US + 1.20%), 6.01%, 10/20/30(a)(c)

      1,173       1,161,057  
 

 

 

30  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Clear Creek CLO

     

Series 2015-1A, Class DR, (3-mo. LIBOR US + 2.95%), 7.76%, 10/20/30(a)(c)

    USD       620     $ 578,995  

Clontarf Park CLO DAC, Series 1X, Class CE, (3-mo. EURIBOR + 3.05%), 5.59%, 08/05/30(c)(d)

    EUR       1,750       1,830,424  

College Ave Student Loans LLC

     

Series 2021-B, Class B, 2.42%, 06/25/52(a)

    USD       1,120       984,367  

Series 2021-B, Class C, 2.72%, 06/25/52(a)

      480       405,961  

Series 2021-B, Class D, 3.78%, 06/25/52(a)

      120       101,870  

Series 2021-C, Class D, 4.11%, 07/26/55(a)

      270       224,691  

Concord Music Royalties LLC, Series 2022-1A, Class A2, 6.50%, 01/20/73(a)

      8,180         8,069,341  

Conseco Finance Corp.

     

Series 1997-3, Class M1, 7.53%, 03/15/28(c)

      720       676,598  

Series 1997-6, Class M1, 7.21%, 01/15/29(c)

      131       122,199  

Series 1998-4, Class M1, 6.83%, 04/01/30(c)

      253       227,180  

Series 1998-8, Class A1, 6.28%, 09/01/30

      19       18,522  

Series 1998-8, Class M1, 6.98%, 09/01/30(c)

      2,208       1,996,124  

Series 1999-5, Class A5, 7.86%, 03/01/30(c)

      820       336,991  

Series 1999-5, Class A6, 7.50%, 03/01/30(c)

      879       347,442  

Series 2001-D, Class B1, (1-mo. LIBOR US + 2.50%), 7.18%, 11/15/32(c)

      111       140,563  

Conseco Finance Securitizations Corp.

     

Series 2000-1, Class A5, 8.06%, 09/01/29(c)

      1,445       308,465  

Series 2000-4, Class A6, 8.31%, 05/01/32(c)

      1,224       247,804  

Series 2000-5, Class A6, 7.96%, 05/01/31

      2,109       640,556  

Series 2000-5, Class A7, 8.20%, 05/01/31

      3,847       1,203,546  

Cook Park CLO Ltd., Series 2018-1A, Class B, (3-mo. LIBOR US + 1.40%), 6.19%, 04/17/30(a)(c)

      250       243,400  

Countrywide Asset-Backed Certificates

     

Series 2004-5, Class A, (1-mo. LIBOR US + 0.90%), 5.75%, 10/25/34(c)

      370       348,625  

Series 2005-16, Class 1AF, 4.52%, 04/25/36(c)

      2,322       2,010,015  

Series 2006-11, Class 3AV2, (1-mo. LIBOR US + 0.16%), 5.01%, 09/25/46(c)

      21       20,689  

Series 2006-12, Class 1A, (1-mo. LIBOR US + 0.26%), 5.11%, 12/25/36(c)

      1,671       1,496,019  

Series 2006-17, Class 2A2, (1-mo. LIBOR US + 0.30%), 5.15%, 03/25/47(c)

      98       95,347  

Series 2006-18, Class M1, (1-mo. LIBOR US + 0.45%), 5.30%, 03/25/37(c)

      6,524       5,565,467  

Series 2006-SPS1, Class A, (1-mo. LIBOR US + 0.22%), 5.07%, 12/25/25(c)

      3       36,962  

Series 2007-12, Class 1A2, (1-mo. LIBOR US + 0.84%), 5.69%, 08/25/47(c)

      3,382       3,199,206  

Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1-mo. LIBOR US + 0.27%), 4.95%, 03/15/34(c)

      233       222,864  

Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class B1, 8.10%, 09/25/31(c)

      827       826,778  

Credit Suisse Mortgage Trust, Series 2021-JR1, Class A1, 2.47%, 09/27/66(a)(c)

      23,901       22,936,857  

Credit-Based Asset Servicing & Securitization LLC

     

Series 2006-CB2, Class AF4, 3.04%, 12/25/36(b)

      348       273,827  

Series 2006-MH1, Class B1, 6.75%, 10/25/36(a)(b)

      561       532,739  
Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Credit-Based Asset Servicing & Securitization LLC

     

Series 2006-SL1, Class A2, 6.06%, 09/25/36(a)(b)

    USD       2,800     $ 167,839  

Series 2007-CB6, Class A4, (1-mo. LIBOR US + 0.34%), 4.96%, 07/25/37(a)(c)

      453       295,837  

Crown City CLO III, Series 2021-1A, Class A1A, (3-mo. LIBOR US + 1.17%), 5.98%, 07/20/34(a)(c)

      250       243,878  

CVC Cordatus Loan Fund IV DAC, Series 4X, Class BR1, (3-mo. EURIBOR + 1.30%), 3.97%, 02/22/34(c)(d)

    EUR       990         1,005,581  

CVC Cordatus Loan Fund V DAC, Series 5X, Class B1R, (3-mo. EURIBOR + 1.50%), 3.89%, 07/21/30(c)(d)

      250       261,258  

CWHEQ Home Equity Loan Trust

     

Series 2006-S3, Class A4, 5.73%, 01/25/29(b)

    USD       48       69,953  

Series 2006-S5, Class A5, 6.16%, 06/25/35

      65       82,418  

CWHEQ Revolving Home Equity Loan Resuritization Trust

     

Series 2006-RES, Class 4Q1B, (1-mo. LIBOR US + 0.30%), 4.98%, 12/15/33(a)(c)

      136       134,384  

Series 2006-RES, Class 5B1A, (1-mo. LIBOR US + 0.19%), 4.87%, 05/15/35(a)(c)

      34       33,339  

Series 2006-RES, Class 5B1B, (1-mo. LIBOR US + 0.19%), 4.87%, 05/15/35(a)(c)

      45       44,092  

CWHEQ Revolving Home Equity Loan Trust

     

Series 2005-B, Class 2A, (1-mo. LIBOR US + 0.18%), 4.86%, 05/15/35(c)

      127       124,513  

Series 2006-C, Class 2A, (1-mo. LIBOR US + 0.18%), 4.86%, 05/15/36(c)

      765       730,412  

Series 2006-H, Class 1A, (1-mo. LIBOR US + 0.15%), 4.83%, 11/15/36(c)

      455       439,357  

Deer Creek CLO Ltd.

     

Series 2017-1A, Class A, (3-mo. LIBOR US + 1.18%), 5.99%, 10/20/30(a)(c)

      5,204       5,148,957  

Series 2017-1A, Class B, (3-mo. LIBOR US + 1.65%), 6.46%, 10/20/30(a)(c)

      500       488,163  

Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3-mo. LIBOR US + 1.24%), 6.03%, 07/15/36(a)(c)

      1,180       1,155,942  

Diameter Capital CLO 2 Ltd., Series 2021-2A, Class A1, (3-mo. LIBOR US + 1.22%), 6.01%, 10/15/36(a)(c)

      250       243,577  

Diameter Capital CLO 3 Ltd., Series 2022-3A, Class A1A, (3-mo. CME Term SOFR + 1.39%), 6.05%, 04/15/37(a)(c)

      510       497,256  

Dryden 40 Senior Loan Fund, Series 2015-40A, Class CR, (3-mo. LIBOR US + 2.10%), 6.96%, 08/15/31(a)(c)

      300       288,662  

Dryden 42 Senior Loan Fund, Series 2016-42A,

     

Class CR, (3-mo. LIBOR US + 2.05%), 6.84%, 07/15/30(a)(c)

      250       239,384  

Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3-mo. LIBOR US + 1.04%), 5.85%, 04/20/34(a)(c)

      5,540       5,421,867  

Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR, (3-mo. LIBOR US + 1.70%), 6.49%, 10/15/30(a)(c)

      3,440       3,337,528  

Dryden 49 Senior Loan Fund, Series 2017-49A, Class BR, (3-mo. LIBOR US + 1.60%), 6.40%, 07/18/30(a)(c)

      500       485,002  
 

 

 

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

  31


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Dryden 50 Senior Loan Fund, Series 2017-50A, Class B, (3-mo. LIBOR US + 1.65%), 6.44%, 07/15/30(a)(c)

    USD       450     $ 436,581  

Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3-mo. LIBOR US + 1.12%), 5.91%, 01/15/31(a)(c)

      18,720         18,518,835  

Dryden 65 CLO Ltd., Series 2018-65A, Class B, (3-mo. LIBOR US + 1.60%), 6.40%, 07/18/30(a)(c)

      300       291,830  

Dryden 76 CLO Ltd., Series 2019-76A, Class A1R, (3-mo. LIBOR US + 1.15%), 5.96%, 10/20/34(a)(c)

      750       728,891  

Dryden 77 CLO Ltd.

     

Series 2020-77A, Class AR, (3-mo. LIBOR US + 1.12%), 6.04%, 05/20/34(a)(c)

      3,580       3,494,907  

Series 2020-77A, Class XR, (3-mo. LIBOR US + 1.00%), 5.92%, 05/20/34(a)(c)

      406       404,094  

Dryden 78 CLO Ltd.

     

Series 2020-78A, Class B, (3-mo. LIBOR US + 1.50%), 6.29%, 04/17/33(a)(c)

      500       480,079  

Series 2020-78A, Class D, (3-mo. LIBOR US + 3.00%), 7.79%, 04/17/33(a)(c)

      250       228,427  

Dryden 83 CLO Ltd.

     

Series 2020-83A, Class A, (3-mo. LIBOR US + 1.22%), 6.02%, 01/18/32(a)(c)

      250       246,576  

Series 2020-83A, Class E, (3-mo. LIBOR US + 5.55%), 10.35%, 01/18/32(a)(c)

      350       299,948  

Dryden Senior Loan Fund, Series 2021-87A, Class A1, (3-mo. LIBOR US + 1.10%), 6.02%, 05/20/34(a)(c)

      2,330       2,273,076  

Dryden XXVI Senior Loan Fund, Series 2013- 26A, Class AR, (3-mo. LIBOR US + 0.90%), 5.69%, 04/15/29(a)(c)

      1,024       1,013,866  

Dryden XXVIII Senior Loan Fund, Series 2013- 28A, Class A1LR, (3-mo. LIBOR US + 1.20%), 6.06%, 08/15/30(a)(c)

      8,765       8,700,453  

Eaton Vance CLO Ltd.

     

Series 2014-1RA, Class A2, (3-mo. LIBOR US + 1.49%), 6.28%, 07/15/30(a)(c)

      250       244,995  

Series 2018-1A, Class C, (3-mo. LIBOR US + 2.20%), 6.99%, 10/15/30(a)(c)

      3,550       3,410,898  

EDvestinU Private Education Loan Issue No. 4 LLC, Series 2022-A, Class A, 5.25%, 11/25/40(a)

      3,256       3,160,497  

Elmwood CLO I Ltd., Series 2019-1A, Class AR, (3-mo. LIBOR US + 1.45%), 6.26%, 10/20/33(a)(c)

      250       248,358  

Elmwood CLO II Ltd.

     

Series 2019-2A, Class AR, (3-mo. LIBOR US + 1.15%), 5.96%, 04/20/34(a)(c)

      3,750       3,660,838  

Series 2019-2A, Class BR, (3-mo. LIBOR US + 1.65%), 6.46%, 04/20/34(a)(c)

      500       484,747  

Series 2019-2A, Class ER, (3-mo. LIBOR US + 6.80%), 11.61%, 04/20/34(a)(c)

      1,500       1,422,587  

Elmwood CLO V Ltd.

     

Series 2020-2A, Class BR, (3-mo. LIBOR US + 1.65%), 6.46%, 10/20/34(a)(c)

      2,880       2,787,411  

Series 2020-2A, Class CR, (3-mo. LIBOR US + 2.00%), 6.81%, 10/20/34(a)(c)

      2,514       2,405,528  

Elmwood CLO X Ltd.

     

Series 2021-3A, Class A, (3-mo. LIBOR US + 1.04%), 5.85%, 10/20/34(a)(c)

      7,250       7,135,776  
Security          Par
(000)
    Value  

Asset-Backed Securities (continued)

 

Elmwood CLO X Ltd.

     

Series 2021-3A, Class C, (3-mo. LIBOR US + 1.95%), 6.76%, 10/20/34(a)(c)

    USD       1,200     $     1,158,987  

Elmwood CLO XII Ltd., Series 2021-5A, Class A, (3-mo. LIBOR US + 1.15%), 5.96%, 01/20/35(a)(c)

      790       768,395  

Euro-Galaxy III CLO BV

     

Series 2013-3A, Class CRRR, (3-mo. EURIBOR + 2.35%), 4.77%,
04/24/34(a)(c)

    EUR       700       716,084  

Series 2013-3A, Class DRRR, (3-mo. EURIBOR + 3.25%), 5.67%,
04/24/34(a)(c)

      1,585       1,552,441  

Fairstone Financial Issuance Trust I, Series 2020-1A, Class B, 3.74%, 10/20/39(a)

    CAD       2,743       1,978,756  

FBR Securitization Trust, Series 2005-5, Class M2, (1-mo. LIBOR US + 0.71%), 5.55%, 11/25/35(c)

    USD       5,428       5,251,372  

Fidelity Grand Harbour CLO DAC, Series 2021-1A, Class D, (3-mo. EURIBOR + 3.60%), 5.89%, 10/15/34(a)(c)

    EUR       500       474,444  

First Franklin Mortgage Loan Trust

     

Series 2004-FFH3, Class M3, (1-mo. LIBOR US + 1.05%), 5.90%, 10/25/34(c)

    USD       1,000       902,260  

Series 2006-FF13, Class A1, (1-mo. LIBOR US + 0.24%), 5.09%, 10/25/36(c)

      2,041       1,350,229  

Series 2006-FF13, Class A2C, (1-mo. LIBOR US + 0.32%), 5.17%, 10/25/36(c)

      1,197       794,499  

Series 2006-FF16, Class 2A3, (1-mo. LIBOR US + 0.28%), 5.13%, 12/25/36(c)

      10,011       4,173,971  

Series 2006-FF17, Class A5, (1-mo. LIBOR US + 0.15%), 5.00%, 12/25/36(c)

      9,994       9,042,430  

Series 2006-FFH1, Class M2, (1-mo. LIBOR US + 0.60%), 5.45%, 01/25/36(c)

      2,792       2,363,725  

FirstKey Homes Trust, Series 2020-SFR1, Class F1, 3.64%, 08/17/37(a)

      2,690       2,484,979  

Flatiron CLO 18 Ltd., Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.21%), 5.87%, 04/17/31(a)(c)

      1,230       1,214,232  

Flatiron CLO 19 Ltd., Series 2019-1A, Class DR, (3-mo. LIBOR US + 3.00%), 7.87%, 11/16/34(a)(c)

      250       233,168  

Flatiron CLO 21 Ltd., Series 2021-1A, Class A1, (3-mo. LIBOR US + 1.11%), 5.91%, 07/19/34(a)(c)

      13,960       13,648,601  

Foundation Finance Trust, Series 2021-2A, Class A, 2.19%, 01/15/42(a)

      4,478       4,120,019  

Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1-mo. LIBOR US + 0.28%), 5.13%, 02/25/37(c)

      2,107       1,610,846  

FS Rialto Issuer Ltd.

     

Series 2021-FL3, Class A, (1-mo. LIBOR US + 1.25%), 5.98%, 11/16/36(a)(c)

      4,032       3,959,131  

Series 2022-FL4, Class A, (SOFR (30-day) + 1.90%), 6.46%, 01/19/39(a)(c)

      18,101       17,740,218  

Series 2022-FL5, Class A, (1-mo. CME Term SOFR + 2.30%), 7.00%, 06/19/37(a)(c)

      4,435       4,397,277  

Series 2022-FL6, Class A, (1-mo. CME Term SOFR + 2.58%), 7.27%, 08/17/37(a)(c)

      10,459       10,364,596  

Galaxy XIX CLO Ltd., Series 2015-19A, Class A2RR, (3-mo. LIBOR US + 1.40%), 6.22%, 07/24/30(a)(c)

      250       242,205  
 

 

 

32  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Galaxy XV CLO Ltd., Series 2013-15A, Class ARR, (3-mo. LIBOR US + 0.97%), 5.76%, 10/15/30(a)(c)

    USD       1,332     $     1,316,455  

Galaxy XVIII CLO Ltd., Series 2018-28A, Class A1, (3-mo. LIBOR US + 1.10%), 5.89%, 07/15/31(a)(c)

      1,220       1,200,946  

Galaxy XXII CLO Ltd., Series 2016-22A, Class ARR, (3-mo. LIBOR US + 1.20%), 5.99%, 04/16/34(a)(c)

      4,180       4,083,445  

Generate CLO 2 Ltd., Series 2A, Class AR, (3- mo. LIBOR US + 1.15%), 5.97%, 01/22/31(a)(c)

      250       246,929  

Generate CLO 3 Ltd., Series 3A, Class BR, (3- mo. LIBOR US + 1.75%), 6.56%, 10/20/29(a)(c)

      3,380       3,337,530  

Generate CLO 4 Ltd.

     

Series 4A, Class A1R, (3-mo. LIBOR US + 1.09%), 5.90%, 04/20/32(a)(c)

      8,250       8,147,426  

Series 4A, Class BR, (3-mo. LIBOR US + 1.55%), 6.36%, 04/20/32(a)(c)

      3,000       2,901,878  

Generate CLO 7 Ltd.

     

Series 7A, Class A1, (3-mo. LIBOR US + 1.37%), 6.19%, 01/22/33(a)(c)

      250       245,208  

Series 7A, Class C, (3-mo. LIBOR US + 2.75%), 7.57%, 01/22/33(a)(c)

      500       480,590  

Gilbert Park CLO Ltd.

     

Series 2017-1A, Class A, (3-mo. LIBOR US + 1.19%), 5.98%, 10/15/30(a)(c)

      500       495,234  

Series 2017-1A, Class B, (3-mo. LIBOR US + 1.60%), 6.39%, 10/15/30(a)(c)

      250       242,901  

Series 2017-1A, Class C, (3-mo. LIBOR US + 1.95%), 6.74%, 10/15/30(a)(c)

      3,360       3,246,108  

Series 2017-1A, Class D, (3-mo. LIBOR US + 2.95%), 7.74%, 10/15/30(a)(c)

      2,652       2,417,622  

GoldenTree Loan Management U.S. CLO 1 Ltd.

     

Series 2017-1A, Class A1R2, (3-mo. LIBOR US + 1.02%), 5.83%,
04/20/34(a)(c)

      450       439,906  

Series 2021-11A, Class A, (3-mo. LIBOR US + 1.13%), 5.94%, 10/20/34(a)(c)

      5,520       5,385,552  

Series 2021-11A, Class E, (3-mo. LIBOR US + 5.35%), 10.16%, 10/20/34(a)(c)

      250       224,881  

Series 2021-9A, Class E, (3-mo. LIBOR US + 4.75%), 9.56%, 01/20/33(a)(c)

      250       207,759  

GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class B1, (3-mo. LIBOR US + 1.55%), 6.36%, 04/20/30(a)(c)

      500       489,731  

GoldenTree Loan Opportunities IX Ltd.

     

Series 2014-9A, Class AR2, (3-mo. LIBOR US + 1.11%), 5.91%, 10/29/29(a)(c)

      1,478       1,468,642  

Series 2014-9A, Class BR2, (3-mo. LIBOR US + 1.60%), 6.40%, 10/29/29(a)(c)

      1,000       983,584  

GoldenTree Loan Opportunities X Ltd.

     

Series 2015-10A, Class AR, (3-mo. LIBOR US + 1.12%), 5.93%, 07/20/31(a)(c)

      4,688       4,636,767  

Series 2015-10A, Class DR, (3-mo. LIBOR US + 3.05%), 7.86%, 07/20/31(a)(c)

      500       473,154  

GoldenTree Loan Opportunities XI Ltd.,

     

Series 2015-11A, Class AR2, (3-mo. LIBOR US + 1.07%), 5.87%,
01/18/31(a)(c)

      3,749       3,712,071  

Goldman Home Improvement Trust, Series 2022- GRN2, Class A, 6.80%, 10/25/52(a)

      3,853       3,846,351  

Golub Capital Partners CLO Ltd.,
Series 2021- 55A, Class A, (3-mo. LIBOR US + 1.20%), 6.01%, 07/20/34(a)(c)

      430       419,640  
Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

GoodLeap Sustainable Home Solutions Trust

     

Series 2022-3CS, Class A, 4.95%, 07/20/49(a)

   
.
USD
 
 
    5,228     $     4,981,745  

Series 2023-1GS, Class A, 5.52%, 02/22/55(a)

      4,737       4,626,211  

Gracie Point International Funding

     

Series 2021-1A, Class B, (1-mo. LIBOR US + 1.40%), 6.06%, 11/01/23(a)(c)

      710       709,357  

Series 2021-1A, Class C, (1-mo. LIBOR US + 2.40%), 7.06%, 11/01/23(a)(c)

      940       938,705  

Series 2022-2A, Class A, (SOFR (30-day) + 2.75%), 7.37%, 07/01/24(a)(c)

      9,317       9,319,762  

Series 2022-2A, Class B, (SOFR (30-day) + 3.35%), 7.97%, 07/01/24(a)(c)

      3,708       3,709,035  

Series 2022-3A, Class A, (SOFR (30-day) + 3.25%), 7.77%, 11/01/24(a)(c)

      5,550       5,558,695  

GreenPoint Manufactured Housing

     

Series 1999-5, Class M1B, 8.29%, 12/15/29(c)

    .       357       354,395  

Series 1999-5, Class M2, 9.23%, 12/15/29(c)

      806       702,509  

Greystone CRE Notes Ltd., Series 2021-FL3, Class A, (1-mo. CME Term SOFR + 1.13%), 5.96%, 07/15/39(a)(c)

      1,368       1,330,408  

Grippen Park CLO Ltd.

     

Series 2017-1A, Class A, (3-mo. LIBOR US + 1.26%), 6.07%, 01/20/30(a)(c)

      942       936,717  

Series 2017-1A, Class D, (3-mo. LIBOR US + 3.30%), 8.11%, 01/20/30(a)(c)

      250       235,136  

GSAA Home Equity Trust

     

Series 2005-14, Class 1A2, (1-mo. LIBOR US + 0.70%), 5.55%, 12/25/35(c)

      836       345,057  

Series 2006-4, Class 1A1, 3.60%, 03/25/36(c)

      1,656       1,152,964  

Series 2006-5, Class 2A1, (1-mo. LIBOR US + 0.14%), 4.99%, 03/25/36(c)

      11       4,096  

Series 2007-2, Class AF3, 5.92%, 03/25/37(c)

      456       90,912  

GSAMP Trust

     

Series 2007-H1, Class A1B, (1-mo. LIBOR US + 0.40%), 5.25%, 01/25/47(c)

      764       382,901  

Series 2007-HS1, Class M6, (1-mo. LIBOR US + 3.38%), 8.22%, 02/25/47(c)

      1,300       1,207,361  

GT Loan Financing I Ltd., Series 2013-1A, Class CR, (3-mo. LIBOR US + 2.10%), 6.90%, 07/28/31(a)(c)

      250       244,478  

Gulf Stream Meridian 1 Ltd.

     

Series 2020-IA, Class A1, (3-mo. LIBOR US + 1.37%), 6.16%, 04/15/33(a)(c)

      6,320       6,216,539  

Series 2020-IA, Class B, (3-mo. LIBOR US + 2.00%), 6.79%, 04/15/33(a)(c)

      250       239,663  

Gulf Stream Meridian 3 Ltd., Series 2021-IIIA, Class A1, (3-mo. LIBOR US + 1.32%), 6.11%, 04/15/34(a)(c)

      300       293,738  

Gulf Stream Meridian 4 Ltd.

     

Series 2021-4A, Class A1, (3-mo. LIBOR US + 1.20%), 5.99%, 07/15/34(a)(c)

      12,060       11,822,306  

Series 2021-4A, Class A2, (3-mo. LIBOR US + 1.85%), 6.64%, 07/15/34(a)(c)

      1,750       1,704,349  

Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3-mo. LIBOR US + 1.80%), 6.59%, 07/15/34(a)(c)

      470       457,514  

Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class A1, (3-mo. CME Term SOFR + 1.36%), 5.99%, 07/15/35(a)(c)

      1,950       1,896,400  

Henley CLO IV DAC

     

Series 4A, Class D, (3-mo. EURIBOR + 3.00%), 5.45%, 04/25/34(a)(c)

    EUR       750       715,517  
 

 

 

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

  33


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Henley CLO IV DAC

     

Series 4X, Class B1, (3-mo. EURIBOR + 1.35%), 3.80%, 04/25/34(c)(d)

    EUR       540     $ 545,234  

Highbridge Loan Management Ltd.

     

Series 12A-18, Class A1B, (3-mo. LIBOR US + 1.25%), 6.05%, 07/18/31(a)(c)

    USD       750       732,115  

Series 3A-2014, Class A1R, (3-mo. LIBOR US + 1.18%), 5.98%, 07/18/29(a)(c)

      2,753         2,734,451  

Series 7A-2015, Class BR, (3-mo. LIBOR US + 1.18%), 6.04%, 03/15/27(a)(c)

      750       749,317  

Hipgnosis Music Assets LP, Series 2022-1, Class A, 5.00%, 05/16/62(a)

      7,212       6,764,277  

Home Equity Asset Trust

     

Series 2006-3, Class M2, (1-mo. LIBOR US + 0.60%), 5.45%, 07/25/36(c)

      2,440       2,157,047  

Series 2007-1, Class 2A3, (1-mo. LIBOR US + 0.30%), 5.15%, 05/25/37(c)

      1,864       1,414,939  

Home Equity Mortgage Loan Asset-Backed Trust

     

Series 2004-A, Class M2, (1-mo. LIBOR US + 2.03%), 4.07%, 07/25/34(c)

      324       309,408  

Series 2007-A, Class 2A2, (1-mo. LIBOR US + 0.19%), 5.04%, 04/25/37(c)

      1,527       986,163  

Home Equity Mortgage Trust, Series 2006-2, Class 1A1, 5.87%, 07/25/36(b)

      1,720       196,398  

Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26(a)

      8,796       7,628,050  

HPS Loan Management Ltd.

     

Series 10A-16, Class A1RR, (3-mo. LIBOR US + 1.14%), 5.95%, 04/20/34(a)(c)

      5,620       5,492,183  

Series 6A-2015, Class A1R, (3-mo. LIBOR US + 1.00%), 5.81%, 02/05/31(a)(c)

      11,313       11,217,044  

Series 9A-2016, Class A1BR, (3-mo. LIBOR US + 1.40%), 6.20%,
07/19/30(a)(c)

      300       291,402  

ICG U.S. CLO Ltd., Series 2015-1A, Class A1R, (3-mo. LIBOR US + 1.14%), 5.94%, 10/19/28(a)(c)

      3,380       3,354,392  

Invesco Euro CLO V DAC, Series 5X, Class D, (3-mo. EURIBOR + 3.80%), 6.09%, 01/15/34(c)(d)

    EUR       350       342,685  

Jamestown CLO XVI Ltd., Series 2021-16A, Class B, (3-mo. LIBOR US + 1.80%), 6.62%, 07/25/34(a)(c)

    USD       250       239,655  

JPMorgan Mortgage Acquisition Trust,

     

Series 2006-CW1, Class M1, (1-mo. LIBOR US + 0.41%), 5.25%, 05/25/36(c)

      842       811,544  

Kapitus Asset Securitization LLC, Series 2022-1A, Class A, 3.38%, 07/10/28(a)

      7,928       7,448,373  

KKR CLO 10 Ltd., Series 10, Class BR, (3-mo. LIBOR US + 1.70%), 6.57%, 09/15/29(a)(c)

      360       353,392  

LCM 26 Ltd., Series 26A, Class A1, (3-mo. LIBOR US + 1.07%), 5.88%, 01/20/31(a)(c)

      8,120       8,005,923  

LCM 29 Ltd., Series 29A, Class AR, (3-mo.

     

LIBOR US + 1.07%), 5.86%, 04/15/31(a)(c)

      850       834,161  

LCM XIV LP, Series 14A, Class AR, (3-mo. LIBOR US + 1.04%), 5.85%, 07/20/31(a)(c)

      500       490,854  

LCM XVII LP, Series 17A, Class A1AR, (3-mo. LIBOR US + 1.13%), 5.92%, 10/15/31(a)(c)

      350       344,713  

LCM XX LP

     

Series 20A, Class AR, (3-mo. LIBOR US + 1.04%), 5.85%, 10/20/27(a)(c)

      865       861,526  

Series 20A, Class BR, (3-mo. LIBOR US + 1.55%), 6.36%, 10/20/27(a)(c)

      610       602,917  
Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

LCM XXI LP

     

Series 21A, Class AR, (3-mo. LIBOR US + 0.88%), 5.69%, 04/20/28(a)(c)

    USD       586     $ 584,827  

Series 21A, Class BR, (3-mo. LIBOR US + 1.40%), 6.21%, 04/20/28(a)(c)

      250       247,404  

Legacy Mortgage Asset Trust

     

Series 2019-SL2, Class A, 3.38%,
02/25/59(a)(c)

      4,116         3,836,533  

Series 2019-SL2, Class B, 0.00%,
02/25/59(a)(e)

      1,930       238,323  

Series 2019-SL2, Class M, 4.25%,
02/25/59(a)(c)

      2,150       1,675,951  

Lehman ABS Manufactured Housing Contract Trust

     

Series 2001-B, Class M1, 6.63%, 04/15/40(c)

      2,046       2,023,891  

Series 2002-A, Class C, 0.00%, 06/15/33

      222       202,435  

Lehman ABS Mortgage Loan Trust,

     

Series 2007-1, Class 2A1, (1-mo. LIBOR US + 0.09%), 4.94%, 06/25/37(a)(c)

      315       218,362  

LendingPoint Pass-Through Trust

     

Series 2022-ST1, Class A, 2.50%, 03/15/28(a)

      559       533,869  

Series 2022-ST2, Class A, 3.25%, 04/15/28(a)

      838       805,019  

Lendmark Funding Trust

     

Series 2021-2A, Class C, 3.09%, 04/20/32(a)

      1,000       815,272  

Series 2021-2A, Class D, 4.46%, 04/20/32(a)

      730       557,530  

Series 2022-1A, Class A, 5.12%, 07/20/32(a)

      8,420       8,281,661  

LoanCore Issuer Ltd., Series 2022-CRE7,

     

Class A, (1-mo. SOFR + 1.55%), 6.11%, 01/17/37(a)(c)

      2,712       2,623,508  

Loanpal Solar Loan Ltd.

     

Series 2020-2GF, Class A, 2.75%, 07/20/47(a)

      5,246       4,321,387  

Series 2021-1GS, Class A, 2.29%, 01/20/48(a)

      5,142       4,057,137  

Logan CLO I Ltd., Series 2021-1A, Class A, (3-mo. LIBOR US + 1.16%), 5.97%,
07/20/34(a)(c)

      4,510       4,404,456  

Long Beach Mortgage Loan Trust

     

Series 2006-5, Class 2A3, (1-mo. LIBOR US + 0.30%), 5.15%, 06/25/36(c)

      3,076       1,443,445  

Series 2006-7, Class 2A3, (1-mo. LIBOR US + 0.32%), 5.17%, 08/25/36(c)

      8,361       3,463,463  

Long Point Park CLO Ltd., Series 2017-1A, Class A2, (3-mo. LIBOR US + 1.38%), 6.17%, 01/17/30(a)(c)

      430       413,360  

Longfellow Place CLO Ltd., Series 2013-1A, Class BR3, (3-mo. LIBOR US + 1.75%), 6.54%, 04/15/29(a)(c)

      500       496,254  

Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class B2, (1-mo. LIBOR US + 3.25%), 8.10%, 03/25/32(c)

      271       270,330  

Madison Park Euro Funding XVI DAC, Series 16A, Class D, (3-mo. EURIBOR + 3.20%), 5.49%, 05/25/34(a)(c)

    EUR       1,000       953,798  

Madison Park Funding XI Ltd., Series 2013-11A, Class AR2, (3-mo. LIBOR US + 0.90%), 5.72%, 07/23/29(a)(c)

    USD       5,093       5,036,403  

Madison Park Funding XIII Ltd.

     

Series 2014-13A, Class AR2, (3-mo. LIBOR US + 0.95%), 5.75%, 04/19/30(a)(c)

      6,587       6,541,627  

Series 2014-13A, Class BR2, (3-mo. LIBOR US + 1.50%), 6.30%, 04/19/30(a)(c)

      5,140       5,059,663  

Madison Park Funding XIX Ltd.

     

Series 2015-19A, Class A1R2, (3-mo. LIBOR US + 0.92%), 5.74%, 01/22/28(a)(c)

      6,149       6,103,040  
 

 

 

34  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Madison Park Funding XIX Ltd.

     

Series 2015-19A, Class A2R2, (3-mo. LIBOR US + 1.50%), 6.32%,
01/22/28(a)(c)

    USD       1,000     $ 981,254  

Madison Park Funding XLI Ltd.

     

Series 12A, Class AR, (3-mo. LIBOR US + 0.83%), 5.65%, 04/22/27(a)(c)

      955       947,779  

Series 12A, Class CR, (3-mo. LIBOR US + 1.65%), 6.47%, 04/22/27(a)(c)

      2,381         2,306,973  

Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3-mo. LIBOR US + 6.25%), 11.05%, 10/19/34(a)(c)

      250       237,317  

Madison Park Funding XLV Ltd., Series 2020-45A, Class AR, (3-mo. LIBOR US + 1.12%), 5.91%, 07/15/34(a)(c)

      4,660       4,548,588  

Madison Park Funding XLVIII Ltd., Series 2021-48A, Class C, (3-mo. LIBOR US + 2.00%), 6.80%, 04/19/33(a)(c)

      1,808       1,750,421  

Madison Park Funding XVII Ltd., Series 2015-17A, Class CR2, (3-mo. LIBOR US + 1.90%), 6.72%, 07/21/30(a)(c)

      3,164       3,043,883  

Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR, (3-mo. LIBOR US + 0.94%), 5.76%, 10/21/30(a)(c)

      14,913       14,725,484  

Madison Park Funding XXII Ltd., Series 2016-22A, Class A1R, (3-mo. LIBOR US + 1.26%), 6.05%, 01/15/33(a)(c)

      3,000       2,951,293  

Madison Park Funding XXIII Ltd.

     

Series 2017-23A, Class AR, (3-mo. LIBOR US + 0.97%), 5.79%, 07/27/31(a)(c)

      741       733,238  

Series 2017-23A, Class BR, (3-mo. LIBOR US + 1.55%), 6.37%, 07/27/31(a)(c)

      500       489,299  

Series 2017-23A, Class CR, (3-mo. LIBOR US + 2.00%), 6.82%, 07/27/31(a)(c)

      900       862,388  

Madison Park Funding XXIV Ltd., Series 2016-24A, Class BR, (3-mo. CME Term SOFR + 2.01%), 6.65%, 10/20/29(a)(c)

      510       503,962  

Madison Park Funding XXV Ltd., Series 2017-25A, Class A2R, (3-mo. LIBOR US + 1.65%), 6.47%, 04/25/29(a)(c)

      1,430       1,397,109  

Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, (3-mo. LIBOR US + 1.20%), 6.00%, 07/29/30(a)(c)

      11,330       11,255,303  

Madison Park Funding XXVII Ltd., Series 2018-27A, Class A1A, (3-mo. LIBOR US + 1.03%), 5.84%, 04/20/30(a)(c)

      500       495,175  

Madison Park Funding XXXI Ltd., Series 2018-31A, Class B, (3-mo. LIBOR US + 1.70%), 6.52%, 01/23/31(a)(c)

      500       487,595  

Madison Park Funding XXXIII Ltd., Series 2019-33A, Class AR, (3-mo. CME Term SOFR + 1.29%), 5.95%, 10/15/32(a)(c)

      1,560       1,546,104  

Madison Park Funding XXXIV Ltd.

     

Series 2019-34A, Class AR, (3-mo. LIBOR US + 1.12%), 5.94%, 04/25/32(a)(c)

      250       246,262  

Series 2019-34A, Class DR, (3-mo. LIBOR US + 3.35%), 8.17%, 04/25/32(a)(c)

      250       240,820  

Madison Park Funding XXXV Ltd., Series 2019-35A, Class A1R, (3-mo. LIBOR US + 0.99%), 5.80%, 04/20/32(a)(c)

      3,220       3,160,267  

Madison Park Funding XXXVII Ltd., Series 2019-37A, Class AR, (3-mo. LIBOR US + 1.07%), 5.86%, 07/15/33(a)(c)

      2,110       2,075,620  
Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class A, (3-mo. LIBOR US + 1.12%), 5.91%, 07/17/34(a)(c)

    USD       5,010     $     4,888,685  

Man GLG Euro CLO, Series 6A, Class DR, (3-mo. EURIBOR + 3.50%), 5.79%, 10/15/32(a)(c)

    EUR       1,680       1,648,325  

Marble Point CLO XI Ltd., Series 2017-2A, Class A, (3-mo. LIBOR US + 1.18%), 5.98%, 12/18/30(a)(c)

    USD       2,000       1,974,777  

Marble Point CLO XXII Ltd., Series 2021-2A, Class B, (3-mo. LIBOR US + 1.85%), 6.67%, 07/25/34(a)(c)

      250       236,250  

Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3-mo. LIBOR US + 3.65%), 8.47%, 01/22/35(a)(c)

      250       229,589  

Mariner CLO LLC

     

Series 2016-3A, Class AR2, (3-mo. LIBOR US + 0.99%), 5.81%, 07/23/29(a)(c)

      1,183       1,174,203  

Series 2016-3A, Class BR2, (3-mo. LIBOR US + 1.50%), 6.32%, 07/23/29(a)(c)

      1,978       1,943,693  

Series 2016-3A, Class CR2, (3-mo. LIBOR US + 2.05%), 6.87%, 07/23/29(a)(c)

      5,162       4,950,627  

Series 2016-3A, Class DR2, (3-mo. LIBOR US + 2.90%), 7.72%, 07/23/29(a)(c)

      500       456,175  

Mariner Finance Issuance Trust

     

Series 2019-AA, Class B, 3.51%, 07/20/32(a)

      2,420       2,348,254  

Series 2019-AA, Class C, 4.01%, 07/20/32(a)

      2,150       2,069,975  

Series 2020-AA, Class B, 3.21%, 08/21/34(a)

      1,630       1,484,643  

Series 2020-AA, Class C, 4.10%, 08/21/34(a)

      1,536       1,386,451  

Series 2020-AA, Class D, 5.75%, 08/21/34(a)

      2,030       1,778,357  

Series 2021-BA, Class D, 3.42%, 11/20/36(a)

      570       454,776  

Series 2021-BA, Class E, 4.68%, 11/20/36(a)

      1,265       970,924  

Series 2022-AA, Class A, 6.45%, 10/20/37(a)

      8,146       8,227,875  

MASTR Asset-Backed Securities Trust

     

Series 2006-AM2, Class A4, (1-mo. LIBOR US + 0.52%), 5.37%, 06/25/36(a)(c)

      1,083       945,223  

Series 2007-HE1, Class A4, (1-mo. LIBOR US + 0.28%), 5.13%, 05/25/37(c)

      1,318       1,008,507  

MASTR Specialized Loan Trust, Series 2006-3, Class A, (1-mo. LIBOR US + 0.26%), 5.11%, 06/25/46(a)(c)

      261       245,602  

Mercury Financial Credit Card Master Trust,

     

Series 2022-1A, Class A, 2.50%, 09/21/26(a)

      18,528       17,387,068  

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, (1-mo. LIBOR US + 0.48%), 5.33%, 05/25/37(c)

      1,505       1,123,832  

Merrill Lynch Mortgage Investors Trust

     

Series 2006-OPT1, Class M1, (1-mo. LIBOR US + 0.26%), 5.11%, 08/25/37(c)

      392       309,478  

Series 2006-RM3, Class A2B, (1-mo. LIBOR US + 0.18%), 5.03%, 06/25/37(c)

      854       175,038  

MF1 LLC

     

Series 2022-FL10, Class A, (1-mo. CME Term SOFR + 2.64%), 7.39%, 09/17/37(a)(c)

      3,390       3,357,658  

Series 2022-FL9, Class A, (1-mo. CME Term SOFR + 2.15%), 6.91%, 06/19/37(a)(c)

      4,653       4,604,800  

MF1 Ltd., Series 2021-FL7, Class A, (1-mo. LIBOR US + 1.08%), 5.84%, 10/16/36(a)(c)

      850       823,225  

MidOcean Credit CLO III, Series 2014-3A, Class A3A2, (3-mo. LIBOR US + 0.97%), 5.79%, 04/21/31(a)(c)

      1,987       1,968,214  

Mill City Solar Loan Ltd., Series 2019-2GS, Class A, 3.69%, 07/20/43(a)

      4,599       4,190,799  
 

 

 

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

  35


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Morgan Stanley ABS Capital I, Inc. Trust

     

Series 2005-HE1, Class A2MZ, (1-mo. LIBOR US + 0.60%), 5.45%, 12/25/34(c)

    USD       820     $ 707,829  

Series 2005-HE5, Class M4, (1-mo. LIBOR US + 0.87%), 5.72%, 09/25/35(c)

      2,746         2,215,214  

Series 2007-SEA1, Class 2A1, (1-mo. LIBOR US + 1.90%), 6.75%,
02/25/47(a)(c)

      584       544,971  

Morgan Stanley Home Equity Loan Trust,
Series 2006-3, Class A3, (1-mo. LIBOR US + 0.32%), 5.17%, 04/25/36(c)

      1,465       1,026,152  

Morgan Stanley Mortgage Loan Trust,
Series 2006-16AX, Class 1A, (1-mo. LIBOR US + 0.34%), 5.19%, 11/25/36(c)

      3,695       670,032  

Mosaic Solar Loan Trust

     

Series 2018-2GS, Class A, 4.20%, 02/22/44(a)

      1,729       1,610,249  

Series 2019-2A, Class A, 2.88%, 09/20/40(a)

      563       500,704  

Series 2020-1A, Class A, 2.10%, 04/20/46(a)

      839       731,357  

Series 2022-2A, Class A, 4.38%, 01/21/53(a)

      1,877       1,785,979  

Series 2022-3A, Class A, 6.10%, 06/20/53(a)

      1,599       1,659,071  

Series 2023-1A, Class A, 5.32%, 06/20/53(a)

      5,577       5,482,343  

MP CLO III Ltd., Series 2013-1A, Class AR, (3- mo. LIBOR US + 1.25%), 6.06%, 10/20/30(a)(c)

      2,759       2,731,847  

MP CLO VII Ltd., Series 2015-1A, Class BRR, (3-mo. LIBOR US + 1.60%), 6.40%, 10/18/28(a)(c)

      750       732,431  

Myers Park CLO Ltd.

     

Series 2018-1A, Class B1, (3-mo. LIBOR US + 1.60%), 6.41%, 10/20/30(a)(c)

      250       243,199  

Series 2018-1A, Class C, (3-mo. LIBOR US + 2.05%), 6.86%, 10/20/30(a)(c)

      250       239,316  

Nationstar Home Equity Loan Trust,
Series 2007-B, Class M1, (1-mo. LIBOR US + 0.41%), 5.26%, 04/25/37(c)

      3,320       2,957,874  

Navient Private Education Loan Trust

     

Series 2014-AA, Class B, 3.50%, 08/15/44(a)

      6,000       5,574,841  

Series 2020-A, Class A2B, (1-mo. LIBOR US + 0.90%), 5.58%, 11/15/68(a)(c)

      1,733       1,695,968  

Navient Private Education Refi Loan Trust

     

Series 2019-CA, Class A2, 3.13%, 02/15/68(a)

    .       180       171,286  

Series 2020-FA, Class B, 2.69%, 07/15/69(a)

      2,590       2,150,840  

Series 2021-DA, Class B, 2.61%, 04/15/60(a)

      1,700       1,588,371  

Series 2021-DA, Class C, 3.48%, 04/15/60(a)

      4,380       3,917,422  

Series 2021-DA, Class D, 4.00%, 04/15/60(a)

      1,400       1,270,686  

Nelnet Student Loan Trust

     

Series 2021-A, Class B2, 2.85%, 04/20/62(a)

      22,590       18,731,843  

Series 2021-A, Class C, 3.75%, 04/20/62(a)

      1,706       1,449,023  

Series 2021-A, Class D, 4.93%, 04/20/62(a)

      2,323       1,976,651  

Series 2021-BA, Class B, 2.68%, 04/20/62(a)

      13,069       10,739,508  

Series 2021-BA, Class C, 3.57%, 04/20/62(a)

      836       698,696  

Series 2021-BA, Class D, 4.75%, 04/20/62(a)(e)

      1,499       1,291,988  

Series 2021-CA, Class B, 2.53%, 04/20/62(a)

      12,397       10,001,247  

Series 2021-CA, Class C, 3.36%, 04/20/62(a)

      650       536,796  

Series 2021-CA, Class D, 4.44%, 04/20/62(a)

      990       810,200  

Series 2021-DA, Class B, 2.90%, 04/20/62(a)

      6,556       5,481,033  

Series 2021-DA, Class D, 4.38%, 04/20/62(a)

      331       266,379  

Neuberger Berman CLO XIV Ltd.,
Series 2013- 14A, Class AR2, (3-mo. LIBOR US + 1.03%), 5.83%, 01/28/30(a)(c)

      959       950,174  

Neuberger Berman CLO XVII Ltd.
Series 2014-17A, Class BR2, (3-mo. LIBOR US + 1.50%), 6.32%, 04/22/29(a)(c)

      1,500       1,466,922  
Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Neuberger Berman CLO XVII Ltd.

     

Series 2014-17A, Class CR2, (3-mo. LIBOR US + 2.00%), 6.82%, 04/22/29(a)(c)

    USD       1,900     $     1,830,565  

Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class AR, (3-mo. LIBOR US + 1.04%), 5.83%, 04/15/34(a)(c)

      2,690       2,619,275  

Neuberger Berman CLO XX Ltd.

     

Series 2015-20A, Class ARR, (3-mo. LIBOR US + 1.16%), 5.95%, 07/15/34(a)(c)

      1,000       975,014  

Series 2015-20A, Class BRR, (3-mo. LIBOR US + 1.65%), 6.44%, 07/15/34(a)(c)

      750       723,480  

Neuberger Berman CLO XXII Ltd.

     

Series 2016-22A, Class BR, (3-mo. LIBOR US + 1.65%), 6.44%, 10/17/30(a)(c)

      250       244,624  

Series 2016-22A, Class CR, (3-mo. LIBOR US + 2.20%), 6.99%, 10/17/30(a)(c)

      250       241,044  

Neuberger Berman Loan Advisers CLO 25 Ltd., Series 2017-25A, Class BR, (3-mo. LIBOR US + 1.35%), 6.15%, 10/18/29(a)(c)

      250       242,764  

Neuberger Berman Loan Advisers CLO 26 Ltd.

     

Series 2017-26A, Class AR, (3-mo. LIBOR US + 0.92%), 5.72%, 10/18/30(a)(c)

      6,750       6,683,215  

Series 2017-26A, Class BR, (3-mo. LIBOR US + 1.40%), 6.20%, 10/18/30(a)(c)

      250       243,619  

Neuberger Berman Loan Advisers CLO 29 Ltd.

     

Series 2018-29A, Class A1, (3-mo. LIBOR US + 1.13%), 5.93%, 10/19/31(a)(c)

      500       493,716  

Series 2018-29A, Class B1, (3-mo. LIBOR US + 1.70%), 6.50%, 10/19/31(a)(c)

      250       244,608  

Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class BR, (3-mo. CME Term SOFR + 1.75%), 6.39%, 01/20/35(a)(c)

      500       486,271  

Neuberger Berman Loan Advisers CLO 37 Ltd., Series 2020-37A, Class BR, (3-mo. LIBOR US + 1.45%), 6.26%, 07/20/31(a)(c)

      1,000       974,526  

Neuberger Berman Loan Advisers CLO 39 Ltd., Series 2020-39A, Class E, (3-mo. LIBOR US + 7.20%), 12.01%, 01/20/32(a)(c)

      250       236,828  

Neuberger Berman Loan Advisers CLO 42 Ltd., Series 2021-42A, Class A, (3-mo. LIBOR US + 1.10%), 5.89%, 07/16/35(a)(c)

      3,940       3,842,748  

New Century Home Equity Loan Trust, Series 2005-C, Class M2, (1-mo. LIBOR US + 0.68%), 5.52%, 12/25/35(c)

      2,173       1,645,772  

Newark BSL CLO 1 Ltd., Series 2016-1A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 6.03%, 12/21/29(a)(c)

      237       235,400  

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1-mo. LIBOR US + 0.40%), 5.25%, 10/25/36(a)(c)

      74       82,157  

OAK Hill European Credit Partners V Designated Activity Co., Series 2016-5A, Class BR, (3-mo.

     

EURIBOR + 1.90%), 4.29%, 01/21/35(a)(c)

    EUR       400       409,554  

Oakwood Mortgage Investors, Inc.

     

Series 2001-D, Class A2, 5.26%, 01/15/19(c)

    USD       528       239,437  

Series 2001-D, Class A4, 6.93%, 09/15/31(c)

      335       182,797  

Series 2002-B, Class M1, 7.62%, 06/15/32(c)

      4,573       4,434,243  

Ocean Trails CLO X, Series 2020-10A, Class BR, (3-mo. LIBOR US + 1.80%), 6.59%, 10/15/34(a)(c)

      250       237,018  
 

 

 

36  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

OCP CLO Ltd.

     

Series 2013-4A, Class A2RR, (3-mo. LIBOR US + 1.45%), 6.27%,
04/24/29(a)(c)

    USD       2,500     $     2,459,541  

Series 2013-4A, Class BRR, (3-mo. LIBOR US + 1.90%), 6.72%, 04/24/29(a)(c)

      4,618       4,498,719  

Series 2013-4A, Class CRR, (3-mo. LIBOR US + 3.00%), 7.82%, 04/24/29(a)(c)

      3,000       2,880,820  

Series 2014-5A, Class A1R, (3-mo. LIBOR US + 1.08%), 5.90%, 04/26/31(a)(c)

      660       652,256  

Series 2014-5A, Class A2R, (3-mo. LIBOR US + 1.40%), 6.22%, 04/26/31(a)(c)

      1,070       1,024,829  

Series 2014-7A, Class A1RR, (3-mo. LIBOR US + 1.12%), 5.93%,
07/20/29(a)(c)

      402       398,395  

Series 2014-7A, Class A2RR, (3-mo. LIBOR US + 1.65%), 6.46%,
07/20/29(a)(c)

      1,250       1,217,770  

Series 2015-9A, Class BR2, (3-mo. CME Term SOFR + 1.75%), 6.38%, 01/15/33(a)(c)

      250       238,687  

Series 2017-14A, Class B, (3-mo. LIBOR US + 1.95%), 6.87%, 11/20/30(a)(c)

      500       475,853  

Series 2019-16A, Class AR, (3-mo. LIBOR US + 1.00%), 5.81%, 04/10/33(a)(c)

      1,480       1,453,702  

Series 2020-18A, Class AR, (3-mo. LIBOR US + 1.09%), 5.90%, 07/20/32(a)(c)

      2,080       2,048,905  

Series 2020-19A, Class BR, (3-mo. LIBOR US + 1.70%), 6.51%, 10/20/34(a)(c)

      500       479,363  

Series 2021-22A, Class A, (3-mo. LIBOR US + 1.18%), 5.99%, 12/02/34(a)(c)

      2,010       1,951,777  

OCP Euro CLO DAC

     

Series 2017-2X, Class B, (3-mo. EURIBOR + 1.35%), 3.64%,
01/15/32(c)(d)

    EUR       1,130       1,174,320  

Series 2019-3A, Class CR, (3-mo. EURIBOR + 2.30%), 4.64%,
04/20/33(a)(c)

      250       250,883  

Series 2019-3A, Class DR, (3-mo. EURIBOR + 3.30%), 5.64%,
04/20/33(a)(c)

      250       242,905  

Octagon 56 Ltd., Series 2021-1A, Class B, (3-mo. LIBOR US + 1.65%), 6.44%, 10/15/34(a)(c)

    USD       250       237,432  

Octagon Investment Partners 18-R Ltd.,
Series 2018-18A, Class A1A, (3-mo. LIBOR US + 0.96%), 5.75%, 04/16/31(a)(c)

      7,300       7,204,029  

Octagon Investment Partners 33 Ltd.,
Series 2017-1A, Class A1, (3-mo. LIBOR US + 1.19%), 6.00%, 01/20/31(a)(c)

      500       494,655  

Octagon Investment Partners 36 Ltd.,
Series 2018-1A, Class A1, (3-mo. LIBOR US + 0.97%), 5.76%, 04/15/31(a)(c)

      250       247,023  

Octagon Investment Partners 37 Ltd.,
Series 2018-2A, Class A2, (3-mo. LIBOR US + 1.58%), 6.40%, 07/25/30(a)(c)

      750       728,153  

Octagon Investment Partners 39 Ltd.,
Series 2018-3A, Class B, (3-mo. LIBOR US + 1.65%), 6.46%, 10/20/30(a)(c)

      350       341,015  

Octagon Investment Partners 43 Ltd.,
Series 2019-1A, Class A2, (3-mo. LIBOR US + 1.65%), 6.47%, 10/25/32(a)(c)

      250       241,300  

Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class BR, (3-mo. LIBOR US + 1.65%), 6.44%, 07/15/36(a)(c)

      3,290       3,124,774  

Octagon Investment Partners XV Ltd.,
Series 2013-1A, Class A2R, (3-mo. LIBOR US + 1.35%), 6.15%, 07/19/30(a)(c)

      1,430       1,412,312  
Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Octagon Investment Partners XVI Ltd.,
Series 2013-1A, Class A1R, (3-mo. LIBOR US + 1.02%), 5.81%, 07/17/30(a)(c)

    USD       3,580     $ 3,534,056  

Octagon Investment Partners XVII Ltd.,
Series 2013-1A, Class A1R2, (3-mo. LIBOR US + 1.00%), 5.82%, 01/25/31(a)(c)

      8,490       8,405,101  

Octagon Loan Funding Ltd.,
Series 2014-1A, Class BRR, (3-mo. LIBOR US + 1.70%), 6.62%, 11/18/31(a)(c)

      250       241,975  

OHA Credit Funding 2 Ltd.,
Series 2019-2A, Class AR, (3-mo. LIBOR US + 1.15%), 5.97%, 04/21/34(a)(c)

      14,440       14,149,207  

OHA Credit Funding 3 Ltd.

     

Series 2019-3A, Class AR, (3-mo. LIBOR US + 1.14%), 5.95%, 07/02/35(a)(c)

      3,475       3,396,319  

Series 2019-3A, Class BR, (3-mo. LIBOR US + 1.65%), 6.46%, 07/02/35(a)(c)

      2,989       2,896,814  

OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR, (3-mo. LIBOR US + 1.15%), 5.97%, 10/22/36(a)(c)

      1,000       974,369  

OHA Credit Funding 6 Ltd., Series 2020-6A, Class AR, (3-mo. LIBOR US + 1.14%), 5.95%, 07/20/34(a)(c)

      850       832,131  

OHA Credit Partners VII Ltd., Series 2012-7A, Class CR3, (3-mo. LIBOR US + 1.80%), 6.72%, 02/20/34(a)(c)

      4,520       4,303,578  

OHA Loan Funding Ltd.

     

Series 2013-2A, Class AR, (3-mo. LIBOR US + 1.04%), 5.96%, 05/23/31(a)(c)

      6,219       6,153,895  

Series 2015-1A, Class AR3, (3-mo. LIBOR US + 1.15%), 5.95%, 01/19/37(a)(c)

      5,400       5,262,166  

Series 2016-1A, Class B1R, (3-mo. LIBOR US + 1.60%), 6.41%, 01/20/33(a)(c)

      250       242,921  

OneMain Financial Issuance Trust

     

Series 2019-2A, Class A, 3.14%, 10/14/36(a)

      15,811         14,516,345  

Series 2020-1A, Class A, 3.84%, 05/14/32(a)

      3,692       3,666,506  

Series 2020-2A, Class C, 2.76%, 09/14/35(a)

      2,620       2,281,008  

Series 2020-2A, Class D, 3.45%, 09/14/35(a)

      6,620       5,663,100  

Series 2021-1A, Class A2, (SOFR (30-day) + 0.76%), 5.32%, 06/16/36(a)(c)

      1,958       1,890,393  

Series 2022-2A, Class A, 4.89%, 10/14/34(a)

      9,051       8,894,825  

Series 2022-2A, Class B, 5.24%, 10/14/34(a)

      7,855       7,678,395  

Series 2022-3A, Class A, 5.94%, 05/15/34(a)

      16,896       16,932,196  

Oportun Issuance Trust

     

Series 2021-B, Class B, 1.96%, 05/08/31(a)

      1,070       934,661  

Series 2021-C, Class A, 2.18%, 10/08/31(a)

      11,125       10,016,800  

Series 2021-C, Class B, 2.67%, 10/08/31(a)

      3,040       2,676,725  

Option One Mortgage Loan Trust

     

Series 2005-4, Class M3, (1-mo. LIBOR US + 0.74%), 5.58%, 11/25/35(c)

      4,030       3,133,736  

Series 2007-CP1, Class 2A3, (1-mo. LIBOR US + 0.21%), 5.06%, 03/25/37(c)

      2,360       1,825,764  

Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37(b)

      1,908       1,549,823  

Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37(b)

      4,876       4,090,957  

Series 2007-FXD2, Class 1A1, 5.82%, 03/25/37(b)

      2,445       2,141,785  

Origen Manufactured Housing Contract Trust

     

Series 2001-A, Class M1, 7.82%, 03/15/32(c)

      1,008       918,741  

Series 2007-B, Class A1, (1-mo. LIBOR US + 1.20%), 5.88%, 10/15/37(a)(c)

      664       649,076  
 

 

 

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

  37


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Ownit Mortgage Loan Trust Series,

     

Series 2006-2, Class A2C, 6.50%, 01/25/37(b)

    USD       1,715     $ 1,482,822  

OZLM Funding IV Ltd.

     

Series 2013-4A, Class A1R, (3-mo. LIBOR US + 1.25%), 6.07%, 10/22/30(a)(c)

      12,432           12,330,937  

Series 2013-4A, Class A2R, (3-mo. LIBOR US + 1.70%), 6.52%, 10/22/30(a)(c)

      2,120       2,074,847  

OZLM VIII Ltd., Series 2014-8A, Class BR3, (3-mo. LIBOR US + 2.10%), 6.89%, 10/17/29(a)(c) .

      1,160       1,128,788  

OZLM XVIII Ltd., Series 2018-18A, Class A, (3-mo. LIBOR US + 1.02%), 5.85%, 04/15/31(a)(c) .

      3,120       3,074,384  

OZLM XX Ltd., Series 2018-20A, Class A2, (3-mo. LIBOR US + 1.65%), 6.46%, 04/20/31(a)(c) .

      850       817,981  

OZLM XXI Ltd., Series 2017-21A, Class B, (3-mo. LIBOR US + 1.90%), 6.71%, 01/20/31(a)(c)

      930       881,470  

OZLM XXII Ltd., Series 2018-22A, Class A1, (3-mo. LIBOR US + 1.07%), 5.86%, 01/17/31(a)(c) .

      999       987,778  

OZLM XXIV Ltd., Series 2019-24A, Class A2AR, (3-mo. LIBOR US + 1.70%), 6.51%, 07/20/32(a)(c)

      750       715,699  

Palmer Square CLO Ltd.

     

Series 2013-2A, Class A1A3, (3-mo. LIBOR US + 1.00%), 5.79%, 10/17/31(a)(c)

      3,390       3,347,664  

Series 2014-1A, Class A1R2, (3-mo. LIBOR US + 1.13%), 5.92%, 01/17/31(a)(c)

      4,548       4,513,233  

Series 2015-1A, Class A2R4, (3-mo. LIBOR US + 1.70%), 6.62%, 05/21/34(a)(c)

      1,250       1,204,561  

Series 2015-2A, Class A2R2, (3-mo. LIBOR US + 1.55%), 6.36%, 07/20/30(a)(c)

      2,500       2,439,543  

Series 2015-2A, Class CR2, (3-mo. LIBOR US + 2.75%), 7.56%, 07/20/30(a)(c)

      1,000       926,543  

Series 2018-1A, Class A1, (3-mo. LIBOR US + 1.03%), 5.83%, 04/18/31(a)(c)

      4,860       4,804,711  

Series 2018-2A, Class A1A, (3-mo. LIBOR US + 1.10%), 5.89%, 07/16/31(a)(c)

      4,820       4,759,633  

Series 2018-2A, Class A1B, (3-mo. LIBOR US + 1.35%), 6.14%, 07/16/31(a)(c)

      250       241,398  

Series 2018-2A, Class A2, (3-mo. LIBOR US + 1.65%), 6.44%, 07/16/31(a)(c)

      1,500       1,465,878  

Series 2018-2A, Class D, (3-mo. LIBOR US + 5.60%), 10.43%, 07/16/31(a)(c)

      250       224,095  

Series 2020-3A, Class A1AR, (3-mo. LIBOR US + 1.08%), 5.94%, 11/15/31(a)(c)

                  1,020       1,004,192  

Series 2021-1A, Class A2, (3-mo. LIBOR US + 1.40%), 6.21%, 04/20/34(a)(c)

      250       240,795  

Series 2021-3A, Class A1, (3-mo. LIBOR US + 1.15%), 5.94%, 01/15/35(a)(c)

      360       350,007  

Palmer Square Loan Funding Ltd.

     

Series 2020-1A, Class A2, (3-mo. LIBOR US + 1.35%), 6.03%, 02/20/28(a)(c)

      4,860       4,780,020  

Series 2020-1A, Class C, (3-mo. LIBOR US + 2.50%), 7.18%, 02/20/28(a)(c)

      375       364,590  

Series 2020-1A, Class D, (3-mo. LIBOR US + 4.85%), 9.53%, 02/20/28(a)(c)

      400       383,952  

Series 2020-4A, Class A2, (3-mo. LIBOR US + 1.60%), 6.56%, 11/25/28(a)(c)

      2,640       2,602,634  

Series 2020-4A, Class C, (3-mo. LIBOR US + 3.60%), 8.56%, 11/25/28(a)(c)

      500       495,915  

Series 2021-1A, Class D, (3-mo. LIBOR US + 6.00%), 10.81%, 04/20/29(a)(c)

      500       477,369  

Series 2021-2A, Class A2, (3-mo. LIBOR US + 1.25%), 6.17%, 05/20/29(a)(c)

      1,430       1,387,048  
Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Palmer Square Loan Funding Ltd.

     

Series 2021-2A, Class D, (3-mo. LIBOR US + 5.00%), 9.92%, 05/20/29(a)(c)

    USD       500     $ 452,565  

Series 2021-4A, Class C, (3-mo. LIBOR US + 2.60%), 7.39%, 10/15/29(a)(c)

      250       234,907  

Series 2021-4A, Class D, (3-mo. LIBOR US + 5.00%), 9.79%, 10/15/29(a)(c)

      1,480           1,331,503  

Series 2022-2A, Class A2, (3-mo. CME Term SOFR + 1.90%), 6.56%, 10/15/30(a)(c)

      1,810       1,762,621  

Series 2022-2A, Class B, (3-mo. CME Term SOFR + 2.20%), 6.86%, 10/15/30(a)(c)

      390       374,668  

Series 2022-2A, Class C, (3-mo. CME Term SOFR + 3.10%), 7.76%, 10/15/30(a)(c)

      250       234,397  

Parallel Ltd., Series 2015-1A, Class C1R, (3-mo. LIBOR US + 1.75%), 6.56%, 07/20/27(a)(c)

      1,150       1,138,481  

Park Avenue Institutional Advisers CLO Ltd.

     

Series 2017-1A, Class A1R, (3-mo. LIBOR US + 1.24%), 6.11%, 02/14/34(a)(c)

      6,400       6,226,284  

Series 2019-1A, Class A1, (3-mo. LIBOR US + 1.48%), 6.34%, 05/15/32(a)(c)

      500       494,217  

Series 2019-1A, Class A2A, (3-mo. LIBOR US + 2.00%), 6.86%, 05/15/32(a)(c)

      500       479,457  

Series 2021-2A, Class D, (3-mo. LIBOR US + 3.40%), 8.19%, 07/15/34(a)(c)

      250       225,089  

Penta CLO, Series 2022-11A, Class B, (3-mo. EURIBOR + 2.45%), 5.10%, 11/15/34(a)(c)

    EUR       2,720       2,850,685  

Pikes Peak CLO 1, Series 2018-1A, Class A, (3-mo. LIBOR US + 1.18%), 6.00%, 07/24/31(a)(c)

    USD       975       962,996  

Pikes Peak CLO 8, Series 2021-8A, Class A, (3-mo. LIBOR US + 1.17%), 5.98%, 07/20/34(a)(c)

      7,000       6,828,771  

Post CLO Ltd., Series 2018-1A, Class D, (3-mo. LIBOR US + 2.95%), 7.74%, 04/16/31(a)(c)

      500       467,518  

PPM CLO 2 Ltd.

     

Series 2019-2A, Class BR, (3-mo. LIBOR US + 1.75%), 6.55%, 04/16/32(a)(c)

      500       475,153  

Series 2019-2A, Class DR, (3-mo. LIBOR US + 3.40%), 8.20%, 04/16/32(a)(c)

      250       227,654  

PRET LLC, Series 2021-RN4, Class A1, 2.49%, 10/25/51(a)(c)

      5,849       5,491,172  

Prima Capital CRE Securitization Ltd.

     

Series 2015-4A, Class C, 4.00%, 08/24/49(a)

      1,219       1,185,825  

Series 2016-6A, Class C, 4.00%, 08/24/40(a)

      7,170       6,419,478  

Prodigy Finance DAC

     

Series 2021-1A, Class A, (1-mo. LIBOR US + 1.25%), 6.10%, 07/25/51(a)(c)

      3,322       3,238,646  

Series 2021-1A, Class B, (1-mo. LIBOR US + 2.50%), 7.35%, 07/25/51(a)(c)

      673       663,395  

Series 2021-1A, Class C, (1-mo. LIBOR US + 3.75%), 8.60%, 07/25/51(a)(c)

      730       722,911  

Series 2021-1A, Class D, (1-mo. LIBOR US + 5.90%), 10.75%, 07/25/51(a)(c)

      500       492,832  

Progress Residential Trust

     

Series 2020-SFR2, Class B, 2.58%, 06/17/37(a)

      550       515,670  

Series 2020-SFR2, Class D, 3.87%, 06/17/37(a)

      1,886       1,784,485  

Series 2020-SFR3, Class E, 2.30%, 10/17/27(a)

      2,870       2,580,172  

Series 2020-SFR3, Class F, 2.80%, 10/17/27(a)

      5,410       4,855,935  
 

 

 

38  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Progress Residential Trust

     

Series 2021-SFR1, Class F, 2.76%, 04/17/38(a)

    USD       2,900     $     2,483,070  

Series 2021-SFR10, Class E2, 3.67%, 12/17/40(a)

      2,126       1,761,194  

Series 2021-SFR10, Class F, 4.61%, 12/17/40(a)

      8,586       7,101,959  

Series 2021-SFR2, Class F, 3.40%, 04/19/38(a)

      5,967       5,171,894  

Series 2021-SFR3, Class F, 3.44%, 05/17/26(a)

      6,640       5,885,554  

Series 2021-SFR4, Class F, 3.41%, 05/17/38(a)

      8,330       7,322,344  

Series 2021-SFR9, Class F, 4.05%, 11/17/40(a)

      1,342       1,126,895  

Series 2022-SFR1, Class F, 4.88%, 02/17/41(a)

      2,617       2,260,920  

Series 2022-SFR1, Class G, 5.52%, 02/17/41(a)

      2,617       2,185,063  

Series 2022-SFR5, Class E1, 6.62%, 06/17/39(a)

      1,766       1,677,156  

Race Point IX CLO Ltd., Series 2015-9A,

     

Class A1A2, (3-mo. LIBOR US + 0.94%),

     

5.73%, 10/15/30(a)(c)

      4,712       4,646,873  

Race Point X CLO Ltd., Series 2016-10A,

     

Class A1R, (3-mo. LIBOR US + 1.10%),

     

5.92%, 07/25/31(a)(c)

      5,472       5,416,669  

Rad CLO 15 Ltd.

     

Series 2021-15A, Class A, (3-mo. LIBOR US + 1.09%), 5.90%, 01/20/34(a)(c)

      300       292,825  

Series 2021-15A, Class B, (3-mo. LIBOR US + 1.65%), 6.46%, 01/20/34(a)(c)

      430       410,452  

Rad CLO 2 Ltd., Series 2018-2A, Class AR, (3- mo. LIBOR US + 1.08%), 5.87%, 10/15/31(a)(c)

      3,255       3,205,739  

Rad CLO 3 Ltd.

     

Series 2019-3A, Class BR, (3-mo. LIBOR US + 1.55%), 6.34%, 04/15/32(a)(c)

      250       239,555  

Series 2019-3A, Class CR, (3-mo. LIBOR US + 1.85%), 6.64%, 04/15/32(a)(c)

      475       456,968  

Rad CLO 4 Ltd., Series 2019-4A, Class C, (3-mo. LIBOR US + 2.80%), 7.62%, 04/25/32(a)(c)

      675       655,333  

Rad CLO 5 Ltd., Series 2019-5A, Class AR, (3- mo. LIBOR US + 1.12%), 5.94%, 07/24/32(a)(c)

      3,770       3,695,426  

Rad CLO 7 Ltd., Series 2020-7A, Class A1, (3- mo. LIBOR US + 1.20%), 5.99%, 04/17/33(a)(c)

      500       490,369  

Rad CLO 9 Ltd., Series 2020-9A, Class B1, (3- mo. LIBOR US + 1.90%), 6.69%, 01/15/34(a)(c)

      250       241,541  

RAMP Series Trust, Series 2004-RS7, Class A2A, (1-mo. LIBOR US + 0.62%), 5.02%, 07/25/34(c)

      1,294       1,035,383  

Recette CLO Ltd., Series 2015-1A, Class BRR, (3-mo. LIBOR US + 1.40%), 6.21%, 04/20/34(a)(c)

      500       475,592  

Regatta IX Funding Ltd., Series 2017-1A, Class C, (3-mo. LIBOR US + 2.45%), 7.24%, 04/17/30(a)(c)

      250       242,554  

Regatta VI Funding Ltd., Series 2016-1A,

     

Class AR2, (3-mo. LIBOR US + 1.16%),

     

5.97%, 04/20/34(a)(c)

      4,700       4,589,616  

Regatta VII Funding Ltd.

     

Series 2016-1A, Class A1R2, (3-mo. LIBOR US + 1.15%), 6.11%,
06/20/34(a)(c)

      1,600       1,558,692  
Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Regatta VII Funding Ltd.

     

Series 2016-1A, Class BR2, (3-mo. LIBOR US + 1.60%), 6.56%, 06/20/34(a)(c)

    USD       500     $ 484,233  

Regatta VIII Funding Ltd., Series 2017-1A, Class B, (3-mo. LIBOR US + 1.70%), 6.49%, 10/17/30(a)(c)

      750       732,796  

Regatta X Funding Ltd., Series 2017-3A, Class B, (3-mo. LIBOR US + 1.45%), 6.24%, 01/17/31(a)(c)

      250       244,129  

Regatta XIII Funding Ltd., Series 2018-2A, Class C, (3-mo. LIBOR US + 3.10%), 7.89%, 07/15/31(a)(c)

      375       351,001  

Regatta XVI Funding Ltd., Series 2019-2A, Class B, (3-mo. LIBOR US + 2.05%), 6.84%, 01/15/33(a)(c)

      250       245,358  

Regatta XVIII Funding Ltd.

     

Series 2021-1A, Class B, (3-mo. LIBOR US + 1.45%), 6.24%, 01/15/34(a)(c)

      750       726,400  

Series 2021-1A, Class C, (3-mo. LIBOR US + 1.75%), 6.54%, 01/15/34(a)(c)

      4,520       4,274,743  

Regatta XXIV Funding Ltd., Series 2021-5A, Class D, (3-mo. LIBOR US + 3.10%), 7.91%, 01/20/35(a)(c)

      250       235,897  

Regional Management Issuance Trust

     

Series 2020-1, Class C, 3.80%, 10/15/30(a)

      1,526       1,382,561  

Series 2021-2, Class A, 1.90%, 08/15/33(a)

      1,053       906,671  

Series 2021-3, Class A, 3.88%, 10/17/33(e)

      21,460         18,644,448  

Series 2022-1, Class A, 3.07%, 03/15/32(a)

      4,691       4,394,678  

Series 2022-1, Class B, 3.71%, 03/15/32(a)

      810       730,069  

Series 2022-1, Class C, 4.46%, 03/15/32(a)

      534       474,008  

Series 2022-1, Class D, 6.72%, 03/15/32(a)

      1,695       1,498,815  

Series 2022-2B, Class A, 7.10%, 11/17/32(a)

      10,039       10,185,740  

Republic Finance Issuance Trust

     

Series 2021-A, Class A, 2.30%, 12/22/31(a)

      13,570       12,566,481  

Series 2021-A, Class B, 2.80%, 12/22/31(a)

      3,000       2,670,580  

Series 2021-A, Class C, 3.53%, 12/22/31(a)

      1,020       901,967  

Riserva CLO Ltd., Series 2016-3A, Class ARR, (3-mo. LIBOR US + 1.06%), 5.86%, 01/18/34(a)(c)

      5,690       5,548,978  

Rockford Tower CLO Ltd.

     

Series 2017-1A, Class AR2, (3-mo. LIBOR US + 1.10%), 5.91%, 04/20/34(a)(c)

      11,327       11,017,700  

Series 2017-2A, Class BR, (3-mo. LIBOR US + 1.50%), 6.29%, 10/15/29(a)(c)

      8,271       8,047,033  

Series 2017-2A, Class CR, (3-mo. LIBOR US + 1.90%), 6.69%, 10/15/29(a)(c)

      2,750       2,620,999  

Series 2017-2A, Class DR, (3-mo. LIBOR US + 2.85%), 7.64%, 10/15/29(a)(c)

      4,766       4,343,828  

Series 2017-3A, Class A, (3-mo. LIBOR US + 1.19%), 6.00%, 10/20/30(a)(c)

      15,384       15,215,901  

Series 2018-1A, Class A, (3-mo. LIBOR US + 1.10%), 6.02%, 05/20/31(a)(c)

      1,953       1,918,027  

Series 2018-1A, Class B, (3-mo. LIBOR US + 1.72%), 6.64%, 05/20/31(a)(c)

      1,500       1,454,737  

Series 2018-2A, Class A, (3-mo. LIBOR US + 1.16%), 5.97%, 10/20/31(a)(c)

      1,000       987,655  

Series 2019-2A, Class BR, (3-mo. LIBOR US + 1.65%), 6.57%, 08/20/32(a)(c)

      1,250       1,193,891  

Series 2020-1A, Class B, (3-mo. LIBOR US + 1.80%), 6.61%, 01/20/32(a)(c)

      680       654,853  
 

 

 

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

  39


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Rockford Tower Europe CLO DAC

     

Series 2018-1X, Class B, (3-mo. EURIBOR + 1.85%), 4.67%,
12/20/31(c)(d)

    EUR       2,448     $     2,557,420  

Series 2018-1X, Class C, (3-mo. EURIBOR + 2.47%), 5.29%,
12/20/31(c)(d)

      1,305         1,341,575  

Romark CLO Ltd., Series 2017-1A, Class B, (3- mo. LIBOR US + 2.15%), 6.97%, 10/23/30(a)(c)

    USD       750       717,527  

Romark WM-R Ltd., Series 2018-1A, Class A1, (3-mo. LIBOR US + 1.03%), 5.84%, 04/20/31(a)(c)

      5,262       5,190,382  

RR 1 LLC, Series 2017-1A, Class A1AB, (3-mo. LIBOR US + 1.15%), 5.94%, 07/15/35(a)(c)

      9,490       9,257,935  

RR 3 Ltd., Series 2018-3A, Class A1R2, (3-mo. LIBOR US + 1.09%), 5.88%, 01/15/30(a)(c)

      4,130       4,088,838  

RR 4 Ltd., Series 2018-4A, Class A2, (3-mo. LIBOR US + 1.55%), 6.34%,
04/15/30(a)(c)

      1,400       1,359,177  

RR 5 Ltd., Series 2018-5A, Class A2, (3-mo. LIBOR US + 1.65%), 6.44%,
10/15/31(a)(c)

      1,000       978,089  

RRE 5 Loan Management DAC, Series 5A, Class A2R, (3-mo. EURIBOR + 1.75%), 4.04%, 01/15/37(a)(c)

    EUR       1,160       1,186,045  

SACO I Trust, Series 2006-9, Class A1, (1-mo. LIBOR US + 0.30%), 5.15%, 08/25/36(c)

    USD       3       6,608  

Securitized Asset Backed Receivables LLC Trust, Series 2006-OP1, Class M6, (1-mo. LIBOR US + 1.01%), 5.85%, 10/25/35(c)

      340       235,602  

Service Experts Issuer LLC, Series 2021-1A, Class A, 2.67%, 02/02/32(a)

      5,598       5,140,048  

SESAC Finance LLC, Series 2022-1, Class A2, 5.50%, 07/25/52(a)

      2,578       2,415,417  

SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (1-mo. LIBOR US + 0.32%), 5.17%, 07/25/36(c)

      885       194,784  

Shackleton CLO Ltd., Series 2019-14A, Class BR, (3-mo. LIBOR US + 1.80%), 6.61%, 07/20/34(a)(c)

      250       240,344  

Signal Peak CLO 1 Ltd.

     

Series 2014-1A, Class AR3, (3-mo. LIBOR US + 1.16%), 5.95%, 04/17/34(a)(c)

      23,070       22,403,145  

Series 2014-1A, Class BR3, (3-mo. LIBOR US + 1.80%), 6.59%, 04/17/34(a)(c)

      3,010       2,883,753  

Signal Peak CLO 2 LLC

     

Series 2015-1A, Class BR2, (3-mo. LIBOR US + 1.50%), 6.31%, 04/20/29(a)(c)

      7,152       6,993,948  

Series 2015-1A, Class CR2, (3-mo. LIBOR US + 1.90%), 6.71%, 04/20/29(a)(c)

      2,000       1,920,086  

Signal Peak CLO 5 Ltd., Series 2018-5A, Class A, (3-mo. LIBOR US + 1.11%), 5.93%, 04/25/31(a)(c)

      3,550       3,508,954  

Signal Peak CLO 8 Ltd.

     

Series 2020-8A, Class A, (3-mo. LIBOR US + 1.27%), 6.08%, 04/20/33(a)(c)

      3,010       2,946,977  

Series 2020-8A, Class B, (3-mo. LIBOR US + 1.65%), 6.46%, 04/20/33(a)(c)

      1,000       962,549  

Silver Creek CLO Ltd.

     

Series 2014-1A, Class AR, (3-mo. LIBOR US + 1.24%), 6.05%, 07/20/30(a)(c)

      4,284       4,253,575  

Series 2014-1A, Class CR, (3-mo. LIBOR US + 2.30%), 7.11%, 07/20/30(a)(c)

      500       481,858  

Sixth Street CLO XIX Ltd., Series 2021-19A, Class A, (3-mo. LIBOR US + 1.10%), 5.91%, 07/20/34(a)(c)

      16,995       16,564,777  
Security         

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Sixth Street CLO XVI Ltd., Series 2020-16A, Class A1A, (3-mo. LIBOR US + 1.32%), 6.13%, 10/20/32(a)(c)

    USD       650     $ 642,762  

Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3-mo. LIBOR US + 6.20%), 11.01%, 01/20/34(a)(c)

      625       543,216  

Sixth Street CLO XX Ltd., Series 2021-20A, Class A1, (3-mo. LIBOR US + 1.16%), 5.97%, 10/20/34(a)(c)

      250       244,657  

SLM Private Credit Student Loan Trust

     

Series 2004-A, Class A3, (3-mo. LIBOR US + 0.40%), 5.27%, 06/15/33(c)

      793       767,525  

Series 2004-B, Class A3, (3-mo. LIBOR US + 0.33%), 5.20%, 03/15/24(c)

      499       497,030  

SLM Private Education Loan Trust,
Series 2010-C, Class A5, (1-mo. LIBOR US + 4.75%), 9.43%, 10/15/41(a)(c)

      14,390       15,635,983  

SMB Private Education Loan Trust

     

Series 2015-B, Class B, 3.50%, 12/17/40(a)

      2,480       2,355,540  

Series 2020-PTA, Class A2A, 1.60%, 09/15/54(a)

      12,601       11,263,438  

Series 2020-PTA, Class B, 2.50%, 09/15/54(a)

    .       6,740       5,373,199  

Series 2021-A, Class C, 2.99%, 01/15/53(a)

      11,470         10,023,246  

Series 2021-C, Class B, 2.30%, 01/15/53(a)

      880       785,398  

Series 2021-C, Class C, 3.00%, 01/15/53(a)

      730       639,797  

Sound Point CLO II Ltd., Series 2013-1A,

     

Class A1R, (3-mo. LIBOR US + 1.07%),

     

5.89%, 01/26/31(a)(c)

      825       815,363  

Sound Point CLO XII Ltd.

     

Series 2016-2A, Class BR2, (3-mo. LIBOR US + 1.50%), 6.31%, 10/20/28(a)(c)

      10,283       10,141,088  

Series 2016-2A, Class CR2, (3-mo. LIBOR US + 2.05%), 6.86%, 10/20/28(a)(c)

      4,500       4,376,582  

Sound Point CLO XV Ltd.

     

Series 2017-1A, Class ARR, (3-mo. LIBOR US + 0.90%), 5.72%, 01/23/29(a)(c)

      811       804,594  

Series 2017-1A, Class BR, (3-mo. LIBOR US + 1.50%), 6.32%, 01/23/29(a)(c)

      350       343,865  

Sound Point CLO XXII Ltd., Series 2019-1A, Class AR, (3-mo. LIBOR US + 1.08%), 5.89%, 01/20/32(a)(c)

      600       591,051  

Sound Point CLO XXVIII Ltd., Series 2020-3A, Class A1, (3-mo. LIBOR US + 1.28%), 6.10%, 01/25/32(a)(c)

      2,065       2,032,448  

Soundview Home Loan Trust, Series 2004- WMC1, Class M2, (1-mo. LIBOR US + 0.80%), 5.64%, 01/25/35(c)

      37       33,487  

St. Paul’s CLO XII DAC, Series 12X, Class B1, (3-mo. EURIBOR + 1.60%), 3.89%, 04/15/33(c)(d)

    EUR       1,420       1,450,995  

STAR Trust, Series 2021-SFR1, Class F, (1-mo. LIBOR US + 2.40%), 7.11%, 04/17/38(a)(c)

    USD       1,030       959,613  

Steele Creek CLO Ltd., Series 2017-1A, Class A, (3-mo. LIBOR US + 1.25%), 6.04%, 10/15/30(a)(c)

      4,125       4,073,217  

Stewart Park CLO Ltd., Series 2015-1A, Class CR, (3-mo. LIBOR US + 1.80%), 6.59%, 01/15/30(a)(c)

      1,630       1,537,842  

Stratus CLO Ltd.

     

Series 2021-1A, Class E, (3-mo. LIBOR US + 5.00%), 9.81%, 12/29/29(a)(c)

      1,000       880,237  
 

 

 

40  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Asset-Backed Securities (continued)  

Stratus CLO Ltd.

     

Series 2021-1A, Class SUB, 0.00%, 12/29/29(a)(c)

    USD           1,000     $     446,000  

Series 2021-2A, Class E, (3-mo. LIBOR US + 5.75%), 10.56%, 12/28/29(a)(c)

      250       227,376  

Series 2021-3A, Class C, (3-mo. LIBOR US + 2.05%), 6.86%, 12/29/29(a)(c)

      250       236,321  

Series 2021-3A, Class E, (3-mo. LIBOR US + 5.75%), 10.56%, 12/29/29(a)(c)

      250       227,650  

Structured Asset Securities Corp. Assistance Loan Trust, Series 2003-AL2, Class A, 3.36%, 01/25/31(a)

      99       92,707  

Sutton Park CLO DAC, Series 1X, Class BE, (3-mo. EURIBOR + 2.35%), 5.00%, 11/15/31(c)(d)

    EUR       940       966,316  

Symphony CLO XVI Ltd., Series 2015-16A, Class AR, (3-mo. LIBOR US + 1.15%), 5.94%, 10/15/31(a)(c)

    USD       450       444,105  

Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (3-mo. LIBOR US + 0.88%), 5.67%, 04/15/28(a)(c)

      1,197         1,191,979  

Symphony CLO XXII Ltd., Series 2020-22A, Class B, (3-mo. LIBOR US + 1.70%), 6.50%, 04/18/33(a)(c)

      250       241,778  

Symphony CLO XXIII Ltd.

     

Series 2020-23A, Class BR, (3-mo. LIBOR US + 1.60%), 6.39%, 01/15/34(a)(c)

      500       485,631  

Series 2020-23A, Class CR, (3-mo. LIBOR US + 2.00%), 6.79%, 01/15/34(a)(c)

      500       485,701  

Series 2020-23A, Class ER, (3-mo. LIBOR US + 6.15%), 10.94%, 01/15/34(a)(c)

      250       222,990  

Symphony CLO XXIV Ltd., Series 2020-24A, Class A, (3-mo. LIBOR US + 1.20%), 6.02%, 01/23/32(a)(c)

      250       247,099  

Symphony CLO XXVI Ltd., Series 2021-26A, Class AR, (3-mo. LIBOR US + 1.08%), 5.89%, 04/20/33(a)(c)

      2,377       2,330,527  

TCI-Flatiron CLO Ltd., Series 2017-1A, Class AR, (3-mo. LIBOR US + 0.96%), 5.84%, 11/18/30(a)(c)

      3,990       3,936,353  

TCW CLO AMR Ltd., Series 2019-1A, Class ASNR, (3-mo. LIBOR US + 1.22%), 6.09%, 08/16/34(a)(c)

      250       244,851  

TIAA CLO III Ltd., Series 2017-2A, Class A, (3-mo. LIBOR US + 1.15%), 5.94%, 01/16/31(a)(c) .

      1,467       1,449,215  

TICP CLO I-2 Ltd., Series 2018-IA, Class B, (3-mo. LIBOR US + 2.20%), 7.02%, 04/26/28(a)(c) .

      2,531       2,528,750  

TICP CLO IX Ltd.

     

Series 2017-9A, Class A, (3-mo. LIBOR US + 1.14%), 5.95%, 01/20/31(a)(c)

      3,080       3,050,637  

Series 2017-9A, Class B, (3-mo. LIBOR US + 1.60%), 6.41%, 01/20/31(a)(c)

      450       438,766  

Series 2017-9A, Class D, (3-mo. LIBOR US + 2.90%), 7.71%, 01/20/31(a)(c)

      500       473,727  

TICP CLO VI Ltd., Series 2016-6A, Class AR2, (3-mo. LIBOR US + 1.12%), 5.91%, 01/15/34(a)(c)

      4,870       4,760,500  

TICP CLO XI Ltd.

     

Series 2018-11A, Class A, (3-mo. LIBOR US + 1.18%), 5.99%, 10/20/31(a)(c)

      750       738,837  

Series 2018-11A, Class B, (3-mo. LIBOR US + 1.73%), 6.54%, 10/20/31(a)(c)

      250       244,901  
Security  

Par

(000)

    Value  
Asset-Backed Securities (continued)  

TICP CLO XI Ltd.

     

Series 2018-11A, Class D, (3-mo. LIBOR US + 3.05%), 7.86%, 10/20/31(a)(c)

    USD       250     $ 239,413  

TICP CLO XII Ltd., Series 2018-12A, Class AR, (3-mo. LIBOR US + 1.17%), 5.96%, 07/15/34(a)(c)

      500       488,128  

Trestles CLO III Ltd.

     

Series 2020-3A, Class B1, (3-mo. LIBOR US + 1.85%), 6.66%, 01/20/33(a)(c)

      2,590       2,480,142  

Series 2020-3A, Class C, (3-mo. LIBOR US + 2.25%), 7.06%, 01/20/33(a)(c)

      750       726,889  

Trestles CLO IV Ltd., Series 2021-4A, Class A, (3-mo. LIBOR US + 1.17%), 5.99%, 07/21/34(a)(c)

      6,950         6,789,050  

Trestles CLO Ltd.

     

Series 2017-1A, Class A1R, (3-mo. LIBOR US + 0.99%), 5.81%, 04/25/32(a)(c)

      250       245,299  

Series 2017-1A, Class CR, (3-mo. LIBOR US + 2.90%), 7.72%, 04/25/32(a)(c)

      250       224,037  

Trestles CLO V Ltd., Series 2021-5A, Class E, (3-mo. LIBOR US + 6.35%), 11.16%, 10/20/34(a)(c)

      250       217,688  

Tricon American Homes, Series 2020-SFR1, Class D, 2.55%, 07/17/38(a)

      6,675       6,054,526  

Tricon American Homes Trust

     

Series 2017-SFR2, Class F, 5.10%, 01/17/36(a)

      8,715       8,537,143  

Series 2018-SFR1, Class E, 4.56%, 05/17/37(a)

      890       857,454  

Series 2018-SFR1, Class F, 4.96%, 05/17/37(a)

      610       590,328  

Tricon Residential Trust

     

Series 2021-SFR1, Class F, 3.69%, 07/17/38(a)

      4,805       4,234,453  

Series 2021-SFR1, Class G, 4.13%, 07/17/38(a)

      3,324       2,900,019  

Trimaran Cavu Ltd.

     

Series 2019-1A, Class A2, (3-mo. LIBOR US + 1.90%), 6.71%, 07/20/32(a)(c)

      250       244,618  

Series 2019-1A, Class B, (3-mo. LIBOR US + 2.20%), 7.01%, 07/20/32(a)(c)

      750       735,546  

Series 2019-1A, Class C1, (3-mo. LIBOR US + 3.15%), 7.96%, 07/20/32(a)(c)

      500       492,015  

Series 2019-1A, Class E, (3-mo. LIBOR US + 7.04%), 11.85%, 07/20/32(a)(c)

      250       224,458  

Series 2019-2A, Class C, (3-mo. LIBOR US + 4.72%), 9.52%, 11/26/32(a)(c)

      500       463,912  

Series 2021-1A, Class C, (3-mo. LIBOR US + 2.10%), 6.92%, 04/23/32(a)(c)

      6,441       6,062,492  

Series 2021-2A, Class D1, (3-mo. LIBOR US + 3.25%), 8.07%, 10/25/34(a)(c)

      250       226,113  

Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2, (3-mo. LIBOR US + 1.40%), 6.20%, 10/18/31(a)(c)

      970       941,646  

Trinitas CLO XIV Ltd., Series 2020-14A, Class B, (3-mo. LIBOR US + 2.00%), 6.82%, 01/25/34(a)(c)

      3,460       3,360,681  

Venture CLO Ltd., Series 2018-32A, Class A2A, (3-mo. LIBOR US + 1.07%), 5.87%, 07/18/31(a)(c)

      1,480       1,463,939  
 

 

 

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

  41


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Asset-Backed Securities (continued)  

Venture XVIII CLO Ltd., Series 2014-18A, Class AR, (3-mo. LIBOR US + 1.22%), 6.01%, 10/15/29(a)(c)

    USD           8,785     $     8,718,378  

VERDE CLO Ltd., Series 2019-1A, Class AR, (3-mo. LIBOR US + 1.10%), 5.89%, 04/15/32(a)(c)

      250       245,724  

VOLT CVI LLC, Series 2021-NP12, Class A1, 2.73%, 12/26/51(a)(b)

      5,834         5,346,743  

Voya CLO Ltd.

     

Series 2014-4A, Class A1RA, (3-mo. LIBOR US + 1.10%), 5.89%, 07/14/31(a)(c)

      248       244,344  

Series 2015-3A, Class A1R, (3-mo. LIBOR US + 1.19%), 6.00%, 10/20/31(a)(c)

      250       246,580  

Series 2017-1A, Class A1R, (3-mo. LIBOR US + 0.95%), 5.74%, 04/17/30(a)(c)

      436       430,187  

Series 2017-3A, Class A1R, (3-mo. LIBOR US + 1.04%), 5.85%, 04/20/34(a)(c)

      2,178       2,131,619  

Series 2017-4A, Class A1, (3-mo. LIBOR US + 1.13%), 5.92%, 10/15/30(a)(c)

      6,803       6,749,072  

Series 2017-4A, Class B, (3-mo. LIBOR US + 1.45%), 6.24%, 10/15/30(a)(c)

      250       241,776  

Series 2018-1A, Class A2, (3-mo. LIBOR US + 1.30%), 6.10%, 04/19/31(a)(c)

      250       244,148  

Series 2019-1A, Class AR, (3-mo. LIBOR US + 1.06%), 5.85%, 04/15/31(a)(c)

      10,079       9,958,613  

Voya Euro CLO II DAC, Series 2A, Class CR, (3-mo. EURIBOR + 2.15%), 4.44%, 07/15/35(a)(c)

    EUR       750       744,375  

Voya Euro CLO V DAC, Series 5A, Class B1, (3-mo. EURIBOR + 1.75%), 4.04%, 04/15/35(a)(c)

      1,970       2,008,750  

Washington Mutual Asset-Backed Certificates Trust

     

Series 2006-HE4, Class 2A2, (1-mo. LIBOR US + 0.36%), 5.21%, 09/25/36(c)

    USD       4,066       1,202,113  

Series 2006-HE5, Class 1A, (1-mo. LIBOR US + 0.16%), 4.57%, 10/25/36(c)

      1,297       965,076  

Series 2007-HE3, Class 2A3, (1-mo. LIBOR US + 0.24%), 5.09%, 05/25/37(c)

      956       774,643  

Wellfleet CLO Ltd., Series 2017-3A, Class B, (3-mo. LIBOR US + 1.95%), 6.74%, 01/17/31(a)(c)

      750       709,482  

Whitebox CLO I Ltd.

     

Series 2019-1A, Class CR, (3-mo. LIBOR US + 3.05%), 7.87%, 07/24/32(a)(c)

      4,120       3,809,747  

Series 2019-1A, Class DR, (3-mo. LIBOR US + 6.40%), 11.22%, 07/24/32(a)(c)

      3,300       2,983,785  

Whitebox CLO II Ltd.

     

Series 2020-2A, Class BR, (3-mo. LIBOR US + 1.75%), 6.57%, 10/24/34(a)(c)

      1,470       1,410,878  

Series 2020-2A, Class DR, (3-mo. LIBOR US + 3.35%), 8.17%, 10/24/34(a)(c)

      1,470       1,351,597  

Whitebox CLO III Ltd.

     

Series 2021-3A, Class D, (3-mo. LIBOR US + 3.35%), 8.14%, 10/15/34(a)(c)

      1,250       1,122,907  

Series 2021-3A, Class E, (3-mo. LIBOR US + 6.85%), 11.64%, 10/15/34(a)(c)

      1,000       903,413  

Yale Mortgage Loan Trust, Series 2007-1, Class A, (1-mo. LIBOR US + 0.40%), 5.25%, 06/25/37(a)(c)

      2,167       705,175  
Security  

Par

(000)

    Value  
Asset-Backed Securities (continued)  

York CLO 1 Ltd.

     

Series 2014-1A, Class BRR, (3-mo. LIBOR US + 1.65%), 6.47%, 10/22/29(a)(c)

    USD       750     $ 735,257  

Series 2014-1A, Class CRR, (3-mo. LIBOR US + 2.10%), 6.92%, 10/22/29(a)(c)

      250       243,798  

Series 2014-1A, Class DRR, (3-mo. LIBOR US + 3.01%), 7.83%, 10/22/29(a)(c)

      250       239,221  
     

 

 

 

Total Asset-Backed Securities — 10.8%
(Cost: $2,055,852,984)

 

      1,942,871,351  
     

 

 

 
            Shares         
Common Stocks                  

Aerospace & Defense — 0.0%

     

Astra Space, Inc.

          364,239       154,802  
     

 

 

 
Capital Markets — 0.0%                  

Crown PropTech Acquisitions(e)

      179,759       115,046  

Crown PropTech Acquisitions(f)

      85,597       858,538  
     

 

 

 
        973,584  
Chemicals — 0.0%                  

Element Solutions, Inc.

      78,915       1,523,849  
     

 

 

 
Energy Equipment & Services — 0.0%  

Halliburton Co.

      71,299       2,255,901  

Nine Energy Service, Inc.(f)

      9,470       52,653  

Transocean Ltd.(f)(g)

      424,956       2,702,720  
     

 

 

 
        5,011,274  
Entertainment — 0.0%                  

Lions Gate Entertainment Corp., Class A(f)(g)

      128,165       1,418,787  

Playstudios, Inc.

      457,322       1,687,518  
     

 

 

 
        3,106,305  
Financial Services — 0.0%                  

Mr. Cooper Group, Inc.(f)(g)

      25,463       1,043,219  

Proof Acquisition Corp. I(e)

      43,947       34,718  
     

 

 

 
        1,077,937  
Hotel & Resort REITs — 0.1%                  

DiamondRock Hospitality Co.

      154,224       1,253,841  

Park Hotels & Resorts, Inc.

      72,765       899,375  

Service Properties Trust

      196,054       1,952,698  

Sonder Holdings, Inc., Class A

      380,333       287,950  

Sunstone Hotel Investors, Inc.

      66,393       655,963  

Xenia Hotels & Resorts, Inc.

      85,018       1,112,886  
     

 

 

 
        6,162,713  
Hotels, Restaurants & Leisure — 0.0%  

Caesars Entertainment, Inc.(f)

      14,400       702,864  
     

 

 

 
Interactive Media & Services — 0.0%  

Genius Sports Ltd.(f)(g)

      712,487       3,548,185  
     

 

 

 
IT Services — 0.0%                  

KINS Technology Group, Inc.(e)

      89,820       130,239  
     

 

 

 
Machinery — 0.0%                  

Rotor Acquisition Corp.

      68,776       28,198  

Sarcos Technology & Robotics

      2,784,143       1,321,633  

Symbotic, Inc.(f)(g)

      118,500       2,706,540  
     

 

 

 
        4,056,371  
Metals & Mining — 0.0%                  

Northern Graphite Corp.(f)

      99,612       36,852  
     

 

 

 
 

 

 

42  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

    

Shares

    Value  

Oil, Gas & Consumable Fuels — 0.1%

     

California Resources Corp.(h)

      43,746     $ 1,684,221  

Chesapeake Energy Corp.

      21,338       1,622,541  

Green Plains, Inc.(f)

      67,342       2,086,929  

Marathon Petroleum Corp.

      11,268       1,519,264  

Phillips 66

          24,649           2,498,916  
     

 

 

 
        9,411,871  
Real Estate Management & Development — 0.0%  

Forestar Group, Inc.(f)(g)

      31,138       484,507  

Offerpad Solutions, Inc., Class A

      319,407       168,327  

Opendoor Technologies, Inc.(f)

      575,955       1,013,681  
     

 

 

 
        1,666,515  
Software — 0.0%  

Informatica, Inc., Class A(f)(g)

      19,271       316,044  

Latch, Inc.

      411,849       313,870  
     

 

 

 
        629,914  
     

 

 

 
Total Common Stocks — 0.2%
    (Cost: $84,887,503)
                38,193,275  
     

 

 

 
           

Par

(000)

        
Corporate Bonds                  

Aerospace & Defense — 1.6%

     

BAE Systems PLC

     

3.40%, 04/15/30(a)

    USD       26,824       24,624,323  

1.90%, 02/15/31(a)

      4,528       3,688,782  

Boeing Co.

     

3.75%, 02/01/50

      7,782       5,889,604  

3.95%, 08/01/59

      7,908       5,804,957  

5.93%, 05/01/60

      6       5,993  

Embraer Netherlands Finance BV

     

6.95%, 01/17/28(a)

      446       448,174  

6.95%, 01/17/28(d)

      534       536,603  

General Dynamics Corp.

     

3.50%, 04/01/27

      4,506       4,357,237  

2.25%, 06/01/31

      2,050       1,765,900  

Huntington Ingalls Industries, Inc.

     

3.48%, 12/01/27

      8,060       7,554,053  

2.04%, 08/16/28

      9,584       8,215,031  

4.20%, 05/01/30

      4,049       3,789,576  

L3Harris Technologies, Inc.

     

3.85%, 12/15/26

      6,275       6,116,701  

4.40%, 06/15/28

      16,020       15,695,899  

4.40%, 06/15/28

      6,041       5,918,784  

2.90%, 12/15/29

      2,864       2,531,459  

1.80%, 01/15/31

      14,216       11,490,471  

Lockheed Martin Corp.

     

1.85%, 06/15/30

      7,281       6,179,032  

3.90%, 06/15/32

      7,939       7,716,100  

5.25%, 01/15/33

      14,714       15,711,402  

3.60%, 03/01/35

      13,698       12,792,629  

4.50%, 05/15/36

      3,428       3,389,093  

Northrop Grumman Corp.

     

4.03%, 10/15/47

      10,478       9,123,360  

5.25%, 05/01/50

      7,474       7,738,742  

4.95%, 03/15/53

      10,125       10,094,762  

Raytheon Technologies Corp.

     

7.20%, 08/15/27

      2,353       2,611,347  

7.00%, 11/01/28

      7,205       7,872,981  

4.13%, 11/16/28

      25,860       25,488,044  

4.15%, 05/15/45

      1,895       1,656,740  
Security         

Par

(000)

    Value  

Aerospace & Defense (continued)

     

Raytheon Technologies Corp.
3.75%, 11/01/46

    USD       7,638     $ 6,312,838  

4.35%, 04/15/47

      4,190       3,794,745  

4.05%, 05/04/47

      9,579       8,293,403  

2.82%, 09/01/51

      6,581       4,565,626  

3.03%, 03/15/52

          16,198           11,722,746  

5.38%, 02/27/53

      4,788       5,039,480  

Sabena Technics SAS, 6.58%, 09/30/29 (Acquired 10/28/22,
cost $7,384,015)(e)(f)(i)

    EUR       7,533       8,169,538  

Textron, Inc.

     

3.90%, 09/17/29

    USD       8,086       7,620,980  

3.00%, 06/01/30

      5,223       4,666,024  
     

 

 

 
            278,993,159  
Air Freight & Logistics — 0.0%                  

GXO Logistics, Inc., 2.65%, 07/15/31

      2,600       2,022,388  
     

 

 

 
Automobile Components — 0.0%                  

Dana, Inc., 4.25%, 09/01/30

      416       333,427  

Metalsa S A P I De CV, 3.75%, 05/04/31(d)

      631       471,546  

Nemak SAB de CV, 3.63%, 06/28/31(d)

      631       476,405  
     

 

 

 
        1,281,378  
Automobiles — 0.0%                  

Ford Motor Co., 3.25%, 02/12/32

      595       467,644  

Lightning eMotors, Inc., 7.50%, 05/15/24(a)(j)

      2,487       1,367,850  
     

 

 

 
        1,835,494  
Banks — 1.9%                  

Banco Espirito Santo SA

     

2.63%, 05/08/17(d)(f)(k)

    EUR       400       49,887  

4.75%, 01/15/18(d)(f)(k)

      2,200       274,379  

4.00%, 01/21/19(d)(f)(k)

      6,300       785,720  

Bangkok Bank PCL, 3.73%, 09/25/34(d)

    USD       600       508,362  

Bank of America Corp.

     

2.46%, 10/22/25

      2,743       2,611,203  

2.65%, 03/11/32

      8,093       6,756,204  

2.69%, 04/22/32

      10,512       8,772,517  

2.30%, 07/21/32

      21,149       17,043,923  

2.97%, 02/04/33

      63,223       53,236,370  

4.57%, 04/27/33

      63,924       60,849,256  

Series N, 1.66%, 03/11/27

      4,388       3,972,778  

Barclays PLC

     

5.75%, 08/09/33

      8,025       7,861,634  

7.44%, 11/02/33

      5,823       6,436,208  

Citigroup, Inc., 3.79%, 03/17/33

      15,687       14,060,373  

HSBC Holdings PLC

     

3.97%, 05/22/30

      5,895       5,318,463  

5.40%, 08/11/33

      8,640       8,539,822  

6.25%, 03/09/34

      9,478       9,909,091  

6.33%, 03/09/44

      1,372       1,449,081  

JPMorgan Chase & Co.

     

3.78%, 02/01/28

      12,690       12,133,594  

2.95%, 02/24/28

      12,090       11,204,783  

4.57%, 06/14/30

      12,867       12,525,263  

2.96%, 01/25/33

      21,084       18,027,884  

4.59%, 04/26/33

      37,170       35,992,644  

Mitsubishi UFJ Financial Group, Inc.

     

5.72%, 02/20/26

      15,680       15,720,315  

5.44%, 02/22/34

      3,260       3,294,054  

Santander Holdings U.S.A., Inc., 6.50%, 03/09/29

      1,880       1,878,267  

Synchrony Bank, 5.63%, 08/23/27

      3,311       3,039,334  
 

 

 

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

  43


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Banks (continued)                  

Texas Capital Bank N.A., (3-mo. LIBOR US + 4.50%), 9.66%, 09/30/24(a)(c)

    USD       18,500     $ 17,946,806  

Washington Mutual Escrow Bonds

     

0.00% (e)(f)(k)(l)

        13,308       1  

0.00% (e)(f)(k)(l)

      11,911       1  

0.00% (e)(f)(k)(l)

      2,570        

0.00% (e)(f)(k)(l)

      3,115        

Wells Fargo & Co., 3.58%, 05/22/28

      5,148       4,850,220  
     

 

 

 
            345,048,437  
Beverages — 0.1%                  

Anheuser-Busch InBev Finance, Inc., 4.63%, 02/01/44

      5,179       4,892,083  

Anheuser-Busch InBev Worldwide, Inc.

     

4.75%, 01/23/29

      3,823       3,904,117  

8.00%, 11/15/39

      1,382       1,767,205  

4.60%, 04/15/48

      2,272       2,143,686  

4.50%, 06/01/50

      1,959       1,835,056  
     

 

 

 
        14,542,147  
Biotechnology — 0.6%                  

AbbVie, Inc.

     

4.55%, 03/15/35

      14,533       14,209,884  

4.50%, 05/14/35

      12,103       11,732,050  

4.75%, 03/15/45

      1,834       1,730,383  

4.45%, 05/14/46

      4,321       3,909,695  

4.88%, 11/14/48

      5,865       5,646,515  

4.25%, 11/21/49

      2,419       2,134,709  

Amgen, Inc.

     

5.15%, 03/02/28

      1,013       1,034,294  

4.05%, 08/18/29

      18,104       17,467,251  

5.25%, 03/02/30

      17,264       17,657,308  

5.75%, 03/02/63

      13,120       13,613,766  

Biogen, Inc., 2.25%, 05/01/30

      4,329       3,644,759  

Gilead Sciences, Inc.

     

2.60%, 10/01/40

      3,776       2,784,472  

4.80%, 04/01/44

      11,164       10,823,850  

4.50%, 02/01/45

      3,278       3,050,797  

4.15%, 03/01/47

      3,241       2,849,723  

Royalty Pharma PLC, 0.75%, 09/02/23

      920       897,054  
     

 

 

 
        113,186,510  
Broadline Retail — 0.2%                  

Amazon.com, Inc., 4.70%, 12/01/32

      31,010       31,784,291  

eBay, Inc., 6.30%, 11/22/32

      2,547       2,768,760  

Rakuten Group, Inc., 10.25%, 11/30/24(a)

      905       859,750  
     

 

 

 
        35,412,801  
Building Products — 0.0%                  

Owens Corning, 3.95%, 08/15/29

      2,305       2,171,424  
     

 

 

 
Capital Markets — 2.0%                  

Credit Suisse AG

     

7.95%, 01/09/25

      3,984       4,049,776  

3.70%, 02/21/25

      20,221           19,180,731  

2.95%, 04/09/25

      3,319       3,080,165  

5.00%, 07/09/27

      12,127       11,672,237  

0.25%, 09/01/28(d)

    EUR       1,350       1,145,747  

Deutsche Bank AG

     

1.45%, 04/01/25

    USD       3,680       3,423,380  

2.13%, 11/24/26

      765       659,257  

2.31%, 11/16/27

      500       423,717  

Goldman Sachs Group, Inc.

     

0.66%, 09/10/24

      15,952       15,591,226  

3.50%, 04/01/25

      22,653       21,996,133  
Security         

Par

(000)

    Value  

Capital Markets (continued)

     

Goldman Sachs Group, Inc. (3-mo. LIBOR US + 1.17%), 6.03%, 05/15/26(c)

    USD       7,321     $ 7,259,502  

1.99%, 01/27/32

      3,309       2,643,309  

2.62%, 04/22/32

        34,466       28,709,828  

2.38%, 07/21/32

      12,962       10,523,644  

2.65%, 10/21/32

      45,090       37,255,696  

Lehman Brothers Holdings, Inc., 6.75%, 12/28/17(e)(f)(k)

      7,360       1  

Moody’s Corp.

     

3.25%, 01/15/28

      4,450       4,194,396  

4.25%, 08/08/32

      3,130       3,013,696  

3.75%, 02/25/52

      4,114       3,287,957  

3.10%, 11/29/61

      8,295       5,493,148  

Morgan Stanley

     

0.73%, 04/05/24

      8,717       8,714,473  

4.43%, 01/23/30

      7,460       7,195,289  

2.70%, 01/22/31

      32,497       27,986,572  

1.79%, 02/13/32

      19,013       14,926,348  

1.93%, 04/28/32

      8,492       6,680,693  

2.24%, 07/21/32

      23,095       18,530,473  

2.51%, 10/20/32

      24,647       20,190,038  

4.89%, 07/20/33

      18,919       18,595,837  

6.34%, 10/18/33

      45,693       49,905,445  
     

 

 

 
            356,328,714  
Chemicals — 0.2%                  

Braskem Idesa SAPI

     

6.99%, 02/20/32(a)

      498       371,010  

6.99%, 02/20/32(d)

      761       566,945  

Braskem Netherlands Finance BV

     

8.50%, 01/23/81(a)

      453       449,886  

8.50%, 01/23/81(d)

      496       492,590  

DuPont de Nemours, Inc., 5.32%, 11/15/38

      3,121       3,141,946  

Ecolab, Inc., 2.75%, 08/18/55

      5,047       3,230,738  

Olympus Water U.S. Holding Corp., 7.13%, 10/01/27(a)

      559       524,901  

Pioneer Midco, 10.50%, 11/18/30(e)

      6,261       6,135,780  

Project Montelena, 10.25%, 03/31/31(e)

    EUR       8,300       8,731,309  

Sasol Financing U.S.A. LLC

     

5.88%, 03/27/24

    USD       1,846       1,823,848  

4.38%, 09/18/26

      2,344       2,118,830  

5.50%, 03/18/31

      699       583,796  

Sherwin-Williams Co., 2.30%, 05/15/30

      4,093       3,473,246  
     

 

 

 
        31,644,825  
Commercial Services & Supplies — 0.1%  

Covanta Holding Corp., 4.88%, 12/01/29(a)

      780       693,997  

Garda World Security Corp., 7.75%, 02/15/28(a)

      377       371,572  

Pitney Bowes, Inc., 6.88%, 03/15/27(a)

      10,615       8,406,762  

Waste Management, Inc.

     

1.15%, 03/15/28

      4,753       4,071,962  

2.95%, 06/01/41

      1,183       905,180  
     

 

 

 
        14,449,473  
Communications Equipment — 0.3%                  

Juniper Networks, Inc., 2.00%, 12/10/30

      4,462       3,543,723  

Motorola Solutions, Inc.

     

4.60%, 05/23/29

      5,817       5,658,582  

2.75%, 05/24/31

      20,796       17,173,373  

5.60%, 06/01/32

      14,293       14,376,275  

5.50%, 09/01/44

      14,370       13,639,715  
     

 

 

 
        54,391,668  
 

 

 

44  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Construction & Engineering — 0.1%                  

China City Construction International Co. Ltd., 5.35%, 07/03/17(d)(e)(f)(k)

    CNH       340     $  

GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27(d)

    USD       384       333,923  

Homes by West Bay LLC, 9.50%, 04/30/27(e)

          7,801       7,118,412  

IHS Holding Ltd.

     

5.63%, 11/29/26(a)

      1,007       842,607  

6.25%, 11/29/28(a)

      633       505,134  

Jacobs Engineering Group, Inc., 5.90%, 03/01/33.

      1,411       1,412,464  
     

 

 

 
            10,212,540  
Consumer Finance — 0.5%                  

Ally Financial, Inc., 6.70%, 02/14/33

      813       722,257  

American Express Co., 4.42%, 08/03/33

      2,671       2,553,611  

Capital One Financial Corp.

     

3.27%, 03/01/30

      3,171       2,701,674  

5.82%, 02/01/34

      21,387       20,666,704  

Discover Bank, 2.70%, 02/06/30

      3,059       2,479,713  

General Motors Financial Co., Inc.

     

3.70%, 05/09/23

      8,790       8,776,683  

1.70%, 08/18/23

      11,224       11,051,046  

4.00%, 01/15/25

      14,339       13,975,383  

3.80%, 04/07/25

      16,511       16,056,290  

4.35%, 04/09/25

      6,991       6,845,136  

4.30%, 04/06/29

      5,059       4,701,952  

2.35%, 01/08/31

      7,370       5,819,265  
     

 

 

 
        96,349,714  
Consumer Staples Distribution & Retail — 0.0%  

CVS Health Corp.

     

3.75%, 04/01/30

      1,903       1,780,246  

1.75%, 08/21/30

      2,186       1,777,100  

5.63%, 02/21/53

      940       952,249  

Frigorifico Concepcion SA, 7.70%, 07/21/28(a)

      796       569,040  
     

 

 

 
        5,078,635  
Containers & Packaging — 0.1%                  

Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC

     

6.00%, 06/15/27(a)

      391       387,491  

3.25%, 09/01/28(a)

      2,193       1,887,213  

Ardagh Packaging Finance PLC/Ardagh Holdings U.S.A., Inc., 5.25%, 04/30/25(a)

      2,193       2,160,105  

Berry Global, Inc., 5.50%, 04/15/28(a)

      9,345       9,314,483  

International Paper Co., 6.00%, 11/15/41

      2,417       2,515,490  

Klabin Austria GmbH, 3.20%, 01/12/31(a)

      1,007       825,942  

Mauser Packaging Solutions Holding Co., 7.88%, 08/15/26(a)

      4,502       4,502,000  

Trivium Packaging Finance BV, 5.50%, 08/15/26(a)

      942       902,436  
     

 

 

 
        22,495,160  
Diversified REITs — 1.4%                  

American Tower Corp.

     

2.95%, 01/15/25

      714       687,378  

3.95%, 03/15/29

      4,214       3,946,592  

3.80%, 08/15/29

      17,483       16,247,745  

2.90%, 01/15/30

      4,052       3,523,889  

Crown Castle International Corp.

     

4.45%, 02/15/26

      2,370       2,339,166  

3.30%, 07/01/30

      12,292       11,084,335  

Crown Castle, Inc.

     

3.80%, 02/15/28

      5,880       5,580,207  

4.30%, 02/15/29

      8,995       8,674,123  

3.10%, 11/15/29

      8,664       7,700,815  
Security         

Par

(000)

    Value  
Diversified REITs (continued)                  

Crown Castle, Inc.

     

2.25%, 01/15/31

    USD       8,540     $ 7,077,749  

2.10%, 04/01/31

      6,538       5,342,371  

2.50%, 07/15/31

      4,563       3,835,072  

Digital Dutch Finco BV

     

1.50%, 03/15/30(d)

    EUR       6,150       5,184,912  

1.00%, 01/15/32(d)

      5,050       3,841,046  

Equinix, Inc.

     

2.15%, 07/15/30

    USD           15,236       12,457,787  

2.50%, 05/15/31

      6,334       5,215,533  

Freed Corp., 10.00%, 12/01/23(e)

      7,062       6,903,232  

GLP Capital LP/GLP Financing II, Inc.

     

5.75%, 06/01/28

      8,832       8,614,782  

5.30%, 01/15/29

      10,990       10,486,109  

4.00%, 01/15/30

      11,970       10,614,158  

4.00%, 01/15/31

      9,483       8,134,616  

3.25%, 01/15/32

      13,237       10,739,972  

VICI Properties LP

     

4.75%, 02/15/28

      2,066       1,958,372  

4.95%, 02/15/30

      10,595       9,941,997  

5.13%, 05/15/32

      3,006       2,832,073  

5.63%, 05/15/52

      1,096       986,915  

VICI Properties LP/VICI Note Co., Inc.

     

4.50%, 09/01/26(a)

      1,972       1,854,975  

4.25%, 12/01/26(a)

      19,794       18,468,123  

5.75%, 02/01/27(a)

      8,768       8,606,948  

3.75%, 02/15/27(a)

      15,524       14,331,218  

3.88%, 02/15/29(a)

      4,404       3,915,685  

4.63%, 12/01/29(a)

      15,401       14,019,755  

4.13%, 08/15/30(a)

      4,115       3,634,723  

WP Carey, Inc., 2.40%, 02/01/31

      7,500       6,120,515  
     

 

 

 
            244,902,888  
Diversified Telecommunication Services — 0.8%  

AT&T Inc.

     

4.50%, 05/15/35

      25,989       24,345,472  

5.25%, 03/01/37

      2,455       2,455,170  

3.50%, 06/01/41

      3,284       2,591,699  

4.55%, 03/09/49

      2,005       1,749,479  

5.15%, 02/15/50

      805       761,123  

3.65%, 06/01/51

      3,669       2,779,026  

3.55%, 09/15/55

      2,568       1,843,333  

3.80%, 12/01/57

      8,137       6,040,990  

3.65%, 09/15/59

      11,871       8,482,950  

Axtel SAB de CV

     

6.38%, 11/14/24(a)

      1,258       1,114,745  

6.38%, 11/14/24(d)

      400       354,450  

Colombia Telecomunicaciones SA ESP, 4.95%, 07/17/30(d)

      657       484,866  

Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd.

     

8.75%, 05/25/24(a)

      554       504,430  

(6.00% Cash and 7.00% PIK), 13.00%, 12/31/25(a)(m)

      337       212,447  

8.00%, 12/31/26(a)

      221       44,257  

Frontier Florida LLC, Series E, 6.86%, 02/01/28

      4,835       4,316,128  

Frontier North, Inc., Series G, 6.73%, 02/15/28

      1,500       1,342,500  

Liquid Telecommunications Financing PLC,

     

5.50%, 09/04/26(a)

      1,116       747,720  

Verizon Communications, Inc.

     

3.15%, 03/22/30

      12,680       11,550,318  

1.50%, 09/18/30

      8,106       6,563,265  

1.68%, 10/30/30

      4,722       3,811,461  
 

 

 

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

  45


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Diversified Telecommunication Services (continued)  

Verizon Communications, Inc.

     

7.75%, 12/01/30

    USD       1,970     $ 2,307,485  

1.75%, 01/20/31

          11,518       9,290,315  

2.55%, 03/21/31

      19,520       16,628,915  

2.36%, 03/15/32

      22,276       18,275,192  

5.25%, 03/16/37

      1,728       1,775,030  

2.65%, 11/20/40

      13,033       9,305,609  

3.40%, 03/22/41

      4,487       3,567,399  

4.86%, 08/21/46

      3,792       3,610,784  

3.70%, 03/22/61

      5,001       3,728,970  
     

 

 

 
            150,585,528  
Electric Utilities — 2.8%                  

AEP Texas, Inc.

     

3.95%, 06/01/28

      8,470       8,151,410  

2.10%, 07/01/30

      2,906       2,414,698  

3.80%, 10/01/47

      2,473       1,915,676  

3.45%, 05/15/51

      2,926       2,146,606  

Series H, 3.45%, 01/15/50

      1,475       1,086,890  

AEP Transmission Co. LLC

     

3.75%, 12/01/47

      2,214       1,820,349  

3.80%, 06/15/49

      2,302       1,909,885  

3.15%, 09/15/49

      3,515       2,556,305  

5.40%, 03/15/53

      4,699       4,894,555  

Series M, 3.65%, 04/01/50

      8,101       6,421,064  

Series O, 4.50%, 06/15/52

      7,156       6,543,642  

Alabama Power Co.

     

3.75%, 03/01/45

      4,370       3,515,194  

3.00%, 03/15/52

      5,983       4,131,257  

American Electric Power Co., Inc., 5.63%, 03/01/33

      1,880       1,944,629  

American Transmission Systems, Inc., 2.65%, 01/15/32(a)

      9,610       8,091,029  

Baltimore Gas & Electric Co.

     

4.25%, 09/15/48

      2,200       1,921,719  

3.20%, 09/15/49

      3,823       2,805,446  

2.90%, 06/15/50

      4,364       3,000,191  

CenterPoint Energy Houston Electric LLC

     

2.35%, 04/01/31

      3,260       2,780,227  

3.95%, 03/01/48

      532       448,389  

4.25%, 02/01/49

      3,381       3,009,538  

3.35%, 04/01/51

      4,969       3,784,157  

4.85%, 10/01/52

      1,780       1,735,009  

5.30%, 04/01/53

      1,783       1,845,453  

Commonwealth Edison Co.

     

4.00%, 03/01/49

      2,790       2,332,897  

3.13%, 03/15/51

      6,727       4,826,794  

2.75%, 09/01/51

      897       594,915  

Consolidated Edison Co. of New York, Inc.

     

6.15%, 11/15/52

      3,407       3,839,871  

4.30%, 12/01/56

      3,045       2,551,120  

DTE Electric Co.

     

3.95%, 03/01/49

      3,229       2,716,404  

3.25%, 04/01/51

      3,142       2,330,549  

5.40%, 04/01/53

      7,277       7,623,900  

Series A, 4.05%, 05/15/48

      5,713       4,879,192  

Duke Energy Carolinas LLC

     

4.95%, 01/15/33

      8,745       8,982,043  

3.75%, 06/01/45

      2,487       2,015,474  

3.88%, 03/15/46

      3,795       3,097,991  

3.70%, 12/01/47

      5,364       4,287,058  

3.95%, 03/15/48

      2,248       1,870,841  

3.45%, 04/15/51

      873       660,698  
Security         

Par

(000)

    Value  
Electric Utilities (continued)  

Duke Energy Carolinas LLC 5.35%, 01/15/53

    USD           7,106     $ 7,388,864  

Duke Energy Corp.

     

5.00%, 12/08/25

      3,118       3,138,953  

5.00%, 12/08/27

      4,298       4,368,456  

4.30%, 03/15/28

      11,637       11,409,603  

Duke Energy Florida LLC

     

2.50%, 12/01/29

      18,098           15,940,818  

1.75%, 06/15/30

      2,371       1,958,133  

3.40%, 10/01/46

      3,231       2,464,868  

5.95%, 11/15/52

      4,317       4,803,368  

Duke Energy Ohio, Inc., 5.65%, 04/01/53

      2,105       2,207,292  

Duke Energy Progress LLC

     

3.45%, 03/15/29

      12,906       12,064,841  

5.25%, 03/15/33

      3,680       3,823,329  

2.50%, 08/15/50

      5,236       3,279,588  

4.00%, 04/01/52

      3,300       2,744,144  

Edison International

     

4.95%, 04/15/25

      1,988       1,972,773  

5.75%, 06/15/27

      3,691       3,768,411  

6.95%, 11/15/29

      5,214       5,640,564  

Entergy Louisiana LLC, 4.20%, 09/01/48

      7,609       6,595,640  

Entergy Mississippi LLC, 2.85%, 06/01/28

      5,216       4,758,937  

Evergy Kansas Central, Inc., 5.70%, 03/15/53

      4,560       4,784,309  

Eversource Energy, 5.45%, 03/01/28

      12,979       13,449,164  

Exelon Corp.

     

5.15%, 03/15/28

      2,599       2,644,263  

5.10%, 06/15/45

      8,841       8,365,500  

4.10%, 03/15/52

      1,040       853,703  

5.60%, 03/15/53

      9,359       9,531,171  

FirstEnergy Corp.

     

2.05%, 03/01/25

      1,392       1,303,322  

Series B, 4.15%, 07/15/27

      9,423       8,975,407  

Series B, 2.25%, 09/01/30

      2,734       2,256,110  

Series C, 3.40%, 03/01/50

      4,237       2,905,616  

FirstEnergy Transmission LLC

     

4.35%, 01/15/25(a)

      1,770       1,745,619  

4.55%, 04/01/49(a)

      11,626       9,784,337  

Florida Power & Light Co.

     

3.99%, 03/01/49

      6,574       5,698,914  

3.15%, 10/01/49

      2,743       2,060,855  

Generacion Mediterranea SA/Central Termica Roca SA, 9.88%, 12/01/27(a)

      2,088       1,579,008  

Idaho Power Co., 5.50%, 03/15/53

      5,100       5,300,282  

India Green Power Holdings, 4.00%, 02/22/27(d)

      423       358,492  

Kentucky Utilities Co., 5.45%, 04/15/33

      2,110       2,194,208  

Louisville Gas & Electric Co., 5.45%, 04/15/33

      2,960       3,076,032  

Metropolitan Edison Co., 5.20%, 04/01/28(a)

      2,985       3,015,283  

MidAmerican Energy Co. 3.65%, 04/15/29

      6,280       5,989,861  

3.65%, 08/01/48

      3,347       2,708,647  

4.25%, 07/15/49

      3,988       3,563,935  

2.70%, 08/01/52

      2,581       1,747,798  

Northern States Power Co.

     

2.90%, 03/01/50

      4,953       3,497,886  

3.20%, 04/01/52

      3,123       2,290,581  

4.50%, 06/01/52

      3,480       3,207,279  

NRG Energy, Inc.

     

2.45%, 12/02/27(a)

      6,430       5,501,192  

7.00%, 03/15/33(a)

      605       626,732  

NSTAR Electric Co., 3.95%, 04/01/30

      2,403       2,326,668  
 

 

 

46  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Electric Utilities (continued)                  

Ohio Power Co.

     

4.00%, 06/01/49

    USD           3,666     $ 3,059,613  

Series Q, 1.63%, 01/15/31

      2,459       1,952,412  

Series R, 2.90%, 10/01/51

      2,959       2,020,662  

Oklahoma Gas & Electric Co., 5.60%, 04/01/53

      5,131       5,271,491  

Oncor Electric Delivery Co. LLC

     

3.70%, 11/15/28

      7,874       7,622,334  

3.80%, 09/30/47

      2,314       1,918,218  

4.60%, 06/01/52

      7,530       6,953,308  

Pacific Gas & Electric Co.

     

4.95%, 07/01/50

      3,628       2,988,974  

3.50%, 08/01/50

      1,750       1,154,655  

5.25%, 03/01/52

      2,175       1,850,763  

6.70%, 04/01/53

      2,190       2,251,887  

PacifiCorp, 4.15%, 02/15/50

      4,000       3,427,085  

PECO Energy Co.

     

3.05%, 03/15/51

      6,614       4,693,563  

4.38%, 08/15/52

      2,911       2,634,157  

Pennsylvania Electric Co., 5.15%, 03/30/26(a)

      2,360       2,370,303  

Public Service Co. of New Hampshire, 5.15%, 01/15/53

      4,875       4,939,862  

Public Service Electric & Gas Co.

     

3.65%, 09/01/28

      2,811           2,688,154  

3.10%, 03/15/32

      974       870,203  

3.85%, 05/01/49

      3,410       2,837,148  

2.05%, 08/01/50

      5,935       3,518,537  

3.00%, 03/01/51

      2,726       1,963,788  

San Diego Gas & Electric Co., 5.35%, 04/01/53

      7,210       7,425,197  

Southern California Edison Co.

     

2.85%, 08/01/29

      1,978       1,768,996  

2.25%, 06/01/30

      13,795       11,717,881  

2.50%, 06/01/31

      4,260       3,609,123  

5.95%, 11/01/32

      12,096       13,102,953  

5.70%, 03/01/53

      587       610,803  

Southwestern Electric Power Co., 5.30%, 04/01/33

      5,720       5,762,953  

Southwestern Public Service Co.

     

3.70%, 08/15/47

      2,393       1,865,616  

3.15%, 05/01/50

      4,815       3,466,664  

Tampa Electric Co., 4.45%, 06/15/49

      2,671       2,328,247  

Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25(a)

      18,145       17,650,207  

Union Electric Co., 5.45%, 03/15/53

      6,000       6,271,810  

Wisconsin Power & Light Co., 4.95%, 04/01/33

      3,365       3,385,856  
     

 

 

 
            497,107,244  
Electrical Equipment — 0.0%                  

FreeWire Technologies, Inc., 14.91%, 03/31/25(e)

      7,939       7,582,211  
     

 

 

 
Electronic Equipment, Instruments & Components — 0.0%  

Arrow Electronics, Inc., 6.13%, 03/01/26

      1,880       1,884,324  
     

 

 

 
Energy Equipment & Services — 0.0%        

Transocean, Inc., 8.75%, 02/15/30(a)

      711       725,220  
     

 

 

 
Financial Services — 0.3%                  

ABRA Global Finance, (6.00% Cash and 5.50% PIK), 11.50%, 03/02/28(a)(m)

      2,050       1,597,925  

ASG Finance Designated Activity Co., 7.88%, 12/03/24(a)

      1,678       1,617,172  

Avianca Midco 2 Ltd., 9.00%, 12/01/28(a)

      2,168       1,777,653  

CDI Escrow Issuer, Inc., 5.75%, 04/01/30(a)

      917       885,675  

CNH Industrial Capital LLC, 4.20%, 01/15/24

      8,565       8,471,086  

Credit Suisse U.S.A., Inc., 7.13%, 07/15/32

      2,100       2,325,750  
Security         

Par

(000)

    Value  
Financial Services (continued)                  

Easy Tactic Ltd., (6.50% Cash or 7.50% PIK), 7.50%, 07/11/25(m)

    USD       534     $ 139,552  

Fortune Star BVI Ltd., 6.85%, 07/02/24(d)

      540       481,950  

Freedom Mortgage Corp.

     

8.13%, 11/15/24(a)

      2,320       2,233,000  

8.25%, 04/15/25(a)

      988       912,665  

Grupo Aval Ltd., 4.38%, 02/04/30(a)

      1,398       1,056,399  

InRetail Consumer, 3.25%, 03/22/28(a)

      992       846,722  

Lessen Senior Secured Notes, 0.01%, 01/04/28

          10,556       10,134,151  

Nationstar Mortgage Holdings, Inc.

     

6.00%, 01/15/27(a)

      410       372,075  

5.50%, 08/15/28(a)

      1,859       1,594,092  

5.13%, 12/15/30(a)

      1,626       1,249,459  

5.75%, 11/15/31(a)

      801       621,306  

Pearl Holding II Ltd., (6.00% Cash or 6.00% PIK), 6.00%(d)(l)(m)

      286       7,157  

Pearl Holding III Ltd., 9.00%, 10/22/25(d)

      228       69,910  

RELX Capital, Inc., 3.00%, 05/22/30

      3,973       3,549,495  

Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.63%, 03/01/29(a)

      1,599       1,372,821  

Shell International Finance BV, 3.88%, 11/13/28

      6,378       6,284,182  

Simpar Europe SA, 5.20%, 01/26/31(a)

      1,552       1,126,170  

Sun Country Airlines

     

Series 2019-1B, 4.70%, 12/15/25(e)

      1,655       1,594,629  

Series 2019-1C, 7.00%, 12/15/25(e)

      1,472       1,455,992  

Series 2022-1A, 4.84%, 03/15/31(e)

      4,273       4,193,130  

United Wholesale Mortgage LLC, 5.50%, 11/15/25(a)

      4,793       4,536,143  
     

 

 

 
            60,506,261  
Food Products — 0.0%                  

BRF GmbH, 4.35%, 09/29/26(a)

      1,122       992,213  

Gruma SAB de CV, 4.88%, 12/01/24(d)

      754       744,575  

Grupo Bimbo SAB de CV, 3.88%, 06/27/24(d)

      636       622,803  

Kernel Holding SA

     

6.50%, 10/17/24(d)

      550       346,500  

6.75%, 10/27/27(d)

      200       113,000  

Knight Castle Investments Ltd., 7.99%, 01/23/22(f)(k)

      700       490,000  
     

 

 

 
        3,309,091  
Gas Utilities — 0.1%                  

Atmos Energy Corp.

     

4.30%, 10/01/48

      274       243,046  

4.13%, 03/15/49

      219       188,171  

Piedmont Natural Gas Co., Inc., 2.50%, 03/15/31

      1,118       932,724  

Promigas SA ESP/Gases del Pacifico SAC

     

3.75%, 10/16/29(a)

      1,027       810,881  

3.75%, 10/16/29(d)

      730       576,381  

Southwest Gas Corp., 5.45%, 03/23/28

      7,770       7,843,204  
     

 

 

 
        10,594,407  
Ground Transportation — 0.7%                  

Burlington Northern Santa Fe LLC

     

5.75%, 05/01/40

      3,968       4,264,244  

3.30%, 09/15/51

      14,199       10,833,299  

CSX Corp.

     

4.30%, 03/01/48

      5,959       5,276,221  

3.35%, 09/15/49

      2,236       1,683,802  

4.50%, 11/15/52

      2,282       2,086,663  

4.50%, 08/01/54

      1,924       1,709,407  

4.25%, 11/01/66

      3,597       2,969,647  

Norfolk Southern Corp.

     

2.30%, 05/15/31

      2,132       1,787,013  
 

 

 

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

  47


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Ground Transportation (continued)              

Norfolk Southern Corp.

     

3.05%, 05/15/50

    USD           4,801     $ 3,322,838  

4.05%, 08/15/52

      9,784       8,064,632  

3.70%, 03/15/53

      5,911       4,544,283  

Penske Truck Leasing Co. LP/PTL Finance Corp.
3.95%, 03/10/25(a)

      2,210       2,146,063  

4.00%, 07/15/25(a)

      8,216       7,957,859  

1.20%, 11/15/25(a)

      6,444       5,790,612  

3.40%, 11/15/26(a)

      2,314       2,155,607  

5.88%, 11/15/27(a)

      11,523       11,766,883  

5.70%, 02/01/28(a)

      10,539       10,633,529  

Ryder System, Inc., 5.65%, 03/01/28

      12,558       12,723,529  

Union Pacific Corp.

     

4.95%, 05/15/53

      940       951,584  

3.95%, 08/15/59

      2,062       1,684,108  

3.84%, 03/20/60

      6,208       5,025,941  

3.55%, 05/20/61

      3,563       2,696,771  

2.97%, 09/16/62

      7,923       5,239,196  

3.75%, 02/05/70

      2,398       1,838,147  

3.85%, 02/14/72

      2,572       2,023,760  

Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1, 3.23%, 05/14/26

      2,359       2,253,157  
     

 

 

 
            121,428,795  
Health Care Equipment & Supplies — 0.2%  

Baxter International, Inc., 1.92%, 02/01/27

      3,391       3,034,146  

Becton Dickinson & Co., 4.69%, 02/13/28

      6,391       6,416,721  

GE HealthCare Technologies, Inc., 5.60%, 11/15/25(a)

      10,129       10,251,225  

Medline Borrower LP, 3.88%, 04/01/29(a)

      5,101       4,425,117  

Thermo Fisher Scientific, Inc.

     

2.00%, 10/15/31

      12,076       10,065,484  

4.95%, 11/21/32

      2,593       2,690,739  
     

 

 

 
        36,883,432  
Health Care Providers & Services — 0.6%  

Elevance Health, Inc.

     

3.60%, 03/15/51

      2,273       1,769,009  

6.10%, 10/15/52

      3,245       3,620,376  

HCA, Inc.

     

5.38%, 02/01/25

      1,370       1,370,573  

5.25%, 04/15/25

      16,196       16,185,588  

5.25%, 06/15/26

      16,101       16,115,615  

5.63%, 09/01/28

      2,630       2,660,553  

5.88%, 02/01/29

      205       209,433  

3.50%, 09/01/30

      22,126       19,707,407  

Humana, Inc.

     

0.65%, 08/03/23

      4,680       4,613,774  

3.70%, 03/23/29

      3,232       3,040,731  

Select Medical Corp., 6.25%, 08/15/26(a)

      7,309       7,089,730  

Tenet Healthcare Corp.

     

4.63%, 06/15/28

      511       471,326  

4.25%, 06/01/29

      2,390       2,162,257  

4.38%, 01/15/30

      2,281       2,047,197  

UnitedHealth Group, Inc.

     

4.63%, 11/15/41

      1,926       1,852,011  

4.75%, 07/15/45

      2,474       2,424,670  

3.75%, 10/15/47

      1,148       963,427  

4.45%, 12/15/48

      2,372       2,198,100  

3.25%, 05/15/51

      2,873       2,158,514  

4.75%, 05/15/52

      4,406       4,288,949  
Security         

Par

(000)

    Value  
Health Care Providers & Services (continued)              

UnitedHealth Group, Inc.

     

4.95%, 05/15/62

    USD           1,857     $ 1,807,437  

5.20%, 04/15/63

      3,306       3,347,268  
     

 

 

 
        100,103,945  
Hotel & Resort REITs — 0.0%                  

Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 4.88%, 05/15/29(a)

      2,502       2,152,471  

Service Properties Trust

     

4.50%, 03/15/25

      1,396       1,282,754  

7.50%, 09/15/25

      3,867       3,815,752  

5.50%, 12/15/27

      397       355,315  

XHR LP, 4.88%, 06/01/29(a)

      385       326,514  
     

 

 

 
        7,932,806  
Hotels, Restaurants & Leisure — 0.2%                  

Affinity Interactive, 6.88%, 12/15/27(a)

      1,122       1,000,846  

Caesars Entertainment, Inc., 8.13%, 07/01/27(a)

      2,327       2,373,540  

Full House Resorts, Inc., 8.25%, 02/15/28(a)

      749       681,590  

Grupo Posadas SAB de CV, (4.00% Cash and 6.00% PIK), 5.00%, 12/30/27(d)(m)

      787       630,466  

HR Ottawa LP, 11.00%, 03/31/31(a)

      23,577           22,869,690  

Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(a)

      1,799       1,563,931  

REXLot Holdings Ltd., 4.50%, 04/17/19(d)(f)(j)(k)

    HKD       1,161       148  

Sonder Holdings, Inc., 13.50%, 01/19/27(e)

    USD       9,373       8,435,259  

Wynn Macau Ltd., 4.88%, 10/01/24(a)

      253       243,589  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.

     

7.75%, 04/15/25(a)

      2,888       2,944,356  

5.13%, 10/01/29(a)

      1,412       1,282,604  
     

 

 

 
        42,026,019  
Household Durables — 0.1%                  

Ashton Woods U.S.A. LLC/Ashton Woods Finance Co.

     

6.63%, 01/15/28(a)

      3,130       2,837,776  

4.63%, 08/01/29(a)

      573       464,130  

4.63%, 04/01/30(a)

      1,574       1,295,984  

Beazer Homes U.S.A., Inc., 7.25%, 10/15/29

      4,961       4,613,730  

Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 5.00%, 06/15/29(a)

      742       567,630  

Century Communities, Inc., 6.75%, 06/01/27

      2,837       2,829,915  

M/I Homes, Inc., 4.95%, 02/01/28

      2,745       2,538,983  

Mattamy Group Corp.

     

5.25%, 12/15/27(a)

      1,432       1,347,870  

4.63%, 03/01/30(a)

      1,691       1,470,800  

New Home Co., Inc., 7.25%, 10/15/25(a)

      608       562,357  

TRI Pointe Group, Inc.

     

5.25%, 06/01/27

      1,395       1,325,250  

5.70%, 06/15/28

      179       172,234  

Weekley Homes LLC/Weekley Finance Corp., 4.88%, 09/15/28(a)

      1,019       858,945  
     

 

 

 
            20,885,604  
Household Products — 0.0%                  

SC Johnson & Son, Inc., 3.35%, 09/30/24(a)

      535       521,251  
     

 

 

 
Independent Power and Renewable Electricity Producers — 0.0%  

Continuum Energy Levanter Pte Ltd.

     

4.50%, 02/09/27(a)

      1,011       889,601  

4.50%, 02/09/27(d)

      287       252,886  
 

 

 

48  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Independent Power and Renewable Electricity Producers (continued)  

SCC Power PLC

     

(8.00% Cash or 4.00% Cash and 4.00% PIK), 8.00%, 12/31/28(a)(m)

    USD           2,698     $ 941,625  

(4.00% Cash or 4.00% PIK), 4.00%, 05/17/32(a)(m)

      2,021       127,081  

Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33(d)

      405       394,581  

Stem, Inc., 0.50%, 12/01/28(a)(j)

      622       351,398  
     

 

 

 
        2,957,172  
Industrial REITs — 0.0%                  

Prologis LP

     

2.25%, 04/15/30

      2,348       1,991,899  

1.75%, 02/01/31

      3,166       2,559,522  
     

 

 

 
        4,551,421  
Insurance — 0.2%                  

AIA Group Ltd., 4.95%, 04/04/33(d)

      400       401,580  

Ambac Assurance Corp., 5.10%(a)(l)

      462       679,438  

American International Group, Inc.

     

4.75%, 04/01/48

      1,469       1,318,472  

4.38%, 06/30/50

      2,104       1,796,793  

Aon Corp.

     

4.50%, 12/15/28

      2,262       2,216,470  

3.75%, 05/02/29

      9,063       8,660,878  

Aon Corp./Aon Global Holdings PLC

     

2.60%, 12/02/31

      3,978       3,337,688  

5.00%, 09/12/32

      8,026       8,061,104  

5.35%, 02/28/33

      4,822       4,994,657  

Marsh & McLennan Cos., Inc.

     

2.25%, 11/15/30

      4,944       4,172,580  

5.45%, 03/15/53

      6,670       6,869,097  
     

 

 

 
        42,508,757  
IT Services — 0.4%                  

Atento Luxco 1 SA

     

8.00%, 02/10/26(a)

      945       274,050  

8.00%, 02/10/26(d)

      320       92,800  

Fiserv, Inc.

     

3.80%, 10/01/23

      520       515,155  

5.60%, 03/02/33

      1,167       1,210,326  

Gen Digital, Inc.

     

6.75%, 09/30/27(a)

      500       502,600  

7.13%, 09/30/30(a)

      500       497,500  

Global Payments, Inc.

     

4.00%, 06/01/23

      2,340       2,332,075  

1.20%, 03/01/26

      9,321       8,290,323  

4.80%, 04/01/26

      9,310       9,119,154  

2.15%, 01/15/27

      9,065       8,028,021  

4.95%, 08/15/27

      6,213       6,137,673  

3.20%, 08/15/29

      15,113       13,293,723  

5.30%, 08/15/29

      1,989       1,964,155  

2.90%, 05/15/30

      2,203       1,865,451  

International Business Machines Corp.

     

4.70%, 02/19/46

      3,117       2,836,027  

3.43%, 02/09/52

      4,126       3,006,563  

Leidos, Inc., 2.30%, 02/15/31

      2,903       2,355,583  
     

 

 

 
            62,321,179  
Life Sciences Tools & Services — 0.0%                  

Agilent Technologies, Inc.

     

2.75%, 09/15/29

      1,987       1,777,599  

2.10%, 06/04/30

      2,089       1,745,813  
     

 

 

 
        3,523,412  
Security         

Par

(000)

    Value  
Machinery — 0.0%                  

HTA Group Ltd., 7.00%, 12/18/25(a)

    USD           1,145     $ 1,087,034  

TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(a)

      2,530           2,388,573  
     

 

 

 
        3,475,607  
Media — 0.8%                  

Charter Communications Operating LLC/Charter Communications Operating Capital

     

5.38%, 05/01/47

      11,668       9,626,663  

5.13%, 07/01/49

      13,792       10,917,240  

4.80%, 03/01/50

      6,627       5,051,055  

3.70%, 04/01/51

      3,801       2,432,554  

5.25%, 04/01/53

      5,096       4,129,976  

6.83%, 10/23/55

      3,272       3,178,914  

4.40%, 12/01/61

      2,169       1,482,029  

3.95%, 06/30/62

      10,205       6,466,220  

Comcast Corp.

     

2.65%, 02/01/30

      17,261       15,376,632  

1.95%, 01/15/31

      8,326       6,927,999  

1.50%, 02/15/31

      8,286       6,653,512  

5.50%, 11/15/32

      6,647       7,088,227  

4.40%, 08/15/35

      1,814       1,755,023  

3.25%, 11/01/39

      2,201       1,786,436  

3.75%, 04/01/40

      3,660       3,141,730  

3.40%, 07/15/46

      3,610       2,799,714  

3.97%, 11/01/47

      3,092       2,599,211  

Cox Communications, Inc.

     

3.15%, 08/15/24(a)

      4,582       4,465,938  

2.95%, 10/01/50(a)

      2,976       1,908,542  

3.60%, 06/15/51(a)

      2,407       1,727,264  

FactSet Research Systems, Inc., 3.45%, 03/01/32

      12,321       10,740,661  

Grupo Televisa SAB, 6.63%, 01/15/40

      313       331,741  

Interpublic Group of Cos., Inc., 4.75%, 03/30/30

      2,682       2,633,632  

Meta Platforms, Inc., 4.45%, 08/15/52

      5,511       4,848,245  

Nexstar Broadcasting, Inc., 4.75%, 11/01/28(a)

      1,231       1,094,814  

Omnicom Group, Inc., 2.45%, 04/30/30

      2,255       1,935,889  

Paramount Global

     

6.88%, 04/30/36

      3,843       3,905,270  

5.25%, 04/01/44

      3,143       2,500,644  

TEGNA, Inc.

     

4.63%, 03/15/28

      1,706       1,488,485  

5.00%, 09/15/29

      1,137       982,715  

TWDC Enterprises 18 Corp., 3.00%, 07/30/46

      2,572       1,889,832  

Walt Disney Co.

     

2.75%, 09/01/49

      3,470       2,413,317  

3.60%, 01/13/51

      3,209       2,607,403  

Warnermedia Holdings, Inc., 3.43%, 03/15/24(a)

      3,115       3,043,256  
     

 

 

 
            139,930,783  
Metals & Mining — 0.2%  

Anglo American Capital PLC

     

4.75%, 04/10/27(a)

      1,969       1,922,138  

2.25%, 03/17/28(a)

      3,263       2,806,792  

3.88%, 03/16/29(a)

      2,554       2,342,976  

2.88%, 03/17/31(a)

      5,570       4,636,329  

AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30

      991       860,498  

CSN Resources SA, 5.88%, 04/08/32(a)

      1,277       1,041,553  

GUSAP III LP, 4.25%, 01/21/30(d)

      887       815,929  

Metinvest BV

     

8.50%, 04/23/26(a)

      223       136,030  

8.50%, 04/23/26(d)

      275       167,750  

7.65%, 10/01/27(d)

      263       151,307  

Minera Mexico SA de CV, 4.50%, 01/26/50(d)

      657       501,008  
 

 

 

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

  49


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Metals & Mining (continued)  

Newmont Corp., 2.25%, 10/01/30

    USD           4,353     $ 3,656,809  

Nucor Corp., 3.95%, 05/01/28

      8,120       7,812,766  

Periama Holdings LLC, 5.95%, 04/19/26(d)

      425       400,031  

Stillwater Mining Co., 4.00%, 11/16/26(d)

      440       392,700  

Vedanta Resources Finance II PLC, 8.95%, 03/11/25(a)

      1,885       1,149,850  

Vedanta Resources Ltd., 6.13%, 08/09/24(a)

      669       398,891  
     

 

 

 
            29,193,357  
Multi-Utilities — 0.3%                  

Ameren Illinois Co.

     

3.80%, 05/15/28

      3,603       3,500,721  

3.25%, 03/15/50

      3,444       2,562,068  

2.90%, 06/15/51

      2,647       1,826,444  

Baltimore Gas & Electric Co., 3.75%, 08/15/47

      5,433       4,319,489  

CenterPoint Energy Houston Electric LLC, 4.95%, 04/01/33

      3,870       3,952,103  

Consumers Energy Co.

     

4.63%, 05/15/33

      6,348       6,330,064  

3.75%, 02/15/50

      5,099       4,151,008  

3.50%, 08/01/51

      4,324       3,372,571  

4.20%, 09/01/52

      13,623       11,972,257  

NiSource, Inc., 5.25%, 03/30/28

      2,545       2,588,879  

Pacific Gas & Electric Co.

     

3.85%, 11/15/23

      3,065       3,020,256  

3.25%, 02/16/24

      154       150,815  

4.95%, 06/08/25

      2,000       1,976,011  

5.45%, 06/15/27

      644       637,228  

Virginia Electric & Power Co.

     

4.00%, 01/15/43

      7,466       6,306,960  

4.65%, 08/15/43

      2,213       2,008,223  
     

 

 

 
            58,675,097  
Oil, Gas & Consumable Fuels — 3.8%                  

AI Candelaria Spain SA, 7.50%, 12/15/28(d)

      633       575,848  

BP Capital Markets America, Inc.

     

2.72%, 01/12/32

      4,684       4,084,143  

4.81%, 02/13/33

      7,397       7,510,646  

2.77%, 11/10/50

      2,787       1,885,854  

Buckeye Partners LP

     

4.35%, 10/15/24

      2,500       2,446,288  

4.13%, 03/01/25(a)

      619       585,523  

Cameron LNG LLC

     

2.90%, 07/15/31(a)

      3,025       2,690,441  

3.30%, 01/15/35(a)

      13,988       12,036,232  

3.40%, 01/15/38(a)

      12,436       10,709,558  

3.70%, 01/15/39(a)

      1,863       1,559,021  

Cenovus Energy, Inc., 6.75%, 11/15/39

      8,782       9,343,505  

Cheniere Corpus Christi Holdings LLC

     

5.88%, 03/31/25

      22,667       22,829,062  

5.13%, 06/30/27

      25,605       25,624,457  

2.74%, 12/31/39

      846       698,105  

Cheniere Energy Partners LP

     

4.50%, 10/01/29

      24,882       23,115,643  

4.00%, 03/01/31

      9,099       8,097,564  

3.25%, 01/31/32

      20,638       17,049,465  

Chesapeake Energy Corp.

     

0.00%, 02/15/26(e)(f)(k)

      9,090       1  

0.00%, 06/15/26(e)(f)(k)

      425        

0.00%, 08/15/26(e)(f)(k)

      623        

Colgate Energy Partners III LLC, 5.88%, 07/01/29(a)

      796       753,724  

Devon Energy Corp.

     

8.25%, 08/01/23

      2,833       2,845,056  
Security         

Par

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

 

Devon Energy Corp.

     

5.85%, 12/15/25

    USD       1,567     $ 1,592,174  

5.25%, 10/15/27

      2,758       2,758,610  

5.88%, 06/15/28

      1,735       1,767,333  

4.75%, 05/15/42

      2,813       2,448,152  

Diamondback Energy, Inc.

     

3.25%, 12/01/26

          23,683           22,436,547  

3.50%, 12/01/29

      59,262       54,151,474  

3.13%, 03/24/31

      30,272       26,250,060  

4.40%, 03/24/51

      2,373       1,909,622  

Earthstone Energy Holdings LLC, 8.00%, 04/15/27(a)

      3,911       3,794,952  

EIG Pearl Holdings Sarl, 4.39%, 11/30/46(a)

      3,311       2,605,964  

Enbridge, Inc., 5.70%, 03/08/33

      14,488       15,069,604  

Energy Transfer LP

     

7.60%, 02/01/24

      1,907       1,925,245  

4.25%, 04/01/24

      7,397       7,302,031  

3.90%, 05/15/24

      5,610       5,491,968  

4.05%, 03/15/25

      2,850       2,795,287  

5.95%, 12/01/25

      4,641       4,714,434  

6.50%, 02/01/42

      8,142       8,444,169  

6.10%, 02/15/42

      2,093       2,046,682  

5.15%, 02/01/43

      1,970       1,717,875  

5.15%, 03/15/45

      5,010       4,361,552  

5.30%, 04/15/47

      5,408       4,738,947  

5.40%, 10/01/47

      4,488       3,989,494  

6.25%, 04/15/49

      2,332       2,310,376  

5.00%, 05/15/50

      23,599       20,142,413  

Series 5Y, 4.20%, 09/15/23

      2,868       2,857,494  

Enterprise Products Operating LLC
4.15%, 10/16/28

      3,418       3,322,098  

2.80%, 01/31/30

      3,251       2,883,038  

5.95%, 02/01/41

      3,357       3,542,674  

3.70%, 01/31/51

      2,390       1,847,418  

3.20%, 02/15/52

      5,335       3,794,619  

EQT Corp., 5.70%, 04/01/28

      4,066       4,061,588  

Hammerhead Resources, Inc., Series AI, 12.00%, 07/10/24(e)

      1,752       1,752,040  

Hess Corp., 5.60%, 02/15/41

      1,759       1,695,581  

Kinder Morgan Energy Partners LP
6.50%, 02/01/37

      2,734       2,887,330  

6.95%, 01/15/38

      2,323       2,595,449  

6.55%, 09/15/40

      5,037       5,180,635  

7.50%, 11/15/40

      346       389,256  

5.00%, 03/01/43

      3,319       2,903,333  

5.50%, 03/01/44

      4,979       4,678,549  

5.40%, 09/01/44

      3,086       2,858,177  

Kinder Morgan, Inc., 5.20%, 06/01/33

      7,685       7,635,017  

Marathon Petroleum Corp.

     

5.85%, 12/15/45

      1,915       1,780,032  

5.00%, 09/15/54

      519       446,355  

MC Brazil Downstream Trading S.a.r.l, 7.25%, 06/30/31(a)

      923       717,454  

MPLX LP

     

4.95%, 09/01/32

      1,838       1,797,497  

5.00%, 03/01/33

      3,345       3,273,318  

5.65%, 03/01/53

      4,554       4,379,446  

NGPL PipeCo LLC

     

4.88%, 08/15/27(a)

      7,707       7,469,358  

3.25%, 07/15/31(a)

      16,400       13,917,758  

Nine Energy Service, Inc., 13.00%, 02/01/28

      1,894       1,790,356  

Northwest Pipeline LLC, 4.00%, 04/01/27

      16,671       16,132,056  
 

 

 

50  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

 

 

Phillips 66, 4.95%, 12/01/27

    USD           6,975     $          7,006,007  

Pioneer Natural Resources Co., 1.90%, 08/15/30

      2,222       1,809,283  

Puma International Financing SA

     

5.13%, 10/06/24(a)

      978       914,430  

5.00%, 01/24/26(d)

      994       884,536  

Sabine Pass Liquefaction LLC

     

5.75%, 05/15/24

      25,601       25,661,804  

5.63%, 03/01/25

      24,829       24,986,619  

5.88%, 06/30/26

      22,510       22,971,678  

5.90%, 09/15/37(a)

      6,418       6,564,897  

Shelf Drilling Holdings Ltd., 8.88%, 11/15/24(a)

      436       433,084  

Shelf Drilling North Sea Holdings Ltd., 10.25%, 10/31/25(a)

      4,473       4,466,743  

Sitio Royalties Corp., 11.40%, 09/21/26(e)

      12,140       11,943,061  

Suncor Energy, Inc., 6.50%, 06/15/38

      1,638       1,754,331  

Sunoco LP/Sunoco Finance Corp., 4.50%, 04/30/30

      1,688       1,526,577  

Tap Rock Resources LLC, 7.00%, 10/01/26(a)

      4,014       3,516,497  

Targa Resources Corp., 5.20%, 07/01/27

      12,497       12,392,505  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.

     

6.50%, 07/15/27

      1,748       1,782,198  

5.00%, 01/15/28

      12,315       11,907,187  

6.88%, 01/15/29

      389       396,476  

5.50%, 03/01/30

      7,478       7,307,726  

4.88%, 02/01/31

      15,077       14,107,317  

4.00%, 01/15/32

      3,600       3,137,544  

Texas Eastern Transmission LP

     

3.50%, 01/15/28(a)

      9,413       8,843,385  

7.00%, 07/15/32

      937       1,074,240  

Transcontinental Gas Pipe Line Co. LLC

     

7.85%, 02/01/26

      15,320       16,410,008  

4.00%, 03/15/28

      13,905       13,300,590  

4.60%, 03/15/48

      5,266       4,622,995  

3.95%, 05/15/50

      2,211       1,757,781  

Transocean Titan Financing Ltd., 8.38%, 02/01/28(a)

      674       693,593  

Vantage Drilling International, 9.50%, 02/15/28(a)

      2,145       2,102,550  

Western Midstream Operating LP, 6.15%, 04/01/33

      2,405       2,437,615  

Williams Cos., Inc., 3.50%, 10/15/51

      2,367       1,681,404  
     

 

 

 
        684,187,688  

Paper & Forest Products — 0.0%

     

Suzano Austria GmbH

     

5.75%, 07/14/26(a)

      353       352,603  

5.00%, 01/15/30

      551       524,414  

3.75%, 01/15/31

      400       345,620  

3.13%, 01/15/32

      1,180       961,700  
     

 

 

 
        2,184,337  

Passenger Airlines — 0.4%

     

Air Canada Pass-Through Trust

     

Series 2017-1, Class AA, 3.30%, 01/15/30(a)

      1,692       1,490,333  

Series 2017-1, Class B, 3.70%, 01/15/26(a)

      14       13,107  

Allegiant Travel Co.

     

8.50%, 02/05/24(a)

      5,339       5,339,000  

7.25%, 08/15/27(a)

      1,070       1,065,185  

American Airlines Pass-Through Trust

     

4.00%, 12/15/24(e)

      953       931,411  

3.50%, 06/15/26(e)

      3,761       3,487,875  

Series 2015-2, Class AA, 3.60%, 09/22/27

      878       804,482  

Series 2015-2, Class B, 4.40%, 09/22/23

      4,379       4,305,340  

Series 2016-1, Class AA, 3.58%, 01/15/28

      3,207       2,949,014  
Security  

Par

(000)

    Value  

Passenger Airlines (continued)

     

American Airlines Pass-Through Trust

     

Series 2016-2, Class AA, 3.20%, 06/15/28

    USD           1,636     $          1,467,782  

Series 2017-1, Class AA, 3.65%, 02/15/29

      547       497,729  

Series 2019-1, Class AA, 3.15%, 02/15/32

      4,421       3,866,529  

American Airlines, Inc., 4.87%, 04/22/25(e)

      426       423,969  

Delta Air Lines Pass-Through Trust, Series 2019-1, Class AA, 3.20%, 04/25/24

      10,553       10,332,504  

Turkish Airlines Pass-Through Trust, Series 2015-1, Class A, 4.20%, 03/15/27(a)

      1,008       883,084  

United Airlines Pass-Through Trust

     

Series 2014-1, Class A, 4.00%, 04/11/26

      3,120       2,941,252  

Series 2015-1, Class AA, 3.45%, 12/01/27

      1,251       1,137,641  

Series 2016-1, Class AA, 3.10%, 07/07/28

      486       437,831  

Series 2016-2, Class AA, 2.88%, 10/07/28

      1,535       1,367,069  

Series 2016-2, Class B, 3.65%, 10/07/25

      174       161,866  

Series 2018-1, Class AA, 3.50%, 03/01/30

      1,051       942,221  

Series 2019-2, Class AA, 2.70%, 05/01/32

      2,976       2,506,819  

Series 2019-2, Class B, 3.50%, 05/01/28

      2,756       2,490,206  

Series 2020-1, Class A, 5.88%, 10/15/27

      15,677       15,629,616  

Series 2020-1, Class B, 4.88%, 01/15/26

      2,800       2,706,834  
     

 

 

 
        68,178,699  

Personal Care Products — 0.0%

     

Kenvue, Inc., 5.20%, 03/22/63(a)

      2,665       2,761,175  
     

 

 

 

Pharmaceuticals — 0.2%

     

Bristol-Myers Squibb Co., 4.55%, 02/20/48

      2,368       2,237,454  

Eli Lilly & Co.

     

4.88%, 02/27/53

      1,620       1,675,090  

4.95%, 02/27/63

      1,460       1,502,188  

Merck & Co., Inc., 2.35%, 06/24/40

      2,681       1,973,234  

Shire Acquisitions Investments Ireland DAC, 2.88%, 09/23/23

      1,825       1,802,711  

Takeda Pharmaceutical Co. Ltd.

     

5.00%, 11/26/28

      8,705       8,798,802  

2.05%, 03/31/30

      15,101       12,751,191  
     

 

 

 
        30,740,670  

Real Estate Management & Development — 0.1%

 

Agile Group Holdings Ltd.

     

7.88% (d)(l)

      238       74,970  

5.75%, 01/02/25(d)

      200       106,000  

Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26(a)

      1,567       1,441,640  

Arabian Centres Sukuk Ltd., 5.38%, 11/26/24(d)

      868       843,045  

China Aoyuan Group Ltd., 8.50%, 01/23/22(d)(f)(k)

      362       32,580  

China Evergrande Group

     

10.00%, 04/11/23(d)(f)(k)

      600       45,113  

11.50%, 01/22/24(f)(k)

      2,077       156,813  

China SCE Group Holdings Ltd.

     

7.38%, 04/09/24(d)

      381       257,175  

5.95%, 09/29/24(d)

      277       146,810  

Country Garden Holdings Co. Ltd., 2.70%, 07/12/26(d)

      695       394,412  

Fantasia Holdings Group Co. Ltd.

     

6.95%, 12/17/21(d)(f)(k)

      465       47,663  

11.75%, 04/17/22(d)(f)(k)

      2,430       249,075  

11.88%, 06/01/23(d)(f)(k)

      1,093       112,033  

7.95%, 06/30/23(f)(k)

      530       55,719  

12.25%, 10/18/23(f)(k)

      200       20,500  

10.88%, 01/09/24(f)(k)

      2,657       272,342  

Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(a)

      2,299       2,067,950  

Forestar Group, Inc.
3.85%, 05/15/26(a)

      797       717,025  
 

 

 

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

  51


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Real Estate Management & Development (continued)

 

Forestar Group, Inc.
5.00%, 03/01/28(a)

    USD           1,884     $          1,686,180  

Greenland Global Investment Ltd., 6.75%, 09/26/25(d)

      325       107,250  

Howard Hughes Corp., 5.38%, 08/01/28(a)

      2,364       2,152,682  

Jingrui Holdings Ltd., 12.00%, 07/25/22(d)(f)(k)

      800       68,366  

Modern Land China Co. Ltd.

     

(7.00% Cash or 7.00% PIK), 7.00%, 12/30/23(d)(m)

      171       12,388  

(8.00% Cash or 8.00% PIK), 8.00%, 12/30/24(d)(m)

      464       31,394  

(9.00% Cash or 9.00% PIK), 9.00%, 12/30/25(d)(m)

      509       34,128  

(9.00% Cash or 9.00% PIK), 9.00%, 12/30/26(d)(m)

      622       42,078  

(9.00% Cash or 9.00% PIK), 9.00%, 12/30/27(d)(m)

      1,171       76,711  

New Metro Global Ltd., 6.80%, 08/05/23(d)

      249       234,060  

Redsun Properties Group Ltd.

     

9.70%, 04/16/23(d)(f)(k)

      1,771       203,665  

10.50%, 10/03/23(f)(k)

      600       69,000  

RKPF Overseas 2019 A Ltd., 6.00%, 09/04/25(d)

      345       272,550  

RKPF Overseas 2020 A Ltd., 5.13%, 07/26/26(d)

      400       273,000  

Ronshine China Holdings Ltd.

     

7.35%, 12/15/23(d)(f)(k)

      200       13,500  

7.10%, 01/25/25(d)(f)(k)

      2,283       154,102  

Sinic Holdings Group Co. Ltd., 10.50%, 06/18/23(f)(k)

      782       7,820  

Theta Capital Pte Ltd., 8.13%, 01/22/25(d)

      500       401,656  

Yango Justice International Ltd.

     

10.25%, 09/15/22(f)(k)

      606       12,120  

9.25%, 04/15/23(d)(f)(k)

      305       6,100  

8.25%, 11/25/23(d)(f)(k)

      1,700       34,000  

7.50%, 04/15/24(d)(f)(k)

      1,482       29,640  

Yanlord Land HK Co. Ltd., 5.13%, 05/20/26(d)

      200       168,500  
     

 

 

 
        13,131,755  

Residential REITs — 0.1%

     

National Retail Properties, Inc.

     

3.50%, 04/15/51

      6,750       4,631,166  

3.00%, 04/15/52

      2,489       1,555,453  

Realty Income Corp., 3.25%, 01/15/31

      2,068       1,821,668  
     

 

 

 
        8,008,287  

Semiconductors & Semiconductor Equipment — 0.9%

 

Applied Materials, Inc., 3.30%, 04/01/27

      1,830       1,766,715  

Broadcom Corp./Broadcom Cayman Finance Ltd., 3.50%, 01/15/28

      7,875       7,388,064  

Broadcom, Inc.

     

2.45%, 02/15/31(a)

      3,438       2,814,755  

4.30%, 11/15/32

      3,746       3,451,346  

3.42%, 04/15/33(a)

      24,731       20,692,661  

3.47%, 04/15/34(a)

      17,817       14,632,781  

3.14%, 11/15/35(a)

      4,887       3,758,393  

4.93%, 05/15/37(a)

      2,900       2,637,216  

Intel Corp., 4.88%, 02/10/28

      17,386       17,665,533  

KLA Corp.

     

4.10%, 03/15/29

      4,900       4,823,424  

5.00%, 03/15/49

      2,871       2,814,390  

3.30%, 03/01/50

      8,587       6,563,855  

4.95%, 07/15/52

      7,004       6,942,103  

5.25%, 07/15/62

      6,483       6,562,840  

Lam Research Corp., 2.88%, 06/15/50

      3,015       2,127,719  

Marvell Technology, Inc., 4.20%, 06/22/23

      1,890       1,881,929  
Security  

Par

(000)

    Value  

Semiconductors & Semiconductor Equipment (continued)

 

Microchip Technology, Inc.

     

4.33%, 06/01/23

    USD           2,790     $          2,779,773  

2.67%, 09/01/23

      954       940,618  

Micron Technology, Inc., 5.88%, 02/09/33

      1,880       1,900,779  

NVIDIA Corp., 3.50%, 04/01/50

      2,845       2,329,087  

NXP BV/NXP Funding LLC, 5.55%, 12/01/28

      3,210       3,274,004  

NXP BV/NXP Funding LLC/NXP U.S.A., Inc.

     

4.30%, 06/18/29

      16,413       15,612,866  

3.40%, 05/01/30

      2,056       1,842,433  

QUALCOMM, Inc.

     

5.40%, 05/20/33

      10,907       11,708,664  

4.80%, 05/20/45

      5,328       5,307,191  

4.30%, 05/20/47

      2,160       2,002,772  

6.00%, 05/20/53

      8,441       9,590,193  

Skyworks Solutions, Inc., 0.90%, 06/01/23

      2,570       2,548,409  
     

 

 

 
        166,360,513  

Software — 0.8%

     

Autodesk, Inc., 2.40%, 12/15/31

      2,505       2,083,489  

Broadridge Financial Solutions, Inc., 3.40%, 06/27/26

      1,984       1,895,819  

GoTo Group, Inc., 5.50%, 09/01/27(a)

      8,500       4,349,661  

Microsoft Corp., 2.92%, 03/17/52

      3,237       2,460,677  

Oracle Corp.

     

4.30%, 07/08/34

      8,338       7,645,612  

3.85%, 07/15/36

      6,266       5,355,220  

3.80%, 11/15/37

      3,781       3,139,130  

6.13%, 07/08/39

      2,405       2,502,318  

3.60%, 04/01/40

      20,141       15,632,256  

5.38%, 07/15/40

      1,828       1,750,115  

3.65%, 03/25/41(h)

      15,044       11,606,616  

4.13%, 05/15/45

      12,066       9,475,286  

4.00%, 07/15/46

      8,806       6,718,570  

4.00%, 11/15/47

      13,547       10,333,069  

3.60%, 04/01/50

      26,225       18,601,249  

3.95%, 03/25/51

      17,593       13,238,336  

4.10%, 03/25/61

      3,640       2,677,319  

Playtika Holding Corp., 4.25%, 03/15/29(a)

      465       387,113  

S&P Global, Inc., 4.75%, 08/01/28

      8,196       8,315,913  

Salesforce, Inc., 3.05%, 07/15/61

      4,176       2,865,711  

VMware, Inc.

     

1.80%, 08/15/28

      6,203       5,238,177  

2.20%, 08/15/31

      14,508       11,486,119  
     

 

 

 
        147,757,775  

Specialty Retail — 0.2%

     

Home Depot, Inc., 2.38%, 03/15/51

      5,010       3,152,973  

Lowe’s Cos., Inc.

     

1.70%, 09/15/28

      6,056       5,239,414  

3.65%, 04/05/29

      13,903       13,162,924  

4.50%, 04/15/30

      8,234       8,137,011  

2.80%, 09/15/41

      3,000       2,126,384  
     

 

 

 
        31,818,706  

Technology Hardware, Storage & Peripherals — 0.3%

 

Apple Inc.

     

2.65%, 05/11/50

      2,634       1,856,803  

2.65%, 02/08/51

      3,611       2,530,422  

2.80%, 02/08/61

      14,640       9,963,351  

4.10%, 08/08/62

      2,294       2,044,838  

CA Magnum Holdings, 5.38%, 10/31/26(d)

      400       353,000  

Dell International LLC/EMC Corp.

     

4.90%, 10/01/26

      11,061       11,032,985  

5.25%, 02/01/28

      2,354       2,376,875  
 

 

 

52  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Technology Hardware, Storage & Peripherals (continued)

 

Dell International LLC/EMC Corp.

     

8.35%, 07/15/46

    USD       552     $             672,438  

Hewlett Packard Enterprise Co.

     

5.90%, 10/01/24

          16,985       17,199,154  

6.35%, 10/15/45

      1,227       1,291,886  

HP, Inc., 6.00%, 09/15/41

      3,064       3,136,686  

Xerox Holdings Corp., 5.00%, 08/15/25(a)

      4,252       4,011,656  
     

 

 

 
        56,470,094  

Textiles, Apparel & Luxury Goods — 0.0%

 

William Carter Co., 5.63%, 03/15/27(a)

      105       102,056  
     

 

 

 

Tobacco — 0.5%

     

Altria Group, Inc.

     

3.13%, 06/15/31

    EUR       12,780       11,820,701  

5.80%, 02/14/39

    USD       8,015       7,824,678  

4.50%, 05/02/43

      8,369       6,691,870  

BAT Capital Corp.

     

4.54%, 08/15/47

      2,313       1,722,561  

4.76%, 09/06/49

      5,987       4,591,626  

3.98%, 09/25/50

      3,618       2,483,917  

Philip Morris International, Inc.

     

5.13%, 11/17/27

      19,117       19,562,599  

4.88%, 02/15/28

      16,782       16,937,766  

1.45%, 08/01/39

    EUR       10,050       6,307,649  

Reynolds American, Inc., 5.85%, 08/15/45

    USD       3,057       2,756,067  
     

 

 

 
        80,699,434  

Wireless Telecommunication Services — 0.2%

 

Digicel Group Holdings Ltd., (5.00% Cash and 3.00% PIK or 8.00% PIK), 8.00%, 04/01/25(a)(m)

      1,101       437,577  

Kenbourne Invest SA

     

6.88%, 11/26/24(a)

      955       716,131  

4.70%, 01/22/28(a)

      720       414,360  

Millicom International Cellular SA, 6.63%, 10/15/26(a)

      495       471,580  

Rogers Communications, Inc., 3.80%, 03/15/32(a)

      20,207       18,134,778  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 5.15%, 03/20/28(a)

      350       347,769  

T-Mobile U.S.A., Inc., 3.88%, 04/15/30

      13,998       13,134,515  

Vodafone Group PLC

     

4.13%, 05/30/25

      2,734       2,703,609  

5.75%, 02/10/63

      900       890,776  
     

 

 

 
        37,251,095  
     

 

 

 

Total Corporate Bonds — 24.3% (Cost: $4,655,190,992)

        4,369,212,562  
     

 

 

 

Floating Rate Loan Interests

     

Beverages — 0.0%

     

City Brewing Co. LLC, Closing Date Term Loan (First Lien), (1-mo. LIBOR US + 3.50%, 0.75% Floor), 8.33%, 04/05/28(c)

      2,136       857,641  

Naked Juice LLC, Initial Loan (Second Lien), (3-mo. CME Term SOFR US + 6.00%, 0.50% Floor), 11.00%, 01/24/30(c)

      460       343,082  

Triton Water Holdings, Inc., Initial Term Loan (First Lien), (3-mo. LIBOR US + 3.50%, 0.50% Floor), 8.66%, 03/31/28(c)

      991       885,356  
     

 

 

 
        2,086,079  
Security  

Par

(000)

    Value  

Building Products — 0.0%

     

Cornerstone Building Brands, Inc., Tranche B Term Loan, (1-mo. LIBOR US + 3.25%, 0.50% Floor), 7.93%, 04/12/28(c)

    USD           999     $             874,949  

CP Iris Holdco I, Inc., Initial Term Loan (First Lien), (1-mo. LIBOR US + 3.50%, 0.50% Floor), 8.41%, 10/05/28(c)

      850       794,387  
     

 

 

 
        1,669,336  

Capital Markets — 0.1%

     

OVG Business Services LLC, Initial Term Loan, (1-mo. LIBOR US + 6.25%, 1.00% Floor), 6.25%, 11/20/28(c)(e)

      3,055       2,963,486  

Paradise Plaza Associates LLC, Term Loan, (1- mo. LIBOR US + 3.60%, 0.15% Floor), 8.32%, 12/09/26(c)(e)

      12,468       12,066,960  
     

 

 

 
        15,030,446  

Chemicals — 0.1%

     

Aruba Investments Holdings LLC, Initial Dollar Term Loan (First Lien), (1-mo. LIBOR US + 4.00%, 0.75% Floor), 8.59%, 11/24/27(c)

      1,079       1,050,261  

Bakelite U.S. Holdco, Inc., Initial Loan, (3-mo. CME Term SOFR US + 4.00%, 0.50% Floor), 9.05%, 05/27/29(c)

      7,403       7,032,905  

Flexsys Holdings, Inc., Initial Term Loan (First Lien), (1-mo. LIBOR US + 5.25%, 0.75% Floor), 10.17%, 11/01/28(c)

      2,295       2,067,099  

LSF11 A5 Holdco LLC, Term Loan, (1-mo. SOFR US + 3.50%, 0.50% Floor), 8.42%, 10/15/28(c) .

      2,128       2,059,884  

SCIH Salt Holdings, Inc., Incremental Term B-1 Loan (First Lien), (3-mo. LIBOR US + 4.00%, 0.75% Floor), 8.83%, 03/16/27(c)

      2,232       2,172,917  
     

 

 

 
        14,383,066  

Commercial Services & Supplies — 0.2%

 

AEA International Holdings (Luxembourg) S.a.r.l., Initial Term Loan (First Lien), (3-mo. LIBOR US + 3.75%, 0.50% Floor), 8.94%, 09/07/28(c)(e)

      3,758       3,730,139  

Allied Universal Holdco LLC (FKA USAGM Holdco LLC), Initial U.S. Dollar Term Loan, (1-mo. LIBOR US + 3.75%, 0.50% Floor), 8.66%, 05/14/28(c)

      3,729       3,535,440  

American Auto Auction Group LLC, Tranche B Term Loan (First Lien), 9.90%, 12/30/27(c)

      2,891       2,491,837  

DRI Holding, Inc., Closing Date Term Loan (First Lien), (1-mo. LIBOR US + 5.25%, 0.50% Floor), 9.88%, 12/21/28(c)

      3,154       2,803,264  

DS Parent, Inc., Term B Loan, (3-mo. LIBOR US + 5.75%, 0.75% Floor), 10.79%, 12/10/28(c)

      2,103       2,026,315  

Interface Security Systems LLC, Initial Term Loan, (1-mo. LIBOR US + 7.00%, 1.75% Floor), 11.84%, 08/07/23(c)(e)

      6,318       5,584,256  

MIP V Waste LLC, Initial Term Loan, (1-mo. LIBOR US + 3.25%, 0.50% Floor), 8.09%, 12/10/28(c)

      1       1,338  

ProFrac Holdings II LLC, Term Loan, (6-mo. CME Term SOFR US + 7.25%, 1.00% Floor), 7.25%, 03/04/25(c)

      5,230       5,171,111  

Project Beeper, Term Loan B, 8.38%, 12/21/27(e)

      5,337       5,283,630  

Signal Parent, Inc., Initial Term Loan, (1-mo. LIBOR US + 3.50%, 0.75% Floor), 8.31%, 04/01/28(c)

      3,385       2,229,679  
     

 

 

 
        32,857,009  
 

 

 

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

  53


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Construction & Engineering — 0.1%  

DuPont Hotel Project Owner LLC, Loan, 7.35%, 04/01/24(e)(n)

    USD       12,240     $        11,600,470  
     

 

 

 

Consumer Finance — 0.0%

 

Crédito Real SAB de CV, SOFOM, ENR (Marevalley Corp.), Tranche A Loan, (1-mo. LIBOR US + 3.75%, 0.00% Floor), 3.75%, 05/01/23(e)(n)

      571       42,788  
     

 

 

 

Diversified Telecommunication Services — 0.0%

 

Connect Finco S.a.r.l., Amendment No. 1 Refinancing Term Loan, (1-mo. LIBOR US + 3.50%, 1.00% Floor), 8.35%, 12/12/26(c)

      2,459       2,440,508  
     

 

 

 

Electronic Equipment, Instruments & Components — 0.0%

 

Emerald Technologies (U.S.) Acquisitionco, Inc., Term B Loan, (1-mo. CME Term SOFR US + 6.25%, 1.00% Floor), 11.16%, 12/29/27

      1,628       1,530,592  

Robertshaw U.S. Holding Corp. (FKA Fox U.S. Bidco Corp.), Initial Term Loan (Second Lien), (1-mo. LIBOR US + 8.00%, 1.00% Floor), 13.19%, 02/28/26(c)

      1,795       460,723  
     

 

 

 
        1,991,315  

Financial Services — 0.8%

 

621 17th Street Operating Co. LLC (633 17th Street Operating Co. LLC), Loan, (1-mo. LIBOR US + 4.00%, 0.00% Floor), 8.60%, 11/15/23(c)(e)

      7,082       3,556,353  

Aspen Owner LLC, Advance, (1-mo. CME Term SOFR US + 2.90%, 0.10% Floor), 7.73%, 02/10/25(c)(e)

      14,898       14,311,764  

BRE Park Avenue Tower Owner LLC, Mezzanine A Loan, (1-mo. LIBOR US + 2.05%, 0.00% Floor), 6.77%, 03/09/24(c)(e)

      16,547       16,188,399  

BSREP II Houston Office 1HC Owner LLC, Mezzanine Loan, (1-mo. LIBOR US + 2.10%, 0.00% Floor), 7.04%, 01/09/24(c)(e)

      12,143       10,524,998  

Caliber Home Loans, Inc., Advances, (1-mo. SOFR US + 3.25%, 0.00% Floor), 7.91%, 07/24/25(c)(e)

      18,650       18,556,750  

HLP Hotel LLC, Term Loan, (1-mo. LIBOR US + 3.43%, 1.00% Floor), 8.15%, 09/09/26(c)(e)

      12,200       11,938,980  

HP LQ Investment LP, Term Loan, (1-mo. CME Term SOFR US + 3.00%, 0.00% Floor), 7.57- 7.70%%, 12/09/26(c)(e)

      12,200       11,802,247  

Mensa II Austin Hotel LP, Promissory Note A-3, (1-mo. LIBOR US + 3.48%, 0.25% Floor), 8.14%, 06/01/24(c)(e)

      14,460       13,945,178  

Project Pearl Pasco Holdings LLC, Advance, (1- mo. LIBOR US + 2.75%, 0.00% Floor), 7.06%, 09/15/24(c)(e)

      22,795       22,597,484  

The Vinoy St. Petersburg, Note A, (1-mo. LIBOR US + 2.55%, 0.50% Floor), 7.40%, 06/09/26(c)(e)

      14,628       14,090,514  

Woof Holdings, Inc., Initial Term Loan (First Lien), (3-mo. LIBOR US + 3.75%, 0.75% Floor), 8.53%, 12/21/27(c)(e)

      811       774,928  
     

 

 

 
        138,287,595  
Security  

Par

(000)

    Value  

Food Products — 0.0%

 

BCPE North Star U.S. Holdco 2, Inc., Initial Term Loan (First Lien), (3-mo. LIBOR US + 4.00%, 0.75% Floor), 9.16%, 06/10/28(c)

    USD       4,923     $          4,504,684  

Shearer’s Foods LLC, Refinancing Term Loan (First Lien), (1-mo. LIBOR US + 3.50%, 0.75% Floor), 8.34%, 09/23/27(c)

      967       943,075  
     

 

 

 
        5,447,759  

Health Care Providers & Services — 0.0%

 

Medical Solutions Holdings, Inc., Initial Term Loan (Second Lien), (3-mo. LIBOR US + 7.00%, 0.50% Floor), 11.99%, 11/01/29

      1,587       1,436,235  

Select Medical Corp., Tranche B Term Loan, (1- mo. LIBOR US + 2.50%, 0.00% Floor), 7.35%, 03/06/25(c)

      1,124       1,118,012  
     

 

 

 
        2,554,247  

Hotels, Restaurants & Leisure — 0.3%

 

Aimbridge Acquisition Co., Inc. 2021 Term Loan (First Lien), (1-mo. LIBOR US + 4.75%, 0.75% Floor), 9.53%, 02/01/26(c)

      877       835,783  

Initial Term Loan (2019) (First Lien), (1-mo. LIBOR US + 3.75%, 0.00% Floor), 8.38%, 02/01/26(c)

      1,673       1,593,547  

Bally’s Corp., Term B Facility Loan, (1-mo. LIBOR US + 3.25%, 0.50% Floor), 7.96%, 10/01/28(c) .

      11,676       11,123,917  

ECL Entertainment LLC, Term B Loan, (1-mo. LIBOR US + 7.50%, 0.75% Floor), 12.42%, 04/30/28(c)

      2,842       2,815,146  

Fertitta Entertainment LLC, Initial B Term Loan, (1-mo. CME Term SOFR US + 4.00%, 0.50% Floor), 8.81%, 01/27/29(c)

      7,308       7,182,540  

Herschend Entertainment Co. LLC, Initial Term Loan (2021), (1-mo. LIBOR US + 3.75%, 0.50% Floor), 8.63%, 08/27/28(c)

      1,896       1,880,330  

HRNI Holdings LLC (FKA Spectacle Gary Holdings LLC), Term B Loan, (1-mo. LIBOR US + 4.25%, 0.75% Floor), 9.09%, 12/10/28(c)

      9,131       8,834,068  

Maverick Gaming LLC, Term B Facility Loan, (3- mo. LIBOR US + 7.50%, 1.00% Floor), 12.45%, 09/03/26(c)

      2,790       1,878,380  

Sodalite Tahoe Hotel LLC, Term Loan, (1-mo. LIBOR US + 2.90%, 0.00% Floor), 7.61%, 10/25/26(c)(e)

      9,699       9,345,220  
     

 

 

 
        45,488,931  

Household Products — 0.0%

 

Conair Holdings LLC, Initial Term Loan (First Lien), (3-mo. LIBOR US + 3.75%, 0.50% Floor), 8.91%, 05/17/28(c)(e)

      539       490,593  

Kronos Acquisition Holdings, Inc., Initial Loan, (3-mo. CME Term SOFR US + 6.00%, 1.00% Floor), 11.03%, 12/22/26(c)

      733       707,237  

SWF Holdings I Corp., Initial Term Loan (First Lien), (3-mo. LIBOR US + 4.00%, 0.75% Floor), 8.75%, 10/06/28(c)

      1,971       1,652,424  
     

 

 

 
        2,850,254  

Independent Power and Renewable Electricity Producers — 0.0%

 

Talen Energy Supply LLC, Interim Term Loan, (3-mo. CME Term SOFR US + 4.75%, 0.75% Floor), 9.51 - 9.57%%, 11/13/23(c)

      6,307       6,302,270  
     

 

 

 
 

 

 

54  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

IT Services — 0.0%

     

GoTo Group, Inc., Initial Term Loan (First Lien), (1-mo. LIBOR US + 4.75%, 0.00% Floor), 9.59%, 08/31/27(c)

    USD           1,605     $             908,314  
     

 

 

 

Leisure Products — 0.0%

     

J & J Ventures Gaming LLC, Initial Term Loan, (3-mo. LIBOR US + 4.00%, 0.75% Floor), 9.16%, 04/26/28(c)

      1,904       1,837,915  
     

 

 

 

Machinery — 0.0%

     

Apex Tool Group LLC, Initial Term Loan (First Lien), (1-mo. CME Term SOFR US + 5.25%, 0.50% Floor), 10.09%, 02/08/29(c)

      2,896       2,536,817  

Gates Global LLC, Initial B-3 Dollar Term Loan, (1-mo. LIBOR US + 2.50%, 0.75% Floor), 7.41%, 03/31/27(c)

      784       777,813  

Hydrofarm Holdings Group, Inc., Term Loan, (3- mo. LIBOR US + 5.50%, 1.00% Floor), 10.35%, 10/25/28(e)

      2,259       1,965,678  
     

 

 

 
        5,280,308  

Media — 0.1%

     

DirecTV Financing LLC, Closing Date Term Loan, (1-mo. LIBOR US + 5.00%, 0.75% Floor), 9.84%, 08/02/27(c)

      1,986       1,907,527  

Gray Television, Inc., Term D Loan, (1-mo. LIBOR US + 3.00%, 0.00% Floor), 7.66%, 12/01/28(c) .

      6,024       5,846,833  
     

 

 

 
        7,754,360  

Metals & Mining — 0.0%

     

American Rock Salt Co. LLC, Initial Loan (First Lien), (1-mo. LIBOR US + 4.00%, 0.75% Floor), 8.84%, 06/11/28(c)

      551       529,334  
     

 

 

 

Oil, Gas & Consumable Fuels — 0.0%

 

DT Midstream, Inc., Initial Term Loan, (1-mo. LIBOR US + 2.00%, 0.50% Floor), 6.85%, 06/10/28(c)

      734       733,051  
     

 

 

 

Passenger Airlines — 0.0%

     

Kestrel Bidco, Inc., Term Loan, (1-mo. LIBOR US + 3.00%, 1.00% Floor), 7.86%, 12/11/26(c)

      3       2,493  
     

 

 

 

Professional Services — 0.0%

     

Vaco Holdings LLC, Initial Term Loan, (3-mo. CME Term SOFR US + 5.00%, 0.75% Floor), 10.05%, 01/21/29(c)

      1,649       1,615,756  
     

 

 

 

Real Estate Management & Development — 0.1%

 

MUPR 3 Assets LLC, Facility, (1-mo. SOFR US + 2.75%, 0.00% Floor), 7.30%, 03/25/24(c)(e)

      7,564       7,544,920  

OD Intermediate SUBI Holdco II LLC, Closing Date Advance, 10.00%, 04/01/26(e)(o)

      7,736       7,294,840  
     

 

 

 
        14,839,760  

Software — 0.1%

     

Avaya, Inc., Tranche B-3 Term Loan, (1-mo. CME Term SOFR US + 10.00%, 1.00% Floor), 14.56%, 12/15/27(c)

      128       30,689  

ConnectWise LLC, Initial Term Loan, (3-mo. LIBOR US + 3.50%, 0.50% Floor), 8.34%, 09/30/28(c)

      4,962       4,780,878  
Security  

Par

(000)

    Value  

Software (continued)

     

EIS Group Ltd., Closing Date Term Loan, (1-mo. CME Term SOFR US + 7.00%, 1.00% Floor), 7.00%, 07/08/28(c)(e)

    USD           12,826     $        12,601,134  

EIS Group, Ltd., Revolving Loan, (3-mo. CME Term SOFR US + 7.00%, 0.75% Floor), 7.00%, 07/10/28(c)(e)

      1,283       1,260,114  
     

 

 

 
        18,672,815  

Specialty Retail — 0.0%

     

Fanatics Commerce Intermediate Holdco LLC, Initial Term Loan, (3-mo. LIBOR US + 3.25%, 0.50% Floor), 8.09%, 11/23/28(c)

      3,228       3,209,739  

LBM Acquisition LLC, Initial Term Loan (First Lien), (3-mo. LIBOR US + 3.75%, 0.75% Floor), 8.59%, 12/18/27(c)

      1       852  

Park River Holdings, Inc., Initial Term Loan (First Lien), (3-mo. LIBOR US + 3.25%, 0.75% Floor), 8.00%, 12/28/27(c)

      527       483,494  
     

 

 

 
        3,694,085  

Technology Hardware, Storage & Peripherals — 0.1%

 

Redstone Holdco 2 LP

     

Initial Loan (Second Lien), (3-mo. LIBOR US + 7.75%, 0.75% Floor), 12.56%, 08/06/29(c)

      4,728       2,637,562  

Initial Term Loan (First Lien), (3-mo. LIBOR US + 4.75%, 0.75% Floor), 9.57%, 04/27/28(c)

      8,957       6,997,853  
     

 

 

 
        9,635,415  

Textiles, Apparel & Luxury Goods — 0.0%

 

Tory Burch LLC, Initial Term B Loan, (1-mo. LIBOR US + 3.00%, 0.50% Floor), 8.34%, 04/16/28(c)

      3,462       3,213,492  
     

 

 

 

Transportation Infrastructure — 0.0%

     

Green Plains Operating Co. LLC, Loan, (3-mo. LIBOR US + 8.00%, 0.00% Floor), 12.87%, 07/20/26(c)(e)

      6,407       6,367,277  
     

 

 

 

Total Floating Rate Loan Interests — 2.0%
(Cost: $383,167,114)

 

    358,116,448  
     

 

 

 

Foreign Agency Obligations

     

Argentina — 0.0%

     

YPF SA

     

7.00%, 09/30/33(b)(d)

      827       539,352  

7.00%, 12/15/47(a)

      664       415,000  
     

 

 

 
        954,352  

Chile — 0.0%

     

Empresa Nacional del Petroleo, 3.75%, 08/05/26(d)

      1,107       1,027,642  
     

 

 

 

Colombia — 0.1%

     

Ecopetrol SA

     

5.88%, 09/18/23

      428       427,897  

4.13%, 01/16/25

      2,211       2,129,193  

6.88%, 04/29/30

      4,346       3,976,764  

Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(a)

      470       355,526  

Oleoducto Central SA, 4.00%, 07/14/27(d)

      1,329       1,142,774  
     

 

 

 
        8,032,154  
 

 

 

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

  55


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Indonesia — 0.0%

     

Bank Negara Indonesia Persero Tbk PT, 3.75%, 03/30/26(d)

    USD       420     $             381,196  

Freeport Indonesia PT, 4.76%, 04/14/27(a)

      665       647,253  
     

 

 

 
        1,028,449  

Mexico — 0.1%

     

Comision Federal de Electricidad, 4.88%, 01/15/24(d)

      1,107       1,089,911  

Mexico City Airport Trust, 4.25%, 10/31/26(d)

      1,107       1,056,493  

Petroleos Mexicanos

     

4.88%, 01/18/24

      1,107       1,090,949  

7.19%, 09/12/24

    MXN       25,657       1,313,739  

6.88%, 10/16/25

    USD       683       673,523  

6.88%, 08/04/26

      636       600,956  

6.50%, 03/13/27

      2,230       2,015,028  

8.75%, 06/02/29

      5,371       4,964,953  

6.70%, 02/16/32

      909       720,655  

5.50%, 06/27/44

      600       355,800  

6.75%, 09/21/47

      817       527,986  

6.35%, 02/12/48

      1,543       954,731  
     

 

 

 
        15,364,724  

Morocco — 0.0%

     

OCP SA, 4.50%, 10/22/25(d)

      761       737,694  
     

 

 

 

Saudi Arabia — 0.0%

     

Gaci First Investment Co.

     

5.00%, 10/13/27(d)

      3,440       3,487,300  

4.75%, 02/14/30(d)

      3,270       3,290,438  
     

 

 

 
        6,777,738  

South Korea — 0.0%

     

Korea National Oil Corp.

     

4.75%, 04/03/26(d)

      200       199,306  

4.88%, 04/03/28(d)

      200       201,332  
     

 

 

 
        400,638  
     

 

 

 

Total Foreign Agency Obligations — 0.2%
(Cost: $35,250,001)

 

    34,323,391  
     

 

 

 

Foreign Government Obligations

 

Angola — 0.0%

     

Republic of Angola, 8.75%, 04/14/32(a)

      1,078       909,563  
     

 

 

 

Colombia — 0.0%

     

Colombian TES

     

5.75%, 11/03/27

    COP       14,812,000       2,568,055  

7.00%, 03/26/31

      4,628,000       764,554  

7.25%, 10/18/34

      8,061,000       1,249,862  

Republic of Colombia

     

8.00%, 04/20/33

    USD       856       877,828  

4.13%, 05/15/51

      1,020       630,360  
     

 

 

 
        6,090,659  

Czechia — 0.0%

     

Czech Republic

     

0.95%, 05/15/30(d)

    CZK       20,780       739,806  

5.00%, 09/30/30

      59,700       2,805,085  

4.20%, 12/04/36(d)

      19,790       870,005  
     

 

 

 
        4,414,896  

Dominican Republic — 0.0%

     

Dominican Republic, 7.05%, 02/03/31(a)

    USD       1,384       1,391,785  
     

 

 

 

Egypt — 0.0%

     

Arab Republic of Egypt, 7.50%, 02/16/61(d)

      2,179       1,170,259  
     

 

 

 
Security  

Par

(000)

    Value  

Ghana — 0.0%

     

Republic of Ghana, 7.63%, 05/16/29(d)(f)(k)

    USD       687     $             236,285  
     

 

 

 

Indonesia — 0.1%

     

Republic of Indonesia

     

6.38%, 08/15/28

    IDR       30,187,000       2,011,796  

9.00%, 03/15/29

      14,265,000       1,067,780  

8.25%, 05/15/29

      21,851,000       1,582,148  

2.85%, 02/14/30

    USD       2,600       2,344,550  

3.05%, 03/12/51

      11,595       8,523,600  
     

 

 

 
        15,529,874  

Mexico — 0.5%

     

United Mexican States

     

5.00%, 03/06/25

    MXN       105,300       5,301,551  

5.75%, 03/05/26

      72,497       3,631,745  

7.50%, 06/03/27

      82,900       4,362,382  

8.50%, 05/31/29

      137,430       7,507,800  

2.66%, 05/24/31

    USD       16,739       14,010,543  

7.50%, 05/26/33

    MXN       470,300       23,760,720  

8.50%, 11/18/38

      22,428       1,188,843  

4.50%, 01/31/50

    USD       25,868       20,844,758  
     

 

 

 
        80,608,342  

Morocco — 0.0%

     

Kingdom of Morocco, 6.50%, 09/08/33(a)

      2,124       2,187,720  
     

 

 

 

Panama — 0.1%

     

Republic of Panama

     

3.88%, 03/17/28

      7,669       7,342,109  

6.40%, 02/14/35

      1,587       1,651,273  

6.85%, 03/28/54

      769       788,706  

4.50%, 04/01/56

      10,739       7,969,009  
     

 

 

 
        17,751,097  

Peru — 0.1%

     

Republic of Peru

     

4.13%, 08/25/27

      6,860       6,719,799  

3.55%, 03/10/51

      9,365       6,841,132  
     

 

 

 
        13,560,931  

Philippines — 0.1%

     

Republic of the Philippines

     

3.00%, 02/01/28

      11,468       10,781,181  

3.20%, 07/06/46

      12,110       8,977,870  
     

 

 

 
        19,759,051  

Poland — 0.1%

     

Republic of Poland

     

4.88%, 10/04/33

      5,315       5,292,305  

4.25%, 02/14/43(d)

    EUR       1,985       2,087,569  
     

 

 

 
        7,379,874  

Romania — 0.0%

     

Romanian Government, 2.13%, 03/07/28(d)

      1,275       1,173,858  
     

 

 

 

Russian Federation — 0.0%

     

Russian Federation, 6.10%, 07/18/35(f)(k)

    RUB       363,972       234,367  
     

 

 

 

Saudi Arabia — 0.0%

     

Kingdom of Saudi Arabia, 3.45%, 02/02/61(d)

    USD       1,877       1,325,983  
     

 

 

 

South Africa — 0.0%

     

Republic of South Africa, 9.00%, 01/31/40

    ZAR       29,671       1,354,004  
     

 

 

 

Spain — 0.0%

     

Kingdom of Spain, 3.15%,
04/30/33(a)(d)

    EUR       6,070       6,480,880  
     

 

 

 

Sri Lanka — 0.0%

     

Republic of Sri Lanka 5.75%, 04/18/23(d)(f)(k)

    USD       200       70,288  
 

 

 

56  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Sri Lanka (continued)

     

Republic of Sri Lanka

     

6.85%, 03/14/24(d)(f)(k)

    USD       628     $               220,506  

6.35%, 06/28/24(d)(f)(k)

      459       161,166  

6.83%, 07/18/26(d)(f)(k)

      200       72,022  
     

 

 

 
        523,982  

Turkey — 0.0%

     

Republic of Turkey, 4.88%, 04/16/43

      2,796       1,848,855  
     

 

 

 

Ukraine — 0.0%

     

Ukraine Government

     

7.38%, 09/25/34(a)(f)(k)

      728       124,488  

7.25%, 03/15/35(a)(f)(k)

      918       156,806  
     

 

 

 
        281,294  

Uruguay — 0.1%

     

Republic of Uruguay

     

4.38%, 10/27/27

      5,923       5,940,780  

5.10%, 06/18/50

      6,207       6,225,220  
     

 

 

 
        12,166,000  
     

 

 

 

Total Foreign Government Obligations — 1.1% (Cost: $226,861,885)

 

    196,379,559  
     

 

 

 
     Shares         

Investment Companies

     

Fixed-Income Funds — 0.2%

     

iShares iBoxx $ Investment Grade Corporate Bond ETF(p)

      239,000       26,196,790  

SPDR Portfolio Intermediate Term Corporate Bond ETF(g)

      283,000       9,194,670  
     

 

 

 
        35,391,460  
     

 

 

 

Total Investment Companies — 0.2%
(Cost: $35,158,028)

 

    35,391,460  
     

 

 

 
    

Par

(000)

        

Municipal Bonds

     

California — 0.3%

     

Bay Area Toll Authority, RB, Series S1, 7.04%, 04/01/50

    USD       9,275       12,204,461  

Los Angeles Community College District, GO, 6.60%, 08/01/42

      3,990       5,017,690  

Los Angeles Unified School District

     

GO, 5.75%, 07/01/34

      555       602,010  

GO, 6.76%, 07/01/34

      9,940       11,509,078  

State of California

     

GO, 7.55%, 04/01/39

      4,000       5,173,133  

Refunding GO, 4.60%, 04/01/38

      22,215       21,522,276  

University of California, RB, 4.86%, 05/15/2112

      2,467       2,232,150  
     

 

 

 
        58,260,798  

Georgia — 0.0%

     

Municipal Electric Authority of Georgia, RB, 6.64%, 04/01/57

      3,263       3,599,895  
     

 

 

 

Illinois — 0.1%

     

State of Illinois, GO, 5.10%, 06/01/33

      17,635       17,570,603  
     

 

 

 

Massachusetts — 0.0%

 

   

Massachusetts HFA, RB, Series A, 4.50%, 12/01/48

      965       933,373  
     

 

 

 
Security  

Par

(000)

    Value  

New Jersey — 0.0%

     

New Jersey Turnpike Authority, RB,
Series F, 7.41%, 01/01/40

    USD       3,126     $          3,930,316  
     

 

 

 

New York — 0.1%

     

Metropolitan Transportation Authority

     

RB, 5.87%, 11/15/39

      985       988,007  

RB, 6.67%, 11/15/39

      470       506,758  

RB, Series E, 6.81%, 11/15/40

      1,025       1,111,850  

New York City Water & Sewer System

     

RB, 6.01%, 06/15/42

      850       978,506  

RB, 5.88%, 06/15/44

      1,665       1,896,155  

New York State Dormitory Authority, RB,
Series H, 5.39%, 03/15/40

 

    1,470       1,545,799  

Port Authority of New York & New Jersey

     

RB, 5.65%, 11/01/40

      2,780       3,014,791  

RB, 4.96%, 08/01/46

      5,020       5,131,837  

RB, 4.93%, 10/01/51

      1,400       1,427,504  
     

 

 

 
        16,601,207  

Ohio — 0.0%

     

American Municipal Power, Inc., RB, Series B, 8.08%, 02/15/50

 

    3,555       4,876,222  
     

 

 

 

Texas — 0.1%

     

City of San Antonio, TX Electric & Gas Systems Revenue, RB, 5.81%, 02/01/41

      4,375       4,801,299  

State of Texas, GO, 5.52%, 04/01/39

      5,715       6,286,152  
     

 

 

 
        11,087,451  
     

 

 

 

Total Municipal Bonds — 0.6%
(Cost: $129,874,759)

 

    116,859,865  
     

 

 

 

Non-Agency Mortgage-Backed Securities

 

Collateralized Mortgage Obligations — 4.5%

 

   

Ajax Mortgage Loan Trust

     

Series 2017-D, Class B, 0.00%, 12/25/57(a)(c)

 

    37       18,698  

Series 2018-A, Class B, 0.00%, 04/25/58(a)

      75       74,484  

Series 2018-B, Class B, 0.00%, 02/26/57(a)

      173       149,927  

Series 2018-E, Class C, 0.00%, 06/25/58(a)(c)

 

    3       2,741  

Series 2018-F, Class C, 0.00%, 11/25/58(a)

      232       153,400  

Series 2019-E, Class B, 4.88%, 09/25/59(a)(b)

 

    418       413,516  

Series 2019-E, Class C, 0.00%, 09/25/59(a)

      5,320       5,291,827  

Series 2019-G, Class A, 3.00%, 09/25/59(a)(b)

 

    1,655       1,633,047  

Series 2019-G, Class B, 4.25%, 09/25/59(a)(b)

 

    2,120       1,972,106  

Series 2019-G, Class C, 0.00%, 09/25/59(a)

      4,911       2,698,980  

Series 2019-H, Class C, 0.00%, 11/25/59(a)

      1,826       1,735,058  

Series 2020-A, Class A, 2.38%, 12/25/59(a)(b)

 

    17,458       17,218,134  

Series 2020-A, Class B, 3.50%, 12/25/59(a)(b)

 

    3,853       3,778,525  

Series 2020-A, Class C, 0.00%, 12/25/59(a)

      9,068       5,617,409  

Series 2020-C, Class A, 2.25%, 09/27/60(a)(b)

 

    894       868,914  

Series 2020-C, Class B, 5.00%, 09/27/60(a)(b)

 

    2,981       2,772,595  

Series 2020-C, Class C, 0.00%, 09/27/60(a)

      9,355       7,934,858  

Series 2020-D, Class A, 2.25%, 06/25/60(a)(b)

 

    4,262       4,074,337  

Series 2020-D, Class B, 5.00%, 06/25/60(a)(b)

 

    4,238       3,942,165  

Series 2020-D, Class C, 0.00%, 06/25/60(a)

      10,007       8,661,445  

Series 2021-C, Class A, 2.12%, 01/25/61(a)(b)

 

    12,194       11,400,823  

Series 2021-C, Class B, 3.72%, 01/25/61(a)(b)

 

    3,277       2,954,031  

Series 2021-C, Class C, 0.00%, 01/25/61(a)

      8,257       8,512,147  

Series 2021-D, Class A, 2.00%, 03/25/60(a)(b)

 

    28,573       26,019,244  

Series 2021-D, Class B, 4.00%, 03/25/60(a)(c)

 

    5,836       5,274,195  

Series 2021-D, Class C, 0.00%, 03/25/60(a)(c)

 

    8,582       8,896,619  

Series 2021-E, Class A1, 1.74%, 12/25/60(a)(c)

 

    24,409       20,897,892  

Series 2021-E, Class A2, 2.69%, 12/25/60(a)(c)

 

    4,422       3,629,378  

Series 2021-E, Class B1, 3.73%, 12/25/60(a)(c)

 

    2,669       2,154,120  
 

 

 

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

  57


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Collateralized Mortgage Obligations (continued)

 

Ajax Mortgage Loan Trust

     

Series 2021-E, Class B3, 3.42%, 12/25/60(a)(c)

    USD       7,653     $          2,842,652  

Series 2021-E, Class M1, 2.94%, 12/25/60(a)(c)

      1,744       1,383,745  

Series 2021-E, Class SA, 0.00%, 12/25/60(a)(c)

      111       53,025  

Series 2021-F, Class A, 1.88%, 06/25/61(a)(b)

      44,869       40,213,827  

Series 2021-F, Class B, 3.75%, 06/25/61(a)(b)

      6,403       5,784,202  

Series 2021-F, Class C, 0.00%, 06/25/61(a)(e)

      11,930       11,435,390  

Series 2021-G, Class A, 1.88%, 06/25/61(a)(c)

      42,432       39,018,069  

Series 2021-G, Class B, 3.75%, 06/25/61(a)(c)

      8,006       7,076,663  

Series 2021-G, Class C, 0.00%, 06/25/61(a)

      14,458       14,344,330  

Series 2022-A, Class A1, 3.50%, 10/25/61(a)(b)

      22,757       21,199,941  

Series 2022-A, Class A2, 3.00%, 10/25/61(a)(c)

      1,244       1,043,767  

Series 2022-A, Class A3, 3.00%, 10/25/61(a)(c)

      664       545,385  

Series 2022-A, Class B, 3.00%, 10/25/61(a)

      4,977       3,386,038  

Series 2022-A, Class C, 3.00%, 10/25/61(a)

      2,473       3,308,517  

Series 2022-A, Class M1, 3.00%, 10/25/61(a)

      726       580,313  

Series 2022-A, Class M2, 3.00%, 10/25/61(a)

      3,256       2,494,650  

Series 2022-A, Class M3, 3.00%, 10/25/61(a)

      207       152,768  

Series 2022-B, Class A1, 3.50%, 03/27/62(a)(b)

      28,609       26,826,535  

Series 2022-B, Class A2, 3.00%, 03/27/62(a)(c)

      937       729,617  

Series 2022-B, Class A3, 3.00%, 03/27/62(a)(c)

      803       612,704  

Series 2022-B, Class B, 3.00%, 03/27/62(a)

      4,464       2,763,998  

Series 2022-B, Class C, 3.00%, 03/27/62(a)(e)

      2,698       2,698,124  

Series 2022-B, Class M1, 3.00%, 03/27/62(a)

      603       446,925  

Series 2022-B, Class M2, 3.00%, 03/27/62(a)

      2,991       2,120,565  

Series 2023-A, Class A1, 3.50%, 07/25/62(a)(c)(e)

      31,051       28,926,696  

Series 2023-A, Class A2, 3.00%, 07/25/62(a)(c)(e)

      1,258       1,042,336  

Series 2023-A, Class A3, 2.50%, 07/25/62(a)(c)(e)

      713       553,068  

Series 2023-A, Class B, 2.50%, 07/25/62(a)(c)(e)

      4,194       2,881,491  

Series 2023-A, Class C, 2.50%, 07/25/62(a)(c)(e)

      2,101       2,144,946  

Series 2023-A, Class M1, 2.50%, 07/25/62(a)(c)(e)

      2,160       1,600,628  

American Home Mortgage Assets Trust

     

Series 2006-3, Class 2A11, (12-mo. Federal Reserve Cumulative Average US + 0.94%), 4.08%, 10/25/46(c)

      635       432,880  

Series 2006-4, Class 1A12, (1-mo. LIBOR US + 0.21%), 5.06%, 10/25/46(c)

      1,714       912,322  

Series 2007-1, Class A1, (12-mo. Federal Reserve Cumulative Average US + 0.70%), 3.84%, 02/25/47(c)

      628       248,492  

Angel Oak Mortgage Trust, Series 2020-4, Class A3, 2.81%, 06/25/65(a)(c)

      1,056       964,433  

Angel Oak Mortgage Trust I LLC, Series 2019-4, Class A3, 3.30%, 07/26/49(a)(c)

      73       72,325  

Angel Oak Mortgage Trust LLC, Series 2020-3, Class A3, 2.87%, 04/25/65(a)(c)

      1,672       1,541,164  

APS Resecuritization Trust

     

Series 2016-1, Class 1MZ, 2.98%, 07/31/57(a)(c)

      7,999       3,193,400  

Series 2016-3, Class 3A, (1-mo. LIBOR US + 2.85%), 7.70%, 09/27/46(a)(c)

      1,051       1,047,927  

ARI Investments LLC, Series 2019-1, 8.20%, 01/30/25(e)

      2,992       2,842,484  

Banc of America Funding Trust
Series 2014-R2, Class 1C, 0.00%, 11/26/36(a)(c)

      3,537       927,144  
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       1,018     $             980,779  

Barclays Mortgage Loan Trust

     

Series 2021-NPL1, Class A, 2.00%, 11/25/51(a)(b)

      28,119       25,236,733  

Series 2021-NPL1, Class B, 4.63%, 11/25/51(a)(b)

      3,139       2,836,125  

Series 2021-NPL1, Class C, 0.00%, 11/25/51(a)(e)

      7,033       6,556,218  

Series 2022-NQM1, Class A1, 4.55%, 07/25/52(a)(b)

      6,086       5,775,223  

Series 2022-RPL1, Class A, 4.25%, 02/25/28(a)(b)

      13,325       12,533,185  

Series 2022-RPL1, Class B, 4.25%, 02/25/28(a)(b)(e)

      2,105       1,812,713  

Series 2022-RPL1, Class C, 0.00%, 02/25/28(a)(e)

      3,738       2,185,941  

Series 2022-RPL1, Class SA, 0.00%, 02/25/28(a)

      56       26,156  

BCAP LLC Trust, Series 2011-RR5, Class 11A5, (1-mo. LIBOR US + 0.15%), 4.42%, 05/28/36(a)(c)

      2,212       2,089,048  

Bear Stearns ALT-A Trust, Series 2007-1, Class 1A1, (1-mo. LIBOR US + 0.32%), 5.17%, 01/25/47(c)

      946       726,629  

Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC9, Class A5, 6.25%, 12/25/35(b)

      158       105,389  

Bear Stearns Mortgage Funding Trust

     

Series 2006-SL1, Class A1, (1-mo. LIBOR US + 0.28%), 5.13%, 08/25/36(c)

      394       379,546  

Series 2007-AR2, Class A1, (1-mo. LIBOR US + 0.17%), 5.02%, 03/25/37(c)

      206       183,725  

Series 2007-AR3, Class 1A1, (1-mo. LIBOR US + 0.14%), 4.99%, 03/25/37(c)

      361       296,051  

Series 2007-AR4, Class 2A1, (1-mo. LIBOR US + 0.21%), 5.06%, 06/25/37(c)

      338       299,100  

BlackRock Capital Finance LP, Series 1997-R2, Class AP, 1.56%,
12/25/35(a)(c)(e)(p)

      3        

Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37

      18,860       8,481,799  

CHNGE Mortgage Trust

     

Series 2022-1, Class A1, 3.01%, 01/25/67(a)(c)

      2,436       2,177,931  

Series 2022-4, Class A1, 6.00%, 10/25/57(a)(b)

      846       836,782  

Citicorp Mortgage Securities Trust

     

Series 2007-9, Class 1A1, 6.25%, 12/25/37

      1,156       965,615  

Series 2008-2, Class 1A1, 6.50%, 06/25/38

      3,577       2,783,989  

CitiMortgage Alternative Loan Trust, Series 2007- A6, Class 1A11, 6.00%, 06/25/37

      527       455,112  

COLT Mortgage Loan Trust, Series 2020-3, Class A3, 2.38%, 04/27/65(a)(c)

      353       328,848  

Countrywide Alternative Loan Trust

     

Series 2005-22T1, Class A1, (1-mo. LIBOR US + 0.35%), 5.20%, 06/25/35(c)

      2,866       2,336,233  

Series 2005-76, Class 2A1, (12-mo. Federal Reserve Cumulative Average US + 1.00%), 4.14%, 02/25/36(c)

      480       420,417  

Series 2006-11CB, Class 3A1, 6.50%, 05/25/36

      1,384       724,972  

Series 2006-15CB, Class A1, 6.50%, 06/25/36 .

      314       157,398  
 

 

 

58  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Collateralized Mortgage Obligations (continued)

 

Countrywide Alternative Loan Trust

     

Series 2006-23CB, Class 2A5, (1-mo. LIBOR US + 0.40%), 5.25%, 08/25/36(c)

    USD       4,874     $          1,049,173  

Series 2006-OA14, Class 1A1, (12-mo. Federal Reserve Cumulative Average US + 1.73%), 4.87%, 11/25/46(c)

      2,109       1,582,126  

Series 2006-OA16, Class A2, (1-mo. LIBOR US + 0.38%), 5.23%, 10/25/46(c)

      2,392       2,082,852  

Series 2006-OA16, Class A4C, (1-mo. LIBOR US + 0.68%), 5.53%, 10/25/46(c)

      3,903       2,750,718  

Series 2006-OA21, Class A1, (1-mo. LIBOR US + 0.19%), 4.95%, 03/20/47(c)

      5,402       4,373,850  

Series 2006-OA8, Class 1A1, (1-mo. LIBOR US + 0.38%), 5.23%, 07/25/46(c)

      266       219,482  

Series 2006-OC10, Class 2A3, (1-mo. LIBOR US + 0.46%), 5.31%, 11/25/36(c)

      1,618       1,336,402  

Series 2006-OC7, Class 2A3, (1-mo. LIBOR US + 0.50%), 5.35%, 07/25/46(c)

      1,768       1,516,577  

Series 2007-14T2, Class A1, 6.00%, 07/25/37

    .       2,096       1,074,122  

Series 2007-3T1, Class 1A1, 6.00%, 04/25/37

      270       133,454  

Series 2007-OA3, Class 1A1, (1-mo. LIBOR US + 0.28%), 5.13%, 04/25/47(c)

      638       542,423  

Series 2007-OA3, Class 2A2, (1-mo. LIBOR US + 0.36%), 5.21%, 04/25/47(c)

      5       305  

Series 2007-OA8, Class 2A1, (1-mo. LIBOR US + 0.36%), 5.21%, 06/25/47(c)

      211       151,198  

Series 2007-OH2, Class A2A, (1-mo. LIBOR US + 0.48%), 5.33%, 08/25/47(c)

      257       202,887  

Countrywide Home Loan Mortgage Pass-Through Trust

     

Series 2004-29, Class 1A1, (1-mo. LIBOR US + 0.54%), 5.39%, 02/25/35(c)

      134       115,644  

Series 2006-OA4, Class A1, (12-mo. Federal Reserve Cumulative Average US + 0.96%), 4.10%, 04/25/46(c)

      1,205       374,431  

Series 2006-OA5, Class 3A1, (1-mo. LIBOR US + 0.40%), 5.25%, 04/25/46(c)

      437       392,169  

Series 2007-15, Class 2A2, 6.50%, 09/25/37

      7,438       3,199,041  

Credit Suisse Mortgage Capital Certificates

     

Series 2009-12R, Class 3A1, 6.50%, 10/27/37(a)

      8,101       3,375,752  

Series 2021-RPL9, Class A1, 2.44%, 02/25/61(a)(c)

      11,181       10,416,458  

Credit Suisse Mortgage Trust

     

Series 2014-4R, Class 16A3, (1-mo. LIBOR US + 0.20%), 5.15%, 02/27/36(a)(c)

      474       438,952  

Series 2014-9R, Class 9A1, (1-mo. LIBOR US + 0.12%), 4.74%, 08/27/36(a)(c)

      825       630,399  

CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 10A1, (1- mo. LIBOR US + 1.35%), 6.20%, 11/25/35(c)

      1,196       284,233  

Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class A2A, (1-mo. LIBOR US + 0.34%), 5.19%, 08/25/47(c)

      841       709,804  

Deutsche Alt-B Securities Mortgage Loan Trust

     

Series 2006-AB3, Class A3, 6.51%, 07/25/36(c)

      307       254,581  

Series 2006-AB3, Class A8, 6.36%, 07/25/36(c)

      196       162,349  

GCAT Trust, Series 2022-NQM4, Class A1, 5.27%, 08/25/67(a)(b)

      6,214       6,085,537  
Security  

Par

(000)

    Value  

Collateralized Mortgage Obligations (continued)

 

GreenPoint Mortgage Funding Trust, Series 2006- AR2, Class 4A1, (12-mo. Federal Reserve Cumulative Average US + 2.00%), 5.14%, 03/25/36(c)

    USD       461     $             431,312  

GS Mortgage Securities Trust, Series 2019-PJ2, Class B4, 4.39%,
11/25/49(a)(c)

      1,459       1,230,062  

GSR Mortgage Loan Trust

     

Series 2007-1F, Class 2A4, 5.50%, 01/25/37

      62       77,145  

Series 2007-OA2, Class 2A1, 2.63%, 06/25/47(c)

      946       578,388  

HarborView Mortgage Loan Trust

     

Series 2006-12, Class 1A1A, (1-mo. LIBOR US + 0.41%), 5.17%, 12/19/36(c)

      5,527       4,517,293  

Series 2007-4, Class 2A2, (1-mo. LIBOR US + 0.50%), 5.01%, 07/19/47(c)

      437       379,356  

Homeward Opportunities Fund I Trust

     

Series 2020-2, Class A3, 3.20%, 05/25/65(a)(c)

      5,763       5,162,395  

Series 2022-1, Class A1, 5.08%, 07/25/67(a)(b)

      6,087       5,962,297  

Impac CMB Trust

     

Series 2004-11, Class 1A2, (1-mo. LIBOR US + 0.52%), 5.37%, 03/25/35(c)

      753       718,117  

Series 2005-6, Class 1A1, (1-mo. LIBOR US + 0.50%), 5.35%, 10/25/35(c)

      538       455,946  

Impac Secured Assets Trust, Series 2006-3, Class A1, (1-mo. LIBOR US + 0.34%), 5.19%, 11/25/36(c)

      1,023       861,731  

IndyMac Index Mortgage Loan Trust

     

Series 2006-AR15, Class A1, (1-mo. LIBOR US + 0.24%), 5.09%, 07/25/36(c)

      320       286,611  

Series 2007-AR19, Class 3A1, 3.36%, 09/25/37(c)

      2,623       1,651,789  

Series 2007-FLX5, Class 2A2, (1-mo. LIBOR US + 0.24%), 5.09%, 08/25/37(c)

      587       493,420  

JPMorgan Alternative Loan Trust

     

Series 2007-A1, Class 1A4, (1-mo. LIBOR US + 0.42%), 5.27%, 03/25/37(c)

      1,064       936,073  

Series 2007-A2, Class 2A1, 4.20%, 05/25/37(c)

      198       160,291  

JPMorgan Mortgage Trust

     

Series 2021-4, Class B3, 2.90%, 08/25/51(a)(c)

      3,681       2,569,451  

Series 2021-INV5, Class A5A, 2.50%, 12/25/51(a)(c)

      9,571       7,551,172  

Series 2021-INV5, Class B4, 3.19%, 12/25/51(a)(c)

      1,294       890,921  

Series 2021-INV5, Class B5, 3.19%, 12/25/51(a)(c)

      453       280,262  

Series 2021-INV5, Class B6, 2.95%, 12/25/51(a)(c)

      1,548       586,030  

Series 2021-INV7, Class A3A, 2.50%, 02/25/52(a)(c)

      27,344       23,915,503  

Series 2021-INV7, Class A4A, 2.50%, 02/25/52(a)(c)

      10,539       7,044,659  

Series 2021-INV7, Class A5A, 2.50%, 02/25/52(a)(c)

      5,756       4,541,224  

Series 2021-INV7, Class B1, 3.27%, 02/25/52(a)(c)

      3,277       2,760,286  

Series 2021-INV7, Class B2, 3.27%, 02/25/52(a)(c)

      769       622,950  

Series 2021-INV7, Class B3, 3.27%, 02/25/52(a)(c)

      1,070       800,852  

Series 2021-INV7, Class B4, 3.27%, 02/25/52(a)(c)

      569       391,601  
 

 

 

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

  59


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

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 B5, 3.27%, 02/25/52(a)(c)

    USD       234     $             144,427  

Series 2021-INV7, Class B6, 3.08%, 02/25/52(a)(c)

      769       280,169  

Legacy Mortgage Asset Trust

     

Series 2020-SL1, Class A, 2.73%, 01/25/60(a)(b)

      898       884,045  

Series 2021-GS2, Class A1, 1.75%, 04/25/61(a)(b)

      18,985       17,718,305  

Lehman XS Trust

     

Series 2007-16N, Class AF2, (1-mo. LIBOR US + 1.90%), 6.75%, 09/25/47(c)

      1,931       2,279,414  

Series 2007-20N, Class A1, (1-mo. LIBOR US + 2.30%), 7.15%, 12/25/37(c)

      501       488,719  

MASTR Resecuritization Trust, Series 2008-3, Class A1, 4.19%, 08/25/37(a)(c)

      671       408,500  

MCM Trust

     

Series 2021-VFN1, Class Cert, 0.00%, 09/25/31(e)

      10,549       6,928,908  

Series 2021-VFN1, Class Note, 2.50%, 09/25/31(e)

      17,614       16,888,157  

Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR2, Class A2, (1-mo. LIBOR US + 0.42%), 5.27%, 04/25/37(c)

      1,179       958,841  

Merrill Lynch Mortgage Investors Trust,
Series 2006-A3, Class 6A1, 3.68%, 05/25/36(c)

      590       508,642  

MFA Trust

     

Series 2020-NQM1, Class A3, 2.30%, 08/25/49(a)(c)

      167       152,367  

Series 2021-NQM1, Class B1, 3.51%, 04/25/65(a)(c)

      3,310       2,467,981  

Morgan Stanley Resecuritization Trust, Series 2013-R7, Class 1B, (1-mo. LIBOR US + 0.16%), 4.94%, 12/26/46(a)(c)

      746       647,847  

Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class B3, 6.01%, 06/25/44(a)(c)

      323       288,415  

Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, (1-mo. LIBOR US + 0.34%), 5.00%, 04/16/36(a)(c)

      2,299       2,158,708  

NACC Reperforming Loan REMIC Trust

     

Series 2004-R1, Class A1, 6.50%, 03/25/34(a)

      1,848       1,580,537  

Series 2004-R1, Class A2, 7.50%, 03/25/34(a)

      424       374,078  

New Residential Mortgage Loan Trust

     

Series 2019-2A, Class A1, 4.25%, 12/25/57(a)(c)

      890       850,314  

Series 2020-RPL1, Class B3, 3.88%, 11/25/59(a)(c)

      6,210       4,655,864  

Nomura Asset Acceptance Corp. Alternative Loan Trust

     

Series 2001-R1A, Class A, 7.00%, 02/19/30(a)(c)

      289       277,936  

Series 2006-AF1, Class 1A4, 7.13%, 05/25/36(b)

      525       116,431  

Series 2007-2, Class A4, (1-mo. LIBOR US + 0.42%), 5.27%, 06/25/37(c)

      287       249,768  

NYMT Loan Trust, Series 2020-SP2, Class A1, 2.94%, 10/25/60(a)(c)

      11,890       11,598,065  

Preston Ridge Partners Mortgage LLC Series 2022-1, Class A1, 3.72%, 02/25/27(a)(b)

      815       775,071  
Security  

Par

(000)

    Value  

Collateralized Mortgage Obligations (continued)

 

Preston Ridge Partners Mortgage LLC Series 2023-1, Class A1, 6.88%, 02/25/28(a)(c)

    USD       8,571     $          8,537,594  

PRKCM Trust

     

Series 2021-AFC2, Class A1, 2.07%, 11/25/56(a)(c)

      1,539       1,277,190  

Series 2022-AFC1, Class A1A, 4.10%, 04/25/57(a)(c)

      863       811,058  

Series 2022-AFC2, Class A1, 5.34%, 08/25/57(a)(c)

      6,355       6,251,347  

RALI Trust, Series 2007-QH9, Class A1, 4.37%, 11/25/37(c)

      496       404,399  

RCO VI Mortgage LLC, Series 2022-1, Class A1, 3.00%, 01/25/27(a)(b)

      13,128       12,358,207  

Reperforming Loan REMIC Trust

     

Series 2005-R2, Class 1AF1, (1-mo. LIBOR US + 0.34%), 5.19%, 06/25/35(a)(c)

      257       232,733  

Series 2005-R3, Class AF, (1-mo. LIBOR US + 0.40%), 5.25%, 09/25/35(a)(c)

      81       69,859  

Residential Mortgage Loan Trust, Series 2020-2, Class M1, 3.57%, 05/25/60(a)(c)

      7,854       6,573,492  

RFMSI Series Trust, Series 2006-SA2, Class 2A1, 4.94%, 08/25/36(c)

      4,855       3,319,552  

RMF Buyout Issuance Trust

     

Series 2021-HB1, Class M3, 3.69%, 11/25/31(a)(c)

      3,112       2,596,193  

Series 2021-HB1, Class M6, 6.00%, 11/25/31(a)(c)(e)

      1,981       1,140,866  

Seasoned Credit Risk Transfer Trust, Series 2018-1, Class BX, 3.31%, 05/25/57(c)

      525       184,866  

Seasoned Loans Structured Transaction Trust, Series 2020-2, Class M1, 4.75%, 09/25/60(a)(c) .

      15,220       14,537,771  

Sequoia Mortgage Trust, Series 2007-3, Class 2AA1, 3.23%, 07/20/37(c)

      823       643,112  

SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 08/25/62(a)(b)

      1,307       1,285,645  

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 4A, 3.62%, 04/25/36(c)

      546       324,801  

Structured Asset Mortgage Investments II Trust

     

Series 2006-AR4, Class 3A1, (1-mo. LIBOR US + 0.38%), 5.23%, 06/25/36(c)

      1,795       1,450,613  

Series 2006-AR5, Class 2A1, (1-mo. LIBOR US + 0.42%), 5.27%, 05/25/46(c)

      329       216,226  

Thornburg Mortgage Securities Trust

     

Series 2006-3, Class A1, 3.21%, 06/25/46(c)

      1,034       686,993  

Series 2007-3, Class 4A1, (12-mo. LIBOR US + 1.25%), 6.36%, 06/25/47(c)

      51       49,111  

TVC DSCR

     

Series 21-1, Class A, 2.38%, 02/01/51(e)

      28,642       26,660,351  

Series 21-1, Class CERT, 0.00%, 02/01/51(e)

      7,160       6,246,043  

TVC Mortgage Trust, Series 2020-RTL1, Class A1, 3.47%, 09/25/24(a)

      330       329,111  

Verus Securitization Trust

     

Series 2019-INV2, Class M1, 3.50%, 07/25/59(a)(c)

      835       729,857  

Series 2020-4, Class A3, 2.32%, 05/25/65(a)(b)

      868       807,355  

Series 2020-4, Class M1, 3.29%, 05/25/65(a)(c)

      3,120       2,593,666  

Series 2020-INV1, Class A2, 3.04%, 03/25/60(a)(c)

      1,895       1,806,402  

Series 2020-INV1, Class A3, 3.89%, 03/25/60(a)(c)

      1,800       1,700,671  

Series 2022-1, Class B1, 4.01%, 01/25/67(a)(c)

      1,354       873,553  
 

 

 

60  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Collateralized Mortgage Obligations (continued)

 

Visio Trust

     

Series 2019-2, Class B1, 3.91%, 11/25/54(a)(c)

    USD       906     $ 643,416  

Series 2020-1, Class M1, 4.45%, 08/25/55(a)(c)

      1,100       955,610  

Vista Point Securitization Trust

     

Series 2020-2, Class A3, 2.50%, 04/25/65(a)(c)

      1,053       926,636  

Series 2020-2, Class B1, 4.90%, 04/25/65(a)(c)

      640       584,888  

Series 2020-2, Class M1, 3.40%, 04/25/65(a)(c)

      1,480       1,281,895  

Washington Mutual Mortgage Pass-Through Certificates Trust

     

Series 2006-1, Class 4CB, 6.50%, 02/25/36

      904       729,041  

Series 2006-4, Class 1A1, 6.00%, 04/25/36

      1,845       1,655,927  

Series 2006-4, Class 3A1, 7.00%, 05/25/36(b)

      850       755,614  

Series 2006-4, Class 3A5, 6.85%, 05/25/36(b)

      330       292,982  

Series 2007-OA5, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 0.75%), 3.89%, 06/25/47(c)

      2,522       1,945,532  

Series 2007-OA5, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.80%), 3.94%, 06/25/47(c)

      1,104       833,209  

Western Mortgage Reference Notes

     

Series 2021-CL2, Class M1, (SOFR (30-day) + 3.15%), 7.71%,
07/25/59(a)(c)

      8,743       8,082,079  

Series 2021-CL2, Class M2, (SOFR (30-day) + 3.70%), 8.26%,
07/25/59(a)(c)

      8,794       8,007,308  
     

 

 

 
          805,222,097  

Commercial Mortgage-Backed Securities — 3.9%

 

1211 Avenue of the Americas Trust

     

Series 2015-1211, Class C, 4.14%, 08/10/35(a)(c)

      600       509,651  

Series 2015-1211, Class D, 4.14%, 08/10/35(a)(c)

      4,972       4,138,143  

Series 2015-1211, Class E, 4.14%, 08/10/35(a)(c)

      1,110       904,628  

245 Park Avenue Trust

     

Series 2017-245P, Class D, 3.66%, 06/05/37(a)(c)

      480       384,408  

Series 2017-245P, Class E, 3.66%, 06/05/37(a)(c)

      2,463       1,804,787  

280 Park Avenue Mortgage Trust

     

Series 2017-280P, Class D, (1-mo. LIBOR US + 1.54%), 6.26%, 09/15/34(a)(c)

      2,920       2,703,431  

Series 2017-280P, Class E, (1-mo. LIBOR US + 2.12%), 6.84%, 09/15/34(a)(c)

      4,928       4,468,688  

ACREC LLC, Series 2023-FL2, Class A, (1-mo. CME Term SOFR + 2.23%), 6.92%, 02/19/38(a)(c)

      5,580       5,513,004  

Alen Mortgage Trust, Series 2021-ACEN, Class D, (1-mo. LIBOR US + 3.10%), 7.78%, 04/15/34(a)(c)

      2,670       2,032,172  

Arbor Multifamily Mortgage Securities Trust

     

Series 2020-MF1, Class E, 1.75%, 05/15/53(a)

      636       321,857  

Series 2021-MF3, Class A5, 2.58%, 10/15/54(a)

      1,529       1,251,108  

AREIT LLC, Series 2022-CRE7, Class A, (1-mo. CME Term SOFR + 2.24%), 6.99%, 06/17/39(a)(c)

      5,030       4,998,155  

Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1-mo. LIBOR US + 2.10%), 6.78%, 04/15/35(a)(c)

      1,525       1,413,699  

Atrium Hotel Portfolio Trust, Series 2017-ATRM, Class D, (1-mo. LIBOR US + 2.20%), 6.88%, 12/15/36(a)(c)

      4,840       4,303,939  
Security  

Par

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

 

Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class B, 4.34%, 09/15/48(c)

    USD       536     $ 486,204  

Banc of America Merrill Lynch Commercial Mortgage Securities Trust

     

Series 2015-200P, Class F, 3.60%, 04/14/33(a)(c)

      2,311       1,907,132  

Series 2017-SCH, Class AF, (1-mo. LIBOR US + 1.00%), 5.69%, 11/15/33(a)(c)

      150       142,553  

Series 2017-SCH, Class BF, (1-mo. LIBOR US + 1.40%), 6.09%, 11/15/33(a)(c)

      2,870       2,597,849  

Series 2017-SCH, Class CL, (1-mo. LIBOR US + 1.50%), 6.19%, 11/15/32(a)(c)

      970       877,133  

Series 2017-SCH, Class DL, (1-mo. LIBOR US + 2.00%), 6.69%, 11/15/32(a)(c)

      1,930       1,671,890  

Series 2018-DSNY, Class C, (1-mo. LIBOR US + 1.35%), 6.04%, 09/15/34(a)(c)

      350       335,871  

Series 2018-DSNY, Class D, (1-mo. LIBOR US + 1.70%), 6.39%, 09/15/34(a)(c)

      3,275             3,110,473  

Bayview Commercial Asset Trust

     

Series 2005-3A, Class A1, (1-mo. LIBOR US + 0.48%), 5.17%, 11/25/35(a)(c)

      1,656       1,495,819  

Series 2005-4A, Class A1, (1-mo. LIBOR US + 0.45%), 5.30%, 01/25/36(a)(c)

      3,364       3,060,984  

Series 2005-4A, Class A2, (1-mo. LIBOR US + 0.59%), 5.43%, 01/25/36(a)(c)

      52       47,815  

Series 2005-4A, Class M1, (1-mo. LIBOR US + 0.68%), 5.52%, 01/25/36(a)(c)

      139       126,665  

Series 2006-1A, Class A2, (1-mo. LIBOR US + 0.54%), 5.39%, 04/25/36(a)(c)

      174       156,772  

Series 2006-2A, Class A2, (1-mo. LIBOR US + 0.42%), 5.27%, 07/25/36(a)(c)

      579       525,402  

Series 2006-3A, Class A1, (1-mo. LIBOR US + 0.38%), 5.22%, 10/25/36(a)(c)

      268       246,458  

Series 2006-3A, Class A2, (1-mo. LIBOR US + 0.45%), 5.30%, 10/25/36(a)(c)

      187       172,275  

Series 2006-4A, Class A1, (1-mo. LIBOR US + 0.35%), 5.19%, 12/25/36(a)(c)

      1,053       973,219  

Series 2007-1, Class A2, (1-mo. LIBOR US + 0.41%), 5.25%, 03/25/37(a)(c)

      864       779,689  

Series 2007-6A, Class A4A, (1-mo. LIBOR US + 1.50%), 6.35%, 12/25/37(a)(c)

      2,094       1,827,189  

Series 2008-2, Class A4A, (1-mo. LIBOR US + 2.50%), 7.35%, 04/25/38(a)(c)

      1,538       1,499,278  

BBCMS Mortgage Trust

     

Series 2017-DELC, Class F, (1-mo. LIBOR US + 3.63%), 8.31%, 08/15/36(a)(c)

      1,807       1,754,403  

Series 2018-CHRS, Class E, 4.27%, 08/05/38(a)(c)

      980       629,046  

Series 2018-TALL, Class A, (1-mo. LIBOR US + 0.72%), 5.56%, 03/15/37(a)(c)

      918       839,964  

BBCMS Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35(a)

      1,830       1,731,048  

BB-UBS Trust, Series 2012-SHOW, Class E, 4.03%, 11/05/36(a)(c)

      790       705,555  

BDS LLC, Series 2022-FL12, Class A, (1-mo. CME Term SOFR + 2.14%), 6.83%, 08/19/38(a)(c)

      3,060       3,030,016  

Beast Mortgage Trust

     

Series 2021-SSCP, Class A, (1-mo. LIBOR US + 0.75%), 5.43%, 04/15/36(a)(c)

      3,037       2,886,129  
 

 

 

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

  61


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

 

Beast Mortgage Trust

     

Series 2021-SSCP, Class B, (1-mo. LIBOR US + 1.10%), 5.78%, 04/15/36(a)(c)

    USD       3,731     $     3,543,521  

Series 2021-SSCP, Class C, (1-mo. LIBOR US + 1.35%), 6.03%, 04/15/36(a)(c)

      4,582       4,327,343  

Series 2021-SSCP, Class D, (1-mo. LIBOR US + 1.60%), 6.28%, 04/15/36(a)(c)

      4,292       4,008,058  

Series 2021-SSCP, Class E, (1-mo. LIBOR US + 2.10%), 6.78%, 04/15/36(a)(c)

      3,650       3,386,953  

Series 2021-SSCP, Class F, (1-mo. LIBOR US + 2.90%), 7.58%, 04/15/36(a)(c)

      3,508       3,289,321  

Series 2021-SSCP, Class G, (1-mo. LIBOR US + 3.80%), 8.48%, 04/15/36(a)(c)

      3,947       3,699,261  

Series 2021-SSCP, Class H, (1-mo. LIBOR US + 4.90%), 9.59%, 04/15/36(a)(c)

      2,773       2,601,909  

BFLD Trust, Series 2020-EYP, Class E, (1-mo. LIBOR US + 3.70%), 8.38%, 10/15/35(a)(c)

      3,978       2,912,651  

BHMS, Series 2018-ATLS, Class A, (1-mo. LIBOR US + 1.25%), 5.93%, 07/15/35(a)(c)

      2,770       2,663,904  

BLP Commercial Mortgage Trust, Series 2023- IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.52%, 03/15/40(a)(c)

      2,390       2,363,797  

BOCA Commercial Mortgage Trust, Series 2022- BOCA, Class A, (1-mo. CME Term SOFR + 1.77%), 6.60%, 05/15/39(a)(c)

      2,431       2,358,960  

BPR Trust, Series 2022-SSP, Class A, (1-mo. CME Term SOFR + 3.00%), 7.83%, 05/15/39(a)(c)

      1,270       1,243,644  

BWAY Mortgage Trust

     

Series 2013-1515, Class A2, 3.45%, 03/10/33(a)

      3,004       2,810,190  

Series 2013-1515, Class D, 3.63%, 03/10/33(a).

      1,400       1,277,666  

Series 2013-1515, Class E, 3.72%, 03/10/33(a).

      250       217,759  

Series 2013-1515, Class F, 3.93%, 03/10/33(a)(c)

      250       206,351  

BX Commercial Mortgage Trust

     

Series 2019-XL, Class A, (1-mo. CME Term SOFR + 1.03%), 5.86%, 10/15/36(a)(c)

      2,079       2,055,258  

Series 2019-XL, Class G, (1-mo. CME Term SOFR + 2.41%), 7.24%, 10/15/36(a)(c)

      18,463       17,764,748  

Series 2019-XL, Class J, (1-mo. CME Term SOFR + 2.76%), 7.59%, 10/15/36(a)(c)

      21,576       20,618,605  

Series 2020-VIV2, Class C, 3.54%, 03/09/44(a)(c)

      2,550       2,068,006  

Series 2020-VIV3, Class B, 3.54%, 03/09/44(a)(c)

      4,952       4,330,384  

Series 2020-VIV4, Class A, 2.84%, 03/09/44(a)

      4,670       3,802,648  

Series 2020-VKNG, Class A, (1-mo. CME Term SOFR + 1.04%), 5.87%, 10/15/37(a)(c)

      373       364,355  

Series 2020-VKNG, Class F, (1-mo. CME Term SOFR + 2.86%), 7.69%, 10/15/37(a)(c)

      3,269       3,070,943  

Series 2021-CIP, Class A, (1-mo. LIBOR US + 0.92%), 5.61%, 12/15/38(a)(c)

      536       516,514  

Series 2021-NWM, Class A, (1-mo. CME Term SOFR + 1.02%), 5.85%, 02/15/33(a)(c)(e)

      14,245       13,817,141  

Series 2021-NWM, Class B, (1-mo. CME Term SOFR + 2.26%), 7.09%, 02/15/33(a)(c)(e)

      8,727       8,465,614  

Series 2021-NWM, Class C, (1-mo. CME Term SOFR + 4.36%), 9.19%, 02/15/33(a)(c)(e)

      5,842       5,666,991  

Series 2021-SOAR, Class G, (1-mo. LIBOR US + 2.80%), 7.49%, 06/15/38(a)(c)

      4,010       3,693,536  
Security  

Par

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

 

BX Commercial Mortgage Trust

     

Series 2022-CSMO, Class C, (1-mo. CME Term SOFR + 3.89%), 8.72%,
06/15/27(a)(c)

    USD       1,760     $     1,711,471  

BX Trust

     

Series 2019-OC11, Class A, 3.20%, 12/09/41(a)

      1,183       1,009,925  

Series 2019-OC11, Class D, 3.94%, 12/09/41(a)(c)

      8,267       6,821,997  

Series 2019-OC11, Class E, 3.94%, 12/09/41(a)(c)

      4,881       3,863,465  

Series 2021-ARIA, Class A, (1-mo. LIBOR US + 0.90%), 5.58%, 10/15/36(a)(c)

      1,175       1,127,375  

Series 2021-ARIA, Class D, (1-mo. LIBOR US + 1.90%), 6.58%, 10/15/36(a)(c)

      2,090       1,938,034  

Series 2021-ARIA, Class G, (1-mo. LIBOR US + 3.14%), 7.83%, 10/15/36(a)(c)

      4,215       3,705,954  

Series 2021-LBA, Class AJV, (1-mo. CME Term SOFR + 0.91%), 5.74%,
02/15/36(a)(c)

      5,674       5,406,626  

Series 2021-LBA, Class AV, (1-mo. CME Term SOFR + 0.91%), 5.74%,
02/15/36(a)(c)

      1,219       1,161,558  

Series 2021-LBA, Class FJV, (1-mo. LIBOR US + 2.40%), 7.34%, 02/15/36(a)(c)

      6,390       5,647,788  

Series 2021-LBA, Class FV, (1-mo. LIBOR US + 2.40%), 7.34%, 02/15/36(a)(c)

      5,128       4,532,372  

Series 2021-LBA, Class GJV, (1-mo. LIBOR US + 3.00%), 7.94%,
02/15/36(a)(c)

      1,244       1,081,864  

Series 2021-LBA, Class GV, (1-mo. LIBOR US + 3.00%), 7.94%, 02/15/36(a)(c)

      6,640       5,773,352  

Series 2021-MFM1, Class E, (1-mo. LIBOR US + 2.25%), 7.19%, 01/15/34(a)(c)

      1,492       1,394,611  

Series 2021-MFM1, Class F, (1-mo. LIBOR US + 3.00%), 7.94%, 01/15/34(a)(c)

      2,306       2,114,479  

Series 2021-SDMF, Class A, (1-mo. LIBOR US + 0.59%), 5.27%, 09/15/34(a)(c)

      898       866,564  

Series 2022-GPA, Class A, (1-mo. CME Term SOFR + 2.17%), 6.99%,
10/15/39(a)(c)

      19,990       19,739,451  

Series 2022-GPA, Class D, (1-mo. CME Term SOFR + 4.06%), 8.89%,
10/15/39(a)(c)

      1,960       1,920,977  

Series 2022-LBA6, Class A, (1-mo. CME Term SOFR + 1.00%), 5.83%,
01/15/39(a)(c)

      2,678       2,583,975  

Series 2022-LBA6, Class D, (1-mo. CME Term SOFR + 2.00%), 6.83%,
01/15/39(a)(c)

      2,890       2,687,697  

Series 2022-VAMF, Class A, (1-mo. CME Term SOFR + 0.85%), 5.68%,
01/15/39(a)(c)

      1,547       1,485,448  

Series 2022-VAMF, Class B, (1-mo. CME Term SOFR + 1.28%), 6.11%,
01/15/39(a)(c)

      673       642,639  

BXP Trust

     

Series 2017-CC, Class D, 3.55%, 08/13/37(a)(c)

      750       539,693  

Series 2017-CC, Class E, 3.55%, 08/13/37(a)(c)

      1,450       972,117  

Series 2017-GM, Class D, 3.43%, 06/13/39(a)(c)

      590       448,866  

Series 2017-GM, Class E, 3.43%, 06/13/39(a)(c)

      1,240       910,261  

Series 2021-601L, Class D, 2.78%, 01/15/44(a)(c)

      2,010       1,301,380  

CAMB Commercial Mortgage Trust, Series 2019- LIFE, Class D, (1-mo. LIBOR US + 1.75%), 6.43%, 12/15/37(a)(c)

      3,619       3,527,563  

Cassia SRL, Series 2022-1A, Class A, (3-mo. EURIBOR + 2.50%), 5.15%, 05/22/34(a)(c)

    EUR       7,964       8,197,162  
 

 

 

62  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

 

CD Mortgage Trust

     

Series 2017-CD3, Class A4, 3.63%, 02/10/50

    USD       850     $ 793,392  

Series 2017-CD5, Class B, 3.96%, 08/15/50(c)

      2,091           1,862,043  

CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.87%, 01/10/48

      410       391,871  

CFK Trust, Series 2019-FAX, Class D, 4.64%, 01/15/39(a)(c)

      2,643       2,281,531  

CHC Commercial Mortgage Trust, Series 2019- CHC, Class B, (1-mo. LIBOR US + 1.50%), 6.18%, 06/15/34(a)(c)

      5,931       5,688,920  

Citigroup Commercial Mortgage Trust

     

Series 2014-GC19, Class C, 5.09%, 03/11/47(c)

      440       429,409  

Series 2015-GC27, Class B, 3.77%, 02/10/48

      990       918,405  

Series 2016-GC37, Class C, 4.92%, 04/10/49(c)

      640       583,187  

Series 2019-PRM, Class D, 4.35%, 05/10/36(a)

 

    1,120       1,097,341  

Series 2019-PRM, Class E, 4.73%, 05/10/36(a)(c)

      5,271       5,162,976  

Series 2019-PRM, Class F, 4.73%, 05/10/36(a)(c)

      5,180       5,073,841  

Series 2019-SMRT, Class D, 4.75%, 01/10/36(a)(c)

      7,200       6,967,939  

Series 2019-SMRT, Class E, 4.75%, 01/10/36(a)(c)

      419       402,250  

Series 2020-420K, Class E, 3.31%, 11/10/42(a)(c)

      1,540       1,128,759  

Cold Storage Trust

     

Series 2020-ICE5, Class A, (1-mo. LIBOR US + 0.90%), 5.58%, 11/15/37(a)(c)

      6,055       5,899,369  

Series 2020-ICE5, Class E, (1-mo. LIBOR US + 2.77%), 7.45%, 11/15/37(a)(c)

      9,270       8,912,046  

Series 2020-ICE5, Class F, (1-mo. LIBOR US + 3.49%), 8.18%, 11/15/37(a)(c)

      4,266       4,114,952  

Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class C, 4.67%, 02/10/47(c)

      890       781,787  

Commercial Mortgage Trust, Series 2016-667M, Class D, 3.18%, 10/10/36(a)(c)

      630       489,561  

Credit Suisse Mortgage Capital Certificates

     

Series 2019-ICE4, Class E, (1-mo. LIBOR US + 2.15%), 6.83%, 05/15/36(a)(c)

      2,594       2,509,765  

Series 2022-LION, 3.95%, 02/15/24

      10,100       9,885,795  

Credit Suisse Mortgage Trust

     

Series 2017-CALI, Class C, 3.78%, 11/10/32(a)(c)

      1,729       1,296,751  

Series 2017-PFHP, Class A, (1-mo. LIBOR US + 0.95%), 5.63%, 12/15/30(a)(c)

      900       849,037  

Series 2017-TIME, Class A, 3.65%, 11/13/39(a).

      850       719,549  

Series 2020-FACT, Class E, (1-mo. LIBOR US + 4.86%), 9.55%, 10/15/37(a)(c)

      3,424       3,055,504  

Series 2020-NET, Class D, 3.70%, 08/15/37(a)(c)

      710       634,758  

Series 2021-BHAR, Class A, (1-mo. LIBOR US + 1.15%), 5.84%,
11/15/38(a)(c)

      2,817       2,694,604  

Series 2021-BHAR, Class E, (1-mo. LIBOR US + 3.50%), 8.19%,
11/15/38(a)(c)

      1,166       1,087,999  

Series 2022-NWPT, Class A, (1-mo. CME Term SOFR + 3.14%), 7.97%, 09/09/24(a)(c)

      5,512       5,495,876  

CSAIL Commercial Mortgage Trust
Series 2016-C5, Class B, 4.46%, 11/15/48(c)

      2,410       2,257,398  
Security  

Par

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

 

CSAIL Commercial Mortgage Trust

     

Series 2018-CX12, Class C, 4.74%, 08/15/51(c)

    USD       570     $ 463,693  

Series 2019-C15, Class A4, 4.05%, 03/15/52

      4,080           3,823,732  

Series 2019-C16, Class C, 4.24%, 06/15/52(c)

      2,919       2,295,906  

Series 2020-C19, Class A3, 2.56%, 03/15/53

      6,155       5,182,532  

DBGS Mortgage Trust

     

Series 2018-5BP, Class B, (1-mo. LIBOR US + 0.98%), 5.66%, 06/15/33(a)(c)

      2,890       2,603,892  

Series 2019-1735, Class F, 4.20%, 04/10/37(a)(c)

      423       257,114  

Deutsche Bank JPMorgan Mortgage Trust, Series 2016-C1, Class A4, 3.28%, 05/10/49

      1,430       1,344,877  

Deutsche Bank UBS Mortgage Trust

     

Series 2017-BRBK, Class D, 3.53%, 10/10/34(a)(c)

      1,800       1,623,971  

Series 2017-BRBK, Class E, 3.53%, 10/10/34(a)(c)

      3,097       2,733,327  

Series 2017-BRBK, Class F, 3.53%, 10/10/34(a)(c)

      920       781,987  

ELP Commercial Mortgage Trust, Series 2021- ELP, Class G, (1-mo. LIBOR US + 3.12%), 7.80%, 11/15/38(a)(c)

      6,008       5,440,950  

Extended Stay America Trust

     

Series 2021-ESH, Class D, (1-mo. LIBOR US + 2.25%), 6.94%, 07/15/38(a)(c)

      4,544       4,327,628  

Series 2021-ESH, Class E, (1-mo. LIBOR US + 2.85%), 7.54%, 07/15/38(a)(c)

      7,839       7,406,316  

Series 2021-ESH, Class F, (1-mo. LIBOR US + 3.70%), 8.39%, 07/15/38(a)(c)

      4,981       4,671,401  

FREMF Mortgage Trust

     

Series 2017-KGX1, Class BFX, 3.60%, 10/25/27(a)(c)

      1,190       1,083,687  

Series 2018-K74, Class B, 4.09%, 02/25/51(a)(c)

      120       112,066  

Series 2018-K80, Class B, 4.23%, 08/25/50(a)(c)

      1,043       990,160  

FS Rialto Issuer Ltd., Series 2022-FL7, Class A, (1-mo. CME Term SOFR + 2.90%), 7.59%, 10/19/39(a)(c)

      4,865       4,821,155  

GCT Commercial Mortgage Trust, Series 2021- GCT, Class D, (1-mo. LIBOR US + 2.35%), 7.03%, 02/15/38(a)(c)

      440       305,463  

Grace Trust, Series 2020-GRCE, Class E, 2.68%, 12/10/40(a)(c)

      1,489       935,704  

GS Mortgage Securities Corp. II, Series 2005- ROCK, Class A, 5.37%, 05/03/32(a)

      2,750       2,709,437  

GS Mortgage Securities Trust

     

Series 2014-GC20, Class B, 4.53%, 04/10/47(c)

      140       133,592  

Series 2015-590M, Class E, 3.81%, 10/10/35(a)(c)

      1,100       907,464  

Series 2015-GC32, Class C, 4.41%, 07/10/48(c)

      1,049       951,876  

Series 2015-GS1, Class A3, 3.73%, 11/10/48

      670       637,431  

Series 2017-GPTX, Class A, 2.86%, 05/10/34(a)

      2,290       2,083,900  

Series 2019-GSA1, Class C, 3.81%, 11/10/52(c)

      260       199,988  

Series 2021-DM, Class A, (1-mo. LIBOR US + 0.89%), 5.57%, 11/15/36(a)(c)

      3,852       3,701,492  
 

 

 

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

  63


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

 

GS Mortgage Securities Trust

     

Series 2021-DM, Class F, (1-mo. LIBOR US + 3.44%), 8.12%, 11/15/36(a)(c)

    USD       530     $ 476,585  

Series 2022-AGSS, Class A, (1-mo. CME Term SOFR + 2.69%), 7.52%, 11/15/27(a)(c)

      8,490           8,410,244  

Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.02%, 08/15/39(a)(c)

      5,160       5,159,997  

Series 2022-SHIP, Class A, (1-mo. CME Term SOFR + 0.73%), 5.56%, 08/15/36(a)(c)

      6,241       6,179,128  

Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 6.75%, 03/15/28(a)(c)

      3,500       3,491,287  

HIT Trust, Series 2022-HI32, Class A, (1-mo. CME Term SOFR + 2.39%), 7.22%, 07/15/24(a)(c)

      1,160       1,157,799  

HMH Trust, Series 2017-NSS, Class A, 3.06%, 07/05/31(a)

      3,390       3,186,895  

HONO Mortgage Trust, Series 2021-LULU, Class E, (1-mo. LIBOR US + 3.35%), 8.03%, 10/15/36(a)(c)

      1,089       992,543  

Hudson Yards Mortgage Trust, Series 2019-55HY, Class F, 2.94%, 12/10/41(a)(c)

      2,975       1,867,221  

ILPT Commercial Mortgage Trust, Series 2022- LPF2, Class A, (1-mo. CME Term SOFR + 2.25%), 7.07%, 10/15/39(a)(c)

      9,809       9,784,631  

IMT Trust

     

Series 2017-APTS, Class AFX, 3.48%, 06/15/34(a)

      1,540       1,488,161  

Series 2017-APTS, Class DFX, 3.50%, 06/15/34(a)(c)

      1,600       1,508,909  

Series 2017-APTS, Class EFX, 3.50%, 06/15/34(a)(c)

      810       755,698  

Independence Plaza Trust

     

Series 2018-INDP, Class B, 3.91%, 07/10/35(a)

      700       653,599  

Series 2018-INDP, Class C, 4.16%, 07/10/35(a)

      1,600       1,484,896  

INTOWN Mortgage Trust, Series 2022-STAY, Class A, (1-mo. CME Term SOFR + 2.49%), 7.32%, 08/15/39(a)(c)

      5,685       5,638,683  

JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1, 4.12%, 12/15/48(a)(c)

      1,873       1,556,992  

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2021-MHC, Class F, (1-mo. LIBOR US + 2.95%), 7.63%, 04/15/38(a)(c)

      2,750       2,574,925  

JPMorgan Chase Commercial Mortgage Securities Trust

     

Series 2015-JP1, Class C, 4.73%, 01/15/49(c)

      710       629,077  

Series 2017-JP7, Class B, 4.05%, 09/15/50

      320       284,440  

Series 2018-AON, Class A, 4.13%, 07/05/31(a)

      1,819       1,637,100  

Series 2018-PHH, Class A, (1-mo. LIBOR US + 1.21%), 5.89%, 06/15/35(a)(c)

      1,938       1,778,435  

Series 2019-COR5, Class A3, 3.12%, 06/13/52

      1,700       1,478,448  

Series 2019-MFP, Class E, (1-mo. LIBOR US + 2.16%), 6.84%, 07/15/36(a)(c)

      2,460       2,305,163  

Series 2020-609M, Class D, (1-mo. LIBOR US + 2.77%), 7.46%, 10/15/33(a)(c)

      1,600       1,321,017  

Series 2021-MHC, Class A, (1-mo. LIBOR US + 0.80%), 5.48%, 04/15/38(a)(c)

      455       440,800  

Series 2021-MHC, Class E, (1-mo. LIBOR US + 2.45%), 7.13%, 04/15/38(a)(c)

      8,804       8,276,862  
Security  

Par

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

 

JPMorgan Chase Commercial Mortgage Securities Trust

     

Series 2022-CGSS, Class A, (1-mo. CME Term SOFR + 2.47%), 7.30%,
12/15/36(a)(c)

    USD       5,794     $     5,764,621  

Series 2022-NLP, Class F, (1-mo. CME Term SOFR + 3.54%), 8.37%,
04/15/37(a)(c)

      5,624       4,759,934  

Series 2022-NXSS, Class A, (1-mo. CME Term SOFR + 2.18%), 7.01%,
09/15/39(a)(c)

      8,514       8,460,558  

Series 2022-OPO, Class D, 3.45%, 01/05/39(a)(c)

      3,654       2,678,062  

KKR Industrial Portfolio Trust, Series 2021-KDIP, Class F, (1-mo. CME Term SOFR + 2.16%), 6.99%, 12/15/37(a)(c)

      2,490       2,289,928  

KNDL Mortgage Trust, Series 2019-KNSQ, Class E, (1-mo. LIBOR US + 1.80%), 6.48%, 05/15/36(a)(c)

      3,575       3,481,134  

Lehman Brothers Small Balance Commercial Mortgage Trust

     

Series 2006-2A, Class M3, (1-mo. LIBOR US + 0.45%), 5.30%, 09/25/36(a)(c)

      1,391       1,318,694  

Series 2007-1A, Class 1A, (1-mo. LIBOR US + 0.25%), 5.10%, 03/25/37(a)(c)

      109       108,737  

Life Mortgage Trust, Series 2021-BMR, Class F, (1-mo. LIBOR US + 2.35%), 7.29%, 03/15/38(a)(c)

      4,154       3,865,281  

LSTAR Commercial Mortgage Trust,
Series 2015-3, Class AS, 3.15%, 04/20/48(a)(c) .

      146       140,149  

MAD Mortgage Trust

     

Series 2017-330M, Class D, 3.71%, 08/15/34(a)(c)

      1,085       916,055  

Series 2017-330M, Class E, 3.76%, 08/15/34(a)(c)

      1,846       1,519,251  

Med Trust, Series 2021-MDLN, Class G, (1-mo. LIBOR US + 5.25%), 9.94%, 11/15/38(a)(c)

      26,890       24,511,194  

MF1, Series 2021-W10, Class G, (1-mo. CME Term SOFR + 4.22%), 9.05%, 12/15/34(a)(c)

      1,005       916,095  

MFT Trust, Series 2020-ABC, Class C, 3.48%, 02/10/42(a)(c)

      1,773       1,163,938  

MHC Commercial Mortgage Trust

     

Series 2021-MHC, Class A, (1-mo. LIBOR US + 0.80%), 5.49%, 04/15/38(a)(c)

      591       571,413  

Series 2021-MHC, Class E, (1-mo. LIBOR US + 2.10%), 6.79%, 04/15/38(a)(c)

      11,336       10,625,743  

Series 2021-MHC, Class F, (1-mo. LIBOR US + 2.60%), 7.29%, 04/15/38(a)(c)

      1,164       1,082,231  

Morgan Stanley Bank of America Merrill Lynch Trust

     

Series 2015-C23, Class D, 4.14%, 07/15/50(a)(c)

      110       84,083  

Series 2015-C25, Class B, 4.52%, 10/15/48(c)

      2,910       2,722,057  

Series 2015-C25, Class C, 4.52%, 10/15/48(c)

      430       390,109  

Morgan Stanley Capital I Trust

     

Series 2017-H1, Class C, 4.28%, 06/15/50(c)

      221       194,261  

Series 2017-HR2, Class D, 2.73%, 12/15/50

      430       271,151  

Series 2018-MP, Class E, 4.28%, 07/11/40(a)(c)

      2,730       1,954,184  

Series 2018-SUN, Class A, (1-mo. LIBOR US + 0.90%), 5.58%, 07/15/35(a)(c)

      1,410       1,382,495  

Series 2018-SUN, Class F, (1-mo. LIBOR US + 2.55%), 7.23%, 07/15/35(a)(c)

      28       27,120  

MSCG Trust

     

Series 2018-SELF, Class E, (1-mo. LIBOR US + 2.15%), 6.84%, 10/15/37(a)(c)

      679       631,937  
 

 

 

64  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

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 F, (1-mo. LIBOR US + 3.05%), 7.74%, 10/15/37(a)(c)

    USD       3,153     $      2,923,461  

MSDB Trust, Series 2017-712F, Class B, 3.45%, 07/11/39(a)(c)

      1,650       1,352,602  

MTN Commercial Mortgage Trust

     

Series 2022-LPFL, Class A, (1-mo. CME Term SOFR + 1.40%), 6.22%, 03/15/39(a)(c)

      3,160       3,113,102  

Series 2022-LPFL, Class F, (1-mo. CME Term SOFR + 5.29%), 10.11%, 03/15/39(a)(c)

      1,362       1,267,681  

Natixis Commercial Mortgage Securities Trust

     

Series 2018-FL1, Class A, (1-mo. LIBOR US + 0.95%), 5.63%, 06/15/35(a)(c)

      315       304,704  

Series 2018-SOX, Class A, 4.40%, 06/17/38(a)

      4,162       3,891,710  

Series 2019-LVL, Class D, 4.44%, 08/15/38(a)

      1,550       1,254,579  

Olympic Tower Mortgage Trust, Series 2017-OT, Class E, 3.95%, 05/10/39(a)(c)

      2,910       1,945,525  

One New York Plaza Trust, Series 2020-1NYP, Class D, (1-mo. LIBOR US + 2.75%), 7.43%, 01/15/36(a)(c)

      960       837,326  

PFP Ltd., Series 2022-9, Class A, (1-mo. CME Term SOFR + 2.27%), 6.93%, 08/19/35(a)(c)

      6,660       6,626,520  

Ready Capital Mortgage Financing LLC

     

Series 2022-FL10, Class A, (1-mo. CME Term SOFR + 2.55%), 7.36%, 10/25/39(a)(c)

      9,356       9,256,301  

Series 2022-FL9, Class A, (1-mo. CME Term SOFR + 2.47%), 7.26%, 06/25/37(a)(c)

      2,182       2,188,103  

Series 2023-FL11, Class A, (1-mo. CME Term SOFR + 2.37%), 7.17%, 10/25/39(a)(c)

      5,610       5,553,177  

RIAL Issuer Ltd., Series 2022-FL8, Class A, (1- mo. CME Term SOFR + 2.25%), 6.99%, 01/19/37(a)(c)

      10,965       10,725,727  

Scorpio European Loan Conduit No. 34 DAC, Series 34A, Class C, (1-day SONIA + 2.22%), 6.30%, 05/17/29(a)(c)

    GBP       1,148       1,360,236  

SG Commercial Mortgage Securities Trust, Series 2019-PREZ, Class D, 3.48%, 09/15/39(a)(c)

    USD       2,200       1,704,311  

SMRT

     

Series 2022-MINI, Class A, (1-mo. CME Term SOFR + 1.00%), 5.83%, 01/15/39(a)(c)

      1,202       1,155,483  

Series 2022-MINI, Class E, (1-mo. CME Term SOFR + 2.70%), 7.53%, 01/15/39(a)(c)

      1,550       1,394,551  

SREIT Trust

     

Series 2021-MFP, Class F, (1-mo. LIBOR US + 2.62%), 7.31%, 11/15/38(a)(c)

      5,400       4,931,834  

Series 2021-MFP2, Class A, (1-mo. LIBOR US + 0.82%), 5.51%, 11/15/36(a)(c)

      1,180       1,132,660  

Series 2021-MFP2, Class F, (1-mo. LIBOR US + 2.62%), 7.30%, 11/15/36(a)(c)

      4,101       3,792,847  

Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.01%, 05/15/37(a)(c)

      9,831       9,463,371  

UBS Commercial Mortgage Trust, Series 2017-C7, Class A4, 3.68%, 12/15/50

      880       817,458  

Velocity Commercial Capital Loan Trust

     

Series 2017-2, Class M3, 4.24%, 11/25/47(a)(c)

      247       197,960  

Series 2017-2, Class M4, 5.00%, 11/25/47(a)(c)

      149       113,098  

Series 2018-1, Class M2, 4.26%, 04/25/48(a)

      126       111,982  

Series 2020-1, Class M1, 2.80%, 02/25/50(a)(c)

      725       611,779  

Series 2020-1, Class M2, 2.98%, 02/25/50(a)(c)

      834       701,184  

Series 2021-4, Class A, 2.52%, 12/26/51(a)(c)

      11,361       9,727,806  
Security  

Par

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

 

Velocity Commercial Capital Loan Trust

                  

Series 2021-4, Class M4, 4.48%, 12/26/51(a)(c)

    USD       1,144     $          840,045  

Series 2022-4, Class M2, 6.97%, 08/25/52(a)(c)

      890       848,756  

Series 2022-4, Class M3, 7.54%, 08/25/52(a)(c)

      737       647,179  

VNDO Trust, Series 2016-350P, Class D, 3.90%, 01/10/35(a)(c)

      3,390       2,860,484  

Wells Fargo Commercial Mortgage Trust

     

Series 2016-C32, Class A3FL, (1-mo. LIBOR US + 1.42%), 6.13%, 01/15/59(c)

      2,978       2,916,268  

Series 2016-C34, Class A3FL, (1-mo. LIBOR US + 1.04%), 5.75%, 06/15/49(a)(c)

      1,830       1,764,909  

Series 2017-HSDB, Class A, (1-mo. LIBOR US + 1.10%), 5.91%, 12/13/31(a)(c)

      2,051       2,032,289  

Series 2018-1745, Class A, 3.75%, 06/15/36(a)(c)

      1,253       1,091,407  

Series 2018-C45, Class C, 4.73%, 06/15/51

      530       451,277  

Series 2018-C48, Class B, 4.90%, 01/15/52(c)

      3,612       3,316,586  

Series 2020-SDAL, Class D, (1-mo. LIBOR US + 2.09%), 6.77%, 02/15/37(a)(c)

      1,530       1,456,601  

Series 2020-SDAL, Class E, (1-mo. LIBOR US + 2.74%), 7.42%, 02/15/37(a)(c)

      1,300       1,235,461  

WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.20%, 11/15/47(c)

      770       708,656  

WMRK Commercial Mortgage Trust, Series 2022- WMRK, Class A, (1-mo. CME Term SOFR + 2.79%), 7.62%, 11/15/27(a)(c)

      6,274       6,211,060  
     

 

 

 
        705,810,558  
Interest Only Collateralized Mortgage Obligations — 0.1%  

Ajax Mortgage Loan Trust, Series 2021-E, Class XS, 0.00%, 12/25/60(a)(c)

      111,107       4,455,097  

JPMorgan Mortgage Trust

     

Series 2021-INV5, Class A2X, 0.50%, 12/25/51(a)(c)

      54,118       1,341,676  

Series 2021-INV5, Class A5X, 0.50%, 12/25/51(a)(c)

      5,811       144,068  

Series 2021-INV5, Class AX1, 0.19%, 12/25/51(a)(c)

      104,602       987,248  

Series 2021-INV7, Class A2X, 0.50%, 02/25/52(a)(c)

      28,532       707,251  

Series 2021-INV7, Class A3X, 0.50%, 02/25/52(a)(c)

      17,528       399,480  

Series 2021-INV7, Class A4X, 0.50%, 02/25/52(a)(c)

      6,756       286,787  

Series 2021-INV7, Class A5X, 0.50%, 02/25/52(a)(c)

      3,107       77,006  

Series 2021-INV7, Class AX1, 0.27%, 02/25/52(a)(c)

      55,922       748,819  

Seasoned Credit Risk Transfer Trust, Series 2017-3, Class BIO, 0.63%, 07/25/56(a)(c)

      2,927       294,426  

Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 1.84%, 02/25/38(a)(c)

      12,264       2,931,894  
     

 

 

 
        12,373,752  
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       89,596  

BANK, Series 2019-BN20, Class XB, 0.37%, 09/15/62(c)

      39,279       801,598  

Bank of America Merrill Lynch Commercial Mortgage Trust

     

Series 2017-BNK3, Class XB, 0.59%, 02/15/50(c)

      11,850       244,302  
 

 

 

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

  65


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Interest Only Commercial Mortgage-Backed Securities (continued)

 

Bank of America Merrill Lynch Commercial Mortgage Trust

     

Series 2017-BNK3, Class XD, 1.24%, 02/15/50(a)(c)

    USD       5,000     $     207,280  

BBCMS Mortgage Trust

     

Series 2015-SRCH, Class XA, 0.91%, 08/10/35(a)(c)

      16,407       494,226  

Series 2020-C7, Class XB, 0.99%, 04/15/53(c)

    .       1,596       95,442  

Benchmark Mortgage Trust

     

Series 2019-B9, Class XA, 1.03%, 03/15/52(c)

    .       13,197       609,809  

Series 2020-B17, Class XB, 0.53%, 03/15/53(c)

      7,100       198,680  

Series 2021-B23, Class XA, 1.27%, 02/15/54(c)

      27,427         1,856,300  

BX Trust, Series 2022-GPA, Class XCP, 1.03%, 10/15/39(a)(c)

      107,548       411,436  

CFCRE Commercial Mortgage Trust

     

Series 2016-C3, Class XD, 1.70%, 01/10/48(a)(c)

      5,497       222,754  

Series 2016-C4, Class XB, 0.69%, 05/10/58(c)

    .       5,810       112,718  

Citigroup Commercial Mortgage Trust,

     

Series 2020-420K, Class X, 0.80%, 11/10/42(a)(c)

      46,500       2,277,268  

Commercial Mortgage Pass-Through Certificates

     

Series 2015-3BP, Class XA, 0.06%, 02/10/35(a)(c)

      150,000       242,085  

Series 2015-CR25, Class XA, 0.80%, 08/10/48(c)

      4,285       66,431  

Series 2018-COR3, Class XD, 1.75%, 05/10/51(a)(c)

      3,200       219,467  

CSAIL Commercial Mortgage Trust

     

Series 2017-CX10, Class XB, 0.17%, 11/15/50(c)

      12,490       131,655  

Series 2019-C16, Class XA, 1.55%, 06/15/52(c)

      30,241       2,125,210  

Series 2019-C17, Class XA, 1.35%, 09/15/52(c)

      10,217       606,546  

Series 2019-C17, Class XB, 0.56%, 09/15/52(c)

      19,090       559,822  

DBGS Mortgage Trust, Series 2019-1735, Class X, 0.29%, 04/10/37(a)(c)

      21,535       353,691  

Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50(c)

      5,780       193,822  

FREMF Mortgage Trust, Series 2019-KW08, Class X2A, 0.10%, 01/25/29(a)

      154,348       626,591  

GS Mortgage Securities Corp. II, Series 2005- ROCK, Class X1, 0.40%,
05/03/32(a)(c)

      21,000       106,527  

GS Mortgage Securities Trust

     

Series 2019-GSA1, Class XA, 0.81%, 11/10/52(c)

      7,811       323,890  

Series 2020-GSA2, Class XA, 1.72%, 12/12/53(a)(c)

      18,504       1,695,502  

JPMBB Commercial Mortgage Securities Trust

     

Series 2014-C22, Class XA, 0.80%, 09/15/47(c)

      1,706       12,540  

Series 2014-C23, Class XA, 0.59%, 09/15/47(c)

      23,433       137,540  

Series 2015-C29, Class XA, 0.57%, 05/15/48(c)

      1,364       12,928  

JPMDB Commercial Mortgage Securities Trust,

     

Series 2016-C4, Class XC, 0.75%, 12/15/49(a)(c)

      4,940       108,605  
Security          Par
(000)
    Value  

Interest Only Commercial Mortgage-Backed Securities (continued)

 

JPMorgan Chase Commercial Mortgage Securities Trust

     

Series 2013-LC11, Class XB, 0.64%, 04/15/46(c)

    USD       4,570     $ 46  

Series 2016-JP3, Class XC, 0.75%, 08/15/49(a)(c)

      13,040       276,217  

Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class XA, 1.16%, 02/15/36(a)(c)

      3,666       163,033  

LSTAR Commercial Mortgage Trust,
Series 2017-5, Class X, 0.80%, 03/10/50(a)(c)

      2,571       48,808  

Morgan Stanley Bank of America Merrill Lynch Trust

     

Series 2014-C19, Class XF, 1.18%, 12/15/47(a)(c)

      4,370       84,246  

Series 2015-C26, Class XD, 1.31%, 10/15/48(a)(c)

      4,490       131,781  

Morgan Stanley Capital I Trust

     

Series 2016-UBS9, Class XD, 1.60%, 03/15/49(a)(c)

      13,984       576,598  

Series 2017-H1, Class XD, 2.15%, 06/15/50(a)(c)

      3,293       239,799  

Series 2019-H6, Class XB, 0.72%, 06/15/52(c)

 

    23,510       869,183  

Series 2019-L2, Class XA, 1.00%, 03/15/52(c)

 

    8,630       389,341  

Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.38%, 05/10/39(a)(c)

 

    36,697       525,828  

One Market Plaza Trust

     

Series 2017-1MKT, Class XCP, 0.00%, 02/10/32(a)(c)

      53,230       1,522  

Series 2017-1MKT, Class XNCP, 0.09%, 02/10/32(a)(c)

      10,646       27,932  

UBS Commercial Mortgage Trust

     

Series 2019-C17, Class XA, 1.47%, 10/15/52(c)

      31,762       2,195,246  

Series 2019-C18, Class XA, 1.02%, 12/15/52(c)

      34,793       1,566,116  

Wells Fargo Commercial Mortgage Trust

     

Series 2015-NXS4, Class XA, 1.02%, 12/15/48(c)

      2,207       47,348  

Series 2016-BNK1, Class XD, 1.25%, 08/15/49(a)(c)

      4,420       152,261  

Series 2019-C50, Class XA, 1.41%, 05/15/52(c)

      22,278       1,329,591  
     

 

 

 
        23,769,157  

Principal Only Collateralized Mortgage Obligations — 0.0%

 

Seasoned Credit Risk Transfer Trust, Series 2017-3, Class B, 0.00%, 07/25/56(a)(q)

      1,528       248,688  
     

 

 

 

Total Non-Agency Mortgage-Backed Securities — 8.6%
(Cost: $1,683,654,427)

 

    1,547,424,252  
     

 

 

 

Preferred Securities

     

Capital Trusts — 0.1%

     

Banks — 0.0%

     

Ahli United Sukuk Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.01%), 3.88%(d)(l)

      350       319,812  

Banco Mercantil del Norte SA

     

5.88%(a)(l)

      908       766,125  

5.88%(d)(l)

      661       557,719  

6.63%(a)(l)

      1,450       1,167,250  

6.63%(d)(l)

      661       532,105  
 

 

 

66  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Banks (continued)

 

Banco Mercantil del Norte SA 6.75%(d)(l)

    USD       206     $ 195,288  

Emirates NBD Bank PJSC, 6.13%(d)(l)

      1,539       1,496,485  

Kasikornbank PCL, 5.28%(d)(l)

      300       274,650  

Lehman Brothers Holdings Capital Trust VII, 5.86%(e)(f)(k)(l)

      1,888        
     

 

 

 
        5,309,434  

Capital Markets — 0.1%

     

State Street Corp.

     

Series F, (3-mo. LIBOR US + 3.60%), 8.46%(c)(l)

      1,338       1,327,906  

Series H, 5.63%(l)

      10,070       9,392,560  
     

 

 

 
        10,720,466  

Insurance — 0.0%

     

Hanwha Life Insurance Co. Ltd.,
4.70%(d)(l)

      800       791,150  

KDB Life Insurance Co. Ltd., 7.50%(d)(l)

      430       395,600  
     

 

 

 
            1,186,750  
     

 

 

 

Total Capital Trusts — 0.1%

              17,216,650  
     

 

 

 
            Shares         

Preferred Stocks — 0.2%

     

Financial Services — 0.0%

     

SCI PH, Inc. (Acquired 02/10/23, cost $1,875,000), 12.50%(e)(f)(i)

      1,875       1,890,263  
     

 

 

 

Household Durables — 0.1%

     

Dream Finders Homes, Inc., 9.00%(e)

      15,124       13,668,315  

Lessen, Inc., Series C(e)(j)

      143,367       1,856,603  
     

 

 

 
        15,524,918  

IT Services — 0.0%

     

Cap Hill Brands(e)

      2,670,520       4,059,190  
     

 

 

 

Software — 0.1%

     

Versa Networks, Inc. (Acquired 10/14/22, cost $12,017,972),
12.00%(e)(f)(i)

      4,118,274       11,695,898  
     

 

 

 

Total Preferred Stocks — 0.2%

        33,170,269  
     

 

 

 

Total Preferred Securities — 0.3%
(Cost: $54,192,718)

        50,386,919  
     

 

 

 
           

Par

(000)

        

U.S. Government Sponsored Agency Securities

 

Agency Obligations — 0.0%

     

Fannie Mae, 6.63%, 11/15/30

    USD       1,450       1,717,916  
     

 

 

 

Collateralized Mortgage Obligations — 0.0%

 

Fannie Mae, Series 2003-W5, Class A, (1-mo. LIBOR US + 0.11%), 4.84%, 04/25/33(c)

      1       970  

Freddie Mac

     

Series 2015-DN1, Class B, (1-mo. LIBOR US + 11.50%), 16.35%, 01/25/25(c)

      286       292,699  

Series 2015-HQ2, Class B, (1-mo. LIBOR US + 7.95%), 12.80%, 05/25/25(c)

      510       515,898  

Series 2017-DNA3, Class B1, (1-mo. LIBOR US + 4.45%), 9.30%, 03/25/30(c)

      1,860       1,938,719  
     

 

 

 
        2,748,286  

Commercial Mortgage-Backed Securities — 0.0%

 

Fannie Mae, Series 2006-M2, Class A2A, 5.27%, 10/25/32(c)

 

    288       287,872  
     

 

 

 
Security          Par
(000)
    Value  

Interest Only Collateralized Mortgage Obligations — 0.4%

 

Fannie Mae

     

Series 2020-101, Class AI, 3.50%, 01/25/51

    USD       10,733     $     1,924,866  

Series 2020-32, Class PI, 4.00%, 05/25/50

      6,051       1,172,415  

Series 2020-77, Class HI, 4.00%, 11/25/50

      22,878       4,402,835  

Series 2021-31, Class IB, 4.00%, 06/25/51

      6,563       1,211,976  

Series 2021-50, Class IO, 4.00%, 08/25/51

      8,849       1,736,701  

Series 2022-1, Class HI, 3.00%, 02/25/52(e)

      3,594       430,524  

Series 426, Class C38, 2.00%, 03/25/52

      14,677       1,925,463  

Series 427, Class C19, 2.00%, 01/25/52

      11,305       1,483,321  

Series 427, Class C71, 3.00%, 10/25/49

      29,720       4,707,587  

Freddie Mac

     

Series 389, Class C35, 2.00%, 06/15/52

      34,419       4,375,411  

Series 4940, Class PI, 4.00%, 07/25/49

      2,609       401,716  

Series 4995, Class BI, 4.50%, 06/25/50

      2,874       589,772  

Series 5014, Class DI, 4.00%, 09/25/50

      2,271       432,322  

Series 5018, Class CI, 4.50%, 10/25/50

      2,859       600,195  

Series 5022, Class KI, 3.00%, 10/25/50(e)

      22,203       3,635,758  

Series 5052, Class KI, 4.00%, 12/25/50

      10,713       2,150,056  

Series 5081, Class PI, 3.00%, 03/25/51

      11,025       1,659,863  

Series 5112, Class KI, 3.50%, 06/25/51

      24,442       4,300,321  

Series 5127, Class AI, 3.00%, 06/25/51

      8,636       1,388,126  

Series 5129, Class IO, 3.00%, 09/25/50

      2,529       366,260  

Series 5139, Class IG, 3.00%, 09/25/51

      6,148       901,313  

Series 5145, Class HI, 3.00%, 09/25/51

      2,443       366,035  

Series 5152, Class EI, 3.50%, 10/25/51

      11,643       2,079,562  

Series 5155, Class JI, 3.00%, 10/25/51

      5,619       843,176  

Series 5155, Class NI, 3.00%, 10/25/51

      6,815       841,478  

Series 5164, Class IB, 3.00%, 11/25/51

      8,203       1,246,249  

Series 5167, Class MI, 3.00%, 11/25/51

      3,655       628,600  

Series 5196, Class DI, 3.00%, 02/25/52

      12,843       1,988,355  

Ginnie Mae

     

Series 2020-144, Class IO, 2.50%, 09/20/50

      6,851       798,630  

Series 2020-146, Class DI, 2.50%, 10/20/50(e)

      5,581       722,454  

Series 2020-151, Class MI, 2.50%, 10/20/50

      29,110       3,886,396  

Series 2020-175, Class DI, 2.50%, 11/20/50

      1,921       256,772  

Series 2020-185, Class MI, 2.50%, 12/20/50

      6,884       921,678  

Series 2021-15, Class GI, 3.50%, 01/20/51

      3,952       662,311  

Series 2021-161, Class IB, 4.00%, 09/20/51

      2,400       371,211  

Series 2021-176, Class IA, 3.50%, 10/20/51(e)

      5,670       850,501  

Series 2021-199, Class KI, 3.50%, 11/20/51

      2,829       394,396  

Series 2021-209, Class TJ, 3.50%, 11/20/51(e)

      2,536       364,654  

Series 2021-214, Class AI, 4.00%, 12/20/51(e)

      5,589       898,663  

Series 2021-215, Class LI, 3.00%, 12/20/51

      4,387       557,048  

Series 2021-221, Class AI, 3.50%, 12/20/51

      5,254       786,282  

Series 2021-221, Class CI, 3.00%, 12/20/51

      2,594       325,564  

Series 2021-67, Class QI, 3.00%, 04/20/51(e)

      4,125       605,880  

Series 2021-76, Class JI, 3.00%, 08/20/50(e)

      4,238       622,500  

Series 2021-78, Class IC, 4.00%, 05/20/51

      3,895       583,101  

Series 2021-96, Class MI, 3.00%, 06/20/51(e)

      7,397       1,086,506  
     

 

 

 
        62,484,803  

Interest Only Commercial Mortgage-Backed Securities — 0.0%

 

Freddie Mac

     

Series K121, Class X1, 1.02%, 10/25/30(c)

      13,747       806,536  

Series KL06, Class XFX, 1.36%, 12/25/29(c)

      6,710       425,637  

Series KW09, Class X1, 0.81%, 05/25/29(c)

      36,631       1,350,797  

Ginnie Mae

     

Series 2013-30, Class IO, 0.52%, 09/16/53(c)

      2,858       40,860  

Series 2013-78, Class IO, 0.28%, 10/16/54(c)

      4,765       58,509  

Series 2015-173, Class IO, 0.60%, 09/16/55(c)

      3,359       75,468  

Series 2015-22, Class IO, 0.52%, 03/16/55(c)

      3,818       64,245  

Series 2015-37, Class IO, 0.62%, 10/16/56(c)

      527       13,702  

Series 2015-48, Class IO, 0.91%, 02/16/50(c)

      465       10,783  
 

 

 

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

  67


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  

Interest Only Commercial Mortgage-Backed Securities (continued)

 

Ginnie Mae

     

Series 2016-36, Class IO, 0.69%, 08/16/57(c)

    USD       743     $ 20,613  

Series 2016-96, Class IO, 0.77%, 12/16/57(c)

      3,278       113,608  
     

 

 

 
        2,980,758  

Mortgage-Backed Securities — 61.2%

 

Fannie Mae Mortgage-Backed Securities

     

1.50%, 12/01/35 - 03/01/51

      262,074       215,594,321  

2.00%, 10/01/31 - 03/01/52

      715,931       602,868,381  

2.50%, 09/01/27 - 06/01/52

      961,302       845,418,001  

3.00%, 04/01/28 - 05/01/52

      196,763       181,316,563  

3.50%, 08/01/28 - 04/01/52(r)

      305,746       287,741,550  

4.00%, 08/01/31 - 05/01/52

      237,858       230,693,868  

4.50%, 02/01/25 - 07/01/52

      157,506       157,529,322  

5.00%, 11/01/32 - 01/01/53

      35,252       35,557,257  

5.50%, 12/01/32 - 01/01/53

      24,424       24,925,555  

6.00%, 02/01/34 - 01/01/53

      18,577       19,247,359  

6.50%, 05/01/40

      1,211       1,274,069  

Freddie Mac Mortgage-Backed Securities

     

1.50%, 04/01/36 - 10/01/50

      45,248       38,118,359  

2.00%, 09/01/35 - 02/01/52

      437,291       368,480,158  

2.50%, 04/01/27 - 04/01/52(r)

      604,949       528,770,242  

3.00%, 09/01/27 - 08/01/52

      355,333       323,473,029  

3.50%, 02/01/31 - 08/01/51

      90,369       86,390,053  

4.00%, 08/01/40 - 06/01/52

      128,435       125,706,366  

4.50%, 02/01/39 - 08/01/52

      90,938       90,551,509  

5.00%, 07/01/35 - 02/01/53

      35,217       35,326,642  

5.50%, 02/01/35 - 03/01/53

      20,092       20,400,408  

6.00%, 11/01/52 - 03/01/53

      148,132       153,596,396  

Ginnie Mae Mortgage-Backed Securities

     

2.00%, 08/20/50 - 04/15/53(s)

      273,342       232,771,467  

2.50%, 04/20/51 - 04/15/53(s)

      396,072       348,701,854  

3.00%, 12/20/44 - 04/15/53(s)

      205,903       188,131,934  

3.50%, 01/15/42 - 04/15/53(s)

      151,678       142,786,349  

4.00%, 04/20/39 - 04/15/53(s)

      103,795       100,314,001  

4.50%, 12/20/39 - 04/15/53(s)

      73,696       72,769,405  

5.00%, 04/15/33 - 04/15/53(s)

      44,750       44,889,054  

5.50%, 04/15/53(s)

      23,343       23,606,976  

6.00%, 04/15/53(s)

      17,914       18,247,788  

Uniform Mortgage-Backed Securities 1.50%,

 

 

04/01/38 - 04/01/53(s)

      11,669       10,222,898  

2.00%, 04/01/38 - 04/01/53(s)

      377,132       319,380,075  

2.50%, 04/01/38 - 04/01/53(s)

      1,017,848       879,085,812  

3.00%, 04/01/38 - 04/01/53(s)

      1,436,449       1,289,544,679  

3.50%, 04/01/53(s)

      562,142       522,331,127  

4.00%, 04/01/38(s)

      3,406       3,351,983  

4.50%, 04/01/38 - 04/01/53(s)

      363,431       356,187,983  

5.00%, 04/01/53(s)

      967,885       965,314,305  

5.50%, 04/01/53(s)

      478,924       483,760,007  

6.00%, 04/01/53(s)

      630,603       643,634,227  
     

 

 

 
        11,018,011,332  
     

 

 

 

Total U.S. Government Sponsored Agency Securities — 61.6%
(Cost: $11,409,942,329)

 

    11,088,230,967  
     

 

 

 

U.S. Treasury Obligations

     

U.S. Treasury Bonds

     

4.50%, 08/15/39

      90,240       100,208,811  

4.63%, 02/15/40

      10,812       12,167,723  

1.13%, 05/15/40 - 08/15/40(t)

      18,140       12,030,504  

4.38%, 05/15/40

      45,121       49,231,459  

3.88%, 08/15/40

      10,812       11,087,368  

1.38%, 11/15/40

      9,070       6,247,317  
Security         

Par

(000)

    Value  

U.S. Treasury Obligations (continued)

 

U.S. Treasury Bonds

     

4.25%, 11/15/40

    USD       10,812     $ 11,606,429  

3.13%, 08/15/44

      45,120       40,255,500  

2.50%, 02/15/45(t)

      102,915       82,118,934  

3.00%, 05/15/47 - 08/15/52(t)

      194,300       169,667,352  

2.75%, 11/15/47(t)

      103,431       86,049,743  

3.38%, 11/15/48(r)(t)

      163,361       152,806,441  

1.63%, 11/15/50

      44,842       28,756,684  

2.38%, 05/15/51

      135,390       103,965,018  

U.S. Treasury Inflation Indexed Bonds, 1.50%, 02/15/53

      372       377,270  

U.S. Treasury Inflation Indexed Notes, 1.63%, 10/15/27

      363,530       370,601,326  

U.S. Treasury Notes

     

1.50%, 10/31/24 - 02/15/30(h)

      85,515       79,354,063  

1.75%, 12/31/24

      253,956       243,639,038  

0.50%, 03/31/25 - 08/31/27

      315,641       283,897,943  

2.63%, 04/15/25 - 07/31/29

      190,242       182,275,213  

0.38%, 04/30/25 - 09/30/27(h)

      266,411       243,633,852  

2.75%, 05/15/25 - 08/15/32(t)

      258,464       246,162,082  

0.75%, 05/31/26

      40,427       36,772,778  

1.25%, 11/30/26 - 08/15/31

      348,696       302,859,778  

0.63%, 03/31/27

      60,677       53,793,953  

2.38%, 05/15/27 - 03/31/29

      53,663       50,424,946  

2.25%, 08/15/27

      20,160       19,017,338  

3.13%, 11/15/28

      6,518       6,354,032  

1.63%, 08/15/29 - 05/15/31(t)

      127,761       111,758,457  

3.88%, 09/30/29 - 12/31/29

      235,642       239,744,983  

4.00%, 10/31/29(t)

      206,267       211,238,357  

2.88%, 05/15/32

      5,720       5,443,289  
     

 

 

 

Total U.S. Treasury Obligations — 19.7%
(Cost: $3,744,756,191)

 

    3,553,547,981  
     

 

 

 
            Shares         

Warrants

     

Automobile 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)(f)

      16,026       3,205  

Embark Technology, Inc. (Issued/Exercisable 12/28/20, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50)(f)

      11,555       218  
     

 

 

 
        3,423  

Automobiles — 0.0%

     

EVgo, Inc. (Issued/Exercisable 11/10/20, 1 Share for 1 Warrant, Expires 09/15/25, Strike Price USD 11.50)(f)

      75,790       81,853  

Lightning eMotors, Inc. (Issued/Exercisable 03/03/22, 1 Share for 1 Warrant, Expires 12/15/25, Strike Price USD 11.50)(f)

      216,261       13,311  
     

 

 

 
        95,164  

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)(f)

      57,179       9,149  
 

 

 

68  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security       
Shares
    Value  

Capital Markets (continued)

   

Crown PropTech Acquisitions (Issued/Exercisable 01/25/21, 1 Share for 1 Warrant, Expires 02/01/26, Strike Price USD 11.50)(e)

      214,560     $ 17,165  

Crown PropTech Acquisitions (Issued/Exercisable 01/25/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50)(f)

    128,396       12,839  
   

 

 

 
      39,153  

Consumer Staples Distribution & Retail — 0.0%

 

Lavoro Ltd. (Issued/Exercisable 12/27/22, 1 Share for 1 Warrant, Expires 12/27/27, Strike Price USD 11.50)(f)

    79,561       50,410  
   

 

 

 

Electrical Equipment — 0.0%

   

FreeWire Technologies, Inc. (Issued/Exercisable 06/05/22, 1 Share for 1 Warrant, Expires 04/26/27, Strike Price USD 3.35)(e)(f)

    853,096       418,017  

Volta, Inc. (Issued/Exercisable 10/22/20, 1 Share for 1 Warrant, Expires 06/14/27, Strike Price USD 11.50)(f)(g)

    78,070       16,785  
   

 

 

 
              434,802  

Financial Services — 0.0%

   

Pivotal Investment Corp. III (Issued/Exercisable 01/19/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50)(f)

    31,052       1,553  

Proof Acquisition Corp. I (Issued/Exercisable 05/02/22, 1 Share for 1 Warrant, Expires 12/23/28, Strike Price USD 11.50)(e)(f)

    109,868       6,592  
   

 

 

 
      8,145  

Hotels, Restaurants & Leisure — 0.0%

   

Sonder Holdings, Inc. (Issued/Exercisable 02/19/21, 1 Share for 1 Warrant, Expires 11/19/26, Strike Price USD 12.50)(e)(f)

    126,555       1  
   

 

 

 

IT Services — 0.0%

   

KINS Technology Group, Inc. (Issued/Exercisable 01/11/22, 1 Share for 1 Warrant, Expires 12/31/25, Strike Price USD 11.50)(e)(f)

    469,648       23,482  
   

 

 

 

Machinery — 0.0%

   

Rotor Acquisition Corp. (Issued/Exercisable 01/11/22, 1 Share for 1 Warrant, Expires 06/15/27, Strike Price USD 11.50)(f)

    72,998       5,840  

Sarcos Technology & Robotics Corp. (Issued/Exercisable 12/21/20, 1 Share for 1 Warrant, Expires 06/15/27, Strike Price USD 11.50)(f)

    267,474       29,128  
   

 

 

 
      34,968  

Oil, Gas & Consumable Fuels — 0.0%

   

California Resources Corp. (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/28/24, Strike Price USD 36.00)(f)

    2,236       19,006  
   

 

 

 

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)(f)

    111,610       4,464  
   

 

 

 

Software — 0.0%

   

CXApp, Inc. (Issued/Exercisable 02/02/21, 1 Share for 1 Warrant, Expires 12/15/25, Strike Price USD 11.50)(f)

    399,242       17,646  
Security              
Shares
    Value  

Software (continued)

     

Latch, Inc. (Issued/Exercisable 12/29/20, 1 Share for 1 Warrant, Expires 12/31/26, Strike Price USD 11.50)(f)

      49,166     $ 2,925  

Pear Therapeutics, Inc. (Issued/Exercisable 03/23/21, 1 Share for 1 Warrant, Expires 02/04/26, Strike Price USD 11.50)(f)

      63,832       1,213  

Versa Networks, Inc. (Issued/Exercisable 10/05/22, 1 Share for 1 Warrant, Expires 10/07/32, Strike Price USD 0.01) (Acquired 10/14/22, cost $0)(e)(f)(i)

      507,586       1,355,255  
     

 

 

 
        1,377,039  
     

 

 

 

Total Warrants — 0.0%
(Cost: $6,565,134)

 

    2,090,057  
     

 

 

 

Total Long-Term Investments — 129.6%
(Cost: $24,505,354,065)

 

    23,333,028,087  
     

 

 

 
           

Par

(000)

        

Short-Term Securities

     

Commercial Paper — 0.1%

     

Citibank N.A., 4.06%, 08/01/23

    USD       11,158       11,101,780  
     

 

 

 
            Shares         

Money Market Funds — 3.4%

     

BlackRock Liquidity Funds, T-Fund, Institutional Class, 4.70%(p)(u)

      606,116,138       606,116,138  

SL Liquidity Series, LLC, Money Market Series, 5.01%(p)(u)(v)

      11,129,888       11,129,888  
     

 

 

 
        617,246,026  
     

 

 

 

Total Short-Term Securities — 3.5%
(Cost: $628,402,782)

 

    628,347,806  
     

 

 

 

Options Purchased — 0.3%
(Cost: $71,496,113)

 

    65,228,757  
     

 

 

 

Total Investments Before Options Written and TBA Sale
Commitments — 133.4%
(Cost: $25,205,252,960)

 

    24,026,604,650  
     

 

 

 
           

Par

(000)

        

TBA Sale Commitments(s)

 

 

Mortgage-Backed Securities — (31.9)%

 

 

Ginnie Mae Mortgage-Backed Securities

     

2.00%, 04/15/53

    USD       (3,255     (2,765,008

2.50%, 04/15/53

      (118,301     (104,105,233

3.00%, 04/15/53

      (1,983     (1,806,222

3.50%, 04/15/53

      (1,896     (1,777,426

4.00%, 04/15/53

      (913     (878,980

Uniform Mortgage-Backed Securities

     

1.50%, 04/01/38 - 04/01/53

      (11,855     (10,301,596

2.00%, 04/01/38 - 05/01/53

      (370,924     (309,687,632

2.50%, 04/01/38 - 04/01/53

      (1,381,705     (1,191,297,445

3.00%, 04/01/53

      (864,502     (775,682,940

3.50%, 04/01/38 - 04/01/53

      (361,136     (335,606,116

4.00%, 04/01/38 - 04/01/53

      (105,555     (100,955,300

4.50%, 04/01/53

      (991,655     (971,619,806

5.00%, 04/01/53

      (873,505     (871,184,807
 

 

 

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

  69


Schedule of Investments (unaudited) (continued)

March 31, 2023

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Mortgage-Backed Securities (continued)

 

Uniform Mortgage-Backed Securities

     

5.50%, 04/01/53

    USD       (455,414   $ (460,012,611

6.00%, 04/01/53

      (594,666     (606,954,622
     

 

 

 

Total TBA Sale Commitments — (31.9)%
(Proceeds: $(5,704,419,023))

 

    (5,744,635,744
     

 

 

 

Options Written — (0.4)%

 

 

(Premiums Received: $(88,045,224))

 

    (76,849,851
 

 

 

 

Total Investments Net of Options Written and TBA Sale Commitments — 101.1%
(Cost: $19,412,788,713)

 

    18,205,119,055  

Liabilities in Excess of Other Assets — (1.1)%

 

    (205,127,523
     

 

 

 

Net Assets — 100.0%

 

  $ 17,999,991,532  
     

 

 

 

 

(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)

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

    

(e)

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(f)

Non-income producing security.

(g)

All or a portion of this security is on loan.

(h)

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(i)

Restricted security as to resale, excluding 144A securities. The Master Portfolio held restricted securities with a current value of $23,110,954, representing 0.1% of its net assets as of period end, and an original cost of $21,283,494.

(j)

Convertible security.

(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)

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.

(o) 

Fixed rate.

(p)

Affiliate of the Master Portfolio.

(q) 

Zero-coupon bond.

(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

Investments in issuers considered to be affiliate(s) of the Master Portfolio during the six months ended March 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer  

Value at

09/30/22

   

Purchases

at Cost

   

Proceeds

from Sale

   

Net

Realized

Gain (Loss)

    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
03/31/23
   

Par/Shares

Held at

03/31/23

    Income    

Capital

Gain

Distributions

from Underlying

Funds

 

BlackRock Capital Finance LP, Series 1997-R2, Class AP

  $ 2,571     $     $     $     $ (2,571   $       2,839     $     $  

BlackRock Liquidity Funds, T-Fund, Institutional Class

    436,896,201       169,219,937 (a)                        606,116,138       606,116,138       19,663,806        

iShares iBoxx $ Investment Grade Corporate Bond ETF

          30,687,236       (4,984,714     144,807       349,461       26,196,790       239,000              

iShares JP Morgan USD Emerging Markets Bond ETF(b)

          16,514,978       (16,485,864     (29,114                              

iShares TIPS Bond ETF(b)

          7,760,214       (7,801,262     41,048                                

SL Liquidity Series, LLC, Money Market Series

    4,095,774       7,035,166 (a)             (1,270     218       11,129,888       11,129,888       187,546 (c)        
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ 155,471     $ 347,108     $  643,442,816       $ 19,851,352     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

(a)

Represents net shares purchased (sold).

(b)

As of period end, the entity is no longer held by the Master Portfolio.

(c)

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 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.

 

 

70  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

 

  

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

                 

Euro-Bobl

     28          06/08/23        $ 3,580        $ (33,911

Euro-Bund

     710          06/08/23          104,596          (532,890

Euro-Schatz

     825          06/08/23          94,567          (691,003

U.S. Treasury Bonds (30 Year)

     4,740          06/21/23          621,681          14,767,272  

U.S. Ultra Treasury Bonds

     2,067          06/21/23          291,705          6,716,121  

U.S. Treasury Notes (5 Year)

     15,556          06/30/23          1,703,503          20,287,538  

3-month EURIBOR

     225          06/17/24          59,036          (108,479

3-month SONIA Index

     105          09/17/24          31,069          (54,080
                 

 

 

 
                    40,350,568  
                 

 

 

 

Short Contracts

                 

Euro-BTP Italian Government Bond

     971          06/08/23          121,469          (3,193,191

Euro-Buxl

     111          06/08/23          16,957          (360,937

Japanese Government Bonds (10 Year)

     625          06/13/23          697,232          (12,440,374

E-Mini Russell 2000 Index

     195          06/16/23          17,682          (294,488

E-Mini S&P 500 Index

     724          06/16/23          149,787          (173,831

Euro STOXX 50 Index

     470          06/16/23          21,719          (1,201,281

Euro STOXX Banks Index

     2,096          06/16/23          11,258          (106,379

NASDAQ 100 E-Mini Index

     4          06/16/23          1,064          (26,830

3-month EURIBOR

     559          06/19/23          146,345          76,264  

U.S. Treasury Notes (10 Year)

     2,524          06/21/23          290,063          (633,610

U.S. Ultra Treasury Notes (10 Year)

     1,666          06/21/23          201,820          (268,666

U.S. Treasury Notes (2 Year)

     87          06/30/23          17,961          10,541  

3-month SOFR

     38          12/19/23          9,063          5,189  

3-month SOFR

     684          03/19/24          163,647          193,233  
                 

 

 

 
                    (18,414,360
                 

 

 

 
                  $ 21,936,208  
                 

 

 

 

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold        Counterparty     

Settlement

Date

      

Unrealized

Appreciation

(Depreciation)

 
BRL     4,662,719        USD     893,000        Deutsche Bank AG        04/04/23        $ 26,326  
BRL     7,037,965        USD     1,343,000        Goldman Sachs International        04/04/23          44,641  
BRL     4,710,933        USD     916,000        Goldman Sachs International        04/04/23          12,832  
BRL     4,811,392        USD     908,000        JPMorgan Chase Bank N.A.        04/04/23          40,639  
BRL     4,766,092        USD     908,000        Morgan Stanley & Co. International PLC        04/04/23          31,707  
BRL     4,766,092        USD     908,000        Morgan Stanley & Co. International PLC        04/04/23          31,707  
CAD     1,429,248        USD     1,048,000        HSBC Bank PLC        04/18/23          9,806  
CHF     825,829        USD     893,000        BNP Paribas SA        04/18/23          11,344  
CHF     825,829        USD     893,000        BNP Paribas SA        04/18/23          11,344  
CLP     430,839,000        USD     540,000        Citibank N.A.        04/18/23          970  
CLP     430,839,000        USD     540,000        Citibank N.A.        04/18/23          970  
COP     4,334,792,000        USD     908,000        Goldman Sachs International        04/18/23          19,347  
COP     4,334,792,000        USD     908,000        Goldman Sachs International        04/18/23          19,347  
CZK     90,913,817        USD     4,117,000        UBS AG        04/18/23          80,194  
CZK     90,913,817        USD     4,117,000        UBS AG        04/18/23          80,194  
EUR     1,466,000        NOK     16,556,765        UBS AG        04/18/23          8,769  
EUR     1,466,000        NOK     16,556,765        UBS AG        04/18/23          8,769  
EUR     845,000        USD     893,782        BNP Paribas SA        04/18/23          23,545  
EUR     845,000        USD     893,782        BNP Paribas SA        04/18/23          23,545  
EUR     633,000        USD     669,369        JPMorgan Chase Bank N.A.        04/18/23          17,811  
EUR     633,000        USD     669,369        JPMorgan Chase Bank N.A.        04/18/23          17,811  
EUR     779,000        USD     832,914        Morgan Stanley & Co. International PLC        04/18/23          12,763  
EUR     779,000        USD     832,914        Morgan Stanley & Co. International PLC        04/18/23          12,763  

 

 

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

  71


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

 

  

Master Total Return Portfolio

    

 

Forward Foreign Currency Exchange Contracts (continued)

                                     
Currency Purchased        Currency Sold        Counterparty     

Settlement

Date

      

Unrealized

Appreciation

(Depreciation)

 
EUR     414,000        USD     438,894        Morgan Stanley & Co. International PLC        04/18/23        $ 10,542  
EUR     414,000        USD     438,894        Morgan Stanley & Co. International PLC        04/18/23          10,542  
GBP     2,238,000        USD     2,739,550        Bank of America N.A.        04/18/23          22,282  
GBP     192,000        USD     230,317        UBS AG        04/18/23          6,623  
GBP     192,000        USD     230,317        UBS AG        04/18/23          6,623  
IDR     20,520,255,000        USD     1,334,000        Barclays Bank PLC        04/18/23          33,848  
IDR     20,520,255,000        USD     1,334,000        Barclays Bank PLC        04/18/23          33,848  
JPY     201,865,079        EUR     1,395,000        Deutsche Bank AG        04/18/23          10,428  
JPY     120,615,678        USD     908,000        JPMorgan Chase Bank N.A.        04/18/23          3,097  
JPY     120,615,678        USD     908,000        JPMorgan Chase Bank N.A.        04/18/23          3,097  
JPY     58,626,086        USD     433,000        Morgan Stanley & Co. International PLC        04/18/23          9,845  
JPY     428,660,949        USD     3,166,000        Morgan Stanley & Co. International PLC        04/18/23          71,983  
KRW     890,253,000        USD     682,500        Deutsche Bank AG        04/18/23          2,126  
KRW     890,253,000        USD     682,500        Deutsche Bank AG        04/18/23          2,126  
KRW     890,799,000        USD     682,500        Goldman Sachs International        04/18/23          2,546  
KRW     890,799,000        USD     682,500        Goldman Sachs International        04/18/23          2,546  
MXN     17,192,568        USD     912,000        Citibank N.A.        04/18/23          38,736  
MXN     17,192,568        USD     912,000        Citibank N.A.        04/18/23          38,736  
MXN     7,167,115        USD     395,000        Deutsche Bank AG        04/18/23          1,336  
MXN     7,167,115        USD     395,000        Deutsche Bank AG        04/18/23          1,336  
MXN     69,669,231        USD     3,634,000        Goldman Sachs International        04/18/23          218,658  
MXN     69,702,104        USD     3,664,000        Goldman Sachs International        04/18/23          190,476  
MXN     25,890,867        USD     1,363,000        HSBC Bank PLC        04/18/23          68,746  
MXN     25,890,867        USD     1,363,000        HSBC Bank PLC        04/18/23          68,746  
NOK     9,697,273        USD     922,000        Citibank N.A.        04/18/23          4,992  
NOK     9,697,273        USD     922,000        Citibank N.A.        04/18/23          4,992  
NOK     19,606,679        USD     1,817,000        Deutsche Bank AG        04/18/23          57,262  
NOK     7,114,378        USD     668,000        Goldman Sachs International        04/18/23          12,085  
NOK     7,114,378        USD     668,000        Goldman Sachs International        04/18/23          12,085  
THB     59,348,712        USD     1,721,500        Bank of New York Mellon        04/18/23          17,605  
THB     59,348,712        USD     1,721,500        Bank of New York Mellon        04/18/23          17,605  
USD     1,352,350        EUR     1,244,000        JPMorgan Chase Bank N.A.        04/18/23          1,871  
USD     1,352,350        EUR     1,244,000        JPMorgan Chase Bank N.A.        04/18/23          1,871  
USD     916,000        JPY     120,104,088        HSBC Bank PLC        04/18/23          8,768  
USD     916,000        JPY     120,104,088        HSBC Bank PLC        04/18/23          8,768  
USD     1,367,000        JPY     180,047,570        Morgan Stanley & Co. International PLC        04/18/23          6,972  
USD     1,367,000        JPY     180,047,570        Morgan Stanley & Co. International PLC        04/18/23          6,972  
USD     962,000        THB     32,756,100        Bank of New York Mellon        04/18/23          2,142  
USD     962,000        THB     32,756,100        Bank of New York Mellon        04/18/23          2,142  
ZAR     16,358,033        EUR     830,000        Morgan Stanley & Co. International PLC        04/18/23          16,218  
ZAR     16,358,033        EUR     830,000        Morgan Stanley & Co. International PLC        04/18/23          16,218  
ZAR     25,136,232        USD     1,367,000        Barclays Bank PLC        04/18/23          42,490  
ZAR     25,136,232        USD     1,367,000        Barclays Bank PLC        04/18/23          42,490  
ZAR     16,294,077        USD     894,000        Goldman Sachs International        04/18/23          19,674  
ZAR     16,294,077        USD     894,000        Goldman Sachs International        04/18/23          19,674  
BRL     4,690,374        USD     908,000        Goldman Sachs International        05/03/23          12,179  
BRL     4,690,374        USD     908,000        Goldman Sachs International        05/03/23          12,179  
COP     7,872,206,566        USD     1,576,728        Barclays Bank PLC        05/10/23          99,791  
EUR     2,146,740        USD     2,269,434        Standard Chartered Bank        05/10/23          63,988  
EUR     662,519        USD     710,191        UBS AG        05/10/23          9,941  
MXN     64,044,736        USD     3,498,874        Bank of New York Mellon        05/10/23          27,488  
MXN     36,310,559        USD     1,929,104        JPMorgan Chase Bank N.A.        05/10/23          70,189  
MXN     134,224,304        USD     7,185,148        JPMorgan Chase Bank N.A.        05/10/23          205,367  
MXN     91,756,341        USD     4,996,623        JPMorgan Chase Bank N.A.        05/10/23          55,566  
ZAR     21,426,801        USD     1,170,108        BNP Paribas SA        05/10/23          29,041  
ZAR     51,097,864        USD     2,795,924        Morgan Stanley & Co. International PLC        05/10/23          63,762  
USD     1,285,000        TWD     38,348,255        Bank of America N.A.        05/16/23          19,251  
USD     1,285,000        TWD     38,348,255        Bank of America N.A.        05/16/23          19,251  
JPY     737,805,101        USD     5,555,000        TD Securities, Inc.        06/14/23          63,728  
JPY     1,614,693,960        USD     11,972,500        Royal Bank of Canada            06/15/23          325,981  

 

 

72  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

 

  

Master Total Return Portfolio

    

 

Forward Foreign Currency Exchange Contracts (continued)

                                     
Currency Purchased        Currency Sold        Counterparty     

Settlement

Date

      

Unrealized

Appreciation

(Depreciation)

 
MXN     380,569,149        USD     19,687,853        Bank of America N.A.        06/15/23        $ 1,118,622  
MXN     43,080,000        USD     2,233,423        Deutsche Bank AG        06/15/23          121,847  
USD     11,972,500        JPY     1,568,239,463        NatWest Markets PLC        06/15/23          27,845  
EUR     7,050,000        USD     7,530,739        Barclays Bank PLC        06/21/23          150,689  
EUR     6,612,210        USD     7,157,542        Barclays Bank PLC        06/21/23          46,886  
EUR     5,620,000        USD     6,013,608        Citibank N.A.        06/21/23          109,743  
EUR     4,680,000        USD     5,015,088        Citibank N.A.        06/21/23          84,073  
EUR     5,020,000        USD     5,375,014        Deutsche Bank AG        06/21/23          94,598  
EUR     9,510,000        USD     10,194,435        JPMorgan Chase Bank N.A.        06/21/23          167,321  
EUR     1,077,790        USD     1,167,087        JPMorgan Chase Bank N.A.        06/21/23          7,234  
EUR     10,062,000        USD     10,848,436        Standard Chartered Bank        06/21/23          114,760  
GBP     1,880,000        USD     2,289,537        Bank of America N.A.        06/21/23          33,378  
GBP     6,260,000        USD     7,653,977        BNP Paribas SA        06/21/23          80,836  
GBP     10,630,000        USD     12,955,972        HSBC Bank PLC        06/21/23          178,383  
GBP     4,950,000        USD     6,087,758        JPMorgan Chase Bank N.A.        06/21/23          28,428  
GBP     3,130,000        USD     3,815,436        Morgan Stanley & Co. International PLC        06/21/23          51,971  
GBP     5,319,000        USD     6,523,674        NatWest Markets PLC        06/21/23          48,446  
GBP     3,130,000        USD     3,777,566        TD Securities, Inc.        06/21/23          89,841  
IDR     129,680,129,696        USD     8,400,060        HSBC Bank PLC        06/21/23          230,265  
JPY     810,000,000        USD     6,036,055        Deutsche Bank AG        06/21/23          138,926  
USD     92,126        EUR     84,368        BNP Paribas SA        06/21/23          202  
USD     1,913,740        EUR     1,755,000        Royal Bank of Canada        06/21/23          1,554  
USD     6,133,834        JPY     793,620,000        Barclays Bank PLC        06/21/23          83,725  
USD     6,130,061        JPY     793,610,000        Barclays Bank PLC        06/21/23          80,028  
USD     3,453,163        JPY     451,092,000        Deutsche Bank AG        06/21/23          14,293  
USD     7,748,038        JPY     1,001,000,000        Goldman Sachs International        06/21/23          116,981  
USD     9,235,505        JPY     1,188,000,000        Goldman Sachs International        06/21/23          178,866  
USD     6,044,956        JPY     781,770,000        Goldman Sachs International        06/21/23          85,185  
USD     786,394        IDR     11,784,113,166        Bank of America N.A.        06/30/23          2,276  
                       

 

 

 
                        $ 6,293,816  
                       

 

 

 
USD     916,000        BRL     4,891,513        BNP Paribas SA        04/04/23          (48,436
USD     1,342,000        BRL     6,905,127        Goldman Sachs International        04/04/23          (19,450
USD     908,000        BRL     4,780,974        Goldman Sachs International        04/04/23          (34,642
USD     908,000        BRL     4,669,789        Goldman Sachs International        04/04/23          (12,720
USD     908,000        BRL     4,669,790        Goldman Sachs International        04/04/23          (12,720
USD     894,000        BRL     4,690,078        UBS AG        04/04/23          (30,720
AUD     2,065,000        CAD     1,880,032        Morgan Stanley & Co. International PLC        04/18/23          (10,201
CAD     1,779,892        EUR     1,221,000        Bank of America N.A.        04/18/23          (8,188
CAD     1,779,929        EUR     1,221,000        Bank of America N.A.        04/18/23          (8,161
CHF     828,298        USD     908,000        BNP Paribas SA        04/18/23          (952
CHF     828,298        USD     908,000        BNP Paribas SA        04/18/23          (952
COP     4,185,124,200        GBP     738,000        HSBC Bank PLC        04/18/23          (15,410
COP     4,185,124,200        GBP     738,000        HSBC Bank PLC        04/18/23          (15,410
EUR     1,355,000        PLN     6,386,086        Goldman Sachs International        04/18/23          (6,835
EUR     1,355,000        PLN     6,386,189        Goldman Sachs International        04/18/23          (6,859
JPY     179,754,428        USD     1,361,000        JPMorgan Chase Bank N.A.        04/18/23          (3,186
JPY     179,754,428        USD     1,361,000        JPMorgan Chase Bank N.A.        04/18/23          (3,186
KRW     2,898,839,700        USD     2,235,000        Citibank N.A.        04/18/23          (5,723
KRW     2,898,839,700        USD     2,235,000        Citibank N.A.        04/18/23          (5,723
MXN     23,709,041        GBP     1,089,000        Deutsche Bank AG        04/18/23          (32,801
MXN     23,709,041        GBP     1,089,000        Deutsche Bank AG        04/18/23          (32,801
NOK     9,288,570        EUR     830,000        BNP Paribas SA        04/18/23          (13,120
NOK     9,288,570        EUR     830,000        BNP Paribas SA        04/18/23          (13,120
USD     892,105        AUD     1,338,000        Goldman Sachs International        04/18/23          (2,856
USD     892,105        AUD     1,338,000        Goldman Sachs International        04/18/23          (2,856
USD     468,000        CAD     638,252        HSBC Bank PLC        04/18/23          (4,379
USD     1,336,000        CAD     1,842,600        UBS AG        04/18/23          (27,733
USD     1,336,000        CAD     1,842,600        UBS AG        04/18/23          (27,733
USD     915,000        CLP     747,189,000        Bank of America N.A.        04/18/23          (23,185
USD     2,682,000        CLP     2,139,833,700        Citibank N.A.        04/18/23          (4,816

 

 

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

  73


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

 

  

Master Total Return Portfolio

    

 

Forward Foreign Currency Exchange Contracts (continued)

                                     
Currency Purchased        Currency Sold        Counterparty     

Settlement

Date

      

Unrealized

Appreciation

(Depreciation)

 
USD     908,000        CLP     737,931,600        Goldman Sachs International        04/18/23        $ (18,561
USD     908,000        CLP     737,931,600        Goldman Sachs International        04/18/23          (18,561
USD     892,000        COP     4,249,488,000        Goldman Sachs International        04/18/23          (17,097
USD     892,000        COP     4,249,488,000        Goldman Sachs International        04/18/23          (17,097
USD     1,845,475        EUR     1,719,000        BNP Paribas SA        04/18/23          (20,660
USD     927,338        EUR     860,000        JPMorgan Chase Bank N.A.        04/18/23          (6,273
USD     927,338        EUR     860,000        JPMorgan Chase Bank N.A.        04/18/23          (6,273
USD     915,335        EUR     864,000        Morgan Stanley & Co. International PLC        04/18/23          (22,618
USD     915,335        EUR     864,000        Morgan Stanley & Co. International PLC        04/18/23          (22,618
USD     890,942        GBP     749,000        BNP Paribas SA        04/18/23          (33,371
USD     894,117        GBP     740,000        JPMorgan Chase Bank N.A.        04/18/23          (19,089
USD     894,117        GBP     740,000        JPMorgan Chase Bank N.A.        04/18/23          (19,089
USD     1,786,158        GBP     1,489,000        UBS AG        04/18/23          (51,361
USD     477,000        HUF     170,949,311        Morgan Stanley & Co. International PLC        04/18/23          (8,037
USD     477,000        HUF     170,949,311        Morgan Stanley & Co. International PLC        04/18/23          (8,037
USD     1,334,000        IDR     20,263,460,000        Standard Chartered Bank        04/18/23          (16,731
USD     1,334,000        IDR     20,263,460,000        Standard Chartered Bank        04/18/23          (16,731
USD     893,000        KRW     1,172,598,300        Citibank N.A.        04/18/23          (8,756
USD     893,000        KRW     1,172,598,300        Citibank N.A.        04/18/23          (8,756
USD     1,339,000        KRW     1,762,458,750        Morgan Stanley & Co. International PLC        04/18/23          (16,373
USD     1,339,000        KRW     1,762,458,750        Morgan Stanley & Co. International PLC        04/18/23          (16,373
USD     4,975,029        MXN     95,374,995        Goldman Sachs International        04/18/23          (299,139
USD     3,634,000        MXN     68,757,097        Goldman Sachs International        04/18/23          (168,218
USD     3,664,000        MXN     69,407,152        Goldman Sachs International        04/18/23          (174,165
USD     890,000        MXN     16,367,545        HSBC Bank PLC        04/18/23          (15,113
USD     890,000        MXN     16,367,545        HSBC Bank PLC        04/18/23          (15,113
USD     1,361,000        MXN     24,774,283        HSBC Bank PLC        04/18/23          (9,000
USD     1,361,000        MXN     24,774,283        HSBC Bank PLC        04/18/23          (9,000
USD     1,817,000        NOK     19,492,071        Morgan Stanley & Co. International PLC        04/18/23          (46,306
USD     1,295,527        NZD     2,092,000        Morgan Stanley & Co. International PLC        04/18/23          (12,633
USD     1,295,527        NZD     2,092,000        Morgan Stanley & Co. International PLC        04/18/23          (12,633
USD     1,383,000        ZAR     25,494,279        State Street Bank and Trust Co.        04/18/23          (46,567
USD     1,505,000        ZAR     27,743,232        State Street Bank and Trust Co.        04/18/23          (50,675
ZAR     16,155,772        USD     908,000        Bank of America N.A.        04/18/23          (2,081
ZAR     16,155,772        USD     908,000        Bank of America N.A.        04/18/23          (2,081
USD     916,000        BRL     4,731,699        Goldman Sachs International        05/03/23          (12,286
USD     4,143,178        COP     20,144,129,695        Bank of America N.A.        05/10/23          (146,853
USD     2,537,587        COP     12,183,388,420        Bank of America N.A.        05/10/23          (57,070
USD     1,920,009        EUR     1,783,059        Citibank N.A.        05/10/23          (18,105
USD     4,491,948        EUR     4,166,686        JPMorgan Chase Bank N.A.        05/10/23          (37,076
USD     7,194,427        MXN     136,620,010        Barclays Bank PLC        05/10/23          (327,997
USD     25,800,365        MXN     485,446,762        JPMorgan Chase Bank N.A.        05/10/23          (928,783
USD     1,321,538        MXN     24,865,393        JPMorgan Chase Bank N.A.        05/10/23          (47,574
USD     1,368,245        MXN     25,778,894        Morgan Stanley & Co. International PLC        05/10/23          (51,165
USD     5,367,732        ZAR     96,912,720        State Street Bank and Trust Co.        05/10/23          (55,978
USD     1,992,517        CZK     45,511,527        HSBC Bank PLC        06/07/23          (103,264
USD     829,976        CZK     18,441,312        Morgan Stanley & Co. International PLC        06/07/23          (19,236
USD     1,477,790        CZK     33,195,207        UBS AG        06/07/23          (50,832
USD     23,145,294        MXN     423,649,149        HSBC Bank PLC        06/15/23          (16,450
EUR     7,030,000        USD     7,694,152        Barclays Bank PLC        06/21/23          (34,515
EUR     3,520,000        USD     3,845,100        Goldman Sachs International        06/21/23          (9,834
EUR     9,140,000        USD     9,991,391        Morgan Stanley & Co. International PLC        06/21/23          (32,774
JPY     776,000,000        USD     6,036,796        Barclays Bank PLC        06/21/23          (121,012
JPY     1,001,000,000        USD     7,734,807        Goldman Sachs International        06/21/23          (103,750
JPY     800,000,000        USD     6,189,699        Goldman Sachs International        06/21/23          (90,952
JPY     1,182,000,000        USD     9,110,739        Goldman Sachs International        06/21/23          (99,841
JPY     948,705,768        USD     7,255,200        JPMorgan Chase Bank N.A.        06/21/23          (22,805
JPY     627,445,308        USD     4,875,000        JPMorgan Chase Bank N.A.        06/21/23          (91,712
JPY     799,000,000        USD     6,170,261        Morgan Stanley & Co. International PLC        06/21/23          (79,137
JPY     1,566,879,387        USD     11,972,500        NatWest Markets PLC            06/21/23          (27,499

 

 

74  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

 

  

Master Total Return Portfolio

    

 

Forward Foreign Currency Exchange Contracts (continued)

                                     
Currency Purchased        Currency Sold        Counterparty     

Settlement

Date

      

Unrealized

Appreciation

(Depreciation)

 
USD     2,286,627        AUD     3,430,000        UBS AG        06/21/23        $ (13,102
USD     9,092,670        CAD     12,488,000        Bank of New York Mellon        06/21/23          (159,929
USD     16,713,158        CAD     22,797,000        Citibank N.A.        06/21/23          (177,577
USD     2,113,117        EUR     1,950,000        Bank of America N.A.        06/21/23          (11,533
USD     5,324,716        EUR     4,980,000        BNP Paribas SA        06/21/23          (101,314
USD     8,295,657        EUR     7,690,000        Citibank N.A.        06/21/23          (83,093
USD     2,914,132        EUR     2,677,106        Deutsche Bank AG        06/21/23          (2,748
USD     6,061,760        EUR     5,620,000        JPMorgan Chase Bank N.A.        06/21/23          (61,591
USD     7,588,416        EUR     7,050,000        JPMorgan Chase Bank N.A.        06/21/23          (93,013
USD     11,377,595        EUR     10,550,000        JPMorgan Chase Bank N.A.        06/21/23          (117,308
USD     15,223,325        EUR     14,230,000        Morgan Stanley & Co. International PLC        06/21/23          (281,174
USD     7,745,255        EUR     7,190,000        Morgan Stanley & Co. International PLC        06/21/23          (88,712
USD     9,942,900        EUR     9,174,841        State Street Bank and Trust Co.        06/21/23          (53,678
USD     30,623,807        EUR     28,347,003        TD Securities, Inc.        06/21/23          (262,075
USD     622,104        EUR     585,900        UBS AG        06/21/23          (16,272
USD     8,925,593        EUR     8,261,997        UBS AG        06/21/23          (76,384
USD     38,128,138        EUR     35,348,000        UBS AG        06/21/23          (385,780
USD     3,760,257        GBP     3,130,000        Bank of America N.A.        06/21/23          (107,150
USD     7,563,329        GBP     6,240,000        Bank of America N.A.        06/21/23          (146,772
USD     6,088,846        GBP     4,950,000        Barclays Bank PLC        06/21/23          (27,339
USD     7,541,103        GBP     6,230,000        BNP Paribas SA        06/21/23          (156,642
USD     3,861,948        GBP     3,170,000        Goldman Sachs International        06/21/23          (54,883
USD     7,619,540        GBP     6,260,000        Morgan Stanley & Co. International PLC        06/21/23          (115,272
USD     3,030,528        JPY     409,000,000        Bank of America N.A.        06/21/23          (87,457
USD     3,001,474        JPY     401,000,000        BNP Paribas SA        06/21/23          (55,522
USD     7,854,338        JPY     1,030,348,000        Deutsche Bank AG        06/21/23          (451
USD     19,664,861        MXN     380,569,149        Bank of America N.A.        06/21/23          (1,117,253
USD     1,159,946        IDR     17,536,062,480        HSBC Bank PLC        06/30/23          (6,908
USD     2,762,820        IDR     41,635,692,858        HSBC Bank PLC        06/30/23          (7,629
                       

 

 

 
                        $ (8,125,121
                       

 

 

 
                        $ (1,831,305
                       

 

 

 

Exchange-Traded Options Purchased

 

Description    Number of
Contracts
       Expiration
Date
            Exercise
Price
            Notional
Amount
(000)
       Value  
Call                                                   

Charles Schwab Corp.

     2,795          04/21/23        USD     75.00        USD     14,640        $ 9,782  

U.S. Treasury 10-Year Notes Futures

     567          04/21/23        USD     116.00        USD     65,240          310,078  

U.S. Treasury 5-Year Notes Futures

     975          04/21/23        USD     112.00        USD     106,907          152,344  

NASDAQ 100 Stock Index

     22          05/05/23        USD     13,300.00        USD     28,999          728,420  

U.S. Treasury 2-Year Notes Futures

     116          05/26/23        USD     104.00        USD     23,966          70,687  

Intel Corp.

     311          06/16/23        USD     42.50        USD     1,016          5,598  

Intel Corp.

     750          06/16/23        USD     40.00        USD     2,450          26,250  

Lions Gate Entertainment Corp. Class B

     200          06/16/23        USD     10.00        USD     207          28,000  
                          

 

 

 
                                                 $1,331,159  
                          

 

 

 
Put                                                   

1 Year Mid-Curve Options on 3-Month SOFR Futures

     13,403          04/14/23        USD     95.81        USD     3,233,139          335,075  

iShares iBoxx High Yield Corporate Bond ETF

     6,069          04/21/23        USD     72.00        USD     45,851          72,828  

iShares Russell 2000 ETF

     2,551          04/21/23        USD     155.00        USD     45,510          47,193  

Owl Rock Capital Corp.

     800          04/21/23        USD     10.00        USD     1,009          6,000  

PowerShares Senior Loan ETF

     1,450          04/21/23        USD     19.00        USD     3,016          14,500  

SPDR S&P 500 ETF Trust

     2,069          04/21/23        USD     363.00        USD     84,703          65,173  

NASDAQ 100 Stock Index

     49          04/28/23        USD     12,300.00        USD     64,589          373,380  

Caterpillar, Inc.

     200          05/19/23        USD     175.00        USD     4,577          11,800  

U.S. Treasury 10-Year Notes Futures

     555          05/26/23        USD     110.00        USD     63,860          86,719  

1 Year Mid-Curve Options on 3-Month SOFR Futures

     1,366          06/16/23        USD     95.00        USD     329,513          68,300  

 

 

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

  75


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

    

 

Exchange-Traded Options Purchased (continued)

 

Description    Number of
Contracts
       Expiration
Date
            Exercise
Price
            Notional
Amount
(000)
       Value  

Ally Financial, Inc.

     8,832          06/16/23        USD     20.00        USD     22,513        $ 839,040  

Ally Financial, Inc.

     4,897          09/15/23        USD     20.00        USD     12,482          856,975  
                          

 

 

 
                                                 $    2,776,983  
                          

 

 

 
                                                 $    4,108,142  
                          

 

 

 

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

  Under-and-Out   

Goldman Sachs International

           06/23/23      USD      1.10        USD        1.12        EUR        28,340      $ 149,181  
                              

 

 

 

Put

                              

EUR Currency

  One-Touch    Bank of America N.A.            04/26/23      CAD      1.40        CAD        1.40        EUR        330        4,196  

USD Currency

  Under-and-In   

Morgan Stanley & Co. International PLC

           05/10/23      JPY      129.00        JPY        134.00        USD        29,015        108,182  

USD Currency

  Under-and-In   

Bank of America N.A.

           06/28/23      JPY      127.00        JPY        135.00        USD        27,097        105,187  

USD Currency

  Down-and-Out   

Bank of America N.A.

           08/04/23      JPY      129.00        JPY        124.00        USD        27,745        631,478  

USD Currency

  One-Touch   

Citibank N.A.

           09/07/23      JPY      125.00        JPY        125.00        USD        1,339        337,181  
                              

 

 

 
                                 1,186,224  
                              

 

 

 
                               $     1,335,405  
                              

 

 

 

OTC Options Purchased

 

Description    Counterparty    Number of
Contracts
     Expiration
Date
            Exercise
Price
            Notional
Amount
(000)
     Value  
Call                                                    

USD Currency

   Barclays Bank PLC             04/11/23        CLP       820.00        USD       3,582      $ 12,704  

USD Currency

   Barclays Bank PLC             04/13/23        CNH       6.95        USD       3,628        5,373  

EUR Currency

   Bank of America N.A.             04/21/23        USD       1.13        EUR       27,370        5,771  

USD Currency

   Citibank N.A.             04/28/23        NOK       11.00        USD       3,630        9,446  

EUR Currency

   Deutsche Bank AG             05/05/23        USD       1.11        EUR       35,420        94,404  
                     

 

 

 
                        127,698  
                     

 

 

 
Put                                                    

USD Currency

   Bank of America N.A.             04/07/23        JPY       118.00        USD       13,875        5  

USD Currency

   Bank of America N.A.             04/07/23        JPY       128.00        USD       27,745        7,421  

USD Currency

   Deutsche Bank AG             04/20/23        NOK       10.40        USD       3,688        38,811  

Financial Select Sector SPDR Fund

   Citibank N.A.      363,300        04/21/23        USD       29.00        USD       11,680        32,697  

EUR Currency

   Morgan Stanley & Co. International PLC             04/28/23        NOK       11.30        EUR       3,328        31,187  

USD Currency

   BNP Paribas S.A.             05/12/23        JPY       128.00        USD       48,528        342,230  

USD Currency

   Deutsche Bank AG             05/12/23        BRL       5.10        USD       3,628        78,463  

USD Currency

   Goldman Sachs International             06/21/23        MXN       18.50        USD       81,858        2,430,404  

EUR Currency

   Goldman Sachs International             06/29/23        USD       1.08        EUR       208,970        2,333,000  
                     

 

 

 
                        5,294,218  
                     

 

 

 
                      $     5,421,916  
                     

 

 

 

 

 

76  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

 

OTC Dual Binary Options

 

Description(a)    Counterparty      Units      Expiration
Date
      

Notional Amount
(000)

       Value  

Put

                           

Payout at expiry if USD/JPY < 128.51 and 10-year JPY TONA > .89

   Citibank N.A.             06/30/23          USD          6,899        $   689,900  

 

(a) 

Option only pays if both terms are met on the expiration date.

OTC Interest Rate Swaptions Purchased

 

  

 

 

Paid by the Fund

 

    Received by the Fund    

 

Counterparty

 

Expiration

Date

   

Exercise

Rate

   

Notional

Amount

(000)

   

Value

 
Description   Rate   Frequency   Rate   Frequency

Call

                                                           

10-Year Interest Rate Swap, 02/16/34

  1-day SOFR, 4.87%   Quarterly   3.29%   Semi-Annual  

Morgan Stanley & Co.
International PLC

    02/14/24       3.29     USD       241,221     $     11,147,011  

10-Year Interest Rate Swap, 02/17/34

  1-day SOFR, 4.87%   Quarterly   3.31%   Semi-Annual  

Bank of America N.A.

    02/15/24       3.31     USD       116,076       5,462,938  

10-Year Interest Rate Swap, 02/17/34

  1-day SOFR, 4.87%   Quarterly   3.32%   Semi-Annual  

Bank of America N.A.

    02/15/24       3.32     USD       119,704       5,726,260  

10-Year Interest Rate Swap, 03/30/34

  1-day SOFR, 4.87%   Quarterly   3.00%   Semi-Annual  

Morgan Stanley & Co. International PLC

    03/28/24       3.00     USD       130,586       4,523,030  

2-Year Interest Rate Swap, 02/19/27

 

6-month EURIBOR, 3.34%

  Semi-Annual   2.20%   Annual  

Morgan Stanley & Co. International PLC

    02/17/25       2.20     EUR       30,220       226,758  

10-Year Interest Rate Swap, 03/29/36

  1-day SOFR, 4.87%   Quarterly   3.09%   Semi-Annual  

Morgan Stanley & Co. International PLC

    03/27/26       3.09     USD       15,706       887,013  

10-Year Interest Rate Swap, 04/01/36

  1-day SOFR, 4.87%   Quarterly   3.08%   Semi-Annual  

Bank of America N.A.

    03/30/26       3.08     USD       53,581       3,001,798  

10-Year Interest Rate Swap, 04/01/36

  1-day SOFR, 4.87%   Quarterly   3.10%   Semi-Annual  

Citibank N.A.

    03/30/26       3.10     USD       18,065       1,027,769  
                   

 

 

 
                      32,002,577  
                   

 

 

 
Put                                                  

10-Year Interest Rate Swap, 02/16/34

  3.29%   Semi-Annual   1-day SOFR, 4.87%   Quarterly  

Morgan Stanley & Co. International PLC

    02/14/24       3.29     USD       241,221     $ 6,321,639  

 

 

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

  77


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

 

OTC Interest Rate Swaptions Purchased (continued)

 

  

 

 

Paid by the Fund

 

Received by the Fund

 

Counterparty

 

Expiration

Date

 

Exercise

Rate

 

Notional
Amount

(000)

   

Value

 
Description   Rate   Frequency   Rate   Frequency

10-Year Interest Rate Swap, 02/17/34

  3.31%   Semi-Annual   1-day SOFR, 4.87%   Quarterly  

Bank of America N.A.

  02/15/24   3.31%   USD     116,076     $ 2,985,416  

10-Year Interest Rate Swap, 02/17/34

  3.32%   Semi-Annual   1-day SOFR, 4.87%   Quarterly  

Bank of America N.A.

  02/15/24   3.32%   USD     119,704       3,023,920  

10-Year Interest Rate Swap, 03/30/34

  3.00%   Semi-Annual   1-day SOFR, 4.87%   Quarterly  

Morgan Stanley & Co. International PLC

  03/28/24   3.00%   USD     130,586       4,841,144  

10-Year Interest Rate Swap, 03/29/36

  3.09%   Semi-Annual   1-day SOFR, 4.87%   Quarterly  

Morgan Stanley & Co. International PLC

  03/27/26   3.09%   USD     15,706       806,087  

10-Year Interest Rate Swap, 04/01/36

  3.08%   Semi-Annual   1-day SOFR, 4.87%   Quarterly  

Bank of America N.A.

  03/30/26   3.08%   USD     53,581       2,770,634  

10-Year Interest Rate Swap, 04/01/36

  3.10%   Semi-Annual   1-day SOFR, 4.87%   Quarterly  

Citibank N.A.

  03/30/26   3.10%   USD     18,065       921,977  
                   

 

 

 
                      21,670,817  
                   

 

 

 
                    $     53,673,394  
                   

 

 

 

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
            Exercise
Price
            Notional
Amount
(000)
       Value  
Call                                                   

Charles Schwab Corp

     2,795          04/21/23        USD     80.00        USD     14,640        $ (5,590

U.S. Treasury 10-Year Notes Futures

     1,134          04/21/23        USD     118.00        USD     130,481          (248,062

U.S. Treasury 2-Year Notes Futures

     116          04/21/23        USD     104.50        USD     23,966          (12,688

U.S. Treasury 5-Year Notes Futures

     51          04/21/23        USD     109.00        USD     5,592          (49,008

NASDAQ 100 Stock Index

     22          04/24/23        USD     13,200.00        USD     28,999          (613,140

SPDR S&P 500 ETF Trust

     290          12/15/23        USD     445.00        USD     11,872          (371,780
                          

 

 

 
                                 (1,300,268
                          

 

 

 
Put                                                   

1 Year Mid-Curve Options on 3-Month SOFR Futures

     17,872          04/14/23        USD     95.13        USD     4,311,173          (111,700

SPDR S&P 500 ETF Trust

     2,069          04/21/23        USD     345.00        USD     84,703          (32,069

U.S. Treasury 2-Year Notes Futures

     116          04/21/23        USD     102.50        USD     23,966          (18,125

U.S. Treasury 5-Year Notes Futures

     51          04/21/23        USD     108.00        USD     5,592          (7,570

NASDAQ 100 Stock Index

     49          04/24/23        USD     12,300.00        USD     64,589          (262,395

Caterpillar, Inc

     200          05/19/23        USD     140.00        USD     4,577          (6,000

U.S. Treasury 10-Year Notes Futures

     80          05/26/23        USD     114.50        USD     9,205          (101,250

 

 

78  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
            Exercise
Price
            Notional
Amount
(000)
       Value  

U.S. Treasury 10-Year Notes Futures

     555          05/26/23        USD     112.00        USD     63,860        $ (234,141

1 Year Mid-Curve Options on 3-Month SOFR Futures

     1,366          06/16/23        USD     94.50        USD     329,513          (17,075
                          

 

 

 
                             (790,325
                          

 

 

 
                           $     (2,090,593
                          

 

 

 

OTC Options Written

 

Description    Counterparty    Number of
Contracts
    

Expiration

Date

            Exercise Price             Notional
Amount
(000)
     Value  
Call                                                    

USD Currency

   Barclays Bank PLC             04/11/23        CLP       880.00        USD       4,478      $ (734

USD Currency

   Barclays Bank PLC             04/13/23        CNH       7.10        USD       3,628        (508

EUR Currency

   Morgan Stanley & Co. International PLC             04/28/23        NOK       11.50        EUR       3,328        (22,056
                     

 

 

 
                        (23,298
                     

 

 

 
Put                                                    

USD Currency

   Barclays Bank PLC             04/11/23        CLP       750.00        USD       3,582        (751

USD Currency

   Deutsche Bank AG             04/20/23        NOK       10.00        USD       5,532        (7,054

USD Currency

   BNP Paribas S.A.             05/12/23        JPY       125.00        USD       72,791        (254,424

USD Currency

   Deutsche Bank AG             05/12/23        BRL       4.90        USD       5,442        (36,299

USD Currency

   Goldman Sachs International             06/21/23        MXN       18.10        USD       81,858        (1,401,060

USD Currency

   Goldman Sachs International             06/21/23        MXN       17.70        USD       81,858        (682,652

EUR Currency

   Goldman Sachs International             06/29/23        USD       1.02        EUR       208,970        (383,091
                     

 

 

 
                        (2,765,331
                     

 

 

 
                      $     (2,788,629
                     

 

 

 

OTC Interest Rate Swaptions Written

 

Description  

Paid by the Fund

 

Received by the Fund

  Counterparty  

Expiration

Date

   

Exercise

Rate

      

 

   

Notional
Amount

(000)

    Value  
  Rate   Frequency   Rate   Frequency

Call

                                                           

10-Year Interest Rate Swap, 12/21/33

  3.11%   Semi-Annual   1-day SOFR, 4.87%   Quarterly  

Morgan Stanley & Co. International PLC

    12/19/23       3.11%       USD       324,712     $   (10,920,907

10-Year Interest Rate Swap, 01/06/34

  3.16%   Semi-Annual   1-day SOFR, 4.87%   Quarterly  

Deutsche Bank AG

    01/04/24       3.16%       USD       99,133       (3,574,481

10-Year Interest Rate Swap, 01/10/34

  3.15%   Semi-Annual   1-day SOFR, 4.87%   Quarterly  

JPMorgan Chase Bank N.A.

    01/08/24       3.15%       USD       99,133       (3,664,841

10-Year Interest Rate Swap, 01/12/34

  3.11%   Semi-Annual   1-day SOFR, 4.87%   Quarterly  

Morgan Stanley & Co. International PLC

    01/10/24       3.11%       USD       283,473       (9,935,125

 

 

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

  79


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

 

OTC Interest Rate Swaptions Written (continued)

 

Description  

Paid by the Fund

 

Received by the Fund

  Counterparty  

Expiration

Date

   

Exercise

Rate

      

 

   

Notional
Amount

(000)

    Value  
  Rate   Frequency   Rate   Frequency

10-Year Interest Rate Swap, 03/15/36

  2.95%   Semi-Annual  

1-day SOFR, 4.87%

  Quarterly  

Morgan Stanley & Co. International PLC

    03/13/26       2.95%       USD       19,546     $ (990,430

10-Year Interest Rate Swap, 03/18/36

  3.02%   Semi-Annual  

1-day SOFR, 4.87%

  Quarterly  

Goldman Sachs International

    03/16/26       3.02%       USD       46,647       (2,499,032

10-Year Interest Rate Swap, 03/18/36

  3.12%   Semi-Annual  

1-day SOFR, 4.87%

  Quarterly  

Goldman Sachs International

    03/16/26       3.12%       USD       40,741       (2,346,051

10-Year Interest Rate Swap, 03/18/36

  3.14%   Semi-Annual  

1-day SOFR, 4.87%

  Quarterly  

Goldman Sachs International

    03/16/26       3.14%       USD       54,322       (3,176,177

10-Year Interest Rate Swap, 03/25/36

  3.13%   Semi-Annual  

1-day SOFR, 4.87%

  Quarterly  

Bank of America N.A.

    03/23/26       3.13%       USD       18,054       (1,053,164
                   

 

 

 
                        (38,160,208
                   

 

 

 
Put                                                  

10-Year Interest Rate Swap, 12/21/33

 

1-day SOFR, 4.87%

  Quarterly   3.11%   Semi-Annual  

Morgan Stanley & Co. International PLC

    12/19/23       3.11%       USD       324,712     $ (9,975,928

10-Year Interest Rate Swap, 01/06/34

 

1-day SOFR, 4.87%

  Quarterly   3.16%   Semi-Annual  

Deutsche Bank AG

    01/04/24       3.16%       USD       99,133       (2,753,007

10-Year Interest Rate Swap, 01/10/34

 

1-day SOFR, 4.87%

  Quarterly   3.15%   Semi-Annual  

JPMorgan Chase Bank N.A.

    01/08/24       3.15%       USD       99,134       (2,930,456

10-Year Interest Rate Swap, 01/12/34

 

1-day SOFR, 4.87%

  Quarterly   3.11%   Semi-Annual  

Morgan Stanley & Co. International PLC

    01/10/24       3.11%       USD       283,473       (8,889,442

10-Year Interest Rate Swap, 03/15/36

 

1-day SOFR, 4.87%

  Quarterly   2.95%   Semi-Annual  

Morgan Stanley & Co. International PLC

    03/13/26       2.95%       USD       19,546       (1,095,694

10-Year Interest Rate Swap, 03/18/36

 

1-day SOFR, 4.87%

  Quarterly   3.02%   Semi-Annual  

Goldman Sachs International

    03/16/26       3.02%       USD       46,647       (2,502,145

 

 

80  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

    

 

OTC Interest Rate Swaptions Written (continued)

 

Description  

Paid by the Fund

 

Received by the Fund

  Counterparty  

Expiration

Date

   

Exercise

Rate

      

 

   

Notional
Amount

(000)

    Value  
  Rate   Frequency   Rate   Frequency

10-Year Interest Rate Swap, 03/18/36

  1-day SOFR, 4.87%   Quarterly   3.12%   Semi-Annual  

Goldman Sachs International

    03/16/26       3.12%       USD       40,741     $ (2,056,332

10-Year Interest Rate Swap, 03/18/36

  1-day SOFR, 4.87%   Quarterly   3.14%   Semi-Annual  

Goldman Sachs International

    03/16/26       3.14%       USD       54,322       (2,706,027

10-Year Interest Rate Swap, 03/25/36

  1-day SOFR, 4.87%   Quarterly   3.13%   Semi-Annual  

Bank of America N.A.

    03/23/26       3.13%       USD       18,054       (901,390
                   

 

 

 
                      (33,810,421
                   

 

 

 
                    $   (71,970,629)  
                   

 

 

 

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.IG.39.V1

     1.00      Quarterly        12/20/27        USD        9,099      $   (109,369    $ (130,239    $ 20,870  

CDX.NA.HY.40.V1

     5.00        Quarterly        06/20/28        USD        11,939        (202,487      11,901        (214,388

ITRAXX.EUR.39.V1

     1.00        Quarterly        06/20/28        EUR        17,284        (145,718      (10,309      (135,409

ITRAXX.FINSR.39.V1

     1.00        Quarterly        06/20/28        EUR        54,428        (52,676      759,165        (811,841

ITRAXX.XO.39.V1

     5.00        Quarterly        06/20/28        EUR        10,140        (307,681      (95,180      (212,501
                 

 

 

    

 

 

    

 

 

 
                  $ (817,931    $ 535,338      $ (1,353,269
                 

 

 

    

 

 

    

 

 

 

Centrally Cleared Credit Default Swaps — Sell Protection

 

                 
Reference Obligation/Index   

Financing

Rate

Received

by

the Fund

    

Payment

Frequency

    

Termination

Date

    

Credit

Rating(a)

    

Notional

Amount

(000)(b)

     Value     

Upfront

Premium

Paid

(Received)

    

Unrealized

Appreciation

(Depreciation)

 

CDX.NA.HY.39.V1

     5.00      Quarterly        12/20/27        B+        USD   9,686      $   133,144      $ (48,455    $ 181,599  
                 

 

 

    

 

 

    

 

 

 

 

  (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 Interest Rate Swaps

 

Paid by the Fund

 

Received by the Fund

   Effective    Termination       

 

     

 

      

 

    

Upfront

Premium

Paid

    

Unrealized

Appreciation

 
       Notional    
       Amount    
Rate   Frequency   Rate   Frequency    Date    Date           (000)     Value      (Received)      (Depreciation)  

28-day MXIBTIIE, 11.52%

  Monthly  

11.70%

  Monthly    N/A      02/12/24     MXN      241,928     $ 32,428      $ (148    $ 32,576  

28-day MXIBTIIE, 11.52%

  Monthly  

11.72%

  Monthly    N/A      02/14/24     MXN      144,274       20,911               20,911  

0.27%

  Annual            

1-day TONA, (0.03)%

  Annual              N/A      01/05/25     JPY      2,631,030       (72,517             (72,517

0.20%

  Annual  

1-day TONA, (0.03)%

  Annual   

N/A

     02/03/25     JPY      1,750,065       (26,025             (26,025

 

 

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

  81


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

 

Centrally Cleared Interest Rate Swaps (continued)

 

Paid by the Fund

 

Received by the Fund

   Effective    Termination       

 

     

 

      

 

    

Upfront

Premium

Paid

    

Unrealized

Appreciation

 
       Notional    
       Amount    
Rate   Frequency   Rate   Frequency    Date    Date           (000)     Value      (Received)      (Depreciation)  

0.21%

  Annual  

1-day TONA, (0.03)%

  Annual    N/A      02/03/25     JPY      1,750,065     $ (27,347    $      $ (27,347

2.84%

  Annual  

1-day ESTR, 2.88%

  Annual    06/12/23(a)      03/13/25     EUR      41,650       273,586               273,586  

2.95%

  Annual  

1-day ESTR, 2.88%

  Annual    06/12/23(a)      03/13/25     EUR      58,180       268,419               268,419  

1-day SONIA, 4.18%

  At Termination  

3.84%

  At Termination    03/18/24(a)      03/18/25     GBP      39,580       (87,304             (87,304

3-month JIBAR, 7.96%

  Quarterly  

7.20%

  Quarterly    03/20/24(a)      03/20/25     ZAR      252,370       (54,135             (54,135

1-day SONIA, 4.18%

  At Termination  

3.85%

  At Termination    03/25/24(a)      03/25/25     GBP      80,110       (156,474             (156,474

1-day ESTR, 2.88%

  Annual  

2.84%

  Annual    03/26/24(a)      03/26/25     EUR      36,890       (62,394      55,964        (118,358

28-day MXIBTIIE, 11.52%

  Monthly  

10.20%

  Monthly    N/A      03/27/25     MXN      157,537       24,847               24,847  

3-month JIBAR, 7.96%

  Quarterly  

7.70%

  Quarterly    06/19/24(a)      06/19/25     ZAR      285,620       9,448               9,448  

4.45%

  Annual  

3-month PRIBOR, 7.17%

  Quarterly    06/19/24(a)      06/19/25     CZK      180,564       16,216               16,216  

5.53%

  Annual  

6-month WIBOR, 6.95%

  Semi-Annual    09/20/23(a)      09/20/25     PLN      29,031       33,759               33,759  

28-day MXIBTIIE, 11.52%

  Monthly  

8.42%

  Monthly    N/A      01/20/28     MXN      104,450       (43,353             (43,353

5.71%

  Annual  

6-month WIBOR, 6.95%

  Semi-Annual    09/20/23(a)      09/20/28     PLN      34,125       (129,002             (129,002

6-month EURIBOR, 3.34%

  Annual  

2.44%

  Semi-Annual    07/14/27(a)      07/14/32     EUR      9,100       (152,304             (152,304

3.15%

  Annual  

1-day SOFR, 4.87%

  Annual    02/14/28(a)      02/14/33     USD      4,638       (28,593             (28,593

0.89%

  Annual  

1-day TONA, (0.03)%

  Annual    N/A      02/15/33     JPY      1,765,619       (365,803             (365,803

0.90%

  Annual  

1-day TONA, (0.03)%

  Annual    N/A      02/15/33     JPY      3,531,237       (770,639             (770,639

0.90%

  Annual  

1-day TONA, (0.03)%

  Annual    N/A      02/15/33     JPY      1,765,619       (382,067             (382,067

0.92%

  Annual  

1-day TONA, (0.03)%

  Annual    N/A      02/15/33     JPY      5,114,206       (1,182,048             (1,182,048

1-day ESTR, 2.88%

  Annual  

2.69%

  Annual    02/15/28(a)      02/15/33     EUR      4,141       2,649               2,649  

3.46%

  Annual  

1-day SOFR, 4.87%

  Annual    N/A      02/15/33     USD      20,892       (431,498             (431,498

3.50%

  Annual  

1-day SOFR, 4.87%

  Annual    N/A      02/17/33     USD      62,682       (1,486,460             (1,486,460

3.62%

  Annual  

1-day SOFR, 4.87%

  Annual    N/A      02/23/33     USD      41,785       (1,438,735             (1,438,735

3.28%

  Annual  

1-day SOFR, 4.87%

  Annual    02/24/28(a)      02/24/33     USD      4,620       (52,296             (52,296

1-day ESTR, 2.88%

  Annual  

2.95%

  Annual    03/02/28(a)      03/02/33     EUR      2,085       24,967               24,967  

3.46%

  Annual  

1-day SOFR, 4.87%

  Annual    03/02/28(a)      03/02/33     USD      2,321       (42,136             (42,136

3.28%

  Annual  

1-day SOFR, 4.87%

  Annual    03/03/28(a)      03/03/33     USD      2,141       (24,372             (24,372

3.35%

  Annual  

1-day SOFR, 4.87%

  Annual    03/03/28(a)      03/03/33     USD      2,207       (31,216             (31,216

3.78%

  Annual  

1-day SOFR, 4.87%

  Annual    N/A      03/06/33     USD      62,682       (3,075,438             (3,075,438

1-day SOFR, 4.87%

  Annual  

3.11%

  Annual    N/A      03/14/33     USD      41,683       (332,407      33,830        (366,237

1-day SOFR, 4.87%

  Annual  

3.31%

  Annual    N/A      03/15/33     USD      34,475       300,730               300,730  

1-day SOFR, 4.87%

  Annual  

3.31%

  Annual    N/A      03/15/33     USD      28,207       252,295               252,295  

1-day SOFR, 4.87%

  Annual  

3.22%

  Annual    N/A      03/17/33     USD      31,341       38,000               38,000  

1-day SOFR, 4.87%

  Annual  

3.22%

  Annual    N/A      03/17/33     USD      31,341       29,999               29,999  

3.35%

  Annual  

1-day SOFR, 4.87%

  Annual    N/A      03/20/33     USD      9,486       (120,430             (120,430

1-day ESTR, 2.88%

  Annual  

2.74%

  Annual    03/22/28(a)      03/22/33     EUR      2,060       5,774               5,774  

3.13%

  Annual  

1-day SOFR, 4.87%

  Annual    03/22/28(a)      03/22/33     USD      2,266       (11,839             (11,839

3-month Canadian Bankers Acceptances, 5.03%

  Semi-Annual  

3.30%

  Semi-Annual    N/A      03/27/33     CAD      1,389       (1,983      155        (2,138

 

 

82  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

 

Centrally Cleared Interest Rate Swaps (continued)

 

Paid by the Fund

 

Received by the Fund

   Effective    Termination       

 

     

 

      

 

    

Upfront

Premium

Paid

    

Unrealized

Appreciation

 
       Notional    
       Amount    
Rate   Frequency   Rate   Frequency    Date    Date           (000)     Value      (Received)      (Depreciation)  

3-month Canadian Bankers Acceptances, 5.03%

  Semi-Annual  

3.35%

  Semi-Annual    N/A      03/30/33     CAD      2,823     $ 5,122      $ (5,799    $ 10,921  

0.86%

  Annual  

1-day TONA, (0.03)%

  Annual    N/A      05/09/52     JPY      39,072       12,789               12,789  

0.88%

  Annual  

1-day TONA, (0.03)%

  Annual    N/A      05/23/52     JPY      58,849       16,756               16,756  

0.85%

  Annual  

1-day TONA, (0.03)%

  Annual    N/A      05/26/52     JPY      48,525       16,741               16,741  

0.79%

  Annual  

1-day TONA, (0.03)%

  Annual    N/A      05/27/52     JPY      48,523       22,386               22,386  

0.99%

  Annual  

1-day TONA, (0.03)%

  Annual    N/A      07/26/52     JPY      125,000       10,118               10,118  

1-day TONA, (0.03)%

  Annual  

1.11%

  Annual    N/A      09/12/52     JPY      100,050       13,825               13,825  

1-day TONA, (0.03)%

  Annual  

1.13%

  Annual    N/A      09/12/52     JPY      100,050       18,528               18,528  

2.38%

  Annual  

1-day SOFR, 4.87%

  Annual    02/03/43(a)      02/03/53     USD      1,910       (487             (487

2.37%

  Annual  

1-day SOFR, 4.87%

  Annual    02/09/43(a)      02/09/53     USD      1,778       (217             (217

2.47%

  Annual  

1-day SOFR, 4.87%

  Annual    02/10/43(a)      02/10/53     USD      2,339       (11,224             (11,224

2.41%

  Annual  

1-day SOFR, 4.87%

  Annual    02/17/43(a)      02/17/53     USD      2,339       (5,208             (5,208

3.37%

  Semi-Annual  

3-month Canadian Bankers Acceptances, 5.03%

  Semi-Annual    N/A      03/27/53     CAD      602       756        (106      862  

3.40%

  Semi-Annual  

3-month Canadian Bankers Acceptances, 5.03%

  Semi-Annual    N/A      03/30/53     CAD      1,223       (3,866      3,141        (7,007
                  

 

 

    

 

 

    

 

 

 
                   $ (9,158,768    $ 87,037      $ (9,245,805
                  

 

 

    

 

 

    

 

 

 

 

  (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     $ 9,865     $ 15,988     $ (6,123

KB Home

    5.00     Quarterly  

JPMorgan Chase Bank N.A.

    12/20/23       USD       2,138       (73,423     (25,700     (47,723

Realogy Group LLC

    5.00     Quarterly  

JPMorgan Chase Bank N.A.

    12/20/23       USD       1,069       (8,596     (1,502     (7,094

RR Donnelley & Sons Co.

    5.00     Quarterly  

JPMorgan Chase Bank N.A.

    12/20/23       USD       1,070       (29,691     7,770       (37,461

Staples, Inc.

    5.00     Quarterly  

Morgan Stanley & Co. International PLC

    12/20/23       USD       1,000       15,068       9,962              5,106  

Beazer Homes U.S.A., Inc.

    5.00     Quarterly  

Barclays Bank PLC

    06/20/24       USD       1,199       (56,392     (19,487     (36,905

Beazer Homes U.S.A., Inc.

    5.00     Quarterly  

BNP Paribas S.A.

    06/20/24       USD       1,000       (47,033     (14,351     (32,682

Beazer Homes U.S.A., Inc.

    5.00     Quarterly  

BNP Paribas S.A.

    06/20/24       USD       1,103       (51,876     (17,081     (34,795

Pitney Bowes, Inc.

    1.00     Quarterly  

Barclays Bank PLC

    06/20/24       USD       1,025       57,986       81,139       (23,153

Pitney Bowes, Inc.

    1.00     Quarterly  

Barclays Bank PLC

    06/20/24       USD       320       18,103       26,051       (7,948

Staples, Inc.

    5.00     Quarterly  

Barclays Bank PLC

    06/20/24       USD       315       13,101       22,330       (9,229

Staples, Inc.

    5.00     Quarterly  

Goldman Sachs International

    06/20/24       USD       525              21,835              31,581       (9,746

Tenet Healthcare Corp.

    5.00     Quarterly  

Barclays Bank PLC

    06/20/24       USD       1,000       (51,212     (2,864     (48,348

Tenet Healthcare Corp.

    5.00     Quarterly  

Goldman Sachs International

    06/20/24       USD       1,175       (60,617     (10,323     (50,294

Tenet Healthcare Corp.

    5.00     Quarterly  

Goldman Sachs International

    06/20/24       USD       1,150       (59,328     (10,104     (49,224

Tenet Healthcare Corp.

    5.00     Quarterly  

Goldman Sachs International

    06/20/24       USD       1,175       (60,617     (10,332     (50,285

Tenet Healthcare Corp.

    5.00     Quarterly  

Goldman Sachs International

    06/20/24       USD       1,223       (62,632     (4,237     (58,395

 

 

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

  83


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

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)
 

Tenet Healthcare Corp.

    5.00   Quarterly  

JPMorgan Chase Bank N.A.

    06/20/24       USD       500     $ (25,795   $ (1,677   $ (24,118

Xerox Corp.

    1.00     Quarterly  

BNP Paribas S.A.

    06/20/24       USD       1,000       6,831       23,093       (16,262

Avis Budget Group, Inc.

    5.00     Quarterly  

JPMorgan Chase Bank N.A.

    12/20/24       USD       750       (42,099     21,796       (63,895

Avis Budget Group, Inc.

    5.00     Quarterly  

JPMorgan Chase Bank N.A.

    12/20/24       USD       1,680       (97,466     48,375       (145,841

Boeing Co.

    1.00     Quarterly  

BNP Paribas S.A.

    12/20/24       USD       2,250       (16,614     (15,421     (1,193

Boeing Co.

    1.00     Quarterly  

Morgan Stanley & Co. International PLC

    12/20/24       USD       5,950       (43,934     (24,139     (19,795

Federative Republic of Brazil

    1.00     Quarterly  

Barclays Bank PLC

    12/20/24       USD       3,216       (10,078     27,852       (37,930

Federative Republic of Brazil

    1.00     Quarterly  

Barclays Bank PLC

    12/20/24       USD       3,215       (10,075     27,843       (37,918

Federative Republic of Brazil

    1.00     Quarterly  

Barclays Bank PLC

    12/20/24       USD       3,220       (10,090     27,887       (37,977

Federative Republic of Brazil

    1.00     Quarterly  

Barclays Bank PLC

    12/20/24       USD       3,215       (10,075     27,313       (37,388

Federative Republic of Brazil

    1.00     Quarterly  

Barclays Bank PLC

    12/20/24       USD       4,500       (14,102     38,230       (52,332

Federative Republic of Brazil

    1.00     Quarterly  

Barclays Bank PLC

    12/20/24       USD       1,948       (6,105     16,549       (22,654

Avis Budget Group, Inc.

    5.00     Quarterly  

JPMorgan Chase Bank N.A.

    06/20/25       USD       2,540       (171,433     139,786       (311,219

Pitney Bowes, Inc.

    1.00     Quarterly  

Goldman Sachs International

    06/20/25       USD       500       69,371       115,485       (46,114

Southwest Airlines Co.

    1.00     Quarterly  

Goldman Sachs International

    12/20/26       USD       5,000       (27,099     (3,522     (23,577

Abbot Laboratories

    1.00     Quarterly  

JPMorgan Chase Bank N.A.

    06/20/27       USD       7,786       (203,592     (152,900     (50,692

Caterpillar, Inc.

    1.00     Quarterly  

Deutsche Bank AG

    06/20/27       USD       4,300       (116,110     (87,241     (28,869

General Electric Co.

    1.00     Quarterly  

Morgan Stanley & Co. International PLC

    06/20/27       USD       706       (7,850     12,498       (20,348

General Electric Co.

    1.00     Quarterly  

Morgan Stanley & Co. International PLC

    06/20/27       USD       706       (7,850     12,498       (20,348

General Electric Co.

    1.00     Quarterly  

Morgan Stanley & Co. International PLC

    06/20/27       USD       943       (10,489     15,685       (26,174

BorgWarner, Inc.

    1.00     Quarterly  

BNP Paribas S.A.

    12/20/27       USD       1,000       (17,611     13,108       (30,719

Pitney Bowes, Inc.

    1.00     Quarterly  

Bank of America N.A.

    12/20/27       USD       620       194,718       155,393       39,325  

Pitney Bowes, Inc.

    1.00     Quarterly  

Citibank N.A.

    12/20/27       USD       250       78,516       64,443       14,073  

Pitney Bowes, Inc.

    1.00     Quarterly  

Citibank N.A.

    12/20/27       USD       380       119,344       100,925       18,419  

Pitney Bowes, Inc.

    1.00     Quarterly  

Goldman Sachs International

    12/20/27       USD       780       244,968       256,952       (11,984

Simon Property Group LP

    1.00     Quarterly  

Goldman Sachs International

    12/20/27       USD       3,640       33,383       53,398       (20,015

Credit Suisse Group AG

    1.00     Quarterly  

Barclays Bank PLC

    06/20/28       EUR       1,350       57,712       90,365       (32,653

Deutsche Bank AG

    1.00     Quarterly  

BNP Paribas S.A.

    06/20/28       EUR       4,400       102,273       378,054       (275,781

Federative Republic of Brazil

    1.00     Quarterly  

Barclays Bank PLC

    06/20/28       USD       3,532       202,690       255,766       (53,076

Federative Republic of Brazil

    1.00     Quarterly  

Barclays Bank PLC

    06/20/28       USD       8,286       475,523       600,042       (124,519

Republic of Chile

    1.00     Quarterly  

Bank of America N.A.

    06/20/28       USD       2,573       3,759       26,240       (22,481

Republic of Colombia

    1.00     Quarterly  

Barclays Bank PLC

    06/20/28       USD       12,008       974,579       1,205,663       (231,084

Republic of Turkey

    1.00     Quarterly  

Goldman Sachs International

    06/20/28       USD       3,544       603,494       626,666       (23,172

United Mexican States

    1.00     Quarterly  

Barclays Bank PLC

    06/20/28       USD       9,202       82,074       175,899       (93,825

CMBX.NA.9.AAA

    0.50     Monthly  

Morgan Stanley & Co. International PLC

    09/17/58       USD       3,030       16,870       32,027       (15,157

CMBX.NA.9.AAA

    0.50     Monthly  

Morgan Stanley & Co. International PLC

    09/17/58       USD       64       354       737       (383

CMBX.NA.9.BBB-

    3.00     Monthly  

Citigroup Global Markets, Inc.

    09/17/58       USD       2,080       512,286       66,050       446,236  

CMBX.NA.9.BBB-

    3.00     Monthly  

Goldman Sachs International

    09/17/58       USD       3,544       872,858       265,213       607,645  

CMBX.NA.9.BBB-

    3.00     Monthly  

Morgan Stanley & Co. International PLC

    09/17/58       USD       204       50,243       10,606       39,637  

CMBX.NA.6.AAA

    0.50     Monthly  

Deutsche Bank AG

    05/11/63       USD       7       (3     1       (4

CMBX.NA.6.AAA

    0.50     Monthly  

Deutsche Bank AG

    05/11/63       USD       17       (8     (5     (3
             

 

 

   

 

 

   

 

 

 
              $   3,427,909     $   4,726,373     $   (1,298,464
             

 

 

   

 

 

   

 

 

 

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)
 

Vistra Operations Co. LLC

    5.00   Quarterly  

JPMorgan Chase Bank N.A.

  06/20/23   BB   USD     2,029     $ 19,729     $ 14,262     $ 5,467  

 

 

84  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

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)
 

Vistra Operations Co. LLC

    5.00   Quarterly  

JPMorgan Chase Bank N.A.

  12/20/25   BB   USD     1,015     $ 60,431     $ 48,643     $ 11,788  

CMBX.NA.7.AAA

    0.50     Monthly  

Morgan Stanley & Co. International PLC

  01/17/47   AAA   USD     4,568       (240     (117,787     117,547  

CMBX.NA.9.BBB-

    3.00     Monthly  

Deutsche Bank AG

  09/17/58   N/R   USD     906       (223,141     (97,403     (125,738

CMBX.NA.9.BBB-

    3.00     Monthly  

Goldman Sachs International

  09/17/58   N/R   USD     1,310       (322,642     (137,160     (185,482

CMBX.NA.9.BBB-

    3.00     Monthly  

J.P. Morgan Securities LLC

  09/17/58   N/R   USD     121       (29,802     (25,637     (4,165

CMBX.NA.9.BBB-

    3.00     Monthly  

Morgan Stanley & Co. International PLC

  09/17/58   N/R   USD     1,000       (246,292     (247,468     1,176  

CMBX.NA.9.BBB-

    3.00     Monthly  

Morgan Stanley & Co. International PLC

  09/17/58   N/R   USD     1,060       (261,069     (48,129     (212,940

CMBX.NA.9.BBB-

    3.00     Monthly  

Morgan Stanley & Co. International PLC

  09/17/58   N/R   USD     231       (56,893     (12,609     (44,284

CMBX.NA.9.BBB-

    3.00     Monthly  

Morgan Stanley & Co. International PLC

  09/17/58   N/R   USD     1,200       (295,550     (1,399     (294,151

CMBX.NA.10.A

    2.00     Monthly  

Deutsche Bank AG

  11/17/59   BBB+   USD     3,340       (296,872     (130,626     (166,246

CMBX.NA.10.A

    2.00     Monthly  

Deutsche Bank AG

  11/17/59   BBB+   USD     1,670       (148,436     (66,410     (82,026

CMBX.NA.10.BBB-

    3.00     Monthly  

J.P. Morgan Securities LLC

  11/17/59   BB-   USD     60       (17,118     (4,643     (12,475

CMBX.NA.14.BBB-

    3.00     Monthly  

Goldman Sachs International

  12/16/72   N/R   USD     2,070       (580,635     (358,497     (222,138
               

 

 

   

 

 

   

 

 

 
                $   (2,398,530   $   (1,184,863   $   (1,213,667
               

 

 

   

 

 

   

 

 

 

 

  (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 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, 21,538.07

  At Termination  

Bank of America N.A.

  04/01/23   CLP     19,436,176     $ 19,704     $       $19,704  

1-day CLICP, 21,538.07

  At Termination   

1.65%

  At Termination  

Bank of America N.A.

  05/28/23   CLP     19,436,176       (386,139           (386,139)  

1-day BZDIOVER, 0.05%

  At Termination   

12.97%

  At Termination  

Goldman Sachs International

  07/01/24   BRL     15,561       14,846             14,846  

1-day BZDIOVER, 0.05%

  At Termination   

12.97%

  At Termination  

Citibank N.A.

  07/01/24   BRL     25,732       24,854             24,854  

1-day BZDIOVER, 0.05%

  At Termination   

12.60%

  At Termination  

Bank of America N.A.

  07/01/24   BRL     44,283       9,665             9,665  

1-day BZDIOVER, 0.05%

  At Termination   

11.69%

  At Termination  

Citibank N.A.

  01/02/25   BRL     15,655       (51,692           (51,692)  

1-day BZDIOVER, 0.05%

  At Termination   

11.65%

  At Termination  

JPMorgan Chase Bank N.A.

  01/02/25   BRL     11,175       (39,150           (39,150)  

1-day BZDIOVER, 0.05%

  At Termination   

12.85%

  At Termination  

Citibank N.A.

  01/02/25   BRL     42,969       108,525             108,525  
                

 

 

   

 

 

   

 

 

 
                 $   (299,387   $       $(299,387)  
                

 

 

   

 

 

   

 

 

 

 

 

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

  85


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

 

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

0.00%

  At Termination   

Goldman Sachs U.S. Series 4 Excess Return Strategy

  At Termination   Goldman Sachs International   05/15/23   USD     4,370     $ (86,474   $     $ (86,474

Pitney Bowes, Inc.

  Quarterly   

1-day SOFR minus 0.25%, 4.87%

  Quarterly   Citibank N.A.   06/13/23   USD     45       (3,118           (3,118

1-day SOFR minus 0.20%, 4.87%

  Quarterly   

iShares iBoxx $ Investment Grade Corporate Bond ETF

  Quarterly   BNP Paribas S.A.   06/16/23   USD     109,610       646,751             646,751  

1-day SOFR minus 0.15%, 4.87%

  Quarterly   

iShares iBoxx $ Investment Grade Corporate Bond ETF

  Quarterly   JPMorgan Chase Bank N.A.   06/16/23   USD     139,753       1,967,844             1,967,844  

1-day SOFR minus 0.06%, 4.87%

  Quarterly   

iShares iBoxx $ Investment Grade Corporate Bond ETF

  Quarterly   JPMorgan Chase Bank N.A.   06/16/23   USD     30,143       581,473             581,473  

0.00%

  Quarterly   

Goldman Sachs Systematic Skew U.S. Series 10 Excess Return Strategy

  Quarterly   Goldman Sachs International   12/07/23   USD     4,712       (52,323           (52,323
                

 

 

   

 

 

   

 

 

 
                 $   3,054,153     $     $ 3,054,153  
                

 

 

   

 

 

   

 

 

 

OTC Total Return Swaps(a)

 

                               Accrued            Gross Notional  
                          Unrealized     Net Value of     Amount  
    Payment        Termination      Net     Appreciation     Reference     Net Asset  
Reference Entity   Frequency    Counterparty   Date      Notional     (Depreciation)     Entity     Percentage  

Equity Securities Long/Short

  Monthly    Merrill Lynch International(b)     05/15/24      $ (67,798,905   $ (1,350,152 )(c)    $ (69,306,598     0.4
           

 

 

   

 

 

   

 

  (a) 

The Master Portfolio receives the total return on a portfolio of long positions underlying the total return swap. The Master Portfolio pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Master Portfolio pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions.

 
  (c) 

Amount includes $157,541 of net dividends and financing fees.

 

The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest:

 

 

(c)

 
Range:   15 - 250 basis points
Benchmarks:   USD Overnight Bank Funding Rate

 

The following table represents the individual short positions and related values of equity securities underlying the total return swap with Merrill Lynch International, as of period end, termination date May 15, 2024:

 

 

 
                 % of  
                 Basket  
    Shares      Value     Value  

 

 

Reference Entity — Short

      

Investment Companies

      

Fixed-Income Funds

      

Invesco AT1 Capital Bond UCITS ETF

    25,532      $     (551,162     0.8

 

 

 
                 % of  
                 Basket  
    Shares      Value     Value  

 

 

Fixed-Income Funds (continued)

 

 

iShares iBoxx $ Investment Grade Corporate Bond ETF

    413,092      $ (45,279,014     65.3

iShares iBoxx High Yield Corporate Bond ETF

    158,395        (11,966,742     17.3  

SPDR Bloomberg High Yield Bond ETF

    124,000        (11,509,680     16.6  
    

 

 

   

 

 

 
       (69,306,598  
    

 

 

   

Net Value of Reference Entity — Merrill Lynch International

     $   (69,306,598  
    

 

 

   
 

 

 

86  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

    

 

Balances Reported in the Consolidated Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written

 

      Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Centrally Cleared Swaps(a)

   $ 864,156      $ (290,236    $ 1,659,571      $ (12,077,046    $  

OTC Swaps

     5,190,164        (1,648,654      4,680,081        (5,787,598       

Options Written

     N/A        N/A        12,987,875        (1,792,502      (76,849,851

 

  (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 Consolidated 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 Consolidated 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)

   $      $      $      $      $ 42,056,158      $      $ 42,056,158  

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

                          6,293,816                      6,293,816  

Options purchased

                    

Investments at value — unaffiliated(b)

                   3,117,636        6,724,624        54,696,597               64,538,857  

Swaps — centrally cleared

                    

Unrealized appreciation on centrally cleared swaps(a)

            202,469                      1,457,102               1,659,571  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            6,496,583        3,196,068               177,594               9,870,245  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 6,699,052      $ 6,313,704      $ 13,018,440      $ 98,387,451      $      $ 124,418,647  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $      $      $ 1,802,809      $      $ 18,317,141      $      $ 20,119,950  

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

                          8,125,121                      8,125,121  

Options written

                    

Options written at value

                   1,290,974        2,788,629        72,770,248               76,849,851  

Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps(a)

            1,374,139                      10,702,907               12,077,046  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

            5,467,204        1,492,067               476,981               7,436,252  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $  6,841,343      $  4,585,850      $  10,913,750      $  102,267,277      $      $  124,608,220  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Consolidated 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.

 

 

 

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

  87


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

 

For the period ended March 31, 2023, the effect of derivative financial instruments in the Consolidated 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

   $      $      $ (10,632,791    $      $ (17,427,582    $      $ (28,060,373

Forward foreign currency exchange contracts

                          (2,171,104                    (2,171,104

Options purchased(a)

            (736,274      (5,475,899      (16,651,586      23,278,245               414,486  

Options written

            47,350        2,454,170        11,374,262        (79,282,028             (65,406,246

Swaps

            (1,602,524      11,513,606               (8,062,961      1,716,101        3,564,222  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ (2,291,448    $ (2,140,914    $ (7,448,428    $ (81,494,326    $ 1,716,101      $ (91,659,015
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Futures contracts

   $      $      $ (2,066,522    $      $ 42,320,916      $      $ 40,254,394  

Forward foreign currency exchange contracts

                          (12,611,451                    (12,611,451

Options purchased(b)

            3,559        (2,020,199      (1,283,583      5,875,309               2,575,086  

Options written

            (9,314      127,730        (1,265,986      11,835,339               10,687,769  

Swaps

            (2,899,645      1,819,416               (12,119,011      20,894,967        7,695,727  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ (2,905,400    $ (2,139,575    $ (15,161,020    $ 47,912,553      $   20,894,967      $   48,601,525  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts

        

Average notional value of contracts — long

     $5,539,964,150  

Average notional value of contracts — short

     $1,445,401,277  

Forward foreign currency exchange contracts

  

Average amounts purchased — in USD

     $410,253,969  

Average amounts sold — in USD

     $319,595,509  

Options

  

Average value of option contracts purchased

     $8,225,685  

Average value of option contracts written

     $2,775,040  

Average notional value of swaption contracts purchased

     $3,339,790,093  

Average notional value of swaption contracts written

     $6,411,549,549  

Credit default swaps

  

Average notional value — buy protection

     $262,727,645  

Average notional value — sell protection

     $63,257,501  

Total return swaps

  

Average notional amount

     $123,491,486  

Interest rate swaps

  

Average notional value — pays fixed rate

     $592,963,781  

Average notional value — received fixed rate

     $1,064,943,547  

For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Consolidated Notes to Financial Statements.

 

 

88  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

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

   $ 11,840,767        $ 4,005,762  

Forward foreign currency exchange contracts

     6,293,816          8,125,121  

Options

     64,538,857          76,849,851  

Swaps — centrally cleared

     11,156,484           

Swaps — OTC(a)

     9,870,245          7,436,252  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

   $ 103,700,169        $ 96,416,986  
  

 

 

      

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

     (27,105,393        (6,096,355
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $   76,594,776        $   90,320,631  
  

 

 

      

 

 

 

 

  (a) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) 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)
 

Bank of America N.A.

   $ 25,190,411        $ (4,080,958      $ (13,480,513      $        $ 7,628,940  

Bank of New York Mellon

     66,982          (66,982                           

Barclays Bank PLC

     3,254,801          (1,422,146                 (1,832,655         

BNP Paribas S.A.

     1,583,093          (1,136,798                          446,295  

Citibank N.A.

     3,633,421          (367,359                 (889,580        2,376,482  

Citigroup Global Markets, Inc.

     512,286                            (390,520        121,766  

Deutsche Bank AG

     682,283          (682,283                           

Goldman Sachs International

     7,879,660          (7,879,660                           

HSBC Bank PLC

     573,482          (217,676                          355,806  

JPMorgan Chase Bank N.A.

     3,467,506          (3,467,506                           

Morgan Stanley & Co. International PLC

     29,503,495          (29,503,495                           

NatWest Markets PLC

     76,291          (27,499                          48,792  

Royal Bank of Canada

     327,535                                     327,535  

Standard Chartered Bank

     178,748          (33,462                          145,286  

TD Securities, Inc.

     153,569          (153,569                           

UBS AG

     201,113          (201,113                           
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $   77,284,676        $   (49,240,506      $   (13,480,513      $   (3,112,755      $   11,450,902  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
Counterparty   

Derivative

Liabilities

Subject to
an MNA by
Counterparty

       Derivatives
Available
for Offset(a)
       Non-
Cash
Collateral
Pledged(b)
      

Cash
Collateral

Pledged(b)

      

Net
Amount of
Derivative

Liabilities(d)

 

Bank of America N.A.

   $ 4,080,958          $(4,080,958)        $        $        $  

Bank of New York Mellon

     159,929          (66,982                          92,947  

Barclays Bank PLC

     1,422,146          (1,422,146                           

BNP Paribas S.A.

     1,136,798          (1,136,798                           

Citibank N.A.

     367,359          (367,359                           

Deutsche Bank AG

     7,224,213          (682,283        (6,541,930                  

Goldman Sachs International

     20,365,410          (7,879,660        (12,485,750                  

HSBC Bank PLC

     217,676          (217,676                           

J.P. Morgan Securities LLC

     46,920                                     46,920  

JPMorgan Chase Bank N.A.

     8,961,227          (3,467,506        (5,493,721                  

Merrill Lynch International

     1,350,152                                     1,350,152  

Morgan Stanley & Co. International PLC

     43,777,992          (29,503,495        (14,274,497                  

NatWest Markets PLC

     27,499          (27,499                           

Standard Chartered Bank

     33,462          (33,462                           

State Street Bank and Trust Co.

     206,898                                     206,898  

 

 

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

  89


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

 

Counterparty   

Derivative

Liabilities

Subject to
an MNA by
Counterparty

       Derivatives
Available
for Offset(a)
      

Non-
Cash
Collateral

Pledged(b)

      

Cash
Collateral

Pledged(b)

      

Net
Amount of
Derivative

Liabilities(d)

 

TD Securities, Inc.

   $ 262,075        $ (153,569)        $        $        $ 108,506  

UBS AG

     679,917          (201,113)                            478,804  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 90,320,631        $   (49,240,506      $   (38,795,898      $        $   2,284,227  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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/pledged, if any, 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 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 Consolidated 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 Consolidated 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

   $        $ 1,922,696,592        $ 20,174,759        $ 1,942,871,351  

Common Stocks

                 

Aerospace & Defense

              154,802                   154,802  

Capital Markets

     858,538                   115,046          973,584  

Chemicals

     1,523,849                            1,523,849  

Energy Equipment & Services

     5,011,274                            5,011,274  

Entertainment

     1,418,787          1,687,518                   3,106,305  

Financial Services

     1,043,219                   34,718          1,077,937  

Hotel & Resort REITs

     5,874,763          287,950                   6,162,713  

Hotels, Restaurants & Leisure

     702,864                            702,864  

Interactive Media & Services

     3,548,185                            3,548,185  

IT Services

                       130,239          130,239  

Machinery

     2,706,540          1,349,831                   4,056,371  

Metals & Mining

     36,852                            36,852  

Oil, Gas & Consumable Fuels

     9,411,871                            9,411,871  

Real Estate Management & Development

     1,498,188          168,327                   1,666,515  

Software

     316,044          313,870                   629,914  

Corporate Bonds

              4,290,354,710          78,857,852          4,369,212,562  

Floating Rate Loan Interests

              131,687,348            226,429,100          358,116,448  

Foreign Agency Obligations

              34,323,391                   34,323,391  

Foreign Government Obligations

              196,379,559                   196,379,559  

Investment Companies

         35,391,460                            35,391,460  

Municipal Bonds

              116,859,865                   116,859,865  

Non-Agency Mortgage-Backed Securities

              1,396,930,146          150,494,106          1,547,424,252  

Preferred Securities

              17,216,650          33,170,269          50,386,919  

U.S. Government Sponsored Agency Securities

                11,079,013,527          9,217,440            11,088,230,967  

U.S. Treasury Obligations

              3,553,547,981                   3,553,547,981  

Warrants

                 

Automobile Components

     3,423                            3,423  

Automobiles

     81,853          13,311                   95,164  

Capital Markets

     21,988                   17,165          39,153  

Consumer Staples Distribution & Retail

     50,410                            50,410  

Electrical Equipment

     16,785                   418,017          434,802  

Financial Services

     1,553                   6,592          8,145  

Hotels, Restaurants & Leisure

                       1          1  

IT Services

                       23,482          23,482  

Machinery

     29,128          5,840                   34,968  

Oil, Gas & Consumable Fuels

     19,006                            19,006  

 

 

90  

2 0 2 3    B L A C K O C K     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

    

 

      Level 1        Level 2        Level 3        Total  

Warrants (continued)

                 

Real Estate Management & Development

   $ 4,464        $        $        $ 4,464  

Software

     21,784                   1,355,255          1,377,039  

Short-Term Securities

                 

Commercial Paper

              11,101,780                   11,101,780  

Money Market Funds

     606,116,138                            606,116,138  

Options Purchased

                 

Equity Contracts

     3,084,939          32,697                   3,117,636  

Foreign Currency Exchange Contracts

              6,724,624                   6,724,624  

Interest Rate Contracts

     1,023,203          53,673,394                   54,696,597  

Other Contracts

              689,900                   689,900  

Liabilities

                 

TBA Sale Commitments

              (5,744,635,744                 (5,744,635,744

Unfunded Floating Rate Loan Interests (a)

              (9,879        (148,327        (158,206
  

 

 

      

 

 

      

 

 

      

 

 

 
   $   679,817,108        $   17,070,567,990        $   520,295,714          18,270,680,812  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments valued at NAV(b)

                    11,129,888  
                 

 

 

 
                  $   18,281,810,700  
                 

 

 

 

Derivative Financial Instruments(c)

                 

Assets

                 

Credit Contracts

   $        $ 1,508,888        $        $ 1,508,888  

Equity Contracts

              3,196,068                   3,196,068  

Foreign Currency Exchange Contracts

              6,130,910                   6,130,910  

Interest Rate Contracts

     42,056,158          1,634,696                   43,690,854  

Liabilities

                 

Credit Contracts

              (5,192,689                 (5,192,689

Equity Contracts

     (1,786,123        (2,799,727                 (4,585,850

Foreign Currency Exchange Contracts

              (10,750,844                 (10,750,844

Interest Rate Contracts

     (19,116,760        (83,150,517                 (102,267,277
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 21,153,275        $ (89,423,215      $        $ (68,269,940
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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 as a practical expedient 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.

 

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, 2022

   $ 68,815,237      $ 348,874      $ 43,313,634      $ 263,305,796      $ 213,991,954      $ 18,825,589  

Transfers into Level 3

     1,231,385               20,092,362        1,819,263                

Transfers out of Level 3

     (32,059,199                    (15,780,577      (109,062,141       

Other(a)

     (15,633,983                           15,633,983         

Accrued discounts/premiums

     5               136,721        142,116        336,505         

Net realized gain (loss)

     411        (912      8,765        (1,663,911      (63,234       

Net change in unrealized appreciation
(depreciation)(b)(c)

     (651,200      (67,959      2,432,026        (3,169,171      (4,002,106      (1,404,364

Purchases

     17,631               14,489,054        25,593,175        42,723,095        15,749,044  

Sales

     (1,545,528             (1,614,709      (43,817,592      (9,093,950       
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Closing Balance, as of March 31, 2023

   $     20,174,759      $     280,003      $     78,857,853      $     226,429,099      $ 150,494,106      $ 33,170,269  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2023(c)

   $ (675,156    $ (67,959    $ 2,432,026      $ (3,661,778    $ (3,995,709    $ (1,404,364
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

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

  91


Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

    

 

      Rights      U.S. Government
Sponsored Agency
Securities
     Warrants      Total  

Assets

           

Opening Balance, as of September 30, 2022

   $     4,291      $ 4,460,883      $ 959,745      $ 614,026,003  

Transfers into Level 3

            3,545,597               26,688,607  

Transfers out of Level 3

            (4,460,883             (161,362,800

Other(a)

     (4,291             4,291         

Accrued discounts/premiums

            (454,688             190,659  

Net realized gain (loss)

                          (1,718,881

Net change in unrealized appreciation (depreciation)(a)(b)

            52,335        856,476        (5,953,963

Purchases

            6,074,196               104,646,195  

Sales

                          (56,071,779
  

 

 

    

 

 

    

 

 

    

 

 

 

Closing Balance, as of March 31, 2023

   $      $ 9,217,440      $     1,820,512      $ 520,444,041  
  

 

 

    

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2023(b)

   $      $ 52,335      $ 856,476      $ (6,464,129
  

 

 

    

 

 

    

 

 

    

 

 

 

 

      Unfunded
Floating Rate
Loan Interests
 

Liabilities

  

Opening Balance, as of September 30, 2022

   $ (384,063

Transfers into Level 3

      

Transfers out of Level 3

     12,179  

Accrued discounts/premiums

      

Net realized gain (loss)

      

Net change in unrealized appreciation (depreciation)(a)(b)

     223,557  

Purchases

      

Sales

      
  

 

 

 

Closing Balance, as of March 31, 2023

   $ (148,327
  

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2023(b)

   $ (6,379
  

 

 

 

 

  (a) 

Certain Level 3 investments were re-classified between Asset-Backed Securities and Non-Agency Mortgage-Backed Securities and between Rights and Warrants.

 
  (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, 2023, is generally due to investments no longer held or categorized as Level 3 at period end.

 

 

      Foreign Currency
Exchange Contracts
 
      Assets        Liabilities  

Opening Balance, as of September 30, 2022

   $ 2,680,210        $  

Transfers into Level 3

               

Transfers out of Level 3

               

Accrued discounts/premiums

               

Net realized gain (loss)

     (3,816,474         

Net change in unrealized appreciation (depreciation)(a)(b)

     1,136,264           

Purchases

               

Issues

               

Sales

               

Settlements

               
  

 

 

      

 

 

 

Closing Balance, as of March 31, 2023

   $        $  
  

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2023(b)

   $        $  
  

 

 

      

 

 

 

 

  (a) 

Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations.

 
  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2023, is generally due to investments no longer held or categorized as Level 3 at period end.

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the Valuation Committee to determine the value of certain of the Master Portfolio’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the

 

 

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Schedule of Investments (unaudited) (continued)

March 31, 2023

 

  

Master Total Return Portfolio

    

 

amount of $207,179,385. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.

 

      Value      Valuation Approach     

Unobservable

Inputs

     Range of
Unobservable Inputs
Utilized(a)
    

Weighted Average of

Unobservable Inputs

Based on Fair Value

 

Assets

              

Asset Backed Securities

   $ 18,644,448        Income        Discount Rate        8% - 9%        8%  

Common Stocks

     280,003        Market        Volatility        52% - 75%        69%  
           Time to Exit        1.0 - 1.9 years        1.4 years  

Corporate Bonds(b)

     74,124,911        Income        Discount Rate        5% - 35%        16%  

Floating Rate Loan Interests(c)

     185,076,187        Income        Discount Rate        11% - 21%        14%  
           Credit Spread        285 - 600        423  
           Esimtated Recovery Value        50%        -  

Preferred Stock

     33,170,269        Income        Discount Rate        13% - 14%        13%  
        Market        Revenue Multiple        9.25x        -  
           EBITDA Multiple        7.96x - 15.00x        12.76x  
           Gross Profit Multiple        5.76x3 years        -  
           Volatility           -  
           Time to Exit           -  

Warrants

     1,820,511        Market        Revenue Multiple        9.25x4 - 10.75x        9.60x  
           Volatility        49% - 75%        61%  
           Time to Exit        0.2 - 0.3 years        0.2 years  
  

 

 

             
   $ 313,116,329              
  

 

 

             

 

  (a) 

A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

 
  (b) 

For the period end March 31, 2023, the valuation technique for investments classified as Corporate Bonds amounting to $6,903,232 changed to a Discount Cash Flow approach. The investments were previously valued utilizing a recent transaction. The change was due to consideration of the information that was available at the time the investments were valued.

 
  (c) 

For the period end March 31, 2023, the valuation technique for investments classified as Floating Rate Loan Interests amounting to $12,601,134 changed to a Discount Cash Flow approach. The investments were previously valued utilizing a recent transaction. The change was due to consideration of the information that was available at the time the investments were valued.

 

See notes to financial statements.

 

 

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

  93


 

Consolidated Statement of Assets and Liabilities (unaudited)

March 31, 2023

 

    

Master

Total Return
Portfolio

 

ASSETS

 

Investments, at value — unaffiliated(a)(b)

  $ 23,383,161,834  

Investments, at value — affiliated(c)

    643,442,816  

Cash

    349,292  

Cash pledged:

 

Collateral - exchange-traded options written

    200  

Collateral - OTC derivatives

    2,818,200  

Collateral - TBA commitments

    287,000  

Futures contracts

    66,088,010  

Centrally cleared swaps

    8,534,630  

Foreign currency, at value(d)

    51,056,105  

Receivables:

 

Investments sold

    351,435,436  

Options written

    439,595  

Securities lending income — affiliated

    20,161  

Swaps

    1,216,478  

TBA sale commitments

    5,704,419,023  

Contributions from investors

    185,467,156  

Dividends — unaffiliated

    27,363  

Dividends — affiliated

    9,185  

Interest — unaffiliated

    132,678,739  

Variation margin on futures contracts

    11,840,767  

Variation margin on centrally cleared swaps

    11,156,484  

Swap premiums paid

    5,190,164  

Unrealized appreciation on:

 

Forward foreign currency exchange contracts

    6,293,816  

OTC swaps

    4,680,081  

Prepaid expenses

    154,806  
 

 

 

 

Total assets

    30,570,767,341  
 

 

 

 

LIABILITIES

 

Cash received:

 

Collateral - OTC derivatives

    4,280,100  

Collateral - TBA commitments

    727,283  

Collateral on securities loaned

    11,134,141  

Options written at value(f)

    76,849,851  

TBA sale commitments at value(g)

    5,744,635,744  

Payables:

 

Investments purchased

    6,505,436,594  

Swaps

    2,055,244  

Interest expense

    8,020,762  

Investment advisory fees

    795,286  

Directors’ fees

    288,700  

Options written

    2,839,695  

Other accrued expenses

    1,543,672  

Variation margin on futures contracts

    4,005,762  

Withdrawals to investors

    192,443,396  

Swap premiums received

    1,648,654  

Unrealized depreciation on:

 

Forward foreign currency exchange contracts

    8,125,121  

OTC swaps

    5,787,598  

Unfunded floating rate loan interests

    158,206  
 

 

 

 

Total liabilities

    12,570,775,809  
 

 

 

 

NET ASSETS

  $  17,999,991,532  
 

 

 

 

 

 

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Consolidated Statement of Assets and Liabilities (unaudited) (continued)

March 31, 2023

 

    

Master

Total Return
Portfolio

 

NET ASSETS CONSIST OF

 

Investors’ capital

  $ 19,199,382,401  

Net unrealized appreciation (depreciation)

    (1,199,390,869
 

 

 

 

NET ASSETS

  $ 17,999,991,532  
 

 

 

 

(a) Investments, at cost — unaffiliated

  $ 24,562,158,018  

(b) Securities loaned, at value

  $ 10,922,942  

(c)  Investments, at cost — affiliated

  $ 643,094,942  

(d) Foreign currency, at cost

  $ 50,909,366  

(f)  Premiums received

  $ 88,045,224  

(g) Proceeds from TBA sale commitments

  $ 5,704,419,023  

See notes to consolidated financial statements.

 

 

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

  95


Consolidated Statement of Operations (unaudited)

Six Months Ended March 31, 2023

 

  

 

    

Master

Total Return

Portfolio

 

INVESTMENT INCOME

 

Dividends — unaffiliated

  $ 1,806,814  

Dividends — affiliated

    19,663,806  

Interest — unaffiliated

    357,510,962  

Securities lending income — affiliated — net

    187,546  
 

 

 

 

Total investment income

    379,169,128  
 

 

 

 

EXPENSES

 

Investment advisory

    4,701,359  

Pricing

    340,570  

Custodian

    288,268  

Accounting services

    257,096  

Professional

    169,846  

Directors

    14,073  

Printing and postage

    6,304  

Miscellaneous

    108,206  
 

 

 

 

Total expenses excluding interest expense

    5,885,722  

Interest expense

    1,758  
 

 

 

 

Total expenses

    5,887,480  

Less:

 

Fees waived and/or reimbursed by the Manager

    (359,323
 

 

 

 

Total expenses after fees waived and/or reimbursed

    5,528,157  
 

 

 

 

Net investment income

    373,640,971  
 

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    (517,438,061

Investments — affiliated

    155,471  

Options written

    (65,406,246

Futures contracts

    (28,060,373

Forward foreign currency exchange contracts

    (2,171,104

Foreign currency transactions

    3,323,198  

Swaps

    3,564,222  
 

 

 

 
    (606,032,893
 

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments — unaffiliated

    1,049,741,687  

Investments — affiliated

    347,108  

Options written

    86,058,935  

Futures contracts

    121,187,090  

Forward foreign currency exchange contracts

    (10,425,543

Foreign currency translations

    598,363  

Swaps

    6,117,126  

Unfunded floating rate loan interests

    225,857  
 

 

 

 
    1,253,850,623  
 

 

 

 

Net realized and unrealized gain

    647,817,730  
 

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $  1,021,458,701  
 

 

 

 

See notes to consolidated financial statements.

 

 

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Consolidated Statements of Changes in Net Assets        

 

    Master Total Return Portfolio  
    

Six Months

Ended

03/31/23
(unaudited)

    Year Ended
09/30/22
 

INCREASE (DECREASE) IN NET ASSETS

   

OPERATIONS

   

Net investment income

  $ 373,640,971     $ 550,138,082  

Net realized loss

    (606,032,893     (1,364,435,913

Net change in unrealized appreciation (depreciation)

    1,253,850,623       (2,590,778,415
 

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    1,021,458,701       (3,405,076,246
 

 

 

   

 

 

 

CAPITAL TRANSACTIONS

   

Proceeds from contributions

    3,535,978,614       7,567,387,796  

Value of withdrawals

    (3,869,443,147     (8,475,995,704
 

 

 

   

 

 

 

Net decrease in net assets derived from capital transactions

    (333,464,533     (908,607,908
 

 

 

   

 

 

 

NET ASSETS

   

Total increase (decrease) in net assets

    687,994,168       (4,313,684,154

Beginning of period

    17,311,997,364       21,625,681,518  
 

 

 

   

 

 

 

End of period

  $  17,999,991,532     $  17,311,997,364  
 

 

 

   

 

 

 

See notes to consolidated financial statements.

 

 

O N S O L I D A T E D    I N A N C  I A L    T A T E M E N T S

  97


Consolidated Financial Highlights

(For a share outstanding throughout each period)

 

    Master Total Return Portfolio  
    Six Months Ended
03/31/23
(unaudited)
    Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19(a)
    Year Ended
09/30/18(a)
 
             

Total Return

           

Total return

    6.05 %(b)       (15.60 )%      1.63     7.90     10.60     (1.19 )%(c)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(d)

           

Total expenses

    0.07 %(e)       0.07     0.07     0.07     0.07     0.34
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.06 %(e)       0.06     0.07     0.06     0.07     0.34
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    0.06 %(e)       0.06     0.07     0.06     0.07     0.07
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    4.27 %(e)       2.65     2.25     2.70     3.70     3.67
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 17,999,992     $ 17,311,997     $ 21,625,682     $ 20,004,450     $ 15,712,831     $ 13,063,847  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate(f)

    161     289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Consolidated Financial Highlights.

(b) 

Not annualized.

(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
03/31/23
(unaudited)
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

     68      42      161      274      241      350
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to consolidated financial statements.

 

 

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Consolidated 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 funds referred to as the BlackRock Fixed-Income Complex.

Basis of Consolidation: The accompanying consolidated financial statements of the Master Portfolio include the accounts of BlackRock Cayman Master Total Return Portfolio II, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of the Master Portfolio and primarily invests in commodity-related instruments. The Subsidiary enables the Master Portfolio to hold these commodity-related instruments and satisfy regulated investment company tax requirements. The Master Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary as of period end were $14,198 which is less than 0.1% of the Master Portfolio’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiary is subject to the same investment policies and restrictions that apply to the Master Portfolio, except that the Subsidiary may invest without limitation in commodity-related instruments.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

The consolidated 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 consolidated financial statements, disclosure of contingent assets and liabilities at the date of the consolidated 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 Consolidated 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 Consolidated 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, 2023, if any, are disclosed in the Consolidated 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 Consolidated Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

Collateralization: If required by an exchange or counterparty agreement, the Master Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

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

 

 

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Consolidated Notes to Financial Statements (unaudited) (continued)

 

  

 

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.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Fund, as applicable. Deferred compensation liabilities, if any, are included in the Director’s fees payable in the Consolidated Statement of Assets and Liabilities and will remain as a liability of the Fund until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the BlackRock Fixed Income Complex and reflected as Director expense on the Consolidated Statement of Operations. The Director expense may be negative as a result of a decrease in value of the deferred accounts.

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 Board has approved the designation of the Manager as the valuation designee for the Master Portfolio under rule 2a-5 under the 1940 Act. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

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

 

   

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

 

   

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.

 

 

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Consolidated Notes to Financial Statements (unaudited) (continued)

 

  

 

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the New York Stock Exchange (“NYSE”). Each business day, the Master Portfolio uses current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that the Master Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.

 

Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services

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;

 

 

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

 

 

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of March 31, 2023, certain investments of the Master Portfolio were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

 

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Consolidated Notes to Financial Statements (unaudited) (continued)

 

 

4.

SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, 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. A CDO 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 Consolidated 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,

 

 

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Consolidated Notes to Financial Statements (unaudited) (continued)

 

       

 

generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

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 Consolidated 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 Consolidated Statement of Assets and Liabilities and Consolidated 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)
 

Aspen Owner LLC, Advance

  $ 1,502,339      $ 1,498,934      $  1,443,255      $ (55,679

BRE Park Avenue Tower Owner LLC, Mezzanine A Loan

    453,281        453,281        443,465        (9,816

CP Iris Holdco I, Inc., Delayed Draw Term Loan (First Lien)

    151,991        151,990        142,111        (9,879

MUPR 3 Assets LLC, Facility

    6,842,013        6,842,013        6,824,908        (17,105

Paradise Plaza Associates LLC, Term Loan

    1,632,449        1,629,714        1,579,998        (49,716

The Vinoy St. Petersburg, Note A

    471,875        470,544        454,533        (16,011
          

 

 

 
           $ (158,206
          

 

 

 
          

 

 

 

Forward Commitments, When-Issued and Delayed Delivery Securities: The Master Portfolio may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Master Portfolio may purchase securities under such conditions with the intention of actually acquiring them but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Master Portfolio may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Master Portfolio assumes

 

 

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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, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.

In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Consolidated Statement of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedule of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.

Mortgage Dollar Roll Transactions: The Master Portfolio may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.

Securities Lending: The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock 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 related collateral, if any, are shown separately in the Consolidated Statement of Assets and Liabilities as a component of investments at value – unaffiliated and collateral on securities loaned, respectively.

Securities lending transactions are entered into by the Master Portfolio under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Master Portfolio’s securities on loan by counterparty which are subject to offset under an MSLA:

 

         

Counterparty

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

BNP Paribas SA

   $ 559      $ (559    $      $  

BofA Securities, Inc.

     4,285,910        (4,285,910              

Citigroup Global Markets, Inc.

     310,656        (304,040             6,616  

Goldman Sachs & Co. LLC

     416,449        (406,360             10,089  

J.P. Morgan Securities LLC

     5,791,288        (5,791,288              

National Financial Services LLC

     118,080        (118,080              
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 10,922,942      $ (10,906,237    $      $ 16,705  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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 Consolidated Statement of Assets and Liabilities.

 

 

 

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Consolidated Notes to Financial Statements (unaudited) (continued)

 

       

 

  (b) 

The market value of the loaned securities is determined as of March 31, 2023. 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.

 

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by 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 Master Portfolio could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Master Portfolio.

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or 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) or to the applicable commodities market (commodities price 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. The Master Portfolio may invest in carbon credit futures that are traded on a commodity exchanges with the Commodity Futures Trading Commission. 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 Consolidated 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 Consolidated 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 Consolidated Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Consolidated 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 Consolidated Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Consolidated 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 Consolidated 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 Consolidated 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 Consolidated 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 Consolidated 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 Consolidated 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

 

 

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Consolidated Notes to Financial Statements (unaudited) (continued)        

 

 

“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 Consolidated 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 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 Consolidated 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 Consolidated Statement of Assets and Liabilities. Payments received or paid are recorded in the Consolidated Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Consolidated 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 Consolidated Statement of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally Consolidated 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 Consolidated Statement

 

 

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Consolidated Notes to Financial Statements (unaudited) (continued)

 

       

 

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 Consolidated 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 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 Consolidated 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 risks in excess of the amounts recognized in the Consolidated 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

 

 

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Consolidated Notes to Financial Statements (unaudited) (continued)

 

 

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.

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 Consolidated 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 Consolidated 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 (“BSL”), each an affiliate of the Manager. The Manager pays BIL and BSL for services they provide, for that portion of the Master Portfolio for which BIL and BSL, 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, 2024. 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 Consolidated Statement of Operations. For the six months ended March 31, 2023, the amount waived was $358,777.

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, 2024. 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 Consolidated Statement of Operations. For the six months ended March 31, 2023, the Manager waived $546 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

 

 

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Consolidated Notes to Financial Statements  (unaudited) (continued)

 

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.

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.

The share of securities lending income earned by the Master Portfolio is shown as securities lending income — affiliated — net in the Consolidated Statement of Operations. For the six months ended March 31, 2023, the Master Portfolio paid BIM $43,992 for securities lending agent services.

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

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

During the six months ended March 31, 2023, 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.

 

7.

PURCHASES AND SALES

For the six months ended March 31, 2023, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term securities, were as follows:

 

     Purchases      Sales  

Non-U.S. Government Securities

  $  23,059,017,487      $  25,037,755,524  

U.S. Government Securities

    3,723,945,468        1,844,138,920  

For the six months ended March 31, 2023, purchases and sales related to mortgage dollar rolls were as follows:

 

     Purchases      Sales  

Mortgage Dollar Rolls

  $  15,434,326,892      $  15,435,059,544  

 

8.

INCOME TAX INFORMATION

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

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

Management has analyzed tax laws and regulations and their application to the Master Portfolio as of March 31, 2023, 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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  109


Consolidated Notes to Financial Statements (unaudited) (continued)   

 

 

As of March 31, 2023, 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

  $   25,240,303,143  
 

 

 

 

Gross unrealized appreciation

  $        236,783,522  

Gross unrealized depreciation

    (1,470,923,452
 

 

 

 

Net unrealized appreciation (depreciation)

  $    (1,234,139,930
 

 

 

 

    

 

 

 

 

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 party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate (“SOFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2023 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended March 31, 2023, 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.

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

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Master Portfolio may invest in illiquid investments. An illiquid investment is any investment that the Master Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Master Portfolio may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Master Portfolio’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Master Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Master Portfolio invests.

The price the Master Portfolio could receive upon the sale of any particular portfolio investment may differ from the Master Portfolio’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the

 

 

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Consolidated Notes to Financial Statements (unaudited) (continued)        

 

 

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 Consolidated Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

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 decrease as interest rates rise and increase as interest rates fall. The Master Portfolio may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. The Federal Reserve has recently begun to raise the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Master Portfolio’s performance.

The Master Portfolio invests a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When 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 Master Portfolio may be exposed to financial instruments that are tied to the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, announced that a majority of USD LIBOR settings will no longer be published after June 30, 2023. All other LIBOR settings and certain other interbank offered rates ceased to be published after December 31, 2021. The Secured Overnight Financing Rate (“SOFR”) has been used increasingly on a voluntary basis in new instruments and transactions. The Federal Reserve Board adopted regulations that provide a fallback mechanism by identifying benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. The ultimate effect of the LIBOR transition process on the Master 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 item was noted:

Effective April 13, 2023, the credit agreement was extended until April 2024 under the same terms.

 

 

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  111


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 Bond Fund, Inc. and Master Bond LLC (the “Corporations”) have adopted and implemented a liquidity risk management program (the “Program”) for BlackRock Total Return Fund and Master Total Return Portfolio (the “Funds”), each a series of the respective Corporation, which is reasonably designed to assess and manage each Fund’s liquidity risk.

The Board of Directors (the “Board”) of the Trust, on behalf of the Fund, met on November 8-9, 2022 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors (“BlackRock”), each an investment adviser to certain BlackRock funds, as the program administrator for the Fund’s Program, as applicable. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of the Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from October 1, 2021 through September 30, 2022 (the “Program Reporting Period”).

The Report described the Program’s liquidity classification methodology for categorizing the Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish the Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to the Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing the Fund’s liquidity risk, as follows:

 

  a)

The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end fund structure with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a fund participated in borrowings for investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program’s calculation of a fund’s liquidity bucketing. A fund’s derivative exposure was also considered in such calculation.

 

  b)

Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish the Fund’s reasonably anticipated trading size utilized for liquidity classifications. the Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund’s distribution channels, and the degree of certainty associated with a fund’s short-term and long-term cash flow projections.

 

  c)

Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered the terms of the credit facility committed to the Fund, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V, and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). The Committee also considered other types of borrowing available to the funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.

There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program’s classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

 

 

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Additional Information

 

 

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 Portfolio file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Fund’s/Master Portfolio’s Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, the Fund/Master Portfolio 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 Portfolio use to determine how to vote proxies relating to portfolio securities and information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund’s/Master Portfolio’s portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.

BlackRock’s Mutual Fund Family

BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.

Automatic Investment Plans

Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

Systematic Withdrawal Plans

Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.

Retirement Plans

Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.

BlackRock Privacy Principles

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

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

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

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.

 

 

D D I T I O N A L    N F O R M A T  I O N 

  113


Additional Information  (continued)   

 

 

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

Fund and/or Master Portfolio Service Providers

Investment Adviser   Independent Registered Public Accounting Firm
BlackRock Advisors, LLC   Deloitte & Touche LLP
Wilmington, DE 19809   Boston, MA 02116
Sub-Advisers   Distributor
BlackRock International Limited   BlackRock Investments, LLC
Edinburgh, EH3 8BL   New York, NY 10022
United Kingdom  
  Legal Counsel
BlackRock (Singapore) Limited   Willkie Farr & Gallagher LLP
079912 Singapore   New York, NY 10019
Accounting Agent and Transfer Agent   Address of the Corporation/Master Bond LLC
BNY Mellon Investment Servicing (US) Inc.   100 Bellevue Parkway
Wilmington, DE 19809   Wilmington, DE 19809
Custodian  
The Bank of New York Mellon  
New York, NY 10286  

 

 

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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
COP   Colombian Peso
CZK   Czech Koruna
EUR   Euro
GBP   British Pound
HKD   Hong Kong Dollar
HUF   Hungarian Forint
IDR   Indonesian Rupiah
JPY   Japanese Yen
KRW   South Korean Won
MXN   Mexican Peso
NOK   Norwegian Krone
NZD   New Zealand Dollar
PLN   Polish Zloty
RUB   Russian Ruble
THB   Thai Baht
TWD   Taiwan New Dollar
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
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
JIBAR   Johannesburg Interbank Average Rate
LIBOR   London Interbank Offered Rate
LP   Limited Partnership
MXIBTIIE   Mexico Interbank TIIE 28-Day
OTC   Over-the-Counter
PIK   Payment-in-Kind
PRIBOR   Prague Inter Bank Offered Rate
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
TONA   Tokyo Overnight Average Rate
WIBOR   Warsaw Interbank Offer Rate
 

 

 

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

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This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

TR-3/23-SAR

 

 

 

 

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(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

 

2


(a)(4) Change in Registrant’s independent public accountant – Not Applicable

(b) Section 906 Certifications are attached

 

 

3


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 Bond Fund, Inc. and Master Bond LLC

 

  By:     

/s/ John M. Perlowski                            

       John M. Perlowski
       Chief Executive Officer (principal executive officer) of
       BlackRock Bond Fund, Inc. and Master Bond LLC

Date: May 23, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of each registrant and in the capacities and on the dates indicated.

 

  By:     

/s/ John M. Perlowski                            

       John M. Perlowski
       Chief Executive Officer (principal executive officer) of
       BlackRock Bond Fund, Inc. and Master Bond LLC

Date: May 23, 2023

 

  By:     

/s/ Trent Walker                                

       Trent Walker
       Chief Financial Officer (principal financial officer) of
       BlackRock Bond Fund, Inc. and Master Bond LLC

Date: May 23, 2023

 

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