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BLACKROCK FUNDS III

JUNE 30, 2016

N-CSRS 1 d143151dncsrs.htm MASTER INVESTMENT PORTFOLIO MASTER INVESTMENT PORTFOLIO

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT

COMPANIES

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

Name of Fund: BlackRock Funds III

BlackRock Cash Funds: Institutional

BlackRock Cash Funds: Prime

BlackRock Cash Funds: Treasury

BlackRock CoreAlpha Bond Fund

BlackRock Disciplined International Fund

BlackRock Large Cap Index Fund

BlackRock LifePath® Retirement

BlackRock LifePath® 2020 Fund

BlackRock LifePath® 2025 Fund

BlackRock LifePath® 2030 Fund

BlackRock LifePath® 2035 Fund

BlackRock LifePath® 2040 Fund

BlackRock LifePath® 2045 Fund

BlackRock LifePath® 2050 Fund

BlackRock LifePath® 2055 Fund

BlackRock LifePath® Index Retirement Fund

BlackRock LifePath® Index 2020 Fund

BlackRock LifePath® Index 2025 Fund

BlackRock LifePath® Index 2030 Fund

BlackRock LifePath® Index 2035 Fund

BlackRock LifePath® Index 2040 Fund

BlackRock LifePath® Index 2045 Fund

BlackRock LifePath® Index 2050 Fund

BlackRock LifePath® Index 2055 Fund

BlackRock LifePath® Index 2060 Fund

BlackRock S&P 500 Index Fund

BlackRock Total International ex U.S. Index Fund

BlackRock U.S. Total Bond Index Fund

Master Investment Portfolio

Active Stock Master Portfolio

CoreAlpha Bond Master Portfolio

International Tilts Master Portfolio

Large Cap Index Master Portfolio

LifePath® Retirement Master Portfolio

LifePath® 2020 Master Portfolio

LifePath® 2025 Master Portfolio

LifePath® 2030 Master Portfolio

LifePath® 2035 Master Portfolio

LifePath® 2040 Master Portfolio

LifePath® 2045 Master Portfolio

LifePath® 2050 Master Portfolio

LifePath® 2055 Master Portfolio

LifePath® Index Retirement Master Portfolio

LifePath® Index 2020 Master Portfolio

LifePath® Index 2025 Master Portfolio

LifePath® Index 2030 Master Portfolio

LifePath® Index 2035 Master Portfolio

LifePath® Index 2040 Master Portfolio

LifePath® Index 2045 Master Portfolio

LifePath® Index 2050 Master Portfolio

LifePath® Index 2055 Master Portfolio

LifePath® Index 2060 Master Portfolio

Money Market Master Portfolio

Prime Money Market Master Portfolio

S&P 500 Index Master Portfolio

Total International ex U.S. Index Master Portfolio

Treasury Money Market Master Portfolio

U.S. Total Bond Index Master Portfolio

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Funds III and

Master Investment Portfolio, 55 East 52^nd Street, New York, NY 10055

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

Date of fiscal year end: 12/31/2016

Date of reporting period: 06/30/2016

Item 1 – Report to Stockholders

JUNE 30, 2016

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock Funds III

^Ø	BlackRock Cash Funds: Institutional

^Ø	BlackRock Cash Funds: Prime

^Ø	BlackRock Cash Funds: Treasury

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


	Page
The Markets in Review		3
Semi-Annual Report:
Money Market Overview		4
Fund Information		5
Disclosure of Expenses		6
Fund Financial Statements:
Statements of Assets and Liabilities		7
Statements of Operations		8
Statements of Changes in Net Assets		9
Fund Financial Highlights		12
Fund Notes to Financial Statements		29
Master Portfolio Information		34
Master Portfolio Financial Statements:
Schedules of Investments		35
Statements of Assets and Liabilities		47
Statements of Operations		48
Statements of Changes in Net Assets		49
Master Portfolio Financial Highlights		52
Master Portfolio Notes to Financial Statements		55
Disclosure of Investment Advisory Agreement		58
Officers and Trustees		62
Additional Information		63



2	BLACKROCK FUNDS III	JUNE 30, 2016

The Markets in Review

Dear Shareholder,

Uneven economic outlooks and divergence of monetary policies across regions have been the overarching themes driving financial markets over the past couple of years. In the latter half of 2015, as U.S. growth outpaced other developed markets, investors were focused largely on the timing of the Federal Reserve’s (the “Fed”) decision to end its near-zero interest rate policy. The Fed ultimately hiked rates in December, whereas the European Central Bank and the Bank of Japan took additional steps to stimulate growth, even introducing negative interest rates. The U.S. dollar had strengthened considerably ahead of these developments, causing profit challenges for U.S. companies that generate revenues overseas, and pressuring emerging market currencies and commodities prices.

Also during this time period, oil prices collapsed due to excess global supply. China, one of the world’s largest consumers of oil, was another notable source of stress for financial markets as the country showed signs of slowing economic growth and took measures to devalue its currency. Declining confidence in the country’s policymakers stoked investors’ worries about the potential impact of China’s weakness on the global economy. Global market volatility increased and risk assets (such as equities and high yield bonds) suffered in this environment.

The elevated market volatility spilled over into 2016, but as the first quarter wore on, fears of a global recession began to fade, allowing markets to calm and risk assets to rebound. Central bank stimulus in Europe and Japan, combined with a more tempered outlook for rate hikes in the United States, helped bolster financial markets. A softening in U.S. dollar strength brought relief to U.S. exporters and emerging market economies. Oil prices rebounded as the world’s largest producers agreed to reduce supply.

Volatility spiked again in late June when the United Kingdom shocked investors with its vote to leave the European Union. Uncertainty around how the British exit might affect the global economy and political landscape long term drove investors to high quality assets, pushing already-low global yields to even lower levels.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to adjust accordingly as market conditions change over time. 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 June 30, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		3.84	%		3.99	%
U.S. small cap equities (Russell 2000^® Index)		2.22			(6.73	)
International equities (MSCI Europe, Australasia, Far East Index)		(4.42	)		(10.16	)
Emerging market equities (MSCI Emerging Markets Index)		6.41			(12.05	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.15			0.19
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		7.95			9.49
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)		5.31			6.00
Tax-exempt municipal bonds (S&P Municipal Bond Index)		4.35			7.80
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		9.06			1.65
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



		THIS PAGE NOT PART OF YOUR FUND REPORT				3


Money Market Overview

For the Six-Month Period Ended June 30, 2016

After the Federal Open Market Committee (the “FOMC”) raised the target range for the federal funds rate by 25 basis points (0.25%) to 0.25-0.50% at its December 2015 meeting, the FOMC was clear in its expectation that the future removal of monetary accommodation would likely be gradual and dependent on incoming data. The positive momentum that resulted from the rate increase diminished fairly quickly in early 2016 as an economic slowdown in China spurred selling in equity markets around the world. On the back of this broader financial market turmoil, which abated in mid-February, the FOMC left rates unchanged for the remainder of the six-month period ended June 2016 and tempered its outlook for future short-term interest rate increases.

After the United Kingdom voted in late June to leave the European Union, markets broadly factored in expectations that the FOMC would not resume its course of raising interest rates before 2018, and reflected that investors anticipated the Bank of England and European Central Bank would turn more accommodative. Additionally, major credit rating agencies generally viewed the result of the “leave” decision unfavorably, assigning or maintaining a negative outlook on the United Kingdom, and in certain cases, downgrading the nation’s long-term credit rating by as much as two “notches” to AA.

While conditions in U.S. short-term markets were relatively stable and investment activity in credit was generally muted, some credit spread widening occurred on an issuer-specific basis, which was likely a combination of quarter-end factors and Brexit concerns. The U.S. short Rates Market benefited from the “flight to safety” flows, while core global bond yields hit record lows. In Europe, this raised expectations for more active central bank policy loosening, as well as a great deal of uncertainty in the political environment.

London Interbank Offered Rates (“LIBOR”) moved higher early in the period as a result of the hike in rates by the FOMC and speculation of another possible rate hike later this year. LIBOR remained elevated toward the end of the period even as expectations of a 2016 rate increase came down. The benchmark three-month LIBOR ended the period at 0.654%, which is just over 4 basis points higher than it had been six months prior.

We believe one 25-basis-point rate hike in 2016 is unlikely, though still possible should recent upward pressure on inflation prove lasting and labor market and financial conditions remain supportive of such an action.

The short-term tax-exempt market ended the six-month period with the SIFMA Index, which represents the average yield on seven-day variable rate demand note (“VRDN”) securities, at a multi-year high of 0.41%, well above the six-month average of 0.24%. VRDN new issuance remained light as municipal issuers continued to lock in low fixed rates through longer-dated bond deals. However, over the past six months, the tax-exempt money fund industry experienced outflows of approximately 24%, or $62 billion, due to pending money fund reform. These outflows caused dealer VRDN inventories to increase substantially, forcing dealers to reset levels on VRDNs higher in order to attract the interest of taxable crossover buyers. During the six months ended June 30, yields on short term municipal securities essentially matched those of comparable taxable investments, making the tax-exempt investment space very attractive to crossover buyers.

In the primary note market, the Municipal Market Advisors AAA General Obligation One-Year Index ended the six-month period at 0.46%, reflective of the selectivity of investors with regard to purchases of one-year maturities. Ahead of “note season” in July and August, when municipalities issue the bulk of their one-year tax and revenue anticipation notes, municipal note issuance is anticipated to remain light as municipalities continue to assess their operating cash needs and formulate their budgets for the upcoming fiscal year. However, we expect one-year levels to continue to move higher throughout the summer as issuers will need to offer greater yield premiums to entice buyers to extend out to the full year maturity. Also, short-term tax-exempt industry assets are expected to decrease further over the coming months as money continues to move out of municipal money funds and into government funds as a result of technical provisions of the money fund reform that becomes effective in October. Due to this widespread uncertainty over shareholder activity, and in addition to the possibility of a further hike in short-term rates by the Fed, we expect an upward bias on short-term municipal rates throughout the remainder of 2016 as municipal money fund investors remain defensively positioned, favoring higher levels of liquidity and shorter weighted average maturities.

Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



4	BLACKROCK FUNDS III	JUNE 30, 2016


Fund Information as of June 30, 2016


BlackRock Cash Funds: Institutional

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


	7-Day SEC Yield			7-Day Yield
Aon Captives		0.44	%		0.44	%
Institutional		0.54	%		0.54	%
Select		0.46	%		0.46	%
SL Agency		0.57	%		0.57	%


BlackRock Cash Funds: Prime

BlackRock Cash Funds: Prime’s (the “Fund”) investment objective is to seek a high level of income consistent with liquidity and the preservation of capital.


	7-Day SEC Yield			7-Day Yield
Capital		0.46	%		0.46	%
Institutional		0.48	%		0.48	%
Premium		0.43	%		0.43	%
SL Agency		0.51	%		0.51	%


BlackRock Cash Funds: Treasury

BlackRock Cash Funds: Treasury’s (the “Fund”) investment objective is to seek current income consistent with liquidity and stability of principal.


	7-Day SEC Yield			7-Day Yield
Institutional		0.29	%		0.29	%
SL Agency		0.32	%		0.32	%

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

Past performance is not indicative of future results.

On May 19, 2016, the Board of Trustees approved the designation of each of BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and their corresponding master portfolio as a money market fund that does not qualify as a “government money market fund” or as a “retail money market fund” under Rule 2a-7 under the Investment Company Act of 1940, as amended (each an “Institutional Money Market Fund”). This designation will become effective on or about October 11, 2016.

Institutional Money Market Funds will no longer value their investments under the amortized cost method and will be required to price and transact in their shares at a NAV per share reflecting market-based values of their portfolio holdings (i.e., at a “floating” NAV). The NAV of certain Institutional Money Market Funds may be priced multiple times each day such Fund accepts purchase orders and redemption requests.

The Boards of the Institutional Money Market Funds will be permitted to impose a liquidity fee of up to 2% on the value of shares redeemed or temporarily restrict redemptions from each Institutional Money Market Fund for up to 10 business days during a 90 day period, in the event that such Institutional Money Market Fund’s weekly liquid assets fall below certain thresholds.



BLACKROCK FUNDS III	JUNE 30, 2016	5


Disclosure of Expenses

Shareholders of these Funds may incur the following charges: (a) transactional expenses; and (b) operating expenses, including administration fees, service and distribution fees, and other fund expenses. The expense examples shown below (which are based on a hypothetical investment of $1,000 invested on January 1, 2016 and held through June 30, 2016) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.

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

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

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


Expense Examples


	Actual							Hypothetical²
BlackRock Cash Funds: Institutional	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period¹			Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period¹		Annualized Expense Ratio
Aon Captives	$	1,000.00	$	1,001.80	$	1.09		$	1,000.00	$	1,023.77	$	1.11		0.22	%
Institutional	$	1,000.00	$	1,002.30	$	0.60		$	1,000.00	$	1,024.27	$	0.60		0.12	%
Select	$	1,000.00	$	1,002.00	$	1.00		$	1,000.00	$	1,023.87	$	1.01		0.20	%
SL Agency	$	1,000.00	$	1,002.50	$	0.45		$	1,000.00	$	1,024.42	$	0.45		0.09	%
BlackRock Cash Funds: Prime
Capital	$	1,000.00	$	1,002.20	$	0.70		$	1,000.00	$	1,024.17	$	0.70		0.14	%
Institutional	$	1,000.00	$	1,002.30	$	0.60		$	1,000.00	$	1,024.27	$	0.60		0.12	%
Premium	$	1,000.00	$	1,002.00	$	0.85		$	1,000.00	$	1,024.02	$	0.86		0.17	%
SL Agency	$	1,000.00	$	1,002.40	$	0.45		$	1,000.00	$	1,024.42	$	0.45		0.09	%
BlackRock Cash Funds: Treasury
Institutional	$	1,000.00	$	1,000.20	$	0.14	³	$	1,000.00	$	1,005.84	$	0.14		0.12	%
SL Agency	$	1,000.00	$	1,001.40	$	0.45		$	1,000.00	$	1,024.42	$	0.45		0.09	%

For each class of a Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). Because each Fund invests all of its assets in its corresponding Master Portfolio, the expense examples reflect the net expenses of both the Fund and the Master Portfolio in which it invests.

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.

Expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 25/209 (to reflect the period in which the class was active).



6	BLACKROCK FUNDS III	JUNE 30, 2016


Statements of Assets and Liabilities


June 30, 2016 (Unaudited)	BlackRock Cash Funds: Institutional		BlackRock Cash Funds: Prime		BlackRock Cash Funds: Treasury

Assets
Investments at value — from the applicable Master Portfolio^1,2	$	31,456,025,589	$	25,296,807,653	$	4,099,672,941
Receivables:
Fund shares sold		2,286		—		—
Withdrawals from the applicable Master Portfolio		—		50,000,000		—

Total assets		31,456,027,875		25,346,807,653		4,099,672,941


Liabilities
Payables:
Income dividends		13,239,821		7,039,758		927,115
Capital shares redeemed		—		50,000,000		—
Contributions to the applicable Master Portfolio		2,286		—		—
Administration fees		583,585		1,009,397		64,195
Professional fees		2,597		3,294		7,266
Distribution fees		625		—		—

Total liabilities		13,828,914		58,052,449		998,576

Net Assets	$	31,442,198,961	$	25,288,755,204	$	4,098,674,365


Net Assets Consist of
Paid-in capital	$	31,440,597,461	$	25,287,964,533	$	4,098,493,702
Undistributed (distributions in excess of) net investment income		—		15,057		—
Accumulated net realized gain		1,601,500		775,614		180,663

Net Assets	$	31,442,198,961	$	25,288,755,204	$	4,098,674,365


Net Asset Value
Aon Captives:
Net assets	$	7,570,431		—		—

Shares outstanding³		7,570,366		—		—

Net asset value	$	1.00		—		—

Capital:
Net assets		—	$	1,924,559,121		—

Shares outstanding³		—		1,924,507,303		—

Net asset value		—	$	1.00		—

Institutional:
Net assets	$	916,017,294	$	12,814,437,224	$	53,823,189

Shares outstanding³		916,009,404		12,814,090,889		53,820,816

Net asset value	$	1.00	$	1.00	$	1.00

Premium:
Net assets		—	$	1,310,095,112		—

Shares outstanding³		—		1,310,059,840		—

Net asset value		—	$	1.00		—

Select:
Net assets	$	5,403		—		—

Shares outstanding³		5,403		—		—

Net asset value	$	1.00		—		—

SL Agency:
Net assets	$	30,518,605,833	$	9,239,663,747	$	4,044,851,176

Shares outstanding³		30,518,343,074		9,239,414,877		4,044,672,886

Net asset value	$	1.00	$	1.00	$	1.00

¹ Investments at cost — from the applicable Master Portfolio
²Money Market Master Portfolio, Prime Money Market Master Portfolio, and Treasury Money Market Master Portfolio (each, a “Master Portfolio”), respectively.
³ Unlimited number of shares authorized, no par value.


Statements of Operations


Six Months Ended June 30, 2016 (Unaudited)	BlackRock Cash Funds: Institutional			BlackRock Cash Funds: Prime			BlackRock Cash Funds: Treasury

Investment Income
Net investment income allocated from the applicable Master Portfolio:
Interest	$	125,067,335		$	77,001,730		$	4,503,060
Expenses		(21,518,040	)		(13,572,333	)		(1,259,985	)
Fees waived		6,670,803			4,202,773			394,810

Total income		110,220,098			67,632,170			3,637,885


Fund Expenses
Administration — class specific		4,541,173			6,217,432			247,282
Professional		6,756			6,684			6,651
Distribution — class specific		4,181			—			—
Miscellaneous		14,100			14,097			56

Total expenses		4,566,210			6,238,213			253,989
Less:
Fees reimbursed by the Administrator		(6,756	)		(6,684	)		(6,651	)
Fees waived by the Administrator — class specific		—			(117	)		—

Total expenses after fees waived and/or reimbursed		4,559,454			6,231,412			247,338

Net investment income		105,660,644			61,400,758			3,390,547


Realized Gain Allocated from the Master Portfolios
Net realized gain from investments		362,566			205,099			165,042

Net Increase in Net Assets Resulting from Operations	$	106,023,210		$	61,605,857		$	3,555,589


Statements of Changes in Net Assets


	BlackRock Cash Funds: Institutional
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	105,660,644		$	78,123,251
Net realized gain		362,566			1,366,640

Net increase in net assets resulting from operations		106,023,210			79,489,891


Distributions to Shareholders¹
From net investment income:
Aon Captives		(15,497	)		(4,715	)
Institutional		(4,625,169	)		(4,942,131	)
Select		(11	)		(13	)
SL Agency		(101,019,967	)		(73,176,392	)
From net realized gain:
Aon Captives		—			(270	)
Institutional		—			(72,604	)
SL Agency		—			(1,333,902	)

Decrease in net assets resulting from distributions to shareholders		(105,660,644	)		(79,530,027	)


Capital Share Transactions
Net increase (decrease) in net assets derived from capital share transactions		(11,066,915,580	)		2,500,790,392


Net Assets
Total increase (decrease) in net assets		(11,066,553,014	)		2,500,750,256
Beginning of period		42,508,751,975			40,008,001,719

End of period	$	31,442,198,961		$	42,508,751,975

Distributions in excess of net investment income, end of period		—			—

¹ Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets


	BlackRock Cash Funds: Prime
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	61,400,758		$	36,457,663
Net realized gain		205,099			570,515

Net increase in net assets resulting from operations		61,605,857			37,028,178


Distributions to Shareholders¹
From net investment income:
Capital		(5,538,126	)		(2,423,327	)
Institutional		(21,067,943	)		(15,039,119	)
Premium		(4,682,004	)		(1,252,061	)
Select		(2,280	)		(1,082	)
SL Agency		(30,110,405	)		(17,730,967	)
From net realized gain:
Capital		—			(28,402	)
Institutional		—			(170,670	)
Premium		—			(17,796	)
Select		—			(19	)
SL Agency		—			(131,220	)

Decrease in net assets resulting from distributions to shareholders		(61,400,758	)		(36,794,663	)


Capital Share Transactions
Net increase (decrease) in net assets derived from capital share transactions		(162,329,781	)		2,758,323,754


Net Assets
Total increase (decrease) in net assets		(162,124,682	)		2,758,557,269
Beginning of period		25,450,879,886			22,692,322,617

End of period	$	25,288,755,204		$	25,450,879,886

Undistributed net investment income, end of period	$	15,057		$	15,057

¹Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets


	BlackRock Cash Funds: Treasury
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	3,390,547		$	546,933
Net realized gain		165,042			98,963

Net increase in net assets resulting from operations		3,555,589			645,896


Distributions to Shareholders¹
From net investment income:
Institutional		(1,043	)		(279	)
Select		—			(1	)
SL Agency		(3,389,504	)		(546,653	)
From net realized gain:
Institutional		—			(51	)
SL Agency		—			(90,949	)

Decrease in net assets resulting from distributions to shareholders		(3,390,547	)		(637,933	)


Capital Share Transactions
Net increase (decrease) in net assets derived from capital share transactions		1,943,935,788			(231,225,048	)


Net Assets
Total increase (decrease) in net assets		1,944,100,830			(231,217,085	)
Beginning of period		2,154,573,535			2,385,790,620

End of period	$	4,098,674,365		$	2,154,573,535

¹Distributions for annual periods determined in accordance with federal income tax regulations.


Financial Highlights		BlackRock Cash Funds: Institutional


	Aon Captives
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0018			0.0006			0.0000	¹		0.0005			0.0012			0.0008
Net realized gain		0.0000	¹		0.0000	¹		0.0001			0.0000	¹		—			—

Net increase from investment operations		0.0018			0.0006			0.0001			0.0005			0.0012			0.0008

Distributions:²
From net investment income		(0.0018	)		(0.0006	)		(0.0000	)³		(0.0005	)		(0.0012	)		(0.0008	)
From net realized gain		—			(0.0000	)³		(0.0001	)		(0.0000	)³		—			—

Total distributions		(0.0018	)		(0.0006	)		(0.0001	)		(0.0005	)		(0.0012	)		(0.0008	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁴
Based on net asset value		0.18%	⁵		0.06%			0.01%			0.05%			0.12%			0.08%


Ratios to Average Net Assets^6,7
Total expenses		0.22%	⁸		0.22%			0.22%			0.22%			0.22%			0.22%

Total expenses after fees waived and/or reimbursed		0.22%	⁸		0.22%			0.22%			0.22%			0.22%			0.22%

Net investment income		0.37%	⁸		0.06%			0.01%			0.04%			0.12%			0.07%


Supplemental Data
Net assets, end of period (000)	$	7,570		$	8,558		$	7,999		$	9,166		$	11,003		$	9,167

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.00005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%

⁸

Annualized.


Financial Highlights (continued)		BlackRock Cash Funds: Institutional


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0023			0.0016			0.0010			0.0015			0.0022			0.0018
Net realized gain		0.0000	¹		0.0000	¹		0.0001			0.0000	¹		—			—

Net increase from investment operations		0.0023			0.0016			0.0011			0.0015			0.0022			0.0018

Distributions:²
From net investment income		(0.0023	)		(0.0016	)		(0.0010	)		(0.0015	)		(0.0022	)		(0.0018	)
From net realized gain		—			(0.0000	)³		(0.0001	)		(0.0000	)³		—			—

Total distributions		(0.0023	)		(0.0016	)		(0.0011	)		(0.0015	)		(0.0022	)		(0.0018	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁴
Based on net asset value		0.23%	⁵		0.16%			0.11%			0.15%			0.22%			0.18%


Ratios to Average Net Assets^6,7
Total expenses		0.12%	⁸		0.12%			0.12%			0.12%			0.12%			0.12%

Total expenses after fees waived and/or reimbursed		0.12%	⁸		0.12%			0.12%			0.12%			0.12%			0.12%

Net investment income		0.46%	⁸		0.15%			0.11%			0.14%			0.22%			0.17%


Supplemental Data
Net assets, end of period (000)	$	916,017		$	2,056,594		$	2,251,121		$	2,802,911		$	1,211,912		$	1,089,872

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.00005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%

⁸

Annualized.


Financial Highlights (continued)		BlackRock Cash Funds: Institutional


	Select
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0020			0.0008			0.0002			0.0007			0.0014			0.0010
Net realized gain		0.0000	¹		0.0000	¹		0.0001			0.0000	¹		—			—

Net increase from investment operations		0.0020			0.0008			0.0003			0.0007			0.0014			0.0010

Distributions:²
From net investment income		(0.0020	)		(0.0008	)		(0.0002	)		(0.0007	)		(0.0014	)		(0.0010	)
From net realized gain		—			(0.0000	)³		(0.0001	)		(0.0000	)³		—			—

Total distributions		(0.0020	)		(0.0008	)		(0.0003	)		(0.0007	)		(0.0014	)		(0.0010	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁴
Based on net asset value		0.20%	⁵		0.08%			0.03%			0.07%			0.14%			0.10%


Ratios to Average Net Assets^6,7
Total expenses		0.22%	⁸		0.22%			0.22%			0.22%			0.22%			0.22%

Total expenses after fees waived and/or reimbursed		0.20%	⁸		0.20%			0.20%			0.20%			0.20%			0.20%

Net investment income		0.40%	⁸		0.07%			0.03%			0.06%			0.14%			0.09%


Supplemental Data
Net assets, end of period (000)	$	5		$	5		$	109		$	4,324		$	11,459		$	44,788

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.00005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%

⁸

Annualized.


Financial Highlights (continued)		BlackRock Cash Funds: Institutional


	SL Agency
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0025			0.0019			0.0013			0.0018			0.0025			0.0021
Net realized gain		0.0000	¹		0.0000	¹		0.0001			0.0000	¹		—			—

Net increase from investment operations		0.0025			0.0019			0.0014			0.0018			0.0025			0.0021

Distributions:²
From net investment income		(0.0025	)		(0.0019	)		(0.0013	)		(0.0018	)		(0.0025	)		(0.0021	)
From net realized gain		—			(0.0000	)³		(0.0001	)		(0.0000	)³		—			—

Total distributions		(0.0025	)		(0.0019	)		(0.0014	)		(0.0018	)		(0.0025	)		(0.0021	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁴
Based on net asset value		0.25%	⁵		0.19%			0.14%			0.18%			0.25%			0.21%


Ratios to Average Net Assets^6,7
Total expenses		0.09%	⁸		0.09%			0.09%			0.09%			0.09%			0.09%

Total expenses after fees waived and/or reimbursed		0.09%	⁸		0.09%			0.09%			0.09%			0.09%			0.09%

Net investment income		0.50%	⁸		0.19%			0.14%			0.17%			0.25%			0.20%


Supplemental Data
Net assets, end of period (000)	$	30,518,606		$	40,443,595		$	37,748,773		$	37,867,084		$	33,350,562		$	26,815,279

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.00005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%

⁸

Annualized.


Financial Highlights (concluded)		BlackRock Cash Funds: Institutional


	Trust
	Period January 1, 2014 to November 10, 2014¹			Year Ended December 31
	Period January 1, 2014 to November 10, 2014¹			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0000	²		0.0001			0.0000	²		0.0001
Net realized gain		0.0000	²		0.0000	²		—			—

Net increase from investment operations		0.0000			0.0001			0.0000			0.0001

Distributions:³
From net investment income		(0.0000	)⁴		(0.0001	)		(0.0000	)⁴		(0.0001	)
From net realized gain		(0.0000	)⁴		(0.0000	)⁴		—			—

Total distributions		(0.0000	)		(0.0001	)		(0.0000	)		(0.0001	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁵
Based on net asset value		0.00%	⁶		0.01%			—			0.01%


Ratios to Average Net Assets⁷
Total expenses		0.45%	^8.9		0.45%	⁹		0.45%	⁹		0.45%	⁹

Total expenses after fees waived and/or reimbursed		0.22%	^8,9		0.28%	⁹		0.34%	⁹		0.29%	⁹

Net investment income		0.00%	^8,9		0.00%	⁹		0.00%	⁹		0.00%	⁹


Supplemental Data
Net assets, end of period (000)		—	¹	$	547		$	8,215		$	10,640

There were no Trust Shares outstanding from November 11, 2014 through December 31, 2015 and the six months ended June 30, 2016.

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.00005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Annualized.

⁹

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.


Financial Highlights		BlackRock Cash Funds: Prime


	Capital
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0022			0.0013			0.0007			0.0011			0.0018			0.0014
Net realized gain		0.0000	¹		0.0000	¹		0.0000	¹		0.0000	¹		—			—

Net increase from investment operations		0.0022			0.0013			0.0007			0.0011			0.0018			0.0014

Distributions:²
From net investment income		(0.0022	)		(0.0013	)		(0.0007	)		(0.0011	)		(0.0018	)		(0.0014	)
From realized gain		—			(0.0000	)³		(0.0000	)³		(0.0000	)³		—			—

Total distributions		(0.0022	)		(0.0013	)		(0.0007	)		(0.0011	)		(0.0018	)		(0.0014	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁴
Based on net asset value		0.22%	⁵		0.13%			0.07%			0.11%			0.18%			0.14%


Ratios to Average Net Assets^6,7
Total expenses		0.14%	⁸		0.14%	⁷		0.14%	⁷		0.14%	⁷		0.14%	⁷		0.14%	⁷

Total expenses after fees waived and/or reimbursed		0.14%	⁸		0.14%	⁷		0.14%	⁷		0.14%	⁷		0.14%	⁷		0.14%	⁷

Net investment income		0.44%	⁸		0.13%	⁷		0.07%	⁷		0.10%	⁷		0.18%	⁷		0.15%	⁷


Supplemental Data
Net assets, end of period (000)	$	1,924,559		$	2,125,858		$	1,747,725		$	1,472,926		$	1,394,794		$	456,657

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.00005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

⁸

Annualized.


Financial Highlights (continued)		BlackRock Cash Funds: Prime


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0023			0.0015			0.0009			0.0013			0.0020			0.0016
Net realized gain		0.0000	¹		0.0000	¹		0.0000	¹		0.0000	¹		—			—

Net increase from investment operations		0.0023			0.0015			0.0009			0.0013			0.0020			0.0016

Distributions:²
From net investment income		(0.0023	)		(0.0015	)		(0.0009	)		(0.0013	)		(0.0020	)		(0.0016	)
From realized gain		—			(0.0000	)³		(0.0000	)³		(0.0000	)³		—			—

Total distributions		(0.0023	)		(0.0015	)		(0.0009	)		(0.0013	)		(0.0020	)		(0.0016	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁴
Based on net asset value		0.23%	⁵		0.15%			0.09%			0.13%			0.20%			0.16%


Ratios to Average Net Assets^6,7
Total expenses		0.12%	⁸		0.12%	⁷		0.12%	⁷		0.12%	⁷		0.12%	⁷		0.12%	⁷

Total expenses after fees waived and/or reimbursed		0.12%	⁸		0.12%	⁷		0.12%	⁷		0.12%	⁷		0.12%	⁷		0.12%	⁷

Net investment income		0.45%	⁸		0.15%	⁷		0.09%	⁷		0.12%	⁷		0.20%	⁷		0.16%	⁷


Supplemental Data
Net assets, end of period (000)	$	12,814,437		$	13,516,545		$	9,074,064		$	5,269,961		$	3,236,082		$	2,282,923

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.00005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

⁸

Annualized.


Financial Highlights (continued)		BlackRock Cash Funds: Prime


	Premium
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0020			0.0010			0.0004			0.0008			0.0015			0.0011
Net realized gain		0.0000	¹		0.0000	¹		0.0000	¹		0.0000	¹		—			—

Net increase from investment operations		0.0020			0.0010			0.0004			0.0008			0.0015			0.0011

Distributions:²
From net investment income		(0.0020	)		(0.0010	)		(0.0004	)		(0.0008	)		(0.0015	)		(0.0011	)
From realized gain		—			(0.0000	)³		(0.0000	)³		(0.0000	)³		—			—

Total distributions		(0.0020	)		(0.0010	)		(0.0004	)		(0.0008	)		(0.0015	)		(0.0011	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁴
Based on net asset value		0.20%	⁵		0.10%			0.04%			0.08%			0.15%			0.11%


Ratios to Average Net Assets^6,7
Total expenses		0.17%	⁸		0.17%	⁷		0.17%	⁷		0.17%	⁷		0.17%	⁷		0.17%	⁷

Total expenses after fees waived and/or reimbursed		0.17%	⁸		0.17%	⁷		0.17%	⁷		0.17%	⁷		0.17%	⁷		0.17%	⁷

Net investment income		0.41%	⁸		0.10%	⁷		0.04%	⁷		0.07%	⁷		0.16%	⁷		0.11%	⁷


Supplemental Data
Net assets, end of period (000)	$	1,310,095		$	1,132,614		$	1,254,768		$	4,669,369		$	3,481,506		$	1,460,178

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.00005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

⁸

Annualized.


Financial Highlights (continued)		BlackRock Cash Funds: Prime


	Select
	Period Ended June 30, 2016¹ (Unaudited)			Period January 1, 2015 to December 31, 2015²			Period January 1, 2014 to December 21, 2014³			Year Ended December 31,
	Period Ended June 30, 2016¹ (Unaudited)			Period January 1, 2015 to December 31, 2015²			Period January 1, 2014 to December 21, 2014³			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0002	⁴		0.0000	⁴		0.0000	³		0.0005			0.0012			0.0008
Net realized gain		0.0000	⁴		0.0000	⁴		0.0000	³		0.0000	⁴		—			—

Net increase from investment operations		0.0002			0.0000			0.0000			0.0005			0.0012			0.0008

Distributions:⁵
From net investment income		(0.0002	)		(0.0000	)⁶		(0.0000	)⁶		(0.0005	)		(0.0012	)		(0.0008	)
From net realized gain		—			—			(0.0000	)⁶		(0.0000	)⁶		—			—

Total distributions		(0.0002	)		(0.0000	)		(0.0000	)		(0.0005	)		(0.0012	)		(0.0008	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁷
Based on net asset value		0.02%	⁸		0.00%	⁸		0.00%	⁸		0.05%			0.12%			0.09%


Ratios to Average Net Assets⁹
Total expenses		0.22%	^10,11		0.22%	^10,11		0.22%	^10,11		0.22%	¹⁰		0.22%	¹⁰		0.22%	¹⁰

Total expenses after fees waived and/or reimbursed		0.20%	^10,11		0.20%	^10,11		0.20%	^10,11		0.20%	¹⁰		0.20%	¹⁰		0.20%	¹⁰

Net investment income		0.39%	^10,11		0.00%	^10,11		0.00%	^10,11		0.04%	¹⁰		0.12%	¹⁰		0.08%	¹⁰


Supplemental Data
Net assets, end of period (000)		—	¹		—	²		—	³	$	90		$	10,454		$	69,779

There were no Select Shares outstanding from January 1, 2016 through January 18, 2016, January 20, 2016 through February 17, 2016, February 22, 2016 through March 17, 2016, March 21, 2016 through April 17, 2016, April 21, 2016 through May 17, 2016, May 20, 2016 through June 20 2016 and June 23, 2016 through June 30, 2016.

There were no Select Shares outstanding from January 1, 2015 through January 19, 2015, January 21, 2015 through February 17, 2015, February 20, 2015 through March 17, 2015, March 20, 2015 through April 19, 2015, April 22, 2015 through May 17, 2015, May 20, 2015 through June 18, 2015, June 22, 2015 through July 19, 2015, July 22, 2015 through August 17, 2015, August 20, 2015 through September 17, 2015, September 22, 2015 through October 18, 2015, October 21, 2015 through November 17, 2015, November 20, 2015 through December 17, 2015, and December 21, 2015 through December 31, 2015.

There were no Select Shares outstanding from November 11, 2014 through November 17, 2014, November 18, 2014 through December 18, 2014 and December 22, 2014 through December 31, 2014.

⁴

Amount is less than $0.00005 per share.

⁵

Distributions for annual periods determined in accordance with federal income tax regulations.

⁶

Amount is greater than $(0.00005) per share.

⁷

Where applicable, assumes the reinvestment of distributions.

⁸

Aggregate total return.

⁹

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

¹⁰

Includes the Fund’s share of the Master Portfolio’s annualized allocated fees waived of 0.03%.

¹¹

Annualized.


Financial Highlights (continued)		BlackRock Cash Funds: Prime


	SL Agency
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0024			0.0018			0.0012			0.0016			0.0023			0.0019
Net realized gain		0.0000	¹		0.0000	¹		0.0000	¹		0.0000	¹		—			—

Net increase from investment operations		0.0024			0.0018			0.0012			0.0016			0.0023			0.0019

Distributions:²
From net investment income		(0.0024	)		(0.0018	)		(0.0012	)		(0.0016	)		(0.0023	)		(0.0019	)
From realized gain		—			(0.0000	)³		(0.0000	)³		(0.0000	)³		—			—

Total distributions		(0.0024	)		(0.0018	)		(0.0012	)		(0.0016	)		(0.0023	)		(0.0019	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁴
Based on net asset value		0.24%	⁵		0.18%			0.12%			0.16%			0.23%			0.19%


Ratios to Average Net Assets^6,7
Total expenses		0.09%	⁸		0.09%	⁷		0.09%	⁷		0.09%	⁷		0.09%	⁷		0.09%	⁷

Total expenses after fees waived and/or reimbursed		0.09%	⁸		0.09%	⁷		0.09%	⁷		0.09%	⁷		0.09%	⁷		0.09%	⁷

Net investment income		0.49%	⁸		0.18%	⁷		0.12%	⁷		0.15%	⁷		0.23%	⁷		0.19%	⁷


Supplemental Data
Net assets, end of period (000)	$	9,239,664		$	8,675,863		$	10,615,765		$	5,689,192		$	5,877,464		$	4,830,517

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.00005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

⁸

Annualized.


Financial Highlights (concluded)		BlackRock Cash Funds: Prime


	Trust
	Period January 1, 2014 to November 10, 2014¹			Year Ended December 31,
	Period January 1, 2014 to November 10, 2014¹			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0000	²		0.0001			0.0000	²		0.0000	²
Net realized gain		0.0000	²		0.0000	²		—			—

Net increase from investment operations		0.0000			0.0001			0.0000			0.0000

Distributions:³
From net investment income		(0.0001	)⁴		(0.0000	)		(0.0000	)⁴		(0.0000	)⁴
From net realized gain		(0.0000	)⁴		(0.0000	)⁴		—			—

Total distributions		(0.0000	)		(0.0001	)		(0.0000	)		(0.0000	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁵
Based on net asset value		0.00%	⁶		0.01%			0.00%			0.00%


Ratios to Average Net Assets⁷
Total expenses		0.45%	^8,9		0.45%	⁹		0.45%	⁹		0.45%	⁹

Total expenses after fees waived and/or reimbursed		0.20%	^8,9		0.24%	⁹		0.32%	⁹		0.28%	⁹

Net investment income		0.00%	^8,9		0.00%	⁹		0.00%	⁹		0.01%	⁹


Supplemental Data
Net assets, end of period (000)		—	¹	$	8,086		$	21,702		$	29,657

There were no Trust Shares outstanding from November 11, 2014 through December 31, 2014, the year ended December 31, 2015 and the six months ended June 30, 2016.

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.00005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income, except the total expenses for the year ended December 31, 2010, which includes gross expenses.

⁸

Annualized.

⁹

Includes the Fund’s share of the Master Portfolio’s annualized allocated fees waived of 0.03%.


Financial Highlights		BlackRock Cash Funds: Treasury


	Capital
	Period January 1, 2014 to November 10, 2014¹			Year Ended December 31,
				2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		—			0.0001			0.0002			0.0004
Net realized gain		0.0000	²		0.0000	²		—			—

Net increase from investment operations		0.0000			0.0001			0.0002			0.0004

Distributions:³
From net investment income		—			(0.0001	)		(0.0002	)		(0.0004	)
From net realized gain		(0.0000	)⁴		(0.0000	)⁴		—			—

Total distributions		(0.0000	)		(0.0001	)		(0.0002	)		(0.0004	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁵
Based on net asset value		0.00%	⁶		0.01%			0.02%			0.04%


Ratios to Average Net Assets⁷
Total expenses		0.13%	^8,9		0.14%	¹⁰		0.14%	¹⁰		0.14%	⁹

Total expenses after fees waived and/or reimbursed		0.06%	^8,9		0.12%	¹⁰		0.13%	¹⁰		0.10%	⁹

Net investment income		0.00%	^8,9		0.00%	¹⁰		0.02%	¹⁰		0.01%	⁹


Supplemental Data
Net assets, end of period (000)		—	¹	$	715		$	273,121		$	18,370

There were no Capital Shares outstanding from November 11, 2014 through December 31, 2014, the year ended December 31, 2015 and the six months ended June 30, 2016.

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.00005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Annualized.

⁹

Includes the Fund’s share of the Master’s Portfolio allocated fees waived of 0.04%.

¹⁰

Includes the Fund’s share of the Master’s Portfolio allocated fees waived of 0.03%.


Financial Highlights (continued)		BlackRock Cash Funds: Treasury


	Institutional
	Period June 6, 2016¹ to June 30, 2016 (Unaudited)			Period January 1, 2015 to December 31, 2015²			Year Ended December 31,
	Period June 6, 2016¹ to June 30, 2016 (Unaudited)			Period January 1, 2015 to December 31, 2015²			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0002			0.0000	³		—			0.0001			0.0002			0.0004
Net realized gain		0.0000	³		0.0000	³		0.0000	³		0.0000	³		—			—

Net increase from investment operations		0.0002			0.0000			0.0000			0.0000			0.0002			0.0004

Distributions:⁴
From net investment income		(0.0002	)		(0.0000	)⁵		—			(0.0001	)		(0.0002	)		(0.0004	)
From net realized gain		—			(0.0000	)⁵		(0.0000	)⁵		(0.0000	)⁵		—			—

Total distributions		(0.0002	)		(0.0000	)		(0.0000	)		(0.0001	)		(0.0002	)		(0.0004	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁶
Based on net asset value		0.02%	⁷		0.00%			0.00%			0.01%			0.02%			0.04%


Ratios to Average Net Assets⁸
Total expenses		0.12%	^9,10		0.12%	¹⁰		0.17%	¹¹		0.12%	¹⁰		0.12%	¹⁰		0.12%	¹¹

Total expenses after fees waived and/or reimbursed		0.12%	^9,10		0.11%	¹⁰		0.06%	¹¹		0.10%	¹⁰		0.11%	¹⁰		0.11%	¹¹

Net investment income		0.02%	^9,10		0.01%	¹⁰		0.00%	¹¹		0.01%	¹⁰		0.02%	¹⁰		0.03%	¹¹


Supplemental Data
Net assets, end of period (000)	$	53,823			—	²	$	4		$	4		$	4		$	8,941

Recommencement of operations

There were no Institutional Shares outstanding as of the year ended December 31, 2015.

Amount is less than $0.00005 per share.

⁴

Distributions for annual periods determined in accordance with federal income tax regulations.

⁵

Amount is greater than $(0.00005) per share.

⁶

Where applicable, assumes the reinvestment of distributions.

⁷

Aggregate total return.

⁸

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁹

Annualized.

¹⁰

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

¹¹

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.04%.


Financial Highlights (continued)		BlackRock Cash Funds: Treasury


	Premium
	Period December 20, 2012¹

Per Share Operating Performance
Net asset value, beginning of period	$	1.00

Net investment income		0.0000	²
Net realized gain		0.0000	²

Net increase from investment operations		0.0000

Distributions:³
From net investment income		(0.0000	)⁴
From net realized gain		(0.0000	)⁴

Total distributions		(0.0000	)

Net asset value, end of period	$	1.00


Total Return⁵
Based on net asset value		0.00%	⁶


Ratios to Average Net Assets⁷
Total expenses		0.00%	^8,9

Total expenses after fees waived		0.00%	^8,9

Net investment income		0.00%	^8,9


Supplemental Data
Net assets, end of period (000)		—	¹

There were no Premium Shares outstanding during the fiscal years ended December 31, 2012, December 31, 2013, December 31, 2014, December 31, 2015 and the six months ended June 30, 2016, except for December 20, 2012.

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.00005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

⁹

Annualized.


Financial Highlights (continued)		BlackRock Cash Funds: Treasury


	Select
	Period January 1, 2014 to December 22, 2014¹			Year Ended December 31,
	Period January 1, 2014 to December 22, 2014¹			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		—			0.0001			0.0000	²		0.0003
Net realized gain		0.0000	²		0.0000	²		—			—

Net increase from investment operations		0.0000			0.0001			0.0000			0.0003

Distributions:³
From net investment income		—			(0.0001	)		(0.0000	)⁴		(0.0003	)
From net realized gain		(0.0000	)⁴		(0.0000	)⁴		—			—

Total distributions		(0.0000	)		(0.0001	)		(0.0000	)		(0.0003	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁵
Based on net asset value		0.00%	⁶		0.01%			0.00%			0.03%


Ratios to Average Net Assets⁷
Total expenses		0.21%	^8,9		0.21%	⁹		0.22%	¹⁰		0.21%	⁹

Total expenses after fees waived and/or reimbursed		0.06%	^8,9		0.09%	⁹		0.15%	¹⁰		0.08%	⁹

Net investment income		0.00%	^8,9		0.00%	⁹		0.00%	¹⁰		0.00%	⁹


Supplemental Data
Net assets, end of period (000)		—	¹	$	10,398		$	10,543		$	13,119

There were no Select Shares outstanding from December 22, 2014 through December 31, 2014, the year ended December 31, 2015 and the six months ended June 30, 2016.

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.00005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Annualized.

⁹

Includes the Fund’s share of the Master’s Portfolio allocated fees waived of 0.04%.

¹⁰

Includes the Fund’s share of the Master’s Portfolio allocated fees waived of 0.03%.


Financial Highlights (continued)		BlackRock Cash Funds: Treasury


	SL Agency
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		0.0014			0.0003			—			0.0002			0.0006			0.0005
Net realized gain		0.0000	¹		0.0000	¹		0.0000	¹		0.0000	¹		—			—

Net increase from investment operations		0.0014			0.0003			0.0000			0.0002			0.0006			0.0005

Distributions:²
From net investment income		(0.0014	)		(0.0003	)		—			(0.0002	)		(0.0006	)		(0.0005	)
From realized gain		—			(0.0000	)³		(0.0000	)³		(0.0000	)³		—			—

Total distributions		(0.0014	)		(0.0003	)		(0.0000	)		(0.0002	)		(0.0006	)		(0.0005	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁴
Based on net asset value		0.14%	⁵		0.03%			0.00%			0.02%			0.06%			0.05%


Ratios to Average Net Assets⁶
Total expenses		0.09%	^7,8		0.09%	⁸		0.08%	⁹		0.08%	⁹		0.09%	⁸		0.09%	⁹

Total expenses after fees waived and/or reimbursed		0.09%	^7,8		0.09%	⁸		0.06%	⁹		0.07%	⁹		0.09%	⁸		0.08%	⁹

Net investment income		0.27%	^7,8		0.03%	⁸		0.00%	⁹		0.01%	⁹		0.06%	⁸		0.03%	⁹


Supplemental Data
Net assets, end of period (000)	$	4,044,851		$	2,154,574		$	2,385,787		$	1,548,187		$	1,525,904		$	682,865

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.00005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Annualized.

⁸

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

⁹

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.04%.


Financial Highlights (concluded)		BlackRock Cash Funds: Treasury


	Trust
	Period January 1, 2014 to November 10, 2014¹			Year Ended December 31,
	Period January 1, 2014 to November 10, 2014¹			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00

Net investment income		—			0.0001			0.0000	²		0.0003
Net realized gain		0.0000	²		0.0000	²		—			—

Net increase from investment operations		0.0000			0.0001			0.0000			0.0003

Distributions:³
From net investment income		—			(0.0001	)		(0.0000	)⁴		(0.0003	)
From net realized gain		(0.0000	)⁴		(0.0000	)⁴		—			—

Total distributions		(0.0000	)		(0.0001	)		(0.0000	)		(0.0003	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00


Total Return⁵
Based on net asset value		0.00%	⁶		0.01%			0.00%			0.03%


Ratios to Average Net Assets⁷
Total expenses		0.44%	^8,9		0.44%	⁹		0.45%	¹⁰		0.45%	⁹

Total expenses after fees waived and/or reimbursed		0.06%	^8,9		0.09%	⁹		0.15%	¹⁰		0.10%	⁹

Net investment income		0.00%	^8,9		0.00%	⁹		0.00%	¹⁰		0.00%	⁹


Supplemental Data
Net assets, end of period (000)		—	¹	$	25,914		$	15,407		$	23,597

There were no Trust Shares outstanding from November 11, 2014 through December 31, 2014, the year ended December 31, 2015 and the six months ended June 30, 2016.

Amount is less than $0.00005 per share.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.00005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Annualized.

⁹

Includes the Fund’s share of the Master’s Portfolio allocated fees waived of 0.04%.

¹⁰

Includes the Fund’s share of the Master’s Portfolio allocated fees waived of 0.03%.


Notes to Financial Statements (Unaudited)		BlackRock Funds III

1. Organization:

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


Fund Name	Herein Referred To As	Diversification Classification
BlackRock Cash Funds: Institutional	Institutional		Diversified
BlackRock Cash Funds: Prime	Prime		Diversified
BlackRock Cash Funds: Treasury	Treasury		Diversified

Each Fund seeks to achieve its investment objective by investing all of its assets in a corresponding series of Master Investment Portfolio (“MIP”): Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio (each, a “Master Portfolio” and together the “Master Portfolios”). MIP is an affiliate of the Trust. Each Master Portfolio has the same investment objective and strategies as its corresponding Fund. The value of each Fund’s investment in the its corresponding Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Funds is directly affected by the performance of the Master Portfolios. At June 30, 2016, the percentage of the Master Portfolio owned by the corresponding Fund was 100% for Institutional, 100% for Prime and 63.6% for Treasury. The financial statements of the Master Portfolios, including the Schedules of Investments, are included elsewhere in this report and should be read in conjunction with the Funds’ financial statements.

Each Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions. The Aon Captives Shares also bear certain expenses related to the distribution of such shares. The Aon Captives Shares have exclusive voting rights with respect to matters relating to their distribution expenditures. The Boards of Trustees of the Trust and Boards of Directors of MIP are referred to throughout this report as the “Board of Directors” or the “Board” and the members are referred to as “Directors.”

Effective as of the close of business on the dates below, Institutional no longer accepts purchase orders on the following share classes. Shareholders of each share class may continue to redeem their shares after the closure date.


Closure Date		Share Class
March 1, 2016		Capital Shares, Premium Shares, Select Shares and Trust Shares
June 1, 2016		Aon Captives Shares
August 1, 2016		Institutional Shares

Effective October 1, 2015, Treasury has an investment policy that meets the definition of a “government money market fund” under Rule 2a-7 under the 1940 Act. The Board chose not to subject Treasury to liquidity fees or temporary suspensions of redemptions due to declines in Treasury’s weekly liquid assets.”

2. Significant Accounting Policies:

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

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

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

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



BLACKROCK FUNDS III	JUNE 30, 2016	29


Notes to Financial Statements (continued)		BlackRock Funds III

Other: Expenses directly related to a Fund or its classes are charged to that Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by BlackRock Fund Advisors (the “Manager” or “BFA”), the investment adviser to the Master Portfolios, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Funds and other shared expenses prorated to the Funds are allocated daily to each class based on its relative net assets or other appropriate methods.

The Funds have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective October 2015, the custodian is imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

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

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Distribution Fees

The Trust, on behalf of the Funds, entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Administrator and has adopted a Distribution Plan in accordance with Rule 12b-1 with respect to the Aon Captives Shares. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, Institutional pays BRIL ongoing distribution fees with respect to Aon Captives Shares. The fees are accrued daily and paid monthly at an annual rate of 0.10% based upon the average daily net assets of the Aon Captives Shares. The Capital Shares, Institutional Shares, Premium Shares, Select Shares, SL Agency Shares and Trust Shares of Institutional do not pay any fees for distribution services. The fees paid to BRIL by Institutional are shown as Distribution — Aon Captives in the Statements of Operations.

Administration

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


	Institutional			Prime			Treasury
Aon Captives		0.05%			N/A			N/A
Capital		0.07%	¹		0.07%			0.07%	¹
Institutional		0.05%			0.05%			0.05%
Premium		0.10%	¹		0.10%			0.10%	¹
Select		0.15%			0.15%	¹		0.15%	¹
SL Agency		0.02%			0.02%			0.02%
Trust		0.38%	¹		0.38%	¹		0.38%	¹

With no shares outstanding as of June 30, 2016

For the six months ended June 30, 2016 the Funds paid the following to BAL in return for these services, which are included in administration — class specific in the Statements of Operations:


	Institutional			Prime			Treasury
Aon Captives	$	2,091			N/A			N/A
Capital		—	¹	$	887,603			—	¹
Institutional		497,602			3,315,050		$	193
Premium		—	¹		1,146,506			—	¹
Select		4			880			—	¹
SL Agency		4,041,476			867,393			247,088
Trust		—	¹		—	¹		—	¹

Total	$	4,541,173		$	6,217,432		$	247,282

With no shares outstanding as of June 30, 2016

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



30	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)				BlackRock Funds III

As of June 13, 2016, the only investors for the SL Agency Shares of Institutional are investment companies for which (i) BFA, BlackRock Institutional Trust Company, N.A. (“BTC”), or an affiliate provides investment advisory or administration services, or (ii) BTC acts as securities lending agent and which have directed BTC on their behalf to invest securities lending cash collateral in SL Agency Shares of Institutional. Affiliated shareholders in the SL Agency Shares of the Funds represent a significant portion of the outstanding shares and net assets of Institutional, Prime and Treasury.

Waivers

BAL voluntarily agreed to waive administration fees and/or reimburse operating expenses to enable the Funds to maintain minimum levels of daily net investment income. These amounts are reported in the Statements of Operations as administration fees waived — class specific. BAL may discontinue the waiver or reimbursement at any time.

BAL contractually agreed to waive a portion of its administration fees for the Select Shares through April 30, 2017. After giving effect to such contractual expense waiver, the administration fees for the Select Shares will be 0.13%.

For the six months ended June 30, 2016, BAL waived $117 of administration fees for Prime — Select Shares.

Officers and Directors

The fees and expenses of the Funds’ trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Funds. BAL has contractually agreed to reimburse the Funds or provide an offsetting credit against the administration fees paid by the Funds in an amount equal to the independent expenses through April 30, 2017.

Certain officers and/or directors of the Trust are officers and/or directors of BlackRock or its affiliates.

5. Income Tax Information:

It is the Funds’ 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 their taxable income to their shareholders. Therefore, no federal income tax provision is required

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2015. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of June 30, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

6. Principal Risks:

On July 23, 2014, the U.S. Securities and Exchange Commission adopted amendments to money market fund regulations, which structurally change the way that certain money market funds will be required to operate. The compliance periods for the amendments range between July 2015 and October 2016. The changes may affect a money market fund’s investment strategies, fees and expenses, portfolio and share liquidity and return potential.

7. Capital Share Transactions:

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

Transactions in capital shares for each class were as follows:


Institutional	Six Months Ended June 30, 2016			Year Ended December 31, 2015
Aon Captives
Shares sold		12,095			559,341
Shares issued in reinvestment of distributions		57			7
Shares redeemed		(1,000,023	)		—

Net increase (decrease)		(987,871	)		559,348


Institutional
Shares sold		12,369,378,697			26,330,768,077
Shares issued in reinvestment of distributions		2,396,531			2,755,963
Shares redeemed		(13,512,364,103	)		(26,528,049,293	)

Net decrease		(1,140,588,875	)		(194,525,253	)



BLACKROCK FUNDS III	JUNE 30, 2016	31


Notes to Financial Statements (continued)		BlackRock Funds III


Institutional (concluded)	Six Months Ended June 30, 2016			Year Ended December 31, 2015
Select
Shares sold		—			—
Shares issued in reinvestment of distributions		11			13
Shares redeemed		—			(103,187	)

Net increase (decrease)		11			(103,174	)


SL Agency
Shares sold		46,143,859,773			98,921,406,773
Shares issued in reinvestment of distributions		9,594			20,513
Shares redeemed and automatic conversion of shares		(56,069,208,212	)		(96,226,567,815	)

Net increase (decrease)		(9,925,338,845	)		2,694,859,471

Total Net Increase (Decrease)		(11,066,915,580	)		2,500,790,392


Prime
Capital
Shares sold		22,736,810,123			30,021,242,764
Shares issued in reinvestment of distributions		3,644,631			1,851,980
Shares redeemed		(22,941,765,973	)		(29,644,982,520	)

Net increase (decrease)		(201,311,219	)		378,112,224


Institutional
Shares sold		94,887,774,743			146,093,605,195
Shares issued in reinvestment of distributions		14,731,901			6,541,052
Shares redeemed		(95,604,706,843	)		(141,657,821,784	)

Net increase (decrease)		(702,200,199	)		4,442,324,463


Premium
Shares sold		47,588,094,336			168,198,834,483
Shares issued in reinvestment of distributions		575,119			82,926
Shares redeemed		(47,411,202,328	)		(168,321,079,404	)

Net increase (decrease)		177,467,127			(122,161,995	)


Select
Shares sold		88,384,229			221,615,435
Shares issued in reinvestment of distributions		2,279			1,100
Shares redeemed		(88,386,508	)		(221,616,535	)

Net increase		—			—


SL Agency
Shares sold		5,523,739,883			10,735,695,202
Shares issued in reinvestment of distributions		309			87
Shares redeemed and automatic conversion of shares		(4,960,025,683	)		(12,675,646,227	)

Net increase (decrease)		563,714,509			(1,939,950,938	)

Total Net Increase (decrease)		(162,329,782	)		2,758,323,754


Treasury
Institutional
Shares sold		63,829,490			211,800,000
Shares issued in reinvestment of distributions		668			330
Shares redeemed		(10,009,342	)		(211,804,234	)

Net increase (decrease)		53,820,816			(3,904	)



32	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (concluded)				BlackRock Funds III


Treasury (concluded)	Six Months Ended June 30, 2016			Year Ended December 31, 2015
SL Agency
Shares sold		35,857,622,320			61,854,753,309
Shares issued in reinvestment of distributions		136,554			23,792
Shares redeemed and automatic conversion of shares		(33,967,643,904	)		(62,085,998,245	)

Net increase (decrease)		1,890,114,970			(231,221,144	)

Total Net Increase (Decrease)		1,943,935,786			(231,225,048	)

8. Subsequent Events:

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



BLACKROCK FUNDS III	JUNE 30, 2016	33


Master Portfolio Information as of June 30, 2016 (Unaudited)		Master Investment Portfolio

Money Market Master Portfolio


Portfolio Composition	Percent of Net Assets
Certificates of Deposit		36	%
Commercial Paper		21
Time Deposits		20
Repurchase Agreements		16
U.S. Government Sponsored Agency Obligations		4
Municipal Bonds		1
U.S. Treasury Obligations		—	¹
Corporate Notes		—	¹
Other Assets less Liabilities		2

Total		100	%

Represents less than 1%.

Prime Money Market Master Portfolio


Portfolio Composition	Percent of Net Assets
Commercial Paper		34	%
Certificates of Deposit		28
Time Deposits		21
Repurchase Agreements		15
U.S. Government Sponsored Agency Obligations		1
Municipal Bonds		—	¹
U.S. Treasury Obligations		—	¹
Corporate Notes		—	¹
Other Assets Less Liabilities		1

Total		100	%

Represents less than 1%.

Treasury Money Market Master Portfolio


Portfolio Composition	Percent of Net Assets
Repurchase Agreements		52	%
U.S. Treasury Obligations		48
Other Assets Less Liabilities		—	¹

Total		100	%

Represents less than 1%.



34	BLACKROCK FUNDS III	JUNE 30, 2016

Schedule of Investments June 30, 2016 (Unaudited)

Money Market Master Portfolio

(Percentages shown are based on Net Assets)


Certificates of Deposit	Par (000)		Value
Domestic
Bank of America N.A.:
0.76%, 7/05/16 (a)	$	250,000	$	250,000,000
0.78%, 7/13/16 (a)		200,000		200,000,000
0.65%, 8/10/16 (a)		498,300		498,300,000
0.67%, 8/18/16		250,000		250,000,000
Citibank NA, New York, 0.40%, 7/07/16		109,000		109,000,000
State Street Bank & Trust (a):
0.80%, 9/16/16		131,500		131,500,000
0.80%, 9/23/16		189,650		189,650,000
0.94%, 3/08/17		50,000		50,000,000
0.94%, 3/10/17		32,000		32,000,000
Wells Fargo Bank NA:
0.81%, 7/13/16 (a)		75,000		75,000,000
0.84%, 9/13/16		72,500		72,500,000
0.79%, 11/16/16 (a)		135,000		135,000,000
1.06%, 2/01/17		287,000		287,000,000
0.95%, 2/15/17 (a)		125,000		125,000,000

				2,404,950,000
Euro
Mizuho Bank Ltd., 0.74%, 8/19/16 (b)		230,000		229,767,217
Yankee (c)
Bank of Montreal, Chicago:
0.70%, 7/21/16 (a)		125,000		125,000,000
1.10%, 2/02/17		205,000		205,000,000
Bank of Nova Scotia, Houston:
0.80%, 8/26/16		125,000		125,000,000
0.86%, 11/07/16 (a)		50,000		50,000,000
0.85%, 11/10/16 (a)		135,000		135,000,000
1.03%, 4/12/17		52,900		52,903,679
Bank of Tokyo-Mitsubishi UFJ, Ltd, New York:
0.64%, 8/22/16		150,000		150,000,000
0.72%, 8/31/16		200,000		200,000,000
BNP Paribas SA, New York (a):
0.82%, 8/01/16		300,000		300,000,000
0.83%, 8/19/16		225,000		225,000,000
0.86%, 11/04/16		120,700		120,700,000
Canadian Imperial Bank of Commerce, New York, 0.80%, 11/18/16 (a)		125,000		125,000,000
Credit Industriel et Commercial, New York (a):
0.85%, 8/01/16		80,000		80,000,000
0.85%, 8/08/16		81,000		81,000,000
DZ Bank Deutsche Genossenschaf New York:
0.64%, 9/06/16		100,000		100,000,000
0.60%, 9/08/16		50,000		49,997,106
Landesbank Baden-Wurttemberg, New York:
0.41%, 7/01/16		300,000		300,000,000
0.40%, 7/07/16		500,000		500,000,000
Mitsubishi UFJ Trust & Banking Corp., New York:
0.65%, 7/05/16		50,000		50,000,000
0.84%, 7/07/16 (a)		215,000		215,000,000
0.73%, 7/12/16		40,000		40,001,093
Mizuho Bank Ltd., New York:
0.61%, 7/07/16		45,000		45,000,000
0.83%, 7/19/16 (a)		124,000		124,000,000
0.83%, 7/26/16 (a)		123,550		123,550,000
0.69%, 8/18/16 (a)		285,000		285,000,000
0.83%, 9/23/16 (a)		91,000		91,000,000
Natixis, New York, 0.65%, 11/21/16 (a)		50,000		50,000,000


Certificates of Deposit	Par (000)		Value
Yankee (c) (continued)
Norinchukin Bank, New York:
0.83%, 7/08/16 (a)	$	295,500	$	295,500,000
0.63%, 8/08/16		230,000		230,000,000
0.85%, 9/06/16		176,645		176,645,000
0.82%, 9/21/16 (a)		38,000		38,000,000
Rabobank Nederland, New York (a):
0.78%, 7/06/16		100,000		100,000,000
0.80%, 8/11/16		328,300		328,300,000
Royal Bank of Canada, New York:
0.80%, 7/08/16 (a)		200,000		200,000,000
0.88%, 10/14/16 (a)		180,000		180,000,000
0.94%, 11/01/16		200,000		200,000,000
0.92%, 12/16/16 (a)		200,000		200,000,000
Sumitomo Mitsui Banking Corp., New York (a):
0.40%, 7/07/16		250,000		250,000,000
0.60%, 7/07/16		30,000		30,000,000
0.85%, 7/08/16		100,000		100,000,000
0.85% 7/11/16		120,000		120,000,000
0.64%, 7/15/16		250,000		250,000,000
0.84%, 7/28/16		150,000		150,000,000
0.75%, 8/25/16		50,000		50,002,635
Toronto-Dominion Bank, New York:
0.88%, 10/17/16 (a)		137,000		137,000,000
1.11%, 2/02/17		214,000		214,000,000
UBS AG, Stamford (a):
0.83%, 7/11/16		476,250		476,250,000
0.83%, 8/08/16		215,000		215,000,000
0.84%, 9/09/16		290,000		290,000,000
0.87%, 11/03/16		198,250		198,250,000
Westpac Banking Corp., New York (a):
0.88%, 10/21/16		25,000		25,000,000
0.99%, 2/06/17		200,000		200,000,000

				8,602,099,513
Total Certificates of Deposit — 35.7%				11,236,816,730



Commercial Paper
Albion Capital LLC, 0.50%, 7/01/16 (b)		54,000		54,000,000
ASB Finance Ltd., London:
0.71%, 7/01/16 (a)		150,000		150,000,000
1.08%, 2/01/17 (b)		40,000		39,744,389
Bank of Nova Scotia (b):
0.85%, 8/26/16		35,000		34,953,722
0.85%, 9/01/16		57,000		56,916,558
Bedford Row Funding Corp.:
0.85%, 9/06/16 (b)		65,000		64,897,174
0.82%, 10/06/16 (a)		124,000		123,996,696
0.86%, 10/27/16 (a)		100,000		100,000,000
Bennington Stark Capital Co. (b):
0.62%, 8/01/16		50,000		49,973,306
0.62%, 8/02/16		50,000		49,972,444
BNP Paribas Fortis SA, New York (b):
0.28%, 7/01/16		300,000		300,000,000
0.42%, 7/05/16		200,000		199,990,667
Chevron Corp., 0.60%, 8/29/16 (b)		100,000		99,901,667
Coca-Cola Co., 0.90%, 1/23/17 (b)		48,000		47,755,547
Collateralized Commercial Paper Co. LLC, 0.83%, 10/19/16 (a)		150,000		150,000,000

Portfolio Abbreviations


AGM	Assured Guaranty Municipal Corp.	HFA	Housing Finance Agency	RB	Revenue Bonds
AMT	Alternative Minimum Tax (subject to)	HRB	Housing Revenue Bonds	SBPA	Stand-by Bond Purchase Agreements
GO	General Obligation Bonds	LOC	Letter of Credit	VRDN	Variable Rate Demand Notes

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	35


Schedule of Investments (continued)		Money Market Master Portfolio


Commercial Paper	Par (000)		Value
Collateralized Commercial Paper II Co.:
0.86%, 7/07/16 (a)	$	170,000	$	170,000,000
0.82%, 7/26/16 (a)		100,000		100,000,000
0.80%, 11/09/16 (a)(b)		50,000		50,000,000
0.92%, 12/05/16 (b)		100,000		99,598,778
Commonwealth Bank of Australia (a):
0.71%, 7/05/16		49,000		49,000,000
0.65%, 7/15/16		75,000		75,000,000
1.00%, 1/27/17		93,000		93,000,000
Crown Point Capital Co. LLC (b):
0.76%, 8/02/16		950		949,358
Series A, 0.64%, 7/11/16		50,000		49,991,111
DBS Bank Ltd., 0.53%, 7/25/16 (b)		100,000		99,964,667
Deutsche Telekom AG (b):
0.85%, 7/11/16		50,000		49,988,194
0.92%, 7/28/16		95,000		94,934,450
DNB Bank ASA (b):
0.49%, 7/21/16		10,000		9,997,278
0.85%, 9/01/16		23,500		23,465,599
Eni Finance USA, Inc., 0.90%, 7/01/16 (b)		125,000		125,000,000
Enterprise Products Operating LLC, 0.78%, 7/07/16 (b)		125,000		124,983,750
Erste Abwicklungsanstalt, 0.64%, 9/01/16 (b)		100,000		99,889,778
Ford Motor Credit Co. LLC, 0.75%, 7/26/16 (b)		100,000		99,947,917
Gotham Funding Corp., 0.48%, 7/18/16 (b)		2,000		1,999,547
HSBC Bank PLC (a):
0.69%, 7/06/16		160,000		160,000,000
0.78%, 7/15/16		75,000		75,000,000
Hyundai Capital America, 0.65%, 7/01/16 (b)		108,835		108,835,000
ING US Funding LLC (b):
0.69%, 7/05/16		118,650		118,640,903
0.70%, 8/02/16		300,000		299,813,333
0.70%, 8/05/16		250,000		249,829,861
0.69%, 8/10/16		137,800		137,694,353
0.72%, 9/01/16		50,000		49,938,000
J.P. Morgan Securities LLC, 1.13%, 2/01/17 (b)		149,500		148,500,011
Kroger Co., 0.65%, 7/05/16 (b)		25,000		24,998,194
Liberty Street Funding LLC, 0.59%, 8/16/16 (b)		71,000		70,946,474
Macquarie Bank Ltd., 0.62%, 8/03/16 (b)		2,475		2,473,593
Mitsubishi UFJ Trust & Banking Corp., New York, 0.71%, 8/08/16 (b)		50,000		49,962,528
National Australia Bank Ltd. (b):
0.96%, 11/01/16		163,000		162,470,929
0.96%, 11/02/16		100,000		99,672,778
NBCUniversal Enterprise, Inc., 0.65%, 7/14/16 (b)		25,000		24,994,132
Nissan Motor Acceptance Corp., 0.69%, 7/05/16 (b)		50,000		49,996,167
Old Line Funding LLC (b):
0.86%, 7/18/16		50,000		49,979,694
0.66%, 8/15/16		50,000		49,958,750
Rabobank Nederland, New York, 0.82%, 8/23/16 (b)		25,000		24,969,819
Sheffield Receivable Corp. (b):
0.64%, 7/11/16		135,575		135,550,898
0.77%, 7/27/16		180,000		179,899,900
0.77%, 8/03/16		200,000		199,858,833
0.70%, 8/10/16		4,000		3,996,889
0.75%, 9/15/16		125,000		124,802,083
0.75%, 9/16/16		125,000		124,799,479
Shell International Finance BV, 0.51%, 7/01/16 (b)		100,000		100,000,000
Sumitomo Mitsui Banking Corp., New York, 0.61%, 7/01/16 (b)		74,250		74,250,000
Sumitomo Mitsui Trust & Banking Corp. Ltd., New York, 0.71%, 8/15/16 (b)		125,200		125,088,885


Commercial Paper	Par (000)		Value
Total Capital Canada Ltd., 0.60%, 8/12/16 (b)	$	75,000	$	74,947,500
Toyota Motor Credit Corp., 1.06%, 3/10/17 (b)		11,000		10,919,150
United Overseas Bank Ltd., 0.85%, 9/16/16 (b)		100,000		99,818,194
Versailles Com Paper LLC (b):
0.64%, 7/22/16		100,000		99,962,667
0.64%, 8/15/16		75,000		74,940,000
Westpac Banking Corp., 0.99%, 12/19/16 (b)		193,000		192,101,585
Total Commercial Paper — 20.7%				6,519,423,179



Corporate Notes — 0.0%
Toyota Motor Credit Corp., 2.00%, 9/15/16		3,622		3,631,425



Municipal Bonds (d)
Arkansas Development Finance Authority, RB, VRDN, S/F Housing, Mortgage-Backed Securities Program, Series E, AMT (Ginnie Mae & Fannie Mae Guarantors) (State Street Bank & Trust Co. SBPA), 0.59%, 7/07/16		5,940		5,940,000
Arkansas Development Finance Authority, Refunding RB, VRDN, S/F Housing, Mortgage-Backed Securities/Mortgage Loans Program, Series C, AMT (Ginnie Mae & Fannie Mae Guarantors) (State Street Bank & Trust Co. SBPA), 0.59%, 7/07/16		13,930		13,930,000
Broward County, Refunding RB (AGM), VRDN, 0.45%, 7/07/16		10,305		10,305,000
City & County of Denver Colorado School District No. 1, GO, Refunding, VRDN, Clipper Tax-Exempt Certificate Trust, Series A (State Street Bank & Trust Co. SBPA), 0.44%, 7/07/16		35,240		35,240,000
City of Charlotte Housing Authority North Carolina, Refunding RB, VRDN, 0.43%, 7/07/16		10,650		10,650,000
Eclipse Funding Trust, RB, VRDN 0.41%, 7/07/16		11,310		11,310,000
Franklin County, Refunding RB, VRDN, 0.42%, 7/06/16		62,300		62,300,000
Miami-Dade County, RB, VRDN, 0.45%, 7/07/16		10,395		10,395,000
New York State HFA, HRB, VRDN, M/F Housing, 625 West 57th Street, Series A-1 (Bank of New York Mellon Trust LOC), 0.38%, 7/06/16		32,680		32,680,000
Port of Port Arthur Texas Navigation District, RB, VRDN, Texas Industrial Development Corp., Total Petrochemicals & Refining USA, Inc., Project, 0.45%, 7/06/16		24,300		24,300,000
South Miami Health Facilities Authority, Refunding RB, VRDN, 0.45%, 7/07/16		21,000		21,000,000
Taylor-Ryan Improvement District, Refunding RB, VRDN, 0.41%, 7/07/16		10,000		10,000,000
University of Massachusetts Building Authority, Refunding RB, VRDN, 0.40%, 7/06/16		14,310		14,310,000
Total Municipal Bonds — 0.9%				262,360,000



Time Deposits
Bank of Tokyo-Mitsubishi UFJ, Ltd., 0.30%, 7/01/16		550,000		550,000,000
Barclays Bank PLC, New York, 0.44%, 7/01/16		1,260,000		1,260,000,000

See Notes to Financial Statements.



36	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		Money Market Master Portfolio


Time Deposits	Par (000)		Value
Credit Agricole Corporate & Investment Bank, New York, 0.31%, 7/01/16	$	700,000	$	700,000,000
DZ Bank Deutsche Genossenschaf, 0.28%, 7/01/16		470,000		470,000,000
National Bank of Canada, 0.28%, 7/01/16		250,000		250,000,000
Natixis, SA, 0.26%, 7/01/16		250,000		250,000,000
Nordea Bank Finland PLC, New York, 0.28%, 7/01/16		500,000		500,000,000
Royal Bank of Canada, 0.30%, 7/01/16		50,000		50,000,000
Svenska Handelsbanken AB, 0.30%, 7/01/16		1,300,000		1,300,000,000
Swedbank AB, New York, 0.30%, 7/01/16		1,000,000		1,000,000,000
Total Time Deposits — 20.1%				6,330,000,000



U.S. Government Sponsored Agency Obligations
Fannie Mae Variable Rate Notes, 0.45%, 8/16/17 (a)		80,000		79,990,893
Federal Farm Credit Bank (a):
0.49%, 8/01/16		75,000		74,999,356
0.44%, 10/03/16		74,500		74,496,255
0.54%, 11/21/16		32,000		32,010,812
0.47%, 1/30/17		150,000		149,982,246
0.49%, 3/24/17		50,000		50,001,957
0.48%, 3/29/17		100,000		99,992,922
0.48%, 7/13/17		100,000		99,979,020
0.53%, 7/20/17		50,000		49,991,013
0.50%, 9/13/17		115,000		115,000,000
0.57%, 10/27/17		145,000		144,959,940
0.59%, 12/04/17		125,000		125,000,000
0.61%, 1/26/18		90,000		89,985,524
0.66%, 3/02/18		68,000		67,999,381
Federal Home Loan Bank (a):
0.48%, 9/26/16		12,000		11,999,879
0.50%, 2/07/17		68,000		67,982,175
Freddie Mac Discount Notes, 0.49%, 9/20/16 (b)		49,400		49,345,536
Total U.S. Government Sponsored Agency Obligations — 4.4%				1,383,716,909



U.S. Treasury Obligations — 0.2%
U.S. Treasury Notes, 0.43%, 10/31/17 (a)		62,500		62,363,853



Repurchase Agreements
BNP Paribas Securities Corp., 0.38%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $166,001,752, collateralized by various Corporate Debt Obligations, 0.65% to 6.22%, due 7/16/18 to 5/25/47, original par and fair values of $495,584,580 and $184,951,910, respectively)		166,000		166,000,000
Total Value of BNP Paribas Securities Corp. (collateral value of $184,951,910)				166,000,000
Citigroup Global Markets, Inc., 0.33%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $100,000,917, collateralized by a U.S. Treasury Obligations, 2.00%, due 2/15/25, original par and fair value of $96,742,300 and $102,000,005, respectively)		100,000		100,000,000


Repurchase Agreements	Par (000)		Value
Citigroup Global Markets, Inc., 0.42%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $75,000,875, collateralized by various U.S. Treasury Obligations, 1.25% to 2.50%, due 1/31/20 to 5/15/24, original par and fair values of $74,858,836 and $76,500,001, respectively) (e)	$	75,000	$	75,000,000
Citigroup Global Markets, Inc., 1.00%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $50,090,277, collateralized by Various Corporate Debt Obligations, 4.47% to 5.50%, due 9/15/37 to 3/20/43, original par and fair values of $63,832,498 and $53,500,001, respectively) (d)		50,000		50,000,000
Total Value of Citigroup Global Markets, Inc. (collateral value of $232,000,007)				225,000,000
Credit Suisse Securities (USA) LLC, 0.63%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $163,502,861, collateralized by various Corporate Debt Obligations, 0.81% to 9.89%, due 5/15/21 to 5/25/55, original par and fair values of $370,754,242 and $196,204,509, respectively)		163,500		163,500,000
Credit Suisse Securities (USA) LLC, 0.63%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $217,003,798, collateralized by various Corporate Debt Obligations, 0.00% to 5.75%, due 5/26/17 to 4/25/55, original par and fair values of $355,875,093 and $254,853,195, respectively)		217,000		217,000,000
Credit Suisse Securities (USA) LLC, 0.92%, 8/04/16 (Purchased on 6/30/16 to be repurchased at $300,268,333, collateralized by various Corporate Debt Obligations, 0.01% to 5.00%, due 4/25/54 to 1/25/55, original par and fair values of $438,672,169 and $360,000,423, respectively) (d)		300,000		300,000,000
Total Value of Credit Suisse Securities (USA) LLC (collateral value of $811,058,127)				680,500,000
Federal Reserve Bank of New York, 0.25%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $1,200,008,333, collateralized by a U.S. Treasury Obligation, 2.50%, due 8/15/23, original par and fair value of $1,097,498,100 and $1,200,008,439, respectively)		1,200,000		1,200,000,000
Total Value of Federal Reserve Bank of New York (collateral value of $1,200,008,439)				1,200,000,000
Goldman Sachs & Co., 0.40%, 7/05/16 (Purchased on 6/28/16 to be repurchased at $300,023,333, collateralized by various U.S. Government Sponsored Agency Obligations,, 1.79% to 5.80%, due 3/15/37 to 6/25/46, original par and fair values of $1,722,675,512 and $321,000,000, respectively)		300,000		300,000,000
Goldman Sachs & Co., 0.46%, 7/07/16 (Purchased on 6/30/16 to be repurchased at $210,018,783, collateralized by various Corporate Debt Obligations, 0.00% to 7.21%, due 12/16/29 to 6/25/46, original par and fair values of $2,264,511,229 and $222,452,535, respectively)		210,000		210,000,000
Total Value of Goldman Sachs & Co. (collateral value of $543,452,535)				510,000,000

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	37


Schedule of Investments (continued)		Money Market Master Portfolio


Repurchase Agreements	Par (000)		Value
HSBC Securities (USA), Inc., 0.40%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $100,001,111, collateralized by various Corporate Debt Obligations, 2.63% to 6.50%, due 7/10/17 to 3/15/35, original par and fair values of $101,005,000 and $103,003,737, respectively)	$	100,000	$	100,000,000
HSBC Securities (USA), Inc., 0.48%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $185,002,467, collateralized by various Corporate Debt Obligations, 3.75% to 11.00%, due 10/15/17 to 8/15/31, original par and fair values of $195,408,000 and $194,251,907, respectively)		185,000		185,000,000
Total Value of HSBC Securities (USA), Inc. (collateral value of $297,255,644)				285,000,000
J.P. Morgan Securities LLC, 0.63%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $60,001,050, collateralized by various Corporate Debt/Obligations, 0.61% to 8.45%, due 6/20/31 to 5/25/36, original par and fair values of $293,735,000 and $75,000,761, respectively)		60,000		60,000,000
J.P. Morgan Securities LLC, 0.75%, 8/04/16 (Purchased on 6/30/16 to be repurchased at $50,036,458, collateralized by a Corporate Debt Obligation, 3.50%, due 9/25/43, original par and fair value of $52,085,000 and $53,500,432, respectively) (d)		50,000		50,000,000
J.P. Morgan Securities LLC, 0.83%, 8/04/16 (Purchased on 6/30/16 to be repurchased at $150,121,042, collateralized by various Corporate Debt Obligations, 0.56% to 7.15%, due 7/25/27 to 9/25/46, original par and fair values of $507,060,766 and $187,501,544, respectively) (d)		150,000		150,000,000
J.P. Morgan Securities LLC, 1.03%, 9/29/16 (Purchased on 6/30/16 to be repurchased at $50,130,181, collateralized by various Corporate Debt Obligations, 0.61% to 5.87%, due 3/25/34 to 9/25/46, original par and fair values of $163,967,780 and $62,500,734, respectively) (d)		50,000		50,000,000
J.P. Morgan Securities LLC, 1.15%, 9/29/16 (Purchased on 6/30/16 to be repurchased at $125,363,368, collateralized by various Corporate Debt Obligations, 0.50% to 7.05%, due 12/15/27 to 6/25/56, original par and fair values of $657,981,909 and $143,752,066, respectively) (d)		125,000		125,000,000
J.P. Morgan Securities LLC, 0.93%, 8/15/16 (Purchased on 5/16/16 to be repurchased at $142,333,818, collateralized by various Corporate Debt Obligations, 0.59% to 6.15%, due 9/25/31 to 3/25/38, original par and fair values of $681,177,901 and $177,502,959, respectively)		142,000		142,000,000
Total Value of J.P. Morgan Securities LLC (collateral value of $699,758,496)				577,000,000
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.42%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $35,000,408, collateralized by a U.S Treasury Obligation, 0.13%, due 4/15/17, original par and fair value of $33,679,000 and $35,700,037, respectively)		35,000		35,000,000


Repurchase Agreements	Par (000)		Value
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.48%, 7/07/16 (Purchased on 6/30/16 to be repurchased at $238,022,213, collateralized by various Corporate Debt Obligations, 0.00% to 8.31%, due 4/15/20 to 2/20/66, original par and fair values of $12,364,741,135 and $257,271,862, respectively)	$	238,000	$	238,000,000
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.88%, 8/14/16 (Purchased on 6/30/16 to be repurchased at $42,046,200, collateralized by a Corporate Debt Obligation, 0.00%, due 8/01/20, original par and fair value of $60,561,058 and $52,500,001, respectively) (d)		42,000		42,000,000
Total Value of Merrill Lynch, Pierce, Fenner & Smith, Inc. (collateral value of $345,471,900)				315,000,000
Mizuho Security USA, Inc., 0.51%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $75,001,063, collateralized by various U.S. Government Sponsored Agency Obligations,, 0.44% to 5.25%, due 11/21/16 to 2/20/45, original par and fair values of $77,024,791 and $76,500,001, respectively)		75,000		75,000,000
Mizuho Security USA, Inc., 1.48%, 8/04/16 (Purchased on 6/30/16 to be repurchased at $44,814,390, collateralized by various Corporate Debt Obligations, 0.00% to 5.81%, due 2/25/36 to 2/25/46, original par and fair values of $2,378,752,662 and $49,672,480, respectively) (d)		44,750		44,750,000
Total Value of Mizuho Security USA, Inc. (collateral value of $126,172,481)				119,750,000
RBC Capital Markets LLC, 0.35%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $160,001,556, collateralized by various Corporate Debt Obligations, 0.00% to 7.50%, due 3/02/18 to 6/15/51, original par and fair values of $655,860,318 and $166,681,554, respectively)		160,000		160,000,000
RBC Capital Markets LLC, 0.36%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $90,000,900, collateralized by various Corporate Debt Obligations, 0.00% to 0.87%, due 7/11/16 to 12/27/16, original par and fair values of $95,288,999 and $94,500,001, respectively)		90,000		90,000,000
RBC Capital Markets LLC, 0.36%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $51,000,510, collateralized by various Corporate Debt Obligations, 0.00% to 7.00%, due 2/15/17 to 6/01/46, original par and fair values of $73,415,483 and $53,021,374, respectively)		51,000		51,000,000
Total Value of RBC Capital Markets LLC (collateral value of $314,202,929)				301,000,000
Wells Fargo Securities LLC, 0.43%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $100,001,194, collateralized by various U.S. Government Sponsored Agency Obligations, 3.50% to 4.00%, due 3/01/46 to 6/01/46, original par and fair values of $97,586,486 and $103,000,001, respectively)		100,000		100,000,000

See Notes to Financial Statements.



38	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (concluded)		Money Market Master Portfolio


Repurchase Agreements	Par (000)		Value
Wells Fargo Securities LLC, 0.43%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $320,003,822, collateralized by various Corporate Debt Obligations, 0.49% to 6.84%, due 8/21/17 to 11/15/47, original par and fair values of $342,130,487 and $342,400,001, respectively)	$	320,000	$	320,000,000
Wells Fargo Securities LLC, 0.79%, 8/01/16 (Purchased on 5/02/16 to be repurchased at $261,521,203, collateralized by various Corporate Debt Obligations, 0.01% to 8.13%, due 7/15/16 to 5/15/77, original par and fair values of $258,953,000 and $274,050,704, respectively)		261,000		261,000,000


Repurchase Agreements	Par (000)		Value
Wells Fargo Securities, LLC, 0.86%, 7/11/16 (Purchased on 4/11/16 to be repurchased at $93,202,172, collateralized by various Corporate Debt Obligations, 0.88% to 6.63%, due 8/02/16 to 1/31/46, original par and fair values of $93,180,967 and $97,650,001, respectively)	$	93,000	$	93,000,000
Total Value of Wells Fargo Securities, LLC (collateral value of $817,100,706)				774,000,000
Total Repurchase Agreements — 16.4%				5,153,250,000
*Total Investments (Cost — $30,951,562,096) — 98.4%**				30,951,562,096
Other Assets Less Liabilities — 1.6%				504,463,493

Net Assets — 100.0%			$	31,456,025,589

Notes to Schedule of Investments

Cost for federal income tax purposes.

(a)

Variable rate security. Rate as of period end.

(b)

Rates are discount rates or a range of discount rates at the time of purchase.

(c)

Issuer is a U.S. branch of foreign domiciled bank.

(d)

Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

(e)

Traded in a joint account.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about the Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following tables summarizes the Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Short-Term Securities¹		—	$	30,951,562,096		—	$	30,951,562,096
¹ See above Schedule of Investments for values in each security type.

The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, cash of $539,957,435 is categorized as Level 1 within the disclosure hierarchy.

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	39

Schedule of Investments June 30, 2016 (Unaudited)

Prime Money Market Master Portfolio

(Percentages shown are based on Net Assets)


Certificates of Deposit	Par (000)		Value
Domestic — 4.0%
Citibank NA, New York:
0.40%, 7/07/16	$	95,000	$	95,000,000
0.59%, 8/04/16		225,000		225,000,000
0.50%, 8/15/16		100,000		100,000,000
State Street Bank & Trust (a):
0.80%, 9/16/16		82,000		82,000,000
0.80%, 9/23/16		100,000		100,000,000
Wells Fargo Bank NA:
0.81%, 7/13/16 (a)		75,000		75,000,000
0.82%, 8/03/16		30,000		30,006,566
0.84%, 9/13/16		25,000		25,000,000
1.06%, 2/01/17		195,500		195,500,000
0.95%, 2/15/17 (a)		70,000		70,000,000

				997,506,566
Yankee (b) — 23.7%
Bank of Montreal, Chicago:
0.40%, 7/05/16		200,000		200,000,000
0.80%, 7/13/16 (a)		150,000		150,000,000
0.42%, 7/14/16		150,000		150,000,000
0.70%, 7/21/16 (a)		75,000		75,000,000
1.10%, 2/02/17		130,000		130,000,000
Bank of Nova Scotia, Houston:
0.80%, 7/12/16 (a)		75,000		75,000,000
0.80%, 8/26/16		119,600		119,600,000
Bank of Tokyo-Mitsubishi UFJ Ltd., New York, 0.63%, 8/10/16		100,000		100,000,000
BNP Paribas SA, New York (a):
0.82%, 8/01/16		199,000		199,000,000
0.83%, 8/19/16		75,000		75,000,000
Credit Industriel et Commercial, New York:
0.65%, 8/01/16		148,500		148,500,000
0.85%, 8/01/16 (a)		50,000		50,000,000
0.85%, 8/08/16 (a)		50,000		50,000,000
0.60%, 8/11/16		100,000		100,000,000
DZ Bank Deutsche Genossenschaf, New York:
0.60%, 9/08/16		150,000		149,991,319
0.62%, 9/16/16		100,000		100,000,000
Mitsubishi UFJ Trust & Banking Corp., New York:
0.65%, 7/05/16		50,000		50,000,000
0.85%, 7/05/16 (a)		150,000		150,000,000
0.73%, 7/12/16		35,000		35,000,956
0.75%, 8/18/16		31,230		31,236,204
Mizuho Bank Ltd., New York:
0.61%, 7/07/16		48,500		48,500,000
0.75%, 7/15/16		100,000		99,970,833
0.83%, 7/19/16 (a)		75,000		75,000,000
0.83%, 7/26/16 (a)		75,000		75,000,000
0.61%, 8/15/16		100,000		100,000,000
0.82%, 8/15/16		75,000		74,923,125
0.62%, 8/16/16		100,000		100,000,000
Norinchukin Bank, New York:
0.83%, 7/08/16 (a)		200,000		200,000,000
0.63%, 8/08/16		125,000		125,000,000
0.62%, 8/19/16		50,000		50,000,000
0.63%, 8/19/16		128,000		128,001,734
0.85%, 9/06/16		130,000		130,000,000
Oversea Chinese Banking, Corp. Ltd., New York, 0.56%, 8/11/16		25,000		25,000,000
Rabobank Nederland, New York:
0.78%, 7/06/16 (a)		200,000		200,000,000
0.71%, 8/01/16		76,000		76,005,535
0.80%, 8/11/16 (a)		200,000		200,000,000
Royal Bank of Canada, New York:
0.94%, 11/01/16		129,000		129,000,000
0.92%, 12/16/16 (a)		50,000		50,000,000


Certificates of Deposit	Par (000)		Value
Yankee (b) (continued)
Skandinaviska Enskilda Banken AB, New York, 0.80%, 7/19/16	$	42,000	$	42,001,452
Sumitomo Mitsui Banking Corp., New York:
0.64%, 8/15/16		107,750		107,749,998
0.85%, 8/25/16		36,100		36,107,092
Sumitomo Trust & Banking Co. Ltd., New York:
0.40%, 7/07/16		250,000		250,000,000
0.60%, 7/07/16		100,000		100,000,000
0.85%, 7/08/16 (a)		96,500		96,500,000
0.85%, 7/11/16 (a)		100,000		100,000,000
0.52%, 8/15/16		100,000		100,000,000
0.71%, 8/29/16		75,000		75,000,000
Svenska Handelsbanken, New York, 0.47%, 8/15/16		215,000		215,001,343
Toronto-Dominion Bank, New York:
0.56%, 8/22/16		122,000		122,001,747
0.88%, 10/17/16 (a)		42,500		42,500,000
1.11%, 2/02/17		136,000		136,000,000
UBS AG, Stamford (a):
0.83%, 7/11/16		250,000		250,000,000
0.84%, 9/09/16		190,000		190,000,000
Westpac Banking Corp., New York, 0.99%, 2/06/17 (a)		127,000		127,000,000

				6,014,591,338
Total Certificates of Deposit — 27.7%				7,012,097,904



Commercial Paper
Albion Capital LLC, 0.50%, 7/01/16 (c)		44,000		44,000,000
American Honda Finance Corp. (c):
0.54%, 7/27/16		205,000		204,920,050
0.53%, 8/12/16		50,000		49,969,083
0.50%, 8/19/16		73,900		73,849,352
ASB Finance Ltd., London (c):
0.65%, 8/22/16		100,000		99,906,111
1.08%, 2/01/17 (d)		25,000		24,840,243
Australia & New Zealand Banking International Group Ltd. (c)
0.65%, 8/26/16 (d)		295,900		295,600,812
0.64%, 9/01/16		150,000		149,834,667
Bank of Nederlandse Gemeenten, 0.64%, 8/31/16 (c)		150,000		149,837,333
Bank of Nova Scotia, 0.85%, 8/26/16 (c)(d)		15,000		14,980,167
Barton Capital Corp., 0.53%, 8/08/16 (c)		40,600		40,577,287
Bedford Row Funding Corp.:
0.81%, 7/13/16 (a)		97,500		97,500,000
0.85%, 9/06/16 (c)		35,000		34,944,632
0.84%, 9/12/16 (a)		100,000		100,000,000
0.82%, 10/06/16 (a)		25,000		24,999,334
Bennington Sark Cap Co.:
0.46%, 7/05/16		182,000		181,990,733
0.53%, 8/01/16 (c)		31,000		30,985,852
BNP Paribas Fortis SA, New York (c):
0.28%, 7/01/16		500,000		500,000,000
0.50%, 8/22/16		50,000		49,963,889
Caisse Centrale Desjardins du Quebec (c):
0.42%, 7/05/16		200,000		199,990,667
0.53%, 7/25/16 (d)		100,000		99,964,667
0.53%, 7/28/16 (d)		50,000		49,980,125
0.58%, 8/02/16		100,000		99,948,444
0.66%, 9/08/16		125,000		124,841,875
Chariot Funding LLC:
0.85%, 7/11/16 (c)		30,000		29,992,917
0.90%, 10/05/16 (a)		139,100		139,100,000

See Notes to Financial Statements.



40	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		Prime Money Market Master Portfolio


Commercial Paper	Par (000)		Value
Chevron Corp., 0.60%, 8/29/16 (c)	$	150,000	$	149,852,500
Collateralized Commercial Paper II Co. (a):
0.86%, 7/07/16		100,000		100,000,000
0.82%, 7/26/16		100,000		100,000,000
Commonwealth Bank of Australia (a):
0.71%, 7/05/16		185,000		185,000,000
0.65%, 7/15/16		25,000		25,000,000
1.00%, 1/27/17		60,000		60,000,000
CRC Funding LLC (c):
0.81%, 8/08/16		99,330		99,245,073
0.57%, 8/12/16		100,000		99,933,500
0.58%, 8/17/16		75,000		74,943,208
Crown Point Capital Co. LLC, Series A, 0.64%, 7/11/16 (c)		150,000		149,973,333
DBS Bank, Ltd. (c):
0.39%, 7/06/16		40,000		39,997,833
0.53%, 7/22/16		80,000		79,975,267
0.53%, 7/25/16		150,000		149,947,000
0.53%, 7/26/16 (d)		100,000		99,963,194
0.53%, 7/27/16		85,000		84,967,464
0.49%, 8/12/16		100,000		99,942,833
0.49%, 8/15/16		100,000		99,938,750
0.57%, 8/16/16		100,000		99,927,167
0.60%, 9/15/16		35,000		34,955,667
Erste Abwicklungsanstalt, 0.66%, 9/01/16 (c)		100,000		99,886,333
Fairway Finance Co. LLC, 0.78%, 7/07/16 (a)		150,000		150,000,000
HSBC Bank PLC (a):
0.69%, 7/06/16		70,000		70,000,000
0.78%, 7/15/16		74,000		74,000,000
ING US Funding LLC (c):
0.69%, 7/05/16		125,000		124,990,417
0.70%, 8/05/16		49,325		49,291,432
0.72%, 9/01/16		50,000		49,938,000
J.P. Morgan Securities LLC, 1.13%, 2/01/17 (c)(d)		94,000		93,371,244
Jupiter Securitization Co. LLC, 0.85%, 7/05/16 (c)		28,750		28,747,285
Manhattan Asset Funding Co.LLC (c):
0.57%, 7/27/16		57,000		56,976,535
0.57%, 7/29/16		31,092		31,078,216
0.53%, 8/09/16		91,007		90,954,747
0.53%, 8/10/16		72,917		72,874,060
Mitsubishi UFJ Trust & Banking Corp., New York (c):
0.71%, 8/08/16		25,000		24,981,264
0.53%, 8/09/16		200,000		199,885,167
National Australia Bank Ltd. (c)(d):
0.96%, 11/01/16		97,000		96,685,154
0.96%, 11/02/16		50,000		49,836,389
NRW.Bank, 0.39%, 7/05/16 (c)		100,000		99,995,722
Old Line Funding LLC (c):
0.86%, 7/18/16		50,000		49,979,694
0.75%, 8/04/16		40,000		39,971,667
0.66%, 8/24/16		90,000		89,910,900
Oversea Chinese Banking, Corp. Ltd., 0.51%, 7/25/16 (c)(d)		185,000		184,937,100
Rabobank Nederland, New York, 0.82%, 8/23/16 (c)		75,000		74,909,458
Ridgefield Funding Co. LLC, 0.60%, 8/15/16 (c)		150,000		149,887,500
Shell International Finance BV, 0.51%, 7/01/16 (c)(d)		100,000		100,000,000
Sumitomo Mitsui Banking Corp., 0.84%, 8/26/16 (c)(d)		88,500		88,384,360


Commercial Paper	Par (000)		Value
Sumitomo Mitsui Trust & Banking Corp. Ltd., New York, 0.71%, 8/15/16 (c)	$	75,000	$	74,933,437
Thunder Bay Funding LLC (a):
0.81%, 7/07/16		80,000		80,000,000
0.80%, 7/18/16		100,000		100,000,000
Total Capital Canada Ltd. (c):
0.59%, 7/21/16		58,250		58,230,907
0.60%, 8/12/16		275,000		274,807,500
Toyota Motor Credit Corp. (c):
0.63%, 7/12/16		50,000		49,990,375
0.65%, 7/25/16		49,500		49,478,550
0.65%, 8/30/16		149,900		149,737,608
0.65%, 8/31/16		150,000		149,834,792
0.60%, 9/09/16		150,000		149,825,000
0.84%, 9/14/16		50,000		49,912,500
United Overseas Bank Ltd. (c):
0.85%, 9/16/16 (d)		100,000		99,818,194
0.60%, 9/20/16		100,000		99,865,000
Versailles Commercial Paper LLC, 0.70%, 9/12/16 (c)		120,000		119,829,667
Westpac Banking Corp., 0.99%, 12/19/16 (c)		197,000		196,082,965
Total Commercial Paper — 34.4%				8,689,900,168



Corporate Notes — 0.1%
Commonwealth Bank of Australia, 1.15%, 9/20/16 (a)(d)		20,000		20,013,000



Municipal Bonds (e)
Illinois State Toll Highway Authority, Refunding RB, VRDN, 0.42%, 7/07/16		16,000		16,000,000
Indiana Finance Authority, Refunding RB, VRDN, 0.40%, 7/07/16		23,040		23,040,000
University of Texas System, Refunding RB, Series B, VRDN, 0.39%, 7/07/16		22,335		22,335,000
Total Municipal Bonds — 0.3%				61,375,000



Time Deposits
Bank of Tokyo-Mitsubishi UFJ Ltd., New York, 0.30%, 7/01/16		450,000		450,000,000
Canadian Imperial Bank of Commerce, New York, 0.28%, 7/01/16		100,000		100,000,000
Credit Agricole CIB, New York, 0.31%, 7/01/16		321,000		321,000,000
DZ Bank Deutsche Genossenschaf, 0.28%, 7/01/16		400,000		400,000,000
National Australia Bank Ltd., New York, 0.28%, 7/01/16		250,000		250,000,000
National Bank of Canada, 0.28%, 7/01/16		250,000		250,000,000
Natixis, SA, 0.26%, 7/01/16		220,000		220,000,000
Nordea Bank Finland PLC, 0.28%, 7/01/16		500,000		500,000,000
Royal Bank of Canada, 0.30%, 7/01/16		400,000		400,000,000
Skandinaviska Enskilda Banken AB, 0.29%, 7/01/16		500,000		500,000,000
Svenska Handelsbanken, 0.30%, 7/01/16		900,000		900,000,000
Swedbank AB, New York, 0.30%, 7/01/16		1,000,000		1,000,000,000
Total Time Deposits — 20.9%				5,291,000,000

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	41


Schedule of Investments (continued)		Prime Money Market Master Portfolio


U.S. Government Sponsored Agency Obligations	Par (000)		Value
Federal Farm Credit Banks, 0.59%, 12/04/17 (a)	$	125,000	$	125,000,000
Federal Home Loan Bank (a):
0.48%, 9/26/16		5,400		5,399,945
0.49%, 2/14/17		50,000		49,986,630
Total U.S. Government Sponsored Agency Obligations — 0.7%				180,386,575



U.S. Treasury Obligations — 0.1%
U.S. Treasury Notes, 0.43%, 10/31/17 (a)		34,415		34,339,733



Repurchase Agreements
BNP Paribas Securities Corp., 0.38%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $84,000,887, collateralized by various Corporate Debt Obligations, 0.00% to 6.00%, due 11/25/22 to 9/25/46, original par and fair values of $405,389,773 and $103,328,514, respectively)		84,000		84,000,000
Total Value of BNP Paribas Securities Corp. (collateral value of $103,328,514)				84,000,000
Citigroup Global Markets, Inc., 0.42%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $75,000,875, collateralized by various Corporate Debt Obligations, 1.25% to 2.50%, due 1/31/20 to 5/15/24, original par and fair values of $74,858,836 and $76,500,001, respectively) (f)		75,000		75,000,000
Total Value of Citigroup Global Markets, Inc. (collateral value of $76,500,001)				75,000,000
Credit Suisse Securities (USA) LLC, 0.33%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $75,000,688, collateralized by various Corporate Debt Obligations, 0.00% to 5.38%, due 7/05/16 to 3/25/46, original par and fair values of $112,712,019 and $77,806,628, respectively)		75,000		75,000,000
Credit Suisse Securities (USA) LLC, 0.63%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $146,118,557, collateralized by various Corporate Debt Obligations, 4.76% to 9.89%, due 7/01/20 to 5/15/21, original par and fair values of $178,707,000 and $175,340,333, respectively)		146,116		146,116,000
Credit Suisse Securities (USA) LLC, 0.63%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $61,501,076, collateralized by various Corporate Debt Obligations, 0.00% to 15.00%, due 5/01/19 to 11/01/43, original par and fair values of $304,438,579 and $72,360,592, respectively)		61,500		61,500,000
Credit Suisse Securities (USA) LLC, 0.92%, 8/04/16 (Purchased on 6/30/16 to be repurchased at $233,208,406, collateralized by various Corporate Debt Obligations, 0.00% to 5.75%, due 12/25/19 to 4/25/55, original par and fair values of $410,235,054 and $279,600,173, respectively) (e)		233,000		233,000,000
Total Value of Credit Suisse Securities (USA) LLC (collateral value of $605,107,726)				515,616,000


Repurchase Agreements	Par (000)		Value
Federal Reserve Bank of New York, 0.25%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $950,006,597, collateralized by a Corporate Debt Obligation, 2.50%, due 8/15/23, original par and fair value of $868,852,600 and $950,006,612, respectively)	$	950,000	$	950,000,000
Total Value of Federal Reserve Bank of New York (collateral value of $950,006,612)				950,000,000
Goldman Sachs & Co., 0.40%, 7/05/16 (Purchased on 6/28/16 to be repurchased at $315,024,500, collateralized by various Corporate Debt Obligations, 0.00% to 8.00%, due 4/15/21 to 10/15/49, original par and fair values of $5,849,491,269 and $337,050,000, respectively)		315,000		315,000,000
Goldman Sachs & Co., 0.46%, 7/07/16 (Purchased on 6/30/16 to be repurchased at $169,015,116, collateralized by various Corporate Debt Obligations, 0.00% to 18.96%, due 6/15/26 to 1/16/55, original par and fair values of $2,759,489,320 and $182,343,470, respectively)		169,000		169,000,000
Total Value of Goldman Sachs & Co. (collateral value of $519,393,470)				484,000,000
HSBC Securities (USA), Inc., 0.38%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $15,000,158, collateralized by a Corporate Debt Obligation, 3.00%, due 11/01/42, original par and fair value of $19,020,000 and $15,303,600, respectively)		15,000		15,000,000
Total Value of HSBC Securities (USA), Inc. (collateral value of $15,303,600)				15,000,000
J.P. Morgan Securities LLC, 0.93%, 7/05/16 (Purchased on 4/04/16 to be repurchased at $100,237,667, collateralized by various Corporate Debt Obligations, 0.61% to 7.44%, due 1/15/20 to 4/25/46, original par and fair values of $311,872,411 and $125,000,163, respectively)		100,000		100,000,000
J.P. Morgan Securities LLC, 0.93%, 8/15/16 (Purchased on 5/16/16 to be repurchased at $75,176,313, collateralized by various Corporate Debt Obligations, 0.63% to 7.21%, due 1/15/29 to 5/25/37, original par and fair values of $289,829,450 and $93,754,130, respectively)		75,000		75,000,000
J.P. Morgan Securities LLC, 0.46%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $55,000,703, collateralized by various Corporate Debt Obligations, 0.24% to 3.50%, due 12/15/39 to 10/10/53, original par and fair values of $8,607,460,723 and $58,850,383, respectively)		55,000		55,000,000
J.P. Morgan Securities LLC, 0.63%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $30,000,525, collateralized by various Corporate Debt Obligations, 0.59% to 8.45%, due 6/15/27 to 5/25/38, original par and fair values of $146,468,900 and $37,500,373, respectively)		30,000		30,000,000

See Notes to Financial Statements.



42	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		Prime Money Market Master Portfolio


Repurchase Agreements	Par (000)		Value
J.P. Morgan Securities LLC, 0.75%, 8/04/16 (Purchased on 6/30/16 to be repurchased at $125,091,146, collateralized by various Corporate Debt Obligations, 0.08% to 1.82%, due 11/15/30 to 7/15/56, original par and fair values of $20,704,683,517 and $133,750,145, respectively) (e)	$	125,000	$	125,000,000
J.P. Morgan Securities LLC, 0.83%, 8/04/16 (Purchased on 6/30/16 to be repurchased at $45,036,313, collateralized by various Corporate Debt Obligations, 0.61% to 7.88%, due 7/02/18 to 12/20/49, original par and fair values of $228,241,572 and $56,169,260, respectively) (e)		45,000		45,000,000
J.P. Morgan Securities LLC, 1.03%, 9/29/16 (Purchased on 6/30/16 to be repurchased at $45,117,163, collateralized by various Corporate Debt Obligations, 0.06% to 8.63%, due 7/02/18 to 9/25/46, original par and fair values of $245,696,000 and $56,235,940, respectively) (e)		45,000		45,000,000
J.P. Morgan Securities LLC, 1.15%, 9/29/16 (Purchased on 6/30/16 to be repurchased at $80,232,556, collateralized by various Corporate Debt Obligations, 0.50% to 7.00%, due 6/25/29 to 11/25/57, original par and fair values of $340,259,595 and $92,002,949, respectively) (e)		80,000		80,000,000
Total Value of J.P. Morgan Securities LLC (collateral value of $653,263,343)				555,000,000
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.88%, 8/15/16 (Purchased on 6/30/16 to be repurchased at $140,157,422, collateralized by a Corporate Debt Obligation, 0.00%, due 8/01/20, original par and fair value of $201,870,192 and $175,000,001, respectively) (e)		140,000		140,000,000
Total Value of Merrill Lynch, Pierce, Fenner & Smith, Inc. (collateral value of $175,000,001)				140,000,000
RBC Capital Markets LLC, 0.35%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $125,001,215, collateralized by various Corporate Debt Obligations, 0.00% to 8.38%, due 11/15/16 to 6/20/46, original par and fair values of $338,014,698 and $129,603,328, respectively)		125,000		125,000,000
RBC Capital Markets LLC, 0.44%, 7/05/16 (Purchased on 6/28/16 to be repurchased at $100,008,555, collateralized by various Corporate Debt Obligations, 0.00% to 7.13%, due 1/23/17 to 12/01/96, original par and fair values of $161,359,658 and $103,160,588, respectively)		100,000		100,000,000
RBC Capital Markets LLC, 0.36%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $25,000,250, collateralized by a Corporate Debt Obligation, 0.00%, due 8/01/16, original par and fair value of $26,263,920 and $26,250,000, respectively)		25,000		25,000,000


Repurchase Agreements	Par (000)		Value
RBC Capital Markets LLC, 0.36%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $16,000,160, collateralized by various Corporate Debt Obligations, 0.00% to 5.50%, due 11/29/23 to 4/01/46, original par and fair values of $19,473,132 and $16,576,799, respectively)	$	16,000	$	16,000,000
Total Value of RBC Capital Markets LLC (collateral value of $275,590,715)				266,000,000
Wells Fargo Securities LLC, 0.38%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $100,001,056, collateralized by various Corporate Debt Obligations, 0.48% to 4.87%, due 12/20/18 to 7/17/33, original par and fair values of $107,298,962 and $107,000,001, respectively)		100,000		100,000,000
Wells Fargo Securities LLC, 0.86%, 7/05/16 (Purchased on 4/04/16 to be repurchased at $50,109,889, collateralized by various Corporate Debt Obligations, 0.00%, due 7/11/16 to 7/18/16, original par and fair values of $51,014,772 and $51,000,001, respectively)		50,000		50,000,000
Wells Fargo Securities LLC, 0.86%, 7/11/16 (Purchased on 4/11/16 to be repurchased at $37,080,434, collateralized by various Corporate Debt Obligations, 0.00%, due 7/18/16 to 7/21/16, original par and fair values of $37,755,192 and $37,740,001, respectively)		37,000		37,000,000
Wells Fargo Securities LLC, 0.79%, 8/01/16 (Purchased on 5/02/16 to be repurchased at $181,361,447, collateralized by various Corporate Debt Obligations, 0.00%, due 7/19/16 to 8/01/16, original par and fair values of $184,725,428 and $184,620,000, respectively)		181,000		181,000,000
Wells Fargo Securities LLC, 1.10%, 9/07/16 (Purchased on 6/07/16 to be repurchased at $40,112,444, collateralized by various Corporate Debt Obligations, 3.25% to 8.50%, due 10/01/18 to 6/15/46, original par and fair values of $39,869,000 and $42,000,870, respectively)		40,000		40,000,000
Wells Fargo Securities LLC, 0.43%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $180,002,150, collateralized by various Corporate Debt Obligations, 1.11% to 5.95%, due 5/20/18 to 4/17/52, original par and fair values of $191,254,129 and $192,600,000, respectively)		180,000		180,000,000
Total Value of Wells Fargo Securities LLC (collateral value of $614,960,873)				588,000,000
Total Repurchase Agreements — 14.5%				3,672,616,000
Total Investments (Cost — $24,961,728,380*) — 98.7%				24,961,728,380
Other Assets Less Liabilities — 1.3%				335,079,273

Net Assets — 100.0%			$	25,296,807,653

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	43


Schedule of Investments (concluded)		Prime Money Market Master Portfolio


Notes to Schedule of Investments

Cost for federal income tax purposes.

(a)

Variable rate security. Rate as of period end.

(b)

Issuer is a U.S. branch of foreign domiciled bank.

(c)

Rates are discount rates or a range of discount rates paid at the time of purchase.

(d)

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.

(e)

Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

(f)

Traded in a joint account.


Fair Value Hierarchy as of Period End

The following table summarizes the Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Short-Term Securities¹		—	$	24,961,728,380		—	$	24,961,728,380
¹ See above Schedule of Investments for values in each security type.

The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, cash of $377,618,984 is categorized as Level 1 within the disclosure hierarchy.

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



44	BLACKROCK FUNDS III	JUNE 30, 2016

Schedule of Investments June 30, 2016 (Unaudited)

Treasury Money Market Master Portfolio

(Percentages shown are based on Net Assets)


U.S. Treasury Obligations	Par (000)			Value
U.S. Treasury Bills (a):
0.23% - 0.52%, 7/07/16	$	750,000		$	749,963,626
0.38%, 7/21/16		6,000			5,998,767
0.47% - 0.47%, 8/04/16		50,100			50,078,088
0.43% - 0.44%, 8/11/16		33,000			32,984,044
0.42%, 8/18/16		50,000			49,972,667
0.46% - 0.47%, 8/25/16		100,000			99,930,436
0.48%, 9/08/16		37,000			36,966,314
0.48%, 9/29/16		60,000			59,928,750
0.36%, 10/13/16		—	(b)		100
0.36%, 10/20/16		75,000			74,919,062
0.40%, 11/03/16		200,000			199,725,694
0.41%, 12/22/16		32,920			32,856,355
0.67%, 3/02/17		10,000			9,955,267
0.62%, 4/27/17		67,500			67,159,687
0.56%, 5/25/17		25,445			25,317,492
0.57%, 6/22/17		23,075			22,948,357
U.S. Treasury Notes:
0.63%, 7/15/16		18,940			18,939,904
0.33%, 7/31/16 (c)		106,425			106,430,750
0.50%, 7/31/16		31,265			31,261,288
1.00% - 3.00%, 9/30/16		267,500			269,177,576
3.13%, 10/31/16		298,000			300,691,974
0.88%, 12/31/16		30,130			30,166,867
0.75%, 1/15/17		27,760			27,808,277
0.75%, 3/15/17		27,855			27,911,627
0.33%, 4/30/17 (c)		58,291			58,288,785
4.50%, 5/15/17		27,795			28,729,065
0.63%, 5/31/17		10,380			10,373,210
0.63% - 2.50%, 6/30/17		57,765			57,979,417
0.34%, 7/31/17 (c)		84,160			84,137,634
0.43%, 10/31/17 (c)		149,036			149,069,791
0.53%, 1/31/18 (c)		158,320			158,413,492
0.45%, 4/30/18 (c)		221,005			221,023,467
Total U.S. Treasury Obligations — 48.1%					3,099,107,830



Repurchase Agreements
Bank of Montreal, 0.38%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $15,000,158, collateralized by various U.S. Treasury Obligations, 0.00% to 3.50%, due 6/30/16 to 2/15/41, original par and fair values of $14,271,400 and $15,300,035, respectively)		15,000			15,000,000
Total Value of Bank of Montreal (collateral value of $15,300,035)					15,000,000
Bank of Nova Scotia, 0.40%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $200,002,222, collateralized by various U.S. Treasury Obligations, 0.00% to 2.75%, due 4/15/17 to 2/15/46, original par and fair values of $191,924,172 and $204,002,292, respectively)		200,000			200,000,000
Total Value of Bank of Nova Scotia (collateral value of $204,002,292)					200,000,000
BNP Paribas Securities Corp., 0.40%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $945,010,500, collateralized by various U.S. Treasury Obligations, 0.00% to 4.50%, due 1/31/17 to 5/15/44, original par and fair values of $930,315,128 and $963,900,053, respectively)		945,000			945,000,000
Total Value of BNP Paribas Securities Corp. (collateral value of $963,900,053)					945,000,000


Repurchase Agreements	Par (000)		Value
Citigroup Global Markets, Inc., 0.42%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $125,001,458, collateralized by various U.S. Treasury Obligations, 1.25% to 2.50%, due 1/31/20 to 5/15/24, original par and fair values of $124,764,726 and $127,500,002, respectively) (d)	$	125,000	$	125,000,000
Total Value of Citigroup Global Markets, Inc. (collateral value of $127,500,002)				125,000,000
Credit Agricole Corp., 0.42%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $540,006,300, collateralized by various U.S. Treasury Obligations, 0.13% to 6.88%, due 1/15/17 to 5/15/46, original par and fair values of $478,241,900 and $550,800,001, respectively)		540,000		540,000,000
Total Value of Credit Agricole Corp. (collateral value of $550,800,001)				540,000,000
HSBC Securities (USA), Inc., 0.36%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $200,002,000, collateralized by various U.S. Treasury Obligations, 0.38% to 9.00%, due 7/31/16 to 5/15/42, original par and fair values of $188,092,153 and $204,001,779, respectively)		200,000		200,000,000
HSBC Securities (USA), Inc., 0.40%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $100,001,011, collateralized by various U.S. Treasury Obligations, 0.88% to 3.88%, due 9/30/16 to 2/15/46, original par and fair values of $97,994,336 and $102,003,023, respectively)		100,000		100,000,000
HSBC Securities (USA), Inc., 0.37%, 7/05/16 (Purchased on 6/30/16 to be repurchased at $51,002,621, collateralized by various U.S. Treasury Obligations, 1.13% to 6.25%, due 5/15/18 to 5/15/45, original par and fair values of $44,774,900 and $52,021,260, respectively)		51,000		51,000,000
Total Value of HSBC Securities (USA), Inc. (collateral value of $358,026,062)				351,000,000
J.P. Morgan Securities LLC, 0.40%, 7/01/16, (Purchased on 6/30/16 to be repurchased at $281,003,122, collateralized by various U.S. Treasury Obligations, 1.38% to 1.88%, due 1/31/21 to 5/31/22, original par and fair values of $279,511,400 and $286,624,405, respectively)		281,000		281,000,000
Total Value of J.P. Morgan Securities LLC (collateral value of $286,624,405)				281,000,000
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.42%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $10,000,117, collateralized by a U.S. Treasury Obligation, 0.13%, due 4/15/17, original par and fair value of $9,622,600 and $10,200,041, respectively)		10,000		10,000,000
Total Value of Merrill Lynch, Pierce, Fenner & Smith, Inc. (collateral value of $10,200,041)				10,000,000

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	45


Schedule of Investments (concluded)		Treasury Money Market Master Portfolio


Repurchase Agreements	Par (000)		Value
Mitsubishi UFJ Securities USA, Inc., 0.39%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $500,005,417, collateralized by various U.S. Treasury Obligations, 0.00% to 4.75%, due 12/08/16 to 8/15/41, original par and fair values of $441,890,900 and $510,000,012, respectively)	$	500,000	$	500,000,000
Total Value of Mitsubishi UFJ Securities USA, Inc. (collateral value of $510,000,012)				500,000,000
Morgan Stanley & Co. LLC, 0.27%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $15,000,113, collateralized by various U.S. Treasury Obligations, 0.00% to 1.00%, due 12/08/16 to 3/31/17, original par and fair values of $15,205,600 and $15,300,010, respectively)		15,000		15,000,000
Total Value of Morgan Stanley & Co. LLC (collateral value of $15,300,010)				15,000,000
RBC Capital Markets LLC, 0.38%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $21,000,222, collateralized by various U.S. Treasury Obligations, 0.00% to 2.00%, due 7/31/22 to 8/15/43, original par and fair values of $26,131,769 and $21,420,041, respectively)		21,000		21,000,000
Total Value of RBC Capital Markets LLC (collateral value of $21,420,041)				21,000,000


Repurchase Agreements	Par (000)		Value
SG Americas Securities LLC, 0.40%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $310,003,444, collateralized by various U.S. Treasury Obligations, 1.00% to 2.13%, due 12/15/17 to 12/31/22, original par and fair values of $307,971,800 and $316,200,087, respectively)		310,000		310,000,000
Total Value of SG Americas Securities LLC (collateral value of $316,200,087)				310,000,000
TD Securities (USA) LLC, 0.42%, 7/01/16 (Purchased on 6/30/16 to be repurchased at $35,000,408, collateralized by various U.S. Treasury Obligations, 0.00% to 2.13%, due 6/22/17 to 5/15/25, original par and fair values of $35,839,600 and $35,700,017, respectively)		35,000		35,000,000
Total Value of TD Securities (USA) LLC (collateral value of $35,700,017)				35,000,000
Total Repurchase Agreements — 51.9%				3,348,000,000
*Total Investments (Cost — $6,447,107,830) — 100.0%**				6,447,107,830
Other Assets Less Liabilities — 0.0%				1,767,345

Net Assets — 100.0%			$	6,448,875,175

Notes to Schedule of Investments

Cost for federal income tax purposes.

(a)

Rates are discount rates or a range of discount rates at the time of purchase.

(b)

Amount is less than $500.

(c)

Variable rate security. Rate as of period end.

(d)

Traded in a joint account.

Fair Value Hierarchy as of Period End

The following table summarizes the Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Short-Term Securities¹		—	$	6,447,107,830		—	$	6,447,107,830
¹ See above Schedule of Investments for values in each security type.

The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, cash of $101,641,137 is categorized as Level 1 within the disclosure hierarchy.

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



46	BLACKROCK FUNDS III	JUNE 30, 2016


Statements of Assets and Liabilities


June 30, 2016 (Unaudited)	Money Market Master Portfolio		Prime Money Market Master Portfolio		Treasury Money Market Master Portfolio

Assets
Investments at value — unaffiliated¹	$	25,798,312,096	$	21,289,112,380	$	3,099,107,830
Repurchase agreements at value²		5,153,250,000		3,672,616,000		3,348,000,000
Cash		539,957,435		377,618,984		101,641,137
Receivables:
Contributions from investors		2,286		—		—
Interest		13,550,299		9,076,677		4,607,044

Total assets		31,505,072,116		25,348,424,041		6,553,356,011


Liabilities
Payables:
Investment advisory fees		1,901,509		1,539,102		356,564
Withdrawals to investors		—		50,000,000		—
Investments purchased		47,001,919		—		104,094,022
Trusteess’ fees		101,093		56,683		15,167
Other accrued expenses		42,006		20,603		15,083

Total liabilities		49,046,527		51,616,388		104,480,836

Net Assets	$	31,456,025,589	$	25,296,807,653	$	6,448,875,175


Net Assets Consist of
Investors’ capital	$	31,456,025,589	$	25,296,807,653	$	6,448,875,175

¹Investments at cost — unaffiliated	$	25,798,312,096	$	21,289,112,380	$	3,099,107,830
²Repurchase agreements at cost — unaffiliated	$	5,153,250,000	$	3,672,616,000	$	3,348,000,000


Statements of Operations


Six Months Ended June 30, 2016 (Unaudited)	Money Market Master Portfolio			Prime Money Market Master Portfolio			Treasury Money Market Master Portfolio

Investment Income
Interest	$	126,591,524		$	78,203,279		$	7,572,516


Expenses
Investment advisory		21,475,684			13,602,107			2,080,318
Independent Trustees		224,383			134,207			24,144
Professional		86,876			56,082			16,804

Total expenses		21,786,943			13,792,396			2,121,266
Less fees waived by the Manager		(6,753,964	)		(4,270,921	)		(665,044	)

Total expenses after fees waived		15,032,979			9,521,475			1,456,222

Net investment income		111,558,545			68,681,804			6,116,294


Realized Gain
Net realized gain from investments		370,665			208,659			247,663

Net Increase in Net Assets Resulting from Operations	$	111,929,210		$	68,890,463		$	6,363,957


Statements of Changes in Net Assets		Master Investment Portfolio


	Money Market Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	111,558,545		$	89,315,891
Net realized gain		370,665			1,394,458

Net increase in net assets resulting from operations		111,929,210			90,710,349


Capital Transactions
Proceeds from contributions		58,626,627,942			125,579,520,075
Value of withdrawals		(70,571,685,555	)		(123,227,762,969	)

Net increase (decrease) in net assets derived from capital transactions		(11,945,057,613	)		2,351,757,106


Net Assets
Total increase (decrease) in net assets		(11,833,128,403	)		2,442,467,455
Beginning of period		43,289,153,992			40,846,686,537

End of period	$	31,456,025,589		$	43,289,153,992


Statements of Changes in Net Assets		Master Investment Portfolio


	Prime Money Market Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	68,681,804		$	48,160,981
Net realized gain		208,659			597,937

Net increase in net assets resulting from operations		68,890,463			48,758,918


Capital Transactions
Proceeds from contributions		173,607,168,317			367,806,236,981
Value of withdrawals		(175,080,921,879	)		(364,947,666,929	)

Net increase (decrease) in net assets derived from capital transactions		(1,473,753,562	)		2,858,570,052


Net Assets
Total increase (decrease) in net assets		(1,404,863,099	)		2,907,328,970
Beginning of period		26,701,670,752			23,794,341,782

End of period	$	25,296,807,653		$	26,701,670,752


Statements of Changes in Net Assets		Master Investment Portfolio


	Treasury Money Market Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	6,116,294		$	1,341,031
Net realized gain		247,663			169,786

Net increase in net assets resulting from operations		6,363,957			1,510,817


Capital Transactions
Proceeds from contributions		38,132,748,317			63,745,962,994
Value of withdrawals		(35,140,418,378	)		(64,154,846,234	)

Net increase (decrease) in net assets derived from capital transactions		2,992,329,939			(408,883,240	)


Net Assets
Total increase (decrease) in net assets		2,998,693,896			(407,372,423	)
Beginning of period		3,450,181,279			3,857,553,702

End of period	$	6,448,875,175		$	3,450,181,279


Financial Highlights		Master Investment Portfolio


	Money Market Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015		2014		2013		2012		2011

Total Return
Total return		0.26%	¹		0.21%		0.16%		0.20%		0.27%		0.23%


Ratios to Average Net Assets
Total expenses		0.10%	²		0.10%		0.10%		0.10%		0.10%		0.10%

Total expenses after fees waived		0.07%	²		0.07%		0.07%		0.07%		0.07%		0.07%

Net investment income		0.52%	²		0.21%		0.16%		0.19%		0.27%		0.22%


Supplemental Data
Net assets, end of period (000)		$ 31,456,026			$ 43,289,154		$ 40,846,687		$ 41,524,435		$ 35,289,099		$ 28,528,047

Aggregate total return.

Annualized.


Financial Highlights		Master Investment Portfolio


	Prime Money Market Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015		2014		2013		2012		2011

Total Return
Total return		0.25%	¹		0.19%		0.13%		0.17%		0.25%		0.21%


Ratios to Average Net Assets
Total expenses		0.10%	²		0.10%		0.10%		0.10%		0.10%		0.10%

Total expenses after fees waived		0.07%	²		0.07%		0.07%		0.07%		0.07%		0.07%

Net investment income		0.50%	²		0.20%		0.14%		0.17%		0.25%		0.21%


Supplemental Data
Net assets, end of period (000)		$ 25,296,808			$ 26,701,671		$ 23,794,342		$ 18,912,643		$ 15,934,441		$ 10,732,297

Aggregate total return.

Annualized.


Financial Highlights		Master Investment Portfolio


	Treasury Money Market Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015		2014		2013		2012		2011

Total Return
Total return		0.15%	¹		0.03%		0.00%		0.02%		0.06%		0.09%


Ratios to Average Net Assets
Total expenses		0.10%	²		0.10%		0.10%		0.10%		0.10%		0.10%

Total expenses after fees waived		0.07%	²		0.07%		0.06%		0.06%		0.07%		0.06%

Net investment income		0.29%	²		0.04%		0.00%		0.02%		0.08%		0.03%


Supplemental Data
Net assets, end of period (000)		$ 6,448,875			$ 3,450,181		$ 3,857,554		$ 2,738,199		$ 2,613,824		$ 1,602,468

Aggregate total return.

Annualized.


Notes to Financial Statements (Unaudited)

1. Organization:

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

The Master Portfolios, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of open-end funds referred to as the Equity-Liquidity Complex.

Effective October 1, 2015, Treasury Money Market Master Portfolio has an investment policy that meets the definition of a “government money market fund” under Rule 2a-7 under the 1940 Act. The Board chose not to subject Treasury Money Market Master Portfolio to liquidity fees or temporary suspensions of redemptions due to declines in its weekly liquid assets.

2. Significant Accounting Policies:

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

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

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

The Master Portfolios have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective October 2015, the custodian is imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

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

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each Master Portfolio’s assets and liabilities:

•

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

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

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each 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)



BLACKROCK FUNDS III	JUNE 30, 2016	55


Notes to Financial Statements (continued)

•

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Master Portfolio’s own assumptions used in determining the fair value of investments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The fair value hierarchy for each Master Portfolio’s investments has been included in the Schedules of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

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

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

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

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory/Administration

MIP, on behalf of each Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolios’ investment adviser, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Master Portfolio’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Master Portfolio. For such services, each Master Portfolio pays the Manager a monthly fee, which is determined by calculating a percentage of each Master Portfolio’s average daily net assets based on the following annual rates:


Money Market Master Portfolio			0.10%
Prime Money Market Master Portfolio			0.10%
Treasury Money Market Master Portfolio			0.10%

MIP, on behalf of the Master Portfolios, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the Master Portfolios’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolios. BAL is not entitled to compensation for providing administration service to the Master Portfolios, for so long as BAL is entitled to compensation for providing administration service to corresponding feeder funds that invest substantially all of their assets in the Master Portfolios, or BAL (or an affiliate) receives investment advisory fees from the Master Portfolios.



56	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (concluded)

Waivers/Reimbursements

The Manager has contractually agreed to waive 0.03% of its investment advisory fees through April 30, 2017. The Manager has also voluntarily agreed to waive a portion of its investment advisory fee to enable the feeders that invest in the Master Portfolios to maintain minimum levels of daily net investment income. The Manager may discontinue the voluntary waiver at any time. For the six months ended June 30, 2016, the amounts included in fees waived by the Manager in the Statements of Operations are as follows:


Money Market Master Portfolio	$	6,442,705
Prime Money Market Master Portfolio	$	4,080,632
Treasury Money Market Master Portfolio	$	624,096

Officers and Trustees

The fees and expenses of the MIPs’ trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the MIPs’ independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolios. BAL has contractually agreed to reimburse the Master Portfolios or provide an offsetting credit against the administration fees paid by the Master Portfolios in an amount equal to these independent expenses through April 30, 2017. The amounts waived are included in fees waived by the Manager in the Statements of Operations. For the six months ended June 30, 2016, such waiver amounts are as follows:


Money Market Master Portfolio	$	311,259
Prime Money Market Master Portfolio	$	190,289
Treasury Money Market Master Portfolio	$	40,948

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

Other Transactions

The Series may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2016, the purchase and sale transactions which resulted in net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:


	Purchases
Money Market Master Portfolio	$	180,271,290

6. Income Tax Information:

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

The Master Portfolios file 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 Portfolios’ U.S. federal tax returns generally remains open for each of the four years ended December 31, 2015. The statutes of limitations on each 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 Portfolios as of June 30, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolios’ financial statements.

7. Principal Risks:

In the normal course of business, the Master Portfolios invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Master Portfolios may decline in response to certain events, including those directly involving the issuers of securities owned by the Master Portfolios. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

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

8. Subsequent Events:

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



BLACKROCK FUNDS III	JUNE 30, 2016	57


Disclosure of Investment Advisory Agreement

Activities and Composition of the Board

On the date of the May Meeting, the Board consisted of fifteen individuals, thirteen of whom were not “interested persons” of the Master Fund or the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Master Fund or the Fund, as pertinent, and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Board Member. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight and Contract Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreement

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreement on an annual basis. The Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement, and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Board assessed, among other things, the nature, extent and quality of the services provided to the Master Portfolios and the Portfolios by BlackRock, BlackRock’s personnel and affiliates, including (as applicable) investment management; administrative and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Master Portfolios, the Portfolios and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreement.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolios and/or the Portfolios for services; (c) the Master Portfolios’ and/or the Portfolios’ operating expenses and how BlackRock allocates expenses to the Master Portfolios and the Portfolios; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Master Portfolio’s and Portfolio’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Master Fund’s and the Fund’s compliance with its respective compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master Fund’s and/or the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Master Portfolios and/or the Portfolios; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreement



58	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Investment Advisory Agreement (continued)

as determined by Broadridge¹; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Master Portfolio and/or Portfolio to BlackRock; and (g) sales and redemption data regarding each Portfolio’s shares.

At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May Meeting.

At the May Meeting, the Board of the Master Fund, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master Fund with respect to each Master Portfolio for a one-year term ending June 30, 2017. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreement with respect to each Master Portfolio and found the Agreement to be satisfactory. In approving the continuation of the Agreement, the Board of the Master Fund considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Master Portfolio and Portfolio; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolios and the Portfolios; (d) each Portfolio’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Master Portfolios and the Portfolios; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates, securities lending and cash management, services related to the valuation and pricing of portfolio holdings of each Master Portfolio, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of each Portfolio. Throughout the year, the Board compared each Portfolio’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Master Portfolio’s portfolio management team discussing the pertinent Master Portfolio’s performance and the Master Portfolio’s investment objective(s), strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Master Portfolio’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board engaged in a review of BlackRock’s compensation structure with respect to each Master Portfolio’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, the Board considered the quality of the administrative and other non-investment advisory services provided to each Master Portfolio and Portfolio. BlackRock and its affiliates provide the Master Portfolios and the Portfolios with certain administrative, shareholder and other services (in addition to any such services provided to the Master Portfolios and the Portfolios by third parties) and officers and other personnel as are necessary for the operations of the Master Portfolios and the Portfolios. In particular, BlackRock and its affiliates provide the Master Portfolios and the Portfolios with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) preparing periodic filings with regulators; (iv) overseeing and coordinating the activities of other service providers; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing other administrative functions necessary for the operation of the Master Portfolios and the Portfolios, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.



BLACKROCK FUNDS III	JUNE 30, 2016	59


Disclosure of Investment Advisory Agreement (continued)

results correspond directly to the investment results of the corresponding Master Portfolio. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of each Portfolio’s performance. The Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board received and reviewed information regarding the investment performance of each Portfolio as compared to other funds in its applicable Broadridge category. The Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. The Board was provided with information on the composition of the Broadridge performance universes and expense universes. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of each Master Portfolio and Portfolio, as applicable, throughout the year.

In evaluating performance, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, the Board recognized that it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect long-term performance disproportionately.

The Board noted that for each of the one-, three- and five-year periods reported, each of BlackRock Cash Funds: Institutional and BlackRock Cash Funds: Prime ranked in the first quartile against its Broadridge Performance Universe.

The Board noted that for the one-, three- and five-year periods reported, BlackRock Cash Funds: Treasury ranked in the third, first and first quartiles, respectively, against its Broadridge Performance Universe. However, the Board noted that the Portfolio performed within the one basis point threshold of its Broadridge Performance Universe peer median for the one-year period.

The Board reviewed each Portfolio’s performance within the context of the low yield environment that has existed over the past several years.

The quartile standing of each Portfolio in its Broadridge peer group takes into account the Portfolio’s current yield only. The Board believes that the performance of a money market fund can only be understood holistically, accounting for current yield and risk. While the Board reviews each Master Portfolio’s current yield performance, it also examines the liquidity, duration, and credit quality of the Master Portfolio’s portfolio. In the Board’s view, BlackRock’s money market funds have performed well over the one-, three- and five-year periods given BlackRock’s emphasis on preserving capital and seeking as high a level of current income as is consistent with liquidity while simultaneously managing risk.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolios and the Portfolios: The Board, including the Independent Board Members, reviewed each Master Portfolio’s contractual advisory fee rate compared with the other funds in the corresponding Portfolio’s Broadridge category. The contractual advisory fee rate is shown before taking into account any reimbursements or fee waivers. The Board also compared each Portfolio’s total expense ratio, as well as each Master Portfolio’s actual advisory fee rate, to those of other funds in the corresponding Portfolio’s Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual advisory fee rate gives effect to any advisory fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolios and the Portfolios. The Board reviewed BlackRock’s profitability with respect to each Master Portfolio and Portfolio, as applicable, and other funds the Board currently oversees for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. The Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.



60	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Investment Advisory Agreement (concluded)

evaluation. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Master Portfolios and the Portfolios in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

The Board noted that with respect to each of Money Market Master Portfolio and Prime Money Market Master Portfolio, the Master Portfolio’s contractual advisory fee rate ranked in the first quartile, and the actual advisory fee rate and the corresponding Portfolio’s total expense ratio each ranked in the first quartile, relative to the corresponding Portfolio’s Expense Peers.

The Board noted that Treasury Money Market Master Portfolio’s contractual advisory fee rate ranked in the second quartile, and that the actual advisory fee rate and the corresponding Portfolio’s total expense ratio each ranked in the fourth quartile, relative to the corresponding Portfolio’s Expense Peers.

The Board reviewed each Master Portfolio’s/Portfolio’s expenses within the context of the low yield environment and consequent expense waivers and reimbursements. The Board also noted that BlackRock has contractually agreed to waive a portion of the advisory fees for each Master Portfolio. The Board further noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate each Master Portfolio/Portfolio for the fees and expenses of the Independent Board Members, counsel to the Independent Board Members and the Master Portfolio’s/Portfolio’s independent registered public accounting firm. The Board additionally noted that, to enable each Master Portfolio/Portfolio to maintain minimum levels of daily net investment income, BlackRock and each Master Portfolio’s/Portfolio’s administrator have voluntarily agreed to waive a portion of its fees and/or reimburse the Master Portfolio’s/Portfolio’s operating expenses as necessary. This waiver and/or reimbursement may be discontinued at any time without notice.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolios and the Portfolios increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolios and the Portfolios benefit from such economies in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolios and the Portfolios to more fully participate in these economies of scale. The Board considered each Master Portfolio’s asset levels and whether the current fee schedule was appropriate.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Master Portfolios and the Portfolios, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolios and the Portfolios, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Portfolio shares if they believe that the pertinent Portfolio’s and/or Master Portfolio’s fees and expenses are too high or if they are dissatisfied with the performance of the Portfolio.

Conclusion

The Board of the Master Fund, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master Fund, with respect to each Master Portfolio, for a one-year term ending June 30, 2017. Based upon its evaluation of all of the aforementioned factors in their totality, the Board of the Master Fund, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of each Master Portfolio and its shareholders. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreement with respect to each Master Portfolio and found the Agreement to be satisfactory. In arriving at its decision to approve the Agreement, the Board of the Master Fund did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolios reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.



BLACKROCK FUNDS III	JUNE 30, 2016	61


Officers and Trustees

Rodney D. Johnson, Chair of the Board and Trustee

David O. Beim, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Dr. Matina S. Horner, Trustee

Cynthia A. Montgomery, Trustee

Joseph P. Platt, Trustee

Robert C. Robb, Jr., Trustee

Mark Stalnecker, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Frederick W. Winter, Trustee

Barbara G. Novick, Interested Trustee

John M. Perlowski, Interested Trustee, President and Chief Executive Officer

Richard Hoerner, CFA, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Fernanda Piedra, Anti-Money Laundering Compliance Officer

Benjamin Archibald, Secretary

Effective February 5, 2016, Frank J. Fabozzi resigned as a Trustee of the Trust.

Effective February 8, 2016, Susan J. Carter, Neil A. Cotty and Claire A. Walton were elected to serve as Trustees of the Trust.



62	BLACKROCK FUNDS III	JUNE 30, 2016


Additional Information

Proxy Results

BlackRock Funds III

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of the Trust.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		61,938,311,360		43,835,788
Susan J. Carter		61,780,259,925		201,887,223
Collette Chilton		61,948,124,716		34,022,432
Neil A. Cotty		61,775,834,676		206,312,472
Matina S. Horner		61,940,727,663		41,419,485
Rodney D. Johnson		61,941,649,924		40,497,224
Cynthia A. Montgomery		61,943,332,673		38,814,475
Joseph P. Platt		61,944,232,208		37,914,940
Robert C. Robb, Jr.		61,944,234,953		37,912,195
Mark Stalnecker		61,943,725,951		38,421,197
Kenneth L. Urish		61,944,152,210		37,994,938
Claire A. Walton		61,784,560,644		197,586,504
Frederick W. Winter		61,939,767,717		42,379,431
Barbara G. Novick		61,947,782,498		34,364,650
John M. Perlowski		61,944,381,941		37,765,207

Denotes Trust-wide proposal and voting results.

Master Investment Portfolio

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of MIP.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		93,744,625,170		102,294,210
Susan J. Carter		93,564,604,497		282,314,883
Collette Chilton		93,778,667,881		68,251,499
Neil A. Cotty		93,524,182,594		322,736,786
Matina S. Horner		93,744,748,738		102,170,642
Rodney D. Johnson		93,743,366,844		103,552,536
Cynthia A. Montgomery		93,738,956,489		107,962,891
Joseph P. Platt		93,750,384,350		96,535,030
Robert C. Robb, Jr.		93,749,078,613		97,840,767
Mark Stalnecker		93,668,711,867		178,207,513
Kenneth L. Urish		93,694,700,012		152,219,368
Claire A. Walton		93,569,519,963		277,399,417
Frederick W. Winter		93,699,601,190		147,318,190
Barbara G. Novick		93,778,480,450		68,438,930
John M. Perlowski		93,744,975,345		101,944,035

Denotes Trust-wide proposal and voting results.



BLACKROCK FUNDS III	JUNE 30, 2016	63


Additional Information (concluded)

General Information

Householding

The Funds 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 Transfer Agent at (888) 204-3956.

Availability of Quarterly Schedule of Investments

The Funds/Master Portfolios file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s/Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. Each Fund’s/Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 626-1960.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds/Master Portfolios use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 626-1960; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Funds/Master Portfolios voted proxies relating to securities held in the Funds’/Master Portfolios’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com, or by calling (800) 626-1960; and (2) on the SEC’s website at http://www.sec.gov.

BlackRock Privacy Principles

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

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

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

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

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



64	BLACKROCK FUNDS III	JUNE 30, 2016

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 a Fund unless preceded or accompanied by the Fund’s current prospectus. You could lose money by investing in a Fund. Although the Funds seek to preserve the value of your investment at $1.00 per share, they cannot guarantee they will do so. An investment in a Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds’ sponsor has no legal obligation to provide financial support to the Funds at any time. Performance data quoted represents past performance and does not guarantee future results. Total return information assumes reinvestment of all distributions. Current performance may be higher or lower than the performance data quoted. For current month-end performance information, call (800) 626-1960. Each Fund’s current 7-day yield more closely reflects the current earnings of a Fund than the total returns quoted. Statements and other information herein are as dated and are subject to change.


MMF3-6/16-SAR

JUNE 30, 2016

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock CoreAlpha Bond Fund | of BlackRock Funds III

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


	Page
The Markets in Review		3
Semi-Annual Report:
Fund Summary		4
About Fund Performance		6
Disclosure of Expenses		6
Derivative Financial Instruments		7
Fund Financial Statements:
Statement of Assets and Liabilities		8
Statement of Operations		9
Statements of Changes in Net Assets		10
Fund Financial Highlights		11
Fund Notes to Financial Statements		15
Master Portfolio Information		18
Master Portfolio Financial Statements:
Schedule of Investments		19
Statement of Assets and Liabilities		60
Statement of Operations		61
Statements of Changes in Net Assets		62
Master Portfolio Financial Highlights		62
Master Portfolio Notes to Financial Statements		63
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements		74
Officers and Trustees		78
Additional Information		79

LOGO



2	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016

The Markets in Review

Dear Shareholder,

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of June 30, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		3.84	%		3.99	%
U.S. small cap equities (Russell 2000^® Index)		2.22			(6.73	)
International equities (MSCI Europe, Australasia, Far East Index)		(4.42	)		(10.16	)
Emerging market equities (MSCI Emerging Markets Index)		6.41			(12.05	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.15			0.19
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		7.95			9.49
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)		5.31			6.00
Tax-exempt municipal bonds (S&P Municipal Bond Index)		4.35			7.80
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		9.06			1.65
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



		THIS PAGE NOT PART OF YOUR FUND REPORT				3


Fund Summary as of June 30, 2016

Investment Objective

BlackRock CoreAlpha Bond Fund’s (the “Fund”) investment objective is to seek to provide a combination of income and capital growth.

Portfolio Management Commentary

How did the Fund perform?

•

For the six-month period ended June 30, 2016, the Fund underperformed the benchmark, the Barclays U.S. Aggregate Bond Index (the “Index”).

•

The Fund invests all of its assets in the CoreAlpha Bond Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.

What factors influenced performance?

•

Global interest rate strategies detracted during the six-month period, primarily due to the Master Portfolio’s short U.K. position, as rates declined there following the Brexit referendum. Currency strategies were also a leading detractor due to the Master Portfolio’s long position in commodity currencies as the U.S. dollar continued to strengthen. U.S. rates detracted, mainly due to the Master Portfolio’s Treasury auction strategies.

•

Asset allocation was a positive contributor for the six-month period, as the Master Portfolio was long high yield corporates and other assets that benefited from continued credit spread tightening. Mortgage strategies also contributed as the Master Portfolio’s up-in-coupon bias and mortgage pool security selection performed well during the second quarter. In addition, credit security selection was positive due to an overweight in the

consumer sectors, particularly the food & beverage and health care sub-sectors.

•

During the period, the Master Portfolio held derivatives in the form of futures contracts and foreign currency transactions. The use of derivatives did not have a material impact on performance.

Describe recent portfolio activity.

•

During the six-month period, the Master Portfolio increased its energy and basic materials underweights. Within basic materials, the underweight was focused primarily on metals & mining names. The Master Portfolio also added an underweight in media, as that segment is experiencing increased competition and facing longer-term industry challenges surrounding the consumer shift to mobile devices.

Describe portfolio positioning at period end.

•

At period end, the Master Portfolio remained overweight relative to the benchmark in non-government spread sectors and generally underweight U.S. Treasury securities. Within spread sectors, the Master Portfolio was overweight in investment grade corporate credit, agency mortgage-backed securities and asset-backed securities, and underweight in select non-corporate sectors including emerging markets. The Master Portfolio also held a non-benchmark allocation to high yield debt.

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	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016

Total Return Based on a $10,000 Investment

LOGO

Assuming maximum sales charges, transaction costs and other operating expenses, including administration fees, if any. Institutional Shares do not have a sales charge.

The Fund invests all of its assets in the Master Portfolio. The Master Portfolio invests, under normal circumstances, at least 80% of its assets in bonds, including obligations issued or guaranteed by the U.S. Government, its agencies or instrumentalities; mortgage-backed securities issued or guaranteed by the U.S. Government or its agencies or instrumentalities, including U.S. agency mortgage pass-through securities; commercial mortgage-backed securities; debt obligations of U.S. issuers; municipal securities; asset-backed securities; and U.S.-registered dollar-denominated debt obligations of foreign issuers. The Master Portfolio may invest in bonds of any maturity or duration.

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.

Performance Summary for the Period Ended June 30, 2016


										Average Annual Total Returns⁴
										1 Year						5 Years						10 Years
	Standardized 30-Day Yields			Unsubsidized 30-Day Yields			6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		2.09	%		2.09	%		4.98	%		5.50	%		N/A			3.94	%		N/A			5.38	%		N/A
Investor A		1.69			1.69			4.88			5.22			1.01	%		3.62			2.77	%		5.05			4.62	%
Investor C		1.01			1.01			4.51			4.45			3.45			2.84			2.84			4.26			4.26
Class K		2.15			2.14			5.05			5.68			N/A			4.05			N/A			5.45			N/A
Barclays U.S. Aggregate Bond Index		—			—			5.31			6.00			N/A			3.76			N/A			5.13			N/A

⁴

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” on page 6 for a detailed description of share classes, including any related sales charges and fees.

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

Past performance is not indicative of future results.

Expense Example


	Actual						Hypothetical⁶
	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period⁵		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period⁵		Annualized Expense Ratio
Institutional	$	1,000.00	$	1,049.80	$	1.78	$	1,000.00	$	1,023.12	$	1.76		0.35	%
Investor A	$	1,000.00	$	1,048.80	$	3.51	$	1,000.00	$	1,021.43	$	3.47		0.69	%
Investor C	$	1,000.00	$	1,045.10	$	7.37	$	1,000.00	$	1,017.65	$	7.27		1.45	%
Class K	$	1,000.00	$	1,022.20	$	0.78	$	1,000.00	$	1,012.07	$	0.78		0.30	%

⁵

For each class of the Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown), except Class K which is multiplied by 94/366 (to reflect the period since inception). 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.

⁶

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.

See “Disclosure of Expenses” on page 6 for further information on how expenses are calculated.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	5


About Fund Performance

•

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

•

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.

•

Prior to February 28, 2011 for Institutional Shares, April 30, 2012 for Investor A and Investor C Shares and March 28, 2016 for Class K Shares, the performance of the classes is based on the returns of the Master Portfolio adjusted to reflect the estimated annual fund fees and operating expenses of each respective share class of the Fund.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds to obtain performance data current to the most recent month end. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Figures shown in the performance table on the previous page assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the payable date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. 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 (“BAL” or the “Administrator”), the Fund’s administrator, voluntarily waived a portion of the Fund’s expenses. Without such waiver, the Fund’s performance would have been lower. The Administrator is under no obligation to waive or to continue waiving its fees and such voluntary waiver may be reduced or discontinued at any time. See Note 4 of the Notes to Financial Statements for additional information on waivers. The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements.


Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses and other Fund expenses. The expense example on the previous page (which is based on a hypothetical investment of $1,000 invested on January 1, 2016 and held through June 30, 2016) 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. 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 any transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.



6	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Derivative Financial Instruments

transaction or illiquidity of the instrument. The Master Portfolio’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	7


Statement of Assets and Liabilities		BlackRock CoreAlpha Bond Fund


June 30, 2016 (Unaudited)

Assets
Investments at value — Master Portfolio (cost — $327,496,088)	$	334,113,991
Capital shares sold receivable		116,001

Total assets		334,229,992


Liabilities
Payables:
Income dividends		74,291
Contributions to the Master Portfolio		65,966
Capital shares redeemed		50,035
Administration fees		29,059
Professional fees		10,631
Service and distribution fees		1,217

Total liabilities		231,199

Net Assets	$	333,998,793


Net Assets Consist of
Paid-in capital	$	325,793,029
Distributions in excess of net investment income		(467,633	)
Accumulated net realized gain allocated from the Master Portfolio		2,055,494
Net unrealized appreciation (depreciation) allocated from the Master Portfolio		6,617,903

Net Assets	$	333,998,793


Net Asset Value
Institutional — Based on net assets of $330,794,833 and 30,926,051 shares outstanding, unlimited shares authorized, no par value	$	10.70

Investor A — Based on net assets of $2,591,541 and 242,182 shares outstanding, unlimited shares authorized, no par value	$	10.70

Investor C — Based on net assets of $408,800 and 38,212 shares outstanding, unlimited shares authorized, no par value	$	10.70

Class K — Based on net assets of $203,619 and 19,029 shares outstanding, unlimited shares authorized, no par value	$	10.70


Statement of Operations		BlackRock CoreAlpha Bond Fund


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Net investment income allocated from the Master Portfolio:
Interest — unaffiliated	$	3,865,050
Dividends — affiliated		37,948
Securities lending — affiliated — net		848
Expenses		(373,413	)
Fees waived		17,461

Total income		3,547,894


Fund Expenses
Administration — class specific		146,384
Service and distribution — class specific		8,213
Professional		7,026
Miscellaneous		1,128

Total expenses		162,751
Less administration fees waived		(7,026	)

Total expenses after fees waived		155,725

Net investment income		3,392,169


Realized and Unrealized Gain Allocated from the Master Portfolio
Net realized gain from investments, futures contracts, options written, swaps and foreign currency transactions		919,924
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swaps and foreign currency translations		9,970,801

Net realized and unrealized gain		10,890,725

Net Increase in Net Assets Resulting from Operations	$	14,282,894


Statements of Changes in Net Assets		BlackRock CoreAlpha Bond Fund


	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	3,392,169		$	5,612,539
Net realized gain		919,924			464,898
Net change in unrealized appreciation (depreciation)		9,970,801			(5,654,572	)

Net increase in net assets resulting from operations		14,282,894			422,865


Distributions to Shareholders¹
From net investment income:
Institutional		(3,790,966	)		(5,292,050	)
Investor A		(58,612	)		(34,988	)
Investor C		(2,807	)		(3,325	)
Class K		(1,411	)		—
From net realized gain:
Institutional		—			(1,185,065	)
Investor A		—			(8,426	)
Investor C		—			(1,358	)

Decrease in net assets resulting from distributions to shareholders		(3,853,796	)		(6,525,212	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		84,568,352			59,195,073


Net Assets
Total increase in net assets		94,997,450			53,092,726
Beginning of period		239,001,343			185,908,617

End of period	$	333,998,793		$	239,001,343

Distributions in excess of net investment income, end of period	$	(467,633	)	$	(6,006	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Financial Highlights		BlackRock CoreAlpha Bond Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period February 28, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period February 28, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	10.32		$	10.57		$	10.19		$	10.72		$	10.50		$	10.00

Net investment income²		0.12			0.26			0.26			0.22			0.24			0.25
Net realized and unrealized gain (loss)		0.40			(0.20	)		0.39			(0.48	)		0.26			0.52

Net increase (decrease) from investment operations		0.52			0.06			0.65			(0.26	)		0.50			0.77

Distributions:³
From net investment income		(0.14	)		(0.25	)		(0.26	)		(0.25	)		(0.25	)		(0.26	)
From net realized gain		—			(0.06	)		(0.01	)		(0.00	)⁴		—			—
From return of capital		—			—			—			(0.02	)		(0.03	)		(0.01	)

Total distributions		(0.14	)		(0.31	)		(0.27	)		(0.27	)		(0.28	)		(0.27	)

Net asset value, end of period	$	10.70		$	10.32		$	10.57		$	10.19		$	10.72		$	10.50


Total Return⁵
Based on net asset value		4.98%	⁶		0.48%			6.45%			(2.44)%			4.82%			7.80%	⁶


Ratios to Average Net Assets⁷
Total expenses		0.35%	^8,9		0.35%	⁹		0.35%	⁹		0.36%	⁹		0.37%	¹⁰		0.44%	^8,9

Total expenses after fees waived		0.35%	^8,9		0.35%	⁹		0.34%	⁹		0.34%	⁹		0.34%	¹⁰		0.35%	^8,9

Net investment income		2.37%	^8,9		2.48%	⁹		2.53%	⁹		2.16%	⁹		2.22%	¹⁰		2.93%	^8,9


Supplemental Data
Net assets, end of period (000)	$	330,795		$	236,267		$	183,880		$	99,630		$	110,020		$	59,250

Portfolio turnover rate of the Master Portfolio¹¹		376%			612%			686%			986%			2,128%			1,646%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸

Annualized.

⁹

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

¹⁰

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

¹¹

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

Six Months Ended
June 30,

2016

(Unaudited)

Year Ended December 31,

Period
February 28, 2011¹
to December 31,

2011

2015

2014

2013

2012

Portfolio turnover rate (excluding MDRs)

372%

540%

470%

736%

1,774%

1,510%


Financial Highlights (continued)		BlackRock CoreAlpha Bond Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,									Period April 30, 2012¹ to December 31, 2012
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			Period April 30, 2012¹ to December 31, 2012

Per Share Operating Performance
Net asset value, beginning of period	$	10.32		$	10.58		$	10.19		$	10.72		$	10.55

Net investment income²		0.10			0.22			0.23			0.18			0.12
Net realized and unrealized gain (loss)		0.40			(0.21	)		0.39			(0.48	)		0.22

Net increase (decrease) from investment operations		0.50			0.01			0.62			(0.30	)		0.34

Distributions:³
From net investment income		(0.12	)		(0.21	)		(0.22	)		(0.21	)		(0.15	)
From net realized gain		—			(0.06	)		(0.01	)		(0.00	)⁴		—
From return of capital		—			—			—			(0.02	)		(0.02	)

Total distributions		(0.12	)		(0.27	)		(0.23	)		(0.23	)		(0.17	)

Net asset value, end of period	$	10.70		$	10.32		$	10.58		$	10.19		$	10.72


Total Return⁵
Based on net asset value		4.88%	⁶		0.04%			6.18%			(2.78)%			3.25%	⁶


Ratios to Average Net Assets⁷
Total expenses		0.70%	^8,9		0.70%	⁸		0.71%	⁸		0.71%	⁸		0.72%	^8,9

Total expenses after fees waived		0.69%	^8,9		0.70%	⁸		0.69%	⁸		0.69%	⁸		0.70%	^8,9

Net investment income		1.97%	^8,9		2.13%	⁸		2.19%	⁸		1.78%	⁸		1.80%	^8,9


Supplemental Data
Net assets, end of period (000)	$	2,592		$	2,463		$	1,776		$	166		$	168

Portfolio turnover rate of the Master Portfolio¹⁰		376%			612%			686%			986%			2,128%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸

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

⁹

Annualized.

¹⁰

Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
April 30, 2012¹to December 31,
2012

2015

2014

2013

Portfolio turnover rate (excluding MDRs)

372%

540%

470%

736%

1,774%


Financial Highlights (continued)		BlackRock CoreAlpha Bond Fund


	Investor C
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,									Period April 30, 2012¹ to December 31, 2012
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			Period April 30, 2012¹ to December 31, 2012

Per Share Operating Performance
Net asset value, beginning of period	$	10.32		$	10.57		$	10.18		$	10.71		$	10.55

Net investment income²		0.07			0.15			0.15			0.11			0.06
Net realized and unrealized gain (loss)		0.39			(0.21	)		0.40			(0.48	)		0.21

Net increase (decrease) from investment operations		0.46			(0.06	)		0.55			(0.37	)		0.27

Distributions:³
From net investment income		(0.08	)		(0.13	)		(0.15	)		(0.14	)		(0.10	)
From net realized gain		—			(0.06	)		(0.01	)		(0.00	)⁴		—
From return of capital		—			—			—			(0.02	)		(0.01	)

Total distributions		(0.08	)		(0.19	)		(0.16	)		(0.16	)		(0.11	)

Net asset value, end of period	$	10.70		$	10.32		$	10.57		$	10.18		$	10.71


Total Return⁵
Based on net asset value		4.51%	⁶		(0.61)%			5.40%			(3.51)%			2.61%	⁶


Ratios to Average Net Assets⁷
Total expenses		1.46%	^8,9		1.46%	⁸		1.45%	⁸		1.46%	⁸		1.46%	^8,9

Total expenses after fees waived		1.45%	^8,9		1.45%	⁸		1.44%	⁸		1.44%	⁸		1.44%	^8,9

Net investment income		1.27%	^8,9		1.39%	⁸		1.44%	⁸		1.04%	⁸		1.04%	^8,9


Supplemental Data
Net assets, end of period (000)	$	409		$	272		$	253		$	288		$	273

Portfolio turnover rate of the Master Portfolio¹⁰		376%			612%			686%			986%			2,128%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸

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

⁹

Annualized.

¹⁰

Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

Six Months Ended
June 30,

2016

(Unaudited)

Year Ended December 31,

Period
April 30, 2012¹
to December 31,

2012

2015

2014

2013

Portfolio turnover rate (excluding MDRs)

372%

540%

470%

736%

1,774%


Financial Highlights (concluded)		BlackRock CoreAlpha Bond Fund


	Class K
	Period March 28, 2016¹ to June 30, 2016 (Unaudited)

Per Share Operating Performance
Net asset value, beginning of period	$	10.51

Net investment income²		0.07
Net realized and unrealized gain		0.19

Net increase from investment operations		0.26

Distributions from net investment income		(0.07	)

Net asset value, end of period	$	10.70


Total Return³
Based on net asset value		2.52%	⁴


Ratios to Average Net Assets⁵
Total expenses		0.30%	^6,7

Total expenses after fees waived		0.30%	^6,7

Net investment income		2.42%	^6,7


Supplemental Data
Net assets, end of period (000)	$	204

Portfolio turnover rate of the Master Portfolio⁸		376%

Commencement of operations.

Based on average shares outstanding.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁶

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

⁷

Annualized.

⁸

Includes MDRs. Additional information regarding portfolio turnover rate is as follows:


	Six Months Ended June 30, 2016 (Unaudited)
Portfolio turnover rate (excluding MDRs)		372%


Notes to Financial Statements (Unaudited)		BlackRock CoreAlpha Bond Fund

1. Organization:

BlackRock Funds III (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. BlackRock CoreAlpha Bond Fund (the “Fund”) is a series of the Trust. The Fund is classified as diversified. The Trust is organized as a Delaware statutory trust. The Fund seeks to achieve its investment objective by investing all of its assets in CoreAlpha Bond Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”), an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At June 30, 2016, the percentage of the Master Portfolio owned by the Fund was 39.1%. 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 Funds offer 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 Investor A and Investor C Shares bear expenses related to the shareholder servicing of such shares, and Investor C Shares also bear certain expenses related to the distribution of such shares. Institutional and Class K Shares are sold without a sales charge and only to certain eligible investors. Investor A and Investor C Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures. The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees.”

Share Class

Initial Sales Charge

CDSC

Conversion Privilege

Institutional Shares

None

Investor A Shares

Yes

None

Investor C Shares

Yes

None

Class K Shares

None

Investor A Shares may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase.

The Fund, together with certain other registered investment companies advised by BAL or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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 Investment Income: 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.

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. Other operating expenses shared by several funds, including other funds managed by the Administrator, are prorated among those funds on the basis of relative net assets or other appropriate methods. 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.

3. Investment Valuation and Fair Value Measurements:

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



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	15


Notes to Financial Statements (continued)				BlackRock CoreAlpha Bond Fund

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Administration

The Trust, on behalf of the Fund, entered into an Administration Agreement with BAL, an indirect, wholly-owned subsidiary of BlackRock, to provide administrative services (other than investment advice and related portfolio activities). For such services, the Fund pays BAL a monthly fee at an annual rate based upon the average daily net assets of the relevant share class of the Fund as follows:


Institutional	Investor A	Investor C	Class K
0.10%	0.20%	0.20%	0.05%

For the six months ended June 30, 2016, the following table shows the class specific administration fee borne directly by each share class of the Fund:


Institutional	Investor A	Investor C	Class K	Total
$140,875	$5,131	$352	$26	$146,384

The Fund does not pay an investment advisory fee or investment management fee.

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

Service and Distribution Fees

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


	Service Fees		Distribution Fees
Investor A		0.25%		—
Investor C		0.25%		0.75%

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 the shareholders.

For the six months ended June 30, 2016, the following table shows the class specific service and distribution fees borne directly by each share class of the Fund:


Investor A	Investor C	Total
$6,451	$1,762	$8,213

Other Fees

For the six months ended June 30, 2016, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A Shares which totaled $84.

For the six months ended June 30, 2016, affiliates received CDSCs of $79 for Investor A Shares.

Officers and Trustees

The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Fund. BAL has contractually agreed to reimburse the Fund or provide an offsetting credit against the administration fees paid by the Fund in an amount equal to these independent expenses through April 30, 2017 and may not be terminated without consent of the Board.

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.

5. Income Tax Information:

It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no 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 each of the four years ended December 31, 2015. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.



16	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Notes to Financial Statements (concluded)		BlackRock CoreAlpha Bond Fund

Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.

As of December 31, 2015, the Fund had a capital loss carryforward, with no expiration date, available to offset future realized capital gains of $1,587,249.

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
	Shares			Amount			Shares			Amount
Institutional
Shares sold		14,791,782		$	155,810,613			9,352,784		$	98,811,293
Shares issued to shareholders in reinvestment of distributions		324,741			3,426,342			568,522			5,968,027
Shares redeemed		(7,090,264	)		(74,984,452	)		(4,416,226	)		(46,330,882	)

Net increase		8,026,259		$	84,252,503			5,505,080		$	58,448,438


Investor A
Shares sold		983,427		$	10,365,536			206,461		$	2,163,091
Shares issued to shareholders in reinvestment of distributions		5,554			58,632			4,095			43,073
Shares redeemed		(985,362	)		(10,432,643	)		(139,923	)		(1,485,387	)

Net increase (decrease)		3,619		$	(8,475	)		70,633		$	720,777


Investor C
Shares sold		11,953		$	124,958			8,280		$	86,812
Shares issued to shareholders in reinvestment of distributions		251			2,649			407			4,273
Shares redeemed		(313	)		(3,283	)		(6,261	)		(65,227	)

Net increase		11,891		$	124,324			2,426		$	25,858


Class K¹
Shares sold		19,029		$	200,000			—			—

Total Net Increase		8,060,798		$	84,568,352			5,578,139		$	59,195,073

Class K Shares commenced operations on March 28, 2016.

At period end, shares owned by BlackRock HoldCo 2, Inc., an affiliate of the Fund, were as follows:


Investor C			1,924
Class K			19,029

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.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	17


Master Portfolio Information		CoreAlpha Bond Master Portfolio

As of June 30, 2016

Portfolio Composition

Percent of

Total Investments⁴


U.S. Government Sponsored Agency Securities	53	%
Corporate Bonds	35
Non-Agency Mortgage-Backed Securities	9
Asset-Backed Securities	9
U.S. Treasury Obligations	4
Short-Term Securities	2
Foreign Agency Obligations	1
Municipal Bonds	1
Preferred Securities	—	³
Investment Companies	—	³
TBA Sale Commitments	(14	)


Credit Quality Allocation¹		Percent of Total Investments⁴


AAA/Aaa²	53	%
AA/Aa	13
A	15
BBB/Baa	16
BB/Ba	1
B	—	³
N/R	2

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s Rating Services (“S&P”) or Moody’s Investors Service, Inc. (“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.

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

Represents less than 1%.

⁴

Excludes short-term securities.



18	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016

Schedule of Investments June 30, 2016 (Unaudited)

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Asset-Backed Securities	Par (000)		Value
Access Group, Inc., Series 2004-A, Class A2, 0.90%, 4/25/29 (a)	$	696	$	689,150
ACE Securities Corp. Home Equity Loan Trust (a):
Series 2005-AG1, Class A2D, 0.81%, 8/25/35		21		21,330
Series 2005-HE2, Class M3, 1.17%, 4/25/35		203		203,342
Series 2005-HE4, Class M2, 1.23%, 7/25/35		387		383,187
AmeriCredit Automobile Receivables Trust, Class D:
Series 2012-3, 3.03%, 7/09/18		641		643,751
Series 2012-4, 2.68%, 10/09/18		1,140		1,144,896
Series 2013-1, 2.09%, 2/08/19		2,600		2,600,203
AVANT Loans Funding Trust, Series 2016-A, Class A, 4.11%, 5/15/19 (b)		1,654		1,660,491
Carfinance Capital Auto Trust, Series 2014-1A, Class A, 1.46%, 12/17/18 (b)		123		123,158
Chase Issuance Trust, Series 2012-A7, Class A7, 2.16%, 9/16/24		1,190		1,216,021
Citibank Credit Card Issuance Trust, Series 2014-A6, Class A6, 2.15%, 7/15/21		2,940		3,023,230
College Loan Corp. Trust I, Series 2004-1, Class A4, 0.83%, 4/25/24 (a)		2,811		2,783,491
Conn’s Receivables Funding LLC, Series 2004-A, Class A, 4.68%, 4/16/18 (b)		2,130		2,139,220
Credit Suisse Mortgage Capital Certificates, Series 2006-CF3, Class A1, 0.99%, 10/25/36 (a)(b)		257		254,258
Discover Card Execution Note Trust, Series 2015-A2, Class A, 1.90%, 10/17/22		1,160		1,186,407
Drive Auto Receivables Trust, Series 2016-BA (b):
Class B, 2.56%, 6/15/20		4,000		4,017,298
Class C, 3.19%, 7/15/22		1,700		1,703,409
Exeter Automobile Receivables Trust (b):
Series 2013-1A, Class B, 2.41%, 5/15/18		85		85,275
Series 2014-2A, Class A, 1.06%, 8/15/18		34		33,942
First Franklin Mortgage Loan Trust (a):
Series 2005-FF04, Class M1, 1.10%, 5/25/35		146		145,746
Series 2005-FF10, Class A4, 0.77%, 11/25/35		127		124,537
Flagship Credit Auto Trust, Series 2014-1, Class A, 1.21%, 4/15/19 (b)		275		274,144
HSBC Home Equity Loan Trust USA, Series 2007-3, Class APT, 1.65%, 11/20/36 (a)		2,587		2,580,551
HSI Asset Securitization Corp. Trust, Series 2006-OPT4, Class 2A5, 0.00%, 3/25/36 (c)		604		598,948
JPMorgan Mortgage Acquisition Corp., Series 2005-OPT2, Class A1B, 0.74%, 12/25/35 (a)		84		83,470
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 0.95%, 9/27/35 (a)		888		873,979
Morgan Stanley ABS Capital I, Inc. Trust (a):
Series 2005-HE3, Class M2, 1.23%, 7/25/35		6		5,910
Series 2005-WMC4, Class M4, 1.40%, 4/25/35		702		702,305


Asset-Backed Securities	Par (000)		Value
National Collegiate Student Loan Trust (a):
Series 2004-2, Class A4, 0.76%, 11/27/28	$	1,244	$	1,227,797
Series 2005-1, Class A4, 0.69%, 11/27/28		72		70,801
Series 2005-3, Class A4, 0.73%, 4/25/29		1,029		1,017,391
Series 2006-1, Class A4, 0.70%, 3/27/28		581		563,011
Series 2006-2, Class A3, 0.66%, 11/25/27		4,039		3,896,142
Series 2006-4, Class A2, 0.59%, 12/27/27		200		198,942
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates (a):
Series 2004-WHQ2, Class M2, 1.40%, 2/25/35		846		842,955
Series 2005-WCW3, Class A2C, 0.83%, 8/25/35		166		165,375
RAMP Trust (a):
Series 2004-RS11, Class M1, 1.38%, 11/25/34		145		144,171
Series 2005-EFC1, Class M2, 0.90%, 5/25/35		58		57,750
Series 2005-RS6, Class M1, 1.20%, 6/25/35		30		30,169
Series 2006-NC2, Class A2, 0.64%, 2/25/36		754		741,718
Series 2006-RZ3, Class A2, 0.61%, 8/25/36		586		582,215
RASC Trust (a):
Series 2005-AHL3, Class A2, 0.69%, 11/25/35		298		294,716
Series 2005-KS12, Class A3, 0.77%, 1/25/36		532		527,702
Santander Drive Auto Receivables Trust:
Series 2012-2, Class D, 3.87%, 2/15/18		420		421,282
Series 2012-3, Class D, 3.64%, 5/15/18		1,564		1,575,158
Series 2012-4, Class D, 3.50%, 6/15/18		2,560		2,584,612
Series 2012-AA, Class C, 1.78%, 11/15/18 (b)		1,571		1,572,898
Series 2012-AA, Class D, 2.46%, 12/17/18 (b)		820		824,934
Series 2013-1, Class C, 1.76%, 1/15/19		861		862,625
Series 2013-3, Class C, 1.81%, 4/15/19		1,401		1,404,767
Series 2013-3, Class D, 2.42%, 4/15/19		3,160		3,180,790
Series 2013-4, Class C, 3.25%, 1/15/20		310		313,212
Series 2013-A, Class B, 1.89%, 10/15/19 (b)		168		168,287
Series 2013-A, Class C, 3.12%, 10/15/19 (b)		2,165		2,191,181
Series 2014-1, Class B, 1.59%, 10/15/18		555		555,406
Series 2014-1, Class C, 2.36%, 4/15/20		910		915,242
Series 2014-2, Class C, 2.33%, 11/15/19		3,445		3,471,535
Series 2014-3, Class D, 2.65%, 8/17/20		2,400		2,421,151
Series 2014-4, Class B, 1.82%, 5/15/19		570		571,999
Series 2014-4, Class C, 2.60%, 11/16/20		540		546,274
Series 2014-5, Class C, 2.46%, 6/15/20		2,800		2,828,099
Series 2015-1, Class C, 2.57%, 4/15/21		760		768,191
Series 2015-2, Class C, 2.44%, 4/15/21		700		706,270
Series 2015-3, Class C, 2.74%, 1/15/21		1,230		1,249,368
Series 2015-4, Class C, 2.97%, 3/15/21		580		591,533
Series 2016-2, Class C, 2.66%, 11/15/21		1,965		1,998,231
SLC Private Student Loan Trust, Series 2006-A, Class A5, 0.80%, 7/15/36 (a)		2,207		2,192,961
SLM Private Credit Student Loan Trust (a):
Series 2003-A, Class A2, 1.09%, 9/15/20		927		920,635
Series 2003-B, Class A2, 1.05%, 3/15/22		330		325,090

Portfolio Abbreviations


ABS	Asset-Backed Security	IDR	Indonesian Rupiah	PLN	Polish Zloty
AUD	Australian Dollar	ILS	Israeli New Shekel	RB	Revenue Bond
BRL	Brazilian Real	INR	Indian Rupee	RON	Romanian New Leu
CAD	Canadian Dollar	JPY	Japanese Yen	RUB	Russian Ruble
CHF	Swiss Franc	KRW	South Korean Won	SEK	Swedish Krona
CLP	Chilean Peso	LIBOR	London Interbank Offered Rate	SGD	Singapore Dollar
COP ETF	Colombian Peso Exchange-Traded Fund	MXN MYR	Mexican Peso Malaysian Ringgit	STRIPS	Separate Trading of Registered Interest and Principal Securities
EUR	Euro	NOK	Norwegian Krone	THB	Thai Baht
GBP	British Pound	NZD	New Zealand Dollar	TRY	Turkish Lira
GO	General Obligation Bond	OTC	Over-the-Counter	TWD	Taiwan Dollar
HUF	Hungarian Forint	PHP	Philippine Peso	USD	U.S. Dollar
				ZAR	South African Rand

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	19


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio


Asset-Backed Securities	Par (000)		Value
SLM Private Credit Student Loan Trust (a) (continued):
Series 2003-C, Class A2, 1.04%, 9/15/20	$	297	$	292,388
Series 2004-B, Class A2, 0.85%, 6/15/21		624		621,596
Series 2005-B, Class A2, 0.83%, 3/15/23		632		625,682
Series 2006-A, Class A4, 0.84%, 12/15/23		2,428		2,396,013
Series 2006-B, Class A4, 0.83%, 3/15/24		492		487,550
Series 2006-C, Class A4, 0.82%, 3/15/23		1,184		1,176,301
SLM Private Education Loan Trust (a)(b):
Series 2010-A, Class 1A, 3.45%, 5/16/44		781		795,935
Series 2011-B, Class A1, 1.29%, 12/16/24		13		13,261
Series 2012-A, Class A1, 1.84%, 8/15/25		187		187,764
Series 2012-C, Class A1, 1.54%, 8/15/23		41		40,686
Series 2012-D, Class A1, 1.49%, 6/15/23		8		8,037
Series 2012-E, Class A1, 1.19%, 10/16/23		367		366,456
Series 2013-A, Class A1, 1.04%, 8/15/22		661		660,468
Series 2013-B, Class A1, 1.09%, 7/15/22		1,127		1,125,874
Series 2013-C, Class A1, 1.29%, 2/15/22		392		391,471
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A, 3.26%, 8/25/25 (b)		1,350		1,349,853
SoFi Professional Loan Program LLC, Series 2015-B, Class A2, 2.51%, 9/27/32 (b)		228		228,597
Soundview Home Loan Trust, Series 2005-OPT4, Class 2A3, 0.71%, 12/25/35 (a)		637		627,647
Terwin Mortgage Trust, Series 2006-5, Class 2A2, 0.66%, 6/25/37 (a)(b)		511		501,068
Trade MAPS 1 Ltd., Series 2013-1A (a)(b):
Class A, 1.15%, 12/10/18		4,150		4,133,366
Class B, 1.70%, 12/10/18		1,030		1,022,281
Total Asset-Backed Securities — 10.8%				91,876,529



Corporate Bonds
Aerospace & Defense — 0.6%
Harris Corp., 2.00%, 4/27/18		395		397,011
L-3 Communications Corp.:
3.95%, 11/15/16		152		153,587
1.50%, 5/28/17		170		170,149
4.75%, 7/15/20		720		777,118
4.95%, 2/15/21		1,618		1,769,432
Lockheed Martin Corp.:
1.85%, 11/23/18		370		375,019
2.50%, 11/23/20		650		670,714
3.80%, 3/01/45		655		669,805

				4,982,835
Auto Components — 0.4%
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
4.88%, 3/15/19		465		454,538
6.00%, 8/01/20		525		518,437
Johnson Controls, Inc., 1.40%, 11/02/17		1,000		1,003,121
Lear Corp.:
4.75%, 1/15/23		310		318,525
5.38%, 3/15/24		1,115		1,173,537
ZF North America Capital, Inc., 4.50%, 4/29/22 (b)		350		354,813

				3,822,971
Automobiles — 0.1%
General Motors Co.:
5.00%, 4/01/35		500		497,982
5.20%, 4/01/45		500		495,363
6.75%, 4/01/46		90		106,757

				1,100,102
Banks — 4.1%
Bank of New York Mellon Corp., 2.05%, 5/03/21		915		929,385
Bank of Nova Scotia, 1.70%, 6/11/18		1,055		1,064,717


Corporate Bonds	Par (000)		Value
Banks (continued)
Barclays Bank PLC:
2.00%, 3/16/18	$	1,520	$	1,508,295
2.75%, 11/08/19		1,275		1,266,002
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 2.25%, 1/14/19		1,160		1,182,336
Cooperatieve Rabobank UA, 3.88%, 2/08/22		1,140		1,238,497
Credit Suisse, 3.63%, 9/09/24		1,760		1,820,838
Credit Suisse Group Funding Guernsey Ltd.:
3.45%, 4/16/21 (b)		1,030		1,040,247
3.80%, 9/15/22		670		672,896
Discover Bank/Greenwood Delaware, 2.00%, 2/21/18		870		872,814
HSBC Bank USA NA, 5.88%, 11/01/34		590		702,206
HSBC Holdings PLC:
3.40%, 3/08/21		1,525		1,571,397
3.60%, 5/25/23		900		919,773
4.25%, 8/18/25		700		706,386
6.50%, 9/15/37		400		480,849
HSBC USA, Inc., 1.50%, 11/13/17		1,875		1,871,117
Lloyds Bank PLC, 1.75%, 5/14/18		1,660		1,655,330
Royal Bank of Canada, 1.20%, 9/19/17		2,960		2,966,423
Svenska Handelsbanken AB, 2.45%, 3/30/21		2,300		2,362,792
Toronto-Dominion Bank, 1.50%, 3/13/17 (b)		1,558		1,564,207
Wachovia Bank NA, 6.00%, 11/15/17		1,790		1,904,608
Wells Fargo & Co.:
2.13%, 4/22/19		2,370		2,421,028
1.75%, 5/24/19		2,200		2,229,762
3.00%, 1/22/21		1,390		1,452,414
4.65%, 11/04/44		580		611,702
4.40%, 6/14/46		400		407,526

				35,423,547
Beverages — 1.3%
Anheuser-Busch InBev Finance, Inc.:
1.90%, 2/01/19		735		747,480
2.65%, 2/01/21		1,030		1,068,125
3.30%, 2/01/23		1,200		1,264,404
4.70%, 2/01/36		500		561,864
4.90%, 2/01/46		1,495		1,751,904
Anheuser-Busch InBev Worldwide, Inc., 3.75%, 7/15/42		460		460,268
Bottling Group LLC, 5.13%, 1/15/19		340		373,129
Molson Coors Brewing Co. (d):
1.45%, 7/15/19		175		175,443
3.00%, 7/15/26		470		469,536
PepsiCo, Inc.:
7.90%, 11/01/18		600		693,962
2.75%, 3/01/23		1,000		1,046,683
2.85%, 2/24/26		355		371,751
4.88%, 11/01/40		310		369,437
3.60%, 8/13/42		600		612,258
4.45%, 4/14/46		700		816,886

				10,783,130
Biotechnology — 0.4%
Biogen, Inc., 2.90%, 9/15/20		265		276,172
Celgene Corp., 2.30%, 8/15/18		600		611,006
Gilead Sciences, Inc.:
2.05%, 4/01/19		1,480		1,515,650
2.55%, 9/01/20		1,290		1,340,425

				3,743,253
Capital Markets — 2.7%
Bear Stearns Cos. LLC, 6.40%, 10/02/17		760		807,454
CME Group, Inc., 3.00%, 3/15/25		1,200		1,253,511
FMS Wertmanagement AoeR, 1.13%, 9/05/17		3,664		3,680,074
Goldman Sachs Group, Inc.:
6.15%, 4/01/18		460		495,648
2.90%, 7/19/18		820		841,459
2.63%, 1/31/19		820		839,244

See Notes to Financial Statements.



20	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio


Corporate Bonds	Par (000)		Value
Capital Markets (continued)
Goldman Sachs Group, Inc. (continued):
7.50%, 2/15/19	$	360	$	411,700
2.00%, 4/25/19		155		156,590
2.55%, 10/23/19		460		470,651
6.00%, 6/15/20		1,040		1,186,676
2.88%, 2/25/21		1,275		1,307,152
5.75%, 1/24/22		430		499,213
3.63%, 1/22/23		240		251,750
6.75%, 10/01/37		800		986,827
6.25%, 2/01/41		990		1,281,163
Legg Mason, Inc., 2.70%, 7/15/19		1,285		1,314,784
Morgan Stanley:
4.75%, 3/22/17		980		1,004,304
6.25%, 8/28/17		510		537,590
2.20%, 12/07/18		450		455,928
2.50%, 1/24/19		1,140		1,163,038
5.63%, 9/23/19		2,940		3,261,954
6.38%, 7/24/42		460		622,942

				22,829,652
Chemicals — 0.5%
LyondellBasell Industries NV, 5.00%, 4/15/19		1,760		1,904,996
Monsanto Co.:
2.13%, 7/15/19		775		783,408
2.75%, 7/15/21		360		369,838
3.95%, 4/15/45		680		629,526
RPM International, Inc., 6.13%, 10/15/19		743		826,770

				4,514,538
Communications Equipment — 0.4%
Cisco Systems, Inc.:
2.13%, 3/01/19		1,480		1,520,052
2.45%, 6/15/20		1,770		1,843,019
Juniper Networks, Inc., 4.35%, 6/15/25		520		537,576

				3,900,647
Consumer Finance — 1.5%
Capital One Bank USA NA, 2.15%, 11/21/18		730		735,163
Capital One NA, 1.50%, 9/05/17		1,650		1,649,240
MasterCard, Inc.:
2.00%, 4/01/19		585		599,878
3.38%, 4/01/24		900		975,246
Navient Solutions, Inc., 0.00%, 10/03/22 (c)		1,680		1,489,948
Synchrony Financial, 3.00%, 8/15/19		1,540		1,565,667
Total System Services, Inc.:
3.80%, 4/01/21		355		375,865
4.80%, 4/01/26		1,335		1,447,653
Visa, Inc.:
2.20%, 12/14/20		990		1,020,770
2.80%, 12/14/22		895		944,214
4.30%, 12/14/45		1,485		1,719,252

				12,522,896
Containers & Packaging — 0.0%
Ball Corp., 4.38%, 12/15/20		195		205,116
Diversified Financial Services — 4.8%
American Express Credit Corp.:
2.38%, 3/24/17		900		908,794
1.55%, 9/22/17		855		858,794
2.25%, 5/05/21		1,700		1,730,158
Bank of America Corp.:
6.88%, 4/25/18		1,060		1,157,252
5.49%, 3/15/19		600		648,722
5.63%, 7/01/20		760		855,030
Bank of America NA, 1.65%, 3/26/18		1,035		1,041,208
BNP Paribas SA:
1.38%, 3/17/17		1,480		1,482,623
2.40%, 12/12/18		600		611,718


Corporate Bonds	Par (000)		Value
Diversified Financial Services (continued)
Citigroup, Inc.:
1.80%, 2/05/18	$	1,710	$	1,717,011
2.50%, 9/26/18		900		917,838
2.05%, 6/07/19		2,200		2,215,143
2.50%, 7/29/19		1,620		1,650,181
Ford Motor Credit Co. LLC:
3.00%, 6/12/17		1,790		1,817,267
1.72%, 12/06/17		1,690		1,693,595
2.02%, 5/03/19		1,650		1,664,040
3.34%, 3/18/21		990		1,026,756
GE Capital International Funding Co., 4.42%, 11/15/35 (b)		492		551,820
General Electric Capital Corp., 6.75%, 3/15/32		54		75,786
General Motors Financial Co., Inc.:
4.20%, 3/01/21		1,200		1,255,382
3.45%, 4/10/22		780		779,449
3.70%, 5/09/23		400		402,078
4.00%, 1/15/25		680		688,031
4.30%, 7/13/25		280		287,276
5.25%, 3/01/26		480		521,801
Intercontinental Exchange, Inc.:
2.50%, 10/15/18		900		920,700
3.75%, 12/01/25		2,215		2,389,099
JPMorgan Chase & Co.:
2.00%, 8/15/17		1,220		1,231,367
4.25%, 10/15/20		1,770		1,929,211
2.55%, 3/01/21		1,600		1,626,213
2.40%, 6/07/21		1,300		1,318,169
3.25%, 9/23/22		780		815,431
3.20%, 1/25/23		580		601,185
4.85%, 2/01/44		800		959,776
4.95%, 6/01/45		340		373,312
JPMorgan Chase Bank NA, 6.00%, 10/01/17		800		844,969
Nasdaq, Inc., 3.85%, 6/30/26		1,405		1,427,505

				40,994,690
Diversified Telecommunication Services — 2.1%
AT&T, Inc.:
2.38%, 11/27/18		1,645		1,678,783
2.45%, 6/30/20		350		357,336
3.40%, 5/15/25		1,140		1,166,114
5.55%, 8/15/41		980		1,097,959
5.15%, 3/15/42		1,120		1,208,437
4.80%, 6/15/44		1,190		1,221,667
4.75%, 5/15/46		500		512,437
British Telecommunications PLC, 1.25%, 2/14/17		520		520,138
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 4/15/23		1,270		1,354,666
Frontier Communications Corp., 8.88%, 9/15/20 (b)		260		277,550
Qwest Corp., 6.75%, 12/01/21		900		973,710
Verizon Communications, Inc.:
1.35%, 6/09/17		1,540		1,544,121
3.65%, 9/14/18		1,330		1,397,560
5.05%, 3/15/34		960		1,065,499
4.40%, 11/01/34		900		928,032
4.75%, 11/01/41		630		676,813
6.55%, 9/15/43		445		599,587
4.86%, 8/21/46		900		983,778
4.52%, 9/15/48		500		520,650
5.01%, 8/21/54		260		274,964

				18,359,801
Electric Utilities — 1.8%
Berkshire Hathaway Energy Co., 6.50%, 9/15/37		460		632,313
Commonwealth Edison Co.:
5.88%, 2/01/33		600		777,738
4.70%, 1/15/44		191		229,842

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	21


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio


Corporate Bonds	Par (000)		Value
Electric Utilities (continued)
Duke Energy Corp.:
2.15%, 11/15/16	$	630	$	632,412
5.05%, 9/15/19		600		661,384
Duke Energy Florida, Inc., 3.85%, 11/15/42		460		486,094
Exelon Corp., 5.10%, 6/15/45		320		367,726
Indiana Michigan Power Co., 4.55%, 3/15/46		600		666,819
MidAmerican Energy Holdings Co., 5.75%, 4/01/18		1,920		2,068,771
Mississippi Power Co., 4.25%, 3/15/42		510		455,874
NextEra Energy Capital Holdings, Inc., 2.70%, 9/15/19		1,040		1,072,728
Northern States Power Co., 5.25%, 7/15/35		760		947,478
Pacific Gas & Electric Co.:
5.63%, 11/30/17		460		487,923
3.25%, 9/15/21		430		460,975
3.75%, 8/15/42		460		467,077
PacifiCorp:
5.50%, 1/15/19		400		440,492
6.25%, 10/15/37		310		428,125
Progress Energy, Inc.:
4.88%, 12/01/19		920		1,012,928
4.40%, 1/15/21		1,110		1,214,328
South Carolina Electric & Gas Co., 4.10%, 6/15/46		700		740,682
Southern Power Co., 5.15%, 9/15/41		310		334,443
Tampa Electric Co., 2.60%, 9/15/22		600		619,300

				15,205,452
Electrical Equipment — 0.3%
Amphenol Corp.:
1.55%, 9/15/17		995		995,309
2.55%, 1/30/19		600		610,377
Roper Industries, Inc., 2.05%, 10/01/18		1,040		1,052,628

				2,658,314
Electronic Equipment, Instruments & Components — 0.2%
Flextronics International, Ltd., 4.75%, 6/15/25		340		343,400
Fortive Corp. (b):
1.80%, 6/15/19		405		407,598
3.15%, 6/15/26		600		617,484
Tyco Electronics Group SA, 6.55%, 10/01/17		860		914,239

				2,282,721
Energy Equipment & Services — 0.3%
Halliburton Co.:
3.80%, 11/15/25		1,000		1,044,449
5.00%, 11/15/45		600		659,930

				1,704,379
Food & Staples Retailing — 0.4%
CVS Caremark Corp., 2.25%, 12/05/18		925		946,211
Walgreens Boots Alliance, Inc.:
1.75%, 11/17/17		1,520		1,530,842
2.70%, 11/18/19		720		743,905
2.60%, 6/01/21		315		320,877

				3,541,835
Food Products — 1.3%
ConAgra Foods, Inc., 3.20%, 1/25/23		705		727,327
JM Smucker Co., 2.50%, 3/15/20		475		489,899
Kellogg Co.:
3.25%, 5/21/18		470		487,625
3.25%, 4/01/26		595		611,614
Kraft Heinz Foods Co. (b):
3.95%, 7/15/25		980		1,065,532
5.20%, 7/15/45		1,190		1,409,148
4.38%, 6/01/46		1,145		1,210,863
Mondelez International, Inc., 2.25%, 2/01/19		600		613,083
Pilgrim’s Pride Corp., 5.75%, 3/15/25 (b)		860		857,850


Corporate Bonds	Par (000)		Value
Food Products (continued)
Sysco Corp.:
3.75%, 10/01/25	$	1,605	$	1,717,281
3.30%, 7/15/26		1,405		1,457,650
4.50%, 4/01/46		475		506,696

				11,154,568
Gas Utilities — 0.1%
Southern California Gas Co., 3.75%, 9/15/42		540		571,796
Health Care Equipment & Supplies — 1.4%
Becton Dickinson & Co.:
1.45%, 5/15/17		210		210,546
2.68%, 12/15/19		335		344,558
Boston Scientific Corp.:
2.65%, 10/01/18		600		613,313
2.85%, 5/15/20		225		233,087
3.85%, 5/15/25		1,300		1,375,082
Covidien International Finance SA, 4.20%, 6/15/20		1,485		1,633,258
Medtronic, Inc.:
2.50%, 3/15/20		755		783,020
3.15%, 3/15/22		895		955,116
St Jude Medical, Inc., 2.00%, 9/15/18		575		581,569
Stryker Corp.:
2.63%, 3/15/21		245		253,230
3.38%, 11/01/25		400		419,765
3.50%, 3/15/26		215		228,089
4.38%, 5/15/44		900		961,281
4.63%, 3/15/46		885		994,329
Thermo Fisher Scientific, Inc.:
2.15%, 12/14/18		340		343,862
3.00%, 4/15/23		470		479,810
Zimmer Holdings, Inc.:
2.00%, 4/01/18		530		534,429
2.70%, 4/01/20		1,340		1,356,268

				12,300,612
Health Care Providers & Services — 1.2%
Aetna, Inc.:
1.90%, 6/07/19		1,150		1,164,939
3.20%, 6/15/26		870		895,077
4.38%, 6/15/46		800		830,799
AmerisourceBergen Corp., 1.15%, 5/15/17		1,770		1,769,543
Cardinal Health, Inc., 1.70%, 3/15/18		660		664,448
HCA, Inc., 3.75%, 3/15/19		935		967,725
Humana, Inc., 2.63%, 10/01/19		665		683,240
McKesson Corp., 1.40%, 3/15/18		1,330		1,332,302
Quest Diagnostics, Inc., 2.50%, 3/30/20		705		710,739
UnitedHealth Group, Inc.:
2.70%, 7/15/20		270		281,210
3.10%, 3/15/26		400		417,064
4.75%, 7/15/45		300		361,411

				10,078,497
Hotels, Restaurants & Leisure — 0.4%
McDonald’s Corp.:
2.10%, 12/07/18		275		281,427
2.75%, 12/09/20		150		156,601
3.70%, 1/30/26		690		745,507
6.30%, 10/15/37		310		411,410
4.88%, 12/09/45		950		1,110,816
Wyndham Worldwide Corp., 3.90%, 3/01/23		345		353,211

				3,058,972
Household Products — 0.2%
Newell Rubbermaid, Inc.:
2.60%, 3/29/19		345		354,032
3.85%, 4/01/23		620		657,615

See Notes to Financial Statements.



22	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio


Corporate Bonds	Par (000)		Value
Household Products (continued)
Whirlpool Corp., 1.35%, 3/01/17	$	755	$	756,273

				1,767,920
Independent Power and Renewable Electricity Producers — 0.1%
Constellation Energy Group, Inc., 5.15%, 12/01/20		360		400,654
Exelon Generation Co. LLC, 5.75%, 10/01/41		170		176,262
PSEG Power LLC:
2.45%, 11/15/18		140		142,477
4.15%, 9/15/21		350		373,645

				1,093,038
Insurance — 1.8%
ACE INA Holdings, Inc., 3.35%, 5/15/24		660		706,668
Aflac, Inc.:
3.63%, 11/15/24		1,480		1,585,117
3.25%, 3/17/25		900		935,872
American International Group, Inc., 3.30%, 3/01/21		320		330,594
Aon PLC:
3.88%, 12/15/25		460		485,179
4.60%, 6/14/44		450		460,044
Berkshire Hathaway, Inc., 3.13%, 3/15/26		1,355		1,420,777
Chubb Corp., 6.00%, 5/11/37		260		352,943
Fidelity National Financial, Inc., 5.50%, 9/01/22		385		424,476
Hanover Insurance Group, Inc., 4.50%, 4/15/26		800		825,898
Markel Corp.:
5.35%, 6/01/21		400		448,071
3.63%, 3/30/23		400		413,416
5.00%, 4/05/46		400		422,230
Marsh & McLennan Cos., Inc.:
2.35%, 9/10/19		880		899,043
3.30%, 3/14/23		175		182,690
3.50%, 3/10/25		520		540,338
3.75%, 3/14/26		1,150		1,212,851
MetLife, Inc., 3.05%, 12/15/22		1,300		1,333,632
Protective Life Corp., 8.45%, 10/15/39		122		170,703
Reinsurance Group of America, Inc., 3.95%, 9/15/26		1,300		1,339,524
Willis Group Holdings PLC, 5.75%, 3/15/21		350		391,369
XLIT Ltd., 5.75%, 10/01/21		430		491,791

				15,373,226
Internet Software & Services — 0.8%
Baidu, Inc.:
3.25%, 8/06/18		2,060		2,112,800
2.75%, 6/09/19		532		539,267
eBay, Inc., 2.20%, 8/01/19		1,600		1,624,362
Equinix, Inc.:
5.38%, 1/01/22		555		573,037
5.75%, 1/01/25		430		445,050
Expedia, Inc., 5.00%, 2/15/26 (b)		800		829,379
Priceline Group, Inc., 3.60%, 6/01/26		745		769,436
VeriSign, Inc., 4.63%, 5/01/23		415		420,187

				7,313,518
IT Services — 0.8%
Alibaba Group Holding Ltd.:
2.50%, 11/28/19		1,795		1,815,983
3.60%, 11/28/24		445		454,421
Broadridge Financial Solutions, Inc., 3.40%, 6/27/26		720		727,775
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 3.48%, 6/01/19 (b)		300		307,323
Fidelity National Information Services, Inc., 3.63%, 10/15/20		1,280		1,353,114
International Business Machines Corp., 7.63%, 10/15/18		690		788,212
Verisk Analytics, Inc., 4.00%, 6/15/25		1,380		1,449,439

				6,896,267


Corporate Bonds	Par (000)		Value
Machinery — 0.2%
Illinois Tool Works, Inc., 1.95%, 3/01/19	$	1,190	$	1,217,982
Ingersoll-Rand Global Holding Co. Ltd., 2.88%, 1/15/19		140		144,984
Trinity Acquisition PLC, 6.13%, 8/15/43		210		232,458

				1,595,424
Media — 1.4%
Altice Financing SA, 6.63%, 2/15/23 (b)		480		471,298
Charter Communications Operating LLC/Charter Communications Operating Capital (b):
3.58%, 7/23/20		395		412,950
4.91%, 7/23/25		1,400		1,530,623
6.48%, 10/23/45		300		358,206
Comcast Corp., 5.70%, 5/15/18		740		803,936
DISH DBS Corp.:
7.88%, 9/01/19		780		859,950
6.75%, 6/01/21		360		373,050
NBCUniversal Enterprise, Inc., 1.66%, 4/15/18 (b)		340		343,927
Omnicom Group, Inc., 3.60%, 4/15/26		1,700		1,790,493
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.25%, 2/15/22		260		263,900
Scripps Networks Interactive, Inc., 2.70%, 12/15/16		680		685,130
Time Warner Cable, Inc.:
5.00%, 2/01/20		680		739,123
4.50%, 9/15/42		510		475,037
Time Warner, Inc., 2.10%, 6/01/19		1,220		1,236,404
Viacom, Inc., 2.50%, 9/01/18		1,280		1,297,784

				11,641,811
Metals & Mining — 0.1%
Barrick Gold Corp., 4.10%, 5/01/23		330		348,105
Vale Overseas Ltd., 4.38%, 1/11/22 (e)		148		138,706

				486,811
Multi-Utilities — 0.2%
Consolidated Edison Co. of New York, Inc., 4.20%, 3/15/42		220		237,294
Dominion Resources, Inc.:
6.40%, 6/15/18		330		360,138
4.45%, 3/15/21		630		695,976
SCANA Corp., 4.13%, 2/01/22		170		176,622

				1,470,030
Oil, Gas & Consumable Fuels — 3.0%
Boardwalk Pipelines LP, 5.95%, 6/01/26		750		787,812
BP Capital Markets PLC, 2.24%, 5/10/19		900		924,206
Buckeye Partners LP:
2.65%, 11/15/18		1,460		1,480,605
4.35%, 10/15/24		580		574,354
Canadian Natural Resources Ltd., 6.25%, 3/15/38		500		543,534
ConocoPhillips Canada Funding Co. I, 5.63%, 10/15/16		170		172,079
Energy Transfer Partners LP:
9.70%, 3/15/19		262		296,633
9.00%, 4/15/19		123		137,496
4.15%, 10/01/20		560		568,373
Exxon Mobil Corp.:
2.73%, 3/01/23		720		751,686
4.11%, 3/01/46		1,030		1,161,654
Hess Corp., 1.30%, 6/15/17		350		347,658
Kinder Morgan Energy Partners LP, 5.63%, 9/01/41		275		263,239
Kinder Morgan, Inc., 3.05%, 12/01/19		265		267,768
Magellan Midstream Partners LP, 5.00%, 3/01/26		900		1,018,111
Marathon Petroleum Corp.:
2.70%, 12/14/18		1,600		1,635,926
3.40%, 12/15/20		715		739,134
Occidental Petroleum Corp.:
3.40%, 4/15/26		875		922,855
4.40%, 4/15/46		1,295		1,430,959

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	23


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio


Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
ONEOK Partners LP, 6.13%, 2/01/41	$	500	$	525,043
Petroleos Mexicanos:
5.50%, 2/04/19 (b)		700		735,700
4.88%, 1/24/22		400		408,956
6.88%, 8/04/26 (b)		552		617,136
6.38%, 1/23/45		860		864,300
Shell International Finance BV:
2.13%, 5/11/20		525		535,829
1.88%, 5/10/21		1,200		1,206,359
Statoil ASA:
1.95%, 11/08/18		850		861,551
2.75%, 11/10/21		1,680		1,756,558
Total Capital International SA, 2.10%, 6/19/19		980		1,001,922
TransCanada PipeLines Ltd., 4.88%, 1/15/26		960		1,096,316
Valero Energy Corp., 6.63%, 6/15/37		179		196,394
Williams Partners LP:
4.00%, 9/15/25		1,125		1,031,878
5.10%, 9/15/45		700		600,370

				25,462,394
Pharmaceuticals — 1.1%
AbbVie, Inc., 2.50%, 5/14/20		490		500,938
Actavis Funding SCS, 2.35%, 3/12/18		1,320		1,337,990
Baxalta, Inc., 2.88%, 6/23/20		775		787,616
Bayer US Finance LLC, 1.50%, 10/06/17 (b)		1,000		1,000,932
GlaxoSmithKline Capital, Inc., 5.65%, 5/15/18		360		390,664
Johnson & Johnson:
2.05%, 3/01/23		365		373,645
3.70%, 3/01/46		725		816,344
Novartis Capital Corp.:
3.40%, 5/06/24		630		688,641
4.40%, 5/06/44		1,280		1,542,701
Pfizer, Inc.:
6.20%, 3/15/19		460		519,531
4.30%, 6/15/43		760		854,156
Zoetis, Inc., 3.45%, 11/13/20		355		366,493

				9,179,651
Real Estate Investment Trusts (REITs) — 1.3%
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20		1,190		1,200,430
American Tower Corp.:
4.50%, 1/15/18		630		657,266
3.40%, 2/15/19		538		560,236
2.80%, 6/01/20		1,190		1,217,759
5.05%, 9/01/20		400		444,772
3.45%, 9/15/21		740		770,238
4.70%, 3/15/22		1,500		1,655,289
Corrections Corp. of America:
4.13%, 4/01/20		760		781,850
4.63%, 5/01/23		735		740,513
HCP, Inc., 6.70%, 1/30/18		1,190		1,278,097
Simon Property Group LP, 4.13%, 12/01/21		1,000		1,108,627
WEA Finance LLC/Westfield UK & Europe Finance PLC, 2.70%, 9/17/19 (b)		655		668,097

				11,083,174
Semiconductors & Semiconductor Equipment — 0.3%
Applied Materials, Inc., 2.63%, 10/01/20 480				499,090
Intel Corp., 2.45%, 7/29/20 780				811,140
KLA-Tencor Corp., 3.38%, 11/01/19 280				289,553
Lam Research Corp., 3.45%, 6/15/23 170				175,573
QUALCOMM, Inc., 1.40%, 5/18/18 935				943,312

				2,718,668


Corporate Bonds	Par (000)		Value
Software — 0.5%
Hewlett Packard Enterprise Co. (b):
4.90%, 10/15/25	$	1,900	$	1,985,162
6.35%, 10/15/45		200		199,127
Microsoft Corp., 4.45%, 11/03/45		700		789,355
Oracle Corp.:
5.75%, 4/15/18		180		194,859
3.85%, 7/15/36 (d)		1,400		1,403,634

				4,572,137
Specialty Retail — 0.7%
Home Depot, Inc.:
5.88%, 12/16/36		600		819,479
5.40%, 9/15/40		600		780,421
L Brands, Inc.:
6.90%, 7/15/17		647		686,144
8.50%, 6/15/19		1,190		1,380,400
Lowe’s Cos, Inc., 4.38%, 9/15/45		95		108,861
O’Reilly Automotive, Inc.:
4.63%, 9/15/21		1,580		1,744,457
3.55%, 3/15/26		305		319,787

				5,839,549
Technology Hardware, Storage & Peripherals — 0.4%
Apple, Inc.:
2.85%, 5/06/21		1,620		1,710,961
2.85%, 2/23/23		865		908,956
4.65%, 2/23/46		650		734,225

				3,354,142
Tobacco — 1.6%
Altria Group, Inc., 5.38%, 1/31/44		2,610		3,346,284
Philip Morris International, Inc.:
5.65%, 5/16/18		1,280		1,390,497
1.88%, 1/15/19		1,060		1,081,215
2.90%, 11/15/21		430		454,226
6.38%, 5/16/38		760		1,051,170
4.13%, 3/04/43		100		107,260
4.25%, 11/10/44		445		488,772
Reynolds American, Inc.:
3.50%, 8/04/16		210		210,434
2.30%, 6/12/18		2,020		2,052,405
3.25%, 6/12/20		127		134,249
4.00%, 6/12/22		305		331,470
4.85%, 9/15/23		280		319,686
4.45%, 6/12/25		400		447,975
6.15%, 9/15/43		240		313,486
5.85%, 8/15/45		1,265		1,616,330

				13,345,459
Wireless Telecommunication Services — 0.3%
American Tower Corp., 3.38%, 10/15/26		280		281,457
Crown Castle International Corp.:
4.88%, 4/15/22		830		911,506
4.45%, 2/15/26		500		542,817
3.70%, 6/15/26		445		459,103

				2,194,883
Total Corporate Bonds — 41.1%				351,128,426



Foreign Agency Obligations
Canada Government International Bond, 1.13%, 3/19/18		1,880		1,893,888
Colombia Government International Bond:
4.00%, 2/26/24		740		772,930
4.50%, 1/28/26		330		351,450

See Notes to Financial Statements.



24	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio


Foreign Agency Obligations	Par (000)		Value
Export-Import Bank of Korea, 2.38%, 8/12/19	$	1,650	$	1,690,569
Mexico Government International Bond:
3.50%, 1/21/21		865		912,575
6.75%, 9/27/34		720		973,800
4.75%, 3/08/44		420		452,550
4.60%, 1/23/46		613		646,715
Peruvian Government International Bond, 4.13%, 8/25/27		745		817,637
Tunisia Government AID Bonds, 2.45%, 7/24/21		327		343,756
Total Foreign Agency Obligations — 1.0%				8,855,870



Investment Companies (g)	Shares
iShares 0-5 Year TIPS Bond ETF		1		102
iShares 1-3 Year Treasury Bond ETF		1		85
iShares 10-20 Year Treasury Bond ETF		1		147
iShares 3-7 Year Treasury Bond ETF		1		127
iShares 7-10 Year Treasury Bond ETF		1		113
iShares Agency Bond ETF		1		116
iShares Core U.S. Treasury Bond ETF		1		26
iShares Short Treasury Bond ETF		1		110
iShares TIPS Bond ETF		1		117
Total Investment Companies — 0.0%				943



Municipal Bonds	Par (000)
Bay Area Toll Authority, RB, Build America Bonds, San Francisco Toll Bridge, Series S-1, 7.04%, 4/01/50	$	260		408,559
Chicago Transit Authority, RB, Pension Funding, Series B, 6.90%, 12/01/40		150		195,395
City & County of San Francisco California Public Utilities Commission Water Revenue, RB, Build America Bonds, Sub-Series G, 6.95%, 11/01/50		140		212,640
City of Los Angeles California Department of Water & Power, RB, Build America Bonds, Series D, 6.57%, 7/01/45		110		165,922
City of New York New York Transitional Finance Authority, RB, Build America Bonds, Future Tax Secured, Sub-Series B-1, 5.57%, 11/01/38		150		196,447
City of New York New York Water & Sewer System, Refunding RB, 2nd General Resolution, Build America Bonds, Fiscal 2010, Series EE, 6.01%, 6/15/42		310		445,799
County of Orange California Local Transportation Authority, Refunding RB, Build America Bonds, Series A, 6.91%, 2/15/41		150		218,526
County of San Diego California Regional Transportation Commission, RB, Build America Bonds, Series A, 5.91%, 4/01/48		190		271,010
Metropolitan Water District of Southern California, RB, Build America Bonds, Series A, 6.95%, 7/01/40		360		431,413
New Jersey State Turnpike Authority, RB, Build America Bonds, Series A, 7.10%, 1/01/41		220		334,543
Port Authority of New York & New Jersey, RB, 164th Series, 5.65%, 11/01/40		260		341,804
Port Authority of New York & New Jersey, Refunding RB, 174th Series, 4.46%, 10/01/62		220		251,695
State of California, GO, Build America Bonds, Various Purposes:
7.55%, 4/01/39		350		553,805
7.63%, 3/01/40		350		552,132
7.60%, 11/01/40		90		145,584
State of Illinois, GO:
Build America Bonds, 7.35%, 7/01/35		210		235,076
Pension, 5.10%, 6/01/33		310		297,584


Municipal Bonds	Par (000)		Value
State of Mississippi, GO, Refunding, Build America Bonds, Series F, 5.25%, 11/01/34	$	190	$	240,369
State of New York Dormitory Authority, RB, Build America Bonds, General Purpose, Series H, 5.39%, 3/15/40		225		298,271
State of Oregon Department of Transportation, RB, Sub-Lien, Series A, 5.83%, 11/15/34		140		191,407
University of California, Refunding RB, General, Taxable, Series AJ, 4.60%, 5/15/31		310		363,785
University of Missouri, RB, Build America Bonds, Curators of the University, Series A, 5.79%, 11/01/41		110		157,472
Total Municipal Bonds — 0.8%				6,509,238



Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 5.3%
Citicorp Mortgage Securities Trust, Series 2006-1, Class 2A1, 5.00%, 2/25/21		29		30,243
Citigroup Mortgage Loan Trust, Series 2014-A, Class A, 4.00%, 1/25/35 (a)(b)		245		251,739
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-7, Class 1A6, 5.25%, 8/25/35		52		52,867
CSMC Trust, Series 2013-8R (a)(b):
Class 7A1, 0.61%, 4/27/37		153		150,500
Class 8A1, 0.69%, 5/27/37		587		580,056
Fannie Mae Connecticut Avenue Securities (a):
Series 2013-C01, Class M1, 2.45%, 10/25/23		2,475		2,486,498
Series 2014-C01, Class M1, 2.05%, 1/25/24		792		791,806
Series 2014-C02, Class 1M1, 1.40%, 5/25/24		1,911		1,898,339
Series 2014-C02, Class 2M1, 1.40%, 5/25/24		2,170		2,160,157
Series 2014-C03, Class 1M1, 1.65%, 7/25/24		2,512		2,518,236
Series 2014-C03, Class 2M1, 1.65%, 7/25/24		2,047		2,047,410
Series 2014-C04, Class 1M1, 2.40%, 11/25/24		352		353,869
Series 2014-C04, Class 2M1, 2.55%, 11/25/24		486		488,276
Series 2015-C01, Class 1M1, 1.95%, 2/25/25		1,197		1,198,102
Series 2015-C02, Class 2M1, 1.65%, 5/25/25		571		570,008
Series 2015-C03, Class 2M1, 1.95%, 7/25/25		441		443,320
Series 2015-C04, Class 2M1, 2.15%, 4/25/28		1,328		1,325,996
Series 2016-C02, Class 1M1, 2.60%, 9/25/28		1,965		1,988,202
Series 2016-C03, Class 2M1, 2.65%, 10/25/28		1,778		1,796,368
Freddie Mac Structured Agency Credit Risk Debt Notes (a):
Series 2013-DN1, Class M1, 3.85%, 7/25/23		2,538		2,591,659
Series 2013-DN2, Class M1, 1.90%, 11/25/23		2,565		2,576,031
Series 2014-DN3, Class M2, 2.85%, 8/25/24		1,537		1,549,062
Series 2014-HQ1, Class M2, 2.95%, 8/25/24		2,100		2,134,260
Series 2014-HQ2, Class M1, 1.90%, 9/25/24		375		376,971
Series 2014-HQ3, Class M2, 3.10%, 10/25/24		2,420		2,450,314
Series 2015-DN1, Class M2, 2.85%, 1/25/25		2,970		2,994,061
Series 2015-DN1, Class M3, 4.60%, 1/25/25		1,450		1,506,578
Series 2015-DNA3, Class M1, 1.80%, 4/25/28		2,797		2,802,469
Series 2015-HQA1, Class M2, 3.10%, 3/25/28		1,900		1,944,086
Series 2016-HQA1, Class M1, 2.20%, 9/25/28		1,956		1,962,169
Nomura Resecuritization Trust, Series 2014-1R, Class 5A1, 0.60%, 10/26/36 (a)(b)		732		711,211
RALI Trust:
Series 2004-QS5, Class A5, 4.75%, 4/25/34		57		57,842
Series 2004-QS9, Class A1, 5.00%, 6/25/19		36		36,047
RBSSP Resecuritization Trust, Series 2009-6, Class 13A4, 2.80%, 8/26/35 (a)(b)		282		282,047

				45,106,799
Commercial Mortgage-Backed Securities — 7.4%
Banc of America Commercial Mortgage Trust:
Series 2006-6, Class A4, 5.36%, 10/10/45		1,060		1,063,329
Series 2007-3, Class A4, 5.72%, 6/10/49 (a)		1,145		1,163,931

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	25


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Banc of America Commercial Mortgage Trust (continued):
Series 2007-3, Class AMF, 5.32%, 6/10/49	$	660	$	675,631
Series 2007-4, Class A4, 5.93%, 2/10/51 (a)		759		784,811
Series 2007-5, Class A4, 5.49%, 2/10/51		1,363		1,402,901
CD Commercial Mortgage Trust, Series 2007-CD4, Class AMFX, 5.37%, 12/11/49 (a)		170		172,920
Citigroup Commercial Mortgage Trust (a):
Series 2007-C6, Class A4, 5.90%, 12/10/49		3,260		3,355,614
Series 2008-C7, Class A4, 6.34%, 12/10/49		1,548		1,610,248
Series 2010-RR2, Class CA3A, 5.31%, 12/19/39 (b)		134		133,599
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.32%, 12/11/49		2,481		2,506,591
Commercial Mortgage Trust:
Series 2007-C9, Class A4, 6.01%, 12/10/49 (a)		886		912,937
Series 2007-C9, Class AJ, 5.65%, 12/10/49 (a)		920		932,623
Series 2007-GG9, Class A1A, 5.43%, 3/10/39		2,281		2,308,408
Series 2007-GG9, Class AM, 5.48%, 3/10/39		590		599,874
Series 2008-LS1, Class A4B, 6.30%, 12/10/49 (a)		438		454,267
Series 2013-LC6, Class AM, 3.28%, 1/10/46		400		419,767
Series 2014-CR17, Class A5, 3.98%, 5/10/47		670		744,756
Credit Suisse Commercial Mortgage Trust:
Series 2006-C5, Class A3, 5.31%, 12/15/39		935		936,049
Series 2007-C1, Class A3, 5.38%, 2/15/40		1,902		1,920,062
Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)		670		678,106
Series 2007-C2, Class AM, 5.62%, 1/15/49 (a)		300		305,483
Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2007-GG9, Class A4, 5.44%, 3/10/39		2,670		2,694,117
GS Mortgage Securities Corp. II, Series 2015-GC30, Class B, 4.15%, 5/10/50 (a)		300		299,120
GS Mortgage Securities Trust:
Series 2007-GG10, Class A4, 5.99%, 8/10/45 (a)		2,399		2,457,665
Series 2012-GCJ7, Class AS, 4.09%, 5/10/45		280		304,588
Series 2013-GC13, Class A5, 4.17%, 7/10/46 (a)		170		191,976
Series 2013-GC16, Class A3, 4.24%, 11/10/46		480		543,771
JPMBB Commercial Mortgage Securities Trust, Series 2013-C14 (a):
Class A4, 4.13%, 8/15/46		430		482,989
Class AS, 4.41%, 8/15/46		240		268,038
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2006-CB16, Class A4, 5.55%, 5/12/45		37		37,415
Series 2006-CB17, Class A4, 5.43%, 12/12/43		1,872		1,885,359
Series 2006-LDP8, Class A1A, 5.40%, 5/15/45		35		34,895
Series 2006-LDP8, Class AM, 5.44%, 5/15/45		1,811		1,811,866
Series 2007-CB20, Class A4, 5.79%, 2/12/51 (a)		2,563		2,660,494
Series 2011-C5, Class A3, 4.17%, 8/15/46		340		371,297
Series 2012-CBX, Class AS, 4.27%, 6/15/45		350		385,490
LB Commercial Mortgage Trust, Series 2007-C3, Class A4, 6.12%, 7/15/44 (a)		530		550,301
LB-UBS Commercial Mortgage Trust:
Series 2006-C7, Class AM, 5.38%, 11/15/38		310		311,878
Series 2007-C1, Class A4, 5.42%, 2/15/40		1,181		1,195,464
Series 2007-C2, Class A3, 5.43%, 2/15/40		2,123		2,153,513
Series 2007-C2, Class AM, 5.49%, 2/15/40 (a)		540		547,734
Series 2007-C7, Class A3, 5.87%, 9/15/45 (a)		856		895,736
Merrill Lynch Mortgage Trust, Series 2006-C2, Class AM, 5.78%, 8/12/43 (a)		453		452,895
ML-CFC Commercial Mortgage Trust (a):
Series 2006-3, Class AM, 5.46%, 7/12/46		600		600,502
Series 2007-7, Class A4, 5.81%, 6/12/50		1,417		1,458,339
Series 2007-8, Class A3, 6.07%, 8/12/49		3,095		3,193,047


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.22%, 7/15/46 (a)	$	470	$	527,585
Morgan Stanley Capital I Trust:
Series 2006-T23, Class AJ, 6.13%, 8/12/41 (a)		109		108,410
Series 2007-HQ11, Class A1A, 5.42%, 2/12/44 (a)		854		867,010
Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (a)		881		891,262
Series 2007-IQ13, Class AM, 5.41%, 3/15/44		812		827,171
Series 2007-IQ15, Class A4, 6.10%, 6/11/49 (a)		54		55,522
Series 2007-IQ16, Class A4, 5.81%, 12/12/49		1,533		1,591,873
Series 2007-T25, Class A3, 5.51%, 11/12/49 (a)		685		689,514
Series 2007-T27, Class A4, 5.82%, 6/11/42 (a)		1,560		1,611,846
Series 2007-T27, Class AM, 5.82%, 6/11/42 (a)		630		649,753
Series 2012-C4, Class A4, 3.24%, 3/15/45		680		724,242
Series 2015-MS1, Class A4, 3.78%, 5/15/48		550		605,597
ORES NPL LLC, Series 2014-LV3, Class A, 3.00%, 3/27/24 (b)		82		82,479
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5, 2.85%, 12/10/45		505		527,933
Wachovia Bank Commercial Mortgage Trust:
Series 2006-C28, Class AM, 5.60%, 10/15/48 (a)		1,080		1,086,849
Series 2007-C34, Class A3, 5.68%, 5/15/46		1,123		1,156,567
Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class AS, 3.81%, 12/15/47		510		549,694
WF-RBS Commercial Mortgage Trust:
Series 2012-C08, Class AS, 3.66%, 8/15/45		640		685,542
Series 2012-C10, Class AS, 3.24%, 12/15/45		460		482,198
Series 2013-C18, Class A5, 4.16%, 12/15/46 (a)		570		642,820
Series 2014-C23, Class A4, 3.65%, 10/15/57		330		360,021

				63,594,284
Total Non-Agency Mortgage-Backed Securities — 12.7%				108,701,083



Preferred Securities

Capital Trusts
Diversified Financial Services — 0.0%
Bank of New York Mellon Corp., Series D, 4.50% (a)(h)		394		378,366



U.S. Government Sponsored Agency Securities
Agency Obligations — 2.9%
Fannie Mae:
0.00%, 10/09/19 (c)		13,860		13,314,013
1.63%, 1/21/20		900		921,257
6.32%, 12/20/27		290		414,031
Fannie Mae STRIPS, 0.00%, 3/23/28 - 5/15/29 (c)		1,855		1,344,184
Federal Farm Credit Banks, 2.00%, 4/04/22		897		929,985
Federal Home Loan Bank:
3.50%, 10/01/45 - 4/01/46		107		112,448
4.00%, 9/01/28 - 5/01/46		985		1,115,141
4.50%, 4/01/46		78		85,549
Financing Corp., 0.00%, 11/02/18 (c)		2,930		2,868,810
Ginnie Mae:
3.50%, 7/20/46		701		744,813
4.00%, 6/20/46		1,253		1,346,501
Resolution Funding Corp., 8.13%, 10/15/19		1,040		1,277,315

				24,474,047

See Notes to Financial Statements.



26	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio



U.S. Government Sponsored Agency Securities	Par (000)		Value
Commercial Mortgage-Backed Securities — 0.1%
Freddie Mac, Class A2:
Series K025, 2.68%, 10/25/22	$	900	$	951,680
Series K031, 3.30%, 4/25/23 (a)		281		308,101

				1,259,781
Mortgage-Backed Securities — 57.3%
Fannie Mae Mortgage-Backed Securities:
1.90%, 4/01/43 (a)		154		157,633
1.93%, 5/01/43 (a)		220		226,183
2.05%, 6/01/43 (a)		289		296,460
2.42%, 2/01/42 (a)		17		18,358
2.50%, 9/01/28 - 4/01/45 (i)		2,558		2,629,251
2.75%, 1/01/42 (a)		157		163,838
2.83%, 8/01/41 (a)		256		269,721
2.84%, 4/01/40 (a)		41		43,709
3.00%, 1/01/27 - 7/01/46 (i)		29,655		30,925,194
3.30%, 9/01/41 (a)		191		199,368
3.50%, 2/01/26 - 7/01/46		148,418		156,669,509
4.00%, 8/01/25 - 8/01/46 (i)		67,349		72,268,875
4.50%, 7/01/25 - 8/01/46 (i)		41,767		45,572,616
5.00%, 1/01/18 - 8/01/46 (i)		23,675		26,314,265
5.50%, 9/01/19 - 7/01/46 (i)		3,154		3,550,970
6.00%, 11/01/22 - 8/01/38		1,390		1,597,466
6.50%, 12/01/30 - 12/01/32		1,666		1,978,656
Freddie Mac Mortgage-Backed Securities:
1.79%, 6/01/43 (a)		77		78,162
2.46%, 5/01/43 (a)		211		218,200
2.50%, 7/01/31 - 4/01/43 (i)		5,387		5,565,227
2.52%, 8/01/43 (a)		86		88,961
2.55%, 1/01/42 (a)		10		10,853
2.81%, 2/01/40 (a)		229		241,399
2.88%, 4/01/38 (a)		299		317,332
2.93%, 8/01/41 (a)		168		176,503
3.00%, 3/01/27 - 7/01/46 (i)		14,418		15,079,441
3.34%, 7/01/41 (a)		146		154,079
3.50%, 12/01/25 - 7/01/46 (i)		20,500		21,697,939
4.00%, 3/01/26 - 7/01/46 (i)		14,562		15,597,918
4.50%, 8/01/20 - 7/01/46 (i)		7,483		8,203,657
5.00%, 10/01/20 - 7/01/46 (i)		3,232		3,564,825
5.50%, 5/01/34 - 7/01/46 (i)		1,423		1,596,992
6.00%, 9/01/36 - 1/01/38		558		639,167
6.50%, 5/01/21 - 7/01/32 (j)		597		720,108
Ginnie Mae Mortgage-Backed Securities:
3.00%, 5/01/43 - 7/01/46 (i)		11,679		12,218,383
3.50%, 1/01/41 - 7/01/46 (i)		25,728		27,360,324
4.00%, 9/01/40 - 7/01/46 (i)		15,443		16,573,921
4.50%, 3/01/39 - 7/01/46 (i)		9,605		10,436,973
5.00%, 10/01/39 - 7/01/46 (i)		3,636		4,056,840
5.50%, 6/01/34 - 7/01/40		1,556		1,738,604
6.00%, 9/01/38 - 10/01/38		469		536,623

				489,754,503
Total U.S. Government Sponsored Agency Securities — 60.3%				515,488,331



U.S. Treasury Obligations	Par (000)			Value
U.S. Treasury Bonds, 2.88%, 5/15/43	$	31,110		$	34,982,946
U.S. Treasury Notes, 2.13%, 6/30/22		—	(j)		317
Total U.S. Treasury Obligations — 4.1%					34,983,263
Total Long-Term Investments (Cost — $1,094,524,177) — 130.8%					1,117,922,049



Short-Term Securities	Shares
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (g)(k)(l)		16,999,394			16,999,394
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (g)(k)(l)		41,506			41,506
Total Short-Term Securities (Cost — $17,040,900) — 2.0%					17,040,900
Total Investments Before TBA Sale Commitments (Cost — $1,111,565,077) — 132.8%					1,134,962,949



TBA Sale Commitments	Par (000)
Fannie Mae Mortgage-Backed Securities (i):
2.50%, 7/01/46	$	450			(455,344	)
3.00%, 7/01/31 - 7/01/46		10,513			(10,956,798	)
3.50%, 7/01/31 - 7/01/46		42,165			(44,499,028	)
4.00%, 7/01/31 - 7/01/46		20,970			(22,475,399	)
4.50%, 7/01/46		20,457			(22,329,668	)
5.00%, 7/01/46		7,117			(7,905,430	)
Freddie Mac Mortgage-Backed Securities (i):
2.50%, 7/01/31		725			(749,809	)
3.00%, 7/01/46		16,305			(16,903,699	)
3.50%, 7/01/46		3,690			(3,890,067	)
4.00%, 7/01/46		1,430			(1,530,547	)
4.50%, 7/01/46		78			(85,069	)
Ginnie Mae Mortgage-Backed Securities (i):
2.50%, 7/01/46		350			(357,219	)
3.00%, 7/01/46		600			(627,187	)
3.50%, 7/01/46		1,567			(1,662,734	)
4.00%, 7/01/46		1,256			(1,342,546	)
4.50%, 7/01/46		500			(550,234	)
5.50%, 7/01/46		675			(739,758	)
Total TBA Sale Commitments (Proceeds — $136,541,347) — 16.0%					(137,060,536	)
Total Investments, Net of TBA Sale Commitments (Cost — $975,023,730) — 116.8%					997,902,413
Liabilities in Excess of Other Assets — (16.8)%					(143,238,650	)

Net Assets — 100.0%				$	854,663,763

Notes to Schedule of Investments

(a)

Variable rate security. Rate as of period end.

(b)

(c)

Zero-coupon bond.

(d)

When-issued security.

(e)

Security, or a portion of security, is on loan.

(f)

Non-income producing security.

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	27


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

(g)

During the six months ended June 30, 2016, investments in issuers considered to be affiliates of the Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares Held at December 31, 2015		Shares Purchased		Shares Sold			Shares Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain
BlackRock Cash Funds: Institutional, SL Agency Shares		19,480,003		—		(2,480,609	)¹		16,999,394	$	16,999,394	$	82,998	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		50,944		—		(9,438	)¹		41,506	$	41,506	$	692	²		—
iShares 0-5 Year TIPS Bond ETF		1		—		—			1	$	102		—			—
iShares 1-3 Year Treasury Bond ETF		1		—		—			1	$	85		—			—
iShares 10-20 Year Treasury Bond ETF		1		—		—			1	$	147	$	1			—
iShares 20+ Year Treasury Bond ETF		52,602		—		(52,602	)		—		—		25,745		$	449,830
iShares 3-7 Year Treasury Bond ETF		1		—		—			1	$	127	$	1			—
iShares 7-10 Year Treasury Bond ETF		1		—		—			1	$	113	$	1			—
iShares Agency Bond ETF		1		—		—			1	$	116	$	1			—
iShares Core U.S. Treasury Bond ETF		1		—		—			1	$	26		—			—
iShares Short Treasury Bond ETF		1		—		—			1	$	110		—			—
iShares TIPS Bond ETF		1		—		—			1	$	117		—			—
Total										$	17,041,843	$	109,439		$	449,830

¹ Represents net shares sold.
²Represents all or a portion of 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.

(h)

Perpetual security with no stated maturity date.

(i)

Represents or includes a TBA transaction. As of period end, unsettled TBA transactions were as follows:


Counterparty	Value			Unrealized Appreciation (Depreciation)
Bank of America N.A.	$	683,356		$	3,993
Barclays Capital, Inc.	$	22,000,202		$	96,331
BNP Paribas Securities Corporation	$	2,009,406		$	(2,046	)
Citigroup Global Markets Inc.	$	5,306,891		$	19,038
Credit Suisse Securities (USA) LLC	$	(1,977,944	)	$	(23,558	)
Deutsche Bank Securities, Inc.	$	669,238		$	1,562
Goldman Sachs & Co.	$	32,722,486		$	167,680
J.P.Morgan Securities LLC	$	72,683,265		$	485,895
Morgan Stanley & Co. LLC	$	(5,563,712	)	$	(153,168	)
Nomura Securities International Inc.	$	(604,246	)	$	9,187
RBC Capital Markets, LLC	$	4,900,883		$	72,411
Wells Fargo Securities, LLC	$	(840,159	)	$	10,301

(j)

Amount is less than $500.

(k)

All or a portion of security was purchased with the cash collateral from loaned securities.

(l)

Current yield as of period end.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts


Contracts Long (Short)			Issue	Expiration		Notional Value			Unrealized Appreciation (Depreciation)
	17		2-Year U.S. Treasury Note		September 2016		$	3,728,578	$	17,303
	391		5-Year U.S. Treasury Note		September 2016		$	47,766,149		405,291
	(229	)	10-Year Australian T-Bond		September 2016		$	23,261,277		(217,998	)
	317		10-Year Canadian Bond Future		September 2016		$	36,323,913		605,439
	248		10-Year U.S. Treasury Note		September 2016		$	32,980,125		227,237
	(353	)	Euro-Bund Futures		September 2016		$	65,467,870		(839,851	)
	71		Long U.S. Treasury Bond		September 2016		$	12,236,406		284,200
	392		UK Long Gilt Bond		September 2016		$	67,052,481		2,672,567
	31		Ultra Long U.S. Treasury Bond		September 2016		$	5,777,625		(55,810	)
	Total								$	3,098,378

See Notes to Financial Statements.



28	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
BRL	2,280,000	USD	672,368	Bank of America N.A.		7/05/16	$	37,404
BRL	1,240,000	USD	369,377	Bank of America N.A.		7/05/16		16,639
BRL	1,570,000	USD	489,127	Bank of America N.A.		7/05/16		(381	)
BRL	1,310,000	USD	408,125	Bank of America N.A.		7/05/16		(318	)
BRL	2,290,000	USD	713,440	Citibank N.A.		7/05/16		(555	)
BRL	1,390,000	USD	407,625	Deutsche Bank AG		7/05/16		25,087
BRL	740,000	USD	214,679	Deutsche Bank AG		7/05/16		15,685
BRL	295,000	USD	86,523	Deutsche Bank AG		7/05/16		5,312
BRL	470,000	USD	146,427	Goldman Sachs International		7/05/16		(114	)
BRL	500,000	USD	143,382	HSBC Bank PLC		7/05/16		12,270
BRL	295,000	USD	86,729	HSBC Bank PLC		7/05/16		5,106
BRL	1,100,000	USD	342,700	JPMorgan Chase Bank N.A.		7/05/16		(267	)
USD	710,325	BRL	2,280,000	Bank of America N.A.		7/05/16		553
USD	386,317	BRL	1,240,000	Bank of America N.A.		7/05/16		301
USD	433,881	BRL	1,570,000	Bank of America N.A.		7/05/16		(54,865	)
USD	373,432	BRL	1,310,000	Bank of America N.A.		7/05/16		(34,375	)
USD	628,611	BRL	2,290,000	Citibank N.A.		7/05/16		(84,273	)
USD	433,049	BRL	1,390,000	Deutsche Bank AG		7/05/16		337
USD	91,906	BRL	295,000	Deutsche Bank AG		7/05/16		72
USD	230,544	BRL	740,000	Deutsche Bank AG		7/05/16		179
USD	132,518	BRL	470,000	Goldman Sachs International		7/05/16		(13,795	)
USD	155,773	BRL	500,000	HSBC Bank PLC		7/05/16		121
USD	91,906	BRL	295,000	HSBC Bank PLC		7/05/16		72
USD	300,793	BRL	1,100,000	JPMorgan Chase Bank N.A.		7/05/16		(41,641	)
GBP	1,400,000	USD	1,871,631	Bank of America N.A.		7/06/16		(102	)
USD	2,040,564	GBP	1,400,000	State Street Bank and Trust Co.		7/06/16		169,036
BRL	760,000	USD	234,206	Bank of America N.A.		8/02/16		996
USD	366,539	BRL	1,240,000	Bank of America N.A.		8/02/16		(17,212	)
USD	1,871,730	GBP	1,400,000	Bank of America N.A.		8/03/16		(180	)
AUD	7,440,000	USD	5,517,370	Bank of America N.A.		9/07/16		9,611
AUD	880,000	USD	652,983	Bank of America N.A.		9/07/16		746
AUD	177,203	USD	131,772	Bank of America N.A.		9/07/16		(132	)
AUD	1,052,481	USD	782,646	Bank of America N.A.		9/07/16		(785	)
AUD	390,000	USD	289,390	Bank of America N.A.		9/07/16		331
AUD	440,000	USD	326,491	Bank of America N.A.		9/07/16		373
AUD	1,060,000	USD	786,548	Bank of America N.A.		9/07/16		899
AUD	616,292	USD	454,524	Barclays Bank PLC		9/07/16		3,303
AUD	87,872	USD	65,183	Barclays Bank PLC		9/07/16		95
AUD	292,905	USD	217,276	Barclays Bank PLC		9/07/16		316
AUD	30,375	USD	22,532	Barclays Bank PLC		9/07/16		33
AUD	300,000	USD	223,095	Citibank N.A.		9/07/16		(233	)
AUD	303,708	USD	224,209	Citibank N.A.		9/07/16		1,409
AUD	121,501	USD	90,080	Citibank N.A.		9/07/16		180
AUD	351,486	USD	260,588	Citibank N.A.		9/07/16		521
AUD	1,171,621	USD	868,628	Citibank N.A.		9/07/16		1,738
AUD	718,863	USD	533,344	Credit Suisse International		9/07/16		681
AUD	1,100,759	USD	816,683	Credit Suisse International		9/07/16		1,042
AUD	898,579	USD	666,680	Credit Suisse International		9/07/16		851
AUD	185,332	USD	137,503	Credit Suisse International		9/07/16		175
AUD	95,000	USD	71,051	Credit Suisse International		9/07/16		(477	)
AUD	100,000	USD	74,940	Credit Suisse International		9/07/16		(653	)
AUD	150,000	USD	110,766	Credit Suisse International		9/07/16		665
AUD	1,930,000	USD	1,425,191	Credit Suisse International		9/07/16		8,555
AUD	194,899	USD	144,516	Credit Suisse International		9/07/16		269
AUD	67,373	USD	49,956	Credit Suisse International		9/07/16		93
AUD	649,664	USD	481,721	Credit Suisse International		9/07/16		897
AUD	280,998	USD	206,943	Goldman Sachs International		9/07/16		1,802
AUD	907,519	USD	675,884	HSBC Bank PLC		9/07/16		(1,712	)
AUD	152,797	USD	113,797	HSBC Bank PLC		9/07/16		(288	)
AUD	175,743	USD	130,380	HSBC Bank PLC		9/07/16		175
AUD	585,810	USD	434,601	HSBC Bank PLC		9/07/16		582
AUD	590,000	USD	437,633	HSBC Bank PLC		9/07/16		663
AUD	670,000	USD	496,973	HSBC Bank PLC		9/07/16		753
AUD	60,751	USD	45,070	HSBC Bank PLC		9/07/16		60

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	29


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	859,241	USD	637,066	Morgan Stanley & Co. International PLC		9/07/16	$	1,241
AUD	561,137	USD	416,043	Morgan Stanley & Co. International PLC		9/07/16		811
AUD	144,668	USD	107,261	Morgan Stanley & Co. International PLC		9/07/16		209
AUD	701,421	USD	520,054	Morgan Stanley & Co. International PLC		9/07/16		1,013
AUD	119,002	USD	87,659	Morgan Stanley & Co. International PLC		9/07/16		745
AUD	1,700,000	USD	1,258,816	Morgan Stanley & Co. International PLC		9/07/16		4,069
AUD	300,000	USD	219,975	Westpac Banking Corp.		9/07/16		2,887
AUD	280,000	USD	205,310	Westpac Banking Corp.		9/07/16		2,694
AUD	1,900,000	USD	1,393,177	Westpac Banking Corp.		9/07/16		18,283
AUD	630,000	USD	464,566	Westpac Banking Corp.		9/07/16		3,445
AUD	95,000	USD	71,116	Westpac Banking Corp.		9/07/16		(543	)
AUD	670,000	USD	504,353	Westpac Banking Corp.		9/07/16		(6,627	)
CAD	30,000	USD	23,532	Bank of America N.A.		9/07/16		(429	)
CAD	380,000	USD	298,074	Bank of America N.A.		9/07/16		(5,433	)
CAD	77,807	USD	59,916	Bank of America N.A.		9/07/16		4
CAD	935,000	USD	734,078	Barclays Bank PLC		9/07/16		(14,027	)
CAD	692,694	USD	541,927	Barclays Bank PLC		9/07/16		(8,478	)
CAD	82,257	USD	64,354	Barclays Bank PLC		9/07/16		(1,007	)
CAD	821,140	USD	630,729	Barclays Bank PLC		9/07/16		1,637
CAD	28,790	USD	22,436	Citibank N.A.		9/07/16		(264	)
CAD	87,971	USD	68,553	Citibank N.A.		9/07/16		(807	)
CAD	175,941	USD	137,107	Citibank N.A.		9/07/16		(1,613	)
CAD	65,000	USD	50,166	Citibank N.A.		9/07/16		(109	)
CAD	1,540,000	USD	1,194,697	Citibank N.A.		9/07/16		(8,731	)
CAD	17,086	USD	13,307	Citibank N.A.		9/07/16		(149	)
CAD	46,195	USD	35,977	Citibank N.A.		9/07/16		(402	)
CAD	1,130,000	USD	883,424	Citibank N.A.		9/07/16		(13,202	)
CAD	280,000	USD	218,902	Citibank N.A.		9/07/16		(3,271	)
CAD	181,532	USD	142,048	Citibank N.A.		9/07/16		(2,248	)
CAD	21,557	USD	16,868	Citibank N.A.		9/07/16		(267	)
CAD	364,085	USD	285,463	Citibank N.A.		9/07/16		(5,078	)
CAD	113,551	USD	89,030	Citibank N.A.		9/07/16		(1,584	)
CAD	2,013,860	USD	1,547,795	Citibank N.A.		9/07/16		3,095
CAD	460,000	USD	353,119	Citibank N.A.		9/07/16		1,131
CAD	325,000	USD	249,486	Citibank N.A.		9/07/16		799
CAD	240,000	USD	184,236	Citibank N.A.		9/07/16		590
CAD	330,000	USD	253,324	Citibank N.A.		9/07/16		811
CAD	34,598	USD	26,624	Citibank N.A.		9/07/16		20
CAD	30,199	USD	23,591	Citibank N.A.		9/07/16		(334	)
CAD	400,000	USD	308,757	Citibank N.A.		9/07/16		(714	)
CAD	280,000	USD	216,130	Citibank N.A.		9/07/16		(500	)
CAD	110,000	USD	84,309	Credit Suisse International		9/07/16		403
CAD	30,000	USD	22,993	Credit Suisse International		9/07/16		110
CAD	151,210	USD	117,723	Deutsche Bank AG		9/07/16		(1,275	)
CAD	462,029	USD	359,710	Deutsche Bank AG		9/07/16		(3,897	)
CAD	924,059	USD	719,419	Deutsche Bank AG		9/07/16		(7,794	)
CAD	110,000	USD	84,528	Deutsche Bank AG		9/07/16		184
CAD	300,000	USD	234,737	Deutsche Bank AG		9/07/16		(3,705	)
CAD	360,000	USD	281,684	Deutsche Bank AG		9/07/16		(4,446	)
CAD	35,000	USD	26,895	Deutsche Bank AG		9/07/16		58
CAD	86,186	USD	67,251	Deutsche Bank AG		9/07/16		(879	)
CAD	725,773	USD	566,325	Deutsche Bank AG		9/07/16		(7,402	)
CAD	935,000	USD	733,707	Goldman Sachs International		9/07/16		(13,656	)
CAD	460,000	USD	352,975	Goldman Sachs International		9/07/16		1,274
CAD	325,000	USD	249,385	Goldman Sachs International		9/07/16		900
CAD	330,000	USD	253,221	Goldman Sachs International		9/07/16		914
CAD	240,000	USD	184,161	Goldman Sachs International		9/07/16		665
CAD	187,595	USD	144,415	Goldman Sachs International		9/07/16		54
CAD	252,914	USD	196,961	HSBC Bank PLC		9/07/16		(2,189	)
CAD	683,805	USD	532,523	HSBC Bank PLC		9/07/16		(5,919	)
CAD	926,585	USD	725,608	JPMorgan Chase Bank N.A.		9/07/16		(12,037	)
CAD	288,985	USD	226,303	JPMorgan Chase Bank N.A.		9/07/16		(3,754	)
CAD	5,755,000	USD	4,423,599	Morgan Stanley & Co. International PLC		9/07/16		8,371
CAD	40,000	USD	30,746	Morgan Stanley & Co. International PLC		9/07/16		58

See Notes to Financial Statements.



30	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	1,500,000	USD	1,152,980	Morgan Stanley & Co. International PLC		9/07/16	$	2,182
CAD	729,329	USD	570,944	Morgan Stanley & Co. International PLC		9/07/16		(9,282	)
CAD	227,464	USD	178,067	Morgan Stanley & Co. International PLC		9/07/16		(2,895	)
CAD	119,801	USD	93,585	Morgan Stanley & Co. International PLC		9/07/16		(1,325	)
CAD	2,120,000	USD	1,656,249	Royal Bank of Canada		9/07/16		(23,620	)
CAD	2,010,000	USD	1,570,311	Royal Bank of Canada		9/07/16		(22,395	)
CAD	6,080,000	USD	4,749,996	Royal Bank of Canada		9/07/16		(67,741	)
CHF	172,504	USD	177,440	Bank of America N.A.		9/07/16		274
CHF	140,000	USD	146,695	Barclays Bank PLC		9/07/16		(2,467	)
CHF	395,394	USD	405,499	Barclays Bank PLC		9/07/16		1,837
CHF	200,000	USD	207,693	Credit Suisse International		9/07/16		(1,653	)
CHF	210,000	USD	219,727	Credit Suisse International		9/07/16		(3,385	)
CHF	305,000	USD	319,161	Credit Suisse International		9/07/16		(4,949	)
CHF	335,000	USD	350,657	Credit Suisse International		9/07/16		(5,539	)
CHF	290,000	USD	304,891	Credit Suisse International		9/07/16		(6,132	)
CHF	270,000	USD	283,701	Credit Suisse International		9/07/16		(5,546	)
CHF	640,000	USD	660,311	Credit Suisse International		9/07/16		(981	)
CHF	640,000	USD	659,536	Credit Suisse International		9/07/16		(206	)
CHF	107,496	USD	110,301	Credit Suisse International		9/07/16		441
CHF	180,000	USD	187,468	Goldman Sachs International		9/07/16		(2,031	)
CHF	15,817	USD	16,219	HSBC Bank PLC		9/07/16		76
CHF	1,410,000	USD	1,464,609	JPMorgan Chase Bank N.A.		9/07/16		(12,024	)
CHF	8,789	USD	9,011	Morgan Stanley & Co. International PLC		9/07/16		43
CLP	282,000,000	USD	406,048	Bank of America N.A.		9/07/16		17,644
CLP	55,000,000	USD	79,194	Bank of America N.A.		9/07/16		3,441
CLP	186,000,000	USD	272,089	Bank of America N.A.		9/07/16		7,367
CLP	209,000,000	USD	307,082	Bank of America N.A.		9/07/16		6,930
CLP	103,000,000	USD	151,337	Bank of America N.A.		9/07/16		3,415
CLP	71,000,000	USD	102,779	BNP Paribas S.A.		9/07/16		3,895
CLP	207,000,000	USD	299,653	BNP Paribas S.A.		9/07/16		11,355
CLP	27,000,000	USD	39,782	BNP Paribas S.A.		9/07/16		784
CLP	338,000,000	USD	498,011	BNP Paribas S.A.		9/07/16		9,818
CLP	134,000,000	USD	197,436	BNP Paribas S.A.		9/07/16		3,892
CLP	251,000,000	USD	365,783	Citibank N.A.		9/07/16		11,333
CLP	338,000,000	USD	500,889	Citibank N.A.		9/07/16		6,939
CLP	27,000,000	USD	40,012	Citibank N.A.		9/07/16		554
CLP	134,000,000	USD	198,577	Citibank N.A.		9/07/16		2,751
CLP	120,000,000	USD	180,478	Credit Suisse International		9/07/16		(184	)
CLP	100,000,000	USD	148,280	Credit Suisse International		9/07/16		1,965
CLP	120,000,000	USD	173,599	Deutsche Bank AG		9/07/16		6,696
CLP	84,000,000	USD	122,708	Deutsche Bank AG		9/07/16		3,498
CLP	197,000,000	USD	287,780	Deutsche Bank AG		9/07/16		8,203
CLP	84,000,000	USD	122,708	Deutsche Bank AG		9/07/16		3,498
CLP	84,000,000	USD	122,708	Deutsche Bank AG		9/07/16		3,498
CLP	389,000,000	USD	574,849	HSBC Bank PLC		9/07/16		9,605
CLP	136,000,000	USD	196,163	HSBC Bank PLC		9/07/16		8,170
CLP	56,000,000	USD	81,124	HSBC Bank PLC		9/07/16		3,013
CLP	156,000,000	USD	228,237	HSBC Bank PLC		9/07/16		6,145
CLP	417,000,000	USD	610,095	HSBC Bank PLC		9/07/16		16,427
CLP	138,000,000	USD	203,750	HSBC Bank PLC		9/07/16		3,588
CLP	87,000,000	USD	128,451	HSBC Bank PLC		9/07/16		2,262
CLP	152,000,000	USD	224,420	HSBC Bank PLC		9/07/16		3,952
CLP	225,000,000	USD	338,261	HSBC Bank PLC		9/07/16		(210	)
CLP	76,000,000	USD	114,257	HSBC Bank PLC		9/07/16		(71	)
COP	1,180,000,000	USD	399,763	Bank of America N.A.		9/07/16		361
COP	3,745,000,000	USD	1,268,739	Bank of America N.A.		9/07/16		1,147
COP	1,180,000,000	USD	393,530	Deutsche Bank AG		9/07/16		6,594
COP	3,745,000,000	USD	1,248,958	Deutsche Bank AG		9/07/16		20,928
COP	1,260,000,000	USD	419,580	Goldman Sachs International		9/07/16		7,671
COP	450,000,000	USD	149,523	HSBC Bank PLC		9/07/16		3,067
COP	310,000,000	USD	103,004	HSBC Bank PLC		9/07/16		2,113
COP	370,000,000	USD	121,619	HSBC Bank PLC		9/07/16		3,843
COP	450,000,000	USD	150,316	HSBC Bank PLC		9/07/16		2,274
COP	230,000,000	USD	75,112	HSBC Bank PLC		9/07/16		2,878

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	31


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
COP	320,000,000	USD	104,504	HSBC Bank PLC		9/07/16	$	4,004
COP	650,000,000	USD	222,452	HSBC Bank PLC		9/07/16		(2,045	)
COP	230,000,000	USD	78,714	HSBC Bank PLC		9/07/16		(724	)
EUR	684,767	HUF	214,000,000	Bank of America N.A.		9/07/16		9,438
EUR	124,418	HUF	39,000,000	Bank of America N.A.		9/07/16		1,301
EUR	101,886	HUF	32,338,507	Bank of America N.A.		9/07/16		(347	)
EUR	650,337	HUF	204,670,000	Barclays Bank PLC		9/07/16		3,931
EUR	214,454	HUF	67,645,308	Barclays Bank PLC		9/07/16		756
EUR	272,855	HUF	86,000,000	Barclays Bank PLC		9/07/16		1,196
EUR	101,149	HUF	31,904,875	Barclays Bank PLC		9/07/16		359
EUR	320,076	HUF	102,203,527	Barclays Bank PLC		9/07/16		(3,241	)
EUR	217,306	HUF	69,073,049	Barclays Bank PLC		9/07/16		(1,093	)
EUR	770,423	HUF	244,763,350	Barclays Bank PLC		9/07/16		(3,438	)
EUR	166,690	HUF	53,105,000	Barclays Bank PLC		9/07/16		(1,264	)
EUR	384,156	HUF	120,905,566	BNP Paribas S.A.		9/07/16		2,301
EUR	524,243	HUF	165,220,983	Citibank N.A.		9/07/16		2,344
EUR	1,217,604	HUF	384,887,928	Citibank N.A.		9/07/16		1,410
EUR	303,439	HUF	95,725,279	Citibank N.A.		9/07/16		1,029
EUR	426,759	HUF	136,184,578	Citibank N.A.		9/07/16		(4,026	)
EUR	1,202,302	HUF	381,765,000	Citibank N.A.		9/07/16		(4,639	)
EUR	89,920	HUF	28,551,382	Citibank N.A.		9/07/16		(345	)
EUR	383,249	HUF	120,689,537	Credit Suisse International		9/07/16		2,050
EUR	514,526	HUF	162,288,831	Credit Suisse International		9/07/16		1,843
EUR	124,285	HUF	39,000,000	Credit Suisse International		9/07/16		1,153
EUR	569,042	HUF	179,745,921	Credit Suisse International		9/07/16		1,116
EUR	306,127	HUF	97,510,177	Credit Suisse International		9/07/16		(2,258	)
EUR	130,374	HUF	41,398,601	Credit Suisse International		9/07/16		(507	)
EUR	358,742	HUF	112,884,458	Credit Suisse International		9/07/16		2,228
EUR	254,740	HUF	80,779,776	Credit Suisse International		9/07/16		(605	)
EUR	504,075	HUF	158,767,813	Deutsche Bank AG		9/07/16		2,596
EUR	606,886	HUF	191,452,181	Deutsche Bank AG		9/07/16		2,061
EUR	533,474	HUF	169,996,718	Deutsche Bank AG		9/07/16		(4,182	)
EUR	105,483	HUF	33,209,976	Deutsche Bank AG		9/07/16		591
EUR	101,889	HUF	32,330,336	Deutsche Bank AG		9/07/16		(315	)
EUR	403,260	HUF	127,006,360	HSBC Bank PLC		9/07/16		2,104
EUR	405,890	HUF	128,366,151	HSBC Bank PLC		9/07/16		248
EUR	404,590	HUF	127,628,835	HSBC Bank PLC		9/07/16		1,395
EUR	19,880	PLN	87,721	Bank of America N.A.		9/07/16		25
EUR	2,553,503	PLN	11,150,000	Barclays Bank PLC		9/07/16		32,805
EUR	139,154	PLN	612,281	Barclays Bank PLC		9/07/16		613
EUR	244,562	PLN	1,085,000	Barclays Bank PLC		9/07/16		(1,171	)
EUR	335,930	PLN	1,500,000	Barclays Bank PLC		9/07/16		(4,038	)
EUR	258,301	PLN	1,150,000	Barclays Bank PLC		9/07/16		(2,256	)
EUR	87,132	PLN	390,000	Barclays Bank PLC		9/07/16		(1,283	)
EUR	195,020	PLN	859,396	BNP Paribas S.A.		9/07/16		532
EUR	383,672	PLN	1,690,801	Citibank N.A.		9/07/16		1,028
EUR	303,294	PLN	1,355,664	Citibank N.A.		9/07/16		(3,997	)
EUR	99,504	PLN	438,750	Credit Suisse International		9/07/16		205
EUR	613,597	PLN	2,739,419	Credit Suisse International		9/07/16		(7,270	)
EUR	315,292	PLN	1,390,604	Credit Suisse International		9/07/16		555
EUR	307,217	PLN	1,350,000	Credit Suisse International		9/07/16		1,799
EUR	46,984	PLN	210,000	Credit Suisse International		9/07/16		(616	)
EUR	149,761	PLN	665,000	Deutsche Bank AG		9/07/16		(864	)
EUR	112,956	PLN	500,000	Deutsche Bank AG		9/07/16		(256	)
EUR	49,965	PLN	220,448	HSBC Bank PLC		9/07/16		69
EUR	202,207	PLN	904,917	HSBC Bank PLC		9/07/16		(2,940	)
EUR	1,593,328	USD	1,817,763	Bank of America N.A.		9/07/16		(43,696	)
EUR	447,388	USD	510,406	Bank of America N.A.		9/07/16		(12,269	)
EUR	860,000	USD	974,853	Bank of America N.A.		9/07/16		(17,299	)
EUR	105,000	USD	119,765	Barclays Bank PLC		9/07/16		(2,855	)
EUR	835,000	USD	952,419	Barclays Bank PLC		9/07/16		(22,700	)
EUR	344,102	USD	392,204	Barclays Bank PLC		9/07/16		(9,069	)
EUR	340,000	USD	383,609	Barclays Bank PLC		9/07/16		(5,041	)
EUR	1,290,000	USD	1,432,525	Barclays Bank PLC		9/07/16		3,806

See Notes to Financial Statements.



32	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	122,612	USD	139,912	Citibank N.A.		9/07/16	$	(3,391	)
EUR	436,672	USD	498,282	Citibank N.A.		9/07/16		(12,076	)
EUR	340,000	USD	382,537	Citibank N.A.		9/07/16		(3,970	)
EUR	420,000	USD	474,046	Credit Suisse International		9/07/16		(6,403	)
EUR	420,000	USD	473,210	Credit Suisse International		9/07/16		(5,567	)
EUR	390,000	USD	439,181	Credit Suisse International		9/07/16		(4,941	)
EUR	160,000	USD	180,829	Credit Suisse International		9/07/16		(2,679	)
EUR	635,000	USD	701,554	Credit Suisse International		9/07/16		5,477
EUR	365,000	USD	403,256	Credit Suisse International		9/07/16		3,148
EUR	20,830	USD	23,218	Goldman Sachs International		9/07/16		(26	)
EUR	75,307	USD	83,942	Goldman Sachs International		9/07/16		(92	)
EUR	230,000	USD	262,229	HSBC Bank PLC		9/07/16		(6,139	)
EUR	30,000	USD	34,204	HSBC Bank PLC		9/07/16		(801	)
EUR	30,000	USD	34,167	HSBC Bank PLC		9/07/16		(763	)
EUR	255,000	USD	290,415	HSBC Bank PLC		9/07/16		(6,490	)
EUR	50,000	USD	57,022	HSBC Bank PLC		9/07/16		(1,350	)
EUR	380,000	USD	433,367	HSBC Bank PLC		9/07/16		(10,262	)
EUR	25,000	USD	28,441	HSBC Bank PLC		9/07/16		(605	)
EUR	200,000	USD	227,529	HSBC Bank PLC		9/07/16		(4,842	)
EUR	80,000	USD	91,145	HSBC Bank PLC		9/07/16		(2,070	)
EUR	630,000	USD	717,765	HSBC Bank PLC		9/07/16		(16,301	)
EUR	365,000	USD	403,195	HSBC Bank PLC		9/07/16		3,209
EUR	635,000	USD	701,448	HSBC Bank PLC		9/07/16		5,583
EUR	1,510,000	USD	1,676,328	HSBC Bank PLC		9/07/16		4,959
EUR	394,693	USD	439,936	Morgan Stanley & Co. International PLC		9/07/16		(472	)
EUR	109,170	USD	121,685	Morgan Stanley & Co. International PLC		9/07/16		(130	)
HUF	12,960,212	EUR	41,607	Bank of America N.A.		9/07/16		(723	)
HUF	194,275,000	EUR	622,263	Barclays Bank PLC		9/07/16		(9,251	)
HUF	12,211,100	EUR	39,188	Barclays Bank PLC		9/07/16		(666	)
HUF	12,673,530	EUR	40,500	Barclays Bank PLC		9/07/16		(500	)
HUF	368,920,000	EUR	1,159,561	Barclays Bank PLC		9/07/16		7,030
HUF	32,080,000	EUR	100,944	Barclays Bank PLC		9/07/16		486
HUF	61,350,000	EUR	196,416	BNP Paribas S.A.		9/07/16		(2,823	)
HUF	61,500,000	EUR	197,533	BNP Paribas S.A.		9/07/16		(3,539	)
HUF	52,000,000	EUR	164,870	BNP Paribas S.A.		9/07/16		(599	)
HUF	61,026,402	EUR	195,947	Citibank N.A.		9/07/16		(3,439	)
HUF	40,896,618	EUR	130,871	Citibank N.A.		9/07/16		(1,812	)
HUF	107,749,399	EUR	344,241	Citibank N.A.		9/07/16		(4,151	)
HUF	61,500,000	EUR	197,388	Credit Suisse International		9/07/16		(3,377	)
HUF	27,103,382	EUR	86,729	Credit Suisse International		9/07/16		(1,198	)
HUF	237,561,292	EUR	758,674	Credit Suisse International		9/07/16		(8,823	)
HUF	52,000,000	EUR	164,792	Deutsche Bank AG		9/07/16		(511	)
HUF	67,177,287	EUR	215,542	HSBC Bank PLC		9/07/16		(3,614	)
HUF	19,015,779	EUR	60,748	HSBC Bank PLC		9/07/16		(728	)
HUF	1,133,000,000	EUR	3,637,006	Morgan Stanley & Co. International PLC		9/07/16		(62,861	)
HUF	358,198	USD	1,314	Bank of America N.A.		9/07/16		(54	)
HUF	424,000,000	USD	1,551,242	Barclays Bank PLC		9/07/16		(59,305	)
HUF	53,000,000	USD	193,631	Barclays Bank PLC		9/07/16		(7,139	)
HUF	91,000,000	USD	326,542	Barclays Bank PLC		9/07/16		(6,338	)
HUF	37,395,000	USD	133,483	Barclays Bank PLC		9/07/16		(1,901	)
HUF	50,880,000	USD	181,618	Barclays Bank PLC		9/07/16		(2,586	)
HUF	110,000,000	USD	394,721	Barclays Bank PLC		9/07/16		(7,662	)
HUF	52,000,000	USD	190,344	BNP Paribas S.A.		9/07/16		(7,370	)
HUF	53,000,000	USD	191,834	BNP Paribas S.A.		9/07/16		(5,342	)
HUF	55,000,000	USD	199,502	BNP Paribas S.A.		9/07/16		(5,972	)
HUF	86,000,000	USD	299,497	BNP Paribas S.A.		9/07/16		3,113
HUF	50,000,000	USD	174,126	BNP Paribas S.A.		9/07/16		1,810
HUF	51,000,000	USD	178,372	Citibank N.A.		9/07/16		1,083
HUF	147,000,000	USD	514,130	Citibank N.A.		9/07/16		3,122
HUF	163,000,000	USD	570,090	Citibank N.A.		9/07/16		3,462
HUF	4,241,965	USD	15,562	Credit Suisse International		9/07/16		(635	)
HUF	22,166,194	USD	80,434	Credit Suisse International		9/07/16		(2,438	)
HUF	22,957,843	USD	83,307	Credit Suisse International		9/07/16		(2,525	)
HUF	15,955,574	USD	57,026	Credit Suisse International		9/07/16		(882	)

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	33


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
HUF	11,725,757	USD	41,908	Credit Suisse International		9/07/16	$	(648	)
HUF	79,073,240	USD	285,287	Credit Suisse International		9/07/16		(7,051	)
HUF	36,241,902	USD	130,757	Credit Suisse International		9/07/16		(3,232	)
HUF	33,000,000	USD	118,968	Credit Suisse International		9/07/16		(2,850	)
HUF	56,000,000	USD	200,338	Deutsche Bank AG		9/07/16		(3,290	)
HUF	1,944,468	USD	7,035	HSBC Bank PLC		9/07/16		(193	)
HUF	2,013,913	USD	7,287	HSBC Bank PLC		9/07/16		(200	)
HUF	22,399,837	USD	82,068	JPMorgan Chase Bank N.A.		9/07/16		(3,249	)
HUF	4,028,243	USD	14,621	JPMorgan Chase Bank N.A.		9/07/16		(446	)
HUF	3,889,338	USD	14,116	JPMorgan Chase Bank N.A.		9/07/16		(431	)
HUF	40,926,760	USD	147,865	JPMorgan Chase Bank N.A.		9/07/16		(3,856	)
HUF	18,758,098	USD	67,772	JPMorgan Chase Bank N.A.		9/07/16		(1,767	)
HUF	11,879,243	USD	42,482	JPMorgan Chase Bank N.A.		9/07/16		(683	)
HUF	16,164,426	USD	57,807	JPMorgan Chase Bank N.A.		9/07/16		(929	)
HUF	32,000,000	USD	112,405	JPMorgan Chase Bank N.A.		9/07/16		194
IDR	477,813,694	USD	35,564	Barclays Bank PLC		9/07/16		200
IDR	1,254,980,547	USD	93,410	Barclays Bank PLC		9/07/16		526
IDR	3,070,000,000	USD	227,380	Barclays Bank PLC		9/07/16		2,411
IDR	1,853,046,705	USD	138,429	Citibank N.A.		9/07/16		272
IDR	705,517,782	USD	52,705	Citibank N.A.		9/07/16		104
IDR	3,150,000,000	USD	235,778	Citibank N.A.		9/07/16		1
IDR	2,905,000,000	USD	217,440	Citibank N.A.		9/07/16		1
IDR	6,160,000,000	USD	454,948	Deutsche Bank AG		9/07/16		6,131
IDR	2,630,081,368	USD	197,305	Deutsche Bank AG		9/07/16		(443	)
IDR	1,017,875,646	USD	76,360	Deutsche Bank AG		9/07/16		(171	)
IDR	476,668,524	USD	35,564	HSBC Bank PLC		9/07/16		115
IDR	1,251,972,748	USD	93,410	HSBC Bank PLC		9/07/16		301
IDR	2,200,000,000	USD	163,484	HSBC Bank PLC		9/07/16		1,187
IDR	1,007,284,595	USD	74,647	HSBC Bank PLC		9/07/16		749
IDR	912,428,199	USD	67,617	HSBC Bank PLC		9/07/16		678
IDR	1,430,000,000	USD	105,652	HSBC Bank PLC		9/07/16		1,384
IDR	1,590,000,000	USD	118,568	HSBC Bank PLC		9/07/16		444
IDR	1,960,000,000	USD	146,160	HSBC Bank PLC		9/07/16		547
IDR	2,960,000,000	USD	220,743	HSBC Bank PLC		9/07/16		814
IDR	1,310,000,000	USD	97,694	HSBC Bank PLC		9/07/16		360
IDR	2,940,000,000	USD	217,472	HSBC Bank PLC		9/07/16		2,589
IDR	1,219,918,632	USD	91,332	HSBC Bank PLC		9/07/16		(20	)
IDR	472,124,354	USD	35,347	HSBC Bank PLC		9/07/16		(8	)
IDR	2,090,000,000	USD	157,285	HSBC Bank PLC		9/07/16		(847	)
IDR	1,222,715,405	USD	90,741	Morgan Stanley & Co. International PLC		9/07/16		780
IDR	1,107,571,801	USD	82,196	Morgan Stanley & Co. International PLC		9/07/16		706
IDR	1,030,000,000	USD	77,410	Morgan Stanley & Co. International PLC		9/07/16		(314	)
IDR	2,550,000,000	USD	191,647	Morgan Stanley & Co. International PLC		9/07/16		(778	)
IDR	3,150,000,000	USD	235,075	Nomura International PLC		9/07/16		704
IDR	2,905,000,000	USD	216,791	Nomura International PLC		9/07/16		650
IDR	5,330,000,000	USD	394,085	UBS AG		9/07/16		4,868
IDR	2,980,000,000	USD	220,333	UBS AG		9/07/16		2,722
IDR	1,590,000,000	USD	118,879	UBS AG		9/07/16		134
IDR	6,750,000,000	USD	504,673	UBS AG		9/07/16		568
IDR	4,570,000,000	USD	345,036	UBS AG		9/07/16		(2,969	)
ILS	44,781	USD	11,605	Bank of America N.A.		9/07/16		39
ILS	31,002	USD	8,034	Bank of America N.A.		9/07/16		27
ILS	17,922	USD	4,634	Bank of America N.A.		9/07/16		25
ILS	512,556	USD	132,543	Bank of America N.A.		9/07/16		728
ILS	273,648	USD	70,963	Bank of America N.A.		9/07/16		189
ILS	93,070	USD	24,119	Barclays Bank PLC		9/07/16		81
ILS	64,433	USD	16,698	Barclays Bank PLC		9/07/16		56
ILS	232,869	USD	60,298	Citibank N.A.		9/07/16		251
ILS	161,217	USD	41,745	Citibank N.A.		9/07/16		173
ILS	1,150,000	USD	297,342	Citibank N.A.		9/07/16		1,672
ILS	1,050,000	USD	271,486	Citibank N.A.		9/07/16		1,526
ILS	300,000	USD	77,638	Citibank N.A.		9/07/16		366
ILS	1,550,000	USD	401,128	Citibank N.A.		9/07/16		1,890
ILS	109,296	USD	28,389	Citibank N.A.		9/07/16		30

See Notes to Financial Statements.



34	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
ILS	81,972	USD	21,292	Citibank N.A.		9/07/16	$	22
ILS	150,283	USD	39,035	Citibank N.A.		9/07/16		41
ILS	1,150,000	USD	298,077	Credit Suisse International		9/07/16		937
ILS	2,000,000	USD	517,466	Credit Suisse International		9/07/16		2,557
ILS	108,429	USD	28,174	Credit Suisse International		9/07/16		19
ILS	144,572	USD	37,565	Credit Suisse International		9/07/16		25
ILS	198,787	USD	51,652	Credit Suisse International		9/07/16		34
ILS	950,499	USD	246,003	Credit Suisse International		9/07/16		1,138
ILS	232,078	USD	59,943	Credit Suisse International		9/07/16		400
ILS	750,000	USD	196,137	Credit Suisse International		9/07/16		(1,128	)
ILS	6,637,444	USD	1,714,373	Credit Suisse International		9/07/16		11,441
ILS	550,000	USD	143,681	Deutsche Bank AG		9/07/16		(674	)
ILS	700,000	USD	181,473	Deutsche Bank AG		9/07/16		535
ILS	46,534	USD	12,059	Goldman Sachs International		9/07/16		40
ILS	32,216	USD	8,349	Goldman Sachs International		9/07/16		28
ILS	109,362	USD	28,406	Goldman Sachs International		9/07/16		29
ILS	1,500,000	USD	386,445	Goldman Sachs International		9/07/16		3,573
ILS	450,000	USD	115,933	Goldman Sachs International		9/07/16		1,072
ILS	82,022	USD	21,305	Goldman Sachs International		9/07/16		22
ILS	150,373	USD	39,059	Goldman Sachs International		9/07/16		40
ILS	400,000	USD	104,319	HSBC Bank PLC		9/07/16		(314	)
ILS	799,501	USD	206,869	HSBC Bank PLC		9/07/16		1,011
ILS	163,781	USD	42,589	HSBC Bank PLC		9/07/16		(4	)
ILS	218,375	USD	56,785	HSBC Bank PLC		9/07/16		(5	)
ILS	300,265	USD	78,079	HSBC Bank PLC		9/07/16		(7	)
ILS	138,177	USD	35,856	HSBC Bank PLC		9/07/16		72
ILS	161,132	USD	41,744	JPMorgan Chase Bank N.A.		9/07/16		152
ILS	232,746	USD	60,297	JPMorgan Chase Bank N.A.		9/07/16		220
ILS	138,175	USD	35,856	JPMorgan Chase Bank N.A.		9/07/16		72
ILS	4,050,000	USD	1,062,637	Morgan Stanley & Co. International PLC		9/07/16		(9,589	)
ILS	300,293	USD	78,075	Morgan Stanley & Co. International PLC		9/07/16		4
ILS	163,796	USD	42,586	Morgan Stanley & Co. International PLC		9/07/16		2
ILS	218,395	USD	56,782	Morgan Stanley & Co. International PLC		9/07/16		3
INR	7,260,000	USD	106,522	Barclays Bank PLC		9/07/16		(143	)
INR	4,720,000	USD	69,254	Barclays Bank PLC		9/07/16		(93	)
INR	9,466,565	USD	137,760	Barclays Bank PLC		9/07/16		952
INR	85,569,520	USD	1,245,227	Barclays Bank PLC		9/07/16		8,604
INR	10,824,812	USD	157,525	Barclays Bank PLC		9/07/16		1,088
INR	13,100,000	USD	190,202	Barclays Bank PLC		9/07/16		1,749
INR	39,000,000	USD	566,251	Barclays Bank PLC		9/07/16		5,207
INR	653,222	USD	9,577	BNP Paribas S.A.		9/07/16		(5	)
INR	1,274,579	USD	18,686	BNP Paribas S.A.		9/07/16		(10	)
INR	701,019	USD	10,277	BNP Paribas S.A.		9/07/16		(5	)
INR	188,700,000	USD	2,789,769	Citibank N.A.		9/07/16		(24,791	)
INR	101,600,000	USD	1,502,070	Citibank N.A.		9/07/16		(13,348	)
INR	4,598,512	USD	67,988	Citibank N.A.		9/07/16		(607	)
INR	26,637,307	USD	393,826	Citibank N.A.		9/07/16		(3,515	)
INR	4,649,620	USD	68,450	Citibank N.A.		9/07/16		(320	)
INR	20,657,092	USD	304,107	Citibank N.A.		9/07/16		(1,423	)
INR	10,190,540	USD	148,852	Citibank N.A.		9/07/16		468
INR	11,500,000	USD	167,321	Citibank N.A.		9/07/16		1,185
INR	13,150,000	USD	191,328	Citibank N.A.		9/07/16		1,356
INR	103,950,000	USD	1,512,440	Citibank N.A.		9/07/16		10,716
INR	680,514	USD	9,897	Citibank N.A.		9/07/16		74
INR	6,151,257	USD	89,461	Citibank N.A.		9/07/16		672
INR	778,153	USD	11,317	Citibank N.A.		9/07/16		85
INR	33,301,212	USD	492,282	HSBC Bank PLC		9/07/16		(4,327	)
INR	5,748,930	USD	84,985	HSBC Bank PLC		9/07/16		(747	)
INR	10,800,000	USD	160,132	HSBC Bank PLC		9/07/16		(1,882	)
INR	9,600,000	USD	142,340	HSBC Bank PLC		9/07/16		(1,673	)
INR	14,600,000	USD	216,553	HSBC Bank PLC		9/07/16		(2,622	)
INR	21,600,000	USD	317,755	HSBC Bank PLC		9/07/16		(1,255	)
INR	7,400,000	USD	108,982	HSBC Bank PLC		9/07/16		(552	)

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	35


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
INR	36,000,000	USD	526,905	HSBC Bank PLC		9/07/16	$	595
INR	29,900,000	USD	437,624	HSBC Bank PLC		9/07/16		494
INR	8,450,380	USD	124,328	HSBC Bank PLC		9/07/16		(507	)
INR	37,542,908	USD	552,359	HSBC Bank PLC		9/07/16		(2,251	)
INR	44,300,000	USD	657,075	HSBC Bank PLC		9/07/16		(7,957	)
INR	22,309,460	USD	325,795	HSBC Bank PLC		9/07/16		1,101
INR	13,400,000	USD	195,675	HSBC Bank PLC		9/07/16		672
INR	38,725,421	USD	567,489	HSBC Bank PLC		9/07/16		(54	)
INR	19,846,778	USD	290,838	HSBC Bank PLC		9/07/16		(28	)
INR	21,298,981	USD	312,119	HSBC Bank PLC		9/07/16		(30	)
INR	3,152,557	USD	46,629	Morgan Stanley & Co. International PLC		9/07/16		(435	)
INR	18,261,481	USD	270,100	Morgan Stanley & Co. International PLC		9/07/16		(2,519	)
INR	7,480,000	USD	109,694	Morgan Stanley & Co. International PLC		9/07/16		(91	)
INR	4,860,000	USD	71,271	Morgan Stanley & Co. International PLC		9/07/16		(59	)
INR	1,547,035	USD	22,504	Morgan Stanley & Co. International PLC		9/07/16		165
INR	1,352,920	USD	19,680	Morgan Stanley & Co. International PLC		9/07/16		144
INR	12,229,223	USD	177,890	Morgan Stanley & Co. International PLC		9/07/16		1,302
INR	7,260,000	USD	106,538	Nomura International PLC		9/07/16		(158	)
INR	4,720,000	USD	69,264	Nomura International PLC		9/07/16		(103	)
INR	7,900,000	USD	115,989	UBS AG		9/07/16		(232	)
INR	13,800,000	USD	202,613	UBS AG		9/07/16		(405	)
INR	17,800,000	USD	260,691	UBS AG		9/07/16		128
INR	11,400,000	USD	166,960	UBS AG		9/07/16		82
INR	20,450,000	USD	299,502	UBS AG		9/07/16		147
INR	17,800,000	USD	260,749	Westpac Banking Corp.		9/07/16		71
INR	20,450,000	USD	299,568	Westpac Banking Corp.		9/07/16		81
INR	11,400,000	USD	166,996	Westpac Banking Corp.		9/07/16		45
JPY	58,000,000	USD	557,853	Bank of America N.A.		9/07/16		8,626
JPY	32,000,000	USD	303,187	Barclays Bank PLC		9/07/16		9,353
JPY	46,000,000	USD	433,410	Citibank N.A.		9/07/16		15,867
JPY	78,000,000	USD	730,626	Citibank N.A.		9/07/16		31,191
JPY	23,000,000	USD	224,325	Citibank N.A.		9/07/16		313
JPY	68,000,000	USD	633,571	Credit Suisse International		9/07/16		30,578
JPY	38,000,000	USD	364,736	Credit Suisse International		9/07/16		6,406
JPY	16,000,000	USD	152,989	Credit Suisse International		9/07/16		3,281
JPY	30,000,000	USD	295,977	Credit Suisse International		9/07/16		(2,970	)
JPY	31,000,000	USD	304,130	Credit Suisse International		9/07/16		(1,357	)
JPY	30,000,000	USD	296,187	Credit Suisse International		9/07/16		(3,180	)
JPY	23,000,000	USD	220,837	HSBC Bank PLC		9/07/16		3,801
KRW	154,668,250	USD	133,707	Bank of America N.A.		9/07/16		477
KRW	501,970,380	USD	433,941	Bank of America N.A.		9/07/16		1,549
KRW	52,575,451	USD	45,450	Bank of America N.A.		9/07/16		162
KRW	17,942,936	USD	15,476	Barclays Bank PLC		9/07/16		90
KRW	13,104,662	USD	11,363	Barclays Bank PLC		9/07/16		7
KRW	125,118,320	USD	108,485	Barclays Bank PLC		9/07/16		62
KRW	38,551,740	USD	33,427	Barclays Bank PLC		9/07/16		19
KRW	171,312,319	USD	147,763	Barclays Bank PLC		9/07/16		861
KRW	133,924,681	USD	114,426	Barclays Bank PLC		9/07/16		1,761
KRW	285,000,000	USD	244,174	Barclays Bank PLC		9/07/16		3,081
KRW	357,500,000	USD	306,289	Barclays Bank PLC		9/07/16		3,864
KRW	13,259,867	USD	11,308	Barclays Bank PLC		9/07/16		196
KRW	13,138,181	USD	11,225	Barclays Bank PLC		9/07/16		173
KRW	135,165,098	USD	115,270	Barclays Bank PLC		9/07/16		1,994
KRW	305,000,000	USD	265,610	Barclays Bank PLC		9/07/16		(1,004	)
KRW	388,223,668	USD	331,338	Citibank N.A.		9/07/16		5,470
KRW	38,085,233	USD	32,505	Citibank N.A.		9/07/16		537
KRW	116,250,000	USD	98,928	Deutsche Bank AG		9/07/16		1,926
KRW	298,750,000	USD	254,234	Deutsche Bank AG		9/07/16		4,950
KRW	227,800,000	USD	193,297	Deutsche Bank AG		9/07/16		4,334
KRW	200,000,000	USD	170,496	Deutsche Bank AG		9/07/16		3,016
KRW	2,820,000,000	USD	2,403,990	Deutsche Bank AG		9/07/16		42,532
KRW	260,898,060	USD	225,124	HSBC Bank PLC		9/07/16		1,221
KRW	830,752,364	USD	719,869	HSBC Bank PLC		9/07/16		860
KRW	255,973,299	USD	221,808	HSBC Bank PLC		9/07/16		265

See Notes to Financial Statements.



36	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
KRW	3,035,000,000	USD	2,623,503	HSBC Bank PLC		9/07/16	$	9,544
KRW	1,420,000,000	USD	1,227,471	HSBC Bank PLC		9/07/16		4,465
KRW	87,011,470	USD	75,398	HSBC Bank PLC		9/07/16		90
KRW	26,276,586	USD	22,451	HSBC Bank PLC		9/07/16		346
KRW	267,851,651	USD	228,853	HSBC Bank PLC		9/07/16		3,525
KRW	116,250,000	USD	98,978	HSBC Bank PLC		9/07/16		1,876
KRW	298,750,000	USD	254,364	HSBC Bank PLC		9/07/16		4,820
KRW	112,200,000	USD	95,351	HSBC Bank PLC		9/07/16		1,989
KRW	64,240,133	USD	54,825	HSBC Bank PLC		9/07/16		907
KRW	654,834,902	USD	558,862	HSBC Bank PLC		9/07/16		9,248
KRW	180,000,000	USD	156,087	HSBC Bank PLC		9/07/16		74
KRW	305,000,000	USD	264,642	HSBC Bank PLC		9/07/16		(36	)
KRW	1,175,000,000	USD	1,015,909	HSBC Bank PLC		9/07/16		3,475
KRW	254,101,940	USD	219,541	Morgan Stanley & Co. International PLC		9/07/16		908
KRW	375,846,617	USD	325,456	Morgan Stanley & Co. International PLC		9/07/16		614
KRW	39,365,481	USD	34,088	Morgan Stanley & Co. International PLC		9/07/16		64
KRW	115,806,711	USD	100,280	Morgan Stanley & Co. International PLC		9/07/16		189
KRW	137,500,000	USD	118,996	Morgan Stanley & Co. International PLC		9/07/16		294
KRW	225,000,000	USD	191,099	Morgan Stanley & Co. International PLC		9/07/16		4,102
KRW	1,510,000,000	USD	1,282,487	Morgan Stanley & Co. International PLC		9/07/16		27,530
KRW	116,250,000	USD	99,189	Morgan Stanley & Co. International PLC		9/07/16		1,665
KRW	298,750,000	USD	254,906	Morgan Stanley & Co. International PLC		9/07/16		4,278
KRW	272,500,000	USD	230,463	Morgan Stanley & Co. International PLC		9/07/16		5,947
KRW	136,250,000	USD	115,100	Standard Chartered Bank		9/07/16		3,105
KRW	285,000,000	USD	243,986	UBS AG		9/07/16		3,269
KRW	357,500,000	USD	306,053	UBS AG		9/07/16		4,100
KRW	116,250,000	USD	99,088	UBS AG		9/07/16		1,766
KRW	298,750,000	USD	254,645	UBS AG		9/07/16		4,538
KRW	137,500,000	USD	119,099	UBS AG		9/07/16		190
KRW	136,250,000	USD	114,955	UBS AG		9/07/16		3,251
MXN	6,400,000	USD	349,870	Bank of America N.A.		9/07/16		(5,120	)
MXN	7,500,000	USD	401,654	BNP Paribas S.A.		9/07/16		2,351
MXN	1,500,000	USD	80,331	BNP Paribas S.A.		9/07/16		470
MXN	5,200,000	USD	277,333	Citibank N.A.		9/07/16		2,776
MXN	55,600,000	USD	2,970,292	Citibank N.A.		9/07/16		24,726
MXN	29,600,000	USD	1,581,306	Citibank N.A.		9/07/16		13,163
MXN	24,200,000	USD	1,292,825	Citibank N.A.		9/07/16		10,762
MXN	23,900,000	USD	1,276,798	Citibank N.A.		9/07/16		10,628
MXN	15,700,000	USD	845,783	Citibank N.A.		9/07/16		(68	)
MXN	3,800,000	USD	202,811	Citibank N.A.		9/07/16		1,884
MXN	5,043,168	USD	269,340	Citibank N.A.		9/07/16		2,322
MXN	4,356,832	USD	231,743	Citibank N.A.		9/07/16		2,947
MXN	6,800,000	USD	354,418	Citibank N.A.		9/07/16		11,879
MXN	1,300,000	USD	70,705	Citibank N.A.		9/07/16		(677	)
MXN	55,600,000	USD	2,987,481	Deutsche Bank AG		9/07/16		7,537
MXN	24,200,000	USD	1,300,306	Deutsche Bank AG		9/07/16		3,280
MXN	23,900,000	USD	1,284,187	Deutsche Bank AG		9/07/16		3,240
MXN	29,600,000	USD	1,590,457	Deutsche Bank AG		9/07/16		4,012
MXN	2,300,000	USD	122,477	Deutsche Bank AG		9/07/16		1,418
MXN	1,888,139	USD	100,218	Goldman Sachs International		9/07/16		1,490
MXN	3,600,000	USD	188,541	Morgan Stanley & Co. International PLC		9/07/16		5,381
MXN	13,300,000	USD	696,554	Morgan Stanley & Co. International PLC		9/07/16		19,880
MXN	3,611,861	USD	192,156	Morgan Stanley & Co. International PLC		9/07/16		2,405
MXN	7,000,000	USD	367,995	UBS AG		9/07/16		9,076
MYR	333,281	USD	82,503	Bank of America N.A.		9/07/16		(182	)
MYR	92,247	USD	22,836	Bank of America N.A.		9/07/16		(50	)
MYR	288,658	USD	71,023	Bank of America N.A.		9/07/16		276
MYR	96,219	USD	23,674	Bank of America N.A.		9/07/16		92
MYR	243,177	USD	59,834	Barclays Bank PLC		9/07/16		230
MYR	665,187	USD	165,006	Barclays Bank PLC		9/07/16		(704	)
MYR	184,114	USD	45,671	Barclays Bank PLC		9/07/16		(195	)
MYR	120,000	USD	29,283	Barclays Bank PLC		9/07/16		357
MYR	570,000	USD	139,092	Barclays Bank PLC		9/07/16		1,698
MYR	60,000	USD	14,641	Barclays Bank PLC		9/07/16		179

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	37


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
MYR	664,578	USD	165,006	Citibank N.A.		9/07/16	$	(855	)
MYR	183,946	USD	45,671	Citibank N.A.		9/07/16		(237	)
MYR	570,000	USD	138,804	Deutsche Bank AG		9/07/16		1,986
MYR	60,000	USD	14,611	Deutsche Bank AG		9/07/16		209
MYR	120,000	USD	29,222	Deutsche Bank AG		9/07/16		418
MYR	900,000	USD	218,659	Deutsche Bank AG		9/07/16		3,641
MYR	275,000	USD	66,667	Deutsche Bank AG		9/07/16		1,258
MYR	1,000,000	USD	242,424	Deutsche Bank AG		9/07/16		4,576
MYR	375,000	USD	90,909	Deutsche Bank AG		9/07/16		1,716
MYR	450,000	USD	109,091	Deutsche Bank AG		9/07/16		2,059
MYR	1,550,000	USD	384,778	Deutsche Bank AG		9/07/16		(1,928	)
MYR	450,000	USD	111,710	Deutsche Bank AG		9/07/16		(560	)
MYR	161,983	USD	39,890	Goldman Sachs International		9/07/16		120
MYR	611,730	USD	150,336	Goldman Sachs International		9/07/16		762
MYR	169,318	USD	41,611	Goldman Sachs International		9/07/16		211
MYR	6,800,000	USD	1,672,405	HSBC Bank PLC		9/07/16		7,195
MYR	2,662,234	USD	660,021	HSBC Bank PLC		9/07/16		(2,449	)
MYR	736,868	USD	182,684	HSBC Bank PLC		9/07/16		(678	)
MYR	192,367	USD	47,348	HSBC Bank PLC		9/07/16		166
MYR	577,102	USD	142,045	HSBC Bank PLC		9/07/16		499
MYR	180,000	USD	43,828	HSBC Bank PLC		9/07/16		632
MYR	90,000	USD	21,914	HSBC Bank PLC		9/07/16		316
MYR	855,000	USD	208,181	HSBC Bank PLC		9/07/16		3,004
MYR	1,300,000	USD	321,782	HSBC Bank PLC		9/07/16		(682	)
MYR	135,000	USD	33,186	HSBC Bank PLC		9/07/16		159
MYR	2,175,000	USD	534,661	HSBC Bank PLC		9/07/16		2,564
MYR	1,399	USD	344	JPMorgan Chase Bank N.A.		9/07/16		2
MYR	243,441	USD	59,834	Morgan Stanley & Co. International PLC		9/07/16		296
MYR	183,506	USD	45,402	Morgan Stanley & Co. International PLC		9/07/16		(76	)
MYR	662,989	USD	164,035	Morgan Stanley & Co. International PLC		9/07/16		(276	)
MYR	634,240	USD	155,965	Morgan Stanley & Co. International PLC		9/07/16		692
MYR	211,413	USD	51,988	Morgan Stanley & Co. International PLC		9/07/16		231
MYR	855,000	USD	208,283	Morgan Stanley & Co. International PLC		9/07/16		2,902
MYR	180,000	USD	43,849	Morgan Stanley & Co. International PLC		9/07/16		611
MYR	90,000	USD	21,924	Morgan Stanley & Co. International PLC		9/07/16		306
MYR	1,150,000	USD	279,601	Morgan Stanley & Co. International PLC		9/07/16		4,449
MYR	1,300,000	USD	316,071	Morgan Stanley & Co. International PLC		9/07/16		5,029
MYR	850,000	USD	206,662	Morgan Stanley & Co. International PLC		9/07/16		3,288
MYR	140,000	USD	34,457	Morgan Stanley & Co. International PLC		9/07/16		123
MYR	2,175,000	USD	535,319	Morgan Stanley & Co. International PLC		9/07/16		1,906
MYR	900,000	USD	223,881	Morgan Stanley & Co. International PLC		9/07/16		(1,581	)
MYR	2,350,000	USD	578,604	UBS AG		9/07/16		1,846
MYR	400,000	USD	97,371	UBS AG		9/07/16		1,429
MYR	275,000	USD	67,485	UBS AG		9/07/16		440
MYR	4,350,000	USD	1,067,485	UBS AG		9/07/16		6,965
MYR	450,000	USD	109,436	UBS AG		9/07/16		1,714
MYR	375,000	USD	91,197	UBS AG		9/07/16		1,428
MYR	1,000,000	USD	243,191	UBS AG		9/07/16		3,809
MYR	275,000	USD	66,877	UBS AG		9/07/16		1,048
NOK	1,121,232	USD	137,478	Bank of America N.A.		9/07/16		(3,507	)
NOK	1,400,000	USD	165,249	Citibank N.A.		9/07/16		2,031
NOK	4,713,871	USD	577,017	Credit Suisse International		9/07/16		(13,776	)
NOK	1,869,387	USD	224,126	Credit Suisse International		9/07/16		(761	)
NOK	10,800,000	USD	1,293,930	Credit Suisse International		9/07/16		(3,484	)
NOK	1,800,000	USD	215,655	Credit Suisse International		9/07/16		(581	)
NOK	3,942,384	USD	477,055	Credit Suisse International		9/07/16		(5,996	)
NOK	2,000,000	USD	241,854	Credit Suisse International		9/07/16		(2,882	)
NOK	4,698,361	USD	552,657	Credit Suisse International		9/07/16		8,730
NOK	4,800,000	USD	569,972	Credit Suisse International		9/07/16		3,559
NOK	4,400,000	USD	524,780	Credit Suisse International		9/07/16		957
NOK	5,800,000	USD	691,755	Credit Suisse International		9/07/16		1,262
NOK	11,000,000	USD	1,306,186	Credit Suisse International		9/07/16		8,157
NOK	2,500,000	USD	298,170	Credit Suisse International		9/07/16		544

See Notes to Financial Statements.



38	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
NOK	1,600,000	USD	193,155	Deutsche Bank AG		9/07/16	$	(1,977	)
NOK	7,500,000	USD	905,412	Deutsche Bank AG		9/07/16		(9,269	)
NOK	630,613	USD	75,533	JPMorgan Chase Bank N.A.		9/07/16		(184	)
NOK	3,464,896	USD	425,016	JPMorgan Chase Bank N.A.		9/07/16		(11,010	)
NOK	957,616	USD	115,703	JPMorgan Chase Bank N.A.		9/07/16		(1,282	)
NOK	4,501,639	USD	525,531	JPMorgan Chase Bank N.A.		9/07/16		12,350
NOK	4,000,000	USD	489,902	UBS AG		9/07/16		(11,959	)
NOK	31,400,000	USD	3,858,669	UBS AG		9/07/16		(106,818	)
NOK	14,400,000	USD	1,769,581	UBS AG		9/07/16		(48,986	)
NOK	42,600,000	USD	5,235,010	UBS AG		9/07/16		(144,918	)
NOK	800,000	USD	97,074	UBS AG		9/07/16		(1,485	)
NZD	135,356	USD	96,413	BNP Paribas S.A.		9/07/16		(324	)
NZD	630,000	USD	446,996	Citibank N.A.		9/07/16		238
NZD	146,161	USD	102,509	Credit Suisse International		9/07/16		1,251
NZD	230,000	USD	164,199	Credit Suisse International		9/07/16		(923	)
NZD	240,000	USD	171,696	Credit Suisse International		9/07/16		(1,321	)
NZD	484,644	USD	345,209	Credit Suisse International		9/07/16		(1,163	)
NZD	730,641	USD	513,392	Goldman Sachs International		9/07/16		5,286
NZD	355,953	USD	250,114	Goldman Sachs International		9/07/16		2,575
NZD	390,441	USD	276,479	Goldman Sachs International		9/07/16		693
NZD	3,540,000	USD	2,453,227	HSBC Bank PLC		9/07/16		59,802
NZD	439,359	USD	308,750	HSBC Bank PLC		9/07/16		3,149
NZD	214,047	USD	150,417	HSBC Bank PLC		9/07/16		1,534
NZD	130,000	USD	93,031	HSBC Bank PLC		9/07/16		(745	)
NZD	270,000	USD	191,407	JPMorgan Chase Bank N.A.		9/07/16		265
NZD	730,000	USD	517,596	JPMorgan Chase Bank N.A.		9/07/16		628
NZD	140,000	USD	100,405	JPMorgan Chase Bank N.A.		9/07/16		(1,020	)
NZD	189,559	USD	134,333	JPMorgan Chase Bank N.A.		9/07/16		234
NZD	420,000	USD	290,756	Morgan Stanley & Co. International PLC		9/07/16		7,400
NZD	160,000	USD	110,764	Morgan Stanley & Co. International PLC		9/07/16		2,819
NZD	470,000	USD	331,740	Morgan Stanley & Co. International PLC		9/07/16		1,911
NZD	863,839	USD	606,138	UBS AG		9/07/16		7,097
NZD	640,000	USD	451,456	UBS AG		9/07/16		2,877
NZD	360,000	USD	255,751	Westpac Banking Corp.		9/07/16		(189	)
NZD	230,000	USD	164,352	Westpac Banking Corp.		9/07/16		(1,076	)
PHP	5,756,371	USD	124,975	Barclays Bank PLC		9/07/16		(2,979	)
PHP	4,309,763	USD	93,568	Barclays Bank PLC		9/07/16		(2,231	)
PHP	2,635,730	USD	57,278	Citibank N.A.		9/07/16		(1,419	)
PHP	3,520,434	USD	76,504	Citibank N.A.		9/07/16		(1,895	)
PHP	80,300,000	USD	1,736,780	Deutsche Bank AG		9/07/16		(34,962	)
PHP	13,400,000	USD	289,824	Deutsche Bank AG		9/07/16		(5,834	)
PHP	10,900,000	USD	231,079	Goldman Sachs International		9/07/16		(73	)
PHP	7,614,612	USD	164,516	HSBC Bank PLC		9/07/16		(3,138	)
PHP	13,900,000	USD	300,022	HSBC Bank PLC		9/07/16		(5,435	)
PHP	10,100,000	USD	216,831	HSBC Bank PLC		9/07/16		(2,779	)
PHP	12,154,093	USD	262,593	HSBC Bank PLC		9/07/16		(5,008	)
PHP	10,400,000	USD	223,993	HSBC Bank PLC		9/07/16		(3,583	)
PHP	9,400,000	USD	202,455	HSBC Bank PLC		9/07/16		(3,239	)
PHP	4,100,000	USD	88,210	HSBC Bank PLC		9/07/16		(1,318	)
PHP	4,500,000	USD	96,382	HSBC Bank PLC		9/07/16		(1,013	)
PHP	2,154,507	USD	46,784	Morgan Stanley & Co. International PLC		9/07/16		(1,123	)
PHP	2,877,685	USD	62,488	Morgan Stanley & Co. International PLC		9/07/16		(1,500	)
PHP	4,545,510	USD	98,409	Morgan Stanley & Co. International PLC		9/07/16		(2,075	)
PHP	17,000,000	USD	365,985	Morgan Stanley & Co. International PLC		9/07/16		(5,700	)
PHP	4,445,907	USD	96,043	Morgan Stanley & Co. International PLC		9/07/16		(1,819	)
PHP	2,785,388	USD	60,171	Morgan Stanley & Co. International PLC		9/07/16		(1,140	)
PHP	29,000,000	USD	621,917	Standard Chartered Bank		9/07/16		(7,313	)
PHP	8,600,000	USD	186,026	UBS AG		9/07/16		(3,764	)
PHP	15,100,000	USD	326,981	UBS AG		9/07/16		(6,963	)
PLN	511,311	EUR	116,906	Bank of America N.A.		9/07/16		(1,291	)
PLN	385,000	EUR	87,922	Barclays Bank PLC		9/07/16		(857	)
PLN	1,642,594	EUR	375,646	Barclays Bank PLC		9/07/16		(4,242	)
PLN	170,891	EUR	39,156	Barclays Bank PLC		9/07/16		(524	)
PLN	570,000	EUR	130,517	Barclays Bank PLC		9/07/16		(1,653	)

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	39


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
PLN	85,082	EUR	19,610	Barclays Bank PLC		9/07/16	$	(390	)
PLN	3,400,000	EUR	782,231	Barclays Bank PLC		9/07/16		(13,995	)
PLN	2,500,000	EUR	563,243	Barclays Bank PLC		9/07/16		2,990
PLN	1,788,965	EUR	409,170	Citibank N.A.		9/07/16		(4,676	)
PLN	426,598	EUR	97,887	Citibank N.A.		9/07/16		(1,467	)
PLN	463,883	EUR	106,836	Citibank N.A.		9/07/16		(2,034	)
PLN	682,629	EUR	156,483	Credit Suisse International		9/07/16		(2,177	)
PLN	595,835	EUR	137,196	Credit Suisse International		9/07/16		(2,579	)
PLN	1,789,613	EUR	408,994	Credit Suisse International		9/07/16		(4,317	)
PLN	50,000	EUR	11,239	Credit Suisse International		9/07/16		89
PLN	1,320,000	EUR	302,191	Deutsche Bank AG		9/07/16		(3,764	)
PLN	852,517	EUR	194,844	HSBC Bank PLC		9/07/16		(2,069	)
PLN	1,430,000	EUR	326,536	HSBC Bank PLC		9/07/16		(3,145	)
PLN	85,082	EUR	19,610	HSBC Bank PLC		9/07/16		(389	)
PLN	350,000	USD	91,169	Barclays Bank PLC		9/07/16		(2,952	)
PLN	550,000	USD	142,616	Barclays Bank PLC		9/07/16		(3,989	)
PLN	1,005,000	USD	254,914	Barclays Bank PLC		9/07/16		(1,604	)
PLN	70,349	USD	17,847	Barclays Bank PLC		9/07/16		(116	)
PLN	971,109	USD	245,090	Barclays Bank PLC		9/07/16		(322	)
PLN	850,000	USD	214,794	Barclays Bank PLC		9/07/16		(551	)
PLN	350,000	USD	88,444	Barclays Bank PLC		9/07/16		(227	)
PLN	55,409	USD	13,969	Barclays Bank PLC		9/07/16		(3	)
PLN	1,950,000	USD	486,359	Barclays Bank PLC		9/07/16		5,138
PLN	225,000	USD	56,317	Barclays Bank PLC		9/07/16		394
PLN	265,000	USD	68,642	BNP Paribas S.A.		9/07/16		(1,849	)
PLN	1,350,000	USD	334,838	BNP Paribas S.A.		9/07/16		5,429
PLN	166,463	USD	42,109	Credit Suisse International		9/07/16		(152	)
PLN	505,000	USD	129,945	Credit Suisse International		9/07/16		(2,659	)
PLN	175,000	USD	43,784	Credit Suisse International		9/07/16		325
PLN	299,612	USD	75,161	Credit Suisse International		9/07/16		356
PLN	185,000	USD	48,128	Credit Suisse International		9/07/16		(1,499	)
PLN	703,542	USD	178,467	Deutsche Bank AG		9/07/16		(1,139	)
PLN	1,750,000	USD	443,551	Deutsche Bank AG		9/07/16		(2,464	)
PLN	695,000	USD	178,553	Deutsche Bank AG		9/07/16		(3,379	)
PLN	10,200,000	USD	2,660,372	JPMorgan Chase Bank N.A.		9/07/16		(89,465	)
PLN	2,250,000	USD	586,847	JPMorgan Chase Bank N.A.		9/07/16		(19,735	)
PLN	10,850,000	USD	2,829,906	JPMorgan Chase Bank N.A.		9/07/16		(95,166	)
PLN	178,128	USD	44,914	JPMorgan Chase Bank N.A.		9/07/16		(17	)
PLN	83,657	USD	20,987	JPMorgan Chase Bank N.A.		9/07/16		99
PLN	16,731	USD	4,197	UBS AG		9/07/16		20
RON	1,200,000	USD	298,144	BNP Paribas S.A.		9/07/16		(3,063	)
RON	1,550,000	USD	384,558	BNP Paribas S.A.		9/07/16		(3,412	)
RON	400,000	USD	99,927	BNP Paribas S.A.		9/07/16		(1,567	)
RON	600,000	USD	149,730	BNP Paribas S.A.		9/07/16		(2,190	)
RON	1,200,000	USD	302,016	BNP Paribas S.A.		9/07/16		(6,935	)
RON	1,200,000	USD	298,589	BNP Paribas S.A.		9/07/16		(3,508	)
RON	3,200,000	USD	782,913	BNP Paribas S.A.		9/07/16		3,970
RUB	4,950,000	USD	74,069	Barclays Bank PLC		9/07/16		2,151
RUB	9,700,000	USD	149,110	Barclays Bank PLC		9/07/16		249
RUB	3,982,952	USD	60,464	Barclays Bank PLC		9/07/16		865
RUB	5,167,073	USD	78,440	Barclays Bank PLC		9/07/16		1,122
RUB	7,062,514	USD	105,568	Barclays Bank PLC		9/07/16		3,179
RUB	30,700,000	USD	455,080	Barclays Bank PLC		9/07/16		17,634
RUB	8,000,000	USD	121,052	Barclays Bank PLC		9/07/16		2,131
RUB	6,081,247	USD	92,270	Barclays Bank PLC		9/07/16		1,368
RUB	11,000,000	USD	163,569	Citibank N.A.		9/07/16		5,807
RUB	9,200,000	USD	136,803	Citibank N.A.		9/07/16		4,857
RUB	9,700,000	USD	146,216	Citibank N.A.		9/07/16		3,142
RUB	9,232,927	USD	140,378	Goldman Sachs International		9/07/16		1,789
RUB	7,117,048	USD	108,208	Goldman Sachs International		9/07/16		1,379
RUB	1,418,753	USD	21,527	Goldman Sachs International		9/07/16		319
RUB	50,100,000	USD	751,293	HSBC Bank PLC		9/07/16		20,138
RUB	241,900,000	USD	3,627,502	HSBC Bank PLC		9/07/16		97,232
RUB	12,600,000	USD	188,425	JPMorgan Chase Bank N.A.		9/07/16		5,587

See Notes to Financial Statements.



40	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
RUB	7,500,000	USD	113,602	JPMorgan Chase Bank N.A.		9/07/16	$	1,882
RUB	8,237,486	USD	123,288	Morgan Stanley & Co. International PLC		9/07/16		3,552
RUB	4,950,000	USD	74,246	UBS AG		9/07/16		1,973
SEK	1,410,000	USD	174,167	Citibank N.A.		9/07/16		(7,295	)
SEK	425,000	USD	52,497	Citibank N.A.		9/07/16		(2,199	)
SEK	5,550,000	USD	669,402	Citibank N.A.		9/07/16		(12,563	)
SEK	5,550,000	USD	671,527	Citibank N.A.		9/07/16		(14,688	)
SEK	3,100,000	USD	374,046	Citibank N.A.		9/07/16		(7,163	)
SEK	2,600,000	USD	307,598	Citibank N.A.		9/07/16		111
SEK	900,000	USD	106,476	Citibank N.A.		9/07/16		38
SEK	1,590,000	USD	196,664	Credit Suisse International		9/07/16		(8,488	)
SEK	475,000	USD	58,752	Credit Suisse International		9/07/16		(2,536	)
SEK	9,900,000	USD	1,192,610	Credit Suisse International		9/07/16		(20,951	)
SEK	100,000	USD	12,207	Credit Suisse International		9/07/16		(372	)
SEK	2,900,000	USD	353,990	Credit Suisse International		9/07/16		(10,777	)
SEK	2,800,000	USD	339,465	Credit Suisse International		9/07/16		(8,086	)
SEK	2,600,000	USD	317,202	Credit Suisse International		9/07/16		(9,494	)
SEK	1,500,000	USD	183,001	Credit Suisse International		9/07/16		(5,477	)
SEK	1,200,000	USD	146,401	Credit Suisse International		9/07/16		(4,382	)
SEK	2,700,000	USD	333,744	Deutsche Bank AG		9/07/16		(14,201	)
SEK	1,700,000	USD	200,199	Deutsche Bank AG		9/07/16		995
SEK	15,100,000	USD	1,778,237	Deutsche Bank AG		9/07/16		8,839
SEK	9,600,000	USD	1,130,535	Deutsche Bank AG		9/07/16		5,619
SEK	5,100,000	USD	601,189	Deutsche Bank AG		9/07/16		2,393
SGD	84,164	USD	62,442	Bank of America N.A.		9/07/16		64
SGD	468,913	USD	347,892	Bank of America N.A.		9/07/16		358
SGD	236,563	USD	174,371	Bank of America N.A.		9/07/16		1,319
SGD	680,000	USD	501,004	Bank of America N.A.		9/07/16		4,015
SGD	1,294,539	USD	961,000	Bank of America N.A.		9/07/16		421
SGD	42,151	USD	31,222	Barclays Bank PLC		9/07/16		82
SGD	234,843	USD	173,953	Barclays Bank PLC		9/07/16		459
SGD	130,000	USD	96,828	Barclays Bank PLC		9/07/16		(280	)
SGD	149,974	USD	111,308	Citibank N.A.		9/07/16		73
SGD	26,918	USD	19,978	Citibank N.A.		9/07/16		13
SGD	463,437	USD	341,479	Citibank N.A.		9/07/16		2,703
SGD	59,826	USD	43,995	Citibank N.A.		9/07/16		436
SGD	122,762	USD	90,465	Citibank N.A.		9/07/16		707
SGD	312,399	USD	231,236	Citibank N.A.		9/07/16		774
SGD	745,789	USD	553,273	Citibank N.A.		9/07/16		606
SGD	390,000	USD	287,887	Credit Suisse International		9/07/16		1,756
SGD	1,280,000	USD	944,860	Credit Suisse International		9/07/16		5,763
SGD	217,412	USD	159,786	Credit Suisse International		9/07/16		1,680
SGD	455,461	USD	337,942	Credit Suisse International		9/07/16		317
SGD	340,000	USD	250,608	Goldman Sachs International		9/07/16		1,901
SGD	310,000	USD	228,496	Goldman Sachs International		9/07/16		1,733
SGD	321,812	USD	238,500	Goldman Sachs International		9/07/16		502
SGD	126,767	USD	93,703	Morgan Stanley & Co. International PLC		9/07/16		444
SGD	706,271	USD	522,058	Morgan Stanley & Co. International PLC		9/07/16		2,471
SGD	1,310,000	USD	966,718	Westpac Banking Corp.		9/07/16		6,185
SGD	890,000	USD	656,778	Westpac Banking Corp.		9/07/16		4,202
SGD	660,000	USD	491,437	Westpac Banking Corp.		9/07/16		(1,272	)
THB	129,200,000	USD	3,664,728	Bank of America N.A.		9/07/16		7,828
THB	7,700,000	USD	218,409	Bank of America N.A.		9/07/16		467
THB	63,800,000	USD	1,809,672	Bank of America N.A.		9/07/16		3,866
THB	16,885,000	USD	479,143	Bank of America N.A.		9/07/16		819
THB	8,315,000	USD	235,753	Barclays Bank PLC		9/07/16		604
THB	15,900,000	USD	451,192	Barclays Bank PLC		9/07/16		771
THB	3,900,000	USD	110,733	Barclays Bank PLC		9/07/16		126
THB	6,900,000	USD	195,800	Barclays Bank PLC		9/07/16		335
THB	8,100,000	USD	229,267	Citibank N.A.		9/07/16		979
THB	13,800,000	USD	390,603	Citibank N.A.		9/07/16		1,667
THB	7,800,000	USD	220,308	Citibank N.A.		9/07/16		1,410
THB	11,800,000	USD	334,088	Deutsche Bank AG		9/07/16		1,331
THB	4,600,000	USD	130,571	Goldman Sachs International		9/07/16		186

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	41


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
THB	8,600,000	USD	244,110	Goldman Sachs International		9/07/16	$	348
THB	26,900,000	USD	761,500	Goldman Sachs International		9/07/16		3,142
THB	13,800,000	USD	390,824	Goldman Sachs International		9/07/16		1,446
THB	8,100,000	USD	229,397	Goldman Sachs International		9/07/16		849
THB	11,550,000	USD	327,892	Goldman Sachs International		9/07/16		421
THB	3,850,000	USD	109,297	Goldman Sachs International		9/07/16		140
THB	11,400,000	USD	324,278	Goldman Sachs International		9/07/16		(229	)
THB	7,800,000	USD	220,464	HSBC Bank PLC		9/07/16		1,254
THB	11,550,000	USD	328,032	JPMorgan Chase Bank N.A.		9/07/16		281
THB	3,850,000	USD	109,344	JPMorgan Chase Bank N.A.		9/07/16		94
TRY	1,070,000	USD	361,078	Bank of America N.A.		9/07/16		5,213
TRY	377,941	USD	126,639	Barclays Bank PLC		9/07/16		2,741
TRY	650,555	USD	217,985	Barclays Bank PLC		9/07/16		4,718
TRY	890,000	USD	298,204	Barclays Bank PLC		9/07/16		6,467
TRY	195,000	USD	65,957	Barclays Bank PLC		9/07/16		796
TRY	540,000	USD	182,651	Barclays Bank PLC		9/07/16		2,206
TRY	2,000,000	USD	676,487	Barclays Bank PLC		9/07/16		8,169
TRY	401,430	USD	135,810	Barclays Bank PLC		9/07/16		1,611
TRY	1,476,687	USD	499,586	Barclays Bank PLC		9/07/16		5,925
TRY	139,784	USD	47,291	Barclays Bank PLC		9/07/16		561
TRY	623,799	USD	208,946	Barclays Bank PLC		9/07/16		4,597
TRY	512,074	USD	173,057	Citibank N.A.		9/07/16		2,240
TRY	399,445	USD	133,316	Citibank N.A.		9/07/16		3,425
TRY	232,059	USD	77,450	Citibank N.A.		9/07/16		1,990
TRY	676,201	USD	225,998	Citibank N.A.		9/07/16		5,485
TRY	190,000	USD	64,215	Citibank N.A.		9/07/16		827
TRY	2,000,000	USD	675,950	Citibank N.A.		9/07/16		8,706
TRY	540,000	USD	182,506	Citibank N.A.		9/07/16		2,351
TRY	158,570	USD	53,646	Citibank N.A.		9/07/16		637
TRY	55,217	USD	18,680	Citibank N.A.		9/07/16		222
TRY	583,313	USD	197,339	Citibank N.A.		9/07/16		2,345
TRY	960,000	USD	327,466	Citibank N.A.		9/07/16		1,169
TRY	87,926	USD	29,777	Deutsche Bank AG		9/07/16		322
TRY	1,380,000	USD	461,980	Deutsche Bank AG		9/07/16		10,433
TRY	713,970	USD	242,726	Deutsche Bank AG		9/07/16		1,686
TRY	742,964	USD	252,583	Deutsche Bank AG		9/07/16		1,754
TRY	1,256,030	USD	426,713	HSBC Bank PLC		9/07/16		3,261
TRY	1,307,036	USD	444,042	HSBC Bank PLC		9/07/16		3,394
TRY	350,000	USD	117,137	JPMorgan Chase Bank N.A.		9/07/16		2,678
TRY	310,000	USD	105,460	JPMorgan Chase Bank N.A.		9/07/16		662
TRY	1,256,112	USD	424,700	Morgan Stanley & Co. International PLC		9/07/16		5,302
TRY	231,974	USD	78,432	Morgan Stanley & Co. International PLC		9/07/16		979
TRY	1,923,888	USD	652,252	Morgan Stanley & Co. International PLC		9/07/16		6,349
TRY	358,026	USD	121,381	Morgan Stanley & Co. International PLC		9/07/16		1,181
TRY	355,000	USD	120,388	Morgan Stanley & Co. International PLC		9/07/16		1,138
TRY	350,000	USD	118,692	Morgan Stanley & Co. International PLC		9/07/16		1,122
TRY	355,000	USD	120,388	Morgan Stanley & Co. International PLC		9/07/16		1,138
TRY	350,000	USD	118,692	Morgan Stanley & Co. International PLC		9/07/16		1,122
TWD	2,345,000	USD	72,477	Bank of America N.A.		9/07/16		319
TWD	2,400,000	USD	73,914	Barclays Bank PLC		9/07/16		589
TWD	4,500,000	USD	139,975	Citibank N.A.		9/07/16		(281	)
TWD	501,370	USD	15,508	Citibank N.A.		9/07/16		56
TWD	1,287,302	USD	39,819	Citibank N.A.		9/07/16		143
TWD	1,964,830	USD	60,776	Citibank N.A.		9/07/16		218
TWD	5,604,314	USD	174,716	Citibank N.A.		9/07/16		(740	)
TWD	1,742,518	USD	54,323	Citibank N.A.		9/07/16		(230	)
TWD	12,250,000	USD	384,374	Citibank N.A.		9/07/16		(4,096	)
TWD	3,550,000	USD	111,390	Citibank N.A.		9/07/16		(1,187	)
TWD	6,150,000	USD	191,589	Goldman Sachs International		9/07/16		(674	)
TWD	6,600,000	USD	203,641	Goldman Sachs International		9/07/16		1,243
TWD	12,250,000	USD	383,532	Goldman Sachs International		9/07/16		(3,254	)
TWD	2,345,000	USD	72,522	Goldman Sachs International		9/07/16		274
TWD	1,984,998	USD	61,577	Goldman Sachs International		9/07/16		43
TWD	2,606,947	USD	80,881	Goldman Sachs International		9/07/16		47

See Notes to Financial Statements.



42	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
TWD	3,550,000	USD	111,146	Goldman Sachs International		9/07/16	$	(943	)
TWD	12,200,000	USD	379,888	HSBC Bank PLC		9/07/16		(1,163	)
TWD	10,700,000	USD	331,588	HSBC Bank PLC		9/07/16		573
TWD	5,000,000	USD	154,947	HSBC Bank PLC		9/07/16		268
TWD	6,410,434	USD	197,911	HSBC Bank PLC		9/07/16		1,089
TWD	8,814,347	USD	272,128	HSBC Bank PLC		9/07/16		1,497
TWD	12,535,170	USD	387,517	HSBC Bank PLC		9/07/16		1,613
TWD	8,212,698	USD	253,891	HSBC Bank PLC		9/07/16		1,057
TWD	3,198,630	USD	98,884	HSBC Bank PLC		9/07/16		412
TWD	11,800,000	USD	365,212	HSBC Bank PLC		9/07/16		1,096
TWD	6,295,686	USD	196,078	HSBC Bank PLC		9/07/16		(641	)
TWD	1,957,482	USD	60,966	HSBC Bank PLC		9/07/16		(199	)
TWD	2,410,000	USD	74,452	HSBC Bank PLC		9/07/16		362
TWD	5,900,000	USD	183,818	HSBC Bank PLC		9/07/16		(664	)
TWD	7,200,000	USD	224,320	HSBC Bank PLC		9/07/16		(810	)
TWD	7,000,000	USD	217,122	HSBC Bank PLC		9/07/16		180
TWD	1,085,653	USD	33,526	Morgan Stanley & Co. International PLC		9/07/16		176
TWD	789,566	USD	24,383	Morgan Stanley & Co. International PLC		9/07/16		128
TWD	4,700,000	USD	145,963	Morgan Stanley & Co. International PLC		9/07/16		(60	)
TWD	7,500,000	USD	232,919	Morgan Stanley & Co. International PLC		9/07/16		(96	)
TWD	2,400,000	USD	73,750	Morgan Stanley & Co. International PLC		9/07/16		753
TWD	2,608,055	USD	80,881	Morgan Stanley & Co. International PLC		9/07/16		81
TWD	6,150,000	USD	191,350	UBS AG		9/07/16		(435	)
TWD	10,400,000	USD	320,839	UBS AG		9/07/16		2,009
TWD	19,400,000	USD	598,488	UBS AG		9/07/16		3,747
TWD	3,700,000	USD	114,145	UBS AG		9/07/16		715
TWD	49,700,000	USD	1,547,925	Westpac Banking Corp.		9/07/16		(5,084	)
TWD	30,300,000	USD	943,705	Westpac Banking Corp.		9/07/16		(3,099	)
USD	644,835	AUD	875,000	Bank of America N.A.		9/07/16		(5,180	)
USD	294,782	AUD	400,000	Bank of America N.A.		9/07/16		(2,368	)
USD	255,777	AUD	346,873	Bank of America N.A.		9/07/16		(1,906	)
USD	116,927	AUD	158,571	Bank of America N.A.		9/07/16		(871	)
USD	437,533	AUD	590,000	Bank of America N.A.		9/07/16		(762	)
USD	1,438,669	AUD	1,940,000	Bank of America N.A.		9/07/16		(2,506	)
USD	2,632,616	AUD	3,550,000	Bank of America N.A.		9/07/16		(4,586	)
USD	64,226	AUD	87,085	Barclays Bank PLC		9/07/16		(467	)
USD	178,163	AUD	241,429	Barclays Bank PLC		9/07/16		(1,189	)
USD	389,731	AUD	528,127	Barclays Bank PLC		9/07/16		(2,600	)
USD	852,161	AUD	1,148,032	Barclays Bank PLC		9/07/16		(682	)
USD	31,682	AUD	42,915	Citibank N.A.		9/07/16		(199	)
USD	446,190	AUD	600,000	Citibank N.A.		9/07/16		466
USD	1,383,755	AUD	1,880,000	Citibank N.A.		9/07/16		(12,847	)
USD	892,380	AUD	1,200,000	Citibank N.A.		9/07/16		931
USD	120,836	AUD	162,867	Credit Suisse International		9/07/16		(154	)
USD	190,354	AUD	255,000	Credit Suisse International		9/07/16		921
USD	52,254	AUD	70,000	Credit Suisse International		9/07/16		253
USD	67,311	AUD	90,000	Credit Suisse International		9/07/16		452
USD	134,892	AUD	180,000	Credit Suisse International		9/07/16		1,175
USD	67,446	AUD	90,000	Credit Suisse International		9/07/16		587
USD	2,023,328	AUD	2,740,000	Credit Suisse International		9/07/16		(12,146	)
USD	649,828	AUD	880,000	Credit Suisse International		9/07/16		(3,901	)
USD	127,143	AUD	170,000	Credit Suisse International		9/07/16		854
USD	267,598	AUD	362,985	Credit Suisse International		9/07/16		(2,054	)
USD	278,748	AUD	378,109	Credit Suisse International		9/07/16		(2,139	)
USD	283,325	AUD	383,964	Goldman Sachs International		9/07/16		(1,912	)
USD	222,525	AUD	300,000	HSBC Bank PLC		9/07/16		(337	)
USD	133,515	AUD	180,000	HSBC Bank PLC		9/07/16		(202	)
USD	1,398,729	AUD	1,886,968	JPMorgan Chase Bank N.A.		9/07/16		(3,051	)
USD	94,260	AUD	127,133	Morgan Stanley & Co. International PLC		9/07/16		(184	)
USD	4,565,059	AUD	6,165,000	Morgan Stanley & Co. International PLC		9/07/16		(14,757	)
USD	584,979	AUD	790,000	Morgan Stanley & Co. International PLC		9/07/16		(1,891	)
USD	458,549	AUD	621,891	Morgan Stanley & Co. International PLC		9/07/16		(3,437	)
USD	440,207	AUD	597,015	Morgan Stanley & Co. International PLC		9/07/16		(3,299	)
USD	720,431	AUD	976,036	UBS AG		9/07/16		(4,641	)

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	43


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	331,833	AUD	450,000	Westpac Banking Corp.		9/07/16	$	(2,460	)
USD	199,100	AUD	270,000	Westpac Banking Corp.		9/07/16		(1,476	)
USD	52,071	AUD	70,000	Westpac Banking Corp.		9/07/16		70
USD	189,686	AUD	255,000	Westpac Banking Corp.		9/07/16		254
USD	127,260	AUD	170,000	Westpac Banking Corp.		9/07/16		971
USD	67,373	AUD	90,000	Westpac Banking Corp.		9/07/16		514
USD	1,227,007	AUD	1,630,000	Westpac Banking Corp.		9/07/16		16,123
USD	2,302,408	AUD	3,140,000	Westpac Banking Corp.		9/07/16		(30,215	)
USD	289,593	CAD	376,067	Bank of America N.A.		9/07/16		(19	)
USD	439,382	CAD	570,585	Bank of America N.A.		9/07/16		(30	)
USD	128,708	CAD	164,515	Barclays Bank PLC		9/07/16		2,014
USD	665,764	CAD	847,774	BNP Paribas S.A.		9/07/16		12,887
USD	457,200	CAD	582,226	Citibank N.A.		9/07/16		8,823
USD	139,473	CAD	179,084	Citibank N.A.		9/07/16		1,559
USD	99,279	CAD	126,916	Citibank N.A.		9/07/16		1,540
USD	1,988,774	CAD	2,542,407	Citibank N.A.		9/07/16		30,847
USD	1,663,259	CAD	2,124,975	Citibank N.A.		9/07/16		26,800
USD	83,029	CAD	106,078	Citibank N.A.		9/07/16		1,338
USD	88,073	CAD	112,744	Citibank N.A.		9/07/16		1,248
USD	813,063	CAD	1,040,000	Citibank N.A.		9/07/16		12,151
USD	146,971	CAD	187,450	Citibank N.A.		9/07/16		2,614
USD	111,309	CAD	145,000	Citibank N.A.		9/07/16		(356	)
USD	195,241	CAD	253,718	Citibank N.A.		9/07/16		(149	)
USD	128,682	CAD	167,223	Citibank N.A.		9/07/16		(98	)
USD	50,166	CAD	65,000	Citibank N.A.		9/07/16		109
USD	1,254,143	CAD	1,625,000	Citibank N.A.		9/07/16		2,717
USD	2,389,394	CAD	3,080,000	Citibank N.A.		9/07/16		17,462
USD	33,736	CAD	43,114	Citibank N.A.		9/07/16		534
USD	316,476	CAD	410,000	Citibank N.A.		9/07/16		732
USD	620,823	CAD	810,000	Credit Suisse International		9/07/16		(2,964	)
USD	22,993	CAD	30,000	Credit Suisse International		9/07/16		(110	)
USD	203,439	CAD	260,000	Deutsche Bank AG		9/07/16		3,211
USD	626,278	CAD	815,000	Deutsche Bank AG		9/07/16		(1,360	)
USD	26,895	CAD	35,000	Deutsche Bank AG		9/07/16		(58	)
USD	134,502	CAD	172,371	Deutsche Bank AG		9/07/16		1,758
USD	111,264	CAD	145,000	Goldman Sachs International		9/07/16		(402	)
USD	698,005	CAD	906,710	Goldman Sachs International		9/07/16		(259	)
USD	1,059,043	CAD	1,375,698	Goldman Sachs International		9/07/16		(393	)
USD	149,411	CAD	190,000	HSBC Bank PLC		9/07/16		3,090
USD	2,064,438	CAD	2,650,916	HSBC Bank PLC		9/07/16		22,947
USD	373,580	CAD	477,054	JPMorgan Chase Bank N.A.		9/07/16		6,197
USD	659,638	CAD	840,000	Morgan Stanley & Co. International PLC		9/07/16		12,747
USD	290,555	CAD	370,000	Morgan Stanley & Co. International PLC		9/07/16		5,615
USD	60,210	CAD	77,007	Morgan Stanley & Co. International PLC		9/07/16		906
USD	1,206,134	CAD	1,542,618	Morgan Stanley & Co. International PLC		9/07/16		18,152
USD	2,316,585	CAD	2,950,000	Morgan Stanley & Co. International PLC		9/07/16		44,768
USD	349,383	CAD	447,256	Morgan Stanley & Co. International PLC		9/07/16		4,948
USD	392,013	CAD	510,000	Morgan Stanley & Co. International PLC		9/07/16		(742	)
USD	293,951	CAD	375,496	Morgan Stanley & Co. International PLC		9/07/16		4,779
USD	3,398,435	CAD	4,350,000	Royal Bank of Canada		9/07/16		48,466
USD	2,648,435	CAD	3,390,000	Royal Bank of Canada		9/07/16		37,770
USD	468,552	CHF	448,017	Barclays Bank PLC		9/07/16		7,003
USD	228,872	CHF	220,000	Citibank N.A.		9/07/16		2,228
USD	374,501	CHF	360,000	Credit Suisse International		9/07/16		3,628
USD	145,627	CHF	140,000	Credit Suisse International		9/07/16		1,399
USD	375,132	CHF	360,000	Credit Suisse International		9/07/16		4,259
USD	886,925	CHF	865,000	Credit Suisse International		9/07/16		(4,201	)
USD	220,194	CHF	215,000	Deutsche Bank AG		9/07/16		(1,299	)
USD	218,791	CHF	210,000	Morgan Stanley & Co. International PLC		9/07/16		2,448
USD	54,372	CHF	51,983	Morgan Stanley & Co. International PLC		9/07/16		819
USD	1,128,830	CLP	764,500,000	Bank of America N.A.		9/07/16		(19,794	)
USD	552,233	CLP	374,000,000	Bank of America N.A.		9/07/16		(9,684	)
USD	582,503	CLP	394,500,000	Bank of America N.A.		9/07/16		(10,214	)
USD	155,931	CLP	107,000,000	Citibank N.A.		9/07/16		(4,831	)

See Notes to Financial Statements.



44	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	94,899	CLP	64,000,000	Credit Suisse International		9/07/16	$	(1,258	)
USD	610,618	CLP	406,000,000	Credit Suisse International		9/07/16		623
USD	156,239	CLP	108,000,000	Deutsche Bank AG		9/07/16		(6,026	)
USD	576,291	CLP	394,500,000	Goldman Sachs International		9/07/16		(16,426	)
USD	546,344	CLP	374,000,000	Goldman Sachs International		9/07/16		(15,572	)
USD	1,116,792	CLP	764,500,000	Goldman Sachs International		9/07/16		(31,832	)
USD	220,186	CLP	149,000,000	HSBC Bank PLC		9/07/16		(3,679	)
USD	242,240	CLP	167,000,000	HSBC Bank PLC		9/07/16		(8,670	)
USD	335,074	CLP	231,000,000	HSBC Bank PLC		9/07/16		(11,992	)
USD	602,637	CLP	416,000,000	HSBC Bank PLC		9/07/16		(22,383	)
USD	147,332	CLP	98,000,000	HSBC Bank PLC		9/07/16		91
USD	327,011	COP	1,000,000,000	Credit Suisse International		9/07/16		(12,077	)
USD	663,833	COP	2,030,000,000	Credit Suisse International		9/07/16		(24,517	)
USD	31,066	COP	95,000,000	Credit Suisse International		9/07/16		(1,147	)
USD	176,759	COP	540,000,000	Credit Suisse International		9/07/16		(6,348	)
USD	116,086	COP	350,000,000	Deutsche Bank AG		9/07/16		(2,595	)
USD	22,618	COP	68,985,325	Deutsche Bank AG		9/07/16		(774	)
USD	238,086	COP	726,161,316	Deutsche Bank AG		9/07/16		(8,147	)
USD	483,314	COP	1,474,107,472	Deutsche Bank AG		9/07/16		(16,539	)
USD	71,170	COP	210,236,207	Deutsche Bank AG		9/07/16		(119	)
USD	213,510	COP	630,708,621	Deutsche Bank AG		9/07/16		(356	)
USD	146,151	COP	450,000,000	Goldman Sachs International		9/07/16		(6,438	)
USD	132,909	COP	400,000,000	HSBC Bank PLC		9/07/16		(2,726	)
USD	113,636	COP	340,000,000	HSBC Bank PLC		9/07/16		(1,654	)
USD	85,064	COP	260,000,000	HSBC Bank PLC		9/07/16		(3,099	)
USD	230,485	COP	690,000,000	HSBC Bank PLC		9/07/16		(3,486	)
USD	110,232	COP	330,000,000	HSBC Bank PLC		9/07/16		(1,667	)
USD	182,538	COP	555,892,528	HSBC Bank PLC		9/07/16		(5,959	)
USD	89,920	COP	273,838,684	HSBC Bank PLC		9/07/16		(2,936	)
USD	8,542	COP	26,014,675	HSBC Bank PLC		9/07/16		(279	)
USD	57,471	COP	169,763,793	HSBC Bank PLC		9/07/16		(94	)
USD	114,885	COP	340,000,000	HSBC Bank PLC		9/07/16		(405	)
USD	172,414	COP	509,291,379	HSBC Bank PLC		9/07/16		(281	)
USD	351,401	EUR	310,000	Bank of America N.A.		9/07/16		6,236
USD	2,826,679	EUR	2,480,000	Barclays Bank PLC		9/07/16		65,361
USD	233,202	EUR	210,000	Barclays Bank PLC		9/07/16		(620	)
USD	1,015,435	EUR	900,000	Barclays Bank PLC		9/07/16		13,344
USD	92,101	EUR	81,000	BNP Paribas S.A.		9/07/16		1,913
USD	305,120	EUR	270,000	Citibank N.A.		9/07/16		4,493
USD	2,158,064	EUR	1,930,000	Citibank N.A.		9/07/16		9,135
USD	101,260	EUR	90,000	Citibank N.A.		9/07/16		1,051
USD	135,203	EUR	120,000	Credit Suisse International		9/07/16		1,591
USD	337,831	EUR	300,000	Credit Suisse International		9/07/16		3,801
USD	135,442	EUR	120,000	Credit Suisse International		9/07/16		1,830
USD	244,305	EUR	215,000	Credit Suisse International		9/07/16		4,916
USD	266,864	EUR	235,000	Credit Suisse International		9/07/16		5,206
USD	399,221	EUR	350,000	Credit Suisse International		9/07/16		9,518
USD	452,072	EUR	400,000	Credit Suisse International		9/07/16		6,698
USD	164,891	EUR	145,000	Deutsche Bank AG		9/07/16		3,443
USD	199,827	EUR	180,000	HSBC Bank PLC		9/07/16		(591	)
USD	982,839	EUR	864,000	Morgan Stanley & Co. International PLC		9/07/16		20,831
USD	43,840	HUF	12,250,584	Bank of America N.A.		9/07/16		733
USD	21,920	HUF	6,125,292	Bank of America N.A.		9/07/16		367
USD	82,533	HUF	23,000,000	Barclays Bank PLC		9/07/16		1,602
USD	197,284	HUF	54,000,000	Barclays Bank PLC		9/07/16		7,273
USD	493,210	HUF	135,000,000	Barclays Bank PLC		9/07/16		18,183
USD	3,161,021	HUF	864,000,000	Barclays Bank PLC		9/07/16		120,848
USD	125,348	HUF	34,987,043	Barclays Bank PLC		9/07/16		2,238
USD	26,967	HUF	7,527,093	Barclays Bank PLC		9/07/16		482
USD	792,475	HUF	227,040,000	Barclays Bank PLC		9/07/16		(6,415	)
USD	181,225	HUF	51,920,000	Barclays Bank PLC		9/07/16		(1,467	)
USD	108,208	HUF	30,960,000	Barclays Bank PLC		9/07/16		(731	)
USD	24,745	HUF	7,080,000	Barclays Bank PLC		9/07/16		(167	)
USD	861,927	HUF	236,000,000	BNP Paribas S.A.		9/07/16		31,510
USD	501,483	HUF	144,000,000	BNP Paribas S.A.		9/07/16		(5,212	)
USD	101,564	HUF	28,000,000	BNP Paribas S.A.		9/07/16		3,040

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	45


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	308,321	HUF	85,000,000	BNP Paribas S.A.		9/07/16	$	9,230
USD	392,953	HUF	109,000,000	Credit Suisse International		9/07/16		9,413
USD	295,616	HUF	82,000,000	Credit Suisse International		9/07/16		7,081
USD	99,011	HUF	27,657,157	Credit Suisse International		9/07/16		1,693
USD	460,217	HUF	128,554,565	Credit Suisse International		9/07/16		7,869
USD	22,356	HUF	6,244,999	Credit Suisse International		9/07/16		382
USD	44,713	HUF	12,489,999	Credit Suisse International		9/07/16		764
USD	293,352	HUF	82,000,000	Deutsche Bank AG		9/07/16		4,817
USD	53,842	HUF	15,053,228	Deutsche Bank AG		9/07/16		874
USD	250,267	HUF	69,969,635	Deutsche Bank AG		9/07/16		4,063
USD	111,793	HUF	31,259,417	JPMorgan Chase Bank N.A.		9/07/16		1,800
USD	55,897	HUF	15,629,708	JPMorgan Chase Bank N.A.		9/07/16		900
USD	495,286	HUF	141,000,000	JPMorgan Chase Bank N.A.		9/07/16		(853	)
USD	62,674	HUF	17,488,757	JPMorgan Chase Bank N.A.		9/07/16		1,136
USD	13,484	HUF	3,762,521	JPMorgan Chase Bank N.A.		9/07/16		244
USD	151,647	IDR	2,050,000,000	Barclays Bank PLC		9/07/16		(1,796	)
USD	95,544	IDR	1,290,000,000	Barclays Bank PLC		9/07/16		(1,013	)
USD	59,132	IDR	790,000,000	Citibank N.A.		9/07/16		—
USD	107,090	IDR	1,450,000,000	Deutsche Bank AG		9/07/16		(1,443	)
USD	132,273	IDR	1,780,000,000	HSBC Bank PLC		9/07/16		(961	)
USD	45,525	IDR	614,308,094	HSBC Bank PLC		9/07/16		(457	)
USD	282,565	IDR	3,820,000,000	HSBC Bank PLC		9/07/16		(3,364	)
USD	216,737	IDR	2,880,000,000	HSBC Bank PLC		9/07/16		1,167
USD	96,047	IDR	1,300,000,000	HSBC Bank PLC		9/07/16		(1,258	)
USD	451,422	IDR	6,110,000,000	HSBC Bank PLC		9/07/16		(5,914	)
USD	90,977	IDR	1,220,000,000	HSBC Bank PLC		9/07/16		(341	)
USD	55,340	IDR	745,691,906	Morgan Stanley & Co. International PLC		9/07/16		(476	)
USD	1,756,898	IDR	23,560,000,000	Morgan Stanley & Co. International PLC		9/07/16		(6,580	)
USD	1,630,127	IDR	21,860,000,000	Morgan Stanley & Co. International PLC		9/07/16		(6,105	)
USD	227,722	IDR	3,030,000,000	Morgan Stanley & Co. International PLC		9/07/16		925
USD	58,955	IDR	790,000,000	Nomura International PLC		9/07/16		(177	)
USD	147,874	IDR	2,000,000,000	UBS AG		9/07/16		(1,827	)
USD	460,551	IDR	6,100,000,000	UBS AG		9/07/16		3,963
USD	215,176	IDR	2,850,000,000	UBS AG		9/07/16		1,852
USD	193,535	ILS	746,312	Bank of America N.A.		9/07/16		(514	)
USD	45,328	ILS	174,128	Bank of America N.A.		9/07/16		53
USD	51,236	ILS	196,072	Barclays Bank PLC		9/07/16		255
USD	128,085	ILS	490,397	Citibank N.A.		9/07/16		576
USD	607,612	ILS	2,350,000	Citibank N.A.		9/07/16		(3,416	)
USD	297,611	ILS	1,150,000	Citibank N.A.		9/07/16		(1,402	)
USD	142,558	ILS	550,000	Credit Suisse International		9/07/16		(448	)
USD	176,015	ILS	673,124	Credit Suisse International		9/07/16		995
USD	182,441	ILS	700,000	Deutsche Bank AG		9/07/16		432
USD	482,164	ILS	1,850,000	Deutsche Bank AG		9/07/16		1,143
USD	367,348	ILS	1,400,000	Deutsche Bank AG		9/07/16		3,331
USD	91,433	ILS	350,000	Deutsche Bank AG		9/07/16		429
USD	220,360	ILS	850,000	Deutsche Bank AG		9/07/16		(650	)
USD	181,460	ILS	700,000	Deutsche Bank AG		9/07/16		(548	)
USD	592,548	ILS	2,300,000	Goldman Sachs International		9/07/16		(5,479	)
USD	169,518	ILS	650,000	HSBC Bank PLC		9/07/16		510
USD	169,518	ILS	650,000	HSBC Bank PLC		9/07/16		510
USD	128,084	ILS	490,407	HSBC Bank PLC		9/07/16		573
USD	97,788	ILS	376,848	HSBC Bank PLC		9/07/16		(197	)
USD	136,890	ILS	525,872	HSBC Bank PLC		9/07/16		157
USD	97,788	ILS	376,841	JPMorgan Chase Bank N.A.		9/07/16		(195	)
USD	577,235	ILS	2,200,000	Morgan Stanley & Co. International PLC		9/07/16		5,209
USD	3,778,263	ILS	14,400,000	Morgan Stanley & Co. International PLC		9/07/16		34,093
USD	328,135	INR	22,600,000	Barclays Bank PLC		9/07/16		(3,017	)
USD	439,934	INR	30,300,000	Barclays Bank PLC		9/07/16		(4,045	)
USD	551,038	INR	37,866,262	Barclays Bank PLC		9/07/16		(3,807	)
USD	72,115	INR	4,915,000	Barclays Bank PLC		9/07/16		97
USD	814,394	INR	55,505,000	Barclays Bank PLC		9/07/16		1,091
USD	88,828	INR	6,033,859	Citibank N.A.		9/07/16		416
USD	143,693	INR	9,760,654	Citibank N.A.		9/07/16		672

See Notes to Financial Statements.



46	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	119,170	INR	8,100,000	Citibank N.A.		9/07/16	$	483
USD	129,469	INR	8,800,000	Citibank N.A.		9/07/16		524
USD	537,002	INR	36,500,000	Citibank N.A.		9/07/16		2,175
USD	4,767,889	INR	322,500,000	Citibank N.A.		9/07/16		42,369
USD	2,563,572	INR	173,400,000	Citibank N.A.		9/07/16		22,781
USD	75,542	INR	5,109,458	Citibank N.A.		9/07/16		674
USD	66,411	INR	4,546,549	Citibank N.A.		9/07/16		(209	)
USD	318,314	INR	21,792,078	Citibank N.A.		9/07/16		(1,001	)
USD	137,402	INR	9,406,652	Citibank N.A.		9/07/16		(432	)
USD	669,286	INR	46,000,000	Citibank N.A.		9/07/16		(4,742	)
USD	39,588	INR	2,722,057	Citibank N.A.		9/07/16		(297	)
USD	102,344	INR	6,900,000	HSBC Bank PLC		9/07/16		1,239
USD	807,799	INR	55,100,000	HSBC Bank PLC		9/07/16		432
USD	304,941	INR	20,800,000	HSBC Bank PLC		9/07/16		163
USD	260,994	INR	17,739,346	HSBC Bank PLC		9/07/16		1,064
USD	161,342	INR	10,966,141	HSBC Bank PLC		9/07/16		658
USD	94,428	INR	6,387,701	HSBC Bank PLC		9/07/16		830
USD	653,863	INR	44,600,000	HSBC Bank PLC		9/07/16		349
USD	145,355	INR	9,953,451	HSBC Bank PLC		9/07/16		(491	)
USD	300,734	INR	20,593,348	HSBC Bank PLC		9/07/16		(1,016	)
USD	696,700	INR	47,707,922	HSBC Bank PLC		9/07/16		(2,353	)
USD	331,479	INR	22,700,000	HSBC Bank PLC		9/07/16		(1,139	)
USD	200,055	INR	13,700,000	HSBC Bank PLC		9/07/16		(688	)
USD	147,486	INR	10,100,000	HSBC Bank PLC		9/07/16		(507	)
USD	435,420	INR	29,700,000	HSBC Bank PLC		9/07/16		233
USD	229,489	INR	15,600,000	HSBC Bank PLC		9/07/16		906
USD	231,253	INR	15,800,000	HSBC Bank PLC		9/07/16		(261	)
USD	178,562	INR	12,200,000	HSBC Bank PLC		9/07/16		(202	)
USD	51,810	INR	3,502,842	Morgan Stanley & Co. International PLC		9/07/16		483
USD	78,720	INR	5,411,681	Morgan Stanley & Co. International PLC		9/07/16		(576	)
USD	838,686	INR	57,190,000	Morgan Stanley & Co. International PLC		9/07/16		694
USD	74,351	INR	5,070,000	Morgan Stanley & Co. International PLC		9/07/16		62
USD	814,513	INR	55,505,000	Nomura International PLC		9/07/16		1,211
USD	72,126	INR	4,915,000	Nomura International PLC		9/07/16		107
USD	129,947	INR	8,800,000	UBS AG		9/07/16		1,002
USD	149,144	INR	10,100,000	UBS AG		9/07/16		1,151
USD	224,637	INR	15,300,000	UBS AG		9/07/16		449
USD	184,534	INR	12,600,000	UBS AG		9/07/16		(91	)
USD	184,575	INR	12,600,000	Westpac Banking Corp.		9/07/16		(50	)
USD	378,882	JPY	40,000,000	Citibank N.A.		9/07/16		(11,793	)
USD	745,578	JPY	79,000,000	Credit Suisse International		9/07/16		(26,006	)
USD	453,213	JPY	47,000,000	Goldman Sachs International		9/07/16		(5,831	)
USD	2,161,060	JPY	231,000,000	JPMorgan Chase Bank N.A.		9/07/16		(95,092	)
USD	121,201	KRW	140,201,203	Bank of America N.A.		9/07/16		(433	)
USD	30,300	KRW	34,945,765	Barclays Bank PLC		9/07/16		(17	)
USD	16,657	KRW	19,495,365	Barclays Bank PLC		9/07/16		(256	)
USD	16,780	KRW	19,675,932	Barclays Bank PLC		9/07/16		(290	)
USD	41,271	KRW	47,847,830	Barclays Bank PLC		9/07/16		(240	)
USD	391,884	KRW	450,000,000	Barclays Bank PLC		9/07/16		1,481
USD	41,366	KRW	47,500,000	Barclays Bank PLC		9/07/16		156
USD	48,233	KRW	56,513,572	Citibank N.A.		9/07/16		(796	)
USD	2,080,048	KRW	2,440,000,000	Deutsche Bank AG		9/07/16		(36,801	)
USD	53,187	KRW	62,500,000	Deutsche Bank AG		9/07/16		(1,036	)
USD	510,649	KRW	601,800,000	Deutsche Bank AG		9/07/16		(11,449	)
USD	201,061	KRW	232,030,586	HSBC Bank PLC		9/07/16		(240	)
USD	33,314	KRW	38,991,063	HSBC Bank PLC		9/07/16		(513	)
USD	81,353	KRW	95,324,068	HSBC Bank PLC		9/07/16		(1,346	)
USD	1,240,437	KRW	1,435,000,000	HSBC Bank PLC		9/07/16		(4,512	)
USD	4,633,271	KRW	5,360,000,000	HSBC Bank PLC		9/07/16		(16,855	)
USD	496,148	KRW	574,988,929	HSBC Bank PLC		9/07/16		(2,690	)
USD	53,214	KRW	62,500,000	HSBC Bank PLC		9/07/16		(1,008	)
USD	593,999	KRW	685,000,000	HSBC Bank PLC		9/07/16		(280	)
USD	41,215	KRW	47,500,000	HSBC Bank PLC		9/07/16		6
USD	390,456	KRW	450,000,000	HSBC Bank PLC		9/07/16		53

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	47


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	211,828	KRW	245,000,000	HSBC Bank PLC		9/07/16	$	(725	)
USD	121,212	KRW	140,000,000	HSBC Bank PLC		9/07/16		(246	)
USD	406,926	KRW	470,000,000	HSBC Bank PLC		9/07/16		(827	)
USD	95,238	KRW	110,000,000	HSBC Bank PLC		9/07/16		(194	)
USD	657,098	KRW	760,000,000	HSBC Bank PLC		9/07/16		(2,248	)
USD	220,474	KRW	255,000,000	HSBC Bank PLC		9/07/16		(754	)
USD	496,388	KRW	584,100,000	HSBC Bank PLC		9/07/16		(10,354	)
USD	152,833	KRW	177,500,000	HSBC Bank PLC		9/07/16		(1,159	)
USD	137,765	KRW	160,000,000	HSBC Bank PLC		9/07/16		(1,045	)
USD	90,900	KRW	104,974,616	Morgan Stanley & Co. International PLC		9/07/16		(171	)
USD	677,196	KRW	782,500,000	Morgan Stanley & Co. International PLC		9/07/16		(1,670	)
USD	161,373	KRW	190,000,000	Morgan Stanley & Co. International PLC		9/07/16		(3,464	)
USD	955,495	KRW	1,125,000,000	Morgan Stanley & Co. International PLC		9/07/16		(20,511	)
USD	483,843	KRW	560,011,071	Morgan Stanley & Co. International PLC		9/07/16		(2,000	)
USD	53,328	KRW	62,500,000	Morgan Stanley & Co. International PLC		9/07/16		(895	)
USD	86,430	KRW	100,000,000	Morgan Stanley & Co. International PLC		9/07/16		(326	)
USD	885,912	KRW	1,025,000,000	Morgan Stanley & Co. International PLC		9/07/16		(3,338	)
USD	219,892	KRW	260,000,000	Morgan Stanley & Co. International PLC		9/07/16		(5,674	)
USD	120,518	KRW	142,500,000	Morgan Stanley & Co. International PLC		9/07/16		(3,110	)
USD	1,038,143	KRW	1,227,500,000	Morgan Stanley & Co. International PLC		9/07/16		(26,788	)
USD	97,952	KRW	115,000,000	Morgan Stanley & Co. International PLC		9/07/16		(1,818	)
USD	234,232	KRW	275,000,000	Morgan Stanley & Co. International PLC		9/07/16		(4,347	)
USD	149,057	KRW	175,000,000	Morgan Stanley & Co. International PLC		9/07/16		(2,766	)
USD	497,360	KRW	584,100,000	Morgan Stanley & Co. International PLC		9/07/16		(9,382	)
USD	152,833	KRW	177,500,000	Morgan Stanley & Co. International PLC		9/07/16		(1,159	)
USD	137,765	KRW	160,000,000	Morgan Stanley & Co. International PLC		9/07/16		(1,045	)
USD	518,479	KRW	613,750,000	Standard Chartered Bank		9/07/16		(13,986	)
USD	109,820	KRW	130,000,000	Standard Chartered Bank		9/07/16		(2,962	)
USD	60,190	KRW	71,250,000	Standard Chartered Bank		9/07/16		(1,624	)
USD	677,783	KRW	782,500,000	UBS AG		9/07/16		(1,084	)
USD	149,031	KRW	175,000,000	UBS AG		9/07/16		(2,792	)
USD	97,935	KRW	115,000,000	UBS AG		9/07/16		(1,835	)
USD	60,114	KRW	71,250,000	UBS AG		9/07/16		(1,700	)
USD	109,682	KRW	130,000,000	UBS AG		9/07/16		(3,101	)
USD	517,823	KRW	613,750,000	UBS AG		9/07/16		(14,642	)
USD	53,273	KRW	62,500,000	UBS AG		9/07/16		(949	)
USD	234,192	KRW	275,000,000	UBS AG		9/07/16		(4,387	)
USD	563,072	MXN	10,300,000	Bank of America N.A.		9/07/16		8,240
USD	437,338	MXN	8,000,000	Bank of America N.A.		9/07/16		6,400
USD	235,637	MXN	4,400,000	BNP Paribas S.A.		9/07/16		(1,379	)
USD	337,830	MXN	6,200,000	Citibank N.A.		9/07/16		3,854
USD	223,404	MXN	4,100,000	Citibank N.A.		9/07/16		2,548
USD	63,459	MXN	1,200,000	Citibank N.A.		9/07/16		(1,182	)
USD	74,035	MXN	1,400,000	Citibank N.A.		9/07/16		(1,379	)
USD	563,195	MXN	10,650,000	Citibank N.A.		9/07/16		(10,491	)
USD	32,323	MXN	600,000	Citibank N.A.		9/07/16		3
USD	352,582	MXN	6,750,000	Citibank N.A.		9/07/16		(11,021	)
USD	386,535	MXN	7,400,000	Citibank N.A.		9/07/16		(12,083	)
USD	91,410	MXN	1,750,000	Citibank N.A.		9/07/16		(2,857	)
USD	117,333	MXN	2,200,000	Citibank N.A.		9/07/16		(1,175	)
USD	57,306	MXN	1,073,015	Citibank N.A.		9/07/16		(494	)
USD	49,307	MXN	926,985	Citibank N.A.		9/07/16		(627	)
USD	6,694	MXN	127,542	Citibank N.A.		9/07/16		(177	)
USD	656	MXN	12,500	Citibank N.A.		9/07/16		(17	)
USD	960	MXN	18,286	Citibank N.A.		9/07/16		(25	)
USD	340	MXN	6,481	Citibank N.A.		9/07/16		(9	)
USD	236,305	MXN	4,501,238	Citibank N.A.		9/07/16		(6,164	)
USD	23,159	MXN	441,138	Citibank N.A.		9/07/16		(604	)
USD	140,725	MXN	2,700,000	Citibank N.A.		9/07/16		(4,717	)
USD	156,361	MXN	3,000,000	Citibank N.A.		9/07/16		(5,241	)
USD	12,008	MXN	228,738	Citibank N.A.		9/07/16		(313	)
USD	33,880	MXN	645,368	Citibank N.A.		9/07/16		(884	)
USD	351,966	MXN	6,750,000	Deutsche Bank AG		9/07/16		(11,638	)
USD	91,250	MXN	1,750,000	Deutsche Bank AG		9/07/16		(3,017	)

See Notes to Financial Statements.



48	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	385,859	MXN	7,400,000	Deutsche Bank AG		9/07/16	$	(12,759	)
USD	125,771	MXN	2,425,000	Deutsche Bank AG		9/07/16		(4,857	)
USD	103,951	MXN	2,005,000	Deutsche Bank AG		9/07/16		(4,053	)
USD	61,384	MXN	1,171,262	Deutsche Bank AG		9/07/16		(1,709	)
USD	1,207,943	MXN	23,048,762	Deutsche Bank AG		9/07/16		(33,630	)
USD	173,190	MXN	3,304,632	Deutsche Bank AG		9/07/16		(4,822	)
USD	733,743	MXN	13,986,069	Deutsche Bank AG		9/07/16		(19,647	)
USD	105,201	MXN	2,005,262	Deutsche Bank AG		9/07/16		(2,817	)
USD	37,286	MXN	710,726	Deutsche Bank AG		9/07/16		(998	)
USD	71,910	MXN	1,370,685	Deutsche Bank AG		9/07/16		(1,926	)
USD	756,160	MXN	14,200,000	Deutsche Bank AG		9/07/16		(8,754	)
USD	122,477	MXN	2,300,000	Deutsche Bank AG		9/07/16		(1,418	)
USD	118,383	MXN	2,258,862	Deutsche Bank AG		9/07/16		(3,296	)
USD	825,386	MXN	15,500,000	Deutsche Bank AG		9/07/16		(9,556	)
USD	119,773	MXN	2,300,000	Deutsche Bank AG		9/07/16		(4,122	)
USD	755,090	MXN	14,500,000	Deutsche Bank AG		9/07/16		(25,984	)
USD	125,459	MXN	2,420,000	Goldman Sachs International		9/07/16		(4,900	)
USD	35,798	MXN	682,793	Goldman Sachs International		9/07/16		(982	)
USD	69,039	MXN	1,316,815	Goldman Sachs International		9/07/16		(1,894	)
USD	704,453	MXN	13,436,389	Goldman Sachs International		9/07/16		(19,328	)
USD	101,001	MXN	1,926,451	Goldman Sachs International		9/07/16		(2,771	)
USD	63,251	MXN	1,200,000	Morgan Stanley & Co. International PLC		9/07/16		(1,390	)
USD	561,354	MXN	10,650,000	Morgan Stanley & Co. International PLC		9/07/16		(12,332	)
USD	73,793	MXN	1,400,000	Morgan Stanley & Co. International PLC		9/07/16		(1,621	)
USD	357,245	MXN	6,850,000	Morgan Stanley & Co. International PLC		9/07/16		(11,745	)
USD	308,998	MXN	5,900,000	Morgan Stanley & Co. International PLC		9/07/16		(8,819	)
USD	534,199	MXN	10,200,000	Morgan Stanley & Co. International PLC		9/07/16		(15,246	)
USD	672,905	MXN	12,800,000	UBS AG		9/07/16		(16,595	)
USD	11,786	MYR	47,612	Bank of America N.A.		9/07/16		26
USD	13,231	MYR	53,450	Bank of America N.A.		9/07/16		29
USD	193,311	MYR	785,647	Barclays Bank PLC		9/07/16		(744	)
USD	96,655	MYR	392,824	Barclays Bank PLC		9/07/16		(372	)
USD	23,572	MYR	95,027	Barclays Bank PLC		9/07/16		101
USD	26,463	MYR	106,680	Barclays Bank PLC		9/07/16		113
USD	29,283	MYR	120,000	Barclays Bank PLC		9/07/16		(357	)
USD	23,572	MYR	94,940	Citibank N.A.		9/07/16		122
USD	26,463	MYR	106,583	Citibank N.A.		9/07/16		137
USD	248,447	MYR	1,000,000	Deutsche Bank AG		9/07/16		1,447
USD	397,190	MYR	1,600,000	Deutsche Bank AG		9/07/16		1,990
USD	211,007	MYR	850,000	Deutsche Bank AG		9/07/16		1,057
USD	347,053	MYR	1,425,000	Deutsche Bank AG		9/07/16		(4,922	)
USD	29,222	MYR	120,000	Deutsche Bank AG		9/07/16		(418	)
USD	298,344	MYR	1,225,000	Deutsche Bank AG		9/07/16		(4,231	)
USD	400,875	MYR	1,650,000	Deutsche Bank AG		9/07/16		(6,675	)
USD	104,282	MYR	425,000	Deutsche Bank AG		9/07/16		(693	)
USD	128,819	MYR	525,000	Deutsche Bank AG		9/07/16		(856	)
USD	21,477	MYR	87,390	Goldman Sachs International		9/07/16		(109	)
USD	128,874	MYR	523,331	Goldman Sachs International		9/07/16		(389	)
USD	64,437	MYR	261,666	Goldman Sachs International		9/07/16		(194	)
USD	105,852	MYR	426,959	HSBC Bank PLC		9/07/16		393
USD	94,289	MYR	380,319	HSBC Bank PLC		9/07/16		350
USD	43,828	MYR	180,000	HSBC Bank PLC		9/07/16		(632	)
USD	996,065	MYR	4,050,000	HSBC Bank PLC		9/07/16		(4,285	)
USD	2,115,101	MYR	8,600,000	HSBC Bank PLC		9/07/16		(9,099	)
USD	3,689,129	MYR	15,000,000	HSBC Bank PLC		9/07/16		(15,871	)
USD	259,901	MYR	1,050,000	HSBC Bank PLC		9/07/16		551
USD	111,386	MYR	450,000	HSBC Bank PLC		9/07/16		236
USD	296,922	MYR	1,200,000	HSBC Bank PLC		9/07/16		522
USD	555	MYR	2,259	JPMorgan Chase Bank N.A.		9/07/16		(3	)
USD	1,111	MYR	4,518	JPMorgan Chase Bank N.A.		9/07/16		(5	)
USD	26,307	MYR	106,328	Morgan Stanley & Co. International PLC		9/07/16		44
USD	23,434	MYR	94,713	Morgan Stanley & Co. International PLC		9/07/16		39
USD	43,849	MYR	180,000	Morgan Stanley & Co. International PLC		9/07/16		(611	)
USD	595,672	MYR	2,450,000	Morgan Stanley & Co. International PLC		9/07/16		(9,478	)

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	49


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	96,655	MYR	393,252	Morgan Stanley & Co. International PLC		9/07/16	$	(478	)
USD	193,311	MYR	786,503	Morgan Stanley & Co. International PLC		9/07/16		(955	)
USD	250,250	MYR	1,000,000	Morgan Stanley & Co. International PLC		9/07/16		3,250
USD	223,881	MYR	900,000	Morgan Stanley & Co. International PLC		9/07/16		1,581
USD	298,507	MYR	1,200,000	Morgan Stanley & Co. International PLC		9/07/16		2,107
USD	369,322	MYR	1,500,000	UBS AG		9/07/16		(1,178	)
USD	437,743	MYR	1,800,000	UBS AG		9/07/16		(6,857	)
USD	346,884	MYR	1,425,000	UBS AG		9/07/16		(5,091	)
USD	298,199	MYR	1,225,000	UBS AG		9/07/16		(4,376	)
USD	128,993	MYR	525,000	UBS AG		9/07/16		(682	)
USD	104,423	MYR	425,000	UBS AG		9/07/16		(552	)
USD	126,292	NOK	1,036,587	Bank of America N.A.		9/07/16		2,434
USD	38,435	NOK	313,463	Bank of America N.A.		9/07/16		980
USD	336,079	NOK	2,802,249	Bank of America N.A.		9/07/16		1,250
USD	660,956	NOK	5,511,091	Bank of America N.A.		9/07/16		2,459
USD	190,741	NOK	1,595,000	Citibank N.A.		9/07/16		161
USD	374,905	NOK	3,135,000	Citibank N.A.		9/07/16		317
USD	377,772	NOK	3,150,000	Citibank N.A.		9/07/16		1,392
USD	191,884	NOK	1,600,000	Citibank N.A.		9/07/16		707
USD	295,087	NOK	2,500,000	Citibank N.A.		9/07/16		(3,627	)
USD	169,255	NOK	1,415,000	Citibank N.A.		9/07/16		183
USD	86,123	NOK	720,000	Citibank N.A.		9/07/16		93
USD	253,131	NOK	2,091,877	Credit Suisse International		9/07/16		3,182
USD	161,317	NOK	1,317,857	Credit Suisse International		9/07/16		3,851
USD	178,277	NOK	1,463,413	Credit Suisse International		9/07/16		3,420
USD	63,184	NOK	526,539	Credit Suisse International		9/07/16		270
USD	124,262	NOK	1,035,526	Credit Suisse International		9/07/16		532
USD	126,326	NOK	1,053,882	Credit Suisse International		9/07/16		402
USD	248,405	NOK	2,072,334	Credit Suisse International		9/07/16		790
USD	86,338	NOK	700,000	Credit Suisse International		9/07/16		2,698
USD	814,040	NOK	6,600,000	Credit Suisse International		9/07/16		25,435
USD	222,011	NOK	1,800,000	Credit Suisse International		9/07/16		6,937
USD	457,218	NOK	3,813,550	Credit Suisse International		9/07/16		1,553
USD	374,873	NOK	3,100,000	Credit Suisse International		9/07/16		4,467
USD	193,483	NOK	1,600,000	Credit Suisse International		9/07/16		2,306
USD	102,121	NOK	868,175	Credit Suisse International		9/07/16		(1,613	)
USD	546,650	NOK	4,647,292	Credit Suisse International		9/07/16		(8,635	)
USD	1,413,738	NOK	11,800,000	Credit Suisse International		9/07/16		3,807
USD	197,231	NOK	1,645,061	Credit Suisse International		9/07/16		670
USD	96,411	NOK	800,000	Deutsche Bank AG		9/07/16		822
USD	228,976	NOK	1,900,000	Deutsche Bank AG		9/07/16		1,953
USD	216,924	NOK	1,800,000	Deutsche Bank AG		9/07/16		1,850
USD	61,394	NOK	508,123	JPMorgan Chase Bank N.A.		9/07/16		680
USD	118,822	NOK	968,681	JPMorgan Chase Bank N.A.		9/07/16		3,078
USD	154,087	NOK	1,286,450	JPMorgan Chase Bank N.A.		9/07/16		374
USD	66,469	NOK	554,939	JPMorgan Chase Bank N.A.		9/07/16		162
USD	97,109	NOK	831,825	JPMorgan Chase Bank N.A.		9/07/16		(2,282	)
USD	519,819	NOK	4,452,708	JPMorgan Chase Bank N.A.		9/07/16		(12,216	)
USD	84,023	NOK	702,330	Morgan Stanley & Co. International PLC		9/07/16		104
USD	165,221	NOK	1,381,049	Morgan Stanley & Co. International PLC		9/07/16		205
USD	355,179	NOK	2,900,000	UBS AG		9/07/16		8,670
USD	232,703	NOK	1,900,000	UBS AG		9/07/16		5,681
USD	1,843,313	NOK	15,000,000	UBS AG		9/07/16		51,028
USD	218,416	NOK	1,800,000	UBS AG		9/07/16		3,342
USD	57,341	NZD	82,469	Bank of America N.A.		9/07/16		(1,203	)
USD	65,533	NZD	94,251	Bank of America N.A.		9/07/16		(1,375	)
USD	212,982	NZD	306,315	Bank of America N.A.		9/07/16		(4,469	)
USD	951,113	NZD	1,360,000	Barclays Bank PLC		9/07/16		(14,344	)
USD	797,257	NZD	1,140,000	Barclays Bank PLC		9/07/16		(12,024	)
USD	372,288	NZD	531,382	Citibank N.A.		9/07/16		(4,938	)
USD	254,309	NZD	362,986	Citibank N.A.		9/07/16		(3,373	)
USD	334,894	NZD	477,939	Citibank N.A.		9/07/16		(4,392	)
USD	228,337	NZD	325,867	Citibank N.A.		9/07/16		(2,994	)
USD	232,682	NZD	332,755	Citibank N.A.		9/07/16		(3,540	)

See Notes to Financial Statements.



50	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	341,267	NZD	488,041	Citibank N.A.		9/07/16	$	(5,191	)
USD	60,682	NZD	85,000	Credit Suisse International		9/07/16		341
USD	60,809	NZD	85,000	Credit Suisse International		9/07/16		468
USD	143,773	NZD	204,520	Credit Suisse International		9/07/16		(1,415	)
USD	90,640	NZD	128,937	Credit Suisse International		9/07/16		(892	)
USD	280,123	NZD	399,412	Credit Suisse International		9/07/16		(3,418	)
USD	31,463	NZD	44,861	Credit Suisse International		9/07/16		(384	)
USD	327,017	NZD	464,172	Goldman Sachs International		9/07/16		(2,497	)
USD	518,716	NZD	736,273	Goldman Sachs International		9/07/16		(3,960	)
USD	76,270	NZD	107,708	Goldman Sachs International		9/07/16		(191	)
USD	57,364	NZD	82,469	HSBC Bank PLC		9/07/16		(1,180	)
USD	213,067	NZD	306,315	HSBC Bank PLC		9/07/16		(4,384	)
USD	65,559	NZD	94,251	HSBC Bank PLC		9/07/16		(1,349	)
USD	5,114,355	NZD	7,380,000	HSBC Bank PLC		9/07/16		(124,671	)
USD	866,253	NZD	1,250,000	HSBC Bank PLC		9/07/16		(21,116	)
USD	32,203	NZD	45,000	HSBC Bank PLC		9/07/16		258
USD	170,701	NZD	244,020	HSBC Bank PLC		9/07/16		(2,528	)
USD	116,387	NZD	166,378	HSBC Bank PLC		9/07/16		(1,723	)
USD	127,604	NZD	180,000	JPMorgan Chase Bank N.A.		9/07/16		(177	)
USD	226,891	NZD	320,000	JPMorgan Chase Bank N.A.		9/07/16		(275	)
USD	191,439	NZD	270,000	JPMorgan Chase Bank N.A.		9/07/16		(232	)
USD	37,057	NZD	52,292	JPMorgan Chase Bank N.A.		9/07/16		(65	)
USD	297,319	NZD	427,370	Morgan Stanley & Co. International PLC		9/07/16		(6,069	)
USD	91,483	NZD	131,499	Morgan Stanley & Co. International PLC		9/07/16		(1,867	)
USD	80,047	NZD	115,061	Morgan Stanley & Co. International PLC		9/07/16		(1,634	)
USD	381,148	NZD	540,000	Morgan Stanley & Co. International PLC		9/07/16		(2,195	)
USD	197,632	NZD	280,000	Morgan Stanley & Co. International PLC		9/07/16		(1,138	)
USD	194,857	NZD	276,891	Morgan Stanley & Co. International PLC		9/07/16		(1,707	)
USD	309,084	NZD	439,207	Morgan Stanley & Co. International PLC		9/07/16		(2,707	)
USD	125,018	NZD	178,618	Morgan Stanley & Co. International PLC		9/07/16		(1,782	)
USD	85,400	NZD	122,014	Morgan Stanley & Co. International PLC		9/07/16		(1,217	)
USD	409,132	NZD	580,000	UBS AG		9/07/16		(2,607	)
USD	1,656,378	NZD	2,360,588	UBS AG		9/07/16		(19,392	)
USD	186,042	NZD	265,139	UBS AG		9/07/16		(2,178	)
USD	60,739	NZD	85,000	Westpac Banking Corp.		9/07/16		398
USD	304,955	PHP	14,227,667	Barclays Bank PLC		9/07/16		3,424
USD	174,554	PHP	8,288,467	Citibank N.A.		9/07/16		(1,105	)
USD	500,052	PHP	23,744,256	Citibank N.A.		9/07/16		(3,166	)
USD	172,025	PHP	8,168,344	Citibank N.A.		9/07/16		(1,089	)
USD	19,088	PHP	902,251	Citibank N.A.		9/07/16		(34	)
USD	20,527	PHP	970,246	Citibank N.A.		9/07/16		(36	)
USD	33,528	PHP	1,584,823	Citibank N.A.		9/07/16		(59	)
USD	216,286	PHP	10,000,000	Deutsche Bank AG		9/07/16		4,354
USD	51,668	PHP	2,450,449	Goldman Sachs International		9/07/16		(265	)
USD	150,191	PHP	7,123,119	Goldman Sachs International		9/07/16		(771	)
USD	300,382	PHP	14,225,962	Goldman Sachs International		9/07/16		(1,112	)
USD	103,336	PHP	4,893,923	Goldman Sachs International		9/07/16		(383	)
USD	104,855	PHP	4,965,892	Goldman Sachs International		9/07/16		(388	)
USD	52,428	PHP	2,486,485	Goldman Sachs International		9/07/16		(269	)
USD	148,942	PHP	7,029,474	Goldman Sachs International		9/07/16		(35	)
USD	243,286	PHP	11,482,105	Goldman Sachs International		9/07/16		(58	)
USD	218,359	PHP	10,300,000	Goldman Sachs International		9/07/16		69
USD	138,504	PHP	6,536,842	Goldman Sachs International		9/07/16		(33	)
USD	223,752	PHP	10,400,000	HSBC Bank PLC		9/07/16		3,342
USD	225,287	PHP	10,646,155	HSBC Bank PLC		9/07/16		(340	)
USD	77,502	PHP	3,662,421	HSBC Bank PLC		9/07/16		(117	)
USD	78,641	PHP	3,716,280	HSBC Bank PLC		9/07/16		(119	)
USD	365,854	PHP	17,250,000	HSBC Bank PLC		9/07/16		270
USD	642,630	PHP	30,300,000	HSBC Bank PLC		9/07/16		475
USD	393,425	PHP	18,550,000	HSBC Bank PLC		9/07/16		291
USD	593,975	PHP	28,000,000	HSBC Bank PLC		9/07/16		564
USD	106,067	PHP	5,000,000	HSBC Bank PLC		9/07/16		101
USD	223,004	PHP	10,400,000	HSBC Bank PLC		9/07/16		2,594
USD	299,578	PHP	13,972,333	HSBC Bank PLC		9/07/16		3,459

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	51


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	26,214	PHP	1,242,876	Morgan Stanley & Co. International PLC		9/07/16	$	(127	)
USD	75,096	PHP	3,560,508	Morgan Stanley & Co. International PLC		9/07/16		(363	)
USD	25,834	PHP	1,224,863	Morgan Stanley & Co. International PLC		9/07/16		(125	)
USD	207,756	PHP	9,810,907	Morgan Stanley & Co. International PLC		9/07/16		(169	)
USD	364,928	PHP	17,233,072	Morgan Stanley & Co. International PLC		9/07/16		(297	)
USD	223,413	PHP	10,550,280	Morgan Stanley & Co. International PLC		9/07/16		(182	)
USD	1,087,283	PHP	50,700,000	Standard Chartered Bank		9/07/16		12,785
USD	229,663	PHP	10,700,000	UBS AG		9/07/16		2,895
USD	525,885	PLN	2,000,000	Barclays Bank PLC		9/07/16		21,786
USD	129,651	PLN	500,000	Barclays Bank PLC		9/07/16		3,626
USD	116,677	PLN	460,000	Barclays Bank PLC		9/07/16		734
USD	8,080	PLN	31,848	Barclays Bank PLC		9/07/16		52
USD	110,958	PLN	439,643	Barclays Bank PLC		9/07/16		146
USD	195,362	PLN	750,000	Barclays Bank PLC		9/07/16		6,325
USD	195,858	PLN	750,000	Barclays Bank PLC		9/07/16		6,820
USD	149,649	PLN	600,000	Barclays Bank PLC		9/07/16		(1,581	)
USD	187,061	PLN	750,000	Barclays Bank PLC		9/07/16		(1,976	)
USD	455,540	PLN	1,820,000	Barclays Bank PLC		9/07/16		(3,191	)
USD	29,684	PLN	117,745	Barclays Bank PLC		9/07/16		7
USD	191,620	PLN	750,000	BNP Paribas S.A.		9/07/16		2,583
USD	290,320	PLN	1,150,000	BNP Paribas S.A.		9/07/16		463
USD	196,967	PLN	765,000	BNP Paribas S.A.		9/07/16		4,149
USD	179,140	PLN	700,000	BNP Paribas S.A.		9/07/16		2,706
USD	84,184	PLN	325,000	BNP Paribas S.A.		9/07/16		2,268
USD	121,743	PLN	470,000	BNP Paribas S.A.		9/07/16		3,279
USD	396,845	PLN	1,600,000	BNP Paribas S.A.		9/07/16		(6,435	)
USD	173,620	PLN	700,000	BNP Paribas S.A.		9/07/16		(2,815	)
USD	219,382	PLN	854,936	Credit Suisse International		9/07/16		3,895
USD	63,283	PLN	246,616	Credit Suisse International		9/07/16		1,124
USD	58,535	PLN	225,000	Credit Suisse International		9/07/16		1,823
USD	85,851	PLN	330,000	Credit Suisse International		9/07/16		2,674
USD	357,776	PLN	1,430,000	Credit Suisse International		9/07/16		(2,655	)
USD	89,482	PLN	353,734	Credit Suisse International		9/07/16		324
USD	300,643	PLN	1,198,448	Credit Suisse International		9/07/16		(1,426	)
USD	80,796	PLN	318,509	Deutsche Bank AG		9/07/16		516
USD	25,790	PLN	99,935	Deutsche Bank AG		9/07/16		602
USD	291,476	PLN	1,150,000	Deutsche Bank AG		9/07/16		1,619
USD	202,766	PLN	800,000	Deutsche Bank AG		9/07/16		1,126
USD	129,273	PLN	503,384	JPMorgan Chase Bank N.A.		9/07/16		2,395
USD	448,146	PLN	1,745,064	JPMorgan Chase Bank N.A.		9/07/16		8,303
USD	163,907	PLN	635,065	JPMorgan Chase Bank N.A.		9/07/16		3,839
USD	95,442	PLN	378,522	JPMorgan Chase Bank N.A.		9/07/16		36
USD	83,948	PLN	334,628	JPMorgan Chase Bank N.A.		9/07/16		(395	)
USD	16,789	PLN	66,924	UBS AG		9/07/16		(79	)
USD	176,813	RON	700,000	BNP Paribas S.A.		9/07/16		4,683
USD	587,364	RON	2,400,000	BNP Paribas S.A.		9/07/16		(2,798	)
USD	197,030	RON	800,000	BNP Paribas S.A.		9/07/16		309
USD	1,274,306	RON	5,050,000	HSBC Bank PLC		9/07/16		32,507
USD	37,041	RUB	2,440,007	Barclays Bank PLC		9/07/16		(530	)
USD	174,184	RUB	11,400,000	Barclays Bank PLC		9/07/16		(1,351	)
USD	825,506	RUB	54,406,887	Barclays Bank PLC		9/07/16		(12,242	)
USD	134,099	RUB	8,838,078	Barclays Bank PLC		9/07/16		(1,989	)
USD	129,153	RUB	8,435,927	Barclays Bank PLC		9/07/16		(742	)
USD	204,003	RUB	13,324,929	Barclays Bank PLC		9/07/16		(1,172	)
USD	300,462	RUB	20,000,000	Barclays Bank PLC		9/07/16		(7,495	)
USD	251,959	RUB	16,400,000	Citibank N.A.		9/07/16		(566	)
USD	126,620	RUB	8,400,000	Citibank N.A.		9/07/16		(2,721	)
USD	214,049	RUB	14,200,000	Citibank N.A.		9/07/16		(4,600	)
USD	267,658	RUB	18,000,000	Citibank N.A.		9/07/16		(9,503	)
USD	136,559	RUB	9,200,000	Credit Suisse International		9/07/16		(5,101	)
USD	451,239	RUB	30,400,000	Credit Suisse International		9/07/16		(16,855	)
USD	302,891	RUB	19,800,000	Credit Suisse International		9/07/16		(1,986	)
USD	122,380	RUB	8,000,000	Credit Suisse International		9/07/16		(802	)
USD	448,218	RUB	29,300,000	Credit Suisse International		9/07/16		(2,939	)

See Notes to Financial Statements.



52	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	66,290	RUB	4,359,993	Goldman Sachs International		9/07/16	$	(845	)
USD	192,593	RUB	12,693,113	Goldman Sachs International		9/07/16		(2,854	)
USD	31,286	RUB	2,061,922	Goldman Sachs International		9/07/16		(464	)
USD	5,580	RUB	364,073	Goldman Sachs International		9/07/16		(26	)
USD	8,813	RUB	575,071	Goldman Sachs International		9/07/16		(42	)
USD	1,016,359	RUB	67,100,000	JPMorgan Chase Bank N.A.		9/07/16		(16,836	)
USD	165,101	RUB	10,900,000	JPMorgan Chase Bank N.A.		9/07/16		(2,735	)
USD	10,468	RUB	700,000	JPMorgan Chase Bank N.A.		9/07/16		(310	)
USD	197,867	SEK	1,625,865	Bank of America N.A.		9/07/16		5,447
USD	150,543	SEK	1,243,425	Bank of America N.A.		9/07/16		3,384
USD	172,918	SEK	1,400,000	Citibank N.A.		9/07/16		7,229
USD	406,390	SEK	3,290,000	Citibank N.A.		9/07/16		17,021
USD	325,782	SEK	2,700,000	Citibank N.A.		9/07/16		6,239
USD	374,046	SEK	3,100,000	Citibank N.A.		9/07/16		7,163
USD	110,974	SEK	940,000	Citibank N.A.		9/07/16		(274	)
USD	1,055,434	SEK	8,940,000	Citibank N.A.		9/07/16		(2,610	)
USD	544,211	SEK	4,600,000	Citibank N.A.		9/07/16		(196	)
USD	5,431	SEK	44,674	Citibank N.A.		9/07/16		144
USD	2,816	SEK	23,164	Citibank N.A.		9/07/16		75
USD	1,061,213	SEK	8,756,575	Credit Suisse International		9/07/16		24,878
USD	423,504	SEK	3,474,135	Credit Suisse International		9/07/16		12,342
USD	458,882	SEK	3,710,000	Credit Suisse International		9/07/16		19,806
USD	509,197	SEK	4,200,000	Credit Suisse International		9/07/16		12,129
USD	66,033	SEK	560,000	Credit Suisse International		9/07/16		(243	)
USD	7,075	SEK	60,000	Credit Suisse International		9/07/16		(26	)
USD	119,940	SEK	996,002	Credit Suisse International		9/07/16		2,064
USD	508,236	SEK	4,176,836	Credit Suisse International		9/07/16		13,911
USD	980,170	SEK	8,055,326	Credit Suisse International		9/07/16		26,828
USD	222,496	SEK	1,800,000	Deutsche Bank AG		9/07/16		9,467
USD	683,705	SEK	5,800,000	Deutsche Bank AG		9/07/16		(2,721	)
USD	179,213	SEK	1,450,000	Goldman Sachs International		9/07/16		7,607
USD	3,528,645	SEK	28,550,000	Goldman Sachs International		9/07/16		149,770
USD	1,056,740	SEK	8,550,000	Goldman Sachs International		9/07/16		44,852
USD	1,248,312	SEK	10,100,000	Goldman Sachs International		9/07/16		52,983
USD	1,057,689	SEK	8,550,000	HSBC Bank PLC		9/07/16		45,802
USD	3,531,816	SEK	28,550,000	HSBC Bank PLC		9/07/16		152,941
USD	1,249,434	SEK	10,100,000	HSBC Bank PLC		9/07/16		54,105
USD	179,374	SEK	1,450,000	HSBC Bank PLC		9/07/16		7,768
USD	228,743	SEK	1,903,998	JPMorgan Chase Bank N.A.		9/07/16		3,406
USD	64,766	SGD	87,866	Bank of America N.A.		9/07/16		(490	)
USD	598,117	SGD	810,000	Bank of America N.A.		9/07/16		(3,449	)
USD	147,354	SGD	200,000	Bank of America N.A.		9/07/16		(1,181	)
USD	164,743	SGD	221,921	Bank of America N.A.		9/07/16		(72	)
USD	389,892	SGD	525,213	Bank of America N.A.		9/07/16		(171	)
USD	221,031	SGD	300,000	Bank of America N.A.		9/07/16		(1,771	)
USD	597,297	SGD	810,000	Barclays Bank PLC		9/07/16		(4,269	)
USD	199,099	SGD	270,000	Barclays Bank PLC		9/07/16		(1,423	)
USD	111,724	SGD	150,000	Barclays Bank PLC		9/07/16		323
USD	562,141	SGD	760,000	Barclays Bank PLC		9/07/16		(2,292	)
USD	99,854	SGD	135,000	Barclays Bank PLC		9/07/16		(407	)
USD	110,949	SGD	150,000	Barclays Bank PLC		9/07/16		(452	)
USD	126,835	SGD	172,134	Citibank N.A.		9/07/16		(1,004	)
USD	463,052	SGD	629,668	Citibank N.A.		9/07/16		(4,586	)
USD	952,147	SGD	1,292,070	Citibank N.A.		9/07/16		(7,440	)
USD	247,206	SGD	330,000	Citibank N.A.		9/07/16		2,123
USD	56,183	SGD	75,000	Citibank N.A.		9/07/16		483
USD	629,251	SGD	840,000	Citibank N.A.		9/07/16		5,405
USD	25,134	SGD	33,956	Citibank N.A.		9/07/16		(84	)
USD	60,138	SGD	81,064	Citibank N.A.		9/07/16		(66	)
USD	1,681,747	SGD	2,288,263	Credit Suisse International		9/07/16		(17,686	)
USD	57,933	SGD	78,079	Credit Suisse International		9/07/16		(54	)
USD	137,108	SGD	184,787	Credit Suisse International		9/07/16		(129	)
USD	247,389	SGD	330,000	Deutsche Bank AG		9/07/16		2,307
USD	56,225	SGD	75,000	Deutsche Bank AG		9/07/16		524

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	53


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	629,718	SGD	840,000	Deutsche Bank AG		9/07/16	$	5,872
USD	725,871	SGD	985,000	Deutsche Bank AG		9/07/16		(5,663	)
USD	1,242,943	SGD	1,683,624	Deutsche Bank AG		9/07/16		(7,441	)
USD	561,499	SGD	760,000	Deutsche Bank AG		9/07/16		(2,933	)
USD	99,740	SGD	135,000	Deutsche Bank AG		9/07/16		(521	)
USD	110,822	SGD	150,000	Deutsche Bank AG		9/07/16		(579	)
USD	211,209	SGD	286,376	Goldman Sachs International		9/07/16		(1,475	)
USD	117,949	SGD	160,000	Goldman Sachs International		9/07/16		(879	)
USD	221,154	SGD	300,000	Goldman Sachs International		9/07/16		(1,648	)
USD	272,757	SGD	370,000	Goldman Sachs International		9/07/16		(2,033	)
USD	25,924	SGD	34,980	Goldman Sachs International		9/07/16		(55	)
USD	214,656	SGD	290,000	Goldman Sachs International		9/07/16		(720	)
USD	725,305	SGD	985,000	HSBC Bank PLC		9/07/16		(6,229	)
USD	111,836	SGD	150,000	JPMorgan Chase Bank N.A.		9/07/16		435
USD	305,685	SGD	410,000	JPMorgan Chase Bank N.A.		9/07/16		1,189
USD	119,136	SGD	160,000	Westpac Banking Corp.		9/07/16		308
USD	136,918	THB	4,825,000	Bank of America N.A.		9/07/16		(234	)
USD	329,780	THB	11,600,000	Barclays Bank PLC		9/07/16		45
USD	42,644	THB	1,500,000	Barclays Bank PLC		9/07/16		6
USD	255,864	THB	9,000,000	Barclays Bank PLC		9/07/16		35
USD	448,991	THB	15,800,000	Barclays Bank PLC		9/07/16		(130	)
USD	221,654	THB	7,800,000	Barclays Bank PLC		9/07/16		(64	)
USD	67,338	THB	2,375,000	Barclays Bank PLC		9/07/16		(173	)
USD	394,662	THB	13,900,000	Barclays Bank PLC		9/07/16		(450	)
USD	493,757	THB	17,400,000	Barclays Bank PLC		9/07/16		(844	)
USD	731,535	THB	25,900,000	Citibank N.A.		9/07/16		(4,682	)
USD	168,693	THB	5,965,000	Credit Suisse International		9/07/16		(864	)
USD	95,730	THB	3,385,000	Credit Suisse International		9/07/16		(490	)
USD	410,532	THB	14,500,000	Deutsche Bank AG		9/07/16		(1,635	)
USD	224,241	THB	7,900,000	Goldman Sachs International		9/07/16		(320	)
USD	204,226	THB	7,200,000	Goldman Sachs International		9/07/16		(436	)
USD	892,832	THB	31,450,000	Goldman Sachs International		9/07/16		(1,146	)
USD	341,345	THB	12,000,000	Goldman Sachs International		9/07/16		241
USD	295,833	THB	10,400,000	Goldman Sachs International		9/07/16		209
USD	130,792	THB	4,615,000	Goldman Sachs International		9/07/16		(391	)
USD	230,551	THB	8,135,000	Goldman Sachs International		9/07/16		(689	)
USD	478,415	THB	16,900,000	Goldman Sachs International		9/07/16		(1,974	)
USD	167,115	THB	5,900,000	Goldman Sachs International		9/07/16		(595	)
USD	732,052	THB	25,900,000	HSBC Bank PLC		9/07/16		(4,165	)
USD	893,212	THB	31,450,000	JPMorgan Chase Bank N.A.		9/07/16		(766	)
USD	213,159	THB	7,500,000	Morgan Stanley & Co. International PLC		9/07/16		(31	)
USD	284,212	THB	10,000,000	Morgan Stanley & Co. International PLC		9/07/16		(42	)
USD	391,489	THB	13,800,000	UBS AG		9/07/16		(781	)
USD	129,186	TRY	382,693	Bank of America N.A.		9/07/16		(1,821	)
USD	97,862	TRY	290,000	Bank of America N.A.		9/07/16		(1,413	)
USD	248,571	TRY	740,000	Barclays Bank PLC		9/07/16		(4,752	)
USD	359,420	TRY	1,070,000	Barclays Bank PLC		9/07/16		(6,871	)
USD	251,885	TRY	747,307	Barclays Bank PLC		9/07/16		(3,939	)
USD	194,481	TRY	580,613	Barclays Bank PLC		9/07/16		(4,279	)
USD	424,322	TRY	1,266,792	Barclays Bank PLC		9/07/16		(9,336	)
USD	243,990	TRY	729,020	Barclays Bank PLC		9/07/16		(5,574	)
USD	449,949	TRY	1,331,392	Citibank N.A.		9/07/16		(5,824	)
USD	210,352	TRY	629,387	Citibank N.A.		9/07/16		(5,105	)
USD	458,949	TRY	1,373,208	Citibank N.A.		9/07/16		(11,138	)
USD	457,087	TRY	1,340,000	Citibank N.A.		9/07/16		(1,632	)
USD	201,351	TRY	600,980	Citibank N.A.		9/07/16		(4,381	)
USD	211,488	TRY	620,000	Citibank N.A.		9/07/16		(755	)
USD	77,421	TRY	228,608	Deutsche Bank AG		9/07/16		(837	)
USD	221,367	TRY	660,000	Deutsche Bank AG		9/07/16		(4,570	)
USD	455,285	TRY	1,360,000	Deutsche Bank AG		9/07/16		(10,281	)
USD	244,381	TRY	730,000	Deutsche Bank AG		9/07/16		(5,519	)
USD	165,773	TRY	490,000	Deutsche Bank AG		9/07/16		(1,968	)
USD	358,610	TRY	1,060,000	Deutsche Bank AG		9/07/16		(4,258	)
USD	90,363	TRY	270,000	JPMorgan Chase Bank N.A.		9/07/16		(2,066	)

See Notes to Financial Statements.



54	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (concluded)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	518,713		TRY	1,530,000	Morgan Stanley & Co. International PLC		9/07/16	$	(5,049	)
USD	1,992,563		TRY	5,900,000	UBS AG		9/07/16		(27,172	)
USD	1,175,275		TRY	3,480,000	UBS AG		9/07/16		(16,027	)
USD	2,303,268		TRY	6,820,000	UBS AG		9/07/16		(31,409	)
USD	170,298		TWD	5,510,000	Bank of America N.A.		9/07/16		(749	)
USD	895,534		TWD	28,975,000	Bank of America N.A.		9/07/16		(3,939	)
USD	404,989		TWD	13,150,000	Barclays Bank PLC		9/07/16		(3,227	)
USD	136,864		TWD	4,400,000	Citibank N.A.		9/07/16		274
USD	370,256		TWD	12,000,000	Goldman Sachs International		9/07/16		(2,261	)
USD	53,920		TWD	1,737,965	Goldman Sachs International		9/07/16		(31	)
USD	285,329		TWD	9,196,729	Goldman Sachs International		9/07/16		(166	)
USD	217,230		TWD	7,002,633	Goldman Sachs International		9/07/16		(153	)
USD	41,051		TWD	1,323,332	Goldman Sachs International		9/07/16		(29	)
USD	896,088		TWD	28,975,000	Goldman Sachs International		9/07/16		(3,386	)
USD	170,404		TWD	5,510,000	Goldman Sachs International		9/07/16		(644	)
USD	205,513		TWD	6,600,000	HSBC Bank PLC		9/07/16		629
USD	439,051		TWD	14,100,000	HSBC Bank PLC		9/07/16		1,344
USD	368,775		TWD	11,900,000	HSBC Bank PLC		9/07/16		(638	)
USD	175,471		TWD	5,680,000	HSBC Bank PLC		9/07/16		(854	)
USD	922,150		TWD	29,850,000	HSBC Bank PLC		9/07/16		(4,486	)
USD	626,551		TWD	20,200,000	HSBC Bank PLC		9/07/16		(519	)
USD	235,221		TWD	7,600,000	HSBC Bank PLC		9/07/16		(706	)
USD	404,091		TWD	13,150,000	Morgan Stanley & Co. International PLC		9/07/16		(4,126	)
USD	108,696		TWD	3,500,000	Morgan Stanley & Co. International PLC		9/07/16		45
USD	53,920		TWD	1,738,703	Morgan Stanley & Co. International PLC		9/07/16		(54	)
USD	285,329		TWD	9,200,638	Morgan Stanley & Co. International PLC		9/07/16		(287	)
USD	878,299		TWD	28,200,000	Westpac Banking Corp.		9/07/16		2,884
USD	90,422		ZAR	1,364,259	Citibank N.A.		9/07/16		(1,541	)
USD	55,345		ZAR	835,741	HSBC Bank PLC		9/07/16		(992	)
USD	354,625		ZAR	5,500,000	HSBC Bank PLC		9/07/16		(16,123	)
USD	155,529		ZAR	2,400,000	HSBC Bank PLC		9/07/16		(6,252	)
USD	294,702		ZAR	4,600,000	HSBC Bank PLC		9/07/16		(15,378	)
ZAR	2,400,000		USD	157,712	Citibank N.A.		9/07/16		4,069
ZAR	7,700,000		USD	508,241	Morgan Stanley & Co. International PLC		9/07/16		10,806
USD	37,102		AUD	50,000	Barclays Bank PLC		9/20/16		(24	)
USD	162,197		AUD	220,000	Citibank N.A.		9/20/16		(1,161	)
USD	691,939		AUD	940,000	JPMorgan Chase Bank N.A.		9/20/16		(6,042	)
USD	22,235		AUD	30,000	Morgan Stanley & Co. International PLC		9/20/16		(41	)
USD	43,843		AUD	60,000	UBS AG		9/20/16		(709	)
USD	244,507		AUD	330,000	UBS AG		9/20/16		(529	)
USD	88,483		AUD	120,000	UBS AG		9/20/16		(621	)
USD	125,684		AUD	170,000	UBS AG		9/20/16		(547	)
USD	495,422		EUR	440,000	Barclays Bank PLC		9/20/16		5,251
USD	79,022		EUR	70,000	BNP Paribas S.A.		9/20/16		1,041
USD	55,621		EUR	50,000	Deutsche Bank AG		9/20/16		(81	)
USD	179,968		EUR	160,000	Goldman Sachs International		9/20/16		1,724
USD	271,439		EUR	240,000	HSBC Bank PLC		9/20/16		4,072
USD	15,872		JPY	1,690,000	HSBC Bank PLC		9/20/16		(644	)
USD	102,263		JPY	10,630,000	JPMorgan Chase Bank N.A.		9/20/16		(1,622	)
USD	14,704		JPY	1,570,000	UBS AG		9/20/16		(639	)
USD	6,705		JPY	720,000	UBS AG		9/20/16		(331	)
USD	7,362		JPY	780,000	UBS AG		9/20/16		(261	)
USD	10,780		JPY	1,120,000	UBS AG		9/20/16		(166	)
Total								$	(266,673	)

Centrally Cleared Credit Default Swaps—Buy Protection

Index

Pay
Fixed Rate

Expiration
Date

Notional
Amount
(000)

Unrealized
Depreciation

Markit iTraxx XO, Series 25, Version 1

5.00

6/20/21

EUR 5,980

(86,761

)

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	55


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Centrally Cleared Interest Rate Swaps

Fixed Rate

Floating
Rate

Effective
Date

Expiration
Date

Notional
Amount
(000)

Unrealized

Appreciation
(Depreciation)

1.34%¹

3-Month LIBOR

N/A

4/29/21

USD

25,510

445,088

1.03%²

3-Month CDOR

N/A

6/20/21

CAD

34,940

(139,436

)

1.79%²

3-Month LIBOR

N/A

4/29/26

USD

13,490

(536,654

)

1.79%²

3-Month LIBOR

N/A

4/29/26

USD

13,490

(537,291

)

1.45%¹

3-Month CDOR

N/A

6/20/26

CAD

36,760

423,321

2.29%¹

3-Month LIBOR

N/A

4/29/46

USD

2,860

312,777

2.29%¹

3-Month LIBOR

N/A

4/29/46

USD

2,860

313,129

1.88%²

3-Month CDOR

N/A

6/20/46

CAD

7,630

(212,171

)

Total

68,763

¹Master Portfolio pays the floating rate and receives the fixed rate.

²Master Portfolio pays the fixed rate and receives the floating rate.

OTC Credit Default Swaps — Sell Protection

Index

Receive
Fixed
Rate

Counterparty

Expiration
Date

Credit
Rating¹

Notional
Amount
(000)²

Value

Premiums
Received

Unrealized
Appreciation

Markit CMBX North America AM Index, Series 3

0.08

Goldman Sachs International

12/13/49

AA+

USD 10,905

(23,762

)

(71,094

)

47,332

¹ Using Standard & Poor’s rating of the issuer or the underlying securities of the index, as applicable.

² The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement.

OTC Total Return Swaps


Reference Entity	Fixed Rate			Counterparty		Effective Date		Expiration Date		Notional Amount (000)		Value			Premiums Received		Unrealized Appreciation (Depreciation)
Change in Return of the Consumer Price Index for All Urban Consumers		1.35	%¹		Goldman Sachs International		N/A		3/03/18	$	22,080	$	129,663			—	$	129,663
Change in Return of the Consumer Price Index for All Urban Consumers		1.66	%¹		JPMorgan Chase Bank N.A.		N/A		3/21/18	$	11,680		4,197			—		4,197
Change in Return of the Consumer Price Index for All Urban Consumers		1.69	%²		Deutsche Bank AG		N/A		2/16/46	$	1,750		(72,549	)		—		(72,549	)
Total												$	61,311			—	$	61,311

¹Master Portfolio pays the fixed rate and receives the total return of the reference entity.
²Master Portfolio receives the fixed rate and pays the total return of the reference entity.


Transactions in Options Written for the Six Months Ended June 30, 2016


	Puts
	Contracts			Premiums Received
Outstanding options, beginning of period		—			—
Options written		320		$	27,076
Options expired		—			—
Options exercised		—			—
Options closed		(320	)		(27,076	)

Outstanding options, end of period		—			—

See Notes to Financial Statements.



56	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (continued)		CoreAlpha Bond Master Portfolio

Derivative Financial Instruments Categorized by Risk Exposure


As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:
Assets — Derivative Financial Instruments		Commodity Contracts	Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Futures contracts	Net unrealized appreciation¹	—		—		—		—	$	4,212,037		—	$	4,212,037
Forward foreign currency exchange contracts . .	Net unrealized appreciation on forward foreign currency exchange contracts	—		—		—		$3,895,080		—		—		3,895,080
Swaps — OTC	Unrealized appreciation on OTC swaps	—	$	47,332		—		—		—	$	133,860		181,192
Swaps — centrally cleared	Net unrealized appreciation¹	—		—		—		—		1,494,315		—		1,494,315

Total		—	$	47,332		—		$3,895,080	$	5,706,352		$133,860	$	9,782,624

Liabilities — Derivative Financial Instruments
Futures contracts	Net unrealized depreciation¹	—		—		—		—	$	1,113,659		—	$	1,113,659
Forward foreign currency exchange contracts . .	Net unrealized depreciation on forward foreign currency exchange contracts	—		—		—		$4,161,753		—		—		4,161,753
Swaps — OTC	Swap premiums received	—	$	71,094		—		—		—		$72,549		143,643
Swaps — centrally cleared	Net unrealized depreciation¹	—		86,761		—		—		1,425,552		—		1,512,313

Total		—	$	157,855		—		$4,161,753	$	2,539,211		$72,549	$	6,931,368

¹ Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statement of Operations was as follows:


Net Realized Gain (Loss) From:	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts			Other Contacts			Total
Futures contracts		—		—			—		—		$	1,815,336			—		$	1,815,336
Forward foreign currency exchange contracts		—		—			—	$	(850,560	)		—			—			(850,560	)
Options purchased¹		—		—			—		—			(84,174	)		—			(84,174	)
Options written		—		—			—		—			19,940			—			19,940
Swaps		—	$	133,356			—		—			(321,961	)	$	(412,132	)		(600,737	)

Total		—	$	133,356			—		$(850,560)		$	1,429,141		$	(412,132	)	$	299,805

Net Change in Unrealized (Depreciation) on:
Futures contracts		—		—			—		—		$	2,767,377			—		$	2,767,377
Foreign currency exchange contracts		—		—			—	$	34,564			—			—			34,564
Swaps		—	$	(110,297	)		—		—			219,441		$	192,322			301,466

Total		—	$	(110,297	)		—	$	34,564		$	2,986,818		$	192,322		$	3,103,407

¹ Options purchased are included in net realized gain (loss) on investments.

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts:
Average notional value of contracts — long	$	232,727,194
Average notional value of contracts — short	$	81,910,426
Foreign currency exchange contracts:
Average amounts purchased — in USD	$	343,091,915
Average amounts sold — in USD	$	327,587,811
Options:
Average value of option contracts purchased	$	64,800	¹
Average value of option contracts written	$	23,200	¹
Credit default swaps:
Average notional amount — buy protection	$	5,452,256
Average notional amount — sell protection	$	23,972,117
Interest rate swaps:
Average notional amount — pays fixed rate	$	29,965,096
Average notional amount — receives fixed rate	$	29,841,557
Total return swaps:
Average notional amount	$	53,765,000
¹ Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	57


Schedule of Investments (continued)		CoreAlpha Bond Master 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	$	379,982		$	165,829
Forward foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .		3,895,080			4,161,753
Swaps — Centrally cleared		37,350			—
Swaps — OTC¹		181,192			143,643

Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	4,493,604		$	4,471,225

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(417,332	)		(165,829	)

Total derivative assets and liabilities subject to an MNA	$	4,076,272		$	4,305,396

¹ Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums received in the Statement of Assets and Liabilities.

The following table presents the Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Master Portfolio:


Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset¹			Non-cash Collateral Received		Cash Collateral Received			Net Amount of Derivative Assets³
Bank of America N.A.	$	194,117	$	(194,117	)		—		—			—
Barclays Bank PLC		471,202		(355,265	)		—		—		$	115,937
BNP Paribas S.A.		129,781		(67,152	)		—		—			62,629
Citibank N.A.		513,315		(479,395	)		—		—			33,920
Credit Suisse International		386,118		(384,761	)		—		—			1,357
Deutsche Bank AG		296,230		(296,230	)		—		—			—
Goldman Sachs International		479,433		(254,316	)		—		—			225,117
HSBC Bank PLC		728,403		(513,714	)		—		—			214,689
JPMorgan Chase Bank N.A.		63,771		(63,771	)		—		—			—
Morgan Stanley & Co. International PLC		328,664		(326,591	)		—		—			2,073
Nomura International PLC		2,672		(438	)		—		—			2,234
Royal Bank of Canada		86,236		(86,236	)		—		—			—
Standard Chartered Bank		15,890		(15,890	)		—		—			—
State Street Bank & Trust Co.		169,036		—			—		—			169,036
UBS AG		151,989		(151,989	)		—		—			—
Westpac Banking Corp.		59,415		(52,091	)		—		—			7,324

Total	$	4,076,272	$	(3,241,956	)		—		—		$	834,316

Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset¹			Non-cash Collateral Pledged		Cash Collateral Pledged²			Net Amount of Derivative Liabilities⁴
Bank of America N.A.	$	279,954	$	(194,117	)		—		—		$	85,837
Barclays Bank PLC		355,265		(355,265	)		—		—			—
BNP Paribas S.A.		67,152		(67,152	)		—		—			—
Citibank N.A.		479,395		(479,395	)		—		—			—
Credit Suisse International		384,761		(384,761	)		—		—			—
Deutsche Bank AG		503,135		(296,230	)		—	$	(206,905	)		—
Goldman Sachs International		254,316		(254,316	)		—		—			—
HSBC Bank PLC		513,714		(513,714	)		—		—			—
JPMorgan Chase Bank N.A.		444,181		(63,771	)		—		—			380,410
Morgan Stanley & Co. International PLC		326,591		(326,591	)		—		—			—
Nomura International PLC		438		(438	)		—		—			—
Royal Bank of Canada		113,756		(86,236	)		—		—			27,520
Standard Chartered Bank		25,885		(15,890	)		—		—			9,995
UBS AG		504,762		(151,989	)		—		—			352,773
Westpac Banking Corp.		52,091		(52,091	)		—		—			—

Total	$	4,305,396	$	(3,241,956	)		—	$	(206,905	)	$	856,535

² Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.
³ Net amount represents the net amount receivable from the counterparty in the event of default.
⁴ Net amount represents the net amount payable due to the counterparty in the event of default.

See Notes to Financial Statements.



58	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Schedule of Investments (concluded)		CoreAlpha Bond Master Portfolio


Fair Value Hierarchy as of Period end

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—		$	90,526,676		$	1,349,853	$	91,876,529
Corporate Bonds		—			351,128,426			—		351,128,426
Foreign Agency Obligations		—			8,855,870			—		8,855,870
Investment Companies	$	943			—			—		943
Municipal Bonds		—			6,509,238			—		6,509,238
Non-Agency Mortgage-Backed Securities		—			108,701,083			—		108,701,083
Preferred Securities		—			378,366			—		378,366
U.S. Government Sponsored Agency Securities		—			515,488,331			—		515,488,331
U.S. Treasury Obligations		—			34,983,263			—		34,983,263
Short-Term Securities		17,040,900			—			—		17,040,900
Liabilities:
Investments:
TBA Sale Commitments		—			(137,060,536	)		—		(137,060,536	)

Total	$	17,041,843		$	979,510,717		$	1,349,853	$	997,902,413


Derivative Financial Instruments¹
Assets:
Credit contracts		—		$	47,332			—	$	47,332
Foreign currency exchange contracts		—			3,895,080			—		3,895,080
Interest rate contracts	$	4,212,037			1,494,315			—		5,706,352
Other contracts		—			133,860			—		133,860
Liabilities:
Credit contracts		—			(86,761	)		—		(86,761	)
Foreign currency exchange contracts		—			(4,161,753	)		—		(4,161,753	)
Interest rate contracts		(1,113,659	)		(1,425,552	)		—		(2,539,211	)
Other contracts		—			(72,549	)		—		(72,549	)

Total	$	3,098,378		$	(176,028	)		—	$	2,922,350

¹ Derivative financial instruments are swaps, futures contracts and forward foreign currency contracts. Swaps, futures contracts and forward foreign currency contracts are valued at the unrealized appreciation (depreciation) on the instrument.

The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	57,095		—			—	$	57,095
Cash pledged:
Centrally cleared swaps		873,000		—			—		873,000
OTC swaps		530,000		—			—		530,000
Futures contracts		5,050,000		—			—		5,050,000
Foreign currency at value		5,622,011		—			—		5,622,011
Liabilities:
Cash received as collateral for TBA commitments		—	$	(337,000	)		—		(337,000	)
Collateral on securities loaned at value		—		(143,560	)		—		(143,560	)

Total	$	12,132,106	$	(480,560	)		—	$	11,651,546

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	59


Statement of Assets and Liabilities		CoreAlpha Bond Master Portfolio


June 30, 2016 (Unaudited)

Assets
Investments at value — unaffiliated (including securities loaned of $138,706) (cost — $1,094,523,270)	$	1,117,921,106
Investments at value — affiliated (cost — $17,041,807)		17,041,843
Cash		57,095
Cash pledged:
Collateral — OTC derivatives		530,000
Centrally cleared swaps		873,000
Futures contracts		5,050,000
Foreign currency at value (cost — $5,755,645)		5,622,011
Receivables:
Interest		4,139,507
Investments sold		3,082,976
Contributions from investors		65,966
Dividends — affiliated		21,048
Principal paydowns		43,683
TBA sale commitments		136,541,347
Securities lending income — affiliated		436
Variation margin on centrally cleared swaps		37,350
Variation margin on futures contracts		379,982
Unrealized appreciation on:
Forward foreign currency exchange contracts		3,895,080
OTC swaps		181,192

Total assets		1,295,483,622


Liabilities
Collateral on securities loaned at value		143,560
TBA sale commitments at value (proceeds — $136,541,347)		137,060,536
Cash received as collateral for TBA Commitments		337,000
Swap premiums received		71,094
Payables:
Investments purchased		296,370,031
Withdrawals to investors		2,210,360
Investment advisory fees		176,251
Trustees’ fees		22,591
Other accrued expenses		28,305
Variation margin payable on futures contracts		165,829
Unrealized depreciation on:
Forward foreign currency exchange contracts		4,161,753
OTC swaps		72,549

Total liabilities		440,819,859

Net Assets	$	854,663,763


Net Assets Consist of
Investors’ capital	$	829,021,200
Net unrealized appreciation (depreciation)		25,642,563

Net Assets	$	854,663,763


Statement of Operations		CoreAlpha Bond Master Portfolio


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Interest — unaffiliated	$	10,983,838
Dividends — affiliated		107,046
Securities lending — affiliated — net		2,393

Total income		11,093,277


Expenses
Investment advisory		1,025,318
Professional		21,131
Independent Trustees		19,565

Total expenses		1,066,014
Less fees waived by the Manager		(51,554	)

Total expenses after fees waived		1,014,460

Net investment income		10,078,817


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		2,487,471
Investments — affiliated		449,830
Futures contracts		1,815,336
Foreign currency transactions		(850,541	)
Options written		19,940
Swaps		(600,737	)

		3,321,299

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		24,745,520
Investments — affiliated		27,898
Futures contracts		2,767,377
Foreign currency translations		(52,257	)
Swaps		301,466

		27,790,004

Net realized and unrealized gain		31,111,303

Net Increase in Net Assets Resulting from Operations	$	41,190,120


Statements of Changes in Net Assets		CoreAlpha Bond Master Portfolio


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	10,078,817		$	65,808,146
Net realized gain		3,321,299			20,619,514
Net change in unrealized appreciation (depreciation)		27,790,004			(60,017,386	)

Net increase in net assets resulting from operations		41,190,120			26,410,274


Capital Transactions
Proceeds from contributions		206,517,772			402,475,509
Value of withdrawals		(209,041,568	)		(2,500,269,038	)¹

Net decrease in net assets derived from capital transactions		(2,523,796	)		(2,097,793,529	)


Net Assets
Total increase (decrease) in net assets		38,666,324			(2,071,383,255	)
Beginning of period		815,997,439			2,887,380,694

End of period	$	854,663,763		$	815,997,439

See Note 2 of Notes to Financial Statements.


Financial Highlights		CoreAlpha Bond Master Portfolio


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Total Return
Total return		5.05%¹		0.60%		6.64%		(2.39)%		4.95%		8.38%


Ratios to Average Net Assets
Total expenses		0.26%²		0.25%		0.25%		0.25%		0.25%		0.27%

Total expenses after fees waived		0.25%²		0.24%		0.24%		0.24%		0.24%		0.26%

Net investment income		2.46%²		2.53%		2.52%		2.23%		2.36%		3.22%


Supplemental Data
Net assets, end of period (000)		$854,664		$815,997		$2,887,381		$3,373,147		$2,789,640		$2,362,453

Portfolio turnover rate^3,4		376%		612%		686%		986%		2,128%		1,646%

Aggregate total return.

Annualized.

Portfolio turnover rates include TBA transactions, if any.

⁴

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


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Portfolio turnover rate (excluding MDRs)		372%		540%		470%		736%		1,774%		1,510%


Notes to Financial Statements (Unaudited)		CoreAlpha Bond Master Portfolio

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. CoreAlpha Bond Master Portfolio (the “Master Portfolio”) is a series of MIP. The Master Portfolio is classified as diversified. MIP is organized as a Delaware statutory trust.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity Complex.

2. Significant Accounting Policies:

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

Foreign Currency: The Master Portfolio’s books and records are maintained in U.S. dollars. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

The Master Portfolio does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. 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 federal income tax purposes.

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

In-Kind Redemptions: The Master Portfolio transferred securities and cash to shareholders in connection with an in-kind redemption transaction. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized based on the market value of the securities on the date of the redemption. For the year ended December 31, 2015, the Master Portfolio had in-kind redemptions of $2,013,230,637. For tax purposes, no gains or losses were recognized.

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

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

The Master Portfolio has an arrangement with its custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective October 2015, the custodian is imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:



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the Master Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:

•

Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Master Portfolio’s net assets.

•

Investments in open-end U.S. mutual funds are valued at NAV each business day.

•

Futures contracts traded on exchanges are valued at their last sale price.

•

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 business on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

•

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 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 the Master Portfolio’s pricing service 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.

•

TBA commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Master Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does



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Notes to Financial Statements (continued)		CoreAlpha Bond Master Portfolio

not exist, including regular due diligence of the Master Portfolio’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement 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 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments has been included in the Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, 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.

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



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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 will be included as interest income in the Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, the Master Portfolio’s initial investment in the IOs may not fully recoup.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of the Mortgage Assets. Stripped mortgage-backed securities may be privately issued.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. 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 Stock: 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.

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, the Master Portfolio may take possession of or deliver the underlying 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.



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pledged by the Master Portfolio and the counterparty. Cash collateral that has been pledged to cover the obligations of the Master Portfolio and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by the Master Portfolio, if any, is noted in the Schedule of Investments. Typically, the Master Portfolio is permitted to sell, repledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to the Master Portfolio are not fully collateralized, contractually or otherwise, the Master Portfolio bears the risk of loss from counterparty non-performance.

Mortgage Dollar Roll Transactions: The Master Portfolio may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Master Portfolio is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realize gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that the Master Portfolio 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. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as corporate bonds in the the Master Portfolio’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments.

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 lending agreements by counterparty which are subject to offset under an MSLA:

Counterparty

Securities
Loaned
at Value

Cash
Collateral
Received¹

Net

Amount

Citigroup Global Markets, Inc.

138,706

(138,706

)

—

Collateral with a value of $143,560 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could suffer 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.



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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 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: The Master Portfolio invests in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk).

Futures contracts are agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value of the contract at the time it was opened and the value 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, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: The Master Portfolio enters into forward foreign currency exchange contracts 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 contract is marked to market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: The Master Portfolio purchases and writes call and put options to increase or decrease its exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statement of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statement of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statement of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Master Portfolio writes a call option, such option is typically “covered,” meaning that it holds the underlying instrument subject to being called by the option counterparty. When the Master Portfolio writes a put option, such option is covered by cash in an amount sufficient to cover the obligation.

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: The Master Portfolio enters into swap contracts 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”).



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For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statement of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC swaps in the Statement of Assets and Liabilities. Payments received or paid are recorded in the Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Master Portfolio’s basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Master Portfolio’s counterparty on the swap agreement becomes the CCP. The Master Portfolio is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. 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 shown as variation margin receivable (or payable) on centrally cleared swaps in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statement of Operations.

•

Credit default swaps — The Master Portfolio enters into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it 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 — The Master Portfolio enters into total return swaps 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 market (e.g., fixed income) with another 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 in exchange for fixed or floating rate interest payments. If the total return of the instrument 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.

•

Interest rate swaps — The Master Portfolio enters into interest rate swaps 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.

•

Forward swaps — The Master Portfolio enters 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.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, the Master Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between 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



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Notes to Financial Statements (continued)		CoreAlpha Bond Master Portfolio

ISDA Master Agreement, the Master Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Master Portfolio’s net assets decline by a stated percentage or the Master Portfolio fails to meet the terms of its ISDA Master Agreements. The result would cause the Master Portfolio to accelerate payment of any net liability owed to the counterparty.

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 on the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Master Portfolio, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Master Portfolio. Any additional required collateral is delivered to/pledged by the Master Portfolio on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Master Portfolio generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Master Portfolio from its counterparties are not fully collateralized, it 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, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Master Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

Investment Advisory

For such services, the Master Portfolio pays the Manager a monthly fee, which is determined by calculating a percentage of the Master Portfolio’s average daily net assets based on the following annual rates:


Average Daily Net Assets	Investment Advisory Fee
First $1 Billion.		0.25%
$1 Billion — $3 Billion		0.24%
$3 Billion — $5 Billion		0.23%
$5 Billion — $10 Billion		0.22%
Greater than $10 Billion.		0.21%

The Manager entered into a sub-advisory agreement with BlackRock International Limited (“BIL”) and BlackRock Fund Advisors (“BFA”), both affiliates of the Manager. The Manager pays BIL and BFA, for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by the Master Portfolio to the Manager.

Waivers

The Manager, with respect to the Master Portfolio, voluntarily 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. This amount is included in fees waived by the Manager in the Statement of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investments in other affiliated investment companies, if any. For the six months ended June 30, 2016, the amount waived was $10,858.



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Notes to Financial Statements (continued)		CoreAlpha Bond Master Portfolio

Securities Lending

The U.S. Securities and Exchange Commission has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04% (the “collateral investment fees”).

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, BTC may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).

Pursuant to such agreement, the Master Portfolio retains 80% of securities lending income. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income.

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated – net in the Statement of Operations. For the six months ended June 30, 2016, the Master Portfolio paid BTC $599 in total for securities lending agent services and collateral investment fees.

Officers and Trustees

The fees and expenses of the MIP’s trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. BAL has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the administration fees paid by the Master Portfolio in an amount equal to these independent expenses through April 30, 2017. If the Master Portfolio does not pay administration fees, BFA agrees to cap the expenses of the Master Portfolio at the rate at which it pays an investment advisory fee to BFA. The amount is included in fees waived by the Manager in the Statement of Operations. For the six months ended June 30, 2016, the Manager waived $40,696.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

7. Purchases and Sales:

For the six months ended June 30, 2016, 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	$	3,568,304,423	$	3,555,641,250
U.S. Government Securities	$	90,325,703	$	66,511,467

For the six months ended June 30, 2016, purchases and sales related to mortgage dollar rolls were $38,036,618 and $38,060,157, respectively.

8. Income Tax Information:

The Master Portfolio is classified as a partnership for 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 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.

Management has analyzed tax laws and regulations and their application to the Master Portfolio as of June 30, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.



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Notes to Financial Statements (continued)		CoreAlpha Bond Master Portfolio

As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


Tax cost.	$	1,112,450,797

Gross unrealized appreciation	$	26,884,973
Gross unrealized depreciation		(4,372,821	)

Net unrealized appreciation	$	22,512,152

9. Bank Borrowings:

MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.1 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 $1.6 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 0.12% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2017 unless extended or renewed. Prior to April 21, 2016, the credit agreement had a fee per annum of 0.06% on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statement of Operations. 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 June 30, 2016, 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 and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers of securities owned by the Master Portfolio. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

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.

Counterparty Credit Risk: Similar to issuer 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. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

The Master Portfolio’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Master Portfolio.

For OTC options purchased, the Master Portfolio bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Master Portfolio should the counterparty fail to perform under the contracts. Options written by the Master Portfolio do not typically give rise to counterparty credit risk, as options written generally obligate the Master Portfolio, and not the counterparty, to perform. The Master Portfolio may be exposed to counterparty credit risk with respect to options written to the extent the Master Portfolio deposits collateral with its counterparty to a written option.

With exchange-traded options purchased, 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



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Notes to Financial Statements (concluded)		CoreAlpha Bond Master Portfolio

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: The Master Portfolio invests a significant portion of its assets in fixed-income securities and/or uses derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Master Portfolio may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

The Master Portfolio invests a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedule of Investments. 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.

11. Subsequent Events:

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



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	73


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements

The Board of Trustees of Master Investment Portfolio (the “Master Fund”) met in person on April 21, 2016 (the “April Meeting”) and May 18-20, 2016 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Advisory Agreement”) between the Master Fund, on behalf of CoreAlpha Bond Master Portfolio (the “Master Portfolio”), a series of the Master Fund, and BlackRock Advisors, LLC (the “Manager”), the Master Fund’s investment advisor. The Board of Trustees of the Master Fund also considered the approval of the sub-advisory agreement between the Manager and BlackRock Fund Advisors (“BFA”) with respect to the Master Portfolio (the “BFA Sub-Advisory Agreement”) and the sub-advisory agreement between the Manager and BlackRock International Limited (“BIL,” and together with BFA, the “Sub-Advisors”) with respect to the Master Portfolio (the “BIL Sub-Advisory Agreement,” and together with the BFA Sub-Advisory Agreement, the “Sub-Advisory Agreements”). BlackRock CoreAlpha Bond Fund (the “Portfolio”), a series of BlackRock Funds III (the “Fund”), is a “feeder” fund that invests all of its investable assets in the Master Portfolio. Accordingly, the Board of Trustees of the Fund also considered the approval of the Advisory Agreement and the Sub-Advisory Agreements with respect to the Master Portfolio. The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Agreements.” For simplicity: (a) the Board of Trustees of the Master Fund and the Board of Trustees of the Fund are referred to herein collectively as the “Board,” and the members are referred to as “Board Members;” and (b) the shareholders of the Portfolio and the interest holders of the Master Portfolio are referred to as “shareholders.”

Activities and Composition of the Board

The Agreements

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreements, and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Board assessed, among other things, the nature, extent and quality of the services provided to the Master Portfolio and the Portfolio by BlackRock, BlackRock’s personnel and affiliates, including (as applicable) investment management; administrative and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Master Portfolio, the Portfolio and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolio and/or the Portfolio for services; (c) the Master Portfolio’s and/or the Portfolio’s operating expenses and how BlackRock allocates expenses to the Master Portfolio and the Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Master Portfolio’s and the Portfolio’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Master Fund’s and the Fund’s compliance with its respective compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master Fund’s and/or the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Master Portfolio and/or the Portfolio; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreements



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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on fees and expenses of the Master Portfolio and the Portfolio, as applicable, as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Portfolio as compared with a peer group of funds as determined by Broadridge¹; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by the Master Portfolio and/or the Portfolio to BlackRock; and (g) sales and redemption data regarding the Portfolio’s shares.

At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May Meeting.

At the May Meeting, the Board of the Master Fund, including the Independent Board Members, approved the continuation of (i) the Advisory Agreement between the Manager and the Master Fund with respect to the Master Portfolio, (ii) the BFA Sub-Advisory Agreement between the Manager and BFA with respect to the Master Portfolio and (iii) the BIL Sub-Advisory Agreement between the Manager and BIL with respect to the Master Portfolio, each for a one-year term ending June 30, 2017. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreements with respect to the Master Portfolio and found the Agreements to be satisfactory. In approving the continuation of the Agreements, the Board of the Master Fund considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and the Portfolio; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio and the Portfolio; (d) the Portfolio’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Master Portfolio and the Portfolio; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates, securities lending and cash management, services related to the valuation and pricing of portfolio holdings of the Master Portfolio, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Portfolio. Throughout the year, the Board compared the Portfolio’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the Master Portfolio’s performance and the Master Portfolio’s investment objective(s), strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and the Master Portfolio’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board engaged in a review of BlackRock’s compensation structure with respect to the Master Portfolio’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, the Board considered the quality of the administrative and other non-investment advisory services provided to the Master Portfolio and the Portfolio. BlackRock and its affiliates provide the Master Portfolio and the Portfolio with certain administrative, shareholder and other services (in addition to any such services provided to the Master Portfolio and the Portfolio by third parties) and officers and other personnel as are necessary for the operations of the Master Portfolio and the Portfolio. In particular, BlackRock and its affiliates provide the Master Portfolio and the Portfolio with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) preparing periodic filings with regulators; (iv) overseeing and coordinating the activities of other service providers; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing other administrative functions necessary for the operation of the Master Portfolio and the Portfolio, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	75


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Master Portfolio, the Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio and the Portfolio, as applicable. The Board noted that the Portfolio’s investment results correspond directly to the investment results of the Master Portfolio. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Portfolio’s performance. The Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board received and reviewed information regarding the investment performance of the Portfolio as compared to other funds in its applicable Broadridge category. The Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. The Board was provided with information on the composition of the Broadridge performance universes and expense universes. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of the Master Portfolio and the Portfolio, as applicable, throughout the year.

The Board noted that for each of the one-, three- and five-year periods reported, the Portfolio ranked in the second quartile, against its Broadridge Performance Universe.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio and the Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s contractual advisory fee rate compared with the other funds in the Portfolio’s Broadridge category. The contractual advisory rate is shown before taking into account any reimbursements or fee waivers. The Board also compared the Portfolio’s total expense ratio, as well as the Master Portfolio’s actual advisory fee rate, to those of other funds in the Portfolio’s Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual advisory fee rate gives effect to any advisory fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio and the Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and the Portfolio, as applicable, and other funds the Board currently oversees for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. The Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

In addition, the Board considered the cost of the services provided to the Master Portfolio and the Portfolio by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolio and the Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing the Master Portfolio and the Portfolio, to the Master Portfolio or the Portfolio, as pertinent. The Board may receive and review information from independent third parties as part of its annual evaluation. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Master Portfolio and the Portfolio in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.



76	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (concluded)

The Board noted that the Master Portfolio’s contractual advisory fee rate ranked in the first quartile, and that the actual advisory fee rate and the Portfolio’s total expense ratio ranked in the second and first quartiles, respectively, relative to the Portfolio’s Expense Peers. The Board also noted that the Master Portfolio has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the Master Portfolio increases above certain contractually specified levels. The Board further noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate the Master Portfolio/Portfolio for the fees and expenses of the Independent Board Members, counsel to the Independent Board Members and the Master Portfolio’s/Portfolio’s independent registered public accounting firm.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio and the Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolio and the Portfolio benefit from such economies in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolio and the Portfolio to more fully participate in these economies of scale. The Board considered the Master Portfolio’s asset levels and whether the current fee schedule was appropriate.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Master Portfolio and the Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolio and the Portfolio, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Portfolio shares if they believe that the Portfolio’s and/or the Master Portfolio’s fees and expenses are too high or if they are dissatisfied with the performance of the Portfolio.

Conclusion

The Board of the Master Fund, including the Independent Board Members, approved the continuation of (i) the Advisory Agreement between the Manager and the Master Fund, with respect to the Master Portfolio, (ii) the BFA Sub-Advisory Agreement between the Manager and BFA with respect to the Master Portfolio and (iii) the BIL Sub-Advisory Agreement between the Manager and BIL with respect to the Master Portfolio, each for a one-year term ending June 30, 2017. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board of the Master Fund, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Master Portfolio and its shareholders. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreements with respect to the Master Portfolio and found the Agreements to be satisfactory. In arriving at its decision to approve the Agreements, the Board of the Master Fund did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	77


Officers and Trustees

Rodney D. Johnson, Chair of the Board and Trustee

David O. Beim, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Dr. Matina S. Horner, Trustee

Cynthia A. Montgomery, Trustee

Barbara G. Novick, Trustee

Joseph P. Platt, Trustee

Robert C. Robb, Jr., Trustee

Mark Stalnecker, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Frederick W. Winter, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Richard Hoerner, CFA, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Fernanda Piedra, Anti-Money Laundering Compliance Officer

Benjamin Archibald, Secretary

Effective February 5, 2016, Frank J. Fabozzi resigned as a Trustee of the Trust/MIP.

Effective February 8, 2016, Susan J. Carter, Neil A. Cotty and Claire A. Walton were elected to serve as Trustees of the Trust/MIP.



78	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Additional Information

Proxy Results

BlackRock Funds III

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of the Trust.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		61,938,311,360		43,835,788
Susan J. Carter		61,780,259,925		201,887,223
Collette Chilton		61,948,124,716		34,022,432
Neil A. Cotty		61,775,834,676		206,312,472
Matina S. Horner		61,940,727,663		41,419,485
Rodney D. Johnson		61,941,649,924		40,497,224
Cynthia A. Montgomery		61,943,332,673		38,814,475
Joseph P. Platt		61,944,232,208		37,914,940
Robert C. Robb, Jr.		61,944,234,953		37,912,195
Mark Stalnecker		61,943,725,951		38,421,197
Kenneth L. Urish		61,944,152,210		37,994,938
Claire A. Walton		61,784,560,644		197,586,504
Frederick W. Winter		61,939,767,717		42,379,431
Barbara G. Novick		61,947,782,498		34,364,650
John M. Perlowski		61,944,381,941		37,765,207

Denotes Trust-wide proposal and voting results.

Master Investment Portfolio

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of MIP.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		93,744,625,170		102,294,210
Susan J. Carter		93,564,604,497		282,314,883
Collette Chilton		93,778,667,881		68,251,499
Neil A. Cotty		93,524,182,594		322,736,786
Matina S. Horner		93,744,748,738		102,170,642
Rodney D. Johnson		93,743,366,844		103,552,536
Cynthia A. Montgomery		93,738,956,489		107,962,891
Joseph P. Platt		93,750,384,350		96,535,030
Robert C. Robb, Jr.		93,749,078,613		97,840,767
Mark Stalnecker		93,668,711,867		178,207,513
Kenneth L. Urish		93,694,700,012		152,219,368
Claire A. Walton		93,569,519,963		277,399,417
Frederick W. Winter		93,699,601,190		147,318,190
Barbara G. Novick		93,778,480,450		68,438,930
John M. Perlowski		93,744,975,345		101,944,035

Denotes Trust-wide proposal and voting results.



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	79


Additional Information (continued)

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 files their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s/Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s/Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Fund/Master Portfolio uses to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund’s/Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.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 http://www.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 reach us on the Web at http://www.blackrock.com/funds.

Automatic Investment Plans

Investor Class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

Systematic Withdrawal Plans

Investor Class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account 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.



80	BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016


Additional Information (concluded)

BlackRock Privacy Principles



BLACKROCK COREALPHA BOND FUND	JUNE 30, 2016	81

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.

LOGO


CAB-6/16-SAR

JUNE 30, 2016

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock Disciplined International Fund | of BlackRock Funds III

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


	Page
The Markets in Review		3
Semi-Annual Report:
Fund Summary		4
About Fund Performance		6
Disclosure of Expenses		6
Derivative Financial Instruments		6
Fund Financial Statements:
Statement of Assets and Liabilities		7
Statement of Operations		8
Statements of Changes in Net Assets		9
Fund Financial Highlights		10
Fund Notes to Financial Statements		13
Master Portfolio Information		16
Derivative Financial Instruments		16
Master Portfolio Financial Statements:
Schedule of Investments		17
Statement of Assets and Liabilities		25
Statement of Operations		26
Statements of Changes in Net Assets		27
Master Portfolio Financial Highlights		28
Master Portfolio Notes to Financial Statements		29
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement		36
Officers and Trustees		42
Additional Information		43

LOGO



2	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016

The Markets in Review

Dear Shareholder,

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of June 30, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		3.84	%		3.99	%
U.S. small cap equities (Russell 2000^® Index)		2.22			(6.73	)
International equities (MSCI Europe, Australasia, Far East Index)		(4.42	)		(10.16	)
Emerging market equities (MSCI Emerging Markets Index)		6.41			(12.05	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.15			0.19
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		7.95			9.49
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)		5.31			6.00
Tax-exempt municipal bonds (S&P Municipal Bond Index)		4.35			7.80
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		9.06			1.65
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



		THIS PAGE NOT PART OF YOUR FUND REPORT				3


Fund Summary as of June 30, 2016


Investment Objective

BlackRock Disciplined International Fund’s (the “Fund”) investment objective is to seek to provide long-term returns in excess of the total rate of return of the MSCI Europe Australasia Far East (“EAFE”) Index.

Portfolio Management Commentary

How did the Fund perform?

•

For the six-month period ended June 30, 2016, the Fund’s Institutional Shares returned (5.34)%, Investor A Shares returned (5.46)% and Class K Shares returned (5.25)%. For the same period, the benchmark MSCI EAFE Index (the “Index”) returned (4.42)%.

•

Returns for the Fund’s respective share classes differ from the Index based on individual share-class expenses. The Fund invests all of its assets in International Tilts Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.

What factors influenced performance?

•

As the market strengthened in February, indicators that capture sentiment from sell-side analysts struggled, including insights based on forecasts, recommendation changes and analysts’ reports. In terms of country selection, overweight allocations to Italy and Japan detracted notably, as concerns about global growth and the market’s pessimistic reaction to negative interest rates in the eurozone and Japan weighed on these positions.

•

Across the second quarter of 2016, capturing medium-term trends in stock returns proved difficult, with two periods proving especially challenging. Specifically, oil rallied in mid-April on expectations for a surprise output cut agreement, leading to notable underperformance in stock selection driven by the comments of industrial firm sell-side analysts. In June, the surprise result of the United Kingdom’s referendum on leaving the European Union led statistical insights to struggle as the outlook for U.K. and European financial firms became clouded. The Master Portfolio’s overweight position in Italy was also a key detractor over this period.

•

On the positive side, the Master Portfolio’s focus on high-quality companies with shareholder-friendly policies, proven efficient and

productive use of their assets and stable growth in fundamentals added to relative performance. This was particularly apparent in March within the industrials sector and over the second quarter in Europe as concerns about the U.K. vote on leaving the European Union escalated.

Describe recent portfolio activity.

•

With an outlook for elevated political and economic uncertainty on top of an already fragile macroeconomic backdrop and a relatively mature market cycle, the Master Portfolio has been shifting some exposure toward more defensive styles, while trimming any remaining indirect exposure informed by hedge fund positioning. The Master Portfolio slightly increased exposure to macro-based country and industry selection. Conversely, the Master Portfolio reduced exposure to contrarian indicators, given the uncertainty around Europe and accompanying potential for volatility.

•

The Master Portfolio held a slightly above-average weighting in cash at certain points during the period. The investment advisor routinely puts cash related to shareholder contributions in equity futures to minimize the impact of cash holdings. As the period progressed, the cash was invested as opportunities arose, and the Master Portfolio ended the period with a cash position of about 1%. The Master Portfolio’s cash position had no material impact to performance over the period.

Describe portfolio positioning at period end.

•

Relative to the MSCI EAFE Index, the Master Portfolio’s largest overweight positions at the country level were Australia and Finland, while the largest underweights were the United Kingdom and Germany. At the sector level, the Master Portfolio had significantly overweight positions in industrials and utilities, while having large underweight positions in financials and information technology.

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	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016

Total Return Based on a $10,000 Investment

LOGO

Assuming maximum sales charges, transaction cost and other operating expenses, including administration fees, if any. Institutional Shares do not have a sales charge.

The Fund invests all of its assets in the Master Portfolio. The Master Portfolio invests primarily in common stocks.

A free-float adjusted, market capitalization-weighted index designed to measure equity performance of developed markets, excluding the United States and Canada.

⁴

Commencement of operations of the Master Portfolio.

Performance Summary for the Period Ended June 30, 2016


				Average Annual Total Returns⁵
				1 Year						Since Inception⁶
	6-Month Total Returns			w/o sales charge			with sales charge			w/o sales charge			with sales charge
Institutional		(5.34	)%		(10.92	)%		N/A			(2.35	)%		N/A
Investor A		(5.46	)		(11.14	)		(15.83	)%		(2.59	)		(4.53	)%
Class K		(5.25	)		(10.74	)		N/A			(2.15	)		N/A
MSCI EAFE Index		(4.42	)		(10.16	)		N/A			(3.29	)		N/A

⁵

⁶

The Master Portfolio commenced operations on October 31, 2013.

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

Past performance is not indicative of future results.

Expense Example


	Actual						Hypothetical²
	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period¹		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period¹		Annualized Expense Ratio
Institutional	$	1,000.00	$	946.60	$	3.39	$	1,000.00	$	1,021.38	$	3.52		0.70	%
Investor A	$	1,000.00	$	945.40	$	4.64	$	1,000.00	$	1,020.09	$	4.82		0.95	%
Class K	$	1,000.00	$	947.50	$	2.42	$	1,000.00	$	1,022.38	$	2.51		0.50	%

For each class of the Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366. 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.

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.

See “Disclosure of Expenses” on page 6 for further information on how expenses were calculated.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	5


About Fund Performance

•

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

•

Investor A Shares are subject to a maximum initial sales charge (front-end load) of 5.25% and a service fee of 0.25% (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.

Prior to September 9, 2015, the performance of the classes is based on the returns of the Master Portfolio in which the Fund invests all of its assets adjusted to reflect the estimated annual fund fees and operating expenses of each respective share class of the Fund.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds

to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Figures shown in the performance table on the previous page assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of the different levels of administration, service and distribution fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (“BAL” or the “Administrator”), the Fund’s administrator, contractually waived a portion of the Fund’s expenses. Without such waiver, the Fund’s performance would have been lower. The Administrator is under no obligation to waive or to continue waiving its fees and such voluntary waiver may be reduced or discontinued at any time. See Note 4 of the Notes to Financial Statements for additional information on waivers.

Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses and other Fund expenses. The expense example on previous page (which is based on a hypothetical investment of $1,000 invested on January 1, 2016 and held through June 30, 2016) 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.

Derivative Financial Instruments

default of the counterparty to the transaction or illiquidity of the instrument. The Master Portfolio’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.



6	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016


Statement of Assets and Liabilities		BlackRock Disciplined International Fund


June 30, 2016 (Unaudited)

Assets
Investments at value — Master Portfolio (cost — $4,738,029)	$	4,580,809

Total assets		4,580,809


Liabilities
Payables:
Income dividends		58,949
Professional fees		8,153
Administration fees		96
Service fees		11

Total liabilities		67,209

Net Assets	$	4,513,600


Net Assets Consist of
Paid-in capital	$	5,006,649
Distributions in excess of net investment income		(1,626	)
Accumulated net realized loss allocated from the Master Portfolio		(334,203	)
Net unrealized appreciation (depreciation) allocated from the Master Portfolio		(157,220	)

Net Assets	$	4,513,600


Net Asset Value
Institutional — Based on net assets of $45,069 and 5,000 shares outstanding, unlimited number of shares authorized, no par value	$	9.01

Investor A — Based on net assets of $51,607 and 5,725 shares outstanding, unlimited number of shares authorized, no par value	$	9.01

Class K — Based on net assets of $4,416,924 and 490,000 shares outstanding, unlimited number of shares authorized, no par value	$	9.01


Statement of Operations		BlackRock Disciplined International Fund


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Net investment income allocated from the Master Portfolio:
Dividends — unaffiliated	$	114,426
Securities lending — affiliated — net		700
Dividends — affiliated		119
Expenses		(10,768	)
Foreign taxes withheld		(17,990	)
Fees waived		1,614

Total income		88,101


Fund Expenses
Professional		7,088
Administration — class specific		2,393
Service — class specific		66
Miscellaneous		54

Total expenses		9,601
Less fees waived by the Administrator		(7,088	)

Total expenses after fees waived		2,513

Net investment income		85,588


Realized and Unrealized Gain (Loss) Allocation from the Master Portfolio
Net realized loss from investments, futures contracts and foreign currency transactions		(151,696	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(183,518	)

Net realized and unrealized loss		(335,214	)

Net Decrease in Net Assets Resulting from Operations	$	(249,626	)


Statements of Changes in Net Assets		BlackRock Disciplined International Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Period September 9, 2015¹to December 31, 2015

Operations
Net investment income	$	85,588		$	27,057
Net realized loss		(151,696	)		(1,992	)
Net change in unrealized appreciation (depreciation)		(183,518	)		26,298

Net increase (decrease) in net assets resulting from operations		(249,626	)		51,363


Distributions to Shareholders²
From net investment income:
Institutional		(955	)		(249	)
Investor A		(870	)		(210	)
Class K		(84,530	)		(27,457	)
From net realized gain:
Institutional		—			(1,805	)
Investor A		—			(1,805	)
Class K		—			(176,905	)

Decrease in net assets resulting from distributions to shareholders		(86,355	)		(208,431	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		5,210			5,001,439


Net Assets
Total increase (decrease) in net assets		(330,771	)		4,844,371
Beginning of period		4,844,371			—

End of period	$	4,513,600		$	4,844,371

Distributions in excess of net investment income, end of period	$	(1,626	)	$	(859	)

Commencement of operations.

Distributions for annual periods determined in accordance with federal income tax regulations.


Financial Highlights		BlackRock Disciplined International Fund


	Institutional
		Six Months Ended June 30, 2016 (Unaudited)			Period September 9, 2015¹ to December 31, 2015

Per Share Operating Performance
Net asset value, beginning of period		$	9.69		$	10.00

Net investment income²			0.18			0.05
Net realized and unrealized gain (loss)			(0.70	)		0.05

Net increase (decrease) from investment operations			(0.52	)		0.10

Distributions:³
From net investment income			(0.16	)		(0.05	)
From net realized gain			—			(0.36	)

Total distributions			(0.16	)		(0.41	)

Net asset value, end of period		$	9.01		$	9.69


Total Return⁴
Based on net asset value			(5.34)%	⁵		1.03%	⁵


Ratios to Average Net Assets⁶
Total expenses			0.99%	^7,8		1.08%	^7,8,9

Total expenses after fees waived			0.70%	^7,8		0.71%	^7,8

Net investment income			3.99%	^7,8		1.56%	^7,8


Supplemental Data
Net assets, end of period (000)		$	45		$	48

Portfolio turnover rate of the Master Portfolio			51%			107%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷

Annualized.

⁸

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.07% and 0.07%, respectively.

⁹

Audit fees were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.91%.


Financial Highlights (continued)		BlackRock Disciplined International Fund


	Investor A
		Six Months Ended June 30, 2016 (Unaudited)			Period September 9, 2015¹ to December 31, 2015

Per Share Operating Performance
Net asset value, beginning of period		$	9.69		$	10.00

Net investment income²			0.15			0.04
Net realized and unrealized gain (loss)			(0.68	)		0.05

Net increase (decrease) from investment operations			(0.53	)		0.09

Distributions³
From net investment income			(0.15	)		(0.04	)
From net realized gain			—			(0.36	)

Total distributions			(0.15	)		(0.40	)

Net asset value, end of period		$	9.01		$	9.69


Total Return⁴
Based on net asset value			(5.46)%	⁵		0.95%	⁵


Ratios to Average Net Assets⁶
Total expenses			1.26%	^7,8		1.33%	^7,8,9

Total expenses after fees waived			0.95%	^7,8		0.96%	^7,8

Net investment income			3.40%	^7,8		1.31%	^7,8


Supplemental Data
Net assets, end of period (000)		$	52		$	50

Portfolio turnover rate of the Master Portfolio			51%			107%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, excludes the effect of any sales charges and assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷

Annualized.

⁸

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.07% and 0.07%, respectively.

⁹

Audit fees were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.71%.


Financial Highlights (concluded)		BlackRock Disciplined International Fund


	Class K
		Six Months Ended June 30, 2016 (Unaudited)			Period September 9, 2015¹ to December 31, 2015

Per Share Operating Performance
Net asset value, beginning of period		$	9.69		$	10.00

Net investment income²			0.17			0.05
Net realized and unrealized gain (loss)			(0.68	)		0.06

Net increase (decrease) from investment operations			(0.51	)		0.11

Distributions:³
From net investment income			(0.17	)		(0.06	)
From net realized gain			—			(0.36	)

Total distributions			(0.17	)		(0.42	)

Net asset value, end of period		$	9.01		$	9.69


Total Return⁴
Based on net asset value			(5.25	)%⁵		1.10%	⁵


Ratios to Average Net Assets⁶
Total expenses			0.81%	^7,8		0.88%	^7,8,9

Total expenses after fees waived			0.50%	^7,8		0.50%	^7,8

Net investment income			3.83%	^7,8		1.77%	^7,8


Supplemental Data
Net assets, end of period (000)		$	4,417		$	4,746

Portfolio turnover rate of the Master Portfolio			51%			107%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷

Annualized.

⁸

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.07% and 0.07%, respectively.

⁹

Audit fees were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.71%.


Notes to Financial Statements (Unaudited)				BlackRock Disciplined International Fund

1. Organization:

BlackRock Disciplined International Fund (the “Fund”) is a series of BlackRock Funds III (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified open-end management investment company. The Trust is organized as a Delaware statutory trust. The Fund seeks to achieve its investment objective by investing all of its assets in International Tilts Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”). MIP is an affiliate of the Trust. The Master Portfolio has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At June 30, 2016, the percentage of the Master Portfolio owned by the Fund was 1.6%. As such, 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 Funds’ 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. Institutional and Class K Shares are sold without a sales charge and only to certain eligible investors. Investor A Shares are generally sold with an initial sales charge, and may be subject to a contingent deferred sales charge (“CDSC”) for certain redemptions where no initial sales charge was paid at the time of purchase. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures. The Boards of Trustees of the Trust and Boards of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees”.

Share Class

Initial Sales Charge

CDSC

Conversion Privilege

Institutional Shares

None

Investor A Shares

Yes

None

Class K Shares

None

Investor A Shares may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase.

The Fund, together with certain other registered investment companies administered by BlackRock Advisors, LLC (“BAL” or the “Manager”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

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

Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. 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. 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.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	13


Notes to Financial Statements (continued)		BlackRock Disciplined International Fund

The Fund has an arrangement with its custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective October 2015, the custodian is imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

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

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Administration

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


	Institutional		Investor A		Class K
Rate		0.30%		0.30%		0.10%

For the six months ended June 30, 2016, the following table shows the class specific administration fees borne directly by each class of the Fund:


Institutional	Investor A		Class K		Total
$ 81	$	78	$	2,234	$	2,393

BAL is entitled to receive an annual administrative fee of 0.05% of the Master Portfolio’s average daily net assets. BAL has contractually agreed to waive this administration fee through April 30, 2017. This waiver agreement may be terminated upon 90 days’ notice by a majority of the non-interested Trustees of MIP or by a majority of the outstanding voting securities of the Master Portfolio.

Service Fees

The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of BAL. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service fees. The fees are accrued daily and paid monthly at an annual rate of 0.25% based upon the average daily net assets of Investor A Shares.

BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing to the Fund. The ongoing service fee compensates BRIL and each broker-dealer for providing shareholder servicing related services to the shareholders.

For the six months ended June 30, 2016, the Investor A service fee was $66.

Expense Waivers

The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Fund. BAL has contractually agreed to provide an offsetting credit against the administration fees paid by the Fund in an amount equal to the independent expenses through April 30, 2017. These amounts are included in fees waived by the administrator in the Statements of Operations.



14	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016


Notes to Financial Statements (concluded)				BlackRock Disciplined International Fund

Officers and Trustees

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

5. Income Tax Information:

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 the period ended December 31, 2015. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:


	Six Months Ended June 30, 2016						Period September 9, 2015¹ to December 31, 2015
	Shares			Amount			Shares		Amount
Institutional
Shares sold		2,657		$	25,000			5,000	$	50,000
Shares issued in reinvestment of distributions		15			139			—		—
Shares redeemed		(2,672	)		(25,141)			—		—

Net increase (decrease)		—		$	(2	)		5,000	$	50,000


Investor A
Shares sold		563		$	5,103			5,150	$	51,439
Shares issued in reinvestment of distributions		12			109			—		—

Net increase		575		$	5,212			5,150	$	51,439


Class K
Shares sold		—			—			490,000	$	4,900,000

Net increase		—			—			490,000	$	4,900,000

Total Net Increase		575		$	5,210			500,150	$	5,001,439

Commencement of operations.

7. Subsequent Events:



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	15


Portfolio Information as of June 30, 2016		International Tilts Master Portfolio


Ten Largest Holdings	Percent of Net Assets
Nestle SA, Registered Shares		2	%
British American Tobacco PLC		2
Novo Nordisk A/S, Class B		1
Sanofi		1
HSBC Holdings PLC		1
Roche Holding AG		1
Bayer AG, Registered Shares		1
Novartis AG, Registered Shares		1
Industria de Diseno Textil SA		1
Kone OYJ, Class B		1


Geographic Allocation	Percent of Net Assets
Japan		23	%
United Kingdom		15
France		9
Switzerland		9
Australia		8
United States		7
Germany		7
Netherlands		5
Spain		4
Italy		3
Sweden		2
Denmark		2
Finland		2
Hong Kong		2
Singapore		2
Other¹		2
Liabilities in Excess of Other Assets		(2	)

Other includes a 1% or less investment in each of the following countries: Austria, Belgium, Ireland, Isle of Man, Israel, Luxembourg, New Zealand, Norway and Portugal.


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 asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Master Portfolio’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.



16	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016

Schedule of Investments June 30, 2016 (Unaudited)

International Tilts Master Portfolio

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Australia — 8.3%
Amcor Ltd.		31,833	$	357,917
Aristocrat Leisure Ltd.		122,203		1,271,284
Australia & New Zealand Banking Group Ltd. (a)		92,383		1,683,223
BHP Billiton Ltd.		148,751		2,073,027
BlueScope Steel Ltd.		8,093		39,102
Caltex Australia Ltd.		51,213		1,234,742
CIMIC Group Ltd.		17,971		485,174
Commonwealth Bank of Australia (a)		32,572		1,828,272
CSL Ltd.		7,452		628,446
CSR Ltd.		74,540		204,922
DUET Group (b)		15,316		28,727
DuluxGroup Ltd. (a)		5,590		26,606
Fortescue Metals Group Ltd.		238,539		638,341
Goodman Group		3,313		17,769
GPT Group		10,494		42,675
JB Hi-Fi Ltd. (a)		1,809		32,783
Medibank Pvt Ltd.		110,292		244,579
Mirvac Group		339,942		516,999
National Australia Bank Ltd. (a)		101,338		1,945,630
Northern Star Resources Ltd.		85,705		317,286
Oil Search Ltd.		15,927		80,425
Orora Ltd.		13,277		27,567
OZ Minerals, Ltd.		38,911		166,984
Qantas Airways Ltd. (c)		520,763		1,103,144
QBE Insurance Group Ltd.		21,272		168,040
Rio Tinto Ltd. (a)		20,787		719,034
Scentre Group		55,240		204,607
South32 Ltd. (c)		51,274		60,133
Stockland (a)		192,082		681,026
Suncorp Group Ltd.		68,735		630,294
Sydney Airport (b)		445,685		2,327,208
Telstra Corp. Ltd.		344,020		1,437,911
Wesfarmers Ltd. (a)		5,128		154,644
Westpac Banking Corp.		90,526		2,007,463
Woolworths Ltd. (a)		29,942		470,944
WorleyParsons Ltd.		4,982		27,339

				23,884,267
Austria — 0.5%
Erste Group Bank AG (c)		27,492		625,937
OMV AG		15,234		428,238
Raiffeisen Bank International AG (a)(c)		1,652		20,869
Schoeller-Bleckmann Oilfield Equipment AG (a)		74		4,477
Vienna Insurance Group AG (a)		1,137		21,594
Voestalpine AG		5,248		176,622
Wienerberger AG		9,874		138,364

				1,416,101
Belgium — 1.5%
Ageas		14,052		488,437
Anheuser-Busch InBev SA		9,989		1,320,909
bpost SA		53,044		1,357,855
Delhaize Group		1,194		126,127
Euronav NV (a)		2,368		21,867
Groupe Bruxelles Lambert SA		1,908		156,467
NV Bekaert SA		913		39,770
Proximus		11,802		375,049
Telenet Group Holding NV (a)(c)		6,255		286,019

				4,172,500


Common Stocks	Shares		Value
Denmark — 2.2%
Carlsberg A/S, Class B (a)		2,484	$	236,993
Danske Bank A/S		23,146		609,211
ISS A/S		11,469		431,353
NKT Holding A/S		3,560		180,041
Novo Nordisk A/S, Class B		78,102		4,206,018
Pandora A/S		4,810		655,119

				6,318,735
Finland — 2.2%
Cargotec OYJ		8,332		339,571
Elisa OYJ		3,036		116,653
Fortum OYJ		10,303		165,532
Kone OYJ, Class B		62,116		2,866,673
Metso OYJ		22,584		530,946
Stora Enso OYJ, Class R		116,347		935,672
UPM-Kymmene OYJ		69,348		1,273,975

				6,229,022
France — 9.4%
Air France-KLM (c)		16,642		105,025
AtoS SE		2,951		243,307
AXA SA		106,372		2,103,252
BNP Paribas SA		32,893		1,442,539
Bouygues SA		2,373		67,982
Christian Dior SA		640		102,523
Cie Generale des Etablissements Michelin		18,049		1,700,948
CNP Assurances		11,273		166,319
Compagnie de Saint-Gobain		34,858		1,321,313
Credit Agricole SA		37,530		315,512
Danone SA		2,721		190,423
Electricite de France SA (a)		56,817		688,918
Engie SA		48,261		774,910
Faurecia		5,554		176,326
Hermes International		25		9,319
ICADE		683		47,995
Klepierre		1,073		47,346
Lagardere SCA		17,220		374,570
LVMH Moet Hennessy Louis Vuitton SA		2,456		370,204
Metropole Television SA		10,510		174,739
Orange SA		42,755		695,218
Peugeot SA (c)		149,325		1,789,823
Plastic Omnium SA		2,535		70,869
Renault SA		4,547		343,287
Safran SA		33,632		2,264,838
Sanofi		46,495		3,862,929
SCOR SE		10,848		320,721
Societe Generale SA		17,824		557,640
Technicolor SA, Registered Shares		29,799		184,532
Technip SA		8,192		443,391
Thales SA		24,460		2,031,262
TOTAL SA		40,479		1,941,210
Valeo SA		42,562		1,889,500
Wendel SA		1,108		114,549

				26,933,239
Germany — 7.4%
Allianz SE, Registered Shares		17,785		2,537,162
BASF SE		7,357		564,125
Bayer AG, Registered Shares		33,566		3,371,194
Continental AG (a)		6,413		1,213,510

See Notes to Financial Statements.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	17


Schedule of Investments (continued)		International Tilts Master Portfolio


Common Stocks	Shares		Value
Germany (continued)
Covestro AG (d)		615	$	27,392
Daimler AG, Registered Shares		4,779		285,967
Deutsche Post AG, Registered Shares		8,912		251,073
Deutsche Telekom AG, Registered Shares (a)		65,206		1,111,910
Dialog Semiconductor PLC (a)(c)		13,460		403,308
Duerr AG		379		28,778
E.ON SE		186,545		1,883,137
Evonik Industries AG		44,256		1,319,207
Hannover Rueck SE		174		18,231
Hochtief AG		16,674		2,152,791
KION Group AG		8,243		399,521
Lanxess AG		1,136		49,840
Linde AG		3,409		474,998
Metro AG		4,224		129,914
OSRAM Licht AG		20,204		1,049,735
Porsche Automobil Holding SE, Preference Shares		3,555		164,319
ProSiebenSat.1 Media AG, Registered Shares (c)		32,638		1,427,653
Rhoen Klinikum AG		3,427		100,313
RWE AG (a)(c)		2,873		45,753
SAP SE		8,722		655,067
Siemens AG, Registered Shares		10,178		1,044,478
Software AG		2,132		72,493
Talanx AG (c)		3,508		104,479
TUI AG		21,468		244,347
Volkswagen AG (a)		754		99,952

				21,230,647
Hong Kong — 2.1%
AIA Group Ltd.		81,800		491,923
BOC Hong Kong Holdings Ltd.		19,500		58,760
Cheung Kong Property Holdings Ltd.		23,184		146,074
CK Hutchison Holdings Ltd.		184		2,024
CLP Holdings Ltd.		243,500		2,487,398
Henderson Land Development Co. Ltd.		28,490		160,933
HKT Trust & HKT Ltd. (b)		55,000		79,259
Hong Kong Exchanges & Clearing Ltd.		28,000		682,236
Kerry Properties Ltd.		35,500		87,891
New World Development Co. Ltd.		128,000		130,351
Power Assets Holdings Ltd.		3,000		27,584
Sands China Ltd.		133,600		452,091
SJM Holdings Ltd.		172,000		105,315
Sun Hung Kai Properties Ltd.		26,000		313,791
Swire Properties Ltd.		56,800		151,338
Techtronic Industries Co. Ltd.		16,500		68,904
WH Group Ltd. (d)		156,000		123,551
Wheelock & Co. Ltd.		74,000		347,625

				5,917,048
Ireland — 1.0%
DCC PLC		18,202		1,601,768
Experian PLC		2,169		41,151
Glanbia PLC		1,109		20,836
Shire PLC		17,113		1,057,625

				2,721,380
Isle of Man — 0.0%
Playtech PLC		2,779		29,564
Israel — 0.1%
Azrieli Group Ltd.		345		14,671
Bank Hapoalim BM		4,994		25,159
Teva Pharmaceutical Industries Ltd.		4,081		206,541

				246,371


Common Stocks	Shares		Value
Italy — 2.8%
A2A SpA (a)		50,137	$	65,743
Assicurazioni Generali SpA		65,961		777,837
Enel SpA		310,346		1,377,764
Eni SpA		33,667		542,280
Ferrari NV		7,821		321,070
Intesa Sanpaolo SpA (a)		645,690		1,228,299
Mediaset SpA		148,014		517,612
Mediobanca SpA		186,451		1,074,292
Moncler SpA		27,902		440,499
Parmalat SpA		27,652		71,869
Prada SpA (a)		13,400		41,497
Recordati SpA		6,767		203,548
Salvatore Ferragamo SpA		1,082		22,055
Saras SpA (a)		5,281		9,179
UniCredit SpA		552,047		1,214,090

				7,907,634
Japan — 22.6%
ABC-Mart, Inc.		3,800		255,025
Adastria Holdings Co. Ltd.		600		23,776
Advance Residence Investment Corp.		10		26,799
Ajinomoto Co., Inc.		32,800		772,799
Asahi Group Holdings Ltd.		85,600		2,767,859
Asahi Kasei Corp.		90,000		626,313
Astellas Pharma, Inc.		180,200		2,825,958
Calbee, Inc. (a)		7,000		292,851
Casio Computer Co. Ltd. (a)		4,100		59,041
Central Japan Railway Co.		4,400		782,600
Chubu Electric Power Co., Inc.		17,300		246,197
COMSYS Holdings Corp.		28,900		468,541
Dai-ichi Life Insurance Co. Ltd.		44,200		494,792
Daicel Corp.		42,700		442,460
Daiichi Sankyo Co. Ltd.		27,700		672,974
Daito Trust Construction Co. Ltd.		9,200		1,493,734
Daiwa Securities Group, Inc.		29,000		152,783
DIC Corp. (a)		600		12,566
Dowa Holdings Co. Ltd.		26,000		134,013
East Japan Railway Co.		18,700		1,732,991
Eisai Co. Ltd.		5,400		301,515
Electric Power Development Co. Ltd.		1,100		25,628
Fuji Electric Co. Ltd.		20,000		83,271
Fuji Heavy Industries Ltd.		61,100		2,100,213
Fuji Media Holdings, Inc.		3,700		41,603
FUJIFILM Holdings Corp.		8,900		345,324
Fujitsu General Ltd.		63,000		1,403,183
Fujitsu Ltd.		9,000		33,096
Glory Ltd.		900		24,489
Gree, Inc. (a)		5,000		28,338
GungHo Online Entertainment, Inc. (a)		10,600		28,722
Hankyu Hanshin Holdings, Inc.		40,000		298,262
Haseko Corp.		81,300		818,512
Hitachi Capital Corp.		1,500		29,770
Hitachi Ltd.		110,000		460,884
Honda Motor Co. Ltd.		2,600		65,222
Hoya Corp.		54,300		1,939,378
Hulic Co. Ltd.		5,800		61,118
Iida Group Holdings Co. Ltd.		10,800		221,174
ITOCHU Corp.		16,800		205,518
Japan Airlines Co. Ltd.		10,800		347,464
Japan Aviation Electronics Industry Ltd.		3,000		41,381
Japan Petroleum Exploration Co.		12,300		247,932

See Notes to Financial Statements.



18	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016


Schedule of Investments (continued)		International Tilts Master Portfolio


Common Stocks	Shares		Value
Japan (continued)
Japan Post Bank Co. Ltd.		15,200	$	178,731
Japan Tobacco, Inc. (a)		32,600		1,313,851
JX Holdings, Inc.		103,200		402,822
K’s Holdings Corp.		1,600		29,859
Kaken Pharmaceutical Co. Ltd.		2,500		163,905
Kansai Electric Power Co., Inc. (c)		10,500		102,262
Kao Corp.		28,500		1,659,900
KDDI Corp.		9,600		291,933
Kikkoman Corp.		16,000		590,400
Kinden Corp.		6,600		71,444
Kyushu Electric Power Co. Inc. (a)		3,700		37,109
Lintec Corp.		13,900		272,216
Marubeni Corp.		5,800		26,203
Matsumotokiyoshi Holdings Co. Ltd.		1,600		78,220
Miraca Holdings, Inc.		800		34,694
Mitsubishi Corp.		17,200		302,846
Mitsubishi Electric Corp.		41,000		489,472
Mitsubishi Estate Co. Ltd.		32,000		586,969
Mitsubishi Gas Chemical Co., Inc.		16,000		83,471
Mitsubishi Heavy Industries Ltd.		47,000		188,997
Mitsubishi Motors Corp.		3,300		15,234
Mitsubishi Tanabe Pharma Corp.		10,500		189,716
Mitsubishi UFJ Financial Group, Inc.		121,700		545,563
Mitsui & Co. Ltd.		5,800		69,236
Mitsui Fudosan Co. Ltd.		1,000		22,951
Mixi, Inc.		1,000		41,345
Mizuho Financial Group, Inc.		1,493,800		2,149,665
Murata Manufacturing Co. Ltd.		6,300		706,322
Nexon Co. Ltd. (a)		45,600		674,882
NGK Spark Plug Co. Ltd. (a)		3,300		49,813
NH Foods Ltd.		60,000		1,469,639
Nichirei Corp.		4,000		36,903
Nikon Corp.		4,100		55,513
Nippon Shokubai Co. Ltd.		4,900		281,830
Nippon Steel & Sumitomo Metal Corp.		6,100		118,094
Nippon Telegraph & Telephone Corp.		48,600		2,279,091
Nippon Television Network Corp.		3,500		57,787
Nippon Yusen KK		36,000		63,332
Nishimatsu Construction Co. Ltd.		11,000		51,281
Nissan Chemical Industries Ltd. (a)		17,100		498,931
Nissan Motor Co. Ltd.		169,600		1,513,564
Nissin Foods Holdings Co. Ltd.		1,600		87,378
Nitori Holdings Co. Ltd.		1,100		133,412
Nomura Holdings, Inc.		18,100		64,374
Nomura Real Estate Holdings, Inc.		32,600		569,656
NSK Ltd.		2,900		21,228
NTT DoCoMo, Inc.		85,500		2,305,810
Obic Co. Ltd.		11,400		627,528
Oki Electric Industry Co. Ltd.		192,000		256,853
OKUMA Corp.		7,000		46,015
Omron Corp. (a)		7,700		251,334
ORIX Corp.		43,200		559,028
Osaka Gas Co. Ltd.		50,000		192,224
OSG Corp. (a)		7,600		126,603
Panasonic Corp.		50,100		431,037
Penta-Ocean Construction Co. Ltd.		2,100		11,104
Pigeon Corp.		2,700		80,715
Pola Orbis Holdings, Inc.		400		37,644
Resona Holdings, Inc.		168,500		615,853
Rohm Co. Ltd.		800		31,576


Common Stocks	Shares		Value
Japan (continued)
Secom Co. Ltd.		400	$	29,573
Seino Holdings Co Ltd.		2,400		22,002
Senshu Ikeda Holdings, Inc.		21,500		80,137
Seven & i Holdings Co. Ltd.		5,900		247,376
Seven Bank Ltd.		44,300		137,503
Shin-Etsu Chemical Co. Ltd.		14,000		820,238
Shionogi & Co. Ltd.		18,200		994,922
Skylark Co. Ltd. (a)		7,800		98,861
SMC Corp. (a)		400		98,410
Softbank Group Corp.		1,800		101,794
Sompo Japan Nipponkoa Holdings, Inc.		2,100		55,886
Square Enix Holdings Co., Ltd.		1,200		38,956
Start Today Co. Ltd.		6,900		364,725
Sumitomo Chemical Co. Ltd.		12,000		49,513
Sumitomo Corp.		6,100		61,487
Sumitomo Dainippon Pharma Co. Ltd. (a)		10,300		178,528
Sumitomo Electric Industries Ltd.		25,800		341,474
Sumitomo Forestry Co., Ltd.		2,200		29,859
Sumitomo Mitsui Financial Group, Inc.		24,000		693,001
Sumitomo Mitsui Trust Holdings, Inc.		571,000		1,857,926
Sumitomo Realty & Development Co. Ltd.		7,000		189,822
Sundrug Co. Ltd.		700		65,726
T&D Holdings, Inc.		3,200		27,174
Tadano Ltd.		77,000		642,918
Taisei Corp.		22,000		180,767
Taiyo Yuden Co Ltd.		17,000		148,376
Tohoku Electric Power Co., Inc.		5,100		64,365
Tokai Rika Co., Ltd.		4,600		67,948
Tokio Marine Holdings, Inc.		83,700		2,786,462
Tokyo Electron Ltd.		1,100		92,960
Tokyo Gas Co. Ltd.		660,000		2,724,980
TonenGeneral Sekiyu KK (a)		22,000		200,410
Tosoh Corp.		53,000		244,469
Toyota Motor Corp.		43,200		2,129,695
TS Tech Co. Ltd.		8,500		208,283
United Arrows Ltd.		900		26,207
West Japan Railway Co.		9,200		583,034
Yakult Honsha Co. Ltd.		1,600		83,157
Zeon Corp.		55,000		356,216

				64,806,577
Luxembourg — 0.0%
Regus PLC		11,257		43,527
Netherlands — 4.9%
Aegon NV		6,218		24,638
Akzo Nobel NV		3,028		188,102
Altice NV Class B (c)		6,868		103,474
ASML Holding NV		13,056		1,285,208
Eurocommercial Properties NV CVA		2,811		119,711
Euronext NV (d)		3,938		144,466
GrandVision NV (d)		2,659		68,779
Heineken Holding NV		2,713		219,812
Heineken NV		18,404		1,688,048
ING Groep NV CVA		13,997		144,811
Koninklijke Ahold NV		128,748		2,843,086
Koninklijke KPN NV		7,923		28,241
Royal Dutch Shell PLC, Class A		78,238		2,148,818
Royal Dutch Shell PLC, Class B		79,321		2,191,526
Unilever NV CVA		58,694		2,729,835

				13,928,555

See Notes to Financial Statements.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	19


Schedule of Investments (continued)		International Tilts Master Portfolio


Common Stocks	Shares		Value
New Zealand — 0.1%
Contact Energy Ltd.		10,505	$	39,000
Spark New Zealand Ltd.		54,037		137,343
Vector Ltd.		5,687		13,395

				189,738
Norway — 0.5%
Fred Olsen Energy ASA (c)		8		24
Orkla ASA		23,888		212,449
Subsea 7 SA (a)(c)		61,926		608,701
Telenor ASA		31,235		517,033

				1,338,207
Portugal — 0.1%
Galp Energia SGPS SA		5,370		74,688
Jeronimo Martins SGPS SA		15,320		241,623
NOS SGPS SA		5,046		30,537

				346,848
Singapore — 1.6%
CapitaLand Commercial Trust Ltd. (a)		557,900		613,623
City Developments Ltd. (a)		46,500		282,573
ComfortDelGro Corp. Ltd.		562,000		1,154,140
DBS Group Holdings Ltd. (a)		24,400		287,698
Jardine Cycle & Carriage Ltd.		5,000		136,779
Noble Group Ltd. (a)(c)		44		7
Singapore Airlines Ltd.		111,100		882,235
Venture Corp. Ltd.		6,200		38,109
Wilmar International Ltd.		73,700		179,408
Yangzijiang Shipbuilding Holdings Ltd.		1,500,000		1,006,060

				4,580,632
Spain — 4.0%
ACS Actividades de Construccion y Servicios SA		48,730		1,336,623
Aena SA (d)		7,589		1,005,925
Amadeus IT Holding SA, Class A (a)		27,750		1,222,629
Banco Bilbao Vizcaya Argentaria SA		63,389		363,184
Banco de Sabadell SA		17,650		23,373
Banco Popular Espanol SA (a)		117,500		152,698
Banco Santander SA		259,221		1,005,952
Bankinter SA (a)		45,142		291,398
CaixaBank SA (a)		220,718		486,456
Ebro Foods SA (a)		1,004		23,110
Endesa SA		10,897		218,654
Grifols SA		16,866		383,134
Industria de Diseno Textil SA (a)		92,518		3,108,045
Mediaset Espana Comunicacion SA		70,424		794,989
Repsol SA		89,050		1,141,520

				11,557,690
Sweden — 2.5%
Axfood AB		30,745		590,529
Boliden AB		4,834		94,476
Bonava AB, -B Shares (c)		5,105		61,545
Castellum AB		14,342		203,914
Electrolux AB, Class B		24,214		660,191
Fabege AB		12,987		220,879
Intrum Justitia AB		73,426		2,302,828
Investor AB, Class B		10,565		354,939
Kinnevik AB		5,499		131,452
NCC AB, -B Shares		3,466		80,478
Nordea Bank AB		77,767		659,747


Common Stocks	Shares		Value
Sweden (continued)
Skanska AB, Class B		44,296	$	927,513
Telefonaktiebolaget LM Ericsson, Class B		106,414		817,531
TeliaSonera AB		2		9

				7,106,031
Switzerland — 8.5%
ABB Ltd., Registered Shares (c)		21,281		421,195
Actelion Ltd., Registered Shares (c)		10,850		1,827,113
Adecco SA, Registered Shares		23,458		1,183,176
Banque Cantonale Vaudoise, Registered Shares		73		48,872
Cembra Money Bank AG (c)		288		20,143
Clariant AG (c)		4,371		73,867
EMS-Chemie Holding AG, Registered Shares		112		57,826
GAM Holding AG (c)		1,563		16,686
Georg Fischer AG, Registered Shares		217		173,472
Glencore PLC (c)		369,692		761,979
Kuehne & Nagel International AG, Registered Shares		11,617		1,627,653
Logitech International SA, Registered Shares (a)		27,567		448,170
Lonza Group AG, Registered Shares (c)		10,846		1,801,648
Nestle SA, Registered Shares		81,713		6,330,985
Novartis AG, Registered Shares (a)		39,712		3,277,769
Roche Holding AG		13,171		3,475,560
Schindler Holding AG, Participation Certificates		1,478		267,589
Sika AG, Bearer Shares		19		79,668
STMicroelectronics NV (a)		44,402		259,236
Straumann Holding AG, Registered Shares (a)		582		229,604
Swiss Life Holding AG, Registered Shares (c)		4,317		997,649
Swiss Prime Site AG, Registered Shares (c)		1,310		118,593
Swiss Re AG		9,499		829,647
UBS Group AG		3,795		49,242

				24,377,342
United Kingdom — 15.1%
Anglo American PLC		113,347		1,111,054
ARM Holdings PLC		50,371		765,121
AstraZeneca PLC		21,037		1,257,665
Aviva PLC		18,614		98,120
Barclays PLC		252,332		469,308
Berendsen PLC		3,142		51,049
BHP Billiton PLC		51,356		650,009
Booker Group PLC		67,176		155,565
BP PLC		322,450		1,887,465
British American Tobacco PLC		81,727		5,298,280
Britvic PLC		145,612		1,139,447
BT Group PLC		467,119		2,567,564
BTG PLC (c)		4,118		39,773
Burberry Group PLC		11,858		184,456
Carnival PLC		1,480		65,652
Centrica PLC		150,737		455,827
Close Brothers Group PLC		16,220		245,867
Compass Group PLC		2,022		38,469
Croda International PLC		556		23,340
Derwent London PLC		2,027		70,717
Diageo PLC		38,644		1,079,545
Dixons Carphone PLC		49,199		211,165
DS Smith PLC		6,620		34,250
easyJet PLC		17,139		249,057
Fiat Chrysler Automobiles NV		22,043		135,685
GKN PLC		40,701		147,153

See Notes to Financial Statements.



20	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016


Schedule of Investments (continued)		International Tilts Master Portfolio


Common Stocks	Shares		Value
United Kingdom (continued)
GlaxoSmithKline PLC		64,393	$	1,382,839
Hammerson PLC		24,655		177,579
Hays PLC		22,289		29,123
Henderson Group PLC		10,036		28,670
Hikma Pharmaceuticals PLC (a)		13,621		448,553
Howden Joinery Group PLC		54,111		277,918
HSBC Holdings PLC		570,542		3,534,821
Imperial Brands PLC		13,709		743,476
Inchcape PLC		10,676		89,767
InterContinental Hotels Group PLC		705		26,001
Intermediate Capital Group PLC		10,878		71,271
Intertek Group PLC		40,310		1,878,174
ITV PLC		301,950		723,978
J. Sainsbury PLC (a)		121,474		378,414
Jupiter Fund Management PLC		9,227		45,309
Land Securities Group PLC		1,770		24,630
Legal & General Group PLC		135,523		346,952
Lloyds Banking Group PLC		1,833,056		1,327,662
Man Group PLC		6,123		9,513
Marks & Spencer Group PLC		8,170		34,988
Mondi PLC		12,495		233,937
National Grid PLC		56,100		824,969
Old Mutual PLC		5,775		15,601
Persimmon PLC		4,351		84,373
Provident Financial PLC		8,121		250,402
Prudential PLC		17,663		299,722
Qinetiq Group PLC		249,592		740,920
Reckitt Benckiser Group PLC		4,940		495,342
Rentokil Initial PLC		61,211		158,072
Rightmove PLC		6,767		330,506
Rio Tinto PLC		29,632		920,563
Royal Bank of Scotland Group PLC (c)		69,746		158,055
SABMiller PLC		14,290		833,379
Schroders PLC		9,603		303,461
Segro PLC		12,686		70,316
Severn Trent PLC		10,646		347,370
Sky PLC		168,105		1,910,250
Spirax-Sarco Engineering PLC		6,378		319,375
SSE PLC		48,661		1,012,789
Standard Chartered PLC		79,910		606,275
Standard Life PLC		38,771		152,965
Tate & Lyle PLC		73,550		657,607
Thomas Cook Group PLC (c)		163,730		137,594


Common Stocks	Shares		Value
United Kingdom (continued)
Unilever PLC		7,246	$	347,193
Vedanta Resources PLC (a)		6,790		37,943
Vodafone Group PLC		574,232		1,750,751
WH Smith PLC		2,473		51,954
Wolseley PLC		5,578		288,849

				43,351,774
United States — 0.0%
Sims Metal Management, Ltd. (a)		3,759		22,290
Total Common Stocks — 97.4%				278,655,719



Rights
Hong Kong — 0.0%
Noble Group, Ltd. (Expires 07/16/20) (a)(c)		44		3
Spain — 0.0%
ACS Actividades de Construccion y Servicios SA (Expires 07/16/18) (c)		47,009		33,022
Repsol SA (Expires 07/16/08) (c)		85,908		27,934

				60,956
Total Rights — 0.0%				60,959
Total Long-Term Investments (Cost — $293,121,128) — 97.4%				278,716,678



Short-Term Securities
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (e)(f)(g)		15,777,717		15,777,717
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (e)(f)(g)		5,595,871		5,595,871
Total Short-Term Securities (Cost — $21,373,588) — 7.5%				21,373,588
Total Investments (Cost — $314,494,716) — 104.9%				300,090,266
Liabilities in Excess of Other Assets — (4.9)%				(13,889,013	)

Net Assets — 100.0%			$	286,201,253

Notes to Schedule of Investments

(a)

Security, or a portion of security, is on loan.

(b)

A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

(c)

Non-income producing security.

(d)

See Notes to Financial Statements.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	21


Schedule of Investments (continued)		International Tilts Master Portfolio

(e)


Affiliate	Shares Held at December 31, 2015		Net Activity			Shares Held at June 30, 2016		Value at June 30, 2016		Income
BlackRock Cash Funds: Institutional, SL Agency Shares		18,111,897		(2,334,180	)		15,777,717	$	15,777,717	$	38,244	¹
BlackRock Cash Funds: Prime, SL Agency Shares		4,733,349		862,522			5,595,871		5,595,871		12,545	¹
Total								$	21,373,588	$	50,789	¹

¹ Represents all or a portion of 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.

(f)

Current yield as of period end.

(g)

All or a portion of security was purchased with the cash collateral from loaned securities.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts


Contracts Long		Issue		Expiration		Notional Value			Unrealized Appreciation (Depreciation)
	92		Euro Stoxx 50 Index		September 2016		EUR	2,914,869	$	18,018
	19		FTSE 100 Index		September 2016		GBP	1,624,490		97,876
	6		SPI 200 Index		September 2016		AUD	579,039		5,658
	20		Yen Denom Nikkei Index		September 2016		JPY	1,524,234		(10,341	)
	Total								$	111,211

Derivative Financial Instruments Categorized by Risk Exposure

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


Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Futures contracts	Net unrealized appreciation¹		—		—	$	121,552		—		—		—	$	121,552

Liabilities — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Futures contracts	Net unrealized depreciation¹		—		—	$	10,341		—		—		—	$	10,341
¹ Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statement of Operations was as follows:


Net Realized Gain (Loss) from:	Commodity Contracts		Credit Contracts		Equity Contracts			Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Futures contracts		—		—	$	(539,200	)		—		—		—	$	(539,200	)

Net Change in Unrealized Appreciation (Depreciation) on:	Commodity Contracts		Credit Contracts		Equity Contracts			Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Futures contracts		—		—	$	107,151			—		—		—	$	107,151

See Notes to Financial Statements.



22	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016


Schedule of Investments (continued)		International Tilts Master Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts:
Average notional value of contracts — long	$	7,784,270

For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Portfolio Abbreviations


CVA		Certificaten Van Aandelen (Dutch Certificate)
FTSE		Financial Times Stock Exchange
OTC		Over-the-Counter
AUD		Australian Dollar
EUR		Euro
GBP		British Pound
JPY		Japanese Yen

Fair Value Hierarchy as of Period End

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1			Level 2		Level 3		Total
Assets:
Investments:
Common Stocks:
Australia		—		$	23,884,267		—	$	23,884,267
Austria		—			1,416,101		—		1,416,101
Belgium		—			4,172,500		—		4,172,500
Denmark		—			6,318,735		—		6,318,735
Finland		—			6,229,022		—		6,229,022
France		—			26,933,239		—		26,933,239
Germany		—			21,230,647		—		21,230,647
Hong Kong	$	79,259			5,837,789		—		5,917,048
Ireland		20,836			2,700,544		—		2,721,380
Isle of Man		—			29,564		—		29,564
Israel		—			246,371		—		246,371
Italy		71,869			7,835,765		—		7,907,634
Japan		—			64,806,577		—		64,806,577
Luxembourg		—			43,527		—		43,527
Netherlands		2,729,835			11,198,720		—		13,928,555
New Zealand		—			189,738		—		189,738
Norway		—			1,338,207		—		1,338,207
Portugal		—			346,848		—		346,848
Singapore		38,109			4,542,523		—		4,580,632
Spain		—			11,557,690		—		11,557,690
Sweden		61,545			7,044,486		—		7,106,031
Switzerland		—			24,377,342		—		24,377,342
United Kingdom		—			43,351,774		—		43,351,774
United States		—			22,290		—		22,290
Rights		60,956			3		—		60,959
Short-Term Securities		21,373,588			—		—		21,373,588

Total	$	24,435,997		$	275,654,269		—	$	300,090,266


Derivative Financial Instruments¹
Assets:
Equity contracts	$	121,552			—		—	$	121,552
Liabilities:
Equity contracts		(10,341	)		—		—		(10,341	)

Total	$	111,211			—		—	$	111,211

¹ Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

See Notes to Financial Statements.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	23


Schedule of Investments (concluded)		International Tilts Master Portfolio


	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	124,421		—			—	$	124,421
Cash pledged for financial futures contracts		466,910		—			—		466,910
Foreign currency at value		3,414,256		—			—		3,414,256
Liabilities:
Collateral on securities loaned at value		—	$	(19,497,756	)		—		(19,497,756	)

Total	$	4,005,587	$	(19,497,756	)		—	$	(15,492,169	)

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



24	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016


Statement of Assets and Liabilities		International Tilts Master Portfolio


June 30, 2016 (Unaudited)

Assets
Investments at value — unaffiliated (including securities loaned of $18,749,919, cost — $293,121,128)	$	278,716,678
Investments at value — affiliated (cost — $21,373,588)		21,373,588
Cash		124,421
Cash pledged for futures contracts		466,910
Foreign currency at value (cost — $3,422,741)		3,414,256
Receivables:
Contributions from investors		6,594,125
Dividends		650,389
Investments sold		2,511,731
Variation margin on futures contracts		79,887
Dividends — affiliated		563
Securities lending income — affiliated		6,888

Total assets		313,939,436


Liabilities
Collateral on securities loaned at value		19,497,756
Payables:
Investment advisory fees		80,471
Investments purchased		8,115,608
Administration fees		11,673
Trustees’ fees		9,788
Other accrued expenses		22,887

Total liabilities		27,738,183

Net Assets	$	286,201,253


Net Assets Consist of
Investors’ capital	$	300,518,788
Net unrealized appreciation (depreciation)		(14,317,535	)

Net Assets	$	286,201,253


Statement of Operations		International Tilts Master Portfolio


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Dividends — unaffiliated	$	7,110,569
Securities lending — affiliated — net		43,386
Dividends — affiliated		7,403
Foreign taxes withheld		(1,117,134	)

Total income		6,044,224


Expenses
Investment advisory		569,443
Administration		71,181
Professional		17,835
Trustees		10,250

Total expenses		668,709
Less fees waived by the Manager		(100,348	)

Total expenses after fees waived		568,361

Net investment income		5,475,863


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		(9,019,289	)
Futures contracts		(539,200	)
Foreign currency transactions		175,308

		(9,383,181	)

Net change in unrealized appreciation (depreciation) on:
Investments		(10,994,655	)
Futures contracts		107,151
Foreign currency translations		(20,048	)

		(10,907,552	)

Net realized and unrealized loss		(20,290,733	)

Net Decrease in Net Assets Resulting from Operations	$	(14,814,870	)


Statements of Changes in Net Assets		International Tilts Master Portfolio


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	5,475,863		$	31,447,971
Net realized loss		(9,383,181	)		(33,347,985	)
Net change in unrealized appreciation (depreciation)		(10,907,552	)		52,749,468

Net increase (decrease) in net assets resulting from operations		(14,814,870	)		50,849,454


Capital Transactions
Proceeds from contributions		34,995,892			211,647,509
Value of withdrawals		(38,830,842	)		(1,207,440,039	)

Net decrease in net assets derived from capital transactions		(3,834,950	)		(995,792,530	)


Net Assets
Total decrease in net assets		(18,649,820	)		(944,943,076	)
Beginning of period		304,851,073			1,249,794,149

End of period	$	286,201,253		$	304,851,073


Financial Highlights		International Tilts Master Portfolio


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,				Period October 31, 2013¹to December 31, 2013
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		Period October 31, 2013¹to December 31, 2013

Total Return
Total return		(5.11)%²		2.25%		(3.94)%		1.60%²


Ratios to Average Net Assets
Total expenses		0.47%³		0.45%		0.46%		0.53%³

Total expenses after fees waived		0.40%³		0.43%		0.45%		0.45%³

Net investment income		3.85%³		2.65%		2.84%		1.17%³


Supplemental Data
Net assets, end of period (000)		$286,201		$304,851		$1,249,794		$552,818

Portfolio turnover rate		51%		107%		120%		15%

Commencement of operations.

Aggregate total return.

Annualized.


Notes to Financial Statements (Unaudited)		International Tilts Master Portfolio

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. International Tilts Master Portfolio (the “Master Portfolio”) is a series of MIP. The Master Portfolio is classified as diversified.

2. Significant Accounting Policies:

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

Foreign Currency: The Master Portfolio’s books and records are maintained in U.S. dollars. 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.

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

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend date. 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, some 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.

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.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	29


Notes to Financial Statements (continued)		International Tilts Master Portfolio

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) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Master Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio assets and liabilities:

•

Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. 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. Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Master Portfolio’s net assets. Each business day, the Master Portfolio uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.

•

Futures contracts traded on exchanges are valued at their last sale price.

•

Investments in open-end U.S. mutual funds are valued at net asset value each business day.

•

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement 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

•



30	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016


Notes to Financial Statements (continued)		International Tilts Master Portfolio

significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments has been included in the Schedule of Investments.

4. Securities and Other Investments:

Securities Lending: The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as common stocks in the Master Portfolio’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value — unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments.

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 Fund 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 lending agreements by counterparty which are subject to offset under an MSLA:


Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount²
Credit Suisse Securities (USA) LLC	$	827,852	$	(827,852	)		—
Deutsche Bank Securities Inc.		32,779		(32,779	)		—
Goldman Sachs & Co.		3,118,811		(3,118,811	)		—
HSBC Bank PLC		719,022		(719,022	)		—
JP Morgan Securities LLC		157,718		(157,718	)		—
Merrill Lynch, Pierce, Fenner & Smith Inc.		793,249		(793,249	)		—
Mizuho Securities USA Inc.		581,604		(553,485	)	$	28,119
Morgan Stanley		6,591,448		(6,591,448	)		—
State Street Bank & Trust Co.		5,927,436		(5,927,436	)		—

Total	$	18,749,919	$	(18,721,800	)	$	28,119

Collateral with a value of $19,497,756 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

The market value of the loaned securities is determined as of June 30, 2016. Additional collateral is delivered to the Fund 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.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	31


Notes to Financial Statements (continued)		International Tilts 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 risk (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: The Master Portfolio invests in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

Investment Advisory

For such services, the Master Portfolio pays the Manager a monthly fee, which is determined by calculating a percentage of the Master Portfolio’s average daily net assets, based on the following annual rates:


Average Daily Net Assets	Investment Advisory Fee
First $1 Billion		0.40%
$1 Billion — $3 Billion		0.38%
$3 Billion — $5 Billion		0.36%
$5 Billion — $10 Billion		0.35%
Greater than $10 Billion		0.34%

The Manager, with respect to the Master Portfolio, entered into sub-advisory agreements with BlackRock Fund Advisors (“BFA”) and BlackRock International Limited (“BIL”), affiliates of the Manager. The Manager pays BFA and BIL, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Master Portfolio to the Manager.



32	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016


Notes to Financial Statements (continued)		International Tilts Master Portfolio

MIP, on behalf of the Master Portfolio entered into an Administration Agreement with BFA, which has agreed to provide general administration services (other than investment advice and related portfolio activities). BFA, in consideration thereof, has agreed to bear all of the Master Portfolio’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolio. BFA is entitled to receive for these administration services an annual fee of 0.05% based on the average daily net assets of the Master Portfolio. BFA has contractually agreed to waive this administration fee through April 30, 2017.

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

Expense Waivers

Securities Lending

Pursuant to a securities lending agreement, the Master Portfolio retains 80% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated — net in the Statement of Operations. For the six months ended June 30, 2016, the Master Portfolio paid BTC $10,766 in total for securities lending agent services and collateral investment fees.

Officers and Trustees

The fees and expenses of the Master Portfolio’s Trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Fund. BAL has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the administration fees paid by the Master Portfolio in an amount equal to the independent expenses through April 30, 2017.

Certain officers and/or Trustees of MIP are officers and/or Trustees of BlackRock or its affiliates.

7. Purchases and Sales:

For the six months ended June 30, 2016, purchases and sales of investments, excluding short-term securities, were $145,869,716 and $143,013,186, respectively.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	33


Notes to Financial Statements (continued)		International Tilts Master Portfolio

8. Income Tax Information:

Tax Cost

As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


Tax cost	$	323,040,470

Gross unrealized appreciation	$	13,318,748
Gross unrealized depreciation		(36,268,952	)

Net unrealized depreciation	$	(22,950,204	)

9. Bank Borrowings:

10. Principal Risks:



34	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016


Notes to Financial Statements (concluded)		International Tilts Master Portfolio

With exchange-traded futures, there is less counterparty credit risk to the Master Portfolio since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Master Portfolio does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Master Portfolio.

Concentration Risk: The Master Portfolio invests a substantial amount of their assets in issuers located in a single country or a limited number of countries. When the Master Portfolio concentrates its investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on their investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be less liquid, more volatile and less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedule of Investments.

The Master Portfolio invests a significant portion of its assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Master Portfolio’s investments.

The United Kingdom has voted to withdraw from the European Union on June 23, 2016, which may introduce significant new uncertainties and instability in the financial markets across Europe.

11. Subsequent Events:



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	35


Disclosure of Sub-Advisory Agreement

The Board of Trustees of Master Investment Portfolio (the “Master Fund”) met in person on May 18-20, 2016 (the “Meeting”) to consider the initial approval of the proposed sub-advisory agreement between BlackRock Advisors, LLC (the “Manager”), the Master Fund’s investment advisor, and BlackRock International Limited (“BIL”) with respect to International Tilts Master Portfolio (the “Master Portfolio), a series of the Master Fund (the “BIL Sub-Advisory Agreement”). The BIL Sub-Advisory Agreement was substantially the same as the sub-advisory agreement between the Manager and BlackRock Fund Advisors (“BFA”) with respect to the Master Portfolio (the “BFA Sub-Advisory Agreement”) previously approved. BlackRock Disciplined International Fund (the “Portfolio”), a series of BlackRock Funds III (the “Fund”), is a “feeder” fund that invests all of its investable assets in the Master Portfolio. Accordingly, the Board of Trustees of the Fund also considered the approval of the BIL Sub-Advisory Agreement with respect to the Master Portfolio. For simplicity, as pertinent, the Board of Trustees of the Master Fund and the Board of Trustees of the Fund are referred to herein collectively as the “Board,” and the members are referred to as “Board Members.”

At the Meeting, the Board reviewed materials relating to its consideration of the BIL Sub-Advisory Agreement. The Master Fund’s investment advisory agreement (the “Advisory Agreement”) with the Manager on behalf of the Master Portfolio and the BFA Sub-Advisory Agreement were most recently approved by the Board of the Master Fund at the same Meeting. A discussion of the basis for the Board of the Master Fund’s approval and the Board of the Fund’s consideration of the Advisory Agreement and the BFA Sub-Advisory Agreement at the Meeting is included in this shareholder report. The factors considered by the Board at the Meeting in connection with approval of the proposed BIL Sub-Advisory Agreement were substantially the same as the factors considered at the Meeting with respect to approval of the Advisory Agreement and the BFA Sub-Advisory Agreement.

Following discussion, the Board of the Master Fund, including the Independent Board Members, approved the BIL Sub-Advisory Agreement between the Manager and BIL with respect to the Master Portfolio for a two-year term beginning on the effective date of the BIL Sub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board of the Master Fund, including the Independent Board Members, was satisfied that the terms of the BIL Sub-Advisory Agreement were fair and reasonable and in the best interest of the Master Portfolio and its interest holders. The Board of the Fund, including the Independent Board Members, also considered the BIL Sub-Advisory Agreement with respect to the Master Portfolio and found the BIL Sub-Advisory Agreement to be satisfactory. In arriving at its decision to approve the BIL Sub-Advisory Agreement, the Board of the Master Fund did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.



36	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement

The Board of Trustees of Master Investment Portfolio (the “Master Fund”) met in person on April 21, 2016 (the “April Meeting”) and May 18-20, 2016 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Advisory Agreement”) between the Master Fund, on behalf of International Tilts Master Portfolio (the “Master Portfolio”), a series of the Master Fund, and BlackRock Advisors, LLC (the “Manager”), the Master Fund’s investment advisor. The Board of Trustees of the Master Fund also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock Fund Advisors (the “Sub-Advisor”) with respect to the Master Portfolio. BlackRock Disciplined International Fund (the “Portfolio”), a series of BlackRock Funds III (the “Fund”), is a “feeder” fund that invests all of its investable assets in the Master Portfolio. Accordingly, the Board of Trustees of the Fund also considered the approval of the Advisory Agreement and the Sub-Advisory Agreement with respect to the Master Portfolio. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Agreements.” For simplicity: (a) the Board of Trustees of the Master Fund and the Board of Trustees of the Fund are referred to herein collectively as the “Board,” and the members are referred to as “Board Members;” and (b) the shareholders of the Portfolio and the interest holders of the Master Portfolio are referred to as “shareholders.”

Activities and Composition of the Board

The Agreements

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Master Portfolio, the Portfolio and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolio and/or the Portfolio for services; (c) the Master Portfolio’s and/or the Portfolio’s operating expenses and how BlackRock allocates expenses to the Master Portfolio and the Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Master Portfolio’s and the Portfolio’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Master Fund’s and the Fund’s compliance with its respective compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master Fund’s and/or the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Master Portfolio and/or the Portfolio; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	37


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on fees and expenses of the Master Portfolio and the Portfolio, as applicable, as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Portfolio as compared with a peer group of funds as determined by Broadridge¹; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by the Master Portfolio and/or the Portfolio to BlackRock; and (g) sales and redemption data regarding the Portfolio’s shares.

At the May Meeting, the Board of the Master Fund, including the Independent Board Members, approved the continuation of the Advisory Agreement between the Manager and the Master Fund with respect to the Master Portfolio and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Portfolio, each for a one-year term ending June 30, 2017. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreements with respect to the Master Portfolio and found the Agreements to be satisfactory. In approving the continuation of the Agreements, the Board of the Master Fund considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and the Portfolio; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio and the Portfolio; (d) the Portfolio’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Master Portfolio and the Portfolio; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates, securities lending and cash management, services related to the valuation and pricing of portfolio holdings of the Master Portfolio, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Portfolio. Throughout the year, the Board compared the Portfolio’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the Master Portfolio’s performance and the Master Portfolio’s investment objective(s), strategies and outlook.

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.



38	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)

shareholder and other services (in addition to any such services provided to the Master Portfolio and the Portfolio by third parties) and officers and other personnel as are necessary for the operations of the Master Portfolio and the Portfolio. In particular, BlackRock and its affiliates provide the Master Portfolio and the Portfolio with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) preparing periodic filings with regulators; (iv) overseeing and coordinating the activities of other service providers; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing other administrative functions necessary for the operation of the Master Portfolio and the Portfolio, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

The Board noted that for the one-year and since-inception periods reported, the Portfolio ranked in the first and fourth quartiles, respectively, against its Broadridge Performance Universe.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio and the Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s contractual advisory fee rate compared with the other funds in the Portfolio’s Broadridge category. The contractual advisory rate is shown before taking into account any reimbursements or fee waivers. The Board also compared the Portfolio’s total expense ratio, as well as the Master Portfolio’s actual advisory fee rate, to those of other funds in the Portfolio’s Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual advisory fee rate gives effect to any advisory fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio and the Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and the Portfolio, as applicable, and other funds the Board currently oversees for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. The Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	39


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)

The Board noted that the Master Portfolio’s contractual advisory fee rate ranked in the first quartile, and that the actual advisory fee rate and the Portfolio’s total expense ratio each ranked in the first quartile, relative to the Portfolio’s Expense Peers. The Board also noted that the Master Portfolio has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the Master Portfolio increases above certain contractually specified levels. The Board further noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate the Master Portfolio/Portfolio for the fees and expenses of the Independent Board Members, counsel to the Independent Board Members and the Master Portfolio’s/Portfolio’s independent registered public accounting firm.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio and the Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolio and the Portfolio benefit from such economies in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolio and the Portfolio to more fully participate in these economies of scale. The Board considered the Master Portfolio’s asset levels and whether the current fee schedule was appropriate.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Master Portfolio and the Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolio and the Portfolio, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.

Conclusion

The Board of the Master Fund, including the Independent Board Members, approved the continuation of the Advisory Agreement between the Manager and the Master Fund with respect to the Master Portfolio and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Portfolio, each for a one-year term ending June 30, 2017. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board of the Master Fund, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Master Portfolio and its shareholders. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreements with respect to the Master Portfolio and found the Agreements to



40	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (concluded)

be satisfactory. In arriving at its decision to approve the Agreements, the Board of the Master Fund did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	41


Officers and Trustees

Rodney D. Johnson, Chair of the Board and Trustee

David O. Beim, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Dr. Matina S. Horner, Trustee

Cynthia A. Montgomery, Trustee

Barbara G. Novick, Trustee

Joseph P. Platt, Trustee

Robert C. Robb, Jr., Trustee

Mark Stalnecker, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Frederick W. Winter, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Richard Hoerner, CFA, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Fernanda Piedra, Anti-Money Laundering Compliance Officer

Benjamin Archibald, Secretary

Effective February 5, 2016, Frank J. Fabozzi resigned as a Trustee of the Trust/MIP.

Effective February 8, 2016, Susan J. Carter, Neil A. Cotty and Claire A. Walton were elected to serve as Trustees of the Trust/MIP.



Investment Advisor and Administrator BlackRock Advisors, LLC Wilmington, DE 19809	Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02110	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103

Sub-Advisors BlackRock Fund Advisors San Francisco, CA 94105	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Legal Counsel Sidley Austin LLP New York, NY 10019

BlackRock International Limited Edinburgh, United Kingdom		Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105



42	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016


Additional Information


Availability of Quarterly Schedule of Investments

The Master Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.


Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Master Portfolio uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.


Availability of Proxy Voting Record

Information about how the Master Portfolio voted proxies relating to securities held in the Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; and (2) on the SEC’s website at http://www.sec.gov.



BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	43


Additional Information (continued)

Proxy Results

BlackRock Funds III

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of the Trust.


		Votes For		Votes Withheld
Approved the Trustees* as follows:	David O. Beim		61,938,311,360		43,835,788
	Susan J. Carter		61,780,259,925		201,887,223
	Collette Chilton		61,948,124,716		34,022,432
	Neil A. Cotty		61,775,834,676		206,312,472
	Matina S. Horner		61,940,727,663		41,419,485
	Rodney D. Johnson		61,941,649,924		40,497,224
	Cynthia A. Montgomery		61,943,332,673		38,814,475
	Joseph P. Platt		61,944,232,208		37,914,940
	Robert C. Robb, Jr.		61,944,234,953		37,912,195
	Mark Stalnecker		61,943,725,951		38,421,197
	Kenneth L. Urish		61,944,152,210		37,994,938
	Claire A. Walton		61,784,560,644		197,586,504
	Frederick W. Winter		61,939,767,717		42,379,431
	Barbara G. Novick		61,947,782,498		34,364,650
	John M. Perlowski		61,944,381,941		37,765,207

Denotes Trust-wide proposal and voting results.

Master Investment Portfolio

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of the MIP.


		Votes For		Votes Withheld
Approved the Trustees* as follows:	David O. Beim		93,744,625,170		102,294,210
	Susan J. Carter		93,564,604,497		282,314,883
	Collette Chilton		93,778,667,881		68,251,499
	Neil A. Cotty		93,524,182,594		322,736,786
	Matina S. Horner		93,744,748,738		102,170,642
	Rodney D. Johnson		93,743,366,844		103,552,536
	Cynthia A. Montgomery		93,738,956,489		107,962,891
	Joseph P. Platt		93,750,384,350		96,535,030
	Robert C. Robb, Jr.		93,749,078,613		97,840,767
	Mark Stalnecker		93,668,711,867		178,207,513
	Kenneth L. Urish		93,694,700,012		152,219,368
	Claire A. Walton		93,569,519,963		277,399,417
	Frederick W. Winter		93,699,601,190		147,318,190
	Barbara G. Novick		93,778,480,450		68,438,930
	John M. Perlowski		93,744,975,345		101,944,035

Denotes MIP-wide proposal and voting results.



44	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016


Additional Information (continued)


General Information

Householding

Availability of Quarterly Schedule of Investments

The Fund/Master Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s/Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s/Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Fund/Master Portfolio use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund’s/Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.

Automatic Investment Plans

Investor Class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

Systematic Withdrawal Plans

Investor Class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account 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 DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016	45


Additional Information (concluded)


BlackRock Privacy Principles



46	BLACKROCK DISCIPLINED INTERNATIONAL FUND	JUNE 30, 2016

LOGO


DIF-6/16-SAR

JUNE 30, 2016

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock Large Cap Index Fund | of BlackRock Funds III

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


	Page
The Markets in Review		3
Semi-Annual Report:
Fund Summary		4
About Fund Performance		6
Disclosure of Expenses		6
Fund Financial Statements:
Statement of Assets and Liabilities		7
Statement of Operations		8
Statements of Changes in Net Assets		9
Fund Financial Highlights		10
Fund Notes to Financial Statements		13
Master Portfolio Information		17
Derivative Financial Instruments		17
Master Portfolio Financial Statements:
Schedule of Investments		18
Statement of Assets and Liabilities		30
Statement of Operations		31
Statements of Changes in Net Assets		32
Master Portfolio Financial Highlights		33
Master Portfolio Notes to Financial Statements		34
Disclosure of Investment Advisory Agreement		40
Officers and Trustees		44
Additional Information		45

LOGO



2	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016

The Markets in Review

Dear Shareholder,

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of June 30, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		3.84	%		3.99	%
U.S. small cap equities (Russell 2000^® Index)		2.22			(6.73	)
International equities (MSCI Europe, Australasia, Far East Index)		(4.42	)		(10.16	)
Emerging market equities (MSCI Emerging Markets Index)		6.41			(12.05	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.15			0.19
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		7.95			9.49
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)		5.31			6.00
Tax-exempt municipal bonds (S&P Municipal Bond Index)		4.35			7.80
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		9.06			1.65
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



		THIS PAGE NOT PART OF YOUR FUND REPORT				3


Fund Summary as of June 30, 2016


Investment Objective

BlackRock Large Cap Index Fund’s (the “Fund”) investment objective is to match the performance of the Russell 1000^® Index as closely as possible before the deduction of Fund expenses.

Portfolio Management Commentary

How did the Fund perform?

•

For the six-month period ended June 30, 2016, the Fund’s Institutional Shares returned 3.66%, Investor A Shares returned 3.53%, and Class K Shares returned 3.67%. The benchmark Russell 1000^® Index returned 3.74% for the same period.

•

Returns for the Fund’s respective share classes differ from the benchmark index based on individual share-class expenses. The Fund invests all of its assets in Large Cap Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.

Describe the market environment.

•

Market-moving events and headlines in the first half of the year have been dominated by slowing global growth fears and geopolitical events.

•

The first week of the year was the worst start to a year since 2009, and by February 11, the S&P 500^® Total Return Index hit a low for the year of (10.27)%, while the Russell 1000^® Index was similarly low at (10.91)%. With fears of a global economic slowdown, oil prices cratering, and terrorist attacks in Istanbul, Jakarta and Pakistan, equities suffered.

•

Russia and Saudi Arabia agreed to freeze oil production, and oil began to rebound in February. U.S. equities responded in kind, aided by dovish comments from Fed officials. In March, the European Central

Bank unexpectedly cut rates and increased asset purchases, while the Fed kept rates unchanged and scaled back the expected number of rate hikes this year. Despite the terror attacks in Brussels, the market rallied in March and the S&P 500^® Index ended the first quarter up 1.35%.

•

Domestic equity markets posted gains in the first half of the year despite increased volatility in June from the “Brexit”, i.e., the United Kingdom’s vote to leave the European Union. Following the vote, equity markets declined worldwide and investors rushed to high quality assets, driving U.S. Treasury yields further down. However, U.S. equities capitalized on the upward momentum from their March rally, which continued through the second quarter as commodities rebounded and dovish comments from the Fed fueled the market.

Describe recent portfolio activity.

•

During the period, as changes were made to the composition of the Russell 1000^® Index, the Master Portfolio purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index.

Describe portfolio positioning at period end.

•

The Master Portfolio remains positioned to match the risk characteristics of its benchmark index, irrespective of the market’s future direction.

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



4	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016

Total Return Based on a $10,000 Investment

LOGO

Assuming transaction costs and other operating expenses, including administration fees, if any.

The Fund invests all of its assets in the Master Portfolio. The Master Portfolio will be substantially invested in securities in the Russell 1000^® Index and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 1000^® Index.

An index that measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The index represents approximately 92% of the total market capitalization of the Russell 3000^® Index.

⁴

Commencement of operations.

Performance Summary for the Period Ended June 30, 2016


				Average Annual Total Returns⁵
	6-Month Total Returns			1 Year			5 Years			Since Inception⁶
Institutional		3.66	%		2.86	%		11.77	%		11.18	%
Investor A		3.53			2.60			11.42			10.84
Class K		3.67			2.90			11.75			11.16
Russell 1000^® Index		3.74			2.93			11.88			11.31

⁵

See “About Fund Performance” on Page 6 for a detailed description of share classes, including any related sales charges and fees.

⁶

The Fund commenced operations on March 31, 2011.

Past performance is not indicative of future results.

Expense Example


	Actual						Hypothetical⁸
	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period⁷		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period⁷		Annualized Expense Ratio
Institutional	$	1,000.00	$	1,036.60	$	0.46	$	1,000.00	$	1,024.42	$	0.45		0.09	%
Investor A	$	1,000.00	$	1,035.30	$	1.92	$	1,000.00	$	1,022.97	$	1.91		0.38	%
Class K	$	1,000.00	$	1,036.70	$	0.41	$	1,000.00	$	1,024.47	$	0.40		0.08	%

⁷

For each class of the Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). Because the Fund invests 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.

⁸

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.

See “Disclosure of Expenses” on page 6 for further information on how expenses were calculated.



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	5


About Fund Performance

•

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

•

Investor A Shares are not subject to any sales charge and bear no ongoing distribution fee. These shares are subject to an ongoing service fee of 0.25% per year. 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.

shares. Figures shown in the performance table on the previous page assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of the different levels of administration and distribution fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (the “Administrator”), the Fund’s administrator, has contractually agreed to waive and/or reimburse a portion of the Fund’s expenses. Without such waiver and/or reimbursement, the Fund’s performance would have been lower. The Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 4 of the Notes to Financial Statements for additional information on waivers and/or reimbursements.

Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses and other fund expenses. The expense example on the previous page (which is based on a hypothetical investment of $1,000 invested on January 1, 2016 and held through June 30, 2016) 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.



6	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Statement of Assets and Liabilities		BlackRock Large Cap Index Fund


June 30, 2016 (Unaudited)

Assets
Investments at value — Master Portfolio (cost — $186,697,086)	$	202,306,288
Receivables:
Capital shares sold		960,537
From the Administrator		10,130
Prepaid expenses		27,820

Total assets		203,304,775


Liabilities
Payables:
Contributions to the Master Portfolio		910,220
Income dividends		504,123
Capital shares redeemed		50,317
Service fees		3,855
Administration fees		1,633
Officer’s fees		83
Other accrued expenses		62,406

Total liabilities		1,532,637

Net Assets	$	201,772,138


Net Assets Consist of
Paid-in capital	$	167,610,397
Distributions in excess of net investment income		(160,571	)
Accumulated net realized gain allocated from the Master Portfolio		18,713,110
Net unrealized appreciation (depreciation) allocated from the Master Portfolio		15,609,202

Net Assets	$	201,772,138


Net Asset Value
Institutional — Based on net assets of $90,070,970 and 6,247,200 shares outstanding, unlimited number of shares authorized, no par value	$	14.42

Investor A — Based on net assets of $19,649,275 and 1,369,736 shares outstanding, unlimited number of shares authorized, no par value	$	14.35

Class K — Based on net assets of $92,051,893 and 6,407,615 shares outstanding, unlimited number of shares authorized, no par value	$	14.37


Statement of Operations		BlackRock Large Cap Index Fund


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Net investment income allocated from the Master Portfolio:
Dividends — unaffiliated	$	1,919,939
Securities lending — affiliated — net		28,893
Dividends — affiliated		17,256
Foreign taxes withheld		(986	)
Expenses		(33,860	)
Fees waived		1,987

Total income		1,933,229


Fund Expenses
Administration		8,581
Service and distribution — class specific		22,008
Transfer agent — class specific		11,182
Recoupment of past fees waived — class specific		1,614
Professional		27,132
Registration		26,724
Printing		9,063
Officer and Trustees		9
Miscellaneous		4,036

Total expenses		110,349
Less:
Fees waived by the Administrator		(8,581	)
Transfer agent fees waived and/or reimbursed — class specific		(5,303	)
Other expenses reimbursed by the Administrator		(29,971	)

Total expenses after fees waived and/or reimbursed		66,494

Net investment income		1,866,735


Realized and Unrealized Gain (Loss) Allocated from the Master Portfolio
Net realized loss from investments and futures contracts		(181,194	)
Net change in unrealized appreciation (depreciation) on investments and futures contracts		11,874,795

Net realized and unrealized gain		11,693,601

Net Increase in Net Assets Resulting from Operations	$	13,560,336


Statements of Changes in Net Assets		BlackRock Large Cap Index Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	1,866,735		$	1,780,592
Net realized gain (loss)		(181,194	)		23,655,263
Net change in unrealized appreciation (depreciation)		11,874,795			(24,271,610	)

Net increase in net assets resulting from operations		13,560,336			1,164,245


Distributions to Shareholders¹
From net investment income:
Institutional		(877,424	)		(49,031	)
Investor A		(159,635	)		(294,975	)
Class K		(868,109	)		(1,564,063	)
From net realized gain:
Institutional		(193,434	)		(108,722	)
Investor A		(41,509	)		(563,699	)
Class K		(198,432	)		(2,500,143	)

Decrease in net assets resulting from distributions to shareholders		(2,338,543	)		(5,080,633	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		92,089,664			14,158,685


Net Assets
Total increase in net assets		103,311,457			10,242,297
Beginning of period		98,460,681			88,218,384

End of period	$	201,772,138		$	98,460,681

Distributions in excess of net investment income, end of period	$	(160,571	)	$	(122,138	)

¹ Distributions for annual periods determined in accordance with federal income tax regulations.


Financial Highlights		BlackRock Large Cap Index Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period March 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period March 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	14.08		$	14.72		$	13.49		$	10.62		$	9.40		$	10.00

Net investment income²		0.16			0.28			0.26			0.23			0.21			0.13
Net realized and unrealized gain (loss)		0.35			(0.16	)		1.49			3.26			1.33			(0.60	)

Net increase (decrease) from investment operations		0.51			0.12			1.75			3.49			1.54			(0.47	)

Distributions:³
From net investment income		(0.14	)		(0.29	)		(0.25	)		(0.23	)		(0.21	)		(0.13	)
From net realized gain		(0.03	)		(0.47	)		(0.27	)		(0.39	)		(0.11	)		(0.00	)⁴
From return of capital		—			—			—			—			—			(0.00	)⁴

Total distributions		(0.17	)		(0.76	)		(0.52	)		(0.62	)		(0.32	)		(0.13	)

Net asset value, end of period	$	14.42		$	14.08		$	14.72		$	13.49		$	10.62		$	9.40


Total Return⁵
Based on net asset value		3.66%	⁶		0.82%			13.07%			33.09%			16.42%			(4.72)%	⁶


Ratios to Average Net Assets⁷
Total expenses		0.13%	^8,9		0.27%	⁹		0.59%			0.56%	¹⁰		0.65%	⁹		1.84%	^8,11,12

Total expenses after fees waived and/or reimbursed		0.09%	^8,9		0.13%	⁹		0.16%			0.23%	¹⁰		0.23%	⁹		0.22%	^8,11

Net investment income		2.26%	^8,9		1.93%	⁹		1.81%			1.80%	¹⁰		2.07%	⁹		1.86%	^8,11


Supplemental Data
Net assets, end of period (000)	$	90,071		$	3,431		$	363		$	183		$	28		$	24

Portfolio turnover rate of the Master Portfolio		3%			6%			6%			14%			16%			10%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸

Annualized.

⁹

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

¹⁰

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01% for the year ended December 31, 2013.

¹¹

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.24%.

¹²

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 1.84%.


Financial Highlights (continued)		BlackRock Large Cap Index Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period March 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period March 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	14.01		$	14.65		$	13.43		$	10.61		$	9.39		$	10.00

Net investment income²		0.13			0.24			0.22			0.19			0.19			0.13
Net realized and unrealized gain (loss)		0.36			(0.16	)		1.49			3.22			1.33			(0.62	)

Net increase (decrease) from investment operations		0.49			0.08			1.71			3.41			1.52			(0.49	)

Distributions:³
From net investment income		(0.12	)		(0.25	)		(0.22	)		(0.20	)		(0.19	)		(0.12	)
From net realized gain		(0.03	)		(0.47	)		(0.27	)		(0.39	)		(0.11	)		(0.00	)⁴
From return of capital		—			—			—			—			—			(0.00	)⁴

Total distributions		(0.15	)		(0.72	)		(0.49	)		(0.59	)		(0.30	)		(0.12	)

Net asset value, end of period	$	14.35		$	14.01		$	14.65		$	13.43		$	10.61		$	9.39


Total Return⁵
Based on net asset value		3.53%⁶			0.56%			12.79%			32.35%			16.18%			(4.93)%	⁶


Ratios to Average Net Assets⁷
Total expenses		0.49%	^8,9		0.54%	⁹		0.57%			0.66%	¹⁰		0.83%	⁹		1.40%	^8,11,12

Total expenses after fees waived and/or reimbursed		0.38%	^8,9		0.39%	⁹		0.41%			0.48%	¹⁰		0.45%	⁹		0.45%	^8,11

Net investment income		1.86%	^8,9		1.62%	⁹		1.56%			1.56%	¹⁰		1.83%	⁹		1.80%	^8,11


Supplemental Data
Net assets, end of period (000)	$	19,649		$	17,397		$	17,507		$	6,454		$	2,310		$	1,918

Portfolio turnover rate of the Master Portfolio		3%			6%			6%			14%			16%			10%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸

Annualized.

⁹

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

¹⁰

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01% for the year ended December 31, 2013.

¹¹

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.24%.

¹²

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 1.40%.


Financial Highlights (concluded)		BlackRock Large Cap Index Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period March 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period March 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	14.03		$	14.67		$	13.44		$	10.61		$	9.40		$	10.00

Net investment income²		0.15			0.28			0.26			0.23			0.22			0.13
Net realized and unrealized gain (loss)		0.36			(0.15	)		1.50			3.22			1.32			(0.60	)

Net increase (decrease) from investment operations		0.51			0.13			1.76			3.45			1.54			(0.47	)

Distributions:³
From net investment income		(0.14	)		(0.30	)		(0.27	)		(0.23	)		(0.22	)		(0.13	)
From net realized gain		(0.03	)		(0.47	)		(0.26	)		(0.39	)		(0.11	)		(0.00	)⁴
From return of capital		—			—			—			—			—			(0.00	)⁴

Total distributions		(0.17	)		(0.77	)		(0.53	)		(0.62	)		(0.33	)		(0.13	)

Net asset value, end of period	$	14.37		$	14.03		$	14.67		$	13.44		$	10.61		$	9.40


Total Return⁵
Based on net asset value		3.67%	⁶		0.86%			13.17%			32.80%			16.37%			(4.68)%	⁶


Ratios to Average Net Assets⁷
Total expenses		0.13%	^8,9		0.19%	⁹		0.24%			0.33%	¹⁰		0.52%	⁹		1.11%	^8,11,12

Total expenses after fees waived and/or reimbursed		0.08%	^8,9		0.09%	⁹		0.12%			0.18%	¹⁰		0.18%	⁹		0.18%	^8,11

Net investment income		2.16%	^8,9		1.91%	⁹		1.83%			1.85%	¹⁰		2.11%	⁹		2.02%	^8,11


Supplemental Data
Net assets, end of period (000)	$	92,052		$	77,632		$	70,348		$	6,746		$	56,654		$	46,785

Portfolio turnover rate of the Master Portfolio		3%			6%			6%			14%			16%			10%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸

Annualized.

⁹

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

¹⁰

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01% for the year ended December 31, 2013.

¹¹

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.24%.

¹²

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 1.12%.


Notes to Financial Statements (Unaudited)				BlackRock Large Cap Index Fund

1. Organization:

BlackRock Funds III (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. BlackRock Large Cap Index Fund (the “Fund”), is a series of the Trust. The Fund is classified as diversified. The Trust is organized as a Delaware statutory trust. The Fund seeks to achieve its investment objective by investing all of its assets in Large Cap Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”), an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At June 30, 2016, the percentage of the Master Portfolio owned by the Fund was 6.4%. The financial statements of the Master Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.

The Fund offers multiple classes of shares. Institutional and Class K Shares are sold without a sales charge and only to certain eligible investors. Investor A Shares are sold without a sales charge and are generally available through financial intermediaries. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions. Investor A Shares bear certain expenses related to shareholder servicing of such shares. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures.

Share Class

Initial Sales Charge

CDSC

Conversion Privilege

Institutional Shares

None

Investor A Shares

None

Class K Shares

None

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

The Fund, together with certain other registered investment companies administered by BlackRock Advisors, LLC (“BAL” or the “Administrator”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Distributions: Distributions paid by the Fund are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Other operating expenses shared by several funds, including other funds administered by BAL, are prorated among those funds on the basis of relative net assets or other appropriate methods. 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.



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	13


Notes to Financial Statements (continued)		BlackRock Large Cap Index Fund

3. Investment Valuation and Fair Value Measurements:

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Administration

The Trust, on behalf of the Fund, entered into an Administration Agreement with the Administrator, an indirect, wholly owned subsidiary of BlackRock, to provide administrative services (other than investment advice and related portfolio activities). For such services, the Fund pays the Administrator a monthly fee at an annual rate of 0.01% of the average daily value of the Fund’s net assets. The Fund does not pay an investment advisory fee or investment management fee.

Service and Distribution Fees

The Trust, on behalf of the Fund, entered into a Distribution Agreement and Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of BlackRock. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service fees. The fees are accrued daily and paid monthly at annual an annual rate of 0.25% based upon the average daily net assets of the Investor A Shares. These amounts are shown as service and distribution — class specific in the Statement of Operations.

Transfer Agent

BAL maintains a call center, which is responsible for providing certain shareholder services to the Fund, such as responding to shareholder inquiries and processing transactions based upon instructions from shareholders with respect to the subscription and redemption of Fund shares. For the six months ended June 30, 2016, the Fund reimbursed the BAL the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statement of Operations:


Institutional	Investor A	Class K	Total
$141	$925	$47	$1,113

For the six months ended June 30, 2016, the following table shows the class specific transfer agent fees borne directly by each class of the Fund:


Institutional	Investor A	Class K	Total
$1,564	$9,505	$113	$11,182

Expense Limitations, Waivers, Reimbursements and Recoupments

BFA, the investment adviser for the Master Portfolio, and BAL 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. BFA and BAL have agreed not to reduce or discontinue this contractual expense limitation prior to May 1, 2017, unless approved by the Board, including a majority of the Independent Trustees. The expense limitations as a percentage of average daily net assets are as follows:


	Institutional		Investor A		Class K
Rate		0.13%		0.38%		0.08%

These amounts waived and/or reimbursed are shown as fees waived by the Administrator, other expenses reimbursed by the Administrator and transfer agent fees waived and/or reimbursed — class specific, respectively, in the Statement of Operations.

For the six months ended June 30, 2016, the following table shows the class specific transfer agent fees waived and/or reimbursed by each class of the Fund:


Institutional	Investor A	Class K	Total
$59	$5,132	$112	$5,303



14	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)				BlackRock Large Cap Index Fund

If during the Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from the Administrator, are less than the expense cap for that share class, the Administrator is entitled to be reimbursed by such share class up to the lesser of the following expenses:

(a)

The amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement.

(b)

The amount by which the expense cap for that share class exceeds the operating expenses of the share class for the current fiscal year, provided that:

•

The Fund, of which the share class is a part, has more than $50 million in assets for the fiscal year.

•

The Administrator or an affiliate continues to serve as the Fund’s investment adviser or administrator.

In the event the expense cap for a share class is changed subsequent to a fiscal year in which the Administrator becomes entitled to reimbursement for fees waived and/or reimbursed, the amount available to reimburse the Administrator shall be calculated by reference to the expense cap for that share class in effect at the time the Administrator became entitled to receive such reimbursement, rather than the subsequently changed expense limit cap for that share class.

For the six months ended June 30, 2016, the Administrator recouped the following fund level and class specific waivers and/or reimbursements previously recorded by the Fund:


Institutional		Investor A
$1,610		$4

On June 30, 2016, the Fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:


Expiring December 31,	2016		2017		2018
Fund level	$	99,938	$	95,615	$	38,552
Institutional		—		—	$	59
Investor A	$	4,981	$	9,830	$	5,132
Class K	$	70		—	$	112

Officers and Trustees

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

5. Income Tax Information:

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
	Shares			Amount			Shares			Amount
Institutional
Shares sold		6,090,264		$	79,251,629			235,121		$	3,472,697
Shares issued in reinvestment of distributions		74,800			1,070,858			11,038			157,118
Shares redeemed		(161,598	)		(2,294,484	)		(27,116	)		(399,482	)

Net increase		6,003,466		$	78,028,003			219,043		$	3,230,333



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	15


Notes to Financial Statements (concluded)		BlackRock Large Cap Index Fund


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
	Shares			Amount			Shares			Amount
Investor A
Shares sold		272,908		$	3,758,975			551,765		$	8,156,831
Shares issued in reinvestment of distributions		14,038			200,062			60,105			853,788
Shares redeemed		(158,922	)		(2,173,218	)		(565,416	)		(8,408,598	)

Net increase		128,024		$	1,785,819			46,454		$	602,021


Class K
Shares sold		1,170,755		$	16,338,782			960,151		$	13,837,654
Shares issued in reinvestment of distributions		74,734			1,066,541			285,513			4,064,205
Shares redeemed		(371,432	)		(5,129,481	)		(508,830	)		(7,575,528	)

Net increase		874,057		$	12,275,842			736,834		$	10,326,331

Total Net Increase		7,005,547		$	92,089,664			1,002,331		$	14,158,685

7. Subsequent Events:



16	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Master Portfolio Information		Large Cap Index Master Portfolio


As of Period End


Ten Largest Holdings		Percent of Net Assets


Apple, Inc.	3	%
Exxon Mobil Corp.	2
Microsoft Corp.	2
Johnson & Johnson	2
General Electric Co.	1
Amazon.Com, Inc.,	1
Berkshire Hathaway, Inc., Class B	1
AT&T, Inc.	1
Facebook, Inc., Class A	1
Verizon Communications, Inc.	1


Sector Allocation		Percent of Net Assets


Information Technology	19	%
Financials	16
Health Care	14
Consumer Discretionary	13
Consumer Staples	10
Industrials	10
Energy	7
Utilities	4
Materials	3
Telecommunication Services	3
Shot-Term Securities	16
Liabilities in Excess of Other Assets	(15	)

For Master Portfolio compliance purposes, the Master Portfolio’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

Derivative Financial Instruments

The Master Portfolio may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the

instrument. 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.



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	17

Schedule of Investments June 30, 2016 (Unaudited)

Large Cap Index Master Portfolio

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Aerospace & Defense — 2.4%
B/E Aerospace, Inc.		15,935	$	735,800
Boeing Co. (a)		91,065		11,826,612
General Dynamics Corp.		37,230		5,183,905
HEICO Corp.		2,901		193,816
HEICO Corp., Class A		5,706		306,127
Hexcel Corp. (a)		14,268		594,120
Honeywell International, Inc. (a)		116,173		13,513,243
Huntington Ingalls Industries, Inc.		7,138		1,199,398
L-3 Communications Holdings, Inc.		11,677		1,712,899
Lockheed Martin Corp.		40,041		9,936,975
Northrop Grumman Corp.		25,390		5,643,689
Orbital ATK, Inc.		8,976		764,217
Raytheon Co. (a)		45,314		6,160,438
Rockwell Collins, Inc. (a)		19,841		1,689,263
Spirit Aerosystems Holdings, Inc., Class A (b)		20,477		880,511
Textron, Inc.		41,461		1,515,814
TransDigm Group, Inc. (b)		7,631		2,012,218
United Technologies Corp.		118,504		12,152,585

				76,021,630
Air Freight & Logistics — 0.6%
C.H. Robinson Worldwide, Inc. (a)		21,684		1,610,037
Expeditors International of Washington, Inc. (a)		27,757		1,361,203
FedEx Corp.		38,076		5,779,176
United Parcel Service, Inc., Class B (a)		105,561		11,371,031

				20,121,447
Airlines — 0.5%
Alaska Air Group, Inc. (a)		18,406		1,072,886
American Airlines Group, Inc.		87,922		2,489,072
Copa Holdings SA, Class A (a)		4,784		250,012
Delta Air Lines, Inc.		117,625		4,285,079
JetBlue Airways Corp. (a)(b)		49,998		827,967
Southwest Airlines Co.		97,478		3,822,112
Spirit Airlines, Inc. (b)		10,651		477,910
United Continental Holdings, Inc. (b)		51,130		2,098,375

				15,323,413
Auto Components — 0.4%
Allison Transmission Holdings, Inc.		21,123		596,302
BorgWarner, Inc. (a)		33,490		988,625
Delphi Automotive PLC		41,589		2,603,471
Gentex Corp. (a)		42,904		662,867
Goodyear Tire & Rubber Co.		40,955		1,050,905
Johnson Controls, Inc. (a)		98,993		4,381,430
Lear Corp.		11,327		1,152,636
Visteon Corp.		5,458		359,191

				11,795,427
Automobiles — 0.6%
Ford Motor Co. (a)		592,569		7,448,592
General Motors Co. (a)		213,908		6,053,596
Harley-Davidson, Inc. (a)		27,834		1,260,880
Tesla Motors, Inc. (a)(b)		17,853		3,789,835
Thor Industries, Inc.		7,183		465,028

				19,017,931
Banks — 4.9%
Associated Banc-Corp		22,260		381,759
Bank of America Corp.		1,569,455		20,826,668
Bank of Hawaii Corp. (a)		6,340		436,192
BankUnited, Inc.		14,766		453,612


Common Stocks	Shares		Value
Banks (continued)
BB&T Corp.		124,051	$	4,417,456
BOK Financial Corp. (a)		4,260		267,102
CIT Group, Inc.		30,753		981,328
Citigroup, Inc.		448,367		19,006,277
Citizens Financial Group, Inc.		80,735		1,613,085
Comerica, Inc.		26,843		1,104,053
Commerce Bancshares, Inc. (a)		12,920		618,868
Cullen/Frost Bankers, Inc. (a)		7,927		505,188
East West Bancorp, Inc.		22,338		763,513
Fifth Third Bancorp		116,472		2,048,742
First Horizon National Corp.		34,392		473,922
First Niagara Financial Group, Inc.		52,518		511,525
First Republic Bank		22,223		1,555,388
Huntington Bancshares, Inc. (a)		122,053		1,091,154
JPMorgan Chase & Co. (a)		555,888		34,542,880
KeyCorp		128,228		1,416,919
M&T Bank Corp.		22,783		2,693,634
PacWest Bancorp (a)		17,711		704,544
PNC Financial Services Group, Inc. (c)		76,202		6,202,081
Popular, Inc.		15,285		447,851
Regions Financial Corp. (a)		193,241		1,644,481
Signature Bank (b)		8,134		1,016,099
SunTrust Banks, Inc. (a)		76,463		3,141,100
SVB Financial Group (b)		8,063		767,275
Synovus Financial Corp.		18,824		545,708
TCF Financial Corp.		23,123		292,506
US Bancorp (a)		247,859		9,996,153
Wells Fargo & Co.		697,771		33,025,501
Western Alliance Bancorporation (b)		13,929		454,782
Zions Bancorporation		31,286		786,217

				154,733,563
Beverages — 2.1%
Brown-Forman Corp., Class A		4,055		438,062
Brown-Forman Corp., Class B		15,181		1,514,457
Coca-Cola Co.		594,852		26,964,641
Constellation Brands, Inc., Class A		25,252		4,176,681
Dr Pepper Snapple Group, Inc.		28,235		2,728,348
Molson Coors Brewing Co., Class B		26,188		2,648,392
Monster Beverage Corp. (b)		22,664		3,642,331
PepsiCo, Inc.		220,526		23,362,525

				65,475,437
Biotechnology — 2.9%
AbbVie, Inc.		247,046		15,294,618
ACADIA Pharmaceuticals, Inc. (b)		13,495		438,048
Agios Pharmaceuticals, Inc. (a)(b)		4,236		177,467
Alexion Pharmaceuticals, Inc. (b)		33,115		3,866,507
Alkermes PLC (b)		23,159		1,000,932
Alnylam Pharmaceuticals, Inc. (b)		11,172		619,934
Amgen, Inc.		114,699		17,451,453
Biogen, Inc. (b)		33,399		8,076,546
BioMarin Pharmaceutical, Inc. (b)		24,715		1,922,827
Celgene Corp. (b)		117,282		11,567,524
Gilead Sciences, Inc.		202,278		16,874,031
Incyte Corp. (b)		24,785		1,982,304
Intercept Pharmaceuticals, Inc. (a)(b)		2,450		349,566
Intrexon Corp. (a)(b)		8,259		203,254
Ionis Pharmaceuticals, Inc. (a)(b)		17,973		418,591
Juno Therapeutics, Inc. (a)(b)		9,373		360,298
Medivation, Inc. (b)		24,313		1,466,074


Portfolio Abbreviations


REIT		Real Estate Investment Trust

See Notes to Financial Statements.



18	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Large Cap Index Master Portfolio


Common Stocks	Shares		Value
Biotechnology (continued)
Neurocrine Biosciences, Inc. (b)		12,830	$	583,124
OPKO Health, Inc. (a)(b)		48,017		448,479
Regeneron Pharmaceuticals, Inc. (b)		11,836		4,133,486
Seattle Genetics, Inc. (a)(b)		14,905		602,311
United Therapeutics Corp. (b)		6,873		727,988
Vertex Pharmaceuticals, Inc. (b)		37,533		3,228,589

				91,793,951
Building Products — 0.2%
Allegion PLC		14,797		1,027,356
AO Smith Corp.		11,241		990,445
Armstrong World Industries, Inc. (b)		6,929		271,270
Fortune Brands Home & Security, Inc.		23,350		1,353,600
Lennox International, Inc.		6,144		876,134
Masco Corp.		50,190		1,552,879
Owens Corning		17,595		906,494
USG Corp. (b)		12,875		347,110

				7,325,288
Capital Markets — 1.7%
Affiliated Managers Group, Inc. (b)		8,256		1,162,197
Ameriprise Financial, Inc.		23,913		2,148,583
Artisan Partners Asset Management, Inc., Class A (a)		5,903		163,395
Bank of New York Mellon Corp.		159,760		6,206,676
BlackRock, Inc. (c)		19,067		6,531,020
Charles Schwab Corp. (a)		177,773		4,499,435
E*Trade Financial Corp. (b)		43,045		1,011,127
Eaton Vance Corp. (a)		16,597		586,538
Federated Investors, Inc., Class B (a)		13,944		401,308
Franklin Resources, Inc. (a)		54,969		1,834,316
Goldman Sachs Group, Inc. (a)		58,878		8,748,093
Invesco Ltd.		62,708		1,601,562
Lazard Ltd., Class A		19,019		566,386
Legg Mason, Inc.		15,698		462,934
LPL Financial Holdings, Inc. (a)		12,826		288,970
Morgan Stanley		217,796		5,658,340
Northern Trust Corp.		31,544		2,090,105
NorthStar Asset Management Group, Inc. (a)		28,751		293,548
Raymond James Financial, Inc.		19,563		964,456
SEI Investments Co.		19,731		949,258
State Street Corp.		60,150		3,243,288
T. Rowe Price Group, Inc. (a)		36,985		2,698,795
TD Ameritrade Holding Corp. (a)		38,059		1,083,730

				53,194,060
Chemicals — 2.1%
Air Products & Chemicals, Inc.		29,844		4,239,042
Albemarle Corp. (a)		17,105		1,356,598
Ashland, Inc. (a)		9,546		1,095,594
Axalta Coating Systems Ltd. (b)		24,581		652,134
Cabot Corp. (a)		9,342		426,556
Celanese Corp., Series A		22,678		1,484,275
CF Industries Holdings, Inc.		36,111		870,275
Dow Chemical Co.		171,264		8,513,533
E.I. du Pont de Nemours & Co. (a)		133,444		8,647,171
Eastman Chemical Co.		22,519		1,529,040
Ecolab, Inc.		39,744		4,713,638
FMC Corp. (a)		20,638		955,746
Huntsman Corp.		31,425		422,666
International Flavors & Fragrances, Inc. (a)		12,162		1,533,263


Common Stocks	Shares		Value
Chemicals (continued)
LyondellBasell Industries NV, Class A		52,913	$	3,937,786
Monsanto Co. (a)		66,564		6,883,383
Mosaic Co. (a)		53,478		1,400,054
NewMarket Corp. (a)		1,099		455,404
Platform Specialty Products Corp. (a)(b)		24,533		217,853
PPG Industries, Inc.		40,450		4,212,868
Praxair, Inc.		43,555		4,895,146
RPM International, Inc.		20,096		1,003,795
Scotts Miracle-Gro Co., Class A		6,863		479,792
Sherwin-Williams Co.		12,268		3,602,744
Valspar Corp.		11,851		1,280,264
Westlake Chemical Corp. (a)		5,618		241,125
WR Grace & Co.		10,739		786,202

				65,835,947
Commercial Services & Supplies — 0.5%
Cintas Corp. (a)		13,582		1,332,802
Clean Harbors, Inc. (b)		7,796		406,250
Copart, Inc. (b)		15,241		746,961
Covanta Holding Corp. (a)		18,137		298,354
Iron Mountain, Inc.		40,006		1,593,439
KAR Auction Services, Inc. (a)		21,317		889,772
Pitney Bowes, Inc. (a)		28,593		508,955
Republic Services, Inc.		35,938		1,843,979
Rollins, Inc. (a)		14,312		418,912
RR Donnelley & Sons Co.		31,260		528,919
Stericycle, Inc. (b)		12,434		1,294,628
Tyco International PLC (a)		60,759		2,588,333
Waste Management, Inc.		67,643		4,482,702

				16,934,006
Communications Equipment — 1.4%
Arista Networks, Inc. (b)		5,822		374,820
ARRIS International PLC (b)		28,151		590,045
Brocade Communications Systems, Inc.		69,729		640,112
Cisco Systems, Inc. (a)		768,586		22,050,732
CommScope Holding Co., Inc. (b)		19,112		593,046
EchoStar Corp., Class A (b)		6,783		269,285
F5 Networks, Inc. (b)		10,237		1,165,380
Harris Corp. (a)		19,023		1,587,279
Juniper Networks, Inc.		57,172		1,285,798
Motorola Solutions, Inc. (a)		26,605		1,755,132
Palo Alto Networks, Inc. (b)		13,240		1,623,754
QUALCOMM, Inc.		224,258		12,013,501

				43,948,884
Construction & Engineering — 0.1%
AECOM (a)(b)		23,732		753,965
Chicago Bridge & Iron Co. NV		15,564		538,981
Fluor Corp.		21,453		1,057,204
Jacobs Engineering Group, Inc. (b)		18,510		921,983
KBR, Inc.		21,961		290,764
Quanta Services, Inc. (b)		21,707		501,866

				4,064,763
Construction Materials — 0.2%
Eagle Materials, Inc.		6,965		537,350
Martin Marietta Materials, Inc.		9,675		1,857,600
Vulcan Materials Co.		20,178		2,428,624

				4,823,574

See Notes to Financial Statements.



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	19


Schedule of Investments (continued)		Large Cap Index Master Portfolio


Common Stocks	Shares		Value
Consumer Finance — 0.7%
Ally Financial, Inc. (b)		68,441	$	1,168,288
American Express Co.		122,080		7,417,581
Capital One Financial Corp.		77,871		4,945,587
Credit Acceptance Corp. (a)(b)		1,269		234,866
Discover Financial Services		62,586		3,353,984
Navient Corp.		49,841		595,600
OneMain Holdings, Inc. (b)		7,481		170,716
Santander Consumer USA Holdings, Inc. (b)		15,744		162,636
SLM Corp. (b)		63,582		392,937
Synchrony Financial (b)		127,476		3,222,593

				21,664,788
Containers & Packaging — 0.4%
AptarGroup, Inc. (a)		9,653		763,842
Avery Dennison Corp.		13,707		1,024,598
Ball Corp. (a)		26,030		1,881,709
Bemis Co., Inc. (a)		14,158		728,995
Berry Plastics Group, Inc. (b)		18,861		732,750
Crown Holdings, Inc. (b)		20,700		1,048,869
Graphic Packaging Holding Co. (a)		47,603		596,942
Owens-Illinois, Inc. (b)		24,383		439,138
Packaging Corp. of America (a)		14,424		965,398
Sealed Air Corp.		30,024		1,380,203
Silgan Holdings, Inc.		6,182		318,126
Sonoco Products Co.		15,470		768,240
WestRock Co. (a)		38,217		1,485,495

				12,134,305
Distributors — 0.1%
Genuine Parts Co.		22,257		2,253,521
LKQ Corp. (b)		46,572		1,476,332
Pool Corp.		6,026		566,625

				4,296,478
Diversified Consumer Services — 0.1%
Graham Holdings Co., Class B		647		316,732
H&R Block, Inc. (a)		34,270		788,210
Service Corp. International		29,214		789,947
ServiceMaster Global Holdings, Inc. (b)		21,025		836,795

				2,731,684
Diversified Financial Services — 2.1%
Berkshire Hathaway, Inc., Class B (b)		288,771		41,811,153
CBOE Holdings, Inc.		12,363		823,623
CME Group, Inc.		51,532		5,019,217
FactSet Research Systems, Inc. (a)		6,009		969,973
Interactive Brokers Group, Inc., Class A (a)		9,434		333,964
Intercontinental Exchange, Inc.		17,948		4,593,970
Leucadia National Corp.		49,650		860,434
MarketAxess Holdings, Inc.		5,684		826,454
Moody’s Corp.		25,872		2,424,465
Morningstar, Inc.		2,888		236,181
MSCI, Inc.		14,001		1,079,757
NASDAQ, Inc.		17,220		1,113,617
S&P Global, Inc.		40,205		4,312,388
Voya Financial, Inc.		31,821		787,888

				65,193,084
Diversified Telecommunication Services — 2.6%
AT&T, Inc.		940,796		40,651,795
CenturyLink, Inc. (a)		81,924		2,376,615
Frontier Communications Corp. (a)		178,438		881,484


Common Stocks	Shares		Value
Diversified Telecommunication Services (continued)
Level 3 Communications, Inc. (b)		44,533	$	2,293,004
Verizon Communications, Inc.		623,125		34,795,300
Zayo Group Holdings, Inc. (b)		24,372		680,710

				81,678,908
Electric Utilities — 1.9%
American Electric Power Co., Inc. (a)		75,109		5,264,390
Avangrid, Inc.		8,392		386,536
Duke Energy Corp.		105,253		9,029,655
Edison International (a)		48,235		3,746,412
Entergy Corp.		27,270		2,218,415
Eversource Energy		48,382		2,898,082
Exelon Corp. (a)		135,336		4,920,817
FirstEnergy Corp.		64,839		2,263,529
Great Plains Energy, Inc.		24,108		732,883
Hawaiian Electric Industries, Inc.		16,289		534,116
ITC Holdings Corp.		23,133		1,083,087
NextEra Energy, Inc. (a)		70,308		9,168,163
OGE Energy Corp.		30,504		999,006
Pinnacle West Capital Corp. (a)		16,930		1,372,346
PPL Corp.		103,431		3,904,520
Southern Co. (a)		143,422		7,691,722
Westar Energy, Inc.		21,666		1,215,246
Xcel Energy, Inc.		77,510		3,470,898

				60,899,823
Electrical Equipment — 0.5%
Acuity Brands, Inc. (a)		6,627		1,643,231
AMETEK, Inc.		35,080		1,621,748
Eaton Corp. PLC		69,767		4,167,183
Emerson Electric Co.		97,746		5,098,431
Hubbell, Inc.		8,354		881,096
Regal-Beloit Corp. (a)		6,645		365,807
Rockwell Automation, Inc.		19,792		2,272,518
SolarCity Corp. (a)(b)		9,763		233,629

				16,283,643
Electronic Equipment, Instruments & Components — 0.5%
Amphenol Corp., Class A		45,705		2,620,268
Arrow Electronics, Inc. (b)		14,068		870,809
Avnet, Inc.		19,893		805,865
CDW Corp.		25,047		1,003,884
Cognex Corp.		12,412		534,957
Corning, Inc. (a)		164,052		3,359,785
Dolby Laboratories, Inc., Class A (a)		7,570		362,225
FEI Co.		6,109		652,930
Fitbit, Inc., Series A (b)		18,814		229,907
FLIR Systems, Inc.		20,459		633,206
Ingram Micro, Inc., Class A		22,532		783,663
IPG Photonics Corp. (b)		5,274		421,920
Jabil Circuit, Inc.		27,908		515,461
Keysight Technologies, Inc. (b)		26,656		775,423
National Instruments Corp.		15,861		434,591
Trimble Navigation Ltd. (b)		38,841		946,167
Zebra Technologies Corp., Class A (b)		7,739		387,724

				15,338,785
Energy Equipment & Services — 1.1%
Baker Hughes, Inc.		66,791		3,014,278
Diamond Offshore Drilling, Inc.		9,999		243,276
Dril-Quip, Inc. (b)		5,779		337,667

See Notes to Financial Statements.



20	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Large Cap Index Master Portfolio


Common Stocks	Shares		Value
Energy Equipment & Services (continued)
Ensco PLC, Class A		46,936	$	455,748
FMC Technologies, Inc. (b)		33,994		906,620
Frank’s International NV (a)		5,864		85,673
Halliburton Co.		130,781		5,923,071
Helmerich & Payne, Inc. (a)		14,633		982,313
Nabors Industries Ltd.		41,112		413,176
National Oilwell Varco, Inc. (a)		57,554		1,936,692
Noble Corp. PLC (a)		36,230		298,535
Oceaneering International, Inc. (a)		14,614		436,374
Patterson-UTI Energy, Inc. (a)		21,806		464,904
Rowan Cos. PLC, Class A		18,754		331,196
RPC, Inc. (a)		8,807		136,773
Schlumberger Ltd. (a)		212,504		16,804,816
Superior Energy Services, Inc. (a)		23,222		427,517
Transocean Ltd.		51,531		612,704
Weatherford International PLC (a)(b)		138,931		771,067

				34,582,400
Food & Staples Retailing — 2.1%
Casey’s General Stores, Inc.		6,046		795,109
Costco Wholesale Corp. (a)		66,496		10,442,532
CVS Health Corp.		163,841		15,686,137
Kroger Co. (a)		145,039		5,335,985
Rite Aid Corp. (b)		157,539		1,179,967
Sprouts Farmers Market, Inc. (b)		20,819		476,755
Sysco Corp. (a)		80,017		4,060,063
US Foods Holding Corp. (b)		6,666		161,584
Wal-Mart Stores, Inc.		230,985		16,866,525
Walgreens Boots Alliance, Inc.		131,256		10,929,687
Whole Foods Market, Inc. (a)		48,760		1,561,295

				67,495,639
Food Products — 1.9%
Archer-Daniels-Midland Co.		87,697		3,761,324
Blue Buffalo Pet Products, Inc. (a)(b)		8,902		207,773
Bunge Ltd.		21,280		1,258,712
Campbell Soup Co. (a)		28,393		1,888,986
ConAgra Foods, Inc. (a)		66,605		3,184,385
Flowers Foods, Inc. (a)		25,786		483,488
General Mills, Inc. (a)		90,697		6,468,510
Hain Celestial Group, Inc. (b)		15,591		775,652
Hershey Co. (a)		21,364		2,424,600
Hormel Foods Corp.		41,300		1,511,580
Ingredion, Inc. (a)		10,960		1,418,334
J.M. Smucker Co.		17,654		2,690,646
Kellogg Co.		37,853		3,090,697
Kraft Heinz Co.		90,986		8,050,441
McCormick & Co., Inc.		17,615		1,878,992
Mead Johnson Nutrition Co. (a)		28,470		2,583,653
Mondelez International, Inc., Class A		228,053		10,378,692
Pilgrim’s Pride Corp. (a)		8,550		217,854
Pinnacle Foods, Inc.		17,934		830,165
Post Holdings, Inc. (b)		9,949		822,683
TreeHouse Foods, Inc. (b)		8,485		870,985
Tyson Foods, Inc., Class A		44,401		2,965,543
WhiteWave Foods Co. (b)		26,634		1,250,200

				59,013,895
Gas Utilities — 0.2%
AGL Resources, Inc. (a)		18,395		1,213,518
Atmos Energy Corp.		15,489		1,259,565


Common Stocks	Shares		Value
Gas Utilities (continued)
National Fuel Gas Co. (a)		10,998	$	625,566
Piedmont Natural Gas Co., Inc.		12,496		751,260
Questar Corp.		27,370		694,377
UGI Corp.		26,372		1,193,333

				5,737,619
Health Care Equipment & Supplies — 2.5%
Abbott Laboratories		224,081		8,808,624
ABIOMED, Inc. (b)		5,925		647,543
Alere, Inc. (b)		12,904		537,839
Align Technology, Inc. (b)		11,161		899,018
Baxter International, Inc.		76,053		3,439,117
Becton Dickinson & Co.		31,902		5,410,260
Boston Scientific Corp. (b)		205,548		4,803,657
C.R. Bard, Inc.		11,191		2,631,676
Cooper Cos., Inc.		7,274		1,248,000
DENTSPLY SIRONA, Inc.		35,016		2,172,393
DexCom, Inc. (b)		12,657		1,004,080
Edwards Lifesciences Corp. (b)		32,165		3,207,815
Hill-Rom Holdings, Inc.		9,771		492,947
Hologic, Inc. (b)		42,583		1,473,372
IDEXX Laboratories, Inc. (b)		13,673		1,269,675
Intuitive Surgical, Inc. (b)		5,757		3,807,737
Medtronic PLC		214,126		18,579,713
ResMed, Inc. (a)		21,294		1,346,420
St. Jude Medical, Inc.		42,399		3,307,122
Stryker Corp. (a)		51,332		6,151,113
Teleflex, Inc.		6,696		1,187,268
Varian Medical Systems, Inc. (b)		14,617		1,201,956
West Pharmaceutical Services, Inc.		11,122		843,937
Zimmer Biomet Holdings, Inc.		28,127		3,385,928

				77,857,210
Health Care Providers & Services — 2.6%
Acadia Healthcare Co., Inc. (b)		10,876		602,530
Aetna, Inc.		51,841		6,331,341
AmerisourceBergen Corp.		27,104		2,149,889
Amsurg Corp. (b)		8,032		622,801
Anthem, Inc. (a)		40,179		5,277,110
Brookdale Senior Living, Inc. (a)(b)		27,486		424,384
Cardinal Health, Inc.		49,739		3,880,139
Centene Corp. (a)(b)		25,465		1,817,437
Cigna Corp.		38,755		4,960,253
DaVita HealthCare Partners, Inc. (b)		25,528		1,973,825
Envision Healthcare Holdings, Inc. (b)		28,969		734,944
Express Scripts Holding Co. (b)		96,531		7,317,050
HCA Holdings, Inc. (b)		46,797		3,603,837
Henry Schein, Inc. (b)		12,470		2,204,696
Humana, Inc.		22,732		4,089,032
Laboratory Corp. of America Holdings (b)		15,586		2,030,388
LifePoint Hospitals, Inc. (b)		6,368		416,276
McKesson Corp.		34,293		6,400,789
MEDNAX, Inc. (a)(b)		14,108		1,021,843
Patterson Cos., Inc. (a)		12,515		599,343
Premier, Inc., Class A (b)		6,822		223,079
Quest Diagnostics, Inc.		21,569		1,755,932
Tenet Healthcare Corp. (b)		11,967		330,768
UnitedHealth Group, Inc. (a)		143,137		20,210,945
Universal Health Services, Inc., Class B		13,034		1,747,859
VCA, Inc. (b)		11,926		806,317
WellCare Health Plans, Inc. (b)		6,896		739,803

				82,272,610

See Notes to Financial Statements.



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	21


Schedule of Investments (continued)		Large Cap Index Master Portfolio


Common Stocks	Shares		Value
Health Care Technology — 0.2%
Athenahealth, Inc. (a)(b)		6,045	$	834,270
Cerner Corp. (b)		44,800		2,625,280
IMS Health Holdings, Inc. (b)		22,580		572,629
Inovalon Holdings, Inc., Class A (a)(b)		8,806		158,596
Veeva Systems, Inc., Class A (b)		14,333		489,042

				4,679,817
Hotels, Restaurants & Leisure — 1.9%
Aramark		37,107		1,240,116
Brinker International, Inc. (a)		8,611		392,059
Carnival Corp.		62,162		2,747,560
Chipotle Mexican Grill, Inc. (a)(b)		4,302		1,732,673
Choice Hotels International, Inc.		5,233		249,195
Darden Restaurants, Inc.		17,773		1,125,742
Domino’s Pizza, Inc.		7,605		999,145
Dunkin’ Brands Group, Inc. (a)		14,149		617,179
Extended Stay America, Inc. (a)		10,992		164,330
Hilton Worldwide Holdings, Inc.		79,807		1,798,052
Hyatt Hotels Corp., Class A (b)		3,565		175,184
International Game Technology PLC		14,040		263,110
Las Vegas Sands Corp.		55,387		2,408,781
Marriott International, Inc., Class A (a)		28,475		1,892,448
McDonald’s Corp.		134,176		16,146,740
MGM Resorts International (b)		72,212		1,634,158
Norwegian Cruise Line Holdings Ltd. (b)		24,534		977,435
Panera Bread Co., Class A (b)		3,439		728,862
Royal Caribbean Cruises Ltd.		25,649		1,722,330
Six Flags Entertainment Corp.		10,681		618,964
Starbucks Corp. (a)		217,768		12,438,908
Starwood Hotels & Resorts Worldwide, Inc.		25,747		1,903,991
Vail Resorts, Inc.		5,598		773,811
Wendy’s Co. (a)		31,545		303,463
Wyndham Worldwide Corp. (a)		16,895		1,203,431
Wynn Resorts Ltd.		12,173		1,103,361
Yum! Brands, Inc. (a)		58,891		4,883,242

				60,244,270
Household Durables — 0.5%
CalAtlantic Group, Inc.		11,150		409,317
D.R. Horton, Inc.		51,382		1,617,505
Garmin Ltd. (a)		17,182		728,860
Harman International Industries, Inc.		10,612		762,154
Leggett & Platt, Inc.		20,412		1,043,257
Lennar Corp., Class A (a)		27,666		1,275,403
Lennar Corp., Class B		1,943		72,377
Mohawk Industries, Inc. (b)		9,391		1,782,036
Newell Brands, Inc.		66,992		3,253,802
NVR, Inc. (b)		541		963,164
PulteGroup, Inc. (a)		52,456		1,022,367
Tempur Sealy International, Inc. (a)(b)		8,091		447,594
Toll Brothers, Inc. (b)		23,799		640,431
Tupperware Brands Corp. (a)		7,496		421,875
Whirlpool Corp.		11,314		1,885,365

				16,325,507
Household Products — 1.8%
Church & Dwight Co., Inc.		19,539		2,010,368
Clorox Co.		19,734		2,730,988
Colgate-Palmolive Co.		132,470		9,696,804
Energizer Holdings, Inc.		9,314		479,578
Kimberly-Clark Corp.		54,816		7,536,104
Procter & Gamble Co.		406,875		34,450,106
Spectrum Brands Holdings, Inc. (a)		3,672		438,106

				57,342,054


Common Stocks	Shares		Value
Independent Power and Renewable Electricity Producers — 0.1%
AES Corp.		101,101	$	1,261,740
Calpine Corp. (b)		55,486		818,419
NRG Energy, Inc. (a)		49,129		736,444

				2,816,603
Industrial Conglomerates — 2.3%
3M Co.		89,824		15,729,979
BWX Technologies, Inc.		13,922		497,990
Carlisle Cos., Inc.		9,697		1,024,779
Danaher Corp. (a)		92,361		9,328,461
General Electric Co.		1,405,302		44,238,907
Roper Technologies, Inc.		15,211		2,594,388

				73,414,504
Insurance — 2.8%
Aflac, Inc.		61,317		4,424,635
Alleghany Corp. (b)		2,272		1,248,646
Allied World Assurance Co. Holdings AG		13,787		484,475
Allstate Corp.		57,043		3,990,158
American Financial Group, Inc.		10,632		786,024
American International Group, Inc.		169,299		8,954,224
American National Insurance Co.		1,090		123,333
AmTrust Financial Services, Inc. (a)		13,174		322,763
Aon PLC		40,105		4,380,669
Arch Capital Group Ltd. (b)		17,708		1,274,976
Arthur J Gallagher & Co.		26,867		1,278,869
Aspen Insurance Holdings Ltd.		8,970		416,029
Assurant, Inc.		9,505		820,377
Assured Guaranty Ltd.		19,859		503,823
Axis Capital Holdings Ltd.		14,042		772,310
Brown & Brown, Inc.		17,688		662,769
Chubb Ltd.		70,546		9,221,068
Cincinnati Financial Corp. (a)		22,832		1,709,888
CNA Financial Corp.		3,810		119,710
Endurance Specialty Holdings Ltd.		9,541		640,774
Erie Indemnity Co., Class A (a)		3,639		361,498
Everest Re Group Ltd.		6,116		1,117,210
First American Financial Corp.		15,911		639,940
FNF Group (a)		39,982		1,499,325
Hanover Insurance Group, Inc.		6,293		532,514
Hartford Financial Services Group, Inc.		59,652		2,647,356
Lincoln National Corp.		36,497		1,414,989
Loews Corp.		42,667		1,753,187
Markel Corp. (b)		2,081		1,982,735
Marsh & McLennan Cos., Inc.		79,528		5,444,487
Mercury General Corp. (a)		845		44,920
MetLife, Inc.		141,931		5,653,112
Old Republic International Corp.		36,506		704,201
Principal Financial Group, Inc.		40,764		1,675,808
ProAssurance Corp.		7,895		422,777
Progressive Corp.		88,645		2,969,607
Prudential Financial, Inc.		67,431		4,810,527
Reinsurance Group of America, Inc.		9,595		930,619
RenaissanceRe Holdings Ltd. (a)		6,143		721,434
Torchmark Corp.		18,090		1,118,324
Travelers Cos., Inc.		44,523		5,300,018
Unum Group		36,528		1,161,225
Validus Holdings Ltd.		11,217		545,034
W.R. Berkley Corp.		14,831		888,673
White Mountains Insurance Group Ltd.		702		591,084
XL Group PLC		42,338		1,410,279

				88,476,403

See Notes to Financial Statements.



22	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Large Cap Index Master Portfolio


Common Stocks	Shares		Value
Internet & Catalog Retail — 2.0%
Amazon.com, Inc. (b)		59,391	$	42,501,387
Expedia, Inc.		18,185		1,933,066
Groupon, Inc. (a)(b)		54,660		177,645
Liberty Interactive Corp QVC Group, Series A (b)		67,614		1,715,367
Liberty Ventures, Series A (b)		19,963		740,028
Netflix, Inc. (b)		62,212		5,691,154
Priceline Group, Inc. (b)		7,553		9,429,241
TripAdvisor, Inc. (b)		17,502		1,125,379

				63,313,267
Internet Software & Services — 3.9%
Akamai Technologies, Inc. (b)		26,306		1,471,295
Alphabet, Inc., Class A (b)		44,831		31,539,953
Alphabet, Inc., Class C (b)		45,311		31,359,743
CoStar Group, Inc. (a)(b)		4,916		1,074,933
eBay, Inc. (b)		162,868		3,812,740
Facebook, Inc., Class A (b)		342,654		39,158,499
GoDaddy, Inc., Class A (a)(b)		6,949		216,739
IAC/InterActiveCorp		10,557		594,359
LinkedIn Corp., Class A (b)		17,905		3,388,521
Match Group, Inc. (a)(b)		4,391		66,194
Pandora Media, Inc. (a)(b)		32,848		408,958
Rackspace Hosting, Inc. (b)		17,035		355,350
Twitter, Inc. (a)(b)		96,543		1,632,542
VeriSign, Inc. (a)(b)		14,535		1,256,696
Yahoo!, Inc. (b)		132,259		4,967,648
Yelp, Inc. (b)		10,166		308,640
Zillow Group, Inc., Class A (a)(b)		7,641		280,043
Zillow Group, Inc., Class C (a)(b)		15,302		555,157

				122,448,010
IT Services — 3.7%
Accenture PLC, Class A (a)		95,203		10,785,548
Alliance Data Systems Corp. (b)		8,791		1,722,333
Amdocs Ltd.		22,657		1,307,762
Automatic Data Processing, Inc.		69,548		6,389,375
Black Knight Financial Services, Inc., Class A (a)(b)		3,228		121,373
Booz Allen Hamilton Holding Corp.		16,954		502,517
Broadridge Financial Solutions, Inc.		18,062		1,177,642
Cognizant Technology Solutions Corp., Class A (b)		92,115		5,272,663
Computer Sciences Corp.		21,225		1,053,821
CoreLogic, Inc. (b)		13,192		507,628
CSRA, Inc. (a)		24,407		571,856
DST Systems, Inc.		5,094		593,094
Euronet Worldwide, Inc. (b)		7,441		514,843
Fidelity National Information Services, Inc.		49,481		3,645,760
First Data Corp., Class A (b)		46,712		517,102
Fiserv, Inc. (b)		33,820		3,677,249
FleetCor Technologies, Inc. (b)		13,950		1,996,663
Gartner, Inc. (b)		12,256		1,193,857
Genpact Ltd. (b)		22,451		602,585
Global Payments, Inc.		23,362		1,667,580
International Business Machines Corp. (a)		134,246		20,375,858
Jack Henry & Associates, Inc.		12,113		1,057,101
Leidos Holdings, Inc. (a)		9,992		478,317
Mastercard, Inc., Class A (a)		147,132		12,956,444
Paychex, Inc.		49,139		2,923,770
PayPal Holdings, Inc. (b)		172,677		6,304,437
Sabre Corp.		32,087		859,611
Square, Inc., Class A (a)(b)		7,719		69,857
Teradata Corp. (b)		19,345		484,979


Common Stocks	Shares		Value
IT Services (continued)
Total System Services, Inc.		25,399	$	1,348,941
Vantiv, Inc., Class A (b)		23,700		1,341,420
VeriFone Systems, Inc. (b)		17,317		321,057
Visa, Inc., Class A (a)		290,965		21,580,874
Western Union Co. (a)		74,648		1,431,749
WEX, Inc. (b)		5,757		510,473
Xerox Corp.		153,680		1,458,423

				117,324,562
Leisure Products — 0.2%
Brunswick Corp.		13,581		615,491
Hasbro, Inc.		17,146		1,440,093
Mattel, Inc. (a)		51,963		1,625,922
Polaris Industries, Inc. (a)		9,206		752,683
Vista Outdoor, Inc. (b)		9,051		432,004

				4,866,193
Life Sciences Tools & Services — 0.7%
Agilent Technologies, Inc.		49,532		2,197,239
Bio-Rad Laboratories, Inc., Class A (a)(b)		3,098		443,076
Bio-Techne Corp. (a)		5,484		618,431
Bruker Corp.		16,633		378,234
Charles River Laboratories International, Inc. (b)		6,968		574,442
Illumina, Inc. (b)		22,282		3,127,947
Mettler-Toledo International, Inc. (b)		4,006		1,461,870
PerkinElmer, Inc.		16,372		858,220
QIAGEN NV (b)		35,517		774,626
Quintiles Transnational Holdings, Inc. (b)		12,799		836,031
Thermo Fisher Scientific, Inc. (a)		59,875		8,847,130
VWR Corp. (b)		11,635		336,251
Waters Corp. (b)		11,695		1,644,902

				22,098,399
Machinery — 1.4%
AGCO Corp. (a)		10,708		504,668
Caterpillar, Inc. (a)		85,106		6,451,886
Colfax Corp. (b)		15,180		401,663
Crane Co.		7,266		412,128
Cummins, Inc.		24,059		2,705,194
Deere & Co. (a)		48,003		3,890,163
Donaldson Co., Inc. (a)		19,066		655,108
Dover Corp.		23,367		1,619,800
Flowserve Corp. (a)		20,092		907,556
Graco, Inc. (a)		8,246		651,352
IDEX Corp.		11,723		962,458
Illinois Tool Works, Inc.		44,927		4,679,596
Ingersoll-Rand PLC		39,217		2,497,339
ITT, Inc.		13,482		431,154
Lincoln Electric Holdings, Inc. (a)		9,120		538,810
Manitowoc Foodservice, Inc. (a)(b)		18,982		334,463
Middleby Corp. (b)		8,717		1,004,634
Nordson Corp. (a)		8,890		743,293
Oshkosh Corp.		10,885		519,323
PACCAR, Inc.		52,183		2,706,732
Parker Hannifin Corp.		20,346		2,198,385
Pentair PLC		25,362		1,478,351
Snap-on, Inc.		8,837		1,394,655
Stanley Black & Decker, Inc.		22,790		2,534,704
Terex Corp.		15,786		320,614
Timken Co.		10,677		327,357
Toro Co. (a)		8,176		721,123

See Notes to Financial Statements.



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	23


Schedule of Investments (continued)		Large Cap Index Master Portfolio


Common Stocks	Shares		Value
Machinery (continued)
Trinity Industries, Inc. (a)		22,420	$	416,339
Valmont Industries, Inc. (a)		3,408		461,000
WABCO Holdings, Inc. (b)		8,230		753,621
Wabtec Corp. (a)		13,286		933,076
Xylem, Inc.		27,420		1,224,303

				45,380,848
Marine — 0.0%
Kirby Corp. (b)		8,121		506,669
Media — 3.0%
AMC Networks, Inc., Class A (b)		8,914		538,584
Cable One, Inc.		701		358,498
CBS Corp., Class B		61,558		3,351,218
Charter Communications, Inc. (b)		30,571		6,989,753
Cinemark Holdings, Inc.		16,405		598,126
Clear Channel Outdoor Holdings, Inc., Class A		4,142		25,763
Comcast Corp., Class A		367,952		23,986,791
Discovery Communications, Inc., Class A (b)		22,347		563,815
Discovery Communications, Inc., Class C (b)		36,469		869,786
DISH Network Corp., Class A (b)		33,466		1,753,618
Interpublic Group of Cos., Inc.		61,197		1,413,651
John Wiley & Sons, Inc., Class A		7,004		365,469
Liberty Braves Group, Class C (b)		1,979		29,012
Liberty Broadband Corp., Class A (b)		3,971		235,877
Liberty Broadband Corp., Class C (a)(b)		15,944		956,640
Liberty SiriusXM Group, Class A (b)		14,018		439,605
Liberty SiriusXM Group, Class C (b)		28,121		868,095
Lions Gate Entertainment Corp. (a)		14,515		293,638
Live Nation Entertainment, Inc. (a)(b)		19,525		458,838
Madison Square Garden Co., Class A (b)		2,940		507,179
News Corp., Class A (a)		56,808		644,771
News Corp., Class B		18,151		211,822
Omnicom Group, Inc. (a)		36,005		2,934,047
Regal Entertainment Group, Class A (a)		12,277		270,585
Scripps Networks Interactive, Inc., Class A (a)		12,746		793,693
Sirius XM Holdings, Inc. (a)(b)		273,764		1,081,368
Starz, Class A (b)		12,581		376,424
TEGNA, Inc. (a)		33,869		784,745
Thomson Reuters Corp.		45,723		1,848,124
Time Warner, Inc. (a)		120,046		8,828,183
Tribune Media Co., Class A		11,523		451,471
Twenty-First Century Fox, Inc., Class A		165,807		4,485,079
Twenty-First Century Fox, Inc., Class B		74,555		2,031,624
Viacom, Inc., Class A (a)		1,857		86,202
Viacom, Inc., Class B		52,524		2,178,170
Walt Disney Co. (a)		247,756		24,235,492

				95,845,756
Metals & Mining — 0.4%
Alcoa, Inc. (a)		200,704		1,860,526
Compass Minerals International, Inc. (a)		5,027		372,953
Freeport-McMoRan, Inc.		190,662		2,123,975
Newmont Mining Corp.		81,030		3,169,893
Nucor Corp. (a)		48,479		2,395,347
Reliance Steel & Aluminum Co.		10,710		823,599
Royal Gold, Inc. (a)		10,145		730,643
Southern Copper Corp. (a)		12,500		337,250
Steel Dynamics, Inc.		36,318		889,791
Tahoe Resources, Inc. (a)		44,876		671,794
United States Steel Corp. (a)		20,317		342,545

				13,718,316


Common Stocks	Shares		Value
Multi-Utilities — 1.3%
Alliant Energy Corp.		34,701	$	1,377,630
Ameren Corp. (a)		36,965		1,980,585
CenterPoint Energy, Inc.		65,752		1,578,048
CMS Energy Corp.		42,406		1,944,739
Consolidated Edison, Inc. (a)		46,498		3,740,299
Dominion Resources, Inc. (a)		93,884		7,316,380
DTE Energy Co. (a)		27,301		2,706,075
MDU Resources Group, Inc.		30,246		725,904
NiSource, Inc.		49,241		1,305,871
PG&E Corp.		75,760		4,842,579
Public Service Enterprise Group, Inc.		77,118		3,594,470
SCANA Corp.		19,871		1,503,440
Sempra Energy		38,088		4,342,794
TECO Energy, Inc.		34,909		964,885
Vectren Corp.		12,392		652,687
WEC Energy Group, Inc.		48,177		3,145,958

				41,722,344
Multiline Retail — 0.6%
Burlington Stores, Inc. (b)		10,962		731,275
Dillard’s, Inc., Class A		2,921		177,013
Dollar General Corp.		43,364		4,076,216
Dollar Tree, Inc. (b)		34,532		3,254,296
JC Penney Co., Inc. (a)(b)		45,916		407,734
Kohl’s Corp. (a)		28,385		1,076,359
Macy’s, Inc.		46,983		1,579,099
Nordstrom, Inc. (a)		18,724		712,448
Target Corp.		90,071		6,288,757

				18,303,197
Oil, Gas & Consumable Fuels — 5.9%
Anadarko Petroleum Corp.		77,874		4,146,790
Antero Resources Corp. (a)(b)		25,589		664,802
Apache Corp.		57,802		3,217,837
Cabot Oil & Gas Corp.		70,112		1,804,683
Cheniere Energy, Inc. (a)(b)		30,655		1,151,095
Chesapeake Energy Corp. (a)(b)		90,849		388,834
Chevron Corp. (a)		287,067		30,093,234
Cimarex Energy Co.		14,244		1,699,594
Columbia Pipeline Group, Inc.		59,783		1,523,869
Concho Resources, Inc. (b)		19,868		2,369,656
ConocoPhillips		189,221		8,250,036
CONSOL Energy, Inc. (a)		34,272		551,436
Continental Resources, Inc. (a)(b)		12,936		585,613
Devon Energy Corp.		79,647		2,887,204
Diamondback Energy, Inc. (b)		11,038		1,006,776
Energen Corp.		15,128		729,321
EOG Resources, Inc.		83,885		6,997,687
EQT Corp. (a)		26,226		2,030,679
Exxon Mobil Corp.		633,099		59,346,700
Gulfport Energy Corp. (b)		18,849		589,220
Hess Corp.		42,938		2,580,574
HollyFrontier Corp. (a)		24,722		587,642
Kinder Morgan, Inc.		293,524		5,494,769
Kosmos Energy Ltd. (a)(b)		21,624		117,851
Laredo Petroleum, Inc. (a)(b)		20,022		209,831
Marathon Oil Corp.		129,153		1,938,586
Marathon Petroleum Corp.		80,174		3,043,405
Memorial Resource Development Corp. (b)		15,121		240,121
Murphy Oil Corp. (a)		25,002		793,813
Murphy USA, Inc. (b)		5,524		409,660

See Notes to Financial Statements.



24	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Large Cap Index Master Portfolio


Common Stocks	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Newfield Exploration Co. (b)		30,353	$	1,340,996
Noble Energy, Inc. (a)		64,770		2,323,300
Occidental Petroleum Corp.		116,377		8,793,446
ONEOK, Inc. (a)		31,896		1,513,465
Parsley Energy, Inc., Class A (b)		22,550		610,203
PBF Energy, Inc., Class A (a)		14,594		347,045
Phillips 66 (a)		68,779		5,456,926
Pioneer Natural Resources Co.		24,800		3,750,008
QEP Resources, Inc.		32,728		576,995
Range Resources Corp.		25,533		1,101,494
SM Energy Co. (a)		9,886		266,922
Southwestern Energy Co. (b)		59,585		749,579
Spectra Energy Corp. (a)		106,673		3,907,432
Targa Resources Corp.		24,043		1,013,172
Tesoro Corp. (a)		18,240		1,366,541
Valero Energy Corp.		71,644		3,653,844
Whiting Petroleum Corp. (a)(b)		32,164		297,839
Williams Cos., Inc.		104,953		2,270,133
World Fuel Services Corp.		10,318		490,002
WPX Energy, Inc. (b)		41,200		383,572

				185,664,232
Paper & Forest Products — 0.1%
Domtar Corp. (a)		9,554		334,485
International Paper Co. (a)		62,520		2,649,598

				2,984,083
Personal Products — 0.2%
Coty, Inc., Class A (a)		6,748		175,380
Edgewell Personal Care Co. (a)(b)		8,977		757,749
Estee Lauder Cos., Inc., Class A (a)		33,027		3,006,118
Herbalife Ltd. (b)		11,010		644,415
Nu Skin Enterprises, Inc., Class A (a)		8,074		372,938

				4,956,600
Pharmaceuticals — 5.1%
Akorn, Inc. (b)		12,523		356,718
Allergan PLC (b)		60,378		13,952,752
Bristol-Myers Squibb Co.		254,946		18,751,278
Eli Lilly & Co.		148,871		11,723,591
Endo International PLC (b)		31,535		491,631
Johnson & Johnson		419,592		50,896,510
Mallinckrodt PLC (b)		16,756		1,018,430
Merck & Co., Inc. (a)		423,035		24,371,046
Mylan NV (b)		66,523		2,876,454
Perrigo Co. PLC		20,971		1,901,441
Pfizer, Inc.		917,568		32,307,569
Zoetis, Inc.		69,453		3,296,239

				161,943,659
Professional Services — 0.3%
Dun & Bradstreet Corp. (a)		5,576		679,380
Equifax, Inc.		18,049		2,317,491
IHS, Inc., Class A (b)		10,293		1,189,974
ManpowerGroup, Inc.		10,649		685,157
Nielsen Holdings PLC (a)		54,908		2,853,569
Robert Half International, Inc.		19,722		752,591
TransUnion (b)		7,910		264,510
Verisk Analytics, Inc. (b)		23,349		1,893,137

				10,635,809


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) — 4.1%
Alexandria Real Estate Equities, Inc.		11,203	$	1,159,735
American Campus Communities, Inc.		20,089		1,062,105
American Capital Agency Corp.		49,531		981,704
American Homes 4 Rent, Class A		24,843		508,785
American Tower Corp.		64,307		7,305,918
Annaly Capital Management, Inc.		138,202		1,529,896
Apartment Investment & Management Co., Class A		23,966		1,058,339
Apple Hospitality REIT, Inc. (a)		25,169		473,429
AvalonBay Communities, Inc.		20,896		3,769,429
Boston Properties, Inc.		23,325		3,076,567
Brandywine Realty Trust (a)		26,388		443,318
Brixmor Property Group, Inc.		29,668		785,015
Camden Property Trust		13,107		1,158,921
Care Capital Properties, Inc.		12,516		328,044
Chimera Investment Corp.		27,979		439,270
Columbia Property Trust, Inc.		18,460		395,044
Communications Sales & Leasing, Inc.		18,230		526,847
Corporate Office Properties Trust		14,151		418,445
Corrections Corp. of America		17,439		610,714
Crown Castle International Corp. (a)		51,238		5,197,070
CubeSmart		27,477		848,490
CyrusOne, Inc.		10,550		587,213
DCT Industrial Trust, Inc.		13,440		645,658
DDR Corp.		47,611		863,664
Digital Realty Trust, Inc. (a)		22,382		2,439,414
Douglas Emmett, Inc. (a)		21,281		755,901
Duke Realty Corp.		52,832		1,408,501
Empire State Realty Trust, Inc., Class A		18,111		343,928
EPR Properties		9,800		790,664
Equinix, Inc.		10,549		4,090,164
Equity Commonwealth (b)		18,291		532,817
Equity Lifestyle Properties, Inc.		11,790		943,790
Equity One, Inc.		13,658		439,514
Equity Residential		54,320		3,741,562
Essex Property Trust, Inc.		9,929		2,264,706
Extra Space Storage, Inc.		18,393		1,702,088
Federal Realty Investment Trust		10,758		1,780,987
Forest City Realty Trust, Inc., Class A		35,475		791,447
Gaming and Leisure Properties, Inc.		28,830		994,058
General Growth Properties, Inc.		87,746		2,616,586
HCP, Inc.		71,262		2,521,250
Healthcare Trust of America, Inc., Class A		20,182		652,686
Highwoods Properties, Inc.		14,883		785,822
Hospitality Properties Trust		22,781		656,093
Host Hotels & Resorts, Inc.		111,448		1,806,572
Kilroy Realty Corp.		13,882		920,238
Kimco Realty Corp.		61,800		1,939,284
Lamar Advertising Co., Class A		12,721		843,402
Liberty Property Trust		22,611		898,109
Macerich Co.		21,850		1,865,771
MFA Financial, Inc. (a)		55,219		401,442
Mid-America Apartment Communities, Inc.		11,563		1,230,303
National Retail Properties, Inc.		21,929		1,134,168
NorthStar Realty Finance Corp.		27,550		314,897
Omega Healthcare Investors, Inc.		28,375		963,331
Outfront Media, Inc.		20,609		498,120
Paramount Group, Inc.		26,892		428,658
Piedmont Office Realty Trust, Inc., Class A (a)		21,613		465,544
Post Properties, Inc.		8,219		501,770
Prologis, Inc.		79,579		3,902,554
Public Storage		22,506		5,752,309

See Notes to Financial Statements.



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	25


Schedule of Investments (continued)		Large Cap Index Master Portfolio


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Rayonier, Inc.		18,313	$	480,533
Realty Income Corp. (a)		39,277		2,724,253
Regency Centers Corp.		14,748		1,234,850
Retail Properties of America, Inc., Class A		35,448		599,071
Senior Housing Properties Trust (a)		35,829		746,318
Simon Property Group, Inc.		46,971		10,188,010
SL Green Realty Corp.		14,817		1,577,566
Sovran Self Storage, Inc.		7,105		745,457
Spirit Realty Capital, Inc.		73,339		936,539
Starwood Property Trust, Inc.		34,917		723,480
STORE Capital Corp.		22,517		663,126
Sun Communities, Inc.		9,727		745,477
Tanger Factory Outlet Centers, Inc.		14,246		572,404
Taubman Centers, Inc.		8,903		660,603
Two Harbors Investment Corp.		53,109		454,613
UDR, Inc.		40,434		1,492,823
Ventas, Inc.		51,505		3,750,594
VEREIT, Inc.		138,636		1,405,769
Vornado Realty Trust		26,155		2,618,639
Weingarten Realty Investors		17,447		712,187
Welltower, Inc.		54,445		4,147,076
Weyerhaeuser Co.		113,025		3,364,754
WP Carey, Inc.		15,903		1,103,986

				129,940,198
Real Estate Management & Development — 0.1%
CBRE Group, Inc., Class A (b)		45,967		1,217,206
Howard Hughes Corp. (b)		5,617		642,136
Jones Lang LaSalle, Inc.		7,023		684,391
Realogy Holdings Corp. (b)		21,583		626,339

				3,170,072
Road & Rail — 0.8%
AMERCO, Inc.		976		365,561
Avis Budget Group, Inc. (a)(b)		13,305		428,820
CSX Corp. (a)		145,603		3,797,326
Genesee & Wyoming, Inc., Class A (b)		8,446		497,892
Hertz Global Holdings, Inc. (b)		53,406		591,204
JB Hunt Transport Services, Inc. (a)		13,622		1,102,428
Kansas City Southern		16,401		1,477,566
Landstar System, Inc. (a)		6,330		434,618
Norfolk Southern Corp. (a)		45,042		3,834,426
Old Dominion Freight Line, Inc. (b)		10,271		619,444
Ryder System, Inc.		7,986		488,264
Union Pacific Corp.		128,761		11,234,397

				24,871,946
Semiconductors & Semiconductor Equipment — 2.3%
Analog Devices, Inc.		46,763		2,648,656
Applied Materials, Inc.		166,209		3,984,030
Broadcom Ltd.		57,532		8,940,473
Cree, Inc. (b)		15,076		368,457
Cypress Semiconductor Corp. (a)		46,517		490,754
First Solar, Inc. (b)		11,295		547,582
Intel Corp.		721,664		23,670,579
KLA-Tencor Corp.		23,764		1,740,713
Lam Research Corp. (a)		24,302		2,042,826
Linear Technology Corp. (a)		36,275		1,687,876
Marvell Technology Group Ltd.		62,525		595,863
Maxim Integrated Products, Inc. (a)		43,110		1,538,596
Microchip Technology, Inc. (a)		31,767		1,612,493


Common Stocks	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
Micron Technology, Inc. (b)		156,958	$	2,159,742
NVIDIA Corp. (a)		77,599		3,647,929
ON Semiconductor Corp. (b)		61,540		542,783
Qorvo, Inc. (b)		21,049		1,163,168
Skyworks Solutions, Inc. (a)		28,911		1,829,488
SunPower Corp. (a)(b)		9,481		146,861
Teradyne, Inc. (a)		30,301		596,627
Texas Instruments, Inc.		153,387		9,609,695
Xilinx, Inc.		38,693		1,784,908

				71,350,099
Software — 4.1%
Activision Blizzard, Inc. (a)		85,355		3,382,619
Adobe Systems, Inc. (a)(b)		74,423		7,128,979
Allscripts Healthcare Solutions, Inc. (a)(b)		27,852		353,720
ANSYS, Inc. (a)(b)		13,483		1,223,582
Atlassian Corp. PLC, Class A (b)		4,571		118,389
Autodesk, Inc. (b)		32,267		1,746,935
CA, Inc.		44,727		1,468,387
Cadence Design Systems, Inc. (b)		45,932		1,116,148
CDK Global, Inc.		23,776		1,319,330
Citrix Systems, Inc. (b)		23,636		1,893,007
Electronic Arts, Inc. (b)		44,330		3,358,441
FireEye, Inc. (a)(b)		22,595		372,140
Fortinet, Inc. (b)		21,622		683,039
Guidewire Software, Inc. (b)		10,800		667,008
Intuit, Inc.		37,157		4,147,093
Manhattan Associates, Inc. (b)		11,191		717,679
Microsoft Corp. (a)		1,156,609		59,183,683
NetSuite, Inc. (a)(b)		5,940		432,432
Nuance Communications, Inc. (b)		35,133		549,129
Oracle Corp. (a)		451,577		18,483,047
PTC, Inc. (b)		17,014		639,386
Red Hat, Inc. (b)		27,580		2,002,308
salesforce.com, Inc. (b)		97,638		7,753,434
ServiceNow, Inc. (b)		24,012		1,594,397
Splunk, Inc. (b)		20,255		1,097,416
SS&C Technologies Holdings, Inc. (a)		26,217		736,173
Symantec Corp.		93,469		1,919,853
Synopsys, Inc. (b)		23,154		1,252,168
Tableau Software, Inc., Class A (b)		8,201		401,193
Tyler Technologies, Inc. (b)		5,121		853,722
Ultimate Software Group, Inc. (b)		4,251		893,943
VMware, Inc., Class A (a)(b)		12,402		709,642
Workday, Inc., Class A (a)(b)		17,829		1,331,291
Zynga, Inc., Class A (b)		110,034		273,985

				129,803,698
Specialty Retail — 2.4%
Advance Auto Parts, Inc.		10,784		1,743,018
AutoNation, Inc. (b)		9,766		458,807
AutoZone, Inc. (a)(b)		4,486		3,561,166
Bed Bath & Beyond, Inc. (a)		22,904		989,911
Best Buy Co., Inc.		42,497		1,300,408
Cabela’s, Inc. (b)		7,544		377,653
CarMax, Inc. (a)(b)		29,678		1,455,112
CST Brands, Inc.		11,115		478,834
Dick’s Sporting Goods, Inc.		13,038		587,492
Foot Locker, Inc. (a)		20,737		1,137,632
GameStop Corp., Class A		15,582		414,170
Gap, Inc. (a)		33,421		709,194

See Notes to Financial Statements.



26	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Large Cap Index Master Portfolio


Common Stocks	Shares		Value
Specialty Retail (continued)
Home Depot, Inc.		190,002	$	24,261,355
L Brands, Inc.		36,930		2,479,111
Lowe’s Cos., Inc.		136,502		10,806,863
Michaels Cos., Inc. (b)		13,872		394,520
O’Reilly Automotive, Inc. (b)		14,406		3,905,467
Penske Automotive Group, Inc. (a)		6,328		199,079
Ross Stores, Inc.		60,012		3,402,080
Sally Beauty Holdings, Inc. (b)		22,099		649,932
Signet Jewelers Ltd. (a)		12,053		993,288
Staples, Inc.		98,502		849,087
Tiffany & Co. (a)		16,859		1,022,330
TJX Cos., Inc.		100,857		7,789,186
Tractor Supply Co.		20,323		1,853,051
Ulta Salon Cosmetics & Fragrance, Inc. (b)		8,916		2,172,294
Urban Outfitters, Inc. (b)		13,329		366,547
Williams-Sonoma, Inc. (a)		13,781		718,403

				75,075,990
Technology Hardware, Storage & Peripherals — 3.2%
Apple, Inc.		836,955		80,012,898
EMC Corp.		297,881		8,093,427
Hewlett Packard Enterprise Co.		263,421		4,812,702
HP, Inc.		263,861		3,311,455
Lexmark International, Inc., Class A		9,232		348,508
NCR Corp. (b)		18,440		512,079
NetApp, Inc.		44,618		1,097,156
Western Digital Corp.		43,018		2,033,031

				100,221,256
Textiles, Apparel & Luxury Goods — 0.8%
Carter’s, Inc.		7,768		827,059
Coach, Inc.		42,463		1,729,943
Hanesbrands, Inc.		57,476		1,444,372
Kate Spade & Co. (b)		19,097		393,589
lululemon athletica, Inc. (a)(b)		14,933		1,102,951
Michael Kors Holdings Ltd. (b)		26,142		1,293,506
NIKE, Inc., Class B		202,209		11,161,937
PVH Corp.		12,386		1,167,133
Ralph Lauren Corp. (a)		8,710		780,590
Skechers U.S.A., Inc., Class A (b)		19,453		578,143
Under Armour, Inc., Class A (a)(b)		28,137		1,129,138
Under Armour, Inc., Class C (a)(b)		28,541		1,038,905
VF Corp.		51,884		3,190,347

				25,837,613
Thrifts & Mortgage Finance — 0.1%
New York Community Bancorp, Inc. (a)		72,798		1,091,242
People’s United Financial, Inc. (a)		46,152		676,588
TFS Financial Corp.		8,385		144,390

				1,912,220


Common Stocks	Shares		Value
Tobacco — 1.6%
Altria Group, Inc. (a)		298,692	$	20,597,800
Philip Morris International, Inc.		236,602		24,067,156
Reynolds American, Inc.		126,009		6,795,665

				51,460,621
Trading Companies & Distributors — 0.3%
Air Lease Corp. (a)		15,291		409,493
Fastenal Co. (a)		43,843		1,946,191
HD Supply Holdings, Inc. (b)		30,933		1,077,087
MSC Industrial Direct Co., Inc., Class A		7,184		506,903
United Rentals, Inc. (b)		13,627		914,371
W.W. Grainger, Inc. (a)		8,429		1,915,490
Watsco, Inc.		3,888		547,003
WESCO International, Inc. (a)(b)		6,169		317,642

				7,634,180
Transportation Infrastructure — 0.0%
Macquarie Infrastructure Corp. (a)		11,567		856,536
Water Utilities — 0.1%
American Water Works Co., Inc.		27,130		2,292,756
Aqua America, Inc. (a)		27,375		976,193

				3,268,949
Wireless Telecommunication Services — 0.2%
SBA Communications Corp., Class A (b)		18,983		2,049,025
Sprint Corp. (a)(b)		113,093		512,311
T-Mobile U.S., Inc. (b)		43,486		1,881,639
Telephone & Data Systems, Inc.		14,227		421,973
United States Cellular Corp. (b)		2,304		90,478

				4,955,426
Total Long-Term Investments (Cost — $2,952,080,252) — 98.4%				3,102,960,098



Short-Term Securities — 16.5%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.40% (c)(d)(e)		398,869,324		398,869,324
BlackRock Cash Funds: Prime, SL Agency Shares, 0.56% (c)(d)(e)		119,452,671		119,452,671

				518,321,995
Total Short-Term Securities (Cost — $518,321,995) — 16.5%				518,321,995
Total Investments (Cost — $3,470,402,247) — 114.9%				3,621,282,093
Liabilities in Excess of Other Assets — (14.9)%				(469,270,930	)

Net Assets — 100.0%			$	3,152,011,163

Notes to Schedule of Investments

(a)

Security, or a portion of security, is on loan.

(b)

Non-income producing security.

See Notes to Financial Statements.



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	27


Schedule of Investments (continued)		Large Cap Index Master Portfolio

(c)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares Purchased			Shares Sold			Shares Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		198,484,859		200,384,465	¹		—			398,869,324	$	398,869,324	$	560,598	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		115,638,588		3,814,083	¹		—			119,452,671		119,452,671		134,104	²		—
BlackRock, Inc.		15,691		3,558			(182	)		19,067		6,531,020		40,705		$	(5,321	)
PNC Financial Services Group, Inc.		64,776		12,180			(754	)		76,202		6,202,081		—			1,581
Total											$	531,055,096	$	735,407		$	(3,740	)

¹ Represents net shares purchased.
² Represents all or a portion of 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.

(d)

Current yield as of period end.

(e)

All or a portion of security was purchased with the cash collateral from loaned securities.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts


Contracts Long		Issue		Expiration		Notional Value		Unrealized Appreciation
	493		S&P 500 E-Mini Index		September 2016	$	51,523,430	$	790,394
	38		S&P MidCap 400 E-Mini Index		September 2016	$	5,673,400		112,637
	Total							$	903,031

Derivative Financial Instruments Categorized by Risk Exposure

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


Assets — Derivative Financial Instruments			Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Futures contracts	Net unrealized appreciation	¹		—		—	$	903,031		—		—		—	$	903,031
¹ Includes cumulative appreciation on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statement of Operations was as follows:


Net Realized Gain (Loss) from:	Commodity Contracts	Credit Contracts	Equity Contracts		Foreign Currency Exchange Contracts	Interest Rate Contracts	Other Contracts	Total
Futures contracts	—	—	$	5,003,657	—	—	—	$	5,003,657
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	—	—	$	1,040,002	—	—	—	$	1,040,002

See Notes to Financial Statements.



28	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Schedule of Investments (concluded)		Large Cap Index Master Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts:
Average notional value of contracts — long	$	74,004,590

For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Fair Value Hierarchy as of Period End

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks¹	$	3,102,960,098		—		—	$	3,102,960,098
Short-Term Securities		518,321,995		—		—		518,321,995

Total	$	3,621,282,093		—		—	$	3,621,282,093


Derivative Financial Instruments²
Assets:
Equity contracts	$	903,031		—		—	$	903,031
¹ See above Schedule of Investments for values in each sector.
² Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.


	Level 1		Level 2			Level 3	Total
Assets:
Cash pledged for futures contracts	$	4,533,100		—		—	$	4,533,100
Liabilities:
Collateral on securities loaned at value		—	$	(413,157,080	)	—		(413,157,080	)

Total	$	4,533,100	$	(413,157,080	)	—	$	(408,623,980	)

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	29


Statement of Assets and Liabilities		Large Cap Index Master Portfolio


June 30, 2016 (Unaudited)

Assets
Investments at value — unaffiliated (including securities loaned at value of $408,236,343) (cost — $2,939,158,861)	$	3,090,226,997
Investments at value — affiliated (cost — $531,243,386)		531,055,096
Cash pledged for futures contracts		4,533,100
Receivables:
Dividends		3,392,249
Variation margin on futures contracts		1,331,952
Contributions from investors		910,220
Securities lending income — affiliated		64,464
Dividends — affiliated		51,932
Prepaid expenses		6,103

Total assets		3,631,572,113


Liabilities
Collateral on securities loaned at value		413,157,080
Payables:
Investment advisory fees		68,041
Investments purchased		60,466,658
Withdrawals to investors		5,790,208
Officer’s and Trustees’ fees		17,068
Other accrued expenses		61,895

Total liabilities		479,560,950

Net Assets	$	3,152,011,163


Net Assets Consist of
Investors’ capital	$	3,000,228,286
Net unrealized appreciation (depreciation)		151,782,877

Net Assets	$	3,152,011,163


Statement of Operations		Large Cap Index Master Portfolio


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Dividends — unaffiliated	$	30,286,919
Securities lending — affiliated — net		463,832
Dividends — affiliated		271,575
Foreign taxes withheld		(15,135	)

Total income		31,007,191


Expenses
Investment advisory		414,123
Accounting services		46,672
Trustees		40,320
Professional		26,399
Printing		1,516
Miscellaneous		14,987

Total expenses		544,017
Less fees waived and/or reimbursed by the Manager		(31,423	)

Total expenses after fees waived and/or reimbursed		512,594

Net investment income		30,494,597


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		(10,037,940	)
Investments — affiliated		(3,740	)
Futures contracts		5,003,657

		(5,038,023	)

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		98,135,875
Investments — affiliated		(864,965	)
Futures contracts		1,040,002

		98,310,912

Net realized and unrealized gain		93,272,889

Net Increase in Net Assets Resulting from Operations	$	123,767,486


Statements of Changes in Net Assets		Large Cap Index Master Portfolio


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	30,494,597		$	62,512,671
Net realized gain (loss)		(5,038,023	)		336,397,620
Net change in unrealized appreciation (depreciation)		98,310,912			(347,723,072	)

Net increase in net assets resulting from operations		123,767,486			51,187,219


Capital Transactions
Proceeds from contributions		649,037,993			1,332,533,563
Value of withdrawals		(163,422,846	)		(1,614,489,855	)

Net increase (decrease) in net assets derived from capital transactions		485,615,147			(281,956,292	)


Net Assets
Total increase (decrease) in net assets		609,382,633			(230,769,073	)
Beginning of period		2,542,628,530			2,773,397,603

End of period	$	3,152,011,163		$	2,542,628,530


Financial Highlights		Large Cap Index Master Portfolio


	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,									Period March 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015		2014		2013			2012		Period March 31, 2011¹ to December 31, 2011

Total Return
Total return		3.70%	²		0.92%		13.27%		32.88%			16.39%		(4.68	)%²


Ratios to Average Net Assets
Total expenses		0.04%	³		0.05%		0.06%		0.08%	⁴		0.09%		0.40%	^3,5

Total expenses after fees waived and/or reimbursed		0.04%	³		0.04%		0.06%		0.08%	⁴		0.09%		0.16%	³

Net investment income		2.21%	³		1.93%		1.92%		1.96%	⁴		2.30%		2.04%	³


Supplemental Data
Net assets, end of period (000)	$	3,152,011		$	2,542,629	$	2,773,398	$	1,132,872		$	440,092	$	56,881

Portfolio turnover rate		3%			6%		6%		14%			16%		9%

Commencement of operations.

Aggregate total return.

Annualized.

⁴

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01% for the year ended December 31, 2013.

⁵

Organization costs were not annualized in the calculation of the expense ratio.


Notes to Financial Statements (Unaudited)		Large Cap Index Master Portfolio

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Large Cap Index Master Portfolio (the “Master Portfolio”) is a series of MIP. The Master Portfolio is classified as diversified. MIP is organized as a Delaware statutory trust.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Fund Advisors (the “Manager”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity Complex.

2. Significant Accounting Policies:

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

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

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend date. 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, some 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.

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) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Master Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.



34	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)		Large Cap Index Master Portfolio

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:

•

Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.

•

Futures contracts traded on exchanges are valued at their last sale price.

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

•

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments has been included in the Schedule of Investments.

4. Securities and Other Investments:



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	35


Notes to Financial Statements (continued)		Large Cap Index Master Portfolio

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. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as common stocks in the Master Portfolio’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments.

As of period end, the following table is a summary of the Master Portfolio’s securities lending agreements by counterparty which are subject to offset under an MSLA:


Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
Barclays Capital, Inc.	$	279,229	$	(279,229	)		—
BNP Paribas S.A.		245,333,644		(245,333,644	)		—
Credit Suisse Securities (USA) LLC		6,517,895		(6,517,895	)		—
Deutsche Bank Securities, Inc.		3,041,333		(3,041,333	)		—
Goldman Sachs & Co.		48,054,655		(47,904,410	)	$	150,245
HSBC Bank PLC		8,560,161		(8,551,921	)		8,240
Jefferies LLC		1,275,181		(1,275,181	)		—
JP Morgan Securities LLC		19,467,486		(19,467,486	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		10,309,216		(10,309,216	)		—
Morgan Stanley		27,913,966		(27,913,966	)		—
Nomura Securities International, Inc.		36,736		(36,736	)		—
Scotia Capital (USA), Inc.		8,326,010		(8,326,010	)		—
SG Americas Securities LLC		463,934		(463,664	)		270
State Street Bank and Trust Co.		12,507,094		(12,507,094	)		—
UBS Securities LLC		16,149,803		(16,149,803	)		—

Total	$	408,236,343	$	(408,077,588	)	$	158,755

Collateral with a value of $413,157,080 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

The market value of the loaned securities is determined as of June 30, 2016. 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.



36	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)		Large Cap Index 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, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter.

Futures Contracts: The Master Portfolio invests in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure, to changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

Investment Advisory

MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment adviser, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration 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, which is determined by calculating a percentage of the Master Portfolio’s average daily net assets, at an annual rate of 0.03%.

Expense Limitations, Waivers and Reimbursements

The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, acquired fund fees and expenses and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Master Portfolio’s business in order to limit expenses of certain feeder funds which invest their assets in the Master Portfolio. The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement prior to May 1, 2017, unless approved by the Board, including a majority of the Independent Trustees.

The Manager voluntarily 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. This amount is shown as fees waived and/or reimbursed by the Manager in the Statement of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investments in other affiliated investment companies, if any.

Securities Lending



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	37


Notes to Financial Statements (continued)		Large Cap Index Master Portfolio

money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04% (the “collateral investment fees”).

Pursuant to a securities lending agreement, the Master Portfolio retains 71.5% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 75% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated – net in the Statement of Operations. For the six months ended June 30, 2016, the Master Portfolio paid BTC $184,724 in total for securities lending agent services and collateral investment fees.

The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2016, the purchase and sale transactions which resulted in net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:


Purchases		Sales		Net Realized Loss
$	88,929,122	$	11,323,959	$	(9,504,541	)

Officers and Trustees

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

7. Purchases and Sales:

For the six months ended June 30, 2016, purchases and sales of investments excluding short-term securities were $535,724,784 and $81,835,106, respectively.

8. Income Tax Information:

As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


Tax cost	$	3,477,659,344

Gross unrealized appreciation	$	307,220,785
Gross unrealized depreciation		(163,598,036	)

Net unrealized appreciation	$	143,622,749



38	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (concluded)		Large Cap Index Master Portfolio

9. Bank Borrowings:

10. Principal Risks:

11. Subsequent Events:



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	39


Disclosure of Investment Advisory Agreement

Activities and Composition of the Board

The Agreement

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreement on an annual basis. The Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement, and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Board assessed, among other things, the nature, extent and quality of the services provided to the Master Portfolio and the Portfolio by BlackRock, BlackRock’s personnel and affiliates, including (as applicable) investment management; administrative and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Master Portfolio, the Portfolio and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreement.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolio and/or the Portfolio for services; (c) the Master Portfolio’s and/or the Portfolio’s operating expenses and how BlackRock allocates expenses to the Master Portfolio and the Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Master Portfolio’s and the Portfolio’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Master Fund’s and the Fund’s compliance with its respective compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master Fund’s and/or the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Master Portfolio and/or the Portfolio; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreement



40	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Disclosure of Investment Advisory Agreement (continued)

better assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on fees and expenses of the Master Portfolio and the Portfolio, as applicable, as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Portfolio as compared with a peer group of funds as determined by Broadridge¹, as well as the performance of the Portfolio as compared with its benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by the Master Portfolio and/or the Portfolio to BlackRock; and (g) sales and redemption data regarding the Portfolio’s shares.

At the May Meeting, the Board of the Master Fund, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master Fund with respect to the Master Portfolio for a one-year term ending June 30, 2017. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreement with respect to the Master Portfolio and found the Agreement to be satisfactory. In approving the continuation of the Agreement, the Board of the Master Fund considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and the Portfolio; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio and the Portfolio; (d) the Portfolio’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Master Portfolio and the Portfolio; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates, securities lending and cash management, services related to the valuation and pricing of portfolio holdings of the Master Portfolio, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Portfolio. Throughout the year, the Board compared the Portfolio’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the Master Portfolio’s performance and the Master Portfolio’s investment objective(s), strategies and outlook.

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	41


Disclosure of Investment Advisory Agreement (continued)

and pricing; (iii) preparing periodic filings with regulators; (iv) overseeing and coordinating the activities of other service providers; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing other administrative functions necessary for the operation of the Master Portfolio and the Portfolio, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Master Portfolio, the Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio and the Portfolio, as applicable. The Board noted that the Portfolio’s investment results correspond directly to the investment results of the Master Portfolio. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Portfolio’s performance. The Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board received and reviewed information regarding the investment performance of the Portfolio as compared to other funds in its applicable Broadridge category and the performance of the Portfolio as compared with its benchmark. The Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. The Board was provided with information on the composition of the Broadridge performance universes and expense universes. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of the Master Portfolio and the Portfolio, as applicable, throughout the year.

The Board noted that for the past four one-year periods reported, the Portfolio’s net performance was within the tolerance range of its benchmark for two of the four periods. BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Portfolio.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio and the Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s/Portfolio’s contractual management fee rate compared with the other funds in the Portfolio’s Broadridge category. The contractual management rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Portfolio’s total expense ratio, as well as the Master Portfolio’s/Portfolio’s actual management fee rate, to those of other funds in the Portfolio’s Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio and the Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and the Portfolio, as applicable, and other funds the Board currently oversees for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. The Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.



42	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Disclosure of Investment Advisory Agreement (concluded)

In addition, the Board considered the cost of the services provided to the Master Portfolio and the Portfolio by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolio and the Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing the Master Portfolio and the Portfolio, to the Master Portfolio or the Portfolio, as pertinent. The Board may receive and review information from independent third parties as part of its annual evaluation. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Master Portfolio and the Portfolio in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

The Board noted that the Master Portfolio’s/Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and the Portfolio’s total expense ratio each ranked in the first quartile, relative to the Portfolio’s Expense Peers. The Board also noted that BlackRock has contractually agreed to a cap on the Portfolio’s total expenses as a percentage of the Portfolio’s average daily net assets on a class-by-class basis. The Board also noted that BlackRock proposed, and the Board agreed to, a contractual reduction of the Master Portfolio’s advisory fee. This advisory fee reduction was implemented on April 30, 2015. The Board further noted that BlackRock proposed, and the Board agreed to, a lower contractual expense cap on the Portfolio on a class-by-class basis. This expense cap reduction was implemented on April 30, 2015.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio and the Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolio and the Portfolio benefit from such economies in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolio and the Portfolio to more fully participate in these economies of scale. The Board considered the Master Portfolio’s asset levels and whether the current fee schedule was appropriate. In their consideration, the Board Members took into account the existence of any expense caps and further considered the continuation and/or implementation, as applicable, of such caps.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Master Portfolio and the Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolio and the Portfolio, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.

Conclusion

The Board of the Master Fund, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master Fund, with respect to the Master Portfolio, for a one-year term ending June 30, 2017. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board of the Master Fund, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of the Master Portfolio and its shareholders. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreement with respect to the Master Portfolio and found the Agreement to be satisfactory. In arriving at its decision to approve the Agreement, the Board of the Master Fund did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	43


Officers and Trustees

Rodney D. Johnson, Chair of the Board and Trustee

David O. Beim, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Dr. Matina S. Horner, Trustee

Cynthia A. Montgomery, Trustee

Joseph P. Platt, Trustee

Robert C. Robb, Jr., Trustee

Mark Stalnecker, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Frederick W. Winter, Trustee

Barbara G. Novick, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Richard Hoerner, CFA, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Fernanda Piedra, Anti-Money Laundering Compliance Officer

Benjamin Archibald, Secretary

Effective February 5, 2016, Frank J. Fabozzi resigned as a Trustee of the Trust/MIP.

Effective February 8, 2016, Susan J. Carter, Neil A. Cotty and Claire A. Walton were elected to serve as Trustees of the Trust/MIP.



44	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Additional Information

Proxy Results

BlackRock Funds III

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of the Trust.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		61,938,311,360		43,835,788
Susan J. Carter		61,780,259,925		201,887,223
Collette Chilton		61,948,124,716		34,022,432
Neil A. Cotty		61,775,834,676		206,312,472
Matina S. Horner		61,940,727,663		41,419,485
Rodney D. Johnson		61,941,649,924		40,497,224
Cynthia A. Montgomery		61,943,332,673		38,814,475
Joseph P. Platt		61,944,232,208		37,914,940
Robert C. Robb, Jr.		61,944,234,953		37,912,195
Mark Stalnecker		61,943,725,951		38,421,197
Kenneth L. Urish		61,944,152,210		37,994,938
Claire A. Walton		61,784,560,644		197,586,504
Frederick W. Winter		61,939,767,717		42,379,431
Barbara G. Novick		61,947,782,498		34,364,650
John M. Perlowski		61,944,381,941		37,765,207

Denotes Trust-wide proposal and voting results.

Master Investment Portfolio

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of MIP.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		93,744,625,170		102,294,210
Susan J. Carter		93,564,604,497		282,314,883
Collette Chilton		93,778,667,881		68,251,499
Neil A. Cotty		93,524,182,594		322,736,786
Matina S. Horner		93,744,748,738		102,170,642
Rodney D. Johnson		93,743,366,844		103,552,536
Cynthia A. Montgomery		93,738,956,489		107,962,891
Joseph P. Platt		93,750,384,350		96,535,030
Robert C. Robb, Jr.		93,749,078,613		97,840,767
Mark Stalnecker		93,668,711,867		178,207,513
Kenneth L. Urish		93,694,700,012		152,219,368
Claire A. Walton		93,569,519,963		277,399,417
Frederick W. Winter		93,699,601,190		147,318,190
Barbara G. Novick		93,778,480,450		68,438,930
John M. Perlowski		93,744,975,345		101,944,035

Denotes MIP-wide proposal and voting results.



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	45


Additional Information (continued)

General Information

Householding

Availability of Quarterly Schedule of Investments

Availability of Proxy Voting Policies and Procedures

Availability of Proxy Voting Record

Information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund’s/Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 441-7762; and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family

Shareholder Privileges

Account 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.



46	BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016


Additional Information (concluded)

BlackRock Privacy Principles



BLACKROCK LARGE CAP INDEX FUND	JUNE 30, 2016	47

LOGO


LCI-6/16-SAR

JUNE 30, 2016

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock Funds III

^Ø	BlackRock LifePath^® 2025 Fund

^Ø	BlackRock LifePath^® 2035 Fund

^Ø	BlackRock LifePath^® 2045 Fund

^Ø	BlackRock LifePath^® 2055 Fund

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


	Page
The Markets in Review		3
Semi-Annual Report:
Fund Summaries		4
About Fund Performance		14
Disclosure of Expenses		15
Fund Financial Statements:
Statements of Assets and Liabilities		17
Statements of Operations		18
Statements of Changes in Net Assets		19
Fund Financial Highlights		21
Fund Notes to Financial Statements		41
Master Portfolio Information		46
Master Portfolio Financial Statements:
Schedules of Investments		48
Statements of Assets and Liabilities		72
Statements of Operations		73
Statements of Changes in Net Assets		74
Master Portfolio Financial Highlights		75
Master Portfolio Notes to Financial Statements		79
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements		87
Officers and Trustees		92
Additional Information		93

LOGO



2	BLACKROCK FUNDS III	JUNE 30, 2016

The Markets in Review

Dear Shareholder,

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of June 30, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		3.84	%		3.99	%
U.S. small cap equities (Russell 2000^® Index)		2.22			(6.73	)
International equities (MSCI Europe, Australasia, Far East Index)		(4.42	)		(10.16	)
Emerging market equities (MSCI Emerging Markets Index)		6.41			(12.05	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.15			0.19
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		7.95			9.49
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)		5.31			6.00
Tax-exempt municipal bonds (S&P Municipal Bond Index)		4.35			7.80
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		9.06			1.65
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



		THIS PAGE NOT PART OF YOUR FUND REPORT				3


Fund Summary as of June 30, 2016				BlackRock LifePath Funds

Portfolio Management Commentary

How did each Fund perform?

•

Each of the LifePath Funds with target dates of 2025, 2035, 2045 and 2055 (altogether, the “LifePath Funds”) invests in its respective LifePath Master Portfolio.

•

For the six-month period ended June 30, 2016, the LifePath Funds underperformed their respective custom benchmark across various LifePath Fund target dates. The returns for the LifePath Funds include Fund expenses. The custom benchmarks have no expenses associated with performance.

What factors influenced performance?

•

The underperformance of Active Stock Master Portfolio was the largest detractor from performance relative to the benchmark. An allocation to Master Large Cap Growth Portfolio drove the largest proportion of the underperformance, due to the Master Large Cap Growth Portfolio’s negative sector selection within industrials. In addition, an underweight to stability/bond proxies detracted from performance, especially telecommunication services and REITs, which significantly outperformed as investors flocked to safety.

•

International Tilts Master Portfolio also detracted from performance during the period. This investment strategy started 2016 with a pro-growth stance, with the investment advisor’s proprietary signals indicating positive economic conditions. Given the dramatic fall in markets in the first week of the year, this detracted from performance. In April, the main cause of negative performance was the sharp rotation in momentum, as expressed by the rally in materials and energy. An overweight in Italy also subtracted from returns. At the end of the second quarter, the strategy experienced losses concentrated around Brexit (United Kingdom’s vote to leave the European Union) market moves.

•

BlackRock Commodity Strategies Fund was the main positive contributor to relative performance. The first half of 2016 represented another period of exceptional volatility for the commodities market as well as natural resource equities. In the natural resource equities portion of the strategy, the mining and precious metals strategies contributed positively to BlackRock Commodity Strategies Fund’s performance. Year to date in

2016, gold bullion and gold equities have rallied strongly. Despite heightened levels of yield curve risk volatility, commodity futures’ curve strategies outperformed the market in the first six months of the year. Also during the first half, the curve strategy in the energy sector outperformed as the global supply glut in crude oil markets did not show signs of abating, and a warmer-than-average winter in the United States negatively impacted natural gas prices. Midway through the period, curve strategies benefited from weakening time spreads (reflects a steepening of the slope of the futures curve, which benefits the strategy as there are farther-dated futures compared to the benchmark futures contracts). However, as time spreads extended to extreme positions, some of the positive outperformance was lost as time spreads strengthened.

•

BlackRock Emerging Markets Fund, Inc.’s outperformance was driven by stock selection across countries and sectors. China continues to be one of the largest contributors given a shift away from macroeconomically-sensitive financials at the beginning of the year. Technology names within the country also made strong gains as MSCI announced full inclusion of American Depository Receipts within their indices, bringing information technology to a 31% weight in the MSCI China index.

Describe recent portfolio activity.

•

Each LifePath Fund has its own time horizon, which affects its acceptable level of risk and, in turn, the strategic allocation of its holdings across asset classes. On a quarterly basis, the strategic allocation of each LifePath Fund is systematically adjusted to reflect the shareholders’ remaining investment time horizon. During the period, the LifePath Funds were rebalanced in accordance with their updated strategic allocations, and daily cash flows were allocated to the underlying funds and instruments as appropriate. The dynamic signal, which assesses more recent volatility and valuations, was activated during the period and had a slightly positive impact on relative performance.

Describe portfolio positioning at period end.

•

At period end, each of the LifePath Funds was invested according to its respective strategic allocation benchmark within tolerance limits.



4	BLACKROCK FUNDS III	JUNE 30, 2016


		BlackRock LifePath Funds

Glide Path Evolution

Under normal circumstances, the asset allocation of each LifePath Fund will change over time according to a strategic “glide path” as each LifePath Fund approaches its respective target date. The glide path represents the shifting of asset classes over time, as well as potential adjustments. Each LifePath Fund’s asset mix becomes more conservative prior to retirement as time elapses. This reflects the need for reduced investment risks as retirement approaches and the need for lower volatility of each LifePath Fund, which may be a primary source of income after retirement. As each LifePath Fund approaches its target date, its asset allocation will shift so that it invests a greater percentage of its assets in fixed income funds. The asset allocation targets are established by the portfolio managers working with oversight from a committee of BlackRock Fund Advisors (“BFA” or the “Manager”) investment professionals. The investment committee, including

the portfolio managers and other investment professionals, meets regularly to assess market conditions, review the asset allocation targets of each LifePath Fund, and determine whether any changes are required to enable each LifePath Fund to achieve its investment objective.

Although the asset allocation targets listed for the glide path are general, long-term targets, BFA investment professionals may periodically adjust the proportion of equity funds, securities and related derivatives and fixed income funds in the LifePath Fund, based on a strategic assessment of market conditions, including expected market volatility and BFA’s view on the equity markets. The adjustments will be no more than +/- 5% at retirement, with a lesser allowable adjustment for LifePath Funds further from retirement.



BLACKROCK FUNDS III	JUNE 30, 2016	5


				BlackRock LifePath 2025 Fund

Investment Objective

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

Total Return Based on a $10,000 Investment

LOGO

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

The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2025 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Fund’s custom benchmark consists of the following:


Period	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			Bloomberg Commodity Index⁴			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index			S&P MidCap 400^® Index			S&P 500^® Index			S&P SmallCap 600^® Index
7/01/10 to 6/30/11		28.9	%		4.5	%		N/A			4.9	%		18.8	%		N/A			N/A			5.9	%		34.4	%		2.6	%
7/01/11 to 6/30/12		30.8			4.8			N/A			4.8			18.7			34.3	%		3.1	%		0.5			2.8			0.2
7/01/12 to 6/30/13		32.9			5.1			2.9	%		4.5			17.4			34.0			3.2			N/A			N/A			N/A
7/01/13 to 6/30/14		34.6			5.4			3.8			4.3			16.9			31.6			3.4			N/A			N/A			N/A
7/01/14 to 6/30/15		32.5			5.1			3.8			4.9			18.1			32.5			3.0			N/A			N/A			N/A
7/01/15 to 6/30/16		31.7			5.1			3.8			5.2			18.6			32.3			2.9			N/A			N/A			N/A

⁴

Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 14 for descriptions of the indexes.



6	BLACKROCK FUNDS III	JUNE 30, 2016


		BlackRock LifePath 2025 Fund

Performance Summary for the Period Ended June 30, 2016


				Average Annual Total Returns¹
				1 Year						5 Year						Since Inception²
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		3.57	%³		0.28	%		N/A			5.03	%		N/A			7.93	%		N/A
Investor A		3.54			0.09			(5.16	)%		4.77			3.65	%		7.66			6.70	%
Investor C		3.12			(0.62	)		(1.59	)		4.00			4.00			6.86			6.86
Class K		3.76			0.63			N/A			5.24			N/A			8.16			N/A
Class R		3.38			(0.15	)		N/A			4.53			N/A			7.40			N/A
LifePath 2025 Fund Custom Benchmark		4.20			1.24			N/A			5.64			N/A			8.27			N/A
Barclays U.S. Aggregate Bond Index		5.31			6.00			N/A			3.76			N/A			3.79			N/A
Barclays U.S. TIPS Index (Series L)		6.24			4.35			N/A			2.63			N/A			3.47			N/A
Bloomberg Commodity Index		13.25			(13.32	)		N/A			(5.59	)		N/A			(10.82	)		N/A
FTSE EPRA/NAREIT Developed Index		5.48			0.78			N/A			4.52			N/A			11.58			N/A
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		N/A			0.39			N/A			4.84			N/A
Russell 1000^® Index		3.74			2.93			N/A			11.88			N/A			15.00			N/A
Russell 2000^® Index		2.22			(6.73	)		N/A			8.35			N/A			12.73			N/A

Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distributions and service fees. See “About Fund Performance” on page 14 for a detailed description of share classes, including any related sales charges and fees.

The LifePath Fund commenced operations on June 30, 2010.

Performance results do not reflect adjustments to valuation for financial reporting purposes in accordance with U.S. generally accepted accounting principles and therefore differ from returns reported in the Financial Highlights.

Past performance is not indicative of future results.

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



BLACKROCK FUNDS III	JUNE 30, 2016	7


				BlackRock LifePath 2035 Fund

Investment Objective

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

Total Return Based on a $10,000 Investment

LOGO

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

The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2035 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Fund’s custom benchmark consists of the following:


Period	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			Bloomberg Commodity Index⁴			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index			S&P MidCap 400^® Index			S&P 500^® Index			S&P SmallCap 600^® Index
7/01/10 to 6/30/11		17.0	%		2.2	%		N/A			6.9	%		22.7	%		N/A			N/A			6.4	%		42.0	%		2.8	%
7/01/11 to 6/30/12		18.9			2.5			N/A			7.1			22.6			42.1	%		2.7	%		0.5			3.4			0.2
7/01/12 to 6/30/13		21.3			2.8			2.9	%		7.0			21.5			41.9			2.6			N/A			N/A			N/A
7/01/13 to 6/30/14		23.0			3.0			3.9			7.0			21.3			39.2			2.6			N/A			N/A			N/A
7/01/14 to 6/30/15		17.2			2.3			3.9			8.7			23.8			41.8			2.3			N/A			N/A			N/A
7/01/15 to 6/30/16		14.0			2.0			3.9			9.8			25.2			42.7			2.1			N/A			N/A			N/A

⁴

Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 14 for descriptions of the indexes.



8	BLACKROCK FUNDS III	JUNE 30, 2016


		BlackRock LifePath 2035 Fund

Performance Summary for the Period Ended June 30, 2016


				Average Annual Total Returns¹
				1 Year						5 Year						Since Inception²
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		3.01	%		(0.85	)%		N/A			5.47	%		N/A			8.88	%		N/A
Investor A		2.98			(1.02	)		(6.22	)%		5.21			4.08	%		8.62			7.65	%
Investor C		2.51			(1.79	)		(2.75	)		4.40			4.40			7.80			7.80
Class K		3.15			(0.62	)		N/A			5.91			N/A			9.33			N/A
Class R		2.80			(1.34	)		N/A			4.95			N/A			8.35			N/A
LifePath 2035 Fund Custom Benchmark		3.75			0.20			N/A			6.11			N/A			9.24			N/A
Barclays U.S. Aggregate Bond Index		5.31			6.00			N/A			3.76			N/A			3.79			N/A
Barclays U.S. TIPS Index (Series L)		6.24			4.35			N/A			2.63			N/A			3.47			N/A
Bloomberg Commodity Index		13.25			(13.32	)		N/A			(5.59	)		N/A			(10.82	)		N/A
FTSE EPRA/NAREIT Developed Index		5.48			0.78			N/A			4.52			N/A			11.58			N/A
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		N/A			0.39			N/A			4.84			N/A
Russell 1000^® Index		3.74			2.93			N/A			11.88			N/A			15.00			N/A
Russell 2000^® Index		2.22			(6.73	)		N/A			8.35			N/A			12.73			N/A

The LifePath Fund commenced operations on June 30, 2010.

Past performance is not indicative of future results.

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



BLACKROCK FUNDS III	JUNE 30, 2016	9


				BlackRock LifePath 2045 Fund

Investment Objective

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

Total Return Based on a $10,000 Investment

LOGO

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

The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2045 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Fund’s custom benchmark consists of the following:


Period	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			Bloomberg Commodity Index⁴			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index			S&P MidCap 400^® Index			S&P 500^® Index			S&P SmallCap 600^® Index
7/01/10 to 6/30/11		7.3	%		N/A			N/A			8.5	%		26.0	%		N/A			N/A			6.8	%		48.4	%		3.0	%
7/01/11 to 6/30/12		9.5			N/A			N/A			9.1			25.8			48.6	%		2.3	%		0.6			3.9			0.2
7/01/12 to 6/30/13		12.4			N/A			3.0	%		9.1			24.9			48.5			2.1			N/A			N/A			N/A
7/01/13 to 6/30/14		14.5			N/A			3.9			9.3			24.9			45.4			2.0			N/A			N/A			N/A
7/01/14 to 6/30/15		7.2			N/A			4.1			11.6			27.7			47.3			2.1			N/A			N/A			N/A
7/01/15 to 6/30/16		2.0			0.2	%		4.2			13.5			29.7			48.3			1.8			N/A			N/A			N/A

⁴

Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 14 for descriptions of the indexes.



10	BLACKROCK FUNDS III	JUNE 30, 2016


		BlackRock LifePath 2045 Fund

Performance Summary for the Period Ended June 30, 2016


				Average Annual Total Returns¹
				1 Year						5 Year						Since Inception²
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		2.72	%		(1.58	)%		N/A			5.79	%		N/A			9.79	%		N/A
Investor A		2.60			(1.83	)		(6.98	)%		5.53			4.40	%		9.52			8.54	%
Investor C		2.23			(2.56	)		(3.51	)		4.74			4.74			8.68			8.68
Class K		2.79			(1.34	)		N/A			6.14			N/A			10.15			N/A
Class R		2.42			(2.10	)		N/A			5.27			N/A			9.24			N/A
LifePath 2045 Fund Custom Benchmark		3.46			(0.56	)		N/A			6.49			N/A			10.05			N/A
Barclays U.S. Aggregate Bond Index		5.31			6.00			N/A			3.76			N/A			3.79			N/A
Barclays U.S. TIPS Index (Series L)		6.24			4.35			N/A			2.63			N/A			3.47			N/A
Bloomberg Commodity Index		13.25			(13.32	)		N/A			(5.59	)		N/A			(10.82	)		N/A
FTSE EPRA/NAREIT Developed Index		5.48			0.78			N/A			4.52			N/A			11.58			N/A
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		N/A			0.39			N/A			4.84			N/A
Russell 1000^® Index		3.74			2.93			N/A			11.88			N/A			15.00			N/A
Russell 2000^® Index		2.22			(6.73	)		N/A			8.35			N/A			12.73			N/A

The LifePath Fund commenced operations on June 30, 2010.

Past performance is not indicative of future results.

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



BLACKROCK FUNDS III	JUNE 30, 2016	11


				BlackRock LifePath 2055 Fund

Investment Objective

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

Total Return Based on a $10,000 Investment

LOGO

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

The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2055 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Fund’s custom benchmark consists of the following:


Period	Barclays U.S. Aggregate Bond Index			Bloomberg Commodity Index⁴			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index			S&P MidCap 400^® Index			S&P 500^® Index			S&P SmallCap 600^® Index
7/01/10 to 6/30/11		1.0	%		N/A			9.2	%		28.4	%		N/A			N/A			8.3	%		49.5	%		3.6	%
7/01/11 to 6/30/12		1.0			N/A			10.6			29.0			50.1	%		4.2	%		0.7			4.1			0.3
7/01/12 to 6/30/13		2.0			3.1	%		11.3			27.9			53.8			1.9			N/A			N/A			N/A
7/01/13 to 6/30/14		4.1			4.0			11.8			28.1			50.3			1.7			N/A			N/A			N/A
7/01/14 to 6/30/15		2.6			4.1			12.8			29.2			49.3			2.0			N/A			N/A			N/A
7/01/15 to 6/30/16		1.0			4.2			13.8			30.2			48.7			1.9			N/A			N/A			N/A

⁴

Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 14 for descriptions of the indexes.



12	BLACKROCK FUNDS III	JUNE 30, 2016


		BlackRock LifePath 2055 Fund

Performance Summary for the Period Ended June 30, 2016


				Average Annual Total Returns¹
				1 Year						5 Year						Since Inception²
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		2.56	%		(1.91	)%		N/A			6.13	%		N/A			10.27	%		N/A
Investor A		2.38			(2.15	)		(7.28	)%		5.87			4.73	%		9.98			8.99	%
Investor C		2.06			(2.80	)		(3.75	)		5.07			5.07			9.17			9.17
Class K		2.70			(1.54	)		N/A			6.57			N/A			10.70			N/A
Class R		2.30			(2.32	)		N/A			5.59			N/A			9.71			N/A
LifePath 2055 Fund Custom Benchmark		3.43			(0.62	)		N/A			6.91			N/A			10.66			N/A
Barclays U.S. Aggregate Bond Index		5.31			6.00			N/A			3.76			N/A			3.79			N/A
Bloomberg Commodity Index		13.25			(13.32	)		N/A			(5.59	)		N/A			(10.82	)		N/A
FTSE EPRA/NAREIT Developed Index		5.48			0.78			N/A			4.52			N/A			11.58			N/A
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		N/A			0.39			N/A			4.84			N/A
Russell 1000^® Index		3.74			2.93			N/A			11.88			N/A			15.00			N/A
Russell 2000^® Index		2.22			(6.73	)		N/A			8.35			N/A			12.73			N/A

The LifePath Fund commenced operations on June 30, 2010.

Past performance is not indicative of future results.

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



BLACKROCK FUNDS III	JUNE 30, 2016	13


About Fund Performance

•

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

•

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

•

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.

•

BlackRock Advisors, LLC (the “Administrator”), each LifePath Funds’ administrator, has contractually agreed to waive and/or reimburse a portion of each LifePath Fund’s expenses. Without such waiver and/or reimbursement, the LifePath Funds’ performance would have been lower.

The Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 4 of the Notes to Financial Statements for additional information on waivers and/or reimbursements.

The LifePath Funds’ custom benchmarks are hypothetical representations of the performance of the respective LifePath Fund’s asset classes according to their weightings as of the most recent quarter-end. The weightings of the various indexes that are included in the LifePath Funds’ custom benchmarks are adjusted quarterly to reflect the LifePath Funds’ changing asset allocations over time. As of June 30, 2016, the following indexes are used to calculate the LifePath Funds’ custom benchmarks: Barclays U.S. Aggregate Bond Index, Barclays U.S. TIPS Index (Series L), Bloomberg Commodity Index, FTSE EPRA/NAREIT Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000^® Index and Russell 2000^® Index, as applicable.

The Barclays U.S. Aggregate Bond Index is 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. The Barclays U.S. TIPS Index (Series L) is an unmanaged index that measures the performance of the inflation-protected public obligations of the U.S. Treasury. The Bloomberg Commodity Index is a broadly diversified index that allows investors to track commodity futures through a single, simple measure. The FTSE EPRA/NAREIT Developed Index is a global market capitalization weighted index composed of listed real estate securities from developed market countries in North America, Europe and Asia. The MSCI ACWI ex USA IMI Index is a free float-adjusted market capitalization weighted index that measures the equity market performance of the developed (excluding the U.S.) and emerging investable market universe. The Russell 1000^® Index is an index that measures the performance of the large cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The index represents approximately 92% of the total market capitalization of the Russell 3000^® Index. The Russell 2000^® Index is an unmanaged index that is a subset of the Russell 3000^® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.



14	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Expenses

Shareholders of these LifePath Funds may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses and other fund expenses. The expense examples shown below (which are based on a hypothetical investment of $1,000 invested on January 1, 2016 and held through June 30, 2016) are intended to assist shareholders both in calculating expenses based on an investment in each LifePath Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense examples provide information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their LifePath Fund and share class under the heading entitled “Expenses Paid During the Period.”

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

Expense Examples


	Actual						Hypothetical²
	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period¹		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period¹		Annualized Expense Ratio
LifePath 2025 Fund
Institutional . . . . . . . .	$	1,000.00	$	1,035.70	$	2.89	$	1,000.00	$	1,022.03	$	2.87		0.57	%
Investor A . . . . . . . . . .	$	1,000.00	$	1,035.40	$	4.15	$	1,000.00	$	1,020.79	$	4.12		0.82	%
Investor C . . . . . . . . . .	$	1,000.00	$	1,031.20	$	8.18	$	1,000.00	$	1,016.81	$	8.12		1.62	%
Class K . . . . . . . . .	$	1,000.00	$	1,037.60	$	1.87	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R . . . . . . . . . . . . .	$	1,000.00	$	1,033.80	$	5.21	$	1,000.00	$	1,019.74	$	5.17		1.03	%
LifePath 2035 Fund
Institutional . . . . . . . .	$	1,000.00	$	1,030.10	$	2.83	$	1,000.00	$	1,022.08	$	2.82		0.56	%
Investor A . . . . . . . . . .	$	1,000.00	$	1,029.80	$	4.09	$	1,000.00	$	1,020.84	$	4.07		0.81	%
Investor C . . . . . . . . . .	$	1,000.00	$	1,025.10	$	8.11	$	1,000.00	$	1,016.86	$	8.07		1.61	%
Class K . . . . . . . . .	$	1,000.00	$	1,031.50	$	1.82	$	1,000.00	$	1,023.07	$	1.81		0.36	%
Class R . . . . . . . . . . . . .	$	1,000.00	$	1,028.00	$	5.09	$	1,000.00	$	1,019.84	$	5.07		1.01	%
LifePath 2045 Fund
Institutional . . . . . . . .	$	1,000.00	$	1,027.20	$	2.72	$	1,000.00	$	1,022.18	$	2.72		0.54	%
Investor A . . . . . . . . . .	$	1,000.00	$	1,026.00	$	3.98	$	1,000.00	$	1,020.93	$	3.97		0.79	%
Investor C . . . . . . . . . .	$	1,000.00	$	1,022.30	$	7.99	$	1,000.00	$	1,016.96	$	7.97		1.59	%
Class K . . . . . . . . .	$	1,000.00	$	1,027.90	$	1.71	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R . . . . . . . . . . . . .	$	1,000.00	$	1,024.20	$	4.98	$	1,000.00	$	1,019.94	$	4.97		0.99	%
LifePath 2055 Fund
Institutional . . . . . . . .	$	1,000.00	$	1,025.60	$	2.77	$	1,000.00	$	1,022.13	$	2.77		0.55	%
Investor A . . . . . . . . . .	$	1,000.00	$	1,023.80	$	4.03	$	1,000.00	$	1,020.89	$	4.02		0.80	%
Investor C . . . . . . . . . .	$	1,000.00	$	1,020.60	$	7.99	$	1,000.00	$	1,016.96	$	7.97		1.59	%
Class K . . . . . . . . .	$	1,000.00	$	1,027.00	$	1.71	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R . . . . . . . . . . . . .	$	1,000.00	$	1,023.00	$	5.03	$	1,000.00	$	1,019.89	$	5.02		1.00	%

For each class of the LifePath Funds, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). Because each LifePath Fund invests all of its assets in a LifePath Master Portfolio, the expense examples reflect the net expenses of both the LifePath Fund and the LifePath Master Portfolio in which it invests.

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.



BLACKROCK FUNDS III	JUNE 30, 2016	15


Derivative Financial Instruments

The LifePath Master Portfolios may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the

counterparty to the transaction or illiquidity of the instrument. The LifePath Master Portfolios’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a LifePath Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The LifePath Master Portfolios’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.



16	BLACKROCK FUNDS III	JUNE 30, 2016


Statements of Assets and Liabilities		BlackRock Funds III


June 30, 2016 (Unaudited)	BlackRock LifePath 2025 Fund			BlackRock LifePath 2035 Fund			BlackRock LifePath 2045 Fund			BlackRock LifePath 2055 Fund

Assets
Investments at value — from the applicable LifePath Master Portfolio¹	$	67,758,241		$	58,050,592		$	37,080,678		$	18,985,173
Receivables:
Capital shares sold		268,140			116,449			132,934			49,165
From the administrator		—			—			—			3,111
Withdrawals from the LifePath Master Portfolio		—			198,742			—			29,324

Total assets		68,026,381			58,365,783			37,213,612			19,066,773


Liabilities
Payables:
Contributions to the LifePath Master Portfolio		220,333			—			65,693			—
Capital shares redeemed		47,807			315,191			67,241			78,489
Administration fees		10,401			7,987			2,067			—
Professional fees		10,036			10,038			9,989			10,029
Income dividends		25,072			19,225			13,948			6,762
Service and distribution fees		9,581			8,902			5,178			2,380

Total liabilities		323,230			361,343			164,116			97,660

Net Assets	$	67,703,151		$	58,004,440		$	37,049,496		$	18,969,113


Net Assets Consist of
Paid-in capital	$	67,487,400		$	58,244,441		$	37,293,074		$	18,987,499
Distributions in excess of net investment income		(168,191	)		(88,487	)		(31,213	)		(10,337	)
Accumulated net realized loss allocated from the LifePath Master Portfolio		(254,010	)		(659,174	)		(499,775	)		(234,393	)
Net unrealized appreciation (depreciation) allocated from the LifePath Master Portfolio		637,952			507,660			287,410			226,344

Net Assets	$	67,703,151		$	58,004,440		$	37,049,496		$	18,969,113


Net Asset Value
Institutional:
Net assets	$	29,152,961		$	21,240,576		$	16,163,207		$	8,847,204

Shares outstanding²		2,353,835			1,653,733			1,213,029			646,557

Net asset value	$	12.39		$	12.84		$	13.32		$	13.68

Investor A:
Net assets	$	31,002,134		$	31,229,923		$	17,139,626		$	9,031,901

Shares outstanding²		2,506,152			2,434,746			1,287,045			661,538

Net asset value	$	12.37		$	12.83		$	13.32		$	13.65

Maximum offering price per share (100/94.75 of net assets)	$	13.06		$	13.54		$	14.06		$	14.41

Investor C:
Net assets	$	2,405,949		$	1,896,086		$	1,308,415		$	488,999

Shares outstanding²		195,355			148,941			99,372			36,152

Net asset value	$	12.32		$	12.73		$	13.17		$	13.53

Class K:
Net assets	$	1,769,667		$	914,647		$	842,759		$	167,631

Shares outstanding²		143,151			70,295			62,645			12,106

Net asset value	$	12.36		$	13.01		$	13.45		$	13.85

Class R:
Net assets	$	3,372,440		$	2,723,208		$	1,595,489		$	433,378

Shares outstanding²		272,757			212,179			119,927			31,745

Net asset value	$	12.36		$	12.83		$	13.30		$	13.65

¹ Investments at cost — from the applicable LifePath Master Portfolio	$	67,120,289		$	57,542,932		$	36,793,268		$	18,758,829
² No par value, unlimited number of shares authorized.


Statements of Operations		BlackRock Funds III


Six Months Ended June 30, 2016 (Unaudited)	BlackRock LifePath 2025 Fund			BlackRock LifePath 2035 Fund			BlackRock LifePath 2045 Fund			BlackRock LifePath 2055 Fund

Investment Income
Net investment income allocated from the applicable LifePath Master Portfolio:
Dividends — affiliated	$	403,925		$	457,758		$	336,042		$	163,624
Dividends — unaffiliated		56,920			91,359			76,031			38,270
Interest — affiliated		299,666			132,263			19,265			6,192
Securities lending — affiliated — net		1,830			1,369			1,756			1,032
Foreign taxes withheld		(1,000	)		(1,491	)		(1,290	)		(714	)
Expenses		(201,130	)		(172,358	)		(111,507	)		(61,934	)
Fees waived		129,703			115,474			78,531			45,590

Total income		689,914			624,374			398,828			192,060


Fund Expenses
Administration — class specific		110,550			95,720			60,038			29,249
Service and distribution — class specific		56,519			50,674			29,518			13,213
Professional		7,477			7,477			7,421			7,477
Miscellaneous		169			57			56			57

Total expenses		174,715			153,928			97,033			49,996
Less fees waived by the administrator		(7,477	)		(7,477	)		(7,421	)		(7,477	)

Total expenses after fees waived		167,238			146,451			89,612			42,519

Net investment income		522,676			477,923			309,216			149,541


Realized and Unrealized Gain (Loss) Allocated from the LifePath Master Portfolio
Net realized loss from investments, financial futures contracts, swaps and foreign currency transactions		(825,934	)		(1,013,542	)		(652,975	)		(298,022	)

Net change in unrealized appreciation (depreciation) on investments, financial futures contracts, swaps and foreign currency translations		2,555,275			2,157,360			1,308,998			648,376

Net realized and unrealized gain		1,729,341			1,143,818			656,023			350,354

Net Increase in Net Assets Resulting from Operations	$	2,252,017		$	1,621,741		$	965,239		$	499,895


Statements of Changes in Net Assets		BlackRock Funds III


	BlackRock LifePath 2025 Fund						BlackRock LifePath 2035 Fund
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	522,676		$	902,834		$	477,923		$	798,710
Net realized gain (loss)		(825,934	)		2,035,397			(1,013,542	)		1,954,281
Net change in unrealized appreciation (depreciation)		2,555,275			(4,550,254	)		2,157,360			(4,206,454	)

Net increase (decrease) in net assets resulting from operations		2,252,017			(1,612,023	)		1,621,741			(1,453,463	)


Distributions to Shareholders¹
From net investment income:
Institutional		(255,908	)		(457,154	)		(196,247	)		(370,041	)
Investor A		(234,945	)		(472,452	)		(247,693	)		(444,086	)
Investor C		(8,653	)		(23,600	)		(7,812	)		(14,029	)
Class K		(15,211	)		(16,121	)		(9,162	)		(7,088	)
Class R		(22,660	)		(29,082	)		(19,109	)		(8,944	)
From net realized gain:
Institutional		—			(633,373	)		—			(599,762	)
Investor A		—			(702,920	)		—			(829,270	)
Investor C		—			(71,606	)		—			(55,514	)
Class K		—			(23,595	)		—			(16,379	)
Class R		—			(52,796	)		—			(20,443	)
From return of capital:
Institutional		—			(24,704	)		—			(7,657	)
Investor A		—			(30,201	)		—			(10,622	)
Investor C		—			(3,278	)		—			(657	)
Class K		—			(534	)		—			(62	)
Class R		—			(1,601	)		—			(227	)

Decrease in net assets resulting from distributions to shareholders		(537,377	)		(2,543,017	)		(480,023	)		(2,384,781	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		926,115			5,421,219			802,430			4,313,067


Net Assets
Total increase in net assets		2,640,755			1,266,179			1,944,148			474,823
Beginning of period		65,062,396			63,796,217			56,060,292			55,585,469

End of period	$	67,703,151		$	65,062,396		$	58,004,440		$	56,060,292

Distributions in excess of net investment income, end of period	$	(168,191	)	$	(153,490	)	$	(88,487	)	$	(86,387	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets		BlackRock Funds III


	BlackRock LifePath 2045 Fund						BlackRock LifePath 2055 Fund
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	309,216		$	477,938		$	149,541		$	202,061
Net realized gain (loss)		(652,975	)		1,285,632			(298,022	)		470,460
Net change in unrealized appreciation (depreciation)		1,308,998			(2,669,151	)		648,376			(1,101,709	)

Net increase (decrease) in net assets resulting from operations		965,239			(905,581	)		499,895			(429,188	)


Distributions to Shareholders¹
From net investment income:
Institutional		(150,183	)		(237,262	)		(77,865	)		(104,375	)
Investor A		(139,823	)		(225,525	)		(68,991	)		(90,276	)
Investor C		(5,759	)		(9,617	)		(1,968	)		(3,186	)
Class K		(8,312	)		(3,515	)		(1,495	)		(700	)
Class R		(11,376	)		(6,511	)		(2,956	)		(2,224	)
From net realized gain:
Institutional		—			(459,944	)		—			(159,148	)
Investor A		—			(510,798	)		—			(163,009	)
Investor C		—			(48,009	)		—			(12,905	)
Class K		—			(12,210	)		—			(1,036	)
Class R		—			(17,867	)		—			(5,133	)

Decrease in net assets resulting from distributions to shareholders		(315,453	)		(1,531,258	)		(153,275	)		(541,992	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		1,913,487			2,333,808			2,794,715			3,808,319


Net Assets
Total increase (decrease) in net assets		2,563,273			(103,031	)		3,141,335			2,837,139
Beginning of period		34,486,223			34,589,254			15,827,778			12,990,639

End of period	$	37,049,496		$	34,486,223		$	18,969,113		$	15,827,778

Distributions in excess of net investment income, end of period	$	(31,213	)	$	(24,976	)	$	(10,337	)	$	(6,603	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Financial Highlights		BlackRock LifePath 2025 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.05		$	12.80		$	13.11		$	12.19		$	11.07		$	11.21

Net investment income¹		0.11			0.19			0.21			0.21			0.22			0.25
Net realized and unrealized gain (loss)		0.34			(0.44	)		0.48			1.22			1.11			(0.19	)

Net increase (decrease) from investment operations		0.45			(0.25	)		0.69			1.43			1.33			0.06

Distributions:²
From net investment income		(0.11	)		(0.21	)		(0.21	)		(0.19	)		(0.21	)		(0.20	)
From net realized gain		—			(0.28	)		(0.79	)		(0.32	)		(0.00	)³		(0.00	)³
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.11	)		(0.50	)		(1.00	)		(0.51	)		(0.21	)		(0.20	)

Net asset value, end of period	$	12.39		$	12.05		$	12.80		$	13.11		$	12.19		$	11.07


Total Return⁴
Based on net asset value		3.74%	⁵		(1.92)%			5.23%			11.84%			12.07%			0.49%


Ratios to Average Net Assets^6,7,8
Total expenses		0.60%	⁹		0.74%			0.75%			0.79%			0.86%			1.06%

Total expenses after fees waived and/or reimbursed		0.57%	⁹		0.71%			0.73%			0.75%			0.76%			0.74%

Net investment income		1.80%	⁹		1.51%			1.53%			1.60%			1.85%			2.25%


Supplemental Data
Net assets, end of period (000)	$	29,153		$	27,821		$	23,625		$	25,882		$	15,816		$	3,233

Portfolio turnover of the LifePath Master Portfolio		18%	¹⁰		51%	¹⁰		50%	¹¹		30%	¹¹		4%	¹²		24%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.11%		0.13%		0.13%		0.10%		0.10%		0.12%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.40%, 0.40%, 0.40%, 0.49% and 0.89% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series.

¹¹

¹²

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 17% and 58% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2025 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.04		$	12.78		$	13.10		$	12.19		$	11.06		$	11.21

Net investment income¹		0.09			0.16			0.17			0.18			0.18			0.21
Net realized and unrealized gain (loss)		0.34			(0.43	)		0.48			1.22			1.12			(0.19	)

Net increase (decrease) from investment operations		0.43			(0.27	)		0.65			1.40			1.30			0.02

Distributions:²
From net investment income		(0.10	)		(0.18	)		(0.18	)		(0.17	)		(0.17	)		(0.17	)
From net realized gain		—			(0.28	)		(0.79	)		(0.32	)		(0.00	)³		(0.00	)³
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.10	)		(0.47	)		(0.97	)		(0.49	)		(0.17	)		(0.17	)

Net asset value, end of period	$	12.37		$	12.04		$	12.78		$	13.10		$	12.19		$	11.06


Total Return⁴
Based on net asset value		3.54%	⁵		(2.17)%			4.95%			11.52%			11.84%			0.18%


Ratios to Average Net Assets^6,7,8
Total expenses		0.85%	⁹		0.99%			1.00%			1.05%			1.11%			1.32%

Total expenses after fees waived and/or reimbursed		0.82%	⁹		0.96%			0.98%			1.00%			1.01%			0.99%

Net investment income		1.56%	⁹		1.26%			1.31%			1.37%			1.54%			1.87%


Supplemental Data
Net assets, end of period (000)	$	31,002		$	30,373		$	35,324		$	29,049		$	13,981		$	7,076

Portfolio turnover of the LifePath Master Portfolio		18%	¹⁰		51%	¹⁰		50%	¹¹		30%	¹¹		4%	¹²		24%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.11%		0.13%		0.13%		0.10%		0.10%		0.12%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.40%, 0.40%, 0.40%, 0.48% and 0.86% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²


Financial Highlights (continued)		BlackRock LifePath 2025 Fund


	Investor C
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.99		$	12.72		$	13.06		$	12.15		$	11.05		$	11.21

Net investment income¹		0.04			0.06			0.07			0.07			0.10			0.14
Net realized and unrealized gain (loss)		0.33			(0.42	)		0.47			1.23			1.11			(0.20	)

Net increase (decrease) from investment operations		0.37			(0.36	)		0.54			1.30			1.21			(0.06	)

Distributions:²
From net investment income		(0.04	)		(0.09	)		(0.09	)		(0.07	)		(0.11	)		(0.10	)
From net realized gain		—			(0.27	)		(0.79	)		(0.32	)		(0.00	)³		(0.00	)³
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.04	)		(0.37	)		(0.88	)		(0.39	)		(0.11	)		(0.10	)

Net asset value, end of period	$	12.32		$	11.99		$	12.72		$	13.06		$	12.15		$	11.05


Total Return⁴
Based on net asset value		3.12%	⁵		(2.86)%			4.08%			10.73%			10.99%			(0.54)%


Ratios to Average Net Assets^6,7,8
Total expenses		1.64%	⁹		1.75%			1.75%			1.80%			1.85%			2.10%

Total expenses after fees waived and/or reimbursed		1.62%	⁹		1.72%			1.73%			1.76%			1.76%			1.75%

Net investment income		0.75%	⁹		0.51%			0.56%			0.57%			0.87%			1.25%


Supplemental Data
Net assets, end of period (000)	$	2,406		$	2,900		$	2,849		$	1,997		$	992		$	245

Portfolio turnover of the LifePath Master Portfolio		18%	¹⁰		51%	¹⁰		50%	¹¹		30%	¹¹		4%	¹²		24%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.11%		0.13%		0.13%		0.10%		0.10%		0.12%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.40%, 0.40%, 0.40%, 0.48% and 0.82% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²


Financial Highlights (continued)		BlackRock LifePath 2025 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.03		$	12.78		$	13.10		$	12.22		$	11.09		$	11.21

Net investment income¹		0.12			0.25			0.26			0.20			0.26			0.26
Net realized and unrealized gain (loss)		0.33			(0.45	)		0.46			1.20			1.11			(0.16	)

Net increase (decrease) from investment operations		0.45			(0.20	)		0.72			1.40			1.37			0.10

Distributions:²
From net investment income		(0.12	)		(0.26	)		(0.25	)		(0.20	)		(0.24	)		(0.22	)
From net realized gain		—			(0.28	)		(0.79	)		(0.32	)		(0.00	)³		(0.00	)³
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.12	)		(0.55	)		(1.04	)		(0.52	)		(0.24	)		(0.22	)

Net asset value, end of period	$	12.36		$	12.03		$	12.78		$	13.10		$	12.22		$	11.09


Total Return⁴
Based on net asset value		3.76%	⁵		(1.64)%			5.51%			11.47%			12.44%			0.87%


Ratios to Average Net Assets^6,7,8
Total expenses		0.40%	⁹		0.41%			0.40%			0.44%			0.51%			0.71%

Total expenses after fees waived and/or reimbursed		0.37%	⁹		0.38%			0.37%			0.40%			0.41%			0.38%

Net investment income		2.01%	⁹		2.00%			1.91%			1.57%			2.20%			2.31%


Supplemental Data
Net assets, end of period (000)	$	1,770		$	1,278		$	317		$	102		$	1,941		$	1,590

Portfolio turnover of the LifePath Master Portfolio		18%	¹⁰		51%	¹⁰		50%	¹¹		30%	¹¹		4%	¹²		24%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.11%		0.13%		0.13%		0.10%		0.10%		0.12%

⁸

⁹

Annualized.

¹⁰

¹¹

¹²


Financial Highlights (concluded)		BlackRock LifePath 2025 Fund


	Class R
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.04		$	12.79		$	13.11		$	12.19		$	11.09		$	11.21

Net investment income¹		0.08			0.13			0.14			0.13			0.18			0.17
Net realized and unrealized gain (loss)		0.33			(0.43	)		0.48			1.24			1.08			(0.17	)

Net increase (decrease) from investment operations		0.41			(0.30	)		0.62			1.37			1.26			—

Distributions:²
From net investment income		(0.09	)		(0.17	)		(0.15	)		(0.13	)		(0.16	)		(0.12	)
From net realized gain		—			(0.27	)		(0.79	)		(0.32	)		(0.00	)³		(0.00	)³
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.09	)		(0.45	)		(0.94	)		(0.45	)		(0.16	)		(0.12	)

Net asset value, end of period	$	12.36		$	12.04		$	12.79		$	13.11		$	12.19		$	11.09


Total Return⁴
Based on net asset value		3.38%	⁵		(2.36)%			4.69%			11.26%			11.45%			0.02%


Ratios to Average Net Assets^6,7,8
Total expenses		1.05%	⁹		1.24%			1.26%			1.30%			1.35%			1.57%

Total expenses after fees waived and/or reimbursed		1.03%	⁹		1.21%			1.23%			1.25%			1.26%			1.23%

Net investment income		1.36%	⁹		1.06%			1.04%			1.05%			1.54%			1.46%


Supplemental Data
Net assets, end of period (000)	$	3,372		$	2,690		$	1,682		$	1,484		$	1,282		$	22

Portfolio turnover of the LifePath Master Portfolio		18%	¹⁰		51%	¹⁰		50%	¹¹		30%	¹¹		4%	¹²		24%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.11%		0.13%		0.13%		0.10%		0.10%		0.12%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.40%, 0.40%, 0.40%, 0.48% and 0.91% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²


Financial Highlights		BlackRock LifePath 2035 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.58		$	13.43		$	13.77		$	12.51		$	11.18		$	11.52

Net investment income¹		0.12			0.21			0.22			0.24			0.24			0.24
Net realized and unrealized gain (loss)		0.26			(0.49	)		0.54			1.67			1.30			(0.39	)

Net increase (decrease) from investment operations		0.38			(0.28	)		0.76			1.91			1.54			(0.15	)

Distributions:²
From net investment income		(0.12	)		(0.22	)		(0.22	)		(0.23	)		(0.21	)		(0.19	)
From net realized gain		—			(0.35	)		(0.88	)		(0.42	)		—			(0.00	)³
From return of capital		—			(0.00	)³		—			—			(0.00	)³		—

Total distributions		(0.12	)		(0.57	)		(1.10	)		(0.65	)		(0.21	)		(0.19	)

Net asset value, end of period	$	12.84		$	12.58		$	13.43		$	13.77		$	12.51		$	11.18


Total Return⁴
Based on net asset value		3.01%	⁵		(2.15)%			5.51%			15.33%			13.85%			(1.32)%


Ratios to Average Net Assets^6,7,8
Total expenses		0.58%	⁹		0.72%			0.74%			0.80%			0.89%			1.22%

Total expenses after fees waived and/or reimbursed		0.56%	⁹		0.68%			0.71%			0.75%			0.75%			0.72%

Net investment income		1.91%	⁹		1.54%			1.55%			1.78%			1.98%			2.13%


Supplemental Data
Net assets, end of period (000)	$	21,241		$	22,071		$	22,004		$	22,266		$	12,853		$	2,033

Portfolio turnover of the LifePath Master Portfolio		24%	¹⁰		44%	¹⁰		54%	¹¹		39%	¹¹		4%	¹²		21%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.12%		0.16%		0.15%		0.11%		0.11%		0.14%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.42%, 0.42%, 0.43%, 0.43%, 0.56% and 1.10% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 47% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2035 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.56		$	13.41		$	13.77		$	12.51		$	11.17		$	11.51

Net investment income¹		0.10			0.17			0.19			0.21			0.20			0.20
Net realized and unrealized gain (loss)		0.27			(0.48	)		0.52			1.67			1.32			(0.37	)

Net increase (decrease) from investment operations		0.37			(0.31	)		0.71			1.88			1.52			(0.17	)

Distributions:²
From net investment income		(0.10	)		(0.19	)		(0.19	)		(0.20	)		(0.18	)		(0.17	)
From net realized gain		—			(0.35	)		(0.88	)		(0.42	)		—			(0.00	)³
From return of capital		—			(0.00	)³		—			—			(0.00	)³		—

Total distributions		(0.10	)		(0.54	)		(1.07	)		(0.62	)		(0.18	)		(0.17	)

Net asset value, end of period	$	12.83		$	12.56		$	13.41		$	13.77		$	12.51		$	11.17


Total Return⁴
Based on net asset value		2.98%	⁵		(2.40)%			5.17%			15.08%			13.63%			(1.55)%


Ratios to Average Net Assets^6,7,8
Total expenses		0.83%	⁹		0.97%			0.99%			1.05%			1.14%			1.48%

Total expenses after fees waived and/or reimbursed		0.81%	⁹		0.93%			0.96%			1.00%			1.00%			0.97%

Net investment income		1.66%	⁹		1.30%			1.33%			1.55%			1.63%			1.77%


Supplemental Data
Net assets, end of period (000)	$	31,230		$	30,359		$	31,048		$	21,423		$	9,966		$	4,121

Portfolio turnover of the LifePath Master Portfolio		24%	¹⁰		44%	¹⁰		54%	¹¹		39%	¹¹		4%	¹²		21%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.12%		0.16%		0.15%		0.11%		0.11%		0.14%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.42%, 0.43%, 0.43%, 0.43%, 0.56% and 1.15% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 47% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2035 Fund


	Investor C
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.47		$	13.32		$	13.69		$	12.45		$	11.14		$	11.49

Net investment income¹		0.05			0.07			0.08			0.11			0.11			0.09
Net realized and unrealized gain (loss)		0.26			(0.48	)		0.53			1.66			1.30			(0.35	)

Net increase (decrease) from investment operations		0.31			(0.41	)		0.61			1.77			1.41			(0.26	)

Distributions:²
From net investment income		(0.05	)		(0.09	)		(0.10	)		(0.11	)		(0.10	)		(0.09	)
From net realized gain		—			(0.35	)		(0.88	)		(0.42	)		—			(0.00	)³
From return of capital		—			(0.00	)³		—			—			(0.00	)³		—

Total distributions		(0.05	)		(0.44	)		(0.98	)		(0.53	)		(0.10	)		(0.09	)

Net asset value, end of period	$	12.73		$	12.47		$	13.32		$	13.69		$	12.45		$	11.14


Total Return⁴
Based on net asset value		2.51%	⁵		(3.13)%			4.43%			14.22%			12.70%			(2.28)%


Ratios to Average Net Assets^6,7,8
Total expenses		1.63%	⁹		1.72%			1.74%			1.81%			1.89%			2.24%

Total expenses after fees waived and/or reimbursed		1.61%	⁹		1.69%			1.71%			1.75%			1.75%			1.72%

Net investment income		0.86%	⁹		0.55%			0.58%			0.81%			0.92%			0.80%


Supplemental Data
Net assets, end of period (000)	$	1,896		$	2,007		$	1,816		$	1,028		$	533		$	190

Portfolio turnover of the LifePath Master Portfolio		24%	¹⁰		44%	¹⁰		54%	¹¹		39%	¹¹		4%	¹²		21%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.12%		0.16%		0.15%		0.11%		0.11%		0.14%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.42%, 0.43%, 0.43%, 0.43%, 0.56% and 1.09% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 47% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2035 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.74		$	13.60		$	13.94		$	12.55		$	11.20		$	11.52

Net investment income¹		0.13			0.30			0.23			0.22			0.27			0.25
Net realized and unrealized gain (loss)		0.27			(0.54	)		0.57			1.82			1.32			(0.35	)

Net increase (decrease) from investment operations		0.40			(0.24	)		0.80			2.04			1.59			(0.10	)

Distributions:²
From net investment income		(0.13	)		(0.27	)		(0.26	)		(0.23	)		(0.24	)		(0.22	)
From net realized gain		—			(0.35	)		(0.88	)		(0.42	)		—			(0.00	)³
From return of capital		—			(0.00	)³		—			—			(0.00	)³		—

Total distributions		(0.13	)		(0.62	)		(1.14	)		(0.65	)		(0.24	)		(0.22	)

Net asset value, end of period	$	13.01		$	12.74		$	13.60		$	13.94		$	12.55		$	11.20


Total Return⁴
Based on net asset value		3.15%	⁵		(1.83)%			5.73%			16.32%			14.30%			(0.94)%


Ratios to Average Net Assets^6,7,8
Total expenses		0.38%	⁹		0.39%			0.38%			0.45%			0.55%			0.87%

Total expenses after fees waived and/or reimbursed		0.36%	⁹		0.35%			0.35%			0.38%			0.40%			0.36%

Net investment income		2.11%	⁹		2.30%			1.91%			1.65%			2.26%			2.17%


Supplemental Data
Net assets, end of period (000)	$	915		$	757		$	138		$	95		$	1,999		$	1,050

Portfolio turnover of the LifePath Master Portfolio		24%	¹⁰		44%	¹⁰		54%	¹¹		39%	¹¹		4%	¹²		21%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.12%		0.16%		0.15%		0.11%		0.11%		0.14%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.42%, 0.43%, 0.43%, 0.43%, 0.57% and 1.20% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 47% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (concluded)		BlackRock LifePath 2035 Fund


	Class R
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.58		$	13.44		$	13.78		$	12.52		$	11.19		$	11.52

Net investment income¹		0.09			0.14			0.14			0.17			0.21			0.15
Net realized and unrealized gain (loss)		0.26			(0.49	)		0.54			1.67			1.28			(0.36	)

Net increase (decrease) from investment operations		0.35			(0.35	)		0.68			1.84			1.49			(0.21	)

Distributions:²
From net investment income		(0.10	)		(0.16	)		(0.14	)		(0.16	)		(0.16	)		(0.12	)
From net realized gain		—			(0.35	)		(0.88	)		(0.42	)		—			(0.00	)³
From return of capital		—			(0.00	)³		—			—			(0.00	)³		—

Total distributions		(0.10	)		(0.51	)		(1.02	)		(0.58	)		(0.16	)		(0.12	)

Net asset value, end of period	$	12.83		$	12.58		$	13.44		$	13.78		$	12.52		$	11.19


Total Return⁴
Based on net asset value		2.80%	⁵		(2.65)%			4.96%			14.74%			13.37%			(1.85)%


Ratios to Average Net Assets^6,7,8
Total expenses		1.03%	⁹		1.21%			1.24%			1.30%			1.38%			1.72%

Total expenses after fees waived and/or reimbursed		1.01%	⁹		1.18%			1.21%			1.25%			1.25%			1.21%

Net investment income		1.53%	⁹		1.09%			1.03%			1.25%			1.71%			1.31%


Supplemental Data
Net assets, end of period (000)	$	2,723		$	867		$	579		$	474		$	359		$	22

Portfolio turnover of the LifePath Master Portfolio		24%	¹⁰		44%	¹⁰		54%	¹¹		39%	¹¹		4%	¹²		21%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.12%		0.16%		0.15%		0.11%		0.11%		0.14%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.42%, 0.43%, 0.43%, 0.43%, 0.55% and 1.19% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 47% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		BlackRock LifePath 2045 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.10		$	14.05		$	14.39		$	12.74		$	11.24		$	11.70

Net investment income¹		0.12			0.21			0.23			0.27			0.25			0.23
Net realized and unrealized gain (loss)		0.22			(0.54	)		0.58			2.07			1.47			(0.51	)

Net increase (decrease) from investment operations		0.34			(0.33	)		0.81			2.34			1.72			(0.28	)

Distributions:²
From net investment income		(0.12	)		(0.21	)		(0.23	)		(0.25	)		(0.22	)		(0.18	)
From net realized gain		—			(0.41	)		(0.92	)		(0.44	)		—			—
From return of capital		—			—			—			—			(0.00	)³		—

Total distributions		(0.12	)		(0.62	)		(1.15	)		(0.69	)		(0.22	)		(0.18	)

Net asset value, end of period	$	13.32		$	13.10		$	14.05		$	14.39		$	12.74		$	11.24


Total Return⁴
Based on net asset value		2.72%	⁵		(2.37)%			5.66%			18.49%			15.34%			(2.46)%


Ratios to Average Net Assets^6,7,8
Total expenses		0.58%	⁹		0.71%			0.75%			0.85%			1.06%			2.00%

Total expenses after fees waived and/or reimbursed		0.54%	⁹		0.63%			0.69%			0.74%			0.75%			0.70%

Net investment income		1.95%	⁹		1.55%			1.57%			1.94%			2.04%			2.02%


Supplemental Data
Net assets, end of period (000)	$	16,163		$	15,105		$	15,678		$	12,832		$	7,066		$	1,646

Portfolio turnover of the LifePath Master Portfolio		24%	¹⁰		50%	¹⁰		54%	¹¹		38%	¹¹		4%	¹²		35%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.18%		0.16%		0.11%		0.11%		0.16%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.45%, 0.48%, 0.49%, 0.51%, 0.83% and 2.51% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 71% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2045 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.09		$	14.04		$	14.39		$	12.75		$	11.25		$	11.70

Net investment income¹		0.11			0.18			0.20			0.25			0.21			0.19
Net realized and unrealized gain (loss)		0.23			(0.54	)		0.57			2.05			1.47			(0.49	)

Net increase (decrease) from investment operations		0.34			(0.36	)		0.77			2.30			1.68			(0.30	)

Distributions:²
From net investment income		(0.11	)		(0.18	)		(0.20	)		(0.22	)		(0.18	)		(0.15	)
From net realized gain		—			(0.41	)		(0.92	)		(0.44	)		—			(0.00	)³
From return of capital		—			—			—			—			(0.00	)³		—

Total distributions		(0.11	)		(0.59	)		(1.12	)		(0.66	)		(0.18	)		(0.15	)

Net asset value, end of period	$	13.32		$	13.09		$	14.04		$	14.39		$	12.75		$	11.25


Total Return⁴
Based on net asset value		2.60%	⁵		(2.61)%			5.37%			18.17%			15.03%			(2.61)%


Ratios to Average Net Assets^6,7,8
Total expenses		0.83%	⁹		0.96%			1.00%			1.10%			1.31%			2.20%

Total expenses after fees waived and/or reimbursed		0.79%	⁹		0.91%			0.94%			0.99%			0.99%			0.95%

Net investment income		1.70%	⁹		1.28%			1.35%			1.77%			1.75%			1.65%


Supplemental Data
Net assets, end of period (000)	$	17,140		$	16,744		$	16,814		$	11,044		$	3,512		$	1,228

Portfolio turnover of the LifePath Master Portfolio		24%	¹⁰		50%	¹⁰		54%	¹¹		38%	¹¹		4%	¹²		35%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.18%		0.16%		0.11%		0.11%		0.16%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.45%, 0.48%, 0.49%, 0.51%, 0.83% and 2.23% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 71% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2045 Fund


	Investor C
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.94		$	13.90		$	14.26		$	12.65		$	11.18		$	11.67

Net investment income¹		0.06			0.07			0.09			0.13			0.13			0.11
Net realized and unrealized gain (loss)		0.23			(0.54	)		0.57			2.05			1.45			(0.50	)

Net increase (decrease) from investment operations		0.29			(0.47	)		0.66			2.18			1.58			(0.39	)

Distributions:²
From net investment income		(0.06	)		(0.08	)		(0.10	)		(0.13	)		(0.11	)		(0.10	)
From net realized gain		—			(0.41	)		(0.92	)		(0.44	)		—			(0.00	)³
From return of capital		—			—			—			—			(0.00	)³		—

Total distributions		(0.06	)		(0.49	)		(1.02	)		(0.57	)		(0.11	)		(0.10	)

Net asset value, end of period	$	13.17		$	12.94		$	13.90		$	14.26		$	12.65		$	11.18


Total Return⁴
Based on net asset value		2.23%	⁵		(3.43)%			4.63%			17.31%			14.15%			(3.37)%


Ratios to Average Net Assets^6,7,8
Total expenses		1.63%	⁹		1.72%			1.75%			1.85%			2.04%			2.99%

Total expenses after fees waived and/or reimbursed		1.59%	⁹		1.67%			1.69%			1.74%			1.75%			1.70%

Net investment income		0.89%	⁹		0.53%			0.61%			0.97%			1.07%			0.94%


Supplemental Data
Net assets, end of period (000)	$	1,308		$	1,420		$	1,549		$	935		$	463		$	95

Portfolio turnover of the LifePath Master Portfolio		24%	¹⁰		50%	¹⁰		54%	¹¹		38%	¹¹		4%	¹²		35%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.18%		0.16%		0.11%		0.11%		0.16%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.45%, 0.48%, 0.49%, 0.51%, 0.81% and 2.41% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 71% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2045 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.22		$	14.18		$	14.50		$	12.77		$	11.26		$	11.70

Net investment income¹		0.14			0.40			0.29			0.21			0.30			0.24
Net realized and unrealized gain (loss)		0.23			(0.68	)		0.55			2.21			1.46			(0.48	)

Net increase (decrease) from investment operations		0.37			(0.28	)		0.84			2.42			1.76			(0.24	)

Distributions:²
From net investment income		(0.14	)		(0.27	)		(0.24	)		(0.25	)		(0.25	)		(0.20	)
From net realized gain		—			(0.41	)		(0.92	)		(0.44	)		—			(0.00	)³
From return of capital		—			—			—			—			(0.00	)³		—

Total distributions		(0.14	)		(0.68	)		(1.16	)		(0.69	)		(0.25	)		(0.20	)

Net asset value, end of period	$	13.45		$	13.22		$	14.18		$	14.50		$	12.77		$	11.26


Total Return⁴
Based on net asset value		2.79%	⁵		(2.04)%			5.80%			19.11%			15.72%			(2.08)%


Ratios to Average Net Assets^6,7,8
Total expenses		0.38%	⁹		0.40%			0.38%			0.49%			0.70%			1.72%

Total expenses after fees waived and/or reimbursed		0.34%	⁹		0.34%			0.33%			0.38%			0.39%			0.35%

Net investment income		2.17%	⁹		3.08%			1.92%			1.60%			2.41%			2.04%


Supplemental Data
Net assets, end of period (000)	$	843		$	524		$	28		$	29		$	697		$	259

Portfolio turnover of the LifePath Master Portfolio		24%	¹⁰		50%	¹⁰		54%	¹¹		38%	¹¹		4%	¹²		35%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.18%		0.16%		0.11%		0.11%		0.16%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.45%, 0.49%, 0.48%, 0.55%, 0.83% and 2.71% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 71% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (concluded)		BlackRock LifePath 2045 Fund


	Class R
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.09		$	14.04		$	14.38		$	12.73		$	11.24		$	11.69

Net investment income¹		0.10			0.15			0.15			0.19			0.23			0.14
Net realized and unrealized gain (loss)		0.22			(0.53	)		0.58			2.08			1.42			(0.48	)

Net increase (decrease) from investment operations		0.32			(0.38	)		0.73			2.27			1.65			(0.34	)

Distributions:²
From net investment income		(0.11	)		(0.16	)		(0.15	)		(0.18	)		(0.16	)		(0.11	)
From net realized gain		—			(0.41	)		(0.92	)		(0.44	)		—			(0.00	)³
From return of capital		—			—			—			—			(0.00	)³		—

Total distributions		(0.11	)		(0.57	)		(1.07	)		(0.62	)		(0.16	)		(0.11	)

Net asset value, end of period	$	13.30		$	13.09		$	14.04		$	14.38		$	12.73		$	11.24


Total Return⁴
Based on net asset value		2.42%	⁵		(2.80)%			5.08%			17.91%			14.77%			(2.93)%


Ratios to Average Net Assets^6,7,8
Total expenses		1.03%	⁹		1.21%			1.25%			1.35%			1.55%			2.57%

Total expenses after fees waived and/or reimbursed		0.99%	⁹		1.15%			1.19%			1.24%			1.25%			1.19%

Net investment income		1.56%	⁹		1.09%			1.04%			1.36%			1.84%			1.17%


Supplemental Data
Net assets, end of period (000)	$	1,595		$	693		$	520		$	560		$	423		$	22

Portfolio turnover of the LifePath Master Portfolio		24%	¹⁰		50%	¹⁰		54%	¹¹		38%	¹¹		4%	¹²		35%	¹²

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.18%		0.16%		0.11%		0.11%		0.16%

⁸

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.45%, 0.48%, 0.49%, 0.52%, 0.82% and 2.71% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁹

Annualized.

¹⁰

¹¹

¹²

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 71% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		BlackRock LifePath 2055 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.46		$	14.33		$	14.64		$	12.74		$	11.13		$	11.85

Net investment income¹		0.13			0.22			0.23			0.30			0.27			0.23
Net realized and unrealized gain (loss)		0.21			(0.57	)		0.63			2.36			1.56			(0.70	)

Net increase (decrease) from investment operations		0.34			(0.35	)		0.86			2.66			1.83			(0.47	)

Distributions:²
From net investment income		(0.12	)		(0.21	)		(0.23	)		(0.26	)		(0.21	)		(0.16	)
From net realized gain		—			(0.31	)		(0.94	)		(0.50	)		(0.01	)		(0.09	)

Total distributions		(0.12	)		(0.52	)		(1.17	)		(0.76	)		(0.22	)		(0.25	)

Net asset value, end of period	$	13.68		$	13.46		$	14.33		$	14.64		$	12.74		$	11.13


Total Return³
Based on net asset value		2.56%	⁴		(2.52)%			5.90%			20.99%			16.46%			(4.02)%


Ratios to Average Net Assets^5,6,7
Total expenses		0.63%	⁸		0.79%			0.82%			1.05%			2.00%			9.82%

Total expenses after fees waived and/or reimbursed		0.55%	⁸		0.66%			0.67%			0.74%			0.75%			0.69%

Net investment income		1.94%	⁸		1.53%			1.54%			2.11%			2.17%			1.94%


Supplemental Data
Net assets, end of period (000)	$	8,847		$	7,381		$	6,773		$	4,546		$	1,981		$	164

Portfolio turnover rate of the LifePath Master Portfolio		19%	⁹		49%	⁹		48%	¹⁰		67%	¹⁰		7%	¹¹		51%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.54%, 0.62%, 0.66%, 0.83%, 2.22% and 15.11% for the period ended June 30, 2016 and for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.18%		0.18%		0.12%		0.11%		0.17%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 27% and 95% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2055 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.44		$	14.30		$	14.62		$	12.73		$	11.13		$	11.85

Net investment income¹		0.11			0.19			0.20			0.28			0.23			0.16
Net realized and unrealized gain (loss)		0.21			(0.56	)		0.62			2.34			1.56			(0.67	)

Net increase (decrease) from investment operations		0.32			(0.37	)		0.82			2.62			1.79			(0.51	)

Distributions:²
From net investment income		(0.11	)		(0.18	)		(0.20	)		(0.23	)		(0.18	)		(0.12	)
From net realized gain		—			(0.31	)		(0.94	)		(0.50	)		(0.01	)		(0.09	)

Total distributions		(0.11	)		(0.49	)		(1.14	)		(0.73	)		(0.19	)		(0.21	)

Net asset value, end of period	$	13.65		$	13.44		$	14.30		$	14.62		$	12.73		$	11.13


Total Return³
Based on net asset value		2.38%	⁴		(2.67)%			5.60%			20.71%			16.09%			(4.35)%


Ratios to Average Net Assets^5,6,7
Total expenses		0.89%	⁸		1.04%			1.08%			1.30%			2.29%			8.94%

Total expenses after fees waived and/or reimbursed		0.80%	⁸		0.91%			0.92%			0.99%			1.00%			0.94%

Net investment income		1.69%	⁸		1.30%			1.32%			1.98%			1.88%			1.43%


Supplemental Data
Net assets, end of period (000)	$	9,032		$	7,561		$	5,543		$	3,951		$	1,043		$	163

Portfolio turnover rate of the LifePath Master Portfolio		19%	⁹		49%	⁹		48%	¹⁰		67%	¹⁰		7%	¹¹		51%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴

Aggregate total return

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.54%, 0.62%, 0.66%, 0.82%, 2.28% and 12.56% for the period ended June 30, 2016 and for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.18%		0.18%		0.12%		0.11%		0.17%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 27% and 95% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2055 Fund


	Investor C
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.31		$	14.18		$	14.51		$	12.64		$	11.06		$	11.82

Net investment income¹		0.06			0.08			0.08			0.15			0.13			0.10
Net realized and unrealized gain (loss)		0.21			(0.56	)		0.62			2.35			1.56			(0.69	)

Net increase (decrease) from investment operations		0.27			(0.48	)		0.70			2.50			1.69			(0.59	)

Distributions:²
From net investment income		(0.05	)		(0.08	)		(0.09	)		(0.13	)		(0.10	)		(0.08	)
From net realized gain		—			(0.31	)		(0.94	)		(0.50	)		(0.01	)		(0.09	)

Total distributions		(0.05	)		(0.39	)		(1.03	)		(0.63	)		(0.11	)		(0.17	)

Net asset value, end of period	$	13.53		$	13.31		$	14.18		$	14.51		$	12.64		$	11.06


Total Return³
Based on net asset value		2.06%	⁴		(3.48)%			4.85%			19.81%			15.27%			(5.01)%


Ratios to Average Net Assets^5,6,7
Total expenses		1.69%	⁸		1.80%			1.83%			2.06%			3.12%			11.00%

Total expenses after fees waived and/or reimbursed		1.59%	⁸		1.67%			1.67%			1.75%			1.75%			1.69%

Net investment income		0.88%	⁸		0.54%			0.56%			1.07%			1.05%			0.88%


Supplemental Data
Net assets, end of period (000)	$	489		$	543		$	528		$	313		$	231		$	109

Portfolio turnover rate of the LifePath Master Portfolio		19%	⁹		49%	⁹		48%	¹⁰		67%	¹⁰		7%	¹¹		51%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴

Aggregate total return

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.55%, 0.62%, 0.66%, 0.83%, 2.42% and 14.29% for the period ended June 30, 2016 and for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.18%		0.18%		0.12%		0.11%		0.17%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 27% and 95% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2055 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.62		$	14.49		$	14.77		$	12.77		$	11.15		$	11.86

Net investment income¹		0.14			0.28			0.30			0.22			0.35			0.23
Net realized and unrealized gain (loss)		0.23			(0.58	)		0.62			2.54			1.52			(0.66	)

Net increase (decrease) from investment operations		0.37			(0.30	)		0.92			2.76			1.87			(0.43	)

Distributions:²
From net investment income		(0.14	)		(0.26	)		(0.26	)		(0.26	)		(0.24	)		(0.19	)
From net realized gain		—			(0.31	)		(0.94	)		(0.50	)		(0.01	)		(0.09	)

Total distributions		(0.14	)		(0.57	)		(1.20	)		(0.76	)		(0.25	)		(0.28	)

Net asset value, end of period	$	13.85		$	13.62		$	14.49		$	14.77		$	12.77		$	11.15


Total Return³
Based on net asset value		2.70%	⁴		(2.15)%			6.26%			21.74%			16.83%			(3.71)%


Ratios to Average Net Assets^5,6,7
Total expenses		0.43%	⁸		0.46%			0.46%			0.75%			1.27%			9.68%

Total expenses after fees waived and/or reimbursed		0.35%	⁸		0.32%			0.32%			0.38%			0.40%			0.33%

Net investment income		2.18%	⁸		1.97%			1.93%			1.61%			2.80%			1.99%


Supplemental Data
Net assets, end of period (000)	$	168		$	52		$	29		$	30		$	448		$	22

Portfolio turnover rate of the LifePath Master Portfolio		19%	⁹		49%	⁹		48%	¹⁰		67%	¹⁰		7%	¹¹		51%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.54%, 0.63%, 0.65%, 0.95%, 1.71% and 16.23% for the period ended June 30, 2016 and for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.18%		0.18%		0.12%		0.11%		0.17%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 27% and 95% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (concluded)		BlackRock LifePath 2055 Fund


	Class R
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.44		$	14.32		$	14.62		$	12.72		$	11.12		$	11.84

Net investment income¹		0.10			0.15			0.15			0.22			0.19			0.13
Net realized and unrealized gain (loss)		0.21			(0.57	)		0.63			2.37			1.56			(0.66	)

Net increase (decrease) from investment operations		0.31			(0.42	)		0.78			2.59			1.75			(0.53	)

Distributions:²
From net investment income		(0.10	)		(0.15	)		(0.14	)		(0.19	)		(0.14	)		(0.10	)
From net realized gain		—			(0.31	)		(0.94	)		(0.50	)		(0.01	)		(0.09	)

Total distributions		(0.10	)		(0.46	)		(1.08	)		(0.69	)		(0.15	)		(0.19	)

Net asset value, end of period	$	13.65		$	13.44		$	14.32		$	14.62		$	12.72		$	11.12


Total Return³
Based on net asset value		2.30%	⁴		(3.00)%			5.37%			20.44%			15.75%			(4.54)%


Ratios to Average Net Assets^5,6,7
Total expenses		1.09%	⁸		1.29%			1.32%			1.56%			2.75%			10.53%

Total expenses after fees waived and/or reimbursed		1.00%	⁸		1.15%			1.17%			1.25%			1.25%			1.18%

Net investment income		1.51%	⁸		1.07%			0.98%			1.58%			1.53%			1.14%


Supplemental Data
Net assets, end of period (000)	$	433		$	292		$	118		$	106		$	59		$	22

Portfolio turnover rate of the LifePath Master Portfolio		19%	⁹		49%	⁹		48%	¹⁰		67%	¹⁰		7%	¹¹		51%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.54%, 0.62%, 0.65%, 0.84%, 2.60% and 16.23% for the period ended June 30, 2016 and for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.18%		0.18%		0.12%		0.11%		0.17%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 27% and 95% for the years ended December 31, 2012 and December 31, 2011, respectively.


Notes to Financial Statements (Unaudited)				BlackRock Funds III

1. Organization:

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


Fund Name	Herein Referred To As	Diversification Classification
BlackRock LifePath^® 2025 Fund	LifePath 2025 Fund		Diversified
BlackRock LifePath^® 2035 Fund	LifePath 2035 Fund		Diversified
BlackRock LifePath^® 2045 Fund	LifePath 2045 Fund		Diversified
BlackRock LifePath^® 2055 Fund	LifePath 2055 Fund		Diversified

Each LifePath Fund seeks to achieve its investment objective by investing all of its assets in a corresponding series of Master Investment Portfolio (“MIP”): LifePath^® 2025 Master Portfolio, LifePath^® 2035 Master Portfolio, LifePath^® 2045 Master Portfolio and LifePath^® 2055 Master Portfolio (each, a “LifePath Master Portfolio” and together, the “LifePath Master Portfolios”). MIP is an affiliate of the Trust. Each LifePath Master Portfolio has the same investment objective and strategies as its corresponding LifePath Fund. The value of each LifePath Fund’s investment in its corresponding LifePath Master Portfolio reflects the LifePath Fund’s proportionate interest in the net assets of the LifePath Master Portfolio. The performance of the LifePath Funds is directly affected by the performance of its corresponding LifePath Master Portfolio. At June 30, 2016, the percentage of the LifePath Master Portfolio owned by the corresponding LifePath Fund was 99.9% for each of LifePath 2025 Fund, LifePath 2035 Fund and LifePath 2045 Fund and 99.8% for LifePath 2055 Fund, respectively. As such, the financial statements of the LifePath Master Portfolios, including the Schedules of Investments, are included elsewhere in this report and should be read in conjunction with the LifePath Funds’ financial statements.

Each LifePath Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold without a sales charge and only to certain eligible investors. Investor A and Investor C Shares are generally available through financial intermediaries. Class R Shares are available only to certain employer-sponsored retirement plans. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures. The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees.”

Share Class

Initial Sales Charge

CDSC

Conversion Privilege

Institutional, Class K and Class R

None

Investor A

Yes

None

Investor C

Yes

None

Investor A Shares may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase.

The LifePath Funds, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, are included in a complex of open-end funds referred to as the Equity-Liquidity Complex.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each LifePath 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:

Distributions: Distributions from net investment income are declared quarterly and paid quarterly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The portion of distributions, if any, that exceeds a LifePath Fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

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



BLACKROCK FUNDS III	JUNE 30, 2016	41


Notes to Financial Statements (continued)		BlackRock Funds III

appropriate methods. Expenses directly related to the LifePath Funds and other shared expenses prorated to the LifePath Funds are allocated daily to each class based on its relative net assets or other appropriate methods.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The LifePath Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the LifePath Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.

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

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Administration

The Trust, on behalf of the LifePath Funds, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the LifePath Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the LifePath Funds. BAL is entitled to receive for these administration services an annual fee of 0.35% of on the average daily net assets of each LifePath Fund’s Institutional and Investor A Shares, 0.40% of the average daily net assets of Investor C Shares, 0.30% of the average daily net assets of Class R Shares and 0.15% of average daily net assets of Class K Shares.

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

For the six months ended June 30, 2016, the following table shows the class specific administration fees borne directly by each class of each LifePath Fund:


	Institutional		Investor A		Investor C		Class K		Class R		Total
LifePath 2025 Fund	$	48,668	$	51,418	$	5,042	$	1,096	$	4,326	$	110,550
LifePath 2035 Fund	$	37,041	$	51,648	$	3,751	$	656	$	2,624	$	95,720
LifePath 2045 Fund	$	26,778	$	28,571	$	2,591	$	526	$	1,572	$	60,038
LifePath 2055 Fund	$	13,862	$	13,799	$	991	$	84	$	513	$	29,249

Service and Distribution Fees

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


	Distribution Fees		Service Fees
Investor A		—		0.25%
Investor C		0.75%		0.25%
Class R		0.25%		0.25%

BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the LifePath Funds. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to the shareholders.

For the six months ended June 30, 2016, the following table shows the class specific service and distribution fees borne directly by each share class of each LifePath Fund:

Service and Distribution Fees


	Investor A		Investor C		Class R		Total
LifePath 2025 Fund	$	36,729	$	12,550	$	7,240	$	56,519
LifePath 2035 Fund	$	36,901	$	9,370	$	4,403	$	50,674
LifePath 2045 Fund	$	20,421	$	6,458	$	2,639	$	29,518
LifePath 2055 Fund	$	9,881	$	2,473	$	859	$	13,213



42	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)				BlackRock Funds III

Other Fees

For the six months ended June 30, 2016, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the LifePath Fund’s Investor A Shares as follows:

LifePath 2025

Fund

LifePath 2035

Fund

LifePath 2045

Fund

LifePath 2055

Fund

Investor A

195

506

111

123

For the six months ended June 30, 2016, affiliates received CDSCs as follows:

LifePath 2025

Fund

LifePath 2035

Fund

LifePath 2055

Fund

Investor C

791

The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the LifePath Funds. BAL has contractually agreed to provide an offsetting credit against the administration fees paid by the LifePath Funds in an amount equal to the independent expenses through April 30, 2026. These amounts are included in fees waived by the administrator in the Statements of Operations.

Officers and Trustees

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.

5. Income Tax Information:

It is the LifePath Funds’ 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 their taxable income to their shareholders. Therefore, no federal income tax provision is required.

Each LifePath Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each LifePath Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2015. The statutes of limitations on each LifePath 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 LifePath Funds as of June 30, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the LifePath Funds’ financial statements.

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
LifePath 2025 Fund	Shares			Amount			Shares			Amount
Institutional
Shares sold		343,873		$	4,137,411			1,695,717		$	22,026,427
Shares issued in reinvestment of distributions		20,788			255,907			90,453			1,115,230
Shares redeemed		(318,882	)		(3,833,914	)		(1,324,284	)		(17,169,467	)

Net increase		45,779		$	559,404			461,886		$	5,972,190


Investor A
Shares sold		255,341		$	3,085,627			484,539		$	6,176,197
Shares issued in reinvestment of distributions		19,102			234,945			97,698			1,205,545
Shares redeemed		(290,901	)		(3,444,313	)		(823,014	)		(10,365,276	)

Net decrease		(16,458	)	$	(123,741	)		(240,777	)	$	(2,983,534	)


Investor C
Shares sold		39,951		$	478,477			191,836		$	2,439,322
Shares issued in reinvestment of distributions		706			8,653			8,028			98,474
Shares redeemed		(87,232	)		(1,029,466	)		(181,855	)		(2,252,503	)

Net increase (decrease)		(46,575	)	$	(542,336	)		18,009		$	285,293


Class K
Shares sold		65,783		$	779,702			135,809		$	1,698,832
Shares issued in reinvestment of distributions		1,218			14,967			3,199			39,154
Shares redeemed		(30,111	)		(351,832	)		(57,521	)		(713,464	)

Net increase		36,890		$	442,837			81,487		$	1,024,522



BLACKROCK FUNDS III	JUNE 30, 2016	43


Notes to Financial Statements (continued)		BlackRock Funds III


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
LifePath 2025 Fund (concluded)	Shares			Amount			Shares			Amount
Class R
Shares sold		66,589		$	793,310			198,458		$	2,505,656
Shares issued in reinvestment of distributions		1,812			22,282			6,691			82,119
Shares redeemed		(19,064	)		(225,641	)		(113,165	)		(1,465,027	)

Net increase		49,337		$	589,951			91,984		$	1,122,748

Total Net Increase		68,973		$	926,115			412,589		$	5,421,219


LifePath 2035 Fund
Institutional
Shares sold		273,840		$	3,372,205			935,048		$	12,689,214
Shares issued in reinvestment of distributions		15,356			196,247			75,760			977,461
Shares redeemed		(390,619	)		(4,829,601	)		(894,648	)		(12,126,312	)

Net increase (decrease)		(101,423	)	$	(1,261,149	)		116,160		$	1,540,363


Investor A
Shares sold		297,114		$	3,715,584			561,099		$	7,536,029
Shares issued in reinvestment of distributions		19,396			247,693			99,598			1,283,978
Shares redeemed		(298,855	)		(3,664,095	)		(558,814	)		(7,357,563	)

Net increase		17,655		$	299,182			101,883		$	1,462,444


Investor C
Shares sold		43,007		$	529,115			105,262		$	1,406,620
Shares issued in reinvestment of distributions		612			7,775			5,495			70,017
Shares redeemed		(55,645	)		(677,346	)		(86,166	)		(1,137,058	)

Net increase (decrease)		(12,026	)	$	(140,456	)		24,591		$	339,579


Class K
Shares sold		62,691		$	763,513			48,795		$	636,575
Shares issued in reinvestment of distributions		688			8,901			1,730			22,287
Shares redeemed		(52,498	)		(647,478	)		(1,248	)		(17,127	)

Net increase		10,881		$	124,936			49,277		$	641,735


Class R
Shares sold		149,082		$	1,854,561			55,006		$	724,120
Shares issued in reinvestment of distributions		1,495			19,109			2,302			29,614
Shares redeemed		(7,280	)		(93,753	)		(31,541	)		(424,788	)

Net increase		143,297		$	1,779,917			25,767		$	328,946

Total Net Increase		58,384		$	802,430			317,678		$	4,313,067


LifePath 2045 Fund
Institutional
Shares sold		241,215		$	3,086,514			559,557		$	7,929,643
Shares issued in reinvestment of distributions		11,317			150,183			51,781			697,205
Shares redeemed		(192,880	)		(2,479,800	)		(573,820	)		(8,169,111	)

Net increase		59,652		$	756,897			37,518		$	457,737


Investor A
Shares sold		154,351		$	1,985,652			380,095		$	5,344,885
Shares issued in reinvestment of distributions		10,542			139,822			54,687			736,323
Shares redeemed		(157,020	)		(1,996,587	)		(352,998	)		(4,912,618	)

Net increase		7,873		$	128,887			81,784		$	1,168,590


Investor C
Shares sold		24,583		$	310,291			67,371		$	938,567
Shares issued in reinvestment of distributions		438			5,759			4,325			57,482
Shares redeemed		(35,377	)		(438,140	)		(73,452	)		(999,367	)

Net decrease		(10,356	)	$	(122,090	)		(1,756	)	$	(3,318	)



44	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (concluded)				BlackRock Funds III


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
LifePath 2045 Fund (concluded)	Shares			Amount			Shares			Amount
Class K
Shares sold		23,108		$	286,629			37,110		$	497,656
Shares issued in reinvestment of distributions		600			8,035			1,078			14,363
Shares redeemed		(673	)		(8,711	)		(581	)		(7,775	)

Net increase		23,035		$	285,953			37,607		$	504,244


Class R
Shares sold		88,549		$	1,149,687			46,692		$	642,929
Shares issued in reinvestment of distributions		858			11,376			1,810			24,378
Shares redeemed		(22,447	)		(297,223	)		(32,584	)		(460,752	)

Net increase		66,960		$	863,840			15,918		$	206,555

Total Net Increase		147,164		$	1,913,487			171,071		$	2,333,808


LifePath 2055 Fund
Institutional
Shares sold		184,654		$	2,429,812			344,455		$	4,949,851
Shares issued in reinvestment of distributions		5,714			77,865			19,079			263,523
Shares redeemed		(92,020	)		(1,212,808	)		(287,976	)		(4,174,534	)

Net increase		98,348		$	1,294,869			75,558		$	1,038,840


Investor A
Shares sold		140,470		$	1,851,150			255,129		$	3,630,190
Shares issued in reinvestment of distributions		5,073			68,991			18,377			253,284
Shares redeemed		(46,746	)		(599,856	)		(98,266	)		(1,381,504	)

Net increase		98,797		$	1,320,285			175,240		$	2,501,970


Investor C
Shares sold		10,367		$	134,494			25,419		$	359,459
Shares issued in reinvestment of distributions		146			1,968			1,179			16,091
Shares redeemed		(15,130	)		(195,173	)		(23,073	)		(320,424	)

Net increase (decrease)		(4,617	)	$	(58,711	)		3,525		$	55,126


Class K
Shares sold		8,602		$	112,477			1,965		$	27,326
Shares issued in reinvestment of distributions		88			1,220			43			600
Shares redeemed		(433	)		(5,944	)		(160	)		(2,412	)

Net increase		8,257		$	107,753			1,848		$	25,514


Class R
Shares sold		15,318		$	201,974			23,493		$	330,212
Shares issued in reinvestment of distributions		201			2,735			459			6,304
Shares redeemed		(5,466	)		(74,190	)		(10,535	)		(149,647	)

Net increase		10,053		$	130,519			13,417		$	186,869

Total Net Increase		210,838		$	2,794,715			269,588		$	3,808,319

At June 30, 2016, shares of the LifePath Funds owned by BlackRock HoldCo 2, Inc., an affiliate of the LifePath Funds, were as follows:


	LifePath 2025 Fund		LifePath 2035 Fund		LifePath 2045 Fund		LifePath 2055 Fund
Class K		2,006		2,004		2,003		2,001
Class R		—		—		—		2,000

7. Subsequent Events:

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



BLACKROCK FUNDS III	JUNE 30, 2016	45


Master Portfolio Information as of June 30, 2016		Master Investment Portfolio

LifePath^® 2025 Master Portfolio


Portfolio Composition		Percent of Total Net Assets


Equity Funds	56	%
Fixed Income Funds	38
Common Stocks	5
Short-Term Securities	1


Ten Largest Holdings		Percent of Total Net Assets


CoreAlpha Bond Master Portfolio	33	%
Active Stock Master Portfolio	21
International Tilts Master Portfolio	13
Large Cap Index Master Portfolio	10
iShares TIPS Bond ETF	4
BlackRock Commodity Strategies Fund	4
BlackRock Emerging Markets Fund, Inc.	3
Master Small Cap Index Series	3
iShares MSCI EAFE Small-Cap ETF	2
iShares MSCI Canada ETF	1

LifePath^® 2035 Master Portfolio


Portfolio Composition		Percent of Total Net Assets


Equity Funds	72	%
Fixed Income Funds	17
Common Stocks	10
Short-Term Securities	1


Ten Largest Holdings		Percent of Total Net Assets


Active Stock Master Portfolio	25	%
International Tilts Master Portfolio	17
CoreAlpha Bond Master Portfolio	16
Large Cap Index Master Portfolio	16
BlackRock Emerging Markets Fund, Inc.	5
BlackRock Commodity Strategies Fund	4
iShares MSCI EAFE Small-Cap ETF	2
Master Small Cap Index Series	2
iShares MSCI Canada ETF	1
Simon Property Group, Inc.	1

The LifePath Master Portfolios’ allocation and holdings listed above are current as of the report date. However, the LifePath Master Portfolios are regularly monitored and their composition may vary throughout various periods.



46	BLACKROCK FUNDS III	JUNE 30, 2016


Master Portfolio Information as of June 30, 2016 (concluded)		Master Investment Portfolio


LifePath^® 2045 Master Portfolio

Portfolio Composition

Percent of

Total Net Assets


Equity Funds	83	%
Common Stocks	13
Fixed Income Funds	3
Short-Term Securities	1

Ten Largest Holdings

Percent of

Total Net Assets


Active Stock Master Portfolio	27	%
International Tilts Master Portfolio	20
Large Cap Index Master Portfolio	20
BlackRock Emerging Markets Fund, Inc.	6
BlackRock Commodity Strategies Fund	4
CoreAlpha Bond Master Portfolio	3
iShares MSCI EAFE Small-Cap ETF	3
Master Small Cap Index Series	2
iShares MSCI Canada ETF	2
Simon Property Group, Inc.	1


LifePath^® 2055 Master Portfolio


Portfolio Composition		Percent of Total Net Assets


Equity Funds	84	%
Common Stocks	13
Fixed Income Funds	1
Short-Term Securities	2


Ten Largest Holdings		Percent of Total Net Assets


Active Stock Master Portfolio	32	%
International Tilts Master Portfolio	21
Large Cap Index Master Portfolio	15
BlackRock Emerging Markets Fund, Inc.	6
BlackRock Commodity Strategies Fund	4
iShares MSCI EAFE Small-Cap ETF	3
Master Small Cap Index Series	2
iShares MSCI Canada ETF	2
CoreAlpha Bond Master Portfolio	1
Simon Property Group, Inc.	1



BLACKROCK FUNDS III	JUNE 30, 2016	47

Schedule of Investments June 30, 2016 (Unaudited)

LifePath 2025 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 56.5%
Active Stock Master Portfolio	$	14,537,423	$	14,537,423
BlackRock Commodity Strategies Fund (b)		332,477		2,447,032
BlackRock Emerging Markets Fund, Inc.		135,840		2,314,707
International Tilts Master Portfolio	$	8,673,278		8,673,278
iShares MSCI Canada ETF (c)		28,373		695,422
iShares MSCI EAFE Small-Cap ETF		25,069		1,209,830
Large Cap Index Master Portfolio	$	6,522,114		6,522,114
Master Small Cap Index Series	$	1,915,196		1,915,196

				38,315,002
Fixed Income Funds — 37.6%
CoreAlpha Bond Master Portfolio	$	22,616,306		22,616,306
iShares TIPS Bond ETF		24,463		2,854,098

				25,470,404
Short-Term Securities — 0.7%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (d)(e)		454,945		454,945
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (d)(e)		723		723

				455,668
Total Affiliated Investment Companies — 94.8%				64,241,074



Common Stocks
Hotels, Restaurants & Leisure — 0.0%
Hilton Worldwide Holdings, Inc.		804		18,114
Real Estate Investment Trusts (REITs) — 4.4%
AEON REIT Investment Corp.		32		36,561
Alexandria Real Estate Equities, Inc.		203		21,015
American Campus Communities, Inc.		969		51,231
AvalonBay Communities, Inc.		609		109,858
Beni Stabili SpA SIIQ		30,136		18,654
Boston Properties, Inc.		1,002		132,164
British Land Co. PLC		13,064		106,070
Cambridge Industrial Trust		45,800		18,730
Colony Starwood Homes		1,006		30,603
CyrusOne, Inc.		1,079		60,057
DDR Corp.		2,870		52,062
Derwent London PLC		535		18,665
DiamondRock Hospitality Co.		4,068		36,734
Dream Office Real Estate Investment Trust		2,919		41,979
Duke Realty Corp.		1,037		27,646
Empiric Student Property PLC		10,239		14,687
EPR Properties		536		43,245
Equity One, Inc.		989		31,826
Essex Property Trust, Inc.		487		111,080
Extra Space Storage, Inc.		1,080		99,943
First Industrial Realty Trust, Inc.		1,327		36,917
General Growth Properties, Inc.		2,867		85,494
Gramercy Property Trust		4,419		40,743
Great Portland Estates PLC		2,318		19,403


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Hammerson PLC		9,908	$	71,363
Healthcare Trust of America, Inc., Class A		1,275		41,234
Host Hotels & Resorts, Inc.		3,288		53,299
Ichigo Office REIT Investment		41		31,897
Japan Rental Housing Investments, Inc.		91		74,582
Kenedix Retail REIT Corp.		17		45,771
Kilroy Realty Corp.		1,135		75,239
Klepierre		911		40,198
LaSalle Logiport REIT (b)		113		115,021
Link REIT		5,500		37,610
McKay Securities PLC		2,283		5,035
MGM Growth Properties LLC		877		23,398
National Health Investors, Inc.		589		44,228
National Storage		39,599		46,662
Parkway Properties, Inc.		1,177		19,691
Public Storage		167		42,684
Retail Properties of America, Inc., Class A		4,947		83,604
Rexford Industrial Realty, Inc.		504		10,629
Sekisui House REIT, Inc.		11		14,835
Simon Property Group, Inc.		1,172		254,207
SL Green Realty Corp.		360		38,329
STAG Industrial, Inc.		1,986		47,287
STORE Capital Corp.		1,864		54,895
Terreno Realty Corp.		2,240		57,949
UDR, Inc.		1,608		59,367
Vastned Retail NV		1,057		42,886
Ventas, Inc.		2,320		168,942
Westfield Corp.		14,948		120,072

				2,966,281
Real Estate Management & Development — 0.8%
Deutsche Wohnen AG, Bearer Shares		1,698		57,814
Entra ASA (f)		2,365		22,283
First Capital Realty, Inc.		1,362		23,362
Grainger PLC		5,119		14,474
Howard Hughes Corp. (b)		190		21,721
Inmobiliaria Colonial SA		54,898		40,104
Kenedix, Inc.		9,800		36,827
Kungsleden AB		4,827		31,409
LEG Immobilien AG		245		22,924
Mitsui Fudosan Co. Ltd.		4,000		91,803
St. Modwen Properties PLC		9,218		33,085
Sumitomo Realty & Development Co. Ltd.		2,000		54,235
Sun Hung Kai Properties Ltd.		8,000		96,551
UNITE Group PLC		4,183		34,604

				581,196
Total Common Stocks — 5.2%				3,565,591
Total Investments (Cost — $67,153,162) — 100.0%				67,806,665
Liabilities in Excess of Other Assets — (0.0)%				(32,216	)

Net Assets — 100.0%			$	67,774,449


Portfolio Abbreviations
AUD	Australian Dollar	HKD	Hong Kong Dollar	PHP	Philippino Peso
CAD	Canadian Dollar	ILS	Israeli Shekel	SEK	Swedish Krona
CHF	Swiss Franc	JPY	Japanese Yen	SGD	Singapore Dollar
EUR	Euro	NOK	Norwegian Krone	USD	United States Dollar
GBP	British Pound	NZD	New Zealand Dollar

See Notes to Financial Statements.



48	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2025 Master Portfolio

Notes to Schedule of Investments

(a)

During the six months ended June 30, 2016, investments in issuers considered to be affiliates of the LifePath Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	13,646,396	$	891,027	¹		—		$	14,537,423	$	14,537,423	$	114,246		$	(407,258	)
BlackRock Cash Funds: Institutional, SL Agency Shares		1,667		453,278	¹		—			454,945		454,945		1,827	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		1,261		—			(538	)³		723		723		529	²		—
BlackRock Commodity Strategies Fund		366,318		17,271			(51,112	)		332,477		2,447,032		—			(184,158	)
BlackRock Emerging Markets Fund, Inc.		135,188		12,863			(12,211	)		135,840		2,314,707		—			(64,318	)
CoreAlpha Bond Master Portfolio	$	22,012,998	$	603,308	¹		—		$	22,616,306		22,616,306		265,183			93,523
International Tilts Master Portfolio	$	8,424,203	$	249,075	¹		—		$	8,673,278		8,673,278		159,159			(267,861	)
iShares MSCI Canada ETF		29,702		1,321			(2,650	)		28,373		695,422		5,554			(21,258	)
iShares MSCI EAFE Small-Cap ETF		24,094		2,175			(1,200	)		25,069		1,209,830		16,337			(6,035	)
iShares TIPS Bond ETF		23,345		4,408			(3,290	)		24,463		2,854,098		893			(4,849	)
Large Cap Index Master Portfolio	$	6,667,009		—		$	(144,895	)³	$	6,522,114		6,522,114		69,830			(10,488	)
Master Small Cap Index Series	$	1,989,173		—		$	(73,977	)³	$	1,915,196		1,915,196		16,568			(5,405	)

Total											$	64,241,074	$	650,126		$	(878,107	)

¹ Represents net shares/beneficial interest purchased.
² Represents all or a portion of 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.
³ Represents net shares/beneficial interest sold.

(b)

Non-income producing security.

(c)

Security, or a portion of security, is on loan.

(d)

All or a portion of security was purchased with the cash collateral from loaned securities.

(e)

Current yield as of period end.

(f)

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	13,000	USD	10,114	Citibank N.A.		7/21/16	$	(440	)
AUD	1,000	USD	768	HSBC Bank PLC		7/21/16		(23	)
AUD	4,000	USD	2,957	HSBC Bank PLC		7/21/16		19
AUD	231,000	USD	170,828	HSBC Bank PLC		7/21/16		1,072
AUD	6,000	USD	4,438	Northern Trust Co.		7/21/16		27
AUD	13,000	USD	9,292	Royal Bank of Scotland PLC		7/21/16		382
AUD	12,000	USD	8,727	Royal Bank of Scotland PLC		7/21/16		203
AUD	4,000	USD	3,076	Royal Bank of Scotland PLC		7/21/16		(99	)
CAD	7,000	USD	5,416	Barclays Bank PLC		7/21/16		(26	)
CAD	57,000	USD	44,308	Morgan Stanley & Co. International PLC		7/21/16		(415	)
CAD	1,000	USD	785	Morgan Stanley & Co. International PLC		7/21/16		(15	)
CHF	32,000	USD	33,214	Morgan Stanley & Co. International PLC		7/21/16		(333	)
EUR	5,000	USD	5,691	Barclays Bank PLC		7/21/16		(134	)
EUR	6,000	USD	6,922	BNP Paribas S.A.		7/21/16		(252	)
EUR	2,000	USD	2,234	HSBC Bank PLC		7/21/16		(11	)
EUR	12,000	USD	13,467	Morgan Stanley & Co. International PLC		7/21/16		(129	)
EUR	20,000	USD	22,265	Morgan Stanley & Co. International PLC		7/21/16		(34	)
EUR	36,000	USD	40,594	Morgan Stanley & Co. International PLC		7/21/16		(577	)
EUR	3,000	USD	3,306	Morgan Stanley & Co. International PLC		7/21/16		28
EUR	27,000	USD	29,755	Morgan Stanley & Co. International PLC		7/21/16		257
EUR	1,000	USD	1,132	Morgan Stanley & Co. International PLC		7/21/16		(21	)
EUR	2,000	USD	2,268	Royal Bank of Scotland PLC		7/21/16		(45	)
EUR	2,000	USD	2,271	Royal Bank of Scotland PLC		7/21/16		(48	)

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	49


Schedule of Investments (continued)		LifePath 2025 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	4,000	USD	4,566	Royal Bank of Scotland PLC		7/21/16	$	(120	)
EUR	15,000	USD	17,007	Royal Bank of Scotland PLC		7/21/16		(333	)
EUR	1,000	USD	1,140	Royal Bank of Scotland PLC		7/21/16		(28	)
GBP	1,000	USD	1,440	HSBC Bank PLC		7/21/16		(103	)
GBP	11,000	USD	14,569	Morgan Stanley & Co. International PLC		7/21/16		137
GBP	1,000	USD	1,433	Morgan Stanley & Co. International PLC		7/21/16		(96	)
GBP	2,000	USD	2,887	Royal Bank of Scotland PLC		7/21/16		(214	)
HKD	1,035,000	USD	133,557	HSBC Bank PLC		7/21/16		(117	)
HKD	5,000	USD	644	HSBC Bank PLC		7/21/16		—
HKD	32,000	USD	4,124	Morgan Stanley & Co. International PLC		7/21/16		2
HKD	37,000	USD	4,770	Morgan Stanley & Co. International PLC		7/21/16		—
HKD	197,000	USD	25,396	Morgan Stanley & Co. International PLC		7/21/16		2
HKD	29,000	USD	3,741	UBS AG		7/21/16		(2	)
ILS	13,000	USD	3,454	BNP Paribas S.A.		7/21/16		(77	)
JPY	6,722,000	USD	61,239	Citibank N.A.		7/21/16		4,316
JPY	969,000	USD	9,074	Goldman Sachs International		7/21/16		376
JPY	310,000	USD	2,848	Morgan Stanley & Co. International PLC		7/21/16		175
JPY	846,000	USD	8,003	Morgan Stanley & Co. International PLC		7/21/16		248
JPY	169,000	USD	1,549	Morgan Stanley & Co. International PLC		7/21/16		99
JPY	2,794,000	USD	25,662	Morgan Stanley & Co. International PLC		7/21/16		1,586
JPY	129,000	USD	1,220	Morgan Stanley & Co. International PLC		7/21/16		38
JPY	142,000	USD	1,327	Morgan Stanley & Co. International PLC		7/21/16		58
JPY	935,000	USD	8,591	Northern Trust Co.		7/21/16		527
JPY	1,035,000	USD	9,750	Northern Trust Co.		7/21/16		344
JPY	425,000	USD	3,998	Royal Bank of Scotland PLC		7/21/16		147
JPY	674,000	USD	6,198	Royal Bank of Scotland PLC		7/21/16		375
NZD	4,000	USD	2,750	HSBC Bank PLC		7/21/16		96
PHP	308,000	USD	6,590	BNP Paribas S.A.		7/21/16		(49	)
PHP	1,035,000	USD	22,187	JPMorgan Chase Bank N.A.		7/21/16		(206	)
PHP	572,000	USD	12,187	JPMorgan Chase Bank N.A.		7/21/16		(39	)
SEK	141,000	USD	17,398	HSBC Bank PLC		7/21/16		(745	)
SEK	7,000	USD	860	Morgan Stanley & Co. International PLC		7/21/16		(33	)
SEK	31,000	USD	3,758	Royal Bank of Scotland PLC		7/21/16		(96	)
SGD	39,000	USD	28,685	Barclays Bank PLC		7/21/16		289
SGD	13,000	USD	9,676	Barclays Bank PLC		7/21/16		(17	)
SGD	4,000	USD	2,952	Citibank N.A.		7/21/16		19
SGD	5,000	USD	3,647	Citibank N.A.		7/21/16		68
SGD	2,000	USD	1,456	Citibank N.A.		7/21/16		30
SGD	8,000	USD	5,825	Citibank N.A.		7/21/16		119
SGD	3,000	USD	2,214	HSBC Bank PLC		7/21/16		15
SGD	3,000	USD	2,189	HSBC Bank PLC		7/21/16		40
SGD	6,000	USD	4,436	HSBC Bank PLC		7/21/16		21
SGD	1,000	USD	735	Morgan Stanley & Co. International PLC		7/21/16		8
USD	56,986	AUD	78,000	Barclays Bank PLC		7/21/16		(1,058	)
USD	2,192	AUD	3,000	Morgan Stanley & Co. International PLC		7/21/16		(40	)
USD	29,579	AUD	41,000	Royal Bank of Scotland PLC		7/21/16		(931	)
USD	7,362	AUD	10,000	Royal Bank of Scotland PLC		7/21/16		(79	)
USD	6,116	CAD	8,000	Morgan Stanley & Co. International PLC		7/21/16		(44	)
USD	5,652	EUR	5,000	HSBC Bank PLC		7/21/16		94
USD	1,120	EUR	1,000	Morgan Stanley & Co. International PLC		7/21/16		9
USD	27,132	EUR	24,000	Morgan Stanley & Co. International PLC		7/21/16		455
USD	6,782	EUR	6,000	Royal Bank of Scotland PLC		7/21/16		112
USD	5,778	EUR	5,000	Royal Bank of Scotland PLC		7/21/16		220
USD	2,883	GBP	2,000	Barclays Bank PLC		7/21/16		210
USD	1,448	GBP	1,000	Barclays Bank PLC		7/21/16		111
USD	39,459	GBP	27,000	HSBC Bank PLC		7/21/16		3,362
USD	14,530	GBP	11,000	HSBC Bank PLC		7/21/16		(177	)
USD	1,448	GBP	1,000	Morgan Stanley & Co. International PLC		7/21/16		111
USD	18,479	GBP	13,000	Morgan Stanley & Co. International PLC		7/21/16		1,099
USD	35,228	GBP	24,000	Morgan Stanley & Co. International PLC		7/21/16		3,142
USD	6,660	GBP	5,000	Morgan Stanley & Co. International PLC		7/21/16		(25	)
USD	12,095	GBP	9,000	Morgan Stanley & Co. International PLC		7/21/16		62
USD	6,723	GBP	5,000	Morgan Stanley & Co. International PLC		7/21/16		38
USD	28,407	GBP	20,000	Morgan Stanley & Co. International PLC		7/21/16		1,668

See Notes to Financial Statements.



50	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2025 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	1,423		GBP	1,000	Morgan Stanley & Co. International PLC		7/21/16	$	86
USD	1,445		GBP	1,000	Morgan Stanley & Co. International PLC		7/21/16		108
USD	2,933		GBP	2,000	Northern Trust Co.		7/21/16		259
USD	6,959		HKD	54,000	Citibank N.A.		7/21/16		(3	)
USD	8,630		HKD	67,000	HSBC Bank PLC		7/21/16		(8	)
USD	8,888		HKD	69,000	HSBC Bank PLC		7/21/16		(8	)
USD	5,795		HKD	45,000	HSBC Bank PLC		7/21/16		(7	)
USD	5,802		HKD	45,000	Northern Trust Co.		7/21/16		—
USD	18,175		HKD	141,000	Northern Trust Co.		7/21/16		(4	)
USD	12,117		HKD	94,000	Northern Trust Co.		7/21/16		(2	)
USD	2,223		JPY	243,000	Barclays Bank PLC		7/21/16		(147	)
USD	2,629		JPY	285,000	Barclays Bank PLC		7/21/16		(151	)
USD	121,641		JPY	13,195,000	Barclays Bank PLC		7/21/16		(7,041	)
USD	1,284		JPY	134,000	Citibank N.A.		7/21/16		(23	)
USD	941		JPY	98,000	HSBC Bank PLC		7/21/16		(14	)
USD	3,096		JPY	323,000	HSBC Bank PLC		7/21/16		(54	)
USD	21,316		JPY	2,311,000	HSBC Bank PLC		7/21/16		(1,222	)
USD	11,648		JPY	1,264,000	Morgan Stanley & Co. International PLC		7/21/16		(679	)
USD	1,511		JPY	161,000	Morgan Stanley & Co. International PLC		7/21/16		(59	)
USD	1,728		JPY	185,000	Morgan Stanley & Co. International PLC		7/21/16		(76	)
USD	14,898		JPY	1,551,000	Morgan Stanley & Co. International PLC		7/21/16		(228	)
USD	6,263		JPY	652,000	Morgan Stanley & Co. International PLC		7/21/16		(95	)
USD	2,540		JPY	265,000	Morgan Stanley & Co. International PLC		7/21/16		(44	)
USD	246		JPY	25,000	Morgan Stanley & Co. International PLC		7/21/16		2
USD	4,869		JPY	532,000	Morgan Stanley & Co. International PLC		7/21/16		(319	)
USD	3,770		JPY	419,000	Morgan Stanley & Co. International PLC		7/21/16		(316	)
USD	3,898		JPY	423,000	Northern Trust Co.		7/21/16		(228	)
USD	3,825		JPY	410,000	Royal Bank of Scotland PLC		7/21/16		(174	)
USD	2,277		JPY	243,000	Royal Bank of Scotland PLC		7/21/16		(92	)
USD	19,409		NOK	160,000	HSBC Bank PLC		7/21/16		289
USD	4,807		PHP	226,000	Bank of America N.A.		7/21/16		8
USD	36,452		PHP	1,689,000	JPMorgan Chase Bank N.A.		7/21/16		583
USD	3,002		SEK	24,000	Barclays Bank PLC		7/21/16		168
USD	1,749		SEK	14,000	HSBC Bank PLC		7/21/16		95
USD	1,256		SEK	10,000	HSBC Bank PLC		7/21/16		75
USD	979		SEK	8,000	HSBC Bank PLC		7/21/16		35
Total								$	5,299

Derivative Instruments Categorized by Rick Exposure

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


Assets — Derivative Financial Instruments	Commodity Contracts	Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Forward foreign currency exchange contracts Unrealized appreciation on forward foreign currency exchange contracts	—		—		—	$	23,524		—		—	$	23,524

Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts Unrealized depreciation on forward foreign currency exchange contracts	—		—		—	$	18,225		—		—	$	18,225

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:


Net Realized Gain (Loss) from:
Forward foreign currency exchange contracts	—	—	—	$	2,271	—	—	$	2,271

Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts	—	—	—	$	6,356	—	—	$	6,356

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	51


Schedule of Investments (continued)		LifePath 2025 Master Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	704,093
Average amounts sold — in USD	$	907,015

For more information about the LifePath Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:


	Assets		Liabilities
Derivative Financial Instruments
Forward foreign currency exchange contracts	$	23,524	$	18,225

Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	23,524	$	18,225

Derivatives not subject to a master netting or similar agreement (“MNA”)		—		—

Total assets and liabilities subject to a MNA	$	23,524	$	18,225

The following table presents the LifePath Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the LifePath Master Portfolio:


	Derivative Assets subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral received		Cash Collateral received		Net Amount of Derivative Assets²
Bank of America N.A.	$	8		—			—		—	$	8
Barclays Bank PLC		778	$	(778	)		—		—		—
Citibank N.A.		4,552		(466	)		—		—		4,086
Goldman Sachs International		376		—			—		—		376
HSBC Bank PLC		5,213		(2,489	)		—		—		2,724
JPMorgan Chase Bank N.A.		583		(245	)		—		—		338
Morgan Stanley & Co. International PLC		9,418		(3,578	)		—		—		5,840
Northern Trust Co.		1,157		(234	)		—		—		923
Royal Bank of Scotland PLC		1,439		(1,439	)		—		—		—

Total	$	23,524	$	(9,229	)		—		—	$	14,295


	Derivative Liabilities subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral pledged		Cash Collateral pledged		Net Amount of Derivative Liabilities³
Barclays Bank PLC	$	8,574	$	(778	)		—		—	$	7,796
BNP Paribas S.A.		378		—			—		—		378
Citibank N.A.		466		(466	)		—		—		—
HSBC Bank PLC		2,489		(2,489	)		—		—		—
JPMorgan Chase Bank N.A.		245		(245	)		—		—		—
Morgan Stanley & Co. International PLC		3,578		(3,578	)		—		—		—
Northern Trust Co.		234		(234	)		—		—		—
Royal Bank of Scotland PLC		2,259		(1,439	)		—		—		820
UBS AG		2		—			—		—		2

Total	$	18,225	$	(9,229	)		—		—	$	8,996

¹ The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
² Net amount represents the net amount receivable from the counterparty in the event of default.
³ Net amount represents the net amount payable due to the counterparty in the event of default.

See Notes to Financial Statements.



52	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (concluded)		LifePath 2025 Master Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the LifePath Master Portfolio’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Affiliated Investment Companies
Equity Funds	$	6,666,991	$	31,648,011			—	$	38,315,002
Fixed Income Funds		2,854,098		22,616,306			—		25,470,404
Short-Term Securities		455,668		—			—		455,668
Long-Term Investments:
Common Stocks
Hotels, Restaurants & Leisure		18,114		—			—		18,114
Real Estate Investment Trusts (REITs)		2,102,266		864,015			—		2,966,281
Real Estate Management & Development		45,083		536,113			—		581,196

Total	$	12,142,220	$	55,664,445			—	$	67,806,665


	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Forward foreign currency contracts		—	$	23,524			—	$	23,524
Liabilities:
Forward foreign currency contracts		—		(18,225	)		—		(18,225	)

Total		—	$	5,299			—	$	5,299

¹Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


	Level 1		Level 2			Level 3		Total
Assets:
Foreign currency at value	$	29,210		—			—	$	29,210
Liabilities:
Collateral on securities loaned at value		—	$	(2,500	)		—		(2,500	)

Total	$	29,210	$	(2,500	)		—	$	26,710

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	53

Schedule of Investments June 30, 2016 (Unaudited)

LifePath 2035 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 72.6%
Active Stock Master Portfolio	$	14,567,884	$	14,567,884
BlackRock Commodity Strategies Fund (b)		295,677		2,176,181
BlackRock Emerging Markets Fund, Inc.		160,944		2,742,482
International Tilts Master Portfolio	$	9,987,615		9,987,615
iShares MSCI Canada ETF		32,721		801,992
iShares MSCI EAFE Small-Cap ETF		27,690		1,336,319
Large Cap Index Master Portfolio	$	9,322,483		9,322,483
Master Small Cap Index Series	$	1,223,556		1,223,556

				42,158,512
Fixed Income Funds — 16.8%
CoreAlpha Bond Master Portfolio	$	9,553,681		9,553,681
iShares TIPS Bond ETF		1,864		217,473

				9,771,154
Short-Term Securities — 1.0%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (c)		571,662		571,662
Total Affiliated Investment Companies — 90.4%				52,501,328



Common Stocks
Hotels, Restaurants & Leisure — 0.1%
Hilton Worldwide Holdings, Inc.		1,122		25,278
Real Estate Investment Trusts (REITs) — 8.0%
AEON REIT Investment Corp.		50		57,126
Alexandria Real Estate Equities, Inc.		322		33,333
American Campus Communities, Inc.		1,540		81,420
AvalonBay Communities, Inc.		952		171,731
Beni Stabili SpA SIIQ		48,222		29,850
Boston Properties, Inc.		1,576		207,874
British Land Co. PLC		20,760		168,556
Cambridge Industrial Trust		73,400		30,017
Colony Starwood Homes		1,603		48,763
CyrusOne, Inc.		1,719		95,680
DDR Corp.		4,560		82,718
Derwent London PLC		853		29,759
DiamondRock Hospitality Co.		6,482		58,532
Dream Office Real Estate Investment Trust		4,589		65,996
Duke Realty Corp.		1,653		44,069
Empiric Student Property PLC		15,909		22,820
EPR Properties		854		68,901
Equity One, Inc.		1,576		50,716
Essex Property Trust, Inc.		734		167,418
Extra Space Storage, Inc.		1,557		144,085
First Industrial Realty Trust, Inc.		2,110		58,700
General Growth Properties, Inc.		4,404		131,327
Gramercy Property Trust		7,046		64,964
Great Portland Estates PLC		3,694		30,920
Hammerson PLC		15,760		113,513


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Healthcare Trust of America, Inc., Class A		2,034	$	65,780
Host Hotels & Resorts, Inc.		5,169		83,790
Ichigo Office REIT Investment		66		51,346
Japan Rental Housing Investments, Inc.		145		118,840
Kenedix Retail REIT Corp.		26		70,002
Kilroy Realty Corp.		1,773		117,532
Klepierre		1,471		64,908
LaSalle Logiport REIT (b)		179		182,202
Link REIT		9,000		61,544
McKay Securities PLC		3,631		8,007
MGM Growth Properties LLC		1,379		36,792
National Health Investors, Inc.		933		70,059
National Storage		62,982		74,216
Parkway Properties, Inc.		1,879		31,436
Public Storage		239		61,086
Retail Properties of America, Inc., Class A		7,865		132,919
Rexford Industrial Realty, Inc.		803		16,935
Sekisui House REIT, Inc.		17		22,927
Simon Property Group, Inc.		1,839		398,879
SL Green Realty Corp.		574		61,114
STAG Industrial, Inc.		3,164		75,335
STORE Capital Corp.		2,972		87,525
Terreno Realty Corp.		3,559		92,071
UDR, Inc.		2,565		94,700
Vastned Retail NV		1,662		67,433
Ventas, Inc.		3,657		266,303
Westfield Corp.		23,557		189,226

				4,661,695
Real Estate Management & Development — 1.6%
Deutsche Wohnen AG, Bearer Shares		2,711		92,304
Entra ASA (d)		3,683		34,701
First Capital Realty, Inc.		2,142		36,740
Grainger PLC		8,158		23,067
Howard Hughes Corp. (b)		304		34,753
Inmobiliaria Colonial SA		86,793		63,405
Kenedix, Inc.		15,700		58,999
Kungsleden AB		7,497		48,783
LEG Immobilien AG		392		36,679
Mitsui Fudosan Co. Ltd.		7,000		160,655
St. Modwen Properties PLC		14,319		51,394
Sumitomo Realty & Development Co. Ltd.		3,000		81,352
Sun Hung Kai Properties Ltd.		12,000		144,827
UNITE Group PLC		6,647		54,987

				922,646
Total Common Stocks — 9.7%				5,609,619
Total Investments (Cost — $57,609,818) — 100.1%				58,110,947
Liabilities in Excess of Other Assets — (0.1)%				(43,275	)

Net Assets — 100.0%			$	58,067,672

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	14,054,616	$	513,268	¹		—		$	14,567,884	$	14,567,884	$	116,337		$	(419,109	)
BlackRock Cash Funds: Institutional, SL Agency Shares		114,578		457,084	¹		—			571,662		571,662		1,145	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		—			—			—		—		224	²		—
BlackRock Commodity Strategies Fund		335,825		23,020			(63,168	)		295,677		2,176,181		—			(212,382	)
BlackRock Emerging Markets Fund, Inc.		159,122		27,596			(25,774	)		160,944		2,742,482		—			(131,956	)

See Notes to Financial Statements.



54	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2035 Master Portfolio


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income		Realized Gain (Loss)
CoreAlpha Bond Master Portfolio	$	9,231,410	$	322,271	¹		—		$	9,553,681	$	9,553,681	$	112,652	$	40,047
International Tilts Master Portfolio	$	9,806,167	$	181,448	¹		—		$	9,987,615		9,987,615		183,581		(308,777	)
iShares MSCI Canada ETF		34,847		2,531			(4,657	)		32,721		801,992		6,405		(36,293	)
iShares MSCI EAFE Small-Cap ETF		27,791		2,334			(2,435	)		27,690		1,336,319		18,717		(9,277	)
iShares TIPS Bond ETF		—		1,914			(50	)		1,864		217,473		69		59
Large Cap Index Master Portfolio	$	9,308,017	$	14,466	¹		—		$	9,322,483		9,322,483		98,951		(15,764	)
Master Small Cap Index Series	$	1,323,109		—		$	(99,553	)³	$	1,223,556		1,223,556		10,434		(3,205	)
Total											$	52,501,328	$	548,515	$	(1,096,657	)

¹ Represents net shares/beneficial interest purchased.
² Represents all or a portion of 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.
³ Represents net shares/beneficial interest sold.

(b)

Non-income producing security.

(c)

Current yield as of period end.

(d)

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	21,000	USD	16,337	Citibank N.A.		7/21/16	$	(710	)
AUD	367,000	USD	271,420	HSBC Bank PLC		7/21/16		1,685
AUD	2,000	USD	1,535	HSBC Bank PLC		7/21/16		(47	)
AUD	10,000	USD	7,442	Morgan Stanley & Co. International PLC		7/21/16		(1	)
AUD	4,000	USD	3,076	Royal Bank of Scotland PLC		7/21/16		(99	)
AUD	20,000	USD	14,545	Royal Bank of Scotland PLC		7/21/16		338
CAD	8,000	USD	6,190	HSBC Bank PLC		7/21/16		(30	)
CAD	7,000	USD	5,447	HSBC Bank PLC		7/21/16		(57	)
CAD	1,000	USD	785	Morgan Stanley & Co. International PLC		7/21/16		(15	)
CAD	95,000	USD	73,841	Royal Bank of Scotland PLC		7/21/16		(686	)
CHF	50,000	USD	51,895	Morgan Stanley & Co. International PLC		7/21/16		(518	)
EUR	8,000	USD	9,106	Barclays Bank PLC		7/21/16		(214	)
EUR	5,000	USD	5,708	Barclays Bank PLC		7/21/16		(150	)
EUR	10,000	USD	11,537	BNP Paribas S.A.		7/21/16		(421	)
EUR	57,000	USD	64,274	HSBC Bank PLC		7/21/16		(914	)
EUR	3,000	USD	3,351	HSBC Bank PLC		7/21/16		(16	)
EUR	42,000	USD	46,286	Morgan Stanley & Co. International PLC		7/21/16		400
EUR	19,000	USD	21,324	Morgan Stanley & Co. International PLC		7/21/16		(204	)
EUR	32,000	USD	35,624	Morgan Stanley & Co. International PLC		7/21/16		(54	)
EUR	7,000	USD	7,893	Northern Trust Co.		7/21/16		(112	)
EUR	6,000	USD	6,849	Northern Trust Co.		7/21/16		(180	)
EUR	11,000	USD	12,538	Royal Bank of Scotland PLC		7/21/16		(311	)
EUR	25,000	USD	28,345	Royal Bank of Scotland PLC		7/21/16		(555	)
EUR	3,000	USD	3,403	Royal Bank of Scotland PLC		7/21/16		(68	)
EUR	2,000	USD	2,271	Royal Bank of Scotland PLC		7/21/16		(48	)
GBP	2,000	USD	2,879	HSBC Bank PLC		7/21/16		(205	)
GBP	13,000	USD	17,218	Morgan Stanley & Co. International PLC		7/21/16		162
GBP	5,000	USD	7,052	Morgan Stanley & Co. International PLC		7/21/16		(368	)
GBP	9,000	USD	12,994	Royal Bank of Scotland PLC		7/21/16		(961	)
HKD	1,577,000	USD	203,496	HSBC Bank PLC		7/21/16		(177	)
HKD	96,000	USD	12,368	HSBC Bank PLC		7/21/16		9
HKD	8,000	USD	1,031	HSBC Bank PLC		7/21/16		—
HKD	56,000	USD	7,219	Morgan Stanley & Co. International PLC		7/21/16		1
HKD	302,000	USD	38,932	Morgan Stanley & Co. International PLC		7/21/16		4
HKD	53,000	USD	6,831	Morgan Stanley & Co. International PLC		7/21/16		3
HKD	52,000	USD	6,709	UBS AG		7/21/16		(4	)
ILS	22,000	USD	5,845	BNP Paribas S.A.		7/21/16		(130	)

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	55


Schedule of Investments (continued)		LifePath 2035 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
JPY	13,205,000	USD	120,301	Citibank N.A.		7/21/16	$	8,478
JPY	1,329,000	USD	12,446	Goldman Sachs International		7/21/16		515
JPY	163,000	USD	1,542	Morgan Stanley & Co. International PLC		7/21/16		47
JPY	402,000	USD	3,694	Morgan Stanley & Co. International PLC		7/21/16		227
JPY	213,000	USD	1,990	Morgan Stanley & Co. International PLC		7/21/16		87
JPY	278,000	USD	2,549	Morgan Stanley & Co. International PLC		7/21/16		162
JPY	4,737,000	USD	43,509	Morgan Stanley & Co. International PLC		7/21/16		2,688
JPY	479,000	USD	4,486	Morgan Stanley & Co. International PLC		7/21/16		186
JPY	1,247,000	USD	11,796	Morgan Stanley & Co. International PLC		7/21/16		365
JPY	585,000	USD	5,534	Morgan Stanley & Co. International PLC		7/21/16		171
JPY	1,713,000	USD	15,739	Northern Trust Co.		7/21/16		966
JPY	1,452,000	USD	13,678	Northern Trust Co.		7/21/16		482
JPY	1,413,000	USD	12,993	Royal Bank of Scotland PLC		7/21/16		787
JPY	425,000	USD	3,998	Royal Bank of Scotland PLC		7/21/16		147
NZD	8,000	USD	5,500	HSBC Bank PLC		7/21/16		193
PHP	486,000	USD	10,398	BNP Paribas S.A.		7/21/16		(77	)
PHP	1,648,000	USD	35,327	JPMorgan Chase Bank N.A.		7/21/16		(328	)
PHP	924,000	USD	19,687	JPMorgan Chase Bank N.A.		7/21/16		(64	)
SEK	211,000	USD	26,035	HSBC Bank PLC		7/21/16		(1,115	)
SEK	11,000	USD	1,352	Morgan Stanley & Co. International PLC		7/21/16		(53	)
SEK	68,000	USD	8,200	Northern Trust Co.		7/21/16		(168	)
SGD	23,000	USD	17,118	Barclays Bank PLC		7/21/16		(31	)
SGD	63,000	USD	46,338	Barclays Bank PLC		7/21/16		467
SGD	2,000	USD	1,456	Citibank N.A.		7/21/16		30
SGD	13,000	USD	9,465	Citibank N.A.		7/21/16		193
SGD	7,000	USD	5,105	Citibank N.A.		7/21/16		95
SGD	6,000	USD	4,429	Goldman Sachs International		7/21/16		29
SGD	4,000	USD	2,952	HSBC Bank PLC		7/21/16		20
SGD	10,000	USD	7,394	HSBC Bank PLC		7/21/16		36
SGD	5,000	USD	3,648	Morgan Stanley & Co. International PLC		7/21/16		67
USD	89,863	AUD	123,000	Barclays Bank PLC		7/21/16		(1,669	)
USD	45,451	AUD	63,000	Royal Bank of Scotland PLC		7/21/16		(1,431	)
USD	10,704	CAD	14,000	Morgan Stanley & Co. International PLC		7/21/16		(77	)
USD	7,817	CAD	10,000	Northern Trust Co.		7/21/16		116
USD	11,409	EUR	10,000	Citibank N.A.		7/21/16		293
USD	1,132	EUR	1,000	Morgan Stanley & Co. International PLC		7/21/16		20
USD	2,240	EUR	2,000	Morgan Stanley & Co. International PLC		7/21/16		17
USD	6,783	EUR	6,000	Morgan Stanley & Co. International PLC		7/21/16		113
USD	42,960	EUR	38,000	Morgan Stanley & Co. International PLC		7/21/16		720
USD	7,876	EUR	7,000	Morgan Stanley & Co. International PLC		7/21/16		95
USD	6,782	EUR	6,000	Royal Bank of Scotland PLC		7/21/16		112
USD	11,556	EUR	10,000	Royal Bank of Scotland PLC		7/21/16		440
USD	4,325	GBP	3,000	Barclays Bank PLC		7/21/16		314
USD	61,381	GBP	42,000	HSBC Bank PLC		7/21/16		5,230
USD	23,776	GBP	18,000	HSBC Bank PLC		7/21/16		(289	)
USD	45,507	GBP	32,000	Morgan Stanley & Co. International PLC		7/21/16		2,725
USD	1,423	GBP	1,000	Morgan Stanley & Co. International PLC		7/21/16		86
USD	4,268	GBP	3,000	Morgan Stanley & Co. International PLC		7/21/16		257
USD	4,336	GBP	3,000	Morgan Stanley & Co. International PLC		7/21/16		325
USD	2,896	GBP	2,000	Morgan Stanley & Co. International PLC		7/21/16		223
USD	29,850	GBP	21,000	Morgan Stanley & Co. International PLC		7/21/16		1,775
USD	58,714	GBP	40,000	Morgan Stanley & Co. International PLC		7/21/16		5,236
USD	9,323	GBP	7,000	Morgan Stanley & Co. International PLC		7/21/16		(35	)
USD	17,470	GBP	13,000	Morgan Stanley & Co. International PLC		7/21/16		90
USD	12,101	GBP	9,000	Morgan Stanley & Co. International PLC		7/21/16		69
USD	10,265	GBP	7,000	Northern Trust Co.		7/21/16		906
USD	17,141	HKD	133,000	Citibank N.A.		7/21/16		(6	)
USD	11,464	HKD	89,000	Citibank N.A.		7/21/16		(10	)
USD	11,850	HKD	92,000	HSBC Bank PLC		7/21/16		(11	)
USD	9,541	HKD	74,000	HSBC Bank PLC		7/21/16		—
USD	19,078	HKD	148,000	Northern Trust Co.		7/21/16		(3	)
USD	31,838	HKD	247,000	Northern Trust Co.		7/21/16		(8	)
USD	5,552	JPY	602,000	Barclays Bank PLC		7/21/16		(318	)
USD	226,200	JPY	24,536,000	Barclays Bank PLC		7/21/16		(13,082	)

See Notes to Financial Statements.



56	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2035 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	2,973		JPY	325,000	Barclays Bank PLC		7/21/16	$	(197	)
USD	6,054		JPY	632,000	Barclays Bank PLC		7/21/16		(109	)
USD	939		JPY	98,000	Citibank N.A.		7/21/16		(17	)
USD	1,287		JPY	134,000	HSBC Bank PLC		7/21/16		(20	)
USD	4,870		JPY	508,000	HSBC Bank PLC		7/21/16		(84	)
USD	33,150		JPY	3,594,000	Morgan Stanley & Co. International PLC		7/21/16		(1,900	)
USD	7,405		JPY	809,000	Morgan Stanley & Co. International PLC		7/21/16		(485	)
USD	7,414		JPY	824,000	Morgan Stanley & Co. International PLC		7/21/16		(622	)
USD	8,490		JPY	918,000	Morgan Stanley & Co. International PLC		7/21/16		(462	)
USD	19,185		JPY	2,082,000	Morgan Stanley & Co. International PLC		7/21/16		(1,119	)
USD	2,272		JPY	242,000	Morgan Stanley & Co. International PLC		7/21/16		(88	)
USD	2,606		JPY	279,000	Morgan Stanley & Co. International PLC		7/21/16		(115	)
USD	4,296		JPY	460,000	Morgan Stanley & Co. International PLC		7/21/16		(190	)
USD	23,976		JPY	2,496,000	Morgan Stanley & Co. International PLC		7/21/16		(366	)
USD	14,112		JPY	1,469,000	Morgan Stanley & Co. International PLC		7/21/16		(214	)
USD	1,792		JPY	182,000	Morgan Stanley & Co. International PLC		7/21/16		17
USD	6,087		JPY	628,000	Northern Trust Co.		7/21/16		(37	)
USD	6,120		JPY	656,000	Royal Bank of Scotland PLC		7/21/16		(278	)
USD	29,963		NOK	247,000	HSBC Bank PLC		7/21/16		446
USD	7,743		PHP	364,000	Bank of America N.A.		7/21/16		12
USD	58,142		PHP	2,694,000	JPMorgan Chase Bank N.A.		7/21/16		929
USD	4,879		SEK	39,000	Barclays Bank PLC		7/21/16		273
USD	2,998		SEK	24,000	HSBC Bank PLC		7/21/16		163
USD	2,010		SEK	16,000	HSBC Bank PLC		7/21/16		120
Total								$	7,829

Derivative Instruments Categorized by Rick Exposure

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


Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	40,162		—		—	$	40,162
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	32,333		—		—	$	32,333

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:


Net Realized Gain (Loss) from:
Forward foreign currency exchange contracts	—	—	—	$	1,163	—	—	$	1,163
Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts	—	—	—	$	9,562	—	—	$	9,562

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	1,186,561
Average amounts sold — in USD	$	1,484,707

For more information about the LifePath Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	57


Schedule of Investments (continued)		LifePath 2035 Master Portfolio

Derivative Financial Instruments — Offsetting as of Period End

The LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:


	Assets		Liabilities
Derivative Financial Instruments
Forward foreign currency exchange contracts	$	40,162	$	32,333

Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	40,162	$	32,333

Derivatives not subject to a master netting or similar agreement (“MNA”)		—		—

Total assets and liabilities subject to a MNA	$	40,162	$	32,333


	Derivative Assets subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral received	Cash Collateral received	Net Amount of Derivative Assets²
Bank of America N.A.	$	12		—		—	—	$	12
Barclays Bank PLC		1,054	$	(1,054	)	—	—		—
Citibank N.A.		9,089		(743	)	—	—		8,346
Goldman Sachs International		544		—		—	—		544
HSBC Bank PLC		7,902		(2,965	)	—	—		4,937
JPMorgan Chase Bank N.A.		929		(392	)	—	—		537
Morgan Stanley & Co. International PLC		16,338		(6,886	)	—	—		9,452
Northern Trust Co.		2,470		(508	)	—	—		1,962
Royal Bank of Scotland PLC		1,824		(1,824	)	—	—		—

Total	$	40,162	$	(14,372	)	—	—	$	25,790


	Derivative Liabilities subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral pledged	Cash Collateral pledged	Net Amount of Derivative Liabilities³
Barclays Bank PLC	$	15,770	$	(1,054	)	—	—	$	14,716
BNP Paribas S.A.		628		—		—	—		628
Citibank N.A.		743		(743	)	—	—		—
HSBC Bank PLC		2,965		(2,965	)	—	—		—
JPMorgan Chase Bank N.A.		392		(392	)	—	—		—
Morgan Stanley & Co. International PLC		6,886		(6,886	)	—	—		—
Northern Trust Co.		508		(508	)	—	—		—
Royal Bank of Scotland PLC		4,437		(1,824	)	—	—		2,613
UBS AG		4		—		—	—		4

Total	$	32,333	$	(14,372	)	—	—	$	17,961

¹ The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
² Net amount represents the net amount receivable from the counterparty in the event of default.
³ Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

The following tables summarize the LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies
Equity Funds	$	7,056,974	$	35,101,538		—	$	42,158,512
Fixed Income Funds		217,473		9,553,681		—		9,771,154
Short-Term Securities		571,662		—		—		571,662
Long-Term Investments:
Common Stocks
Hotels, Restaurants & Leisure		25,278		—		—		25,278
Real Estate Investment Trusts (REITs)		3,291,303		1,370,392		—		4,661,695
Real Estate Management & Development		71,493		851,153		—		922,646

Total	$	11,234,183	$	46,876,764		—	$	58,110,947

See Notes to Financial Statements.



58	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (concluded)		LifePath 2035 Master Portfolio


	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Forward foreign currency contracts		—	$	40,162			—	$	40,162
Liabilities:
Forward foreign currency contracts		—		(32,333	)		—		(32,333	)

Total		—	$	7,829			—	$	7,829

¹Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, foreign currency at value of $44,416 is categorized as Level 1 within the disclosure hierarchy.

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	59

Schedule of Investments June 30, 2016 (Unaudited)

LifePath 2045 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 83.2%
Active Stock Master Portfolio	$	10,054,954	$	10,054,954
BlackRock Commodity Strategies Fund (b)		198,426		1,460,419
BlackRock Emerging Markets Fund, Inc.		123,488		2,104,227
International Tilts Master Portfolio	$	7,585,636		7,585,636
iShares MSCI Canada ETF		24,995		612,628
iShares MSCI EAFE Small-Cap ETF		21,093		1,017,948
Large Cap Index Master Portfolio	$	7,267,694		7,267,694
Master Small Cap Index Series	$	748,746		748,746

				30,852,252
Fixed Income Fund — 2.9%
CoreAlpha Bond Master Portfolio	$	1,054,815		1,054,815
Short-Term Securities — 1.1%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (c)		420,910		420,910
Total Affiliated Investment Companies — 87.2%				32,327,977



Common Stocks
Hotels, Restaurants & Leisure — 0.1%
Hilton Worldwide Holdings, Inc.		960		21,629
Real Estate Investment Trusts (REITs) — 10.8%
AEON REIT Investment Corp.		43		49,129
Alexandria Real Estate Equities, Inc.		278		28,779
American Campus Communities, Inc.		1,322		69,894
AvalonBay Communities, Inc.		815		147,018
Beni Stabili SpA SIIQ		40,917		25,328
Boston Properties, Inc.		1,352		178,329
British Land Co. PLC		17,943		145,684
Cambridge Industrial Trust		64,000		26,173
Colony Starwood Homes		1,387		42,192
CyrusOne, Inc.		1,487		82,766
DDR Corp.		3,941		71,490
Derwent London PLC		735		25,642
DiamondRock Hospitality Co.		5,552		50,135
Dream Office Real Estate Investment Trust		3,939		56,648
Duke Realty Corp.		1,430		38,124
Empiric Student Property PLC		14,730		21,129
EPR Properties		739		59,622
Equity One, Inc.		1,350		43,443
Essex Property Trust, Inc.		628		143,240
Extra Space Storage, Inc.		1,333		123,356
First Industrial Realty Trust, Inc.		1,754		48,796
General Growth Properties, Inc.		3,769		112,392
Gramercy Property Trust		6,094		56,187
Great Portland Estates PLC		3,183		26,643
Hammerson PLC		13,623		98,121
Healthcare Trust of America, Inc., Class A		1,759		56,886
Host Hotels & Resorts, Inc.		4,437		71,924


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Ichigo Office REIT Investment		56	$	43,566
Japan Rental Housing Investments, Inc.		123		100,809
Kenedix Retail REIT Corp.		23		61,925
Kilroy Realty Corp.		1,517		100,562
Klepierre		1,260		55,598
LaSalle Logiport REIT (b)		153		155,737
Link REIT		7,500		51,286
McKay Securities PLC		3,138		6,920
MGM Growth Properties LLC		1,184		31,589
National Health Investors, Inc.		802		60,222
National Storage		54,535		64,262
Parkway Properties, Inc.		1,604		26,835
Public Storage		205		52,396
Retail Properties of America, Inc., Class A		6,798		114,886
Rexford Industrial Realty, Inc.		688		14,510
Sekisui House REIT, Inc.		14		18,881
Simon Property Group, Inc.		1,574		341,401
SL Green Realty Corp.		496		52,809
STAG Industrial, Inc.		2,737		65,168
STORE Capital Corp.		2,570		75,686
Terreno Realty Corp.		3,079		79,654
UDR, Inc.		2,200		81,224
Vastned Retail NV		1,426		57,857
Ventas, Inc.		3,161		230,184
Westfield Corp.		20,157		161,915

				4,004,952
Real Estate Management & Development — 2.1%
Deutsche Wohnen AG, Bearer Shares		2,344		79,809
Entra ASA (d)		3,211		30,254
First Capital Realty, Inc.		1,839		31,543
Grainger PLC		7,028		19,872
Howard Hughes Corp. (b)		259		29,609
Inmobiliaria Colonial SA		74,716		54,582
Kenedix, Inc.		13,400		50,355
Kungsleden AB		6,399		41,638
LEG Immobilien AG		339		31,720
Mitsui Fudosan Co. Ltd.		6,000		137,705
St. Modwen Properties PLC		12,241		43,935
Sumitomo Realty & Development Co. Ltd.		3,000		81,352
Sun Hung Kai Properties Ltd.		10,000		120,689
UNITE Group PLC		5,744		47,517

				800,580
Total Common Stocks — 13.0%				4,827,161
Total Investments (Cost — $36,872,628) — 100.2%				37,155,138
Liabilities in Excess of Other Assets — (0.2)%				(56,516	)

Net Assets — 100.0%			$	37,098,622

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	9,661,693	$	393,261	¹		—		$	10,054,954	$	10,054,954	$	80,825		$	(288,634	)
BlackRock Cash Funds: Institutional, SL Agency Shares	$	69,510	$	351,400	¹		—		$	420,910		420,910		1,899	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		—			—			—		—		370	²		—
BlackRock Commodity Strategies Fund		218,114		14,651			(34,339	)		198,426		1,460,419		—			(112,913	)
BlackRock Emerging Markets Fund, Inc.		115,074		18,826			(10,412	)		123,488		2,104,227		—			(52,146	)

See Notes to Financial Statements.



60	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2045 Master Portfolio


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income		Realized Gain (Loss)
CoreAlpha Bond Master Portfolio	$	919,479	$	135,336	¹		—		$	1,054,815	$	1,054,815	$	12,073	$	4,407
International Tilts Master Portfolio	$	7,130,177	$	455,459	¹		—		$	7,585,636		7,585,636		138,200		(227,664	)
iShares MSCI Canada ETF		25,466		1,852			(2,323	)		24,995		612,628		4,909		(21,391	)
iShares MSCI EAFE Small-Cap ETF		20,165		2,288			(1,360	)		21,093		1,017,948		14,258		(6,279	)
Large Cap Index Master Portfolio	$	6,622,730	$	644,964	¹		—		$	7,267,694		7,267,694		73,473		(12,024	)
Master Small Cap Index Series	$	739,657	$	9,089	¹		—		$	748,746		748,746		6,163		(1,869	)
Total											$	32,327,977	$	332,170	$	(718,513	)

¹ Represents net shares/beneficial interest purchased.
² Represents all or a portion of 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.

(b)

Non-income producing security.

(c)

Current yield as of period end.

(d)

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	8,000	USD	5,895	Barclays Bank PLC		7/21/16	$	58
AUD	19,000	USD	14,781	Citibank N.A.		7/21/16		(642	)
AUD	6,000	USD	4,437	HSBC Bank PLC		7/21/16		27
AUD	315,000	USD	232,963	HSBC Bank PLC		7/21/16		1,446
AUD	5,000	USD	3,845	Royal Bank of Scotland PLC		7/21/16		(124	)
AUD	16,000	USD	11,636	Royal Bank of Scotland PLC		7/21/16		271
AUD	19,000	USD	13,581	Royal Bank of Scotland PLC		7/21/16		558
CAD	6,000	USD	4,669	Citibank N.A.		7/21/16		(49	)
CAD	11,000	USD	8,512	HSBC Bank PLC		7/21/16		(41	)
CAD	78,000	USD	60,629	Morgan Stanley & Co. International PLC		7/21/16		(566	)
CAD	1,000	USD	785	Morgan Stanley & Co. International PLC		7/21/16		(15	)
CHF	43,000	USD	44,632	Morgan Stanley & Co. International PLC		7/21/16		(447	)
EUR	6,000	USD	6,830	Barclays Bank PLC		7/21/16		(160	)
EUR	5,000	USD	5,768	BNP Paribas S.A.		7/21/16		(210	)
EUR	3,000	USD	3,415	Goldman Sachs International		7/21/16		(80	)
EUR	3,000	USD	3,351	HSBC Bank PLC		7/21/16		(17	)
EUR	5,000	USD	5,661	Morgan Stanley & Co. International PLC		7/21/16		(103	)
EUR	16,000	USD	17,957	Morgan Stanley & Co. International PLC		7/21/16		(171	)
EUR	28,000	USD	31,171	Morgan Stanley & Co. International PLC		7/21/16		(47	)
EUR	37,000	USD	40,777	Morgan Stanley & Co. International PLC		7/21/16		352
EUR	49,000	USD	55,250	Morgan Stanley & Co. International PLC		7/21/16		(783	)
EUR	4,000	USD	4,566	Northern Trust Co.		7/21/16		(120	)
EUR	5,000	USD	5,638	Northern Trust Co.		7/21/16		(80	)
EUR	2,000	USD	2,286	Royal Bank of Scotland PLC		7/21/16		(63	)
EUR	2,000	USD	2,280	Royal Bank of Scotland PLC		7/21/16		(57	)
EUR	18,000	USD	20,408	Royal Bank of Scotland PLC		7/21/16		(400	)
EUR	3,000	USD	3,403	Royal Bank of Scotland PLC		7/21/16		(68	)
EUR	3,000	USD	3,407	Royal Bank of Scotland PLC		7/21/16		(72	)
EUR	6,000	USD	6,849	Royal Bank of Scotland PLC		7/21/16		(180	)
GBP	4,000	USD	5,642	Barclays Bank PLC		7/21/16		(294	)
GBP	3,000	USD	4,331	Goldman Sachs International		7/21/16		(320	)
GBP	1,000	USD	1,440	HSBC Bank PLC		7/21/16		(103	)
GBP	11,000	USD	14,569	Morgan Stanley & Co. International PLC		7/21/16		137
GBP	1,000	USD	1,433	Morgan Stanley & Co. International PLC		7/21/16		(96	)
GBP	2,000	USD	2,865	UBS AG		7/21/16		(191	)
HKD	80,000	USD	10,307	HSBC Bank PLC		7/21/16		7
HKD	7,000	USD	902	HSBC Bank PLC		7/21/16		—
HKD	1,355,000	USD	174,846	HSBC Bank PLC		7/21/16		(149	)
HKD	277,000	USD	35,710	Morgan Stanley & Co. International PLC		7/21/16		3

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	61


Schedule of Investments (continued)		LifePath 2045 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
HKD	55,000	USD	7,088	Morgan Stanley & Co. International PLC		7/21/16	$	3
HKD	26,000	USD	3,354	Royal Bank of Scotland PLC		7/21/16		(2	)
HKD	36,000	USD	4,644	UBS AG		7/21/16		(3	)
ILS	18,000	USD	4,782	BNP Paribas S.A.		7/21/16		(107	)
JPY	9,778,000	USD	89,080	Citibank N.A.		7/21/16		6,278
JPY	1,108,000	USD	10,377	Goldman Sachs International		7/21/16		429
JPY	465,000	USD	4,272	Morgan Stanley & Co. International PLC		7/21/16		262
JPY	213,000	USD	1,990	Morgan Stanley & Co. International PLC		7/21/16		87
JPY	683,000	USD	6,262	Morgan Stanley & Co. International PLC		7/21/16		399
JPY	3,212,000	USD	29,502	Morgan Stanley & Co. International PLC		7/21/16		1,823
JPY	163,000	USD	1,542	Morgan Stanley & Co. International PLC		7/21/16		47
JPY	747,000	USD	6,995	Morgan Stanley & Co. International PLC		7/21/16		290
JPY	1,008,000	USD	9,535	Morgan Stanley & Co. International PLC		7/21/16		295
JPY	1,519,000	USD	13,957	Northern Trust Co.		7/21/16		857
JPY	1,169,000	USD	11,012	Northern Trust Co.		7/21/16		388
JPY	898,000	USD	8,258	Royal Bank of Scotland PLC		7/21/16		499
JPY	387,000	USD	3,640	Royal Bank of Scotland PLC		7/21/16		134
NZD	6,000	USD	4,125	HSBC Bank PLC		7/21/16		145
PHP	418,000	USD	8,943	BNP Paribas S.A.		7/21/16		(66	)
PHP	1,408,000	USD	30,182	JPMorgan Chase Bank N.A.		7/21/16		(280	)
PHP	767,000	USD	16,342	JPMorgan Chase Bank N.A.		7/21/16		(53	)
SEK	175,000	USD	21,596	Morgan Stanley & Co. International PLC		7/21/16		(927	)
SEK	9,000	USD	1,106	Morgan Stanley & Co. International PLC		7/21/16		(43	)
SEK	13,000	USD	1,598	Morgan Stanley & Co. International PLC		7/21/16		(63	)
SEK	56,000	USD	6,753	Northern Trust Co.		7/21/16		(139	)
SGD	55,000	USD	40,454	Barclays Bank PLC		7/21/16		408
SGD	21,000	USD	15,630	Barclays Bank PLC		7/21/16		(28	)
SGD	1,000	USD	733	Citibank N.A.		7/21/16		10
SGD	2,000	USD	1,456	Citibank N.A.		7/21/16		30
SGD	10,000	USD	7,281	Citibank N.A.		7/21/16		148
SGD	7,000	USD	5,105	Citibank N.A.		7/21/16		95
SGD	3,000	USD	2,214	HSBC Bank PLC		7/21/16		14
SGD	3,000	USD	2,214	HSBC Bank PLC		7/21/16		15
SGD	9,000	USD	6,654	HSBC Bank PLC		7/21/16		32
SGD	4,000	USD	2,918	HSBC Bank PLC		7/21/16		53
USD	77,443	AUD	106,000	Barclays Bank PLC		7/21/16		(1,438	)
USD	5,890	AUD	8,000	Barclays Bank PLC		7/21/16		(63	)
USD	2,897	AUD	4,000	HSBC Bank PLC		7/21/16		(79	)
USD	1,535	AUD	2,000	HSBC Bank PLC		7/21/16		47
USD	2,897	AUD	4,000	Morgan Stanley & Co. International PLC		7/21/16		(79	)
USD	8,914	AUD	12,000	Northern Trust Co.		7/21/16		(16	)
USD	38,958	AUD	54,000	Royal Bank of Scotland PLC		7/21/16		(1,226	)
USD	8,410	CAD	11,000	Morgan Stanley & Co. International PLC		7/21/16		(60	)
USD	6,253	CAD	8,000	Royal Bank of Scotland PLC		7/21/16		93
USD	38,438	EUR	34,000	Barclays Bank PLC		7/21/16		644
USD	6,751	EUR	6,000	HSBC Bank PLC		7/21/16		82
USD	3,361	EUR	3,000	Morgan Stanley & Co. International PLC		7/21/16		26
USD	3,391	EUR	3,000	Morgan Stanley & Co. International PLC		7/21/16		57
USD	10,401	EUR	9,000	Royal Bank of Scotland PLC		7/21/16		396
USD	10,173	EUR	9,000	Royal Bank of Scotland PLC		7/21/16		169
USD	4,325	GBP	3,000	Barclays Bank PLC		7/21/16		314
USD	54,074	GBP	37,000	HSBC Bank PLC		7/21/16		4,607
USD	19,813	GBP	15,000	HSBC Bank PLC		7/21/16		(241	)
USD	1,445	GBP	1,000	Morgan Stanley & Co. International PLC		7/21/16		108
USD	1,448	GBP	1,000	Morgan Stanley & Co. International PLC		7/21/16		111
USD	51,375	GBP	35,000	Morgan Stanley & Co. International PLC		7/21/16		4,582
USD	9,323	GBP	7,000	Morgan Stanley & Co. International PLC		7/21/16		(35	)
USD	17,470	GBP	13,000	Morgan Stanley & Co. International PLC		7/21/16		90
USD	9,412	GBP	7,000	Morgan Stanley & Co. International PLC		7/21/16		53
USD	35,509	GBP	25,000	Morgan Stanley & Co. International PLC		7/21/16		2,085
USD	4,268	GBP	3,000	Morgan Stanley & Co. International PLC		7/21/16		257
USD	1,423	GBP	1,000	Morgan Stanley & Co. International PLC		7/21/16		86
USD	1,427	GBP	1,000	Morgan Stanley & Co. International PLC		7/21/16		90
USD	25,586	GBP	18,000	Morgan Stanley & Co. International PLC		7/21/16		1,521

See Notes to Financial Statements.



62	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2045 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	8,798		GBP	6,000	Northern Trust Co.		7/21/16	$	777
USD	9,150		HKD	71,000	Citibank N.A.		7/21/16		(3	)
USD	2,966		HKD	23,000	HSBC Bank PLC		7/21/16		1
USD	8,759		HKD	68,000	HSBC Bank PLC		7/21/16		(8	)
USD	8,509		HKD	66,000	Northern Trust Co.		7/21/16		—
USD	16,629		HKD	129,000	Northern Trust Co.		7/21/16		(3	)
USD	27,455		HKD	213,000	Northern Trust Co.		7/21/16		(7	)
USD	11,593		HKD	90,000	UBS AG		7/21/16		(10	)
USD	5,298		JPY	553,000	Barclays Bank PLC		7/21/16		(95	)
USD	2,964		JPY	324,000	Barclays Bank PLC		7/21/16		(196	)
USD	6,447		JPY	699,000	Barclays Bank PLC		7/21/16		(370	)
USD	192,053		JPY	20,832,000	Barclays Bank PLC		7/21/16		(11,107	)
USD	498		JPY	52,000	Citibank N.A.		7/21/16		(9	)
USD	5,206		JPY	543,000	HSBC Bank PLC		7/21/16		(90	)
USD	3,496		JPY	364,000	HSBC Bank PLC		7/21/16		(54	)
USD	1,194		JPY	128,000	Morgan Stanley & Co. International PLC		7/21/16		(54	)
USD	1,024		JPY	104,000	Morgan Stanley & Co. International PLC		7/21/16		10
USD	10,929		JPY	1,186,000	Morgan Stanley & Co. International PLC		7/21/16		(637	)
USD	1,511		JPY	161,000	Morgan Stanley & Co. International PLC		7/21/16		(59	)
USD	2,568		JPY	275,000	Morgan Stanley & Co. International PLC		7/21/16		(114	)
USD	3,278		JPY	351,000	Morgan Stanley & Co. International PLC		7/21/16		(145	)
USD	28,419		JPY	3,081,000	Morgan Stanley & Co. International PLC		7/21/16		(1,628	)
USD	8,906		JPY	973,000	Morgan Stanley & Co. International PLC		7/21/16		(583	)
USD	6,262		JPY	696,000	Morgan Stanley & Co. International PLC		7/21/16		(526	)
USD	20,373		JPY	2,121,000	Morgan Stanley & Co. International PLC		7/21/16		(311	)
USD	6,379		JPY	664,000	Morgan Stanley & Co. International PLC		7/21/16		(97	)
USD	9,227		JPY	952,000	Northern Trust Co.		7/21/16		(57	)
USD	3,046		JPY	325,000	Royal Bank of Scotland PLC		7/21/16		(124	)
USD	26,325		NOK	217,000	HSBC Bank PLC		7/21/16		393
USD	6,636		PHP	312,000	Bank of America N.A.		7/21/16		10
USD	49,228		PHP	2,281,000	JPMorgan Chase Bank N.A.		7/21/16		787
USD	4,128		SEK	33,000	Barclays Bank PLC		7/21/16		231
USD	2,498		SEK	20,000	HSBC Bank PLC		7/21/16		136
USD	1,633		SEK	13,000	HSBC Bank PLC		7/21/16		98
Total								$	6,578

Derivative Instruments Categorized by Rick Exposure

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


Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	33,461		—		—	$	33,461
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	26,883		—		—	$	26,883

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:


Net Realized Gain (Loss) from:
Forward foreign currency exchange contracts	—	—	—	$2,258	—	—	$	2,258
Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts	—	—	—	$8,003	—	—	$	8,003

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	63


Schedule of Investments (continued)		LifePath 2045 Master Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	997,789
Average amounts sold — in USD	$	1,264,296

For more information about the LifePath Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:


	Assets		Liabilities
Derivative Financial Instruments
Forward foreign currency exchange contracts	$	33,461	$	26,883

Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	33,461	$	26,883

Derivatives not subject to a master netting or similar agreement (“MNA”)		—		—

Total assets and liabilities subject to a MNA	$	33,461	$	26,883


	Derivative Assets subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral received	Cash Collateral received	Net Amount of Derivative Assets²
Bank of America N.A.	$	10		—		—	—	$	10
Barclays Bank PLC		1,655	$	(1,655	)	—	—		—
Citibank N.A.		6,561		(703	)	—	—		5,858
Goldman Sachs International		429		(400	)	—	—		29
HSBC Bank PLC		7,103		(782	)	—	—		6,321
JPMorgan Chase Bank N.A.		787		(333	)	—	—		454
Morgan Stanley & Co. International PLC		12,774		(7,589	)	—	—		5,185
Northern Trust Co.		2,022		(422	)	—	—		1,600
Royal Bank of Scotland PLC		2,120		(2,120	)	—	—		—

Total	$	33,461	$	(14,004	)	—	—	$	19,457


	Derivative Liabilities subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral pledged	Cash Collateral pledged	Net Amount of Derivative Liabilities³
Barclays Bank PLC	$	13,751	$	(1,655	)	—	—	$	12,096
BNP Paribas S.A.		383		—		—	—		383
Citibank N.A.		703		(703	)	—	—		—
Goldman Sachs International		400		(400	)	—	—		—
HSBC Bank PLC		782		(782	)	—	—		—
JPMorgan Chase Bank N.A.		333		(333	)	—	—		—
Morgan Stanley & Co. International PLC		7,589		(7,589	)	—	—		—
Northern Trust Co.		422		(422	)	—	—		—
Royal Bank of Scotland PLC		2,316		(2,120	)	—	—		196
UBS AG		204		—		—	—		204

Total	$	26,883	$	(14,004	)	—	—	$	12,879

¹The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
²Net amount represents the net amount receivable from the counterparty in the event of default.
³Net amount represents the net amount payable due to the counterparty in the event of default.

See Notes to Financial Statements.



64	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (concluded)		LifePath 2045 Master Portfolio

Fair Value Hierarchy as of Period End

The following tables summarize the LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	5,195,222	$	25,657,030			—	$	30,852,252
Fixed Income Funds		—		1,054,815			—		1,054,815
Short-Term Securities		420,910		—			—		420,910
Long-Term Investments:
Common Stocks
Hotels, Restaurants & Leisure		21,629		—			—		21,629
Real Estate Investment Trusts (REITs)		2,829,476		1,175,476			—		4,004,952
Real Estate Management & Development		61,152		739,428			—		800,580

Total	$	8,528,389	$	28,626,749			—	$	37,155,138


	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Forward foreign currency contracts		—	$	33,461			—	$	33,461
Liabilities:
Forward foreign currency contracts		—		(26,883	)		—		(26,883	)

Total		—	$	6,578			—	$	6,578

¹Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, foreign currency at value of $38,584 is categorized as Level 1 within the disclosure hierarchy.

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	65

Schedule of Investments June 30, 2016 (Unaudited)

LifePath 2055 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 84.2%
Active Stock Master Portfolio	$	6,169,319	$	6,169,319
BlackRock Commodity Strategies Fund (b)		101,257		745,253
BlackRock Emerging Markets Fund, Inc.		64,063		1,091,632
International Tilts Master Portfolio	$	3,966,367		3,966,367
iShares MSCI Canada ETF		12,715		311,645
iShares MSCI EAFE Small-Cap ETF		11,168		538,968
Large Cap Index Master Portfolio	$	2,789,925		2,789,925
Master Small Cap Index Series	$	384,192		384,192

				15,997,301
Fixed Income Fund — 1.4%
CoreAlpha Bond Master Portfolio	$	274,883		274,883
Short-Term Securities — 1.4%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (c)		276,157		276,157
Total Affiliated Investment Companies — 87.0%				16,548,341



Common Stocks
Hotels, Restaurants & Leisure — 0.1%
Hilton Worldwide Holdings, Inc.		509		11,468
Real Estate Investment Trusts (REITs) — 11.1%
AEON REIT Investment Corp.		23		26,278
Alexandria Real Estate Equities, Inc.		146		15,114
American Campus Communities, Inc.		690		36,480
AvalonBay Communities, Inc.		432		77,928
Beni Stabili SpA SIIQ		22,097		13,678
Boston Properties, Inc.		706		93,121
British Land Co. PLC		9,388		76,224
Cambridge Industrial Trust		33,400		13,659
Colony Starwood Homes		723		21,994
CyrusOne, Inc.		776		43,192
DDR Corp.		2,062		37,405
Derwent London PLC		387		13,502
DiamondRock Hospitality Co.		2,942		26,566
Dream Office Real Estate Investment Trust		2,056		29,568
Duke Realty Corp.		744		19,835
Empiric Student Property PLC		7,467		10,711
EPR Properties		384		30,981
Equity One, Inc.		715		23,009
Essex Property Trust, Inc.		333		75,954
Extra Space Storage, Inc.		706		65,333
First Industrial Realty Trust, Inc.		919		25,567
General Growth Properties, Inc.		1,997		59,551
Gramercy Property Trust		3,169		29,218
Great Portland Estates PLC		1,677		14,037
Hammerson PLC		7,119		51,275
Healthcare Trust of America, Inc., Class A		915		29,591
Host Hotels & Resorts, Inc.		2,316		37,542


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Ichigo Office REIT Investment		30	$	23,339
Japan Rental Housing Investments, Inc.		65		53,273
Kenedix Retail REIT Corp.		12		32,309
Kilroy Realty Corp.		804		53,297
Klepierre		657		28,990
LaSalle Logiport REIT (b)		81		82,449
Link REIT		4,000		27,353
McKay Securities PLC		1,640		3,617
MGM Growth Properties LLC		618		16,488
National Health Investors, Inc.		458		34,391
National Storage		28,578		33,675
Parkway Properties, Inc.		815		13,635
Public Storage		108		27,604
Retail Properties of America, Inc., Class A		3,554		60,063
Rexford Industrial Realty, Inc.		365		7,698
Sekisui House REIT, Inc.		8		10,789
Simon Property Group, Inc.		834		180,895
SL Green Realty Corp.		257		27,363
STAG Industrial, Inc.		1,426		33,953
STORE Capital Corp.		1,337		39,375
Terreno Realty Corp.		1,613		41,728
UDR, Inc.		1,222		45,116
Vastned Retail NV		743		30,146
Ventas, Inc.		1,652		120,299
Westfield Corp.		10,721		86,118

				2,111,276
Real Estate Management & Development — 2.1%
Deutsche Wohnen AG, Bearer Shares		1,224		41,675
Entra ASA (d)		1,659		15,631
First Capital Realty, Inc.		960		16,466
Grainger PLC		3,703		10,470
Howard Hughes Corp. (b)		132		15,090
Inmobiliaria Colonial SA		39,070		28,542
Kenedix, Inc.		7,100		26,681
Kungsleden AB		3,354		21,825
LEG Immobilien AG		177		16,562
Mitsui Fudosan Co. Ltd.		3,000		68,852
St. Modwen Properties PLC		6,404		22,985
Sumitomo Realty & Development Co. Ltd.		1,000		27,117
Sun Hung Kai Properties Ltd.		5,000		60,344
UNITE Group PLC		3,006		24,867

				397,107
Total Common Stocks — 13.3%				2,519,851
Total Investments (Cost — $18,845,451) — 100.3%				19,068,192
Liabilities in Excess of Other Assets — (0.3)%				(64,621	)

Net Assets — 100.0%			$	19,003,571

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	5,262,393	$	906,926	¹		—		$	6,169,319	$	6,169,319	$	45,729		$	(157,821	)
BlackRock Cash Funds: Institutional, SL Agency Shares	$	35,783	$	240,374	¹		—		$	276,157		276,157		1,118	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		—			—			—		—		199	²		—
BlackRock Commodity Strategies Fund		98,531		12,071			(9,345	)		101,257		745,253		—			(29,729	)
BlackRock Emerging Markets Fund, Inc.		54,081		13,516			(3,534	)		64,063		1,091,632		—			(18,940	)
CoreAlpha Bond Master Portfolio	$	239,880	$	35,003	¹		—		$	274,883		274,883		2,962			891

See Notes to Financial Statements.



66	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2055 Master Portfolio


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income		Realized Gain (Loss)
International Tilts Master Portfolio	$	3,333,398	$	632,969	¹		—		$	3,966,367	$	3,966,367	$	69,082	$	(111,420	)
iShares MSCI Canada ETF		11,738		1,579			(602	)		12,715		311,645		2,489		(5,222	)
iShares MSCI EAFE Small-Cap ETF		9,332		2,036			(200	)		11,168		538,968		7,346		(907	)
Large Cap Index Master Portfolio	$	2,261,152	$	528,773	¹		—		$	2,789,925		2,789,925		26,615		(4,675	)
Master Small Cap Index Series	$	327,450	$	56,742	¹		—		$	384,192		384,192		3,011		(728	)
Total											$	16,548,341	$	158,551	$	(328,551	)

¹ Represents net shares/beneficial interest purchased.
² Represents all or a portion of 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.

(b)

Non-income producing security.

(c)

Current yield as of period end.

(d)

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	9,000	USD	7,002	Citibank N.A.		7/21/16	$	(304	)
AUD	1,000	USD	768	HSBC Bank PLC		7/21/16		(23	)
AUD	5,000	USD	3,698	HSBC Bank PLC		7/21/16		23
AUD	166,000	USD	122,759	HSBC Bank PLC		7/21/16		771
AUD	2,000	USD	1,479	Morgan Stanley & Co. International PLC		7/21/16		10
AUD	1,000	USD	769	Royal Bank of Scotland PLC		7/21/16		(25	)
AUD	8,000	USD	5,817	Royal Bank of Scotland PLC		7/21/16		136
AUD	12,000	USD	8,577	Royal Bank of Scotland PLC		7/21/16		353
AUD	4,000	USD	3,041	UBS AG		7/21/16		(64	)
CAD	3,000	USD	2,321	Barclays Bank PLC		7/21/16		(11	)
CAD	3,000	USD	2,356	Citibank N.A.		7/21/16		(46	)
CAD	3,000	USD	2,335	Citibank N.A.		7/21/16		(24	)
CAD	1,000	USD	785	Morgan Stanley & Co. International PLC		7/21/16		(15	)
CAD	38,000	USD	29,537	Morgan Stanley & Co. International PLC		7/21/16		(276	)
CHF	21,000	USD	21,797	Morgan Stanley & Co. International PLC		7/21/16		(218	)
EUR	3,000	USD	3,415	Barclays Bank PLC		7/21/16		(80	)
EUR	3,000	USD	3,461	BNP Paribas S.A.		7/21/16		(126	)
EUR	8,000	USD	8,978	Morgan Stanley & Co. International PLC		7/21/16		(86	)
EUR	3,000	USD	3,354	Morgan Stanley & Co. International PLC		7/21/16		(19	)
EUR	14,000	USD	15,586	Morgan Stanley & Co. International PLC		7/21/16		(24	)
EUR	25,000	USD	28,190	Morgan Stanley & Co. International PLC		7/21/16		(401	)
EUR	19,000	USD	20,939	Morgan Stanley & Co. International PLC		7/21/16		181
EUR	3,000	USD	3,425	Northern Trust Co.		7/21/16		(90	)
EUR	4,000	USD	4,511	Northern Trust Co.		7/21/16		(64	)
EUR	1,000	USD	1,143	Royal Bank of Scotland PLC		7/21/16		(31	)
EUR	10,000	USD	11,338	Royal Bank of Scotland PLC		7/21/16		(222	)
EUR	1,000	USD	1,134	Royal Bank of Scotland PLC		7/21/16		(23	)
EUR	1,000	USD	1,136	Royal Bank of Scotland PLC		7/21/16		(24	)
EUR	1,000	USD	1,142	Royal Bank of Scotland PLC		7/21/16		(30	)
GBP	2,000	USD	2,909	Morgan Stanley & Co. International PLC		7/21/16		(236	)
GBP	2,000	USD	2,821	Morgan Stanley & Co. International PLC		7/21/16		(147	)
GBP	6,000	USD	7,947	Morgan Stanley & Co. International PLC		7/21/16		75
HKD	48,000	USD	6,184	Barclays Bank PLC		7/21/16		4
HKD	684,000	USD	88,263	HSBC Bank PLC		7/21/16		(77	)
HKD	88,000	USD	11,344	HSBC Bank PLC		7/21/16		2
HKD	15,000	USD	1,933	Morgan Stanley & Co. International PLC		7/21/16		1
HKD	33,000	USD	4,254	Morgan Stanley & Co. International PLC		7/21/16		—
HKD	148,000	USD	19,079	Morgan Stanley & Co. International PLC		7/21/16		2
HKD	20,000	USD	2,580	Northern Trust Co.		7/21/16		(1	)
HKD	30,000	USD	3,865	Royal Bank of Scotland PLC		7/21/16		3
HKD	23,000	USD	2,967	UBS AG		7/21/16		(2	)

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	67


Schedule of Investments (continued)		LifePath 2055 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
ILS	9,000	USD	2,391	BNP Paribas S.A.		7/21/16	$	(53	)
JPY	332,000	USD	3,078	Barclays Bank PLC		7/21/16		160
JPY	6,383,000	USD	58,151	Citibank N.A.		7/21/16		4,098
JPY	510,000	USD	4,776	Goldman Sachs International		7/21/16		198
JPY	92,000	USD	845	Morgan Stanley & Co. International PLC		7/21/16		52
JPY	501,000	USD	4,706	Morgan Stanley & Co. International PLC		7/21/16		180
JPY	72,000	USD	673	Morgan Stanley & Co. International PLC		7/21/16		29
JPY	379,000	USD	3,475	Morgan Stanley & Co. International PLC		7/21/16		221
JPY	1,326,000	USD	12,179	Morgan Stanley & Co. International PLC		7/21/16		752
JPY	377,000	USD	3,545	Morgan Stanley & Co. International PLC		7/21/16		132
JPY	645,000	USD	6,101	Morgan Stanley & Co. International PLC		7/21/16		189
JPY	237,000	USD	2,242	Morgan Stanley & Co. International PLC		7/21/16		69
JPY	270,000	USD	2,543	Northern Trust Co.		7/21/16		90
JPY	766,000	USD	7,038	Northern Trust Co.		7/21/16		432
JPY	259,000	USD	2,364	Northern Trust Co.		7/21/16		162
JPY	450,000	USD	4,138	Royal Bank of Scotland PLC		7/21/16		250
NZD	3,000	USD	2,063	HSBC Bank PLC		7/21/16		72
PHP	225,000	USD	4,814	BNP Paribas S.A.		7/21/16		(36	)
PHP	694,000	USD	14,877	JPMorgan Chase Bank N.A.		7/21/16		(138	)
PHP	355,000	USD	7,564	JPMorgan Chase Bank N.A.		7/21/16		(24	)
SEK	23,000	USD	2,768	Citibank N.A.		7/21/16		(51	)
SEK	4,000	USD	492	Morgan Stanley & Co. International PLC		7/21/16		(19	)
SEK	89,000	USD	10,983	Morgan Stanley & Co. International PLC		7/21/16		(472	)
SGD	12,000	USD	8,931	Barclays Bank PLC		7/21/16		(16	)
SGD	27,000	USD	19,859	Barclays Bank PLC		7/21/16		200
SGD	3,000	USD	2,214	Citibank N.A.		7/21/16		15
SGD	1,000	USD	738	Citibank N.A.		7/21/16		5
SGD	1,000	USD	733	Citibank N.A.		7/21/16		10
SGD	2,000	USD	1,459	Citibank N.A.		7/21/16		27
SGD	1,000	USD	728	Citibank N.A.		7/21/16		15
SGD	5,000	USD	3,641	Citibank N.A.		7/21/16		74
SGD	3,000	USD	2,188	Citibank N.A.		7/21/16		41
SGD	5,000	USD	3,697	HSBC Bank PLC		7/21/16		18
USD	39,452	AUD	54,000	Barclays Bank PLC		7/21/16		(733	)
USD	1,449	AUD	2,000	HSBC Bank PLC		7/21/16		(40	)
USD	3,654	AUD	5,000	Morgan Stanley & Co. International PLC		7/21/16		(67	)
USD	1,449	AUD	2,000	Morgan Stanley & Co. International PLC		7/21/16		(40	)
USD	5,221	AUD	7,000	Morgan Stanley & Co. International PLC		7/21/16		12
USD	2,971	AUD	4,000	Northern Trust Co.		7/21/16		(5	)
USD	20,200	AUD	28,000	Royal Bank of Scotland PLC		7/21/16		(636	)
USD	3,823	CAD	5,000	Morgan Stanley & Co. International PLC		7/21/16		(27	)
USD	3,127	CAD	4,000	Royal Bank of Scotland PLC		7/21/16		47
USD	1,120	EUR	1,000	Citibank N.A.		7/21/16		9
USD	4,522	EUR	4,000	HSBC Bank PLC		7/21/16		76
USD	2,250	EUR	2,000	HSBC Bank PLC		7/21/16		27
USD	18,088	EUR	16,000	Morgan Stanley & Co. International PLC		7/21/16		303
USD	1,130	EUR	1,000	Royal Bank of Scotland PLC		7/21/16		19
USD	4,622	EUR	4,000	Royal Bank of Scotland PLC		7/21/16		176
USD	1,443	GBP	1,000	Barclays Bank PLC		7/21/16		106
USD	29,229	GBP	20,000	HSBC Bank PLC		7/21/16		2,490
USD	10,567	GBP	8,000	HSBC Bank PLC		7/21/16		(129	)
USD	18,466	GBP	13,000	Morgan Stanley & Co. International PLC		7/21/16		1,085
USD	1,427	GBP	1,000	Morgan Stanley & Co. International PLC		7/21/16		90
USD	5,828	GBP	4,000	Morgan Stanley & Co. International PLC		7/21/16		480
USD	1,448	GBP	1,000	Morgan Stanley & Co. International PLC		7/21/16		111
USD	14,215	GBP	10,000	Morgan Stanley & Co. International PLC		7/21/16		845
USD	22,018	GBP	15,000	Morgan Stanley & Co. International PLC		7/21/16		1,964
USD	3,996	GBP	3,000	Morgan Stanley & Co. International PLC		7/21/16		(15	)
USD	8,063	GBP	6,000	Morgan Stanley & Co. International PLC		7/21/16		42
USD	5,378	GBP	4,000	Morgan Stanley & Co. International PLC		7/21/16		30
USD	2,933	GBP	2,000	Northern Trust Co.		7/21/16		259
USD	4,124	HKD	32,000	Citibank N.A.		7/21/16		(2	)
USD	5,668	HKD	44,000	Citibank N.A.		7/21/16		(5	)
USD	5,925	HKD	46,000	HSBC Bank PLC		7/21/16		(5	)

See Notes to Financial Statements.



68	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2055 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	2,965		HKD	23,000	HSBC Bank PLC		7/21/16		—
USD	14,953		HKD	116,000	Morgan Stanley & Co. International PLC		7/21/16	$	(2	)
USD	7,734		HKD	60,000	Northern Trust Co.		7/21/16		(1	)
USD	13,663		HKD	106,000	Northern Trust Co.		7/21/16		(3	)
USD	741		JPY	81,000	Barclays Bank PLC		7/21/16		(49	)
USD	2,352		JPY	255,000	Barclays Bank PLC		7/21/16		(135	)
USD	96,385		JPY	10,455,000	Barclays Bank PLC		7/21/16		(5,575	)
USD	1,197		JPY	125,000	Citibank N.A.		7/21/16		(22	)
USD	567		JPY	59,000	HSBC Bank PLC		7/21/16		(9	)
USD	1,965		JPY	205,000	HSBC Bank PLC		7/21/16		(34	)
USD	3,194		JPY	349,000	Morgan Stanley & Co. International PLC		7/21/16		(209	)
USD	3,005		JPY	334,000	Morgan Stanley & Co. International PLC		7/21/16		(252	)
USD	7,492		JPY	813,000	Morgan Stanley & Co. International PLC		7/21/16		(437	)
USD	751		JPY	80,000	Morgan Stanley & Co. International PLC		7/21/16		(29	)
USD	925		JPY	99,000	Morgan Stanley & Co. International PLC		7/21/16		(41	)
USD	10,518		JPY	1,095,000	Morgan Stanley & Co. International PLC		7/21/16		(161	)
USD	4,650		JPY	484,000	Morgan Stanley & Co. International PLC		7/21/16		(71	)
USD	1,034		JPY	108,000	Morgan Stanley & Co. International PLC		7/21/16		(19	)
USD	246		JPY	25,000	Morgan Stanley & Co. International PLC		7/21/16		2
USD	14,205		JPY	1,540,000	Morgan Stanley & Co. International PLC		7/21/16		(814	)
USD	5,544		JPY	572,000	Northern Trust Co.		7/21/16		(34	)
USD	961		JPY	103,000	Royal Bank of Scotland PLC		7/21/16		(44	)
USD	6,963		JPY	743,000	Royal Bank of Scotland PLC		7/21/16		(283	)
USD	13,101		NOK	108,000	HSBC Bank PLC		7/21/16		195
USD	610		NOK	5,000	Morgan Stanley & Co. International PLC		7/21/16		12
USD	3,297		PHP	155,000	Bank of America N.A.		7/21/16		5
USD	24,150		PHP	1,119,000	JPMorgan Chase Bank N.A.		7/21/16		386
USD	2,252		SEK	18,000	Barclays Bank PLC		7/21/16		126
USD	1,374		SEK	11,000	HSBC Bank PLC		7/21/16		75
Total								$	4,598

Derivative Instruments Categorized by Rick Exposure

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


Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	18,024		—		—	$	18,024
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	13,426		—		—	$	13,426
For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:
Net Realized Gain (Loss) from:
Forward foreign currency exchange contracts			—		—		—	$	1,544		—		—	$	1,544
Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts			—		—		—	$	5,297		—		—	$	5,297

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	499,018
Average amounts sold — in USD	$	648,492

For more information about the LifePath Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	69


Schedule of Investments (continued)		LifePath 2055 Master Portfolio

Derivative Financial Instruments — Offsetting as of Period End

The LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:


	Assets		Liabilities
Derivative Financial Instruments
Forward foreign currency exchange contracts	$	18,024	$	13,426

Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	18,024	$	13,426

Derivatives not subject to a master netting or similar agreement (“MNA”)		—		—

Total assets and liabilities subject to a MNA	$	18,024	$	13,426


	Derivative Assets subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral received	Cash Collateral received	Net Amount of Derivative Assets²
Bank of America N.A.	$	5		—		—	—	$	5
Barclays Bank PLC		596	$	(596	)	—	—		—
Citibank N.A.		4,294		(454	)	—	—		3,840
Goldman Sachs International		198		—		—	—		198
HSBC Bank PLC		3,749		(317	)	—	—		3,432
JPMorgan Chase Bank N.A.		386		(162	)	—	—		224
Morgan Stanley & Co. International PLC		6,869		(4,097	)	—	—		2,772
Northern Trust Co.		943		(198	)	—	—		745
Royal Bank of Scotland PLC		984		(984	)	—	—		—

Total	$	18,024	$	(6,808	)	—	—	$	11,216


	Derivative Liabilities subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral pledged	Cash Collateral pledged	Net Amount of Derivative Liabilities³
Barclays Bank PLC		6,599		(596	)	—	—	$	6,003
BNP Paribas S.A.		215		—		—	—		215
Citibank N.A.		454		(454	)	—	—		—
HSBC Bank PLC		317		(317	)	—	—		—
JPMorgan Chase Bank N.A.		162		(162	)	—	—		—
Morgan Stanley & Co. International PLC		4,097		(4,097	)	—	—		—
Northern Trust Co.		198		(198	)	—	—		—
Royal Bank of Scotland PLC		1,318		(984	)	—	—		334
UBS AG		66		—		—	—		66

Total	$	13,426	$	(6,808	)	—	—	$	6,618

¹ The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
² Net amount represents the net amount receivable from the counterparty in the event of default.
³ Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

The following tables summarize the LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies
Equity Funds	$	2,687,498	$	13,309,803		—	$	15,997,301
Fixed Income Funds		—		274,883		—		274,883
Short-Term Securities		276,157		—		—		276,157
Long-Term Investments:
Common Stocks
Hotels, Restaurants & Leisure		11,468		—		—		11,468
Real Estate Investment Trusts (REITs)		1,490,565		620,711		—		2,111,276
Real Estate Management & Development		31,556		365,551		—		397,107

Total	$	4,497,244	$	14,570,948		—	$	19,068,192

See Notes to Financial Statements.



70	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (concluded)		LifePath 2055 Master Portfolio


	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Forward foreign currency contracts		—	$	18,024			—	$	18,024
Liabilities:
Forward foreign currency contracts		—		(13,426	)		—		(13,426	)

Total		—	$	4,598			—	$	4,598

¹Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, foreign currency at value of $23,552 is categorized as Level 1 within the disclosure hierarchy.

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	71


Statements of Assets and Liabilities		Master Investment Portfolio


June 30, 2016 (Unaudited)	LifePath 2025 Master Portfolio		LifePath 2035 Master Portfolio		LifePath 2045 Master Portfolio		LifePath 2055 Master Portfolio

Assets
Investments at value — unaffiliated¹	$	3,565,591	$	5,609,619	$	4,827,161	$	2,519,851
Investments at value — affiliated^2,3		64,241,074		52,501,328		32,327,977		16,548,341
Foreign currency at value⁴		29,210		44,416		38,584		23,552
Receivables:
Contributions from investors		220,333		—		65,693		—
Investments sold — unaffiliated		55,973		150,149		149,755		87,229
Investments sold — affiliated		—		380,203		47,231		33,000
Dividends — unaffiliated		12,727		20,235		17,417		9,041
Dividends — affiliated		99		145		116		65
From the Manager		8,817		9,089		9,883		10,592
Securities lending income — affiliated		215		27		—		—
Unrealized appreciation on forward foreign currency exchange contracts		23,524		40,162		33,461		18,024

Total assets		68,157,563		58,755,373		37,517,278		19,249,695


Liabilities
Collateral on securities loaned at value		2,500		—		—		—
Payables:
Investments purchased — affiliated		231,667		255,277		215,917		88,723
Investments purchased — affiliated		119,400		190,671		165,285		104,242
Professional fees		11,114		10,549		10,504		10,409
Independent Trustees’ fees		208		129		67		—
Withdrawals to investors		—		198,742		—		29,324
Unrealized depreciation on forward foreign currency exchange contracts		18,225		32,333		26,883		13,426

Total liabilities		383,114		687,701		418,656		246,124

Net Assets	$	67,774,449	$	58,067,672	$	37,098,622	$	19,003,571


Net Assets Consist of
Investors’ capital	$	67,115,700	$	57,558,773	$	36,809,588	$	18,776,288
Net unrealized appreciation (depreciation)		658,749		508,899		289,034		227,283

Net Assets	$	67,774,449	$	58,067,672	$	37,098,622	$	19,003,571

¹ Investments at cost — unaffiliated	$	3,368,383	$	5,295,083	$	4,562,333	$	2,382,830
² Investments at cost — affiliated	$	63,784,779	$	52,314,735	$	32,310,295	$	16,462,621
³ Securities loaned at value	$	2,451		—		—		—
⁴ Foreign currency at cost	$	29,207	$	44,432	$	38,582	$	23,564


Statements of Operations		Master Investment Portfolio


Six Months Ended June 30, 2016 (Unaudited)	LifePath 2025 Master Portfolio			LifePath 2035 Master Portfolio			LifePath 2045 Master Portfolio			LifePath 2055 Master Portfolio

Investment Income
Dividends — unaffiliated	$	56,938		$	91,530		$	76,799		$	38,603
Dividends — affiliated		23,310			24,967			19,679			10,119
Securities lending — affiliated — net		1,830			1,369			1,757			1,033
Foreign taxes withheld		(1,000	)		(1,491	)		(1,291	)		(715	)
Net investment income allocated from the applicable Underlying Master Portfolios:
Dividends		380,707			432,751			315,769			153,381
Interest		299,738			132,336			19,302			6,198
Expenses		(74,259	)		(61,733	)		(37,082	)		(19,230	)
Fees waived		18,800			18,601			12,745			7,050

Total income		706,064			638,330			407,678			196,439


Expenses
Investment advisory		112,183			96,637			60,740			29,364
Professional		9,825			9,273			9,195			9,173
Independent Trustees		4,909			4,766			4,545			4,232

Total expenses		126,917			110,676			74,480			42,769
Less fees waived by the Manager		(110,934	)		(96,907	)		(65,825	)		(38,588	)

Total expenses after fees waived		15,983			13,769			8,655			4,181

Net investment income		690,081			624,561			399,023			192,258


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		50,767			83,288			65,339			30,286
Investments — affiliated		(280,618	)		(389,849	)		(192,729	)		(54,798	)
Foreign currency transactions		1,202			(473	)		(130	)		(86	)
Allocation from the applicable Underlying Master Portfolios from investments, financial futures contracts, swaps and foreign currency transactions		(597,489	)		(706,808	)		(525,784	)		(273,753	)

		(826,138	)		(1,013,842	)		(653,304	)		(298,351	)

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		160,630			253,136			213,690			113,421
Investments — affiliated		1,125,973			1,078,053			673,764			296,318
Foreign currency translations		6,470			9,690			8,110			5,337
Allocation from the applicable Underlying Master Portfolios from investments, financial futures contracts, swaps and foreign currency translations		1,262,835			817,135			414,071			233,920

		2,555,908			2,158,014			1,309,635			648,996

Net realized and unrealized gain		1,729,770			1,144,172			656,331			350,645

Net Increase in Net Assets Resulting from Operations	$	2,419,851		$	1,768,733		$	1,055,354		$	542,903


Statements of Changes in Net Assets		Master Investment Portfolio


	LifePath 2025 Master Portfolio						LifePath 2035 Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	690,081		$	1,367,277		$	624,561		$	1,187,387
Net realized gain (loss)		(826,138	)		2,037,290			(1,013,842	)		1,956,660
Net change in unrealized appreciation (depreciation)		2,555,908			(4,552,702	)		2,158,014			(4,209,460	)

Net increase (decrease) in net assets resulting from operations		2,419,851			(1,148,135	)		1,768,733			(1,065,413	)


Capital Transactions
Proceeds from contributions		9,313,608			34,846,434			10,261,802			22,992,558
Value of withdrawals		(9,064,432	)		(32,667,282	)		(10,062,832	)		(21,589,751	)

Net increase in net assets derived from capital transactions		249,176			2,179,152			198,970			1,402,807


Net Assets
Total increase in net assets		2,669,027			1,031,017			1,967,703			337,394
Beginning of period		65,105,422			64,074,405			56,099,969			55,762,575

End of period	$	67,774,449		$	65,105,422		$	58,067,672		$	56,099,969


	LifePath 2045 Master Portfolio						LifePath 2055 Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	399,023		$	712,571		$	192,258		$	297,359
Net realized gain (loss)		(653,304	)		1,288,414			(298,351	)		473,277
Net change in unrealized appreciation (depreciation)		1,309,635			(2,672,638	)		648,996			(1,105,267	)

Net increase (decrease) in net assets resulting from operations		1,055,354			(671,653	)		542,903			(334,631	)


Capital Transactions
Proceeds from contributions		6,837,493			15,353,680			4,739,061			9,297,038
Value of withdrawals		(5,310,995	)		(14,907,021	)		(2,128,703	)		(6,168,994	)

Net increase in net assets derived from capital transactions		1,526,498			446,659			2,610,358			3,128,044


Net Assets
Total increase (decrease) in net assets		2,581,852			(224,994	)		3,153,261			2,793,413
Beginning of period		34,516,770			34,741,764			15,850,310			13,056,897

End of period	$	37,098,622		$	34,516,770		$	19,003,571		$	15,850,310


Financial Highlights		Master Investment Portfolio


	LifePath 2025 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Total Return
Total return		3.92%	¹		(1.50)%			5.73%			12.34%			12.57%			0.99%


Ratios to Average Net Assets
Total expenses		0.57%	^2,3,4,5		0.57%	^3,4,5		0.58%	^6,7,8		0.61%	^6,7,8		0.69%	^9,10,11		1.07%	^9,10,11

Total expenses after fees waived and/or reimbursed		0.22%	^2,3,4,5		0.23%	^3,4,5		0.22%	^6,7,8		0.25%	^6,7,8		0.26%	^9,10,11		0.24%	^9,10,11

Net investment income¹²		2.15%	^2,3,4,5		1.98%	^3,4,5		2.05%	^6,7,8		2.11%	^6,7,8		2.32%	^9,10,11		2.62%	^9,10,11


Supplemental Data
Net assets, end of period (000)		$ 67,774			$ 65,105			$ 64,074			$ 58,662			$ 34,044			$ 12,178

Portfolio turnover rate		18%	¹³		51%	¹³		50%	¹⁴		30%	¹⁴		4%	¹⁵		24%	¹⁵

Aggregate total return.

Annualized.

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, Prime, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁴

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.06% for the six months ended June 30, 2016 and 0.05% for the year ended December 31, 2015, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11% for the six months ended June 30, 2016, and 0.13% for the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁶

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁷

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.05% and 0.04% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁸

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.13% and 0.10% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁹

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

¹⁰

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.04% and 0.03% for the years ended December 31, 2012 and December 31, 2011, respectively.

¹¹

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.10% and 0.12% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹²

Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio and Large Cap Index Master Portfolio. For the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by LifePath Master Portfolio.

¹³

Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

¹⁴

¹⁵

Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 17% and 58% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		Master Investment Portfolio


	LifePath 2035 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Total Return
Total return		3.19%	¹		(1.65)%			6.01%			15.83%			14.35%			(0.82)%


Ratios to Average Net Assets
Total expenses		0.56%	^2,3,4,5		0.57%	^3,4,5		0.58%	^6,7,8		0.63%	^6,7,8		0.76%	^9,10,11		1.34%	^9,10,11

Total expenses after fees waived and/or reimbursed		0.21%	^2,3,4,5		0.20%	^3,4,5		0.20%	^6,7,8		0.25%	^6,7,8		0.25%	^9,10,11		0.22%	^9,10,11

Net investment income¹²		2.26%	^2,3,4,5		2.02%	^3,4,5		2.06%	^6,7,8		2.29%	^6,7,8		2.42%	^9,10,11		2.50%	^9,10,11


Supplemental Data
Net assets, end of period (000)		$ 58,068			$ 56,100			$ 55,763			$ 45,363			$ 25,732			$ 7,426

Portfolio turnover rate		24%	¹³		44%	¹³		54%	¹⁴		39%	¹⁴		4%	¹⁵		21%	¹⁵

Aggregate total return.

Annualized.

⁴

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.07% for the six months ended June 30, 2016 and 0.05% for the year ended December 31, 2015, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.12% for the six months ended June 30, 2016, and 0.16% for the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁶

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁷

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.06% and 0.05% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁸

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.15% and 0.11% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁹

¹⁰

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.05% and 0.04% for the years ended December 31, 2012 and December 31, 2011, respectively.

¹¹

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11% and 0.14% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹²

¹³

¹⁴

¹⁵

Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 47% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		Master Investment Portfolio


	LifePath 2045 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Total Return
Total return		2.89%	¹		(1.87)%			6.16%			18.99%			15.84%			(1.96)%


Ratios to Average Net Assets
Total expenses		0.57%	^2,3,4,5		0.59%	^3,4,5		0.61%	^6,7,8		0.70%	^6,7,8		1.01%	^9,10,11		2.58%	^9,10,11

Total expenses after fees waived and/or reimbursed		0.19%	^2,3,4,5		0.17%	^3,4,5		0.19%	^6,7,8		0.24%	^6,7,8		0.24%	^9,10,11		0.20%	^9,10,11

Net investment income¹²		2.30%	^2,3,4,5		2.02%	^3,4,5		2.08%	^6,7,8		2.47%	^6,7,8		2.54%	^9,10,11		2.43%	^9,10,11


Supplemental Data
Net assets, end of period (000)		$ 37,099			$ 34,517			$ 34,742			$ 25,479			$ 12,178			$ 3,249

Portfolio turnover rate		24%	¹³		50%	¹³		54%	¹⁴		38%	¹⁴		4%	¹⁵		35%	¹⁵

Aggregate total return.

Annualized.

⁴

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.07% for the six months ended June 30, 2016 and 0.06% for the year ended December 31, 2015, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.14% for the six months ended June 30, 2016, and 0.18% for the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁶

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁷

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.06% and 0.05% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁸

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.16% and 0.11% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁹

¹⁰

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.06% and 0.03% for the years ended December 31, 2012 and December 31, 2011, respectively.

¹¹

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11% and 0.16% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹²

¹³

¹⁴

¹⁵

Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 71% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		Master Investment Portfolio


	LifePath 2055 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Total Return
Total return		2.74%	¹		(2.02)%			6.40%			21.49%			16.96%			(3.52)%


Ratios to Average Net Assets
Total expenses		0.65%	^2,3,4,5		0.72%	^3,4,5		0.76%	^6,7,8		1.01%	^6,7,8		2.41%	^9,10,11		14.66%	^9,10,11

Total expenses after fees waived and/or reimbursed		0.20%	^2,3,4,5		0.17%	^3,4,5		0.17%	^6,7,8		0.24%	^6,7,8		0.25%	^9,10,11		0.19%	^9,10,11

Net investment income¹³		2.29%	^2,3,4,5		2.03%	^3,4,5		2.06%	^6,7,8		2.65%	^6,7,8		2.66%	^9,10,11		2.30%	^9,10,11


Supplemental Data
Net assets, end of period (000)		$ 19,004			$ 15,850			$ 13,057			$ 8,978			$ 3,775			$ 494

Portfolio turnover rate		19%	¹³		49%	¹³		48%	¹⁴		67%	¹⁴		7%	¹⁵		51%	¹⁵

Aggregate total return.

Annualized.

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁴

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.08% and 0.07% for the period ended June 30, 2016 and the year ended December 31, 2015.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.14% and 0.18% for the period ended June 30, 2016 and the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁶

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁷

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.07% and 0.06% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁸

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.18% and 0.12% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁹

¹⁰

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.07% and 0.06% for the years ended December 31, 2012 and December 31, 2011, respectively.

¹¹

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11% and 0.17% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹²

Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹³

¹⁴

¹⁵

Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 27% and 95% for the years ended December 31, 2012 and December 31, 2011, respectively.


Notes to Financial Statements (Unaudited)		Master Investment Portfolio

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. MIP is classified as diversified. MIP is organized as a Delaware statutory trust. The financial statements and these accompanying notes relate to four series of MIP: LifePath^® 2025 Master Portfolio, LifePath^® 2035 Master Portfolio, LifePath^® 2045 Master Portfolio and LifePath^® 2055 Master Portfolio (each, a “LifePath Master Portfolio” and together, the “LifePath Master Portfolios”).

As of period end, the investment of LifePath 2035 Master Portfolio, LifePath 2045 Master Portfolio and LifePath 2055 Master Portfolio in the Active Stock Master Portfolio represented 25.1%, 27.1% and 32.5%, respectively, of net assets. The investment of LifePath 2025 Master Portfolio in CoreAlpha Bond Master Portfolio represented 33.4% of net assets. As such, financial statements of Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio, including the Schedules of Investments, should be read in conjunction with each respective LifePath Master Portfolio’s financial statements. Active Stock Master Portfolio’s and CoreAlpha Bond Master Portfolio’s financial statements are available, without charge, on the U.S. Securities and Exchange Commission’s (“SEC’s”) website at http://www.sec.gov.

The LifePath Master Portfolios will generally invest in other registered investment companies (each, an “Underlying Fund” and collectively the “Underlying Funds”) that are managed by subsidiaries of BlackRock, Inc. (“BlackRock”) and its affiliates and affiliates of the LifePath Master Portfolios. The LifePath Master Portfolios may also invest in other master portfolios (“Underlying Master Portfolios”) that are managed by subsidiaries of BlackRock.

The value of a LifePath Master Portfolio’s investment in each of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series reflects that LifePath Master Portfolio’s proportionate interest in the net assets of that master portfolio. As of period end, the LifePath Master Portfolios held interests in these Underlying Master Portfolios as follows:


	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio		Large Cap Index Master Portfolio		Master Small Cap Index Series
LifePath 2025 Master Portfolio		3.37%		2.65%		3.03%		0.21%		0.38%
LifePath 2035 Master Portfolio		3.38%		1.12%		3.49%		0.30%		0.24%
LifePath 2045 Master Portfolio		2.33%		0.12%		2.65%		0.23%		0.15%
LifePath 2055 Master Portfolio		1.43%		0.03%		1.39%		0.09%		0.08%

The LifePath Master Portfolios, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity Complex.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each LifePath 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:

Foreign Currency: Each LifePath Master Portfolio’s books and records are maintained in U.S. dollars. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each LifePath Master Portfolio does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each LifePath 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 federal income tax purposes.

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



BLACKROCK FUNDS III	JUNE 30, 2016	79


Notes to Financial Statements (continued)		Master Investment Portfolio

recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the LifePath Master Portfolios are informed of the ex-dividend date. 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, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Each LifePath Master Portfolio records its proportionate share of the income, expenses and realized and unrealized gains and losses of the Underlying Master Portfolios in which it invests on a daily basis.

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

Other: Expenses directly related to a LifePath Master Portfolio are charged to that LifePath 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 LifePath Master Portfolios have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective October 2015, the custodian is imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The LifePath Master Portfolios’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the LifePath Master Portfolios would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The LifePath Master Portfolios determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each LifePath Master Portfolio’s assets and liabilities:

•

Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. 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. Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the LifePath Master Portfolios’ net assets. Each business day, the LifePath Master Portfolios use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.

•

The market value of the LifePath Master Portfolios’s investments in the Underlying Funds is based on the published net asset value (“NAV”) of each Underlying Fund computed as of the close of regular trading on the NYSE on days when the NYSE is open.

•

Investments in open-end U.S. mutual funds are valued at NAV each business day.

•



80	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)		Master Investment Portfolio

current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each LifePath Master Portfolio has the ability to access

•

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each LifePath Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each LifePath Master Portfolio’s investments and derivative financial instruments have been included in the Schedules of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each LifePath Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

Securities Lending: Certain LifePath Master Portfolios may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the LifePath Master Portfolios collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each LifePath Master Portfolios 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 LifePath Master Portfolio and any additional required collateral is delivered to the LifePath Master Portfolio, or excess collateral returned by the LifePath Master Portfolio, on the next business day. During the term of the loan, the LifePath Master Portfolios are entitled to all distributions made on or in respect of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as common stocks in the LifePath Master Portfolios’ Schedules of Investments, and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedules of Investments.

Securities lending transactions are entered into by the LifePath Master Portfolios 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 LifePath Master Portfolios, 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 a LifePath 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.



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Notes to Financial Statements (continued)		Master Investment Portfolio

As of period end, the following table is a summary of the LifePath 2025 Master Portfolio’s securities lending agreements by counterparty which are subject to offset under an MSLA:


Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
Credit Suisse Securities (USA) LLC	$	2,451	$	(2,451	)		—

Collateral with a value of $2,500 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

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 LifePath Master Portfolios benefit from a borrower default indemnity provided by BlackRock. BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. Each LifePath Master Portfolio could suffer 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.

5. Derivative Financial Instruments:

The LifePath Master Portfolios engage in various portfolio investment strategies using derivative contracts both to increase the returns of the LifePath Master Portfolios and/or to manage their exposure to certain risks such as interest rate risk and foreign currency exchange rate risk. Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Forward Foreign Currency Exchange Contracts: Certain LifePath Master Portfolios enter into forward foreign currency exchange contracts 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 LifePath Master Portfolios are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked to market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the LifePath Master Portfolios may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each LifePath 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, each LifePath Master Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the LifePath Master Portfolios’ net assets decline by a stated percentage or the LifePath Master Portfolios fail to meet the terms of their ISDA Master Agreements. The result would cause the LifePath Master Portfolios to accelerate payment of any net liability owed to the counterparty.



82	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)		Master Investment Portfolio

due to the LifePath Master Portfolios from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the LifePath Master Portfolios have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear 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.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

Investment Advisory

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

For such services, each LifePath Master Portfolio pays BFA a monthly fee, which is determined by calculating a percentage of each LifePath Master Portfolios’s average daily net assets based on the annual rate of 0.35%.

MIP, with respect to the LifePath Master Portfolios, entered into a sub-advisory agreement with BlackRock International Limited (“BIL) and BlackRock (Singapore) Limited (“BRS”), affiliates of the Manager. The Manager pays BIL and BRS, for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by the LifePath Master Portfolio to the Manager.

MIP, on behalf of the LifePath Master Portfolios, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the LifePath Master Portfolios’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the LifePath Master Portfolios.

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

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

Expense Limitations and Waivers

The fees and expenses of MIP’s trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the LifePath Master Portfolios. BFA has also contractually agreed to reimburse the LifePath Master Portfolios or provide an offsetting credit against the investment advisory fees paid by the LifePath Master Portfolios in an amount equal to the independent expenses. These contractual waivers are effective through April 30, 2026. For the six months ended June 30, 2016, the amounts waived are included in fees waived by the Manager in the Statements of Operations as follows:

LifePath 2025

Master Portfolio

LifePath 2035

Master Portfolio

LifePath 2045

Master Portfolio

LifePath 2055

Master Portfolio

Amount waived

14,734

14,039

13,741

13,405

BFA, with respect to each LifePath Master Portfolio, has contractually agreed to waive 0.30% of its advisory fees through April 30, 2017. For the six months ended June 30, 2016, the amounts waived are included in fees waived by the Manager in the Statements of Operations as follows:

LifePath 2025

Master Portfolio

LifePath 2035

Master Portfolio

LifePath 2045

Master Portfolio

LifePath 2055

Master Portfolio

Amount waived

96,157

82,832

52,061

25,170



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Notes to Financial Statements (continued)		Master Investment Portfolio

investment advisory fees paid in connection with the LifePath Master Portfolios’ investments in other affiliated investment companies, if any. For the six months ended June 30, 2016, the amounts waived are included in fees waived by the Manager in the Statements of Operations as follows:

LifePath 2025

Master Portfolio

LifePath 2035

Master Portfolio

LifePath 2045

Master Portfolio

LifePath 2055

Master Portfolio

Amount waived

Securities Lending

The SEC has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the LifePath Master Portfolios, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The LifePath Master Portfolios are responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the LifePath Master Portfolios bears to an annual rate of 0.04% (the “collateral investment fees”).

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each LifePath Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, each LifePath Master Portfolio retains 80% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, each LifePath Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by each LifePath Master Portfolio is shown as securities lending — affiliated – net in the Statements of Operations. For the six months ended June 30, 2016, each LifePath Master Portfolio paid BTC the following amounts in total for securities lending agent services and collateral investment fees:

LifePath 2025

Master Portfolio

LifePath 2035

Master Portfolio

LifePath 2045

Master Portfolio

LifePath 2055

Master Portfolio

$456

341

438

258

Each LifePath Master Portfolio may invest its positive cash balances in certain money market funds managed by the Manager or an affiliate. The income earned on these temporary cash investments is shown as income — affiliated in the Statements of Operations.

Officers and Trustees

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

Other Transactions

The LifePath Master Portfolios may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2016, the purchase and sale transactions which resulted in net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:


	Sales		Net Realized Gain
LifePath 2025 Master Portfolio	$	17,489	$	1,305
LifePath 2035 Master Portfolio	$	27,983	$	2,136
LifePath 2045 Master Portfolio	$	23,611	$	1,805
LifePath 2055 Master Portfolio	$	11,368	$	868

7. Purchases and Sales:

For the six months ended June 30, 2016, purchases and sales of investments in the Underlying Funds and Underlying Master Portfolios, excluding short-term securities, were as follows:


	LifePath 2025 Master Portfolio		LifePath 2035 Master Portfolio		LifePath 2045 Master Portfolio		LifePath 2055 Master Portfolio
Purchases	$	11,635,702	$	13,695,615	$	9,864,457	$	5,761,195
Sales	$	11,462,915	$	13,324,355	$	8,331,362	$	3,164,716



84	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)		Master Investment Portfolio

8. Income Tax Information:

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

Each LifePath 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 each LifePath Master Portfolio’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2015. The statutes of limitations on each LifePath 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 LifePath Master Portfolios as of June 30, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the LifePath Master Portfolios’ financial statements.

As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


	LifePath 2025 Master Portfolio			LifePath 2035 Master Portfolio			LifePath 2045 Master Portfolio			LifePath 2055 Master Portfolio
Tax cost	$	66,678,990		$	57,274,677		$	36,729,913		$	18,802,563

Gross unrealized appreciation	$	2,702,926		$	1,940,589		$	1,165,779		$	599,078
Gross unrealized depreciation		(1,575,251	)		(1,104,319	)		(740,554	)		(333,449	)

Net unrealized depreciation	$	1,127,675		$	836,270		$	425,225		$	265,629

9. Bank Borrowings:

MIP, on behalf of the LifePath Master Portfolios, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.1 billion credit agreement with a group of lenders. Under this agreement, the LifePath Master Portfolios may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the LifePath Master Portfolios, can borrow up to an aggregate commitment amount of $1.6 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 0.12% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2017 unless extended or renewed. Prior to April 21, 2016, the credit agreement had a fee per annum of 0.06% on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statements of Operations. 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 June 30, 2016, the LifePath Master Portfolios did not borrow under the credit agreement.

10. Principal Risks:

In the normal course of business, the LifePath Master Portfolios invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the LifePath Master Portfolios may decline in response to certain events, including those directly involving the issuers of securities owned by the LifePath Master Portfolios. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

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



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Notes to Financial Statements (concluded)		Master Investment Portfolio

The LifePath Master Portfolios’ risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such LifePath Master Portfolio.

11. Subsequent Events:

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



86	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements

The Board of Trustees of Master Investment Portfolio (the “Master Fund”) met in person on April 21, 2016 (the “April Meeting”) and May 18-20, 2016 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Advisory Agreement”) between the Master Fund, on behalf of LifePath 2025 Master Portfolio, LifePath 2035 Master Portfolio, LifePath 2045 Master Portfolio and LifePath 2055 Master Portfolio (each, a “Master Portfolio” and collectively, the “Master Portfolios”), each a series of the Master Fund, and BlackRock Fund Advisors (the “Manager”), the Master Fund’s investment advisor. The Board of Trustees of the Master Fund also considered the approval of the sub-advisory agreement between the Manager and BlackRock International Limited (“BIL”) with respect to each Master Portfolio (the “BIL Sub-Advisory Agreement”) and the sub-advisory agreement between the Manager and BlackRock (Singapore) Limited (“BSL,” and together with BIL, the “Sub-Advisors”) with respect to each Master Portfolio (the “BSL Sub-Advisory Agreement,” and together with the BIL Sub-Advisory Agreement, the “Sub-Advisory Agreements”). Each of BlackRock LifePath 2025 Fund, BlackRock LifePath 2035 Fund, BlackRock LifePath 2045 Fund and BlackRock LifePath 2055 Fund (each, a “Portfolio” and collectively, the “Portfolios”), each a series of BlackRock Funds III (the “Fund”), is a “feeder” fund that invests all of its investable assets in the corresponding Master Portfolio. Accordingly, the Board of Trustees of the Fund also considered the approval of the Advisory Agreement and the Sub-Advisory Agreements with respect to each Master Portfolio. The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Agreements.” For simplicity: (a) the Board of Trustees of the Master Fund and the Board of Trustees of the Fund are referred to herein collectively as the “Board,” and the members are referred to as “Board Members;” and (b) the shareholders of each Portfolio and the interest holders of each Master Portfolio are referred to as “shareholders.”

Activities and Composition of the Board

The Agreements

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreements, and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Board assessed, among other things, the nature, extent and quality of the services provided to the Master Portfolios and the Portfolios by BlackRock, BlackRock’s personnel and affiliates, including (as applicable) investment management; administrative and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Master Portfolios, the Portfolios and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolios and/or the Portfolios for services; (c) the Master Portfolios’ and/or the Portfolios’ operating expenses and how BlackRock allocates expenses to the Master Portfolios and the Portfolios; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Master Portfolio’s and Portfolio’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Master Fund’s and the Fund’s compliance with its respective compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master Fund’s and/or the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Master Portfolios and/or the Portfolios; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.



BLACKROCK FUNDS III	JUNE 30, 2016	87


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on fees and expenses of each Master Portfolio and Portfolio, as applicable, as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Portfolio as compared with a peer group of funds as determined by Broadridge¹ and the applicable Morningstar Classification; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Master Portfolio and/or Portfolio to BlackRock; and (g) sales and redemption data regarding each Portfolio’s shares.

At the May Meeting, the Board of the Master Fund, including the Independent Board Members, approved the continuation of (i) the Advisory Agreement between the Manager and the Master Fund with respect to each Master Portfolio, (ii) the BIL Sub-Advisory Agreement between the Manager and BIL with respect to each Master Portfolio and (iii) the BSL Sub-Advisory Agreement between the Manager and BSL with respect to each Master Portfolio, each for a one-year term ending June 30, 2017. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreements with respect to each Master Portfolio and found the Agreements to be satisfactory. In approving the continuation of the Agreements, the Board of the Master Fund considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Master Portfolio and Portfolio; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolios and the Portfolios; (d) each Portfolio’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Master Portfolios and the Portfolios; and (g) other factors deemed relevant by the Board Members.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of each Portfolio. Throughout the year, the Board compared each Portfolio’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Master Portfolio’s portfolio management team discussing the relevant Master Portfolio’s performance and the Master Portfolio’s investment objective(s), strategies and outlook.

Funds are ranked by Lipper in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.



88	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

periodic filings with regulators; (iv) overseeing and coordinating the activities of other service providers; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing other administrative functions necessary for the operation of the Master Portfolios and the Portfolios, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Master Portfolios, the Portfolios and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of each Master Portfolio and Portfolio, as applicable. The Board noted that each Portfolio’s investment results correspond directly to the investment results of the applicable Master Portfolio. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of each Portfolio’s performance. The Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board received and reviewed information regarding the investment performance of each Portfolio as compared to other funds in its applicable Broadridge category and the applicable Morningstar Classification. The Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. The Board was provided with information on the composition of the Broadridge performance universes and expense universes. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of each Master Portfolio and Portfolio, as applicable, throughout the year.

BlackRock believes that the Morningstar Performance Universe is an appropriate performance metric for each of the Portfolios.

The Board noted that for the one-, three- and five-year periods reported, each of BlackRock LifePath 2035 Fund, BlackRock LifePath 2045 Fund and BlackRock LifePath 2055 Fund ranked in the third, fourth and fourth quartiles, respectively, against its respective Morningstar Performance Universe. The Board and BlackRock reviewed and discussed the reasons for the underperformance of these Portfolios during these periods. The Board was informed that, among other things, asset allocation was the primary driver of underperformance. Given each Portfolio’s relatively more conservative glidepath, performance has lagged somewhat given the substantial rally of equity and equity-like asset classes over the last five years.

The Board also noted that for each of the one-, three- and five-year periods reported, BlackRock LifePath 2025 Fund ranked in the fourth quartile against its Morningstar Performance Universe. The Board and BlackRock reviewed and discussed the reasons for the Portfolio’s underperformance during these periods. The Board was informed that, among other things, asset allocation was the primary driver of underperformance. Given the Portfolio’s relatively more conservative glidepath, performance has lagged somewhat given the substantial rally of equity and equity-like asset classes over the last five years.

The Board and BlackRock discussed BlackRock’s strategy for improving the investment performance of each Master Portfolio/Portfolio. Discussions covered topics, for each Master Portfolio and Portfolio, as applicable, such as: investment risks undertaken; performance attribution; investment personnel; and the resources appropriate to support the investment processes. The Board and BlackRock also discussed BlackRock’s strategy for the LifePath Fund suite, including the glidepath.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolios and the Portfolios: The Board, including the Independent Board Members, reviewed each Master Portfolio’s contractual advisory fee rate compared with the other funds in the corresponding Portfolio’s Broadridge category. The contractual advisory fee rate is shown before taking into account any reimbursements or fee waivers. The Board also compared each Portfolio’s total expense ratio, as well as each Master Portfolio’s actual advisory fee rate, to those of other funds in the corresponding Fund’s Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual advisory fee rate gives effect to any advisory fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).



BLACKROCK FUNDS III	JUNE 30, 2016	89


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

In addition, the Board considered the cost of the services provided to the Master Portfolios and the Portfolios by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolios and the Portfolios and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing the Master Portfolios and the Portfolios, to each Master Portfolio or Portfolio, as pertinent. The Board may receive and review information from independent third parties as part of its annual evaluation. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Master Portfolios and the Portfolios in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

The Board noted that the varying fee structures for fund of funds can limit the value of advisory fee comparisons.

The Board also noted that with respect to each of LifePath 2035 Master Portfolio and LifePath 2045 Master Portfolio, the respective Master Portfolio’s contractual advisory fee rate ranked third out of three funds, and the actual advisory fee rate and the corresponding Portfolio’s total expense ratio ranked second out of three funds and in the first quartile, respectively, relative to the Portfolio’s Expense Peers.

The Board also noted that, with respect to each of LifePath 2025 Master Portfolio and LifePath 2055 Master Portfolio, the respective Master Portfolio’s contractual advisory fee rate ranked third out of three funds, and the actual advisory fee rate and the corresponding Portfolio’s total expense ratio ranked second out of three funds and in the second quartile, respectively, relative to the Portfolio’s Expense Peers.

The Board also noted that, with respect to each Master Portfolio, BlackRock proposed, and the Board agreed to, a contractual advisory fee waiver at the Master Portfolio level. The waivers were implemented on November 30, 2015. The Board also noted that with respect to each Portfolio, BlackRock proposed, and the Board agreed to, a contractual reduction of the Portfolio’s administration fee. This administration fee reduction was implemented on November 30, 2015. Additionally, the Board noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate each Master Portfolio/Portfolio for the fees and expenses of the Independent Board Members, counsel to the Independent Board Members and the Master Portfolio’s/Portfolio’s independent registered public accounting firm.



90	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (concluded)

Conclusion

The Board of the Master Fund, including the Independent Board Members, approved the continuation of the (i) Advisory Agreement between the Manager and the Master Fund with respect to each Master Portfolio, (ii) the BIL Sub-Advisory Agreement between the Manager and BIL with respect to each Master Portfolio and (iii) the BSL Sub-Advisory Agreement between the Manager and BSL with respect to each Master Portfolio, each for a one-year term ending June 30, 2017. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board of the Master Fund, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Master Portfolio and its shareholders. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreements with respect to each Master Portfolio and found the Agreements to be satisfactory. In arriving at its decision to approve the Agreements, the Board of the Master Fund did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolios reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.



BLACKROCK FUNDS III	JUNE 30, 2016	91


Officers and Trustees

Rodney D. Johnson, Chair of the Board and Trustee

David O. Beim, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Barbara G. Novick, Trustee

Dr. Matina S. Horner, Trustee

Cynthia A. Montgomery, Trustee

Joseph P. Platt, Trustee

Robert C. Robb, Jr., Trustee

Mark Stalnecker, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Frederick W. Winter, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Richard Hoerner, CFA, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Fernanda Piedra, Anti-Money Laundering Compliance Officer

Benjamin Archibald, Secretary

Effective February 5, 2016, Frank J. Fabozzi resigned as a Trustee of the Trust/MIP.

Effective February 8, 2016, Susan J. Carter, Neil A. Cotty and Claire A. Walton were elected to serve as Trustees of the Trust/MIP.



Investment Adviser BlackRock Fund Advisors San Francisco, CA 94105	Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02110	Distributor BlackRock Investments, LLC New York, NY 10022	Legal Counsel Sidley Austin LLP New York, NY 10019

Sub-Advisers BlackRock International Limited Edinburgh, United Kingdom BlackRock (Singapore) Limited Singapore 079912 Singapore	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105

Administrator BlackRock Advisors, LLC Wilmington, DE 19809



92	BLACKROCK FUNDS III	JUNE 30, 2016


Additional Information

Proxy Results

BlackRock Funds III

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of the Trust.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		61,938,311,360		43,835,788
Susan J. Carter		61,780,259,925		201,887,223
Collette Chilton		61,948,124,716		34,022,432
Neil A. Cotty		61,775,834,676		206,312,472
Matina S. Horner		61,940,727,663		41,419,485
Rodney D. Johnson		61,941,649,924		40,497,224
Cynthia A. Montgomery		61,943,332,673		38,814,475
Joseph P. Platt		61,944,232,208		37,914,940
Robert C. Robb, Jr.		61,944,234,953		37,912,195
Mark Stalnecker		61,943,725,951		38,421,197
Kenneth L. Urish		61,944,152,210		37,994,938
Claire A. Walton		61,784,560,644		197,586,504
Frederick W. Winter		61,939,767,717		42,379,431
Barbara G. Novick		61,947,782,498		34,364,650
John M. Perlowski		61,944,381,941		37,765,207

Denotes Trust-wide proposal and voting results.

Master Investment Portfolio

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of MIP.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		93,744,625,170		102,294,210
Susan J. Carter		93,564,604,497		282,314,883
Collette Chilton		93,778,667,881		68,251,499
Neil A. Cotty		93,524,182,594		322,736,786
Matina S. Horner		93,744,748,738		102,170,642
Rodney D. Johnson		93,743,366,844		103,552,536
Cynthia A. Montgomery		93,738,956,489		107,962,891
Joseph P. Platt		93,750,384,350		96,535,030
Robert C. Robb, Jr.		93,749,078,613		97,840,767
Mark Stalnecker		93,668,711,867		178,207,513
Kenneth L. Urish		93,694,700,012		152,219,368
Claire A. Walton		93,569,519,963		277,399,417
Frederick W. Winter		93,699,601,190		147,318,190
Barbara G. Novick		93,778,480,450		68,438,930
John M. Perlowski		93,744,975,345		101,944,035

Denotes MIP-wide proposal and voting results.



BLACKROCK FUNDS III	JUNE 30, 2016	93


Additional Information (continued)

General Information

Householding

The LifePath Funds 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 LifePath Funds at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The LifePath Funds/LifePath Master Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The LifePath Funds’/LifePath Master Portfolios’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The LifePath Funds’/LifePath Master Portfolios’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the LifePath Funds/LifePath Master Portfolios use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how each LifePath Fund/LifePath Master Portfolio voted proxies relating to securities held in each LifePath Fund’s/LifePath Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family

Shareholder Privileges

Account 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.



94	BLACKROCK FUNDS III	JUNE 30, 2016


Additional Information (concluded)

BlackRock Privacy Principles



BLACKROCK FUNDS III	JUNE 30, 2016	95

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 a LifePath Fund unless preceded or accompanied by that LifePath 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.

LOGO


LPincre-6/16-SAR

JUNE 30, 2016

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock Funds III

^Ø	BlackRock LifePath^® Retirement Fund

^Ø	BlackRock LifePath^® 2020 Fund

^Ø	BlackRock LifePath^® 2030 Fund

^Ø	BlackRock LifePath^® 2040 Fund

^Ø	BlackRock LifePath^® 2050 Fund

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


	Page
The Markets in Review		3
Semi-Annual Report:
Fund Summaries		4
About Fund Performance		16
Disclosure of Expenses		17
Derivative Financial Instruments		18
Financial Statements:
Statements of Assets and Liabilities		19
Statements of Operations		20
Statements of Changes in Net Assets		21
Fund Financial Highlights		24
Fund Notes to Financial Statements		49
Master Portfolio Information		55
Master Portfolio Financial Statements:
Schedules of Investments		57
Statements of Assets and Liabilities		87
Statements of Operations		88
Statements of Changes in Net Assets		89
Master Portfolio Financial Highlights		92
Master Portfolio Notes to Financial Statements		97
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements		105
Officers and Trustees		110
Additional Information		111

LOGO



2	BLACKROCK FUNDS III	JUNE 30, 2016

The Markets in Review

Dear Shareholder,

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of June 30, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		3.84	%		3.99	%
U.S. small cap equities (Russell 2000^® Index)		2.22			(6.73	)
International equities (MSCI Europe, Australasia, Far East Index)		(4.42	)		(10.16	)
Emerging market equities (MSCI Emerging Markets Index)		6.41			(12.05	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.15			0.19
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		7.95			9.49
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)		5.31			6.00
Tax-exempt municipal bonds (S&P Municipal Bond Index)		4.35			7.80
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		9.06			1.65
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



		THIS PAGE NOT PART OF YOUR FUND REPORT				3


Fund Summary as of June 30, 2016				BlackRock LifePath Funds

Portfolio Management Commentary

How did each Fund perform?

•

Each of the LifePath Funds with target dates of 2020, 2030, 2040 and 2050 and BlackRock LifePath Retirement Fund (altogether, the “LifePath Funds”) invests in its respective LifePath Master Portfolio.

•

What factors influenced performance?

•

BlackRock Commodity Strategies Fund’s performance. Year to date in 2016, gold bullion and gold equities have rallied strongly. Despite heightened levels of yield curve risk volatility, commodity futures’ curve strategies outperformed the market in the first six months of the year. Also during the first half, the curve strategy in the energy sector outperformed as the global supply glut in crude oil markets did not show signs of abating, and a warmer-than-average winter in the United States negatively impacted natural gas prices. Midway through the period, curve strategies benefited from weakening time spreads (reflects a steepening of the slope of the futures curve, which benefits the strategy as there are farther-dated futures compared to the benchmark futures contracts). However, as time spreads extended to extreme positions, some of the positive outperformance was lost as time spreads strengthened.

•

BlackRock Emerging Markets Fund, Inc.’s outperformance was driven by stock selection across countries and sectors. China continues to be one of the largest contributors given a shift away from macroeconomically-sensitive financials at the beginning of the year. Technology names within the country also made strong gains as MSCI announced full inclusion of American Depositary Receipts within their indices, bringing information technology to a 31% weight in the MSCI China Index.

Describe recent portfolio activity.

•

Describe portfolio positioning at period end.

•

At period end, each of the LifePath Funds was invested according to its respective strategic allocation benchmark within tolerance limits.



4	BLACKROCK FUNDS III	JUNE 30, 2016


		BlackRock LifePath Funds

Glide Path Evolution



BLACKROCK FUNDS III	JUNE 30, 2016	5


				BlackRock LifePath Retirement Fund

Investment Objective

The investment objective of BlackRock LifePath^® Retirement Fund (“LifePath Retirement Fund” or the “LifePath Fund”) is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath Retirement Fund will be broadly diversified across global asset classes.

Total Return Based on a $10,000 Investment

LOGO

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

The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath Retirement Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

The LifePath Fund’s custom benchmark consists of the following:


Period	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index			Cohen & Steers Realty Majors Index			Bloomberg Commodity Index³			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			MSCI EAFE Index			Russell 1000^® Index			Russell 2000^® Index			S&P MidCap 400^® Index			S&P 500^® Index			S&P SmallCap 600^® Index
7/01/05 to 6/30/06		58.5	%		5.1	%		1.3	%		N/A			N/A			N/A			9.2	%		N/A			N/A			3.6	%		20.5	%		1.8	%
7/01/06 to 6/30/07		52.2			9.9			2.8			N/A			N/A			N/A			10.2			N/A			N/A			3.6			19.5			1.8
7/01/07 to 6/30/08		52.8			9.2			2.7			N/A			N/A			11.0	%		N/A			N/A			N/A			3.7			18.8			1.8
7/01/08 to 6/30/09		53.0			9.0			N/A			N/A			2.0	%		11.3			N/A			N/A			N/A			4.5			18.1			2.1
7/01/09 to 6/30/10		52.9			9.1			N/A			N/A			1.5			10.7			N/A			N/A			N/A			4.9			18.7			2.2
7/01/10 to 6/30/11		53.0			9.1			N/A			N/A			0.9			10.9			N/A			N/A			N/A			4.9			19.1			2.1
7/01/11 to 6/30/12		52.9			9.0			N/A			N/A			0.5			11.7			N/A			19.8	%		3.9	%		0.4			1.6			0.2
7/01/12 to 6/30/13		52.9			9.1			N/A			2.8	%		0.2			10.5			N/A			20.3			4.2			N/A			N/A			N/A
7/01/13 to 6/30/14		52.9			9.1			N/A			3.8			N/A			10.0			N/A			19.6			4.6			N/A			N/A			N/A
7/01/14 to 6/30/15		51.9			8.9			N/A			3.8			0.4			10.6			N/A			20.5			3.9			N/A			N/A			N/A
7/01/15 to 6/30/16		51.2			8.7			N/A			3.7			0.5			11.1			N/A			20.8			3.7			N/A			N/A			N/A

Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 16 for descriptions of the indexes.



6	BLACKROCK FUNDS III	JUNE 30, 2016


		BlackRock LifePath Retirement Fund

Performance Summary for the Period Ended June 30, 2016


				Average Annual Total Returns¹
				1 Year						5 Years						10 Years
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		4.35	%		1.91	%		N/A			4.41	%		N/A			4.74	%		N/A
Investor A		4.12	²		1.51			(3.82	)%		4.13			3.01	%		4.47			3.90	%
Investor C		3.79			0.72			(0.25	)		3.34			3.34			3.64			3.64
Class K		4.50			2.10			N/A			4.76			N/A			5.05			N/A
Class R		4.11			1.31			N/A			3.87			N/A			4.17			N/A
LifePath Retirement Fund Custom Benchmark		4.67			2.41			N/A			4.79			N/A			5.32			N/A
Barclays U.S. Aggregate Bond Index		5.31			6.00			N/A			3.76			N/A			5.13			N/A
Barclays U.S. TIPS Index		6.24			4.35			N/A			2.63			N/A			4.75			N/A
Bloomberg Commodity Index		13.25			(13.32	)		N/A			(5.59	)		N/A			(10.82	)		N/A
FTSE EPRA/NAREIT Developed Index		5.48			0.78			N/A			4.52			N/A			2.84			N/A
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		N/A			0.39			N/A			2.16			N/A
Russell 1000^® Index		3.74			2.93			N/A			11.88			N/A			7.51			N/A
Russell 2000^® Index		2.22			(6.73	)		N/A			8.35			N/A			6.20			N/A

Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distributions and service fees. See “About Fund Performance” on page 16 for a detailed description of share classes, including any related sales charges and fees.

Performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the financial highlights.

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

Past performance is not indicative of future results.



BLACKROCK FUNDS III	JUNE 30, 2016	7


				BlackRock LifePath 2020 Fund

Investment Objective

The investment objective of BlackRock LifePath^® 2020 Fund (“LifePath 2020 Fund” or the “LifePath Fund”) is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath 2020 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Total Return Based on a $10,000 Investment

LOGO

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

The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2020 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

The LifePath Fund’s custom benchmark consists of the following:


Period	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index			Cohen & Steers Realty Majors Index			Bloomberg Commodity Index³			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			MSCI EAFE Index			Russell 1000^® Index			Russell 2000^® Index			S&P MidCap 400^® Index			S&P 500^® Index			S&P SmallCap 600^® Index
7/01/05 to 6/30/06		58.5	%		5.1	%		1.3	%		N/A			N/A			N/A			9.2	%		N/A			N/A			3.6	%		20.5	%		1.8	%
7/01/06 to 6/30/07		52.2			9.9			2.8			N/A			N/A			N/A			10.2			N/A			N/A			3.6			19.5			1.8
7/01/07 to 6/30/08		52.8			9.2			2.7			N/A			N/A			11.0	%		N/A			N/A			N/A			3.7			18.8			1.8
7/01/08 to 6/30/09		53.0			9.0			N/A			N/A			2.0	%		11.3			N/A			N/A			N/A			4.5			18.1			2.1
7/01/09 to 6/30/10		52.9			9.1			N/A			N/A			1.5			10.7			N/A			N/A			N/A			4.9			18.7			2.2
7/01/10 to 6/30/11		53.0			9.1			N/A			N/A			0.9			10.9			N/A			N/A			N/A			4.9			19.1			2.1
7/01/11 to 6/30/12		52.9			9.0			N/A			N/A			0.5			11.7			N/A			19.8	%		3.9	%		0.4			1.6			0.2
7/01/12 to 6/30/13		52.9			9.1			N/A			2.8	%		0.2			10.5			N/A			20.3			4.2			N/A			N/A			N/A
7/01/13 to 6/30/14		41.7			6.8			N/A			3.8			2.6			14.3			N/A			27.0			3.8			N/A			N/A			N/A
7/01/14 to 6/30/15		41.1			6.7			N/A			3.8			2.9			14.9			N/A			27.2			3.4			N/A			N/A			N/A
7/01/15 to 6/30/16		41.3			6.8			N/A			3.7			2.7			15.1			N/A			26.7			3.3			N/A			N/A			N/A

Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 16 for descriptions of the indexes.



8	BLACKROCK FUNDS III	JUNE 30, 2016


		BlackRock LifePath 2020 Fund

Performance Summary for the Period Ended June 30, 2016


				Average Annual Total Returns¹
				1 Year						5 Years						10 Years
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		3.91	%		0.95	%		N/A			4.80	%		N/A			4.27	%		N/A
Investor A		3.81			0.69			(4.60	)%		4.54			3.42	%		4.01			3.45	%
Investor C		3.44			(0.08	)		(1.02	)		3.76			3.76			3.17			3.17
Class K		4.05			1.21			N/A			5.13			N/A			4.59			N/A
Class R		3.67			0.48			N/A			4.29			N/A			3.69			N/A
LifePath 2020 Fund Custom Benchmark		4.42			1.76			N/A			5.33			N/A			5.09			N/A
Barclays U.S. Aggregate Bond Index		5.31			6.00			N/A			3.76			N/A			5.13			N/A
Barclays U.S. TIPS Index		6.24			4.35			N/A			2.63			N/A			4.75			N/A
Bloomberg Commodity Index		13.25			(13.32	)		N/A			(5.59	)		N/A			(10.82	)		N/A
FTSE EPRA/NAREIT Developed Index		5.48			0.78			N/A			4.52			N/A			2.84			N/A
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		N/A			0.39			N/A			2.16			N/A
Russell 1000^® Index		3.74			2.93			N/A			11.88			N/A			7.51			N/A
Russell 2000^® Index		2.22			(6.73	)		N/A			8.35			N/A			6.20			N/A

Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distributions and service fees. See “About Fund Performance” on page 16 for a detailed description of share classes, including any related sales charges and fees.

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

Past performance is not indicative of future results.



BLACKROCK FUNDS III	JUNE 30, 2016	9


				BlackRock LifePath 2030 Fund

Investment Objective

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

Total Return Based on a $10,000 Investment

LOGO

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

The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2030 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

The LifePath Fund’s custom benchmark consists of the following:


Period	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index			Cohen & Steers Realty Majors Index			Bloomberg Commodity Index³			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			MSCI EAFE Index			Russell 1000^® Index			Russell 2000^® Index			S&P MidCap 400^® Index			S&P 500^® Index			S&P SmallCap 600^® Index
7/01/05 to 6/30/06		19.3	%		1.3	%		2.5	%		N/A			N/A			N/A			19.5	%		N/A			N/A			6.0	%		48.5	%		2.9	%
7/01/06 to 6/30/07		17.1			2.7			5.2			N/A			N/A			N/A			20.6			N/A			N/A			6.4			44.7			3.3
7/01/07 to 6/30/08		18.0			2.7			5.5			N/A			N/A			21.7	%		N/A			N/A			N/A			6.5			42.4			3.2
7/01/08 to 6/30/09		20.0			2.9			N/A			N/A			6.1	%		22.2			N/A			N/A			N/A			6.8			38.8			3.2
7/01/09 to 6/30/10		21.6			3.2			N/A			N/A			7.0			20.6			N/A			N/A			N/A			6.6			38.0			3.0
7/01/10 to 6/30/11		22.6			3.3			N/A			N/A			5.9			20.9			N/A			N/A			N/A			6.2			38.4			2.7
7/01/11 to 6/30/12		24.5			3.6			N/A			N/A			6.0			20.8			N/A			38.4	%		2.9	%		0.5			3.1			0.2
7/01/12 to 6/30/13		26.7			3.9			N/A			2.9	%		5.8			19.6			N/A			38.2			2.9			N/A			N/A			N/A
7/01/13 to 6/30/14		28.5			4.2			N/A			3.8			5.7			19.2			N/A			35.6			3.0			N/A			N/A			N/A
7/01/14 to 6/30/15		24.5			3.7			N/A			3.9			6.9			21.1			N/A			37.3			2.6			N/A			N/A			N/A
7/01/15 to 6/30/16		22.6			3.5			N/A			3.8			7.6			22.0			N/A			37.7			2.5			N/A			N/A			N/A

Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 16 for descriptions of the indexes.



10	BLACKROCK FUNDS III	JUNE 30, 2016


		BlackRock LifePath 2030 Fund

Performance Summary for the Period Ended June 30, 2016


				Average Annual Total Returns¹
				1 Year						5 Years						10 Years
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		3.36	%		(0.28	)%		N/A			5.27	%		N/A			4.13	%		N/A
Investor A		3.20			(0.51	)		(5.73	)%		5.00			3.88	%		3.87			3.31	%
Investor C		2.84			(1.28	)		(2.21	)		4.23			4.23			3.02			3.02
Class K		3.48			0.03			N/A			5.64			N/A			4.47			N/A
Class R		3.12			(0.74	)		N/A			4.76			N/A			3.53			N/A
LifePath 2030 Fund Custom Benchmark		3.97			0.71			N/A			5.90			N/A			5.09			N/A
Barclays U.S. Aggregate Bond Index		5.31			6.00			N/A			3.76			N/A			5.13			N/A
Barclays U.S. TIPS Index		6.24			4.35			N/A			2.63			N/A			4.75			N/A
Bloomberg Commodity Index		13.25			(13.32	)		N/A			(5.59	)		N/A			(10.82	)		N/A
FTSE EPRA/NAREIT Developed Index		5.48			0.78			N/A			4.52			N/A			2.84			N/A
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		N/A			0.39			N/A			2.16			N/A
Russell 1000^® Index		3.74			2.93			N/A			11.88			N/A			7.51			N/A
Russell 2000^® Index		2.22			(6.73	)		N/A			8.35			N/A			6.20			N/A

Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distributions and service fees. See “About Fund Performance” on page 16 for a detailed description of share classes, including any related sales charges and fees.

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

Past performance is not indicative of future results.



BLACKROCK FUNDS III	JUNE 30, 2016	11


				BlackRock LifePath 2040 Fund

Investment Objective

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

Total Return Based on a $10,000 Investment

LOGO

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

The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2040 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

The LifePath Fund’s custom benchmark consists of the following:


Period	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index			Cohen & Steers Realty Majors Index			Bloomberg Commodity Index³			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			MSCI EAFE Index			Russell 1000^® Index			Russell 2000^® Index			S&P MidCap 400^® Index			S&P 500^® Index			S&P SmallCap 600^® Index
7/01/05 to 6/30/06		9.1	%		N/A			2.8	%		N/A			N/A			N/A			21.2	%		N/A			N/A			6.8	%		56.8	%		3.3	%
7/01/06 to 6/30/07		7.7			N/A			5.9			N/A			N/A			N/A			23.5			N/A			N/A			7.2			52.0			3.7
7/01/07 to 6/30/08		8.3			0.1	%		6.4			N/A			N/A			18.8	%		6.1			N/A			N/A			7.4			49.3			3.6
7/01/08 to 6/30/09		9.5			1.0			N/A			N/A			7.4	%		25.7			N/A			N/A			N/A			7.6			45.2			3.6
7/01/09 to 6/30/10		11.0			1.1			N/A			N/A			8.9			24.0			N/A			N/A			N/A			7.1			44.7			3.2
7/01/10 to 6/30/11		11.8			1.2			N/A			N/A			7.7			24.5			N/A			N/A			N/A			6.6			45.3			2.9
7/01/11 to 6/30/12		13.9			1.5			N/A			N/A			8.1			24.2			N/A			45.4	%		2.5	%		0.6			3.6			0.2
7/01/12 to 6/30/13		16.4			1.7			N/A			2.9	%		8.1			23.3			N/A			45.3			2.3			N/A			N/A			N/A
7/01/13 to 6/30/14		18.2			1.8			N/A			3.9			8.2			23.1			N/A			42.5			2.3			N/A			N/A			N/A
7/01/14 to 6/30/15		10.8			1.2			N/A			4.0			10.5			26.2			N/A			45.2			2.1			N/A			N/A			N/A
7/01/15 to 6/30/16		6.2			0.8			N/A			4.0			12.1			28.1			N/A			46.7			1.9			N/A			N/A			N/A

Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 16 for descriptions of the indexes.



12	BLACKROCK FUNDS III	JUNE 30, 2016


		BlackRock LifePath 2040 Fund

Performance Summary for the Period Ended June 30, 2016


				Average Annual Total Returns¹
				1 Year						5 Years						10 Years
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		2.82	%		(1.36	)%		N/A			5.59	%		N/A			3.95	%		N/A
Investor A		2.73			(1.58	)		(6.75	)%		5.34			4.21	%		3.70			3.14	%
Investor C		2.28			(2.41	)		(3.31	)		4.55			4.55			2.82			2.82
Class K		2.92			(1.09	)		N/A			5.97			N/A			4.28			N/A
Class R		2.62			(1.78	)		N/A			5.09			N/A			3.34			N/A
LifePath 2040 Fund Custom Benchmark		3.55			(0.29	)		N/A			6.29			N/A			5.02			N/A
Barclays U.S. Aggregate Bond Index		5.31			6.00			N/A			3.76			N/A			5.13			N/A
Barclays U.S. TIPS Index		6.24			4.35			N/A			2.63			N/A			4.75			N/A
Bloomberg Commodity Index		13.25			(13.32	)		N/A			(5.59	)		N/A			(10.82	)		N/A
FTSE EPRA/NAREIT Developed Index		5.48			0.78			N/A			4.52			N/A			2.84			N/A
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		N/A			0.39			N/A			2.16			N/A
Russell 1000^® Index		3.74			2.93			N/A			11.88			N/A			7.51			N/A
Russell 2000^® Index		2.22			(6.73	)		N/A			8.35			N/A			6.20			N/A

Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distributions and service fees. See “About Fund Performance” on page 16 for a detailed description of share classes, including any related sales charges and fees.

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

Past performance is not indicative of future results.



BLACKROCK FUNDS III	JUNE 30, 2016	13


				BlackRock LifePath 2050 Fund


Investment Objective

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


Total Return Based on a $10,000 Investment

LOGO

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

The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2050 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Fund’s custom benchmark consists of the following:


Period	Barclays U.S. Aggregate Bond Index			Bloomberg Commodity Index⁴			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index			S&P MidCap 400^® Index			S&P 500^® Index			S&P SmallCap 600^® Index
7/01/05 to 6/30/06		N/A			N/A			N/A			N/A			N/A			N/A			N/A			N/A			N/A
7/01/06 to 6/30/07		N/A			N/A			N/A			N/A			N/A			N/A			N/A			N/A			N/A
7/01/07 to 6/30/08		N/A			N/A			N/A			N/A			N/A			N/A			N/A			N/A			N/A
7/01/08 to 6/30/09		1.0	%		N/A			5.4	%		30.0	%		N/A			N/A			10.6	%		48.0	%		5.0	%
7/01/09 to 6/30/10		1.0			N/A			10.5			27.2			N/A			N/A			8.2			49.4			3.7
7/01/10 to 6/30/11		1.7			N/A			9.5			27.7			N/A			N/A			7.2			50.8			3.1
7/01/11 to 6/30/12		4.1			N/A			10.1			27.2			51.4	%		2.2	%		0.6			4.1			0.3
7/01/12 to 6/30/13		9.3			3.9	%		10.3			26.5			48.3			1.7			N/A			N/A			N/A
7/01/13 to 6/30/14		N/A			N/A			N/A			N/A			N/A			N/A			N/A			N/A			N/A
7/01/14 to 6/30/15		4.7			4.1			12.2			28.5			48.5			2.0			N/A			N/A			N/A
7/01/15 to 6/30/16		1.0			0			13.8			30.2			48.7			1.9			N/A			N/A			N/A

⁴

Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 16 for descriptions of the indexes.



14	BLACKROCK FUNDS III	JUNE 30, 2016


		BlackRock LifePath 2050 Fund

Performance Summary for the Period Ended June 30, 2016


				Average Annual Total Returns¹
				1 Year						5 Years						Since Inception²
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		2.61	%		(1.83	)%		N/A			5.93	%		N/A			4.48	%		N/A
Investor A		2.49			(2.03	)		(7.17	)%		5.68			4.55	%		4.22			3.52	%
Investor C		2.10			(2.76	)		(3.67	)		4.89			4.89			3.30			3.30
Class K		2.73			(1.52	)		N/A			6.30			N/A			4.83			N/A
Class R		2.44			(2.18	)		N/A			5.44			N/A			3.83			N/A
LifePath 2050 Fund Custom Benchmark		3.43			(0.62	)		N/A			6.71			N/A			5.50			N/A
Barclays U.S. Aggregate Bond Index		5.31			6.00			N/A			3.76			N/A			4.76			N/A
Bloomberg Commodity Index		13.25			(13.32	)		N/A			(5.59	)		N/A			(11.22	)		N/A
FTSE EPRA/NAREIT Developed Index		5.48			0.78			N/A			4.52			N/A			5.39			N/A
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		N/A			0.39			N/A			0.36			N/A
Russell 1000^® Index		3.74			2.93			N/A			11.88			N/A			8.73			N/A
Russell 2000^® Index		2.22			(6.73	)		N/A			8.35			N/A			8.14			N/A

Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distributions and service fees. See “About Fund Performance” on page 16 for a detailed description of share classes, including any related sales charges and fees.

The LifePath Fund commenced operations on June 30, 2008.

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

Past performance is not indicative of future results.



BLACKROCK FUNDS III	JUNE 30, 2016	15


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. Prior to May 30, 2008 for LifePath Retirement, LifePath 2020, LifePath 2030 and LifePath 2040 Funds, Class K Shares’ performance results are those of Institutional Shares restated to reflect Class K Shares’ fees.

•

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. Prior to May 3, 2010, Investor C Shares’ performance results are those of Institutional Shares restated to reflect Investor C Shares’ fees.

•

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. Prior to May 3, 2010, Class R Shares’ performance results are those of Institutional Shares restated to reflect Class R Shares’ fees.

BlackRock Advisors, LLC (“BAL” or the “Administrator”), each LifePath Funds’ administrator, has contractually agreed to waive and/or reimburse

a portion of each LifePath Fund’s expenses. Without such waivers, each LifePath Fund’s performance would have been lower. The Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 4 of the Notes to Financial Statements for additional information on waivers and/or reimbursements.

The LifePath Funds’ custom benchmarks are hypothetical representations of the performance of the respective LifePath Fund’s asset classes according to their weightings as of the most recent quarter-end. The weightings of the various indexes that are included in the LifePath Funds’ custom benchmarks are adjusted quarterly to reflect the LifePath Funds’ changing asset allocations over time. As of June 30, 2016, the following indexes are used to calculate the LifePath Fund’s custom benchmarks: Barclays U.S. Aggregate Bond Index, Barclays U.S. TIPS Index, (Series L), Bloomberg Commodity Index, FTSE EPRA/NAREIT Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000^® Index and Russell 2000^® Index, as applicable.

The Barclays U.S. Aggregate Bond Index is 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. The Barclays U.S. TIPS Index (Series L) is an unmanaged index that measures the performance of the inflation-protected public obligations of the U.S. Treasury. The Bloomberg Commodity Index is a broadly diversified index that allows investors to track commodity futures through a single, simple measure. The FTSE EPRA/NAREIT Developed Index is a global market capitalization weighted index composed of listed real estate securities from developed market countries in North America, Europe, and Asia. The MSCI ACWI ex USA IMI Index is a free float-adjusted market capitalization weighted index that measures the equity market performance of the developed (excluding the U.S.) and emerging investable market universe. The Russell 1000^® Index is an index that measures the performance of the large cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The index represents approximately 92% of the total market capitalization of the Russell 3000^® Index. The Russell 2000^® Index is an unmanaged index that is a subset of the Russell 3000^® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.



16	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Expenses

Shareholders of each LifePath Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense examples shown below (which are based on a hypothetical investment of $1,000 invested on January 1, 2016 and held through June 30, 2016) are intended to assist shareholders both in calculating expenses based on an investment in a LifePath Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense examples provide information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their LifePath Fund and their share class under the heading entitled “Expenses Paid During the Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on each LifePath 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 a LifePath Fund and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in other funds’ shareholder reports.


Expense Examples


	Actual						Hypothetical²
	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period¹		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period¹		Annualized Expense Ratio
LifePath Retirement Fund
Institutional	$	1,000.00	$	1,043.50	$	2.95	$	1,000.00	$	1,021.98	$	2.92		0.58	%
Investor A	$	1,000.00	$	1,041.20	$	4.21	$	1,000.00	$	1,020.74	$	4.17		0.83	%
Investor C	$	1,000.00	$	1,037.90	$	8.31	$	1,000.00	$	1,016.71	$	8.22		1.64	%
Class K	$	1,000.00	$	1,045.00	$	1.98	$	1,000.00	$	1,022.92	$	1.96		0.38	%
Class R	$	1,000.00	$	1,041.10	$	5.23	$	1,000.00	$	1,019.74	$	5.17		1.03	%
LifePath 2020 Fund
Institutional	$	1,000.00	$	1,039.10	$	2.94	$	1,000.00	$	1,021.98	$	2.92		0.58	%
Investor A	$	1,000.00	$	1,038.10	$	4.21	$	1,000.00	$	1,020.74	$	4.17		0.83	%
Investor C	$	1,000.00	$	1,034.40	$	8.24	$	1,000.00	$	1,016.76	$	8.17		1.63	%
Class K	$	1,000.00	$	1,040.50	$	1.93	$	1,000.00	$	1,022.97	$	1.91		0.38	%
Class R	$	1,000.00	$	1,036.70	$	5.22	$	1,000.00	$	1,019.74	$	5.17		1.03	%
LifePath 2030 Fund
Institutional	$	1,000.00	$	1,033.60	$	2.88	$	1,000.00	$	1,022.03	$	2.87		0.57	%
Investor A	$	1,000.00	$	1,032.00	$	4.14	$	1,000.00	$	1,020.79	$	4.12		0.82	%
Investor C	$	1,000.00	$	1,028.40	$	8.12	$	1,000.00	$	1,016.86	$	8.07		1.61	%
Class K	$	1,000.00	$	1,034.80	$	1.87	$	1,000.00	$	1,023.02	$	1.86		0.37	%
Class R	$	1,000.00	$	1,031.20	$	5.15	$	1,000.00	$	1,019.79	$	5.12		1.02	%
LifePath 2040 Fund
Institutional	$	1,000.00	$	1,028.20	$	2.77	$	1,000.00	$	1,022.13	$	2.77		0.55	%
Investor A	$	1,000.00	$	1,027.30	$	4.03	$	1,000.00	$	1,020.89	$	4.02		0.80	%
Investor C	$	1,000.00	$	1,022.80	$	8.05	$	1,000.00	$	1,016.91	$	8.02		1.60	%
Class K	$	1,000.00	$	1,029.20	$	1.77	$	1,000.00	$	1,023.12	$	1.76		0.35	%
Class R	$	1,000.00	$	1,026.20	$	5.04	$	1,000.00	$	1,019.89	$	5.02		1.00	%
LifePath 2050 Fund
Institutional	$	1,000.00	$	1,026.10	$	2.72	$	1,000.00	$	1,022.18	$	2.72		0.54	%
Investor A	$	1,000.00	$	1,024.90	$	3.98	$	1,000.00	$	1,020.93	$	3.97		0.79	%
Investor C	$	1,000.00	$	1,021.00	$	7.99	$	1,000.00	$	1,016.96	$	7.97		1.59	%
Class K	$	1,000.00	$	1,027.30	$	1.71	$	1,000.00	$	1,023.17	$	1.71		0.34	%
Class R	$	1,000.00	$	1,024.40	$	4.98	$	1,000.00	$	1,019.94	$	4.97		0.99	%

For each class of the LifePath Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). Because each LifePath Fund invests all of its assets in a LifePath Master Portfolio, the expense examples reflect the net expenses of both the LifePath Fund and the LifePath Master Portfolio in which it invests.

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.



BLACKROCK FUNDS III	JUNE 30, 2016	17


Derivative Financial Instruments



18	BLACKROCK FUNDS III	JUNE 30, 2016


Statements of Assets and Liabilities


June 30, 2016 (Unaudited)	BlackRock LifePath Retirement Fund			BlackRock LifePath 2020 Fund			BlackRock LifePath 2030 Fund			BlackRock LifePath 2040 Fund			BlackRock LifePath 2050 Fund

Assets
Investments at value — from the applicable LifePath Master Portfolio¹	$	199,701,518		$	523,849,482		$	516,866,591		$	410,929,692		$	123,342,612
Receivables:
Withdrawals from the LifePath Master Portfolio		1,024,500			2,506,922			2,138,838			2,545,608			162,625
Capital shares sold		60,687			235,885			230,155			303,637			135,053

Total assets		200,786,705			526,592,289			519,235,584			413,778,937			123,640,290


Liabilities
Payables:
Capital shares redeemed		1,085,187			2,742,807			2,368,993			2,849,245			297,678
Administration fees		55,316			148,511			144,507			113,724			32,833
Service and distribution fees		20,175			61,287			63,462			45,210			14,973
Income dividends		19,252			63,553			58,462			24,858			11,062
Professional fees		7,967			7,933			7,920			7,953			7,985
Capital gains distributions		—			—			—			16,230			—

Total liabilities		1,187,897			3,024,091			2,643,344			3,057,220			364,531

Net Assets	$	199,598,808		$	523,568,198		$	516,592,240		$	410,721,717		$	123,275,759


Net Assets Consist of
Paid-in capital	$	173,454,136		$	468,303,808		$	498,825,105		$	362,985,198		$	119,558,340
Distributions in excess of net investment income		(2,169,079	)		(4,109,077	)		(2,477,123	)		(1,224,561	)		(172,081	)
Accumulated net realized loss allocated from the LifePath Master Portfolio		(17,160,669	)		(41,744,162	)		(25,813,963	)		(22,720,909	)		(9,981,403	)
Net unrealized appreciation (depreciation) allocated from the LifePath Master Portfolio		45,474,420			101,117,629			46,058,221			71,681,989			13,870,903

Net Assets	$	199,598,808		$	523,568,198		$	516,592,240		$	410,721,717		$	123,275,759


Net Asset Value
Institutional:
Net assets	$	95,281,334		$	209,327,674		$	194,277,692		$	169,557,243		$	41,329,474

Shares outstanding²		8,914,375			14,298,601			14,368,459			10,280,455			2,318,996

Net asset value	$	10.69		$	14.64		$	13.52		$	16.49		$	17.82

Investor A:
Net assets	$	91,301,663		$	281,653,540		$	290,597,873		$	209,016,246		$	68,468,957

Shares outstanding²		9,545,969			20,756,710			22,212,646			13,644,177			3,850,407

Net asset value	$	9.56		$	13.57		$	13.08		$	15.32		$	17.78

Investor C:
Net assets	$	1,204,409		$	2,709,975		$	3,262,482		$	2,250,559		$	637,980

Shares outstanding²		113,889			187,301			244,993			138,139			36,175

Net asset value	$	10.58		$	14.47		$	13.32		$	16.29		$	17.64

Class K:
Net assets	$	11,028,068		$	25,656,946		$	24,392,071		$	27,764,727		$	11,341,136

Shares outstanding²		1,034,876			1,758,197			1,806,112			1,675,526			634,612

Net asset value	$	10.66		$	14.59		$	13.51		$	16.57		$	17.87

Class R:
Net assets	$	783,334		$	4,220,063		$	4,062,122		$	2,132,942		$	1,498,212

Shares outstanding²		73,800			289,812			303,104			130,162			84,434

Net asset value	$	10.61		$	14.56		$	13.40		$	16.39		$	17.74

¹ Investments at cost — from the applicable LifePath Master Portfolio	$	154,227,098		$	422,731,853		$	470,808,370		$	339,247,703		$	109,471,709
² No par value, unlimited number of shares authorized.


Statements of Operations


Six Months Ended June 30, 2016 (Unaudited)	BlackRock LifePath Retirement Fund			BlackRock LifePath 2020 Fund			BlackRock LifePath 2030 Fund			BlackRock LifePath 2040 Fund			BlackRock LifePath 2050 Fund

Investment Income
Net investment income allocated from the applicable LifePath Master Portfolio:
Dividends — unaffiliated	$	24,801		$	251,908		$	655,611		$	798,236		$	262,741
Dividends — affiliated		867,100			2,838,923			3,751,390			3,710,873			1,125,642
Interest — affiliated		1,466,081			3,184,684			1,810,654			494,787			41,630
Securities lending — affiliated — net		5,394			20,209			26,966			19,858			7,888
Foreign taxes withheld		(636	)		(3,860	)		(9,332	)		(10,676	)		(4,318	)
Expenses		(618,061	)		(1,601,309	)		(1,516,331	)		(1,169,777	)		(344,252	)
Fees waived		374,718			978,292			963,448			774,462			233,941

Total income		2,119,397			5,668,847			5,682,406			4,617,763			1,323,272


Fund Expenses
Administration — class specific		358,882			929,210			880,541			688,660			194,983
Service and distribution — class specific		125,898			372,073			380,766			272,736			89,549
Professional		8,434			8,438			8,442			8,442			8,442
Miscellaneous		1,128			4,230			1,128			4,230			169

Total expenses		494,342			1,313,951			1,270,877			974,068			293,143
Less fees waived by the Administrator		(8,434	)		(8,438	)		(8,442	)		(8,442	)		(8,442	)

Total expenses after fees waived		485,908			1,305,513			1,262,435			965,626			284,701

Net investment income		1,633,489			4,363,334			4,419,971			3,652,137			1,038,571


Realized and Unrealized Gain (Loss) Allocation from the LifePath Master Portfolio
Net realized from investments, futures contracts, swaps and foreign currency transactions		(11,107,052	)		(19,671,028	)		(3,102,431	)		(7,556,818	)		(7,485,548	)

Net change in unrealized appreciation (depreciation) on investments, futures contracts, swaps and foreign currency translations		17,034,936			35,251,078			14,657,604			14,612,435			9,691,276

Net realized and unrealized gain		5,927,884			15,580,050			11,555,173			7,055,617			2,205,728

Net Increase in Net Assets Resulting from Operations	$	7,561,373		$	19,943,384		$	15,975,144		$	10,707,754		$	3,244,299


Statements of Changes in Net Assets


	BlackRock LifePath Retirement Fund						BlackRock LifePath 2020 Fund
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	1,633,489		$	4,483,843		$	4,363,334		$	9,912,866
Net realized gain (loss)		(11,107,052	)		6,260,131			(19,671,028	)		37,234,799
Net change in unrealized appreciation (depreciation)		17,034,936			(14,207,577	)		35,251,078			(55,072,147	)

Net increase (decrease) in net assets resulting from operations		7,561,373			(3,463,603	)		19,943,384			(7,924,482	)


Distributions to Shareholders¹
From net investment income:
Institutional		(807,373	)		(3,127,076	)		(1,906,215	)		(5,744,451	)
Investor A		(784,472	)		(2,150,315	)		(2,334,710	)		(5,423,081	)
Investor C		(5,173	)		(14,652	)		(11,140	)		(20,432	)
Class K		(100,404	)		(162,220	)		(246,210	)		(374,112	)
Class R		(4,756	)		(9,953	)		(28,050	)		(43,593	)
From net realized gain:
Institutional		—			(5,334,035	)		—			(16,437,737	)
Investor A		—			(4,072,705	)		—			(19,138,626	)
Investor C		—			(53,135	)		—			(151,851	)
Class K		—			(286,046	)		—			(1,094,350	)
Class R		—			(24,096	)		—			(192,139	)
From return of capital:
Institutional		—			(229,822	)		—			(414,898	)
Investor A		—			(150,783	)		—			(376,514	)
Investor C		—			(1,865	)		—			(3,113	)
Class K		—			(7,227	)		—			(16,893	)
Class R		—			(912	)		—			(3,437	)

Decrease in net assets resulting from distributions to shareholders		(1,702,178	)		(15,624,842	)		(4,526,325	)		(49,435,227	)


Capital Share Transactions
Net decrease in net assets derived from capital share transactions		(60,307,300	)		(106,205,622	)		(72,388,547	)		(234,934,031	)


Net Assets
Total decrease in net assets		(54,448,105	)		(125,294,067	)		(56,971,488	)		(292,293,740	)
Beginning of period		254,046,913			379,340,980			580,539,686			872,833,426

End of period	$	199,598,808		$	254,046,913		$	523,568,198		$	580,539,686

Distributions in excess of net investment income, end of period	$	(2,169,079	)	$	(2,100,390	)	$	(4,109,077	)	$	(3,946,086	)

¹ Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets


	BlackRock LifePath 2030 Fund						BlackRock LifePath 2040 Fund
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	4,419,971		$	9,604,722		$	3,652,137		$	8,268,067
Net realized gain (loss)		(3,102,431	)		42,635,544			(7,556,818	)		39,968,484
Net change in unrealized appreciation (depreciation)		14,657,604			(60,423,454	)		14,612,435			(53,419,747	)

Net increase (decrease) in net assets resulting from operations		15,975,144			(8,183,188	)		10,707,754			(5,183,196	)


Distributions to Shareholders¹
From net investment income:
Institutional		(1,803,629	)		(5,245,965	)		(1,603,819	)		(4,627,517	)
Investor A		(2,397,591	)		(5,139,428	)		(1,835,308	)		(3,769,172	)
Investor C		(14,318	)		(28,327	)		(9,506	)		(18,841	)
Class K		(252,393	)		(347,476	)		(284,091	)		(276,680	)
Class R		(28,717	)		(37,723	)		(15,260	)		(16,799	)
From net realized gain:
Institutional		—			(16,480,125	)		(573,398	)		(16,944,291	)
Investor A		—			(21,374,712	)		(751,398	)		(19,564,019	)
Investor C		—			(229,534	)		(7,624	)		(207,034	)
Class K		—			(1,118,319	)		(92,086	)		(1,178,255	)
Class R		—			(206,273	)		(7,158	)		(112,003	)
From return of capital:
Institutional		—			(153,051	)		—			—
Investor A		—			(149,932	)		—			—
Investor C		—			(1,533	)		—			—
Class K		—			(6,383	)		—			—
Class R		—			(1,230	)		—			—

Decrease in net assets resulting from distributions to shareholders		(4,496,648	)		(50,520,011	)		(5,179,648	)		(46,714,611	)


Capital Share Transactions
Net decrease in net assets derived from capital share transactions		(38,477,984	)		(212,874,136	)		(20,562,188	)		(229,125,964	)


Net Assets
Total decrease in net assets		(26,999,488	)		(271,577,335	)		(15,034,082	)		(281,023,771	)
Beginning of period		543,591,728			815,169,063			425,755,799			706,779,570

End of period	$	516,592,240		$	543,591,728		$	410,721,717		$	425,755,799

Distributions in excess of net investment income, end of period	$	(2,477,123	)	$	(2,400,446	)	$	(1,224,561	)	$	(1,128,714	)

¹ Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets


	BlackRock LifePath 2050 Fund
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	1,038,571		$	2,324,471
Net realized gain (loss)		(7,485,548	)		5,287,562
Net change in unrealized appreciation (depreciation)		9,691,276			(9,113,775	)

Net increase (decrease) in net assets resulting from operations		3,244,299			(1,501,742	)


Distributions to Shareholders¹
From net investment income:
Institutional		(388,319	)		(1,220,284	)
Investor A		(544,096	)		(1,059,368	)
Investor C		(2,706	)		(5,625	)
Class K		(121,863	)		(31,254	)
Class R		(9,894	)		(16,286	)
From net realized gain:
Institutional		—			(3,318,877	)
Investor A		—			(5,011,499	)
Investor C		—			(50,455	)
Class K		—			(110,679	)
Class R		—			(103,788	)

Decrease in net assets resulting from distributions to shareholders		(1,066,878	)		(10,928,115	)


Capital Share Transactions
Net increase (decrease) in net assets derived from capital share transactions		6,265,892			(54,874,122	)


Net Assets
Total increase (decrease) in net assets		8,443,313			(67,303,979	)
Beginning of period		114,832,446			182,136,425

End of period	$	123,275,759		$	114,832,446

Distributions in excess of net investment income, end of period	$	(172,081	)	$	(143,774	)

¹ Distributions for annual periods determined in accordance with federal income tax regulations.


Financial Highlights		BlackRock LifePath Retirement Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	10.33		$	11.07		$	11.72		$	11.80		$	11.39		$	11.55

Net investment income¹		0.09			0.16			0.18			0.16			0.20			0.27
Net realized and unrealized gain (loss)		0.36			(0.33	)		0.38			0.57			0.77			0.18

Net increase (decrease) from investment operations		0.45			(0.17	)		0.56			0.73			0.97			0.45

Distributions:²
From net investment income		(0.09	)		(0.20	)		(0.19	)		(0.16	)		(0.21	)		(0.26	)
From net realized gain		—			(0.36	)		(1.02	)		(0.65	)		(0.35	)		(0.35	)
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.09	)		(0.57	)		(1.21	)		(0.81	)		(0.56	)		(0.61	)

Net asset value, end of period	$	10.69		$	10.33		$	11.07		$	11.72		$	11.80		$	11.39


Total Return³
Based on net asset value		4.35%	⁴		(1.52)%			4.75%			6.25%			8.61%			3.96%


Ratios to Average Net Assets^5,6,7
Total expenses		0.59%	⁸		0.75%			0.75%			0.76%			0.78%			0.77%

Total expenses after fees waived and/or reimbursed		0.58%	⁸		0.70%			0.75%			0.75%			0.78%			0.77%

Net investment income		1.66%	⁸		1.48%			1.52%			1.34%			1.70%			2.27%


Supplemental Data
Net assets, end of period (000)	$	95,281		$	141,034		$	234,280		$	342,615		$	390,150		$	431,982

Portfolio turnover rate of the LifePath Master Portfolio		9%	⁹		21%	⁹		14%	¹⁰		17%	¹⁰		4%	¹¹		4%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.36%, 0.31%, 0.31%, 0.30%, 0.29% and 0.30% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.10%		0.09%		0.10%		0.10%		0.08%		0.08%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 13% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath Retirement Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	9.25		$	9.99		$	10.69		$	10.84		$	10.50		$	10.71

Net investment income¹		0.07			0.12			0.14			0.12			0.16			0.22
Net realized and unrealized gain (loss)		0.32			(0.30	)		0.35			0.51			0.72			0.16

Net increase (decrease) from investment operations		0.39			(0.18	)		0.49			0.63			0.88			0.38

Distributions:²
From net investment income		(0.08	)		(0.19	)		(0.17	)		(0.13	)		(0.19	)		(0.24	)
From net realized gain		—			(0.36	)		(1.02	)		(0.65	)		(0.35	)		(0.35	)
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.08	)		(0.56	)		(1.19	)		(0.78	)		(0.54	)		(0.59	)

Net asset value, end of period	$	9.56		$	9.25		$	9.99		$	10.69		$	10.84		$	10.50


Total Return³
Based on net asset value		4.23%	⁴		(1.89)%			4.56%			5.94%			8.46%			3.60%


Ratios to Average Net Assets^5,6,7
Total expenses		0.84%	⁸		1.00%			1.01%			1.01%			1.03%			1.02%

Total expenses after fees waived and/or reimbursed		0.83%	⁸		0.95%			1.00%			1.00%			1.03%			1.02%

Net investment income		1.42%	⁸		1.25%			1.27%			1.08%			1.47%			2.03%


Supplemental Data
Net assets, end of period (000)	$	91,302		$	102,207		$	139,853		$	155,402		$	189,898		$	183,967

Portfolio turnover rate of the LifePath Master Portfolio		9%	⁹		21%	⁹		14%	¹⁰		17%	¹⁰		4%	¹¹		4%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.36%, 0.31%, 0.33%, 0.30%, 0.29% and 0.30% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.10%		0.09%		0.10%		0.10%		0.08%		0.08%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 13% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath Retirement Fund


	Investor C
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	10.22		$	10.97		$	11.64		$	11.76		$	11.36		$	11.55

Net investment income¹		0.03			0.06			0.07			0.04			0.08			0.17
Net realized and unrealized gain (loss)		0.37			(0.34	)		0.36			0.56			0.77			0.16

Net increase (decrease) from investment operations		0.40			(0.28	)		0.43			0.60			0.85			0.33

Distributions:²
From net investment income		(0.04	)		(0.10	)		(0.08	)		(0.07	)		(0.10	)		(0.17	)
From net realized gain		—			(0.36	)		(1.02	)		(0.65	)		(0.35	)		(0.35	)
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.04	)		(0.47	)		(1.10	)		(0.72	)		(0.45	)		(0.52	)

Net asset value, end of period	$	10.58		$	10.22		$	10.97		$	11.64		$	11.76		$	11.36


Total Return³
Based on net asset value		3.79%	⁴		(2.56)%			3.70%			5.12%			7.55%			2.86%


Ratios to Average Net Assets^5,6,7
Total expenses		1.64%	⁸		1.76%			1.76%			1.77%			1.78%			1.78%

Total expenses after fees waived and/or reimbursed		1.64%	⁸		1.70%			1.75%			1.76%			1.78%			1.78%

Net investment income		0.61%	⁸		0.56%			0.56%			0.33%			0.70%			1.42%


Supplemental Data
Net assets, end of period (000)	$	1,204		$	1,573		$	1,295		$	511		$	135		$	55

Portfolio turnover rate of the LifePath Master Portfolio		9%	⁹		21%	⁹		14%	¹⁰		17%	¹⁰		4%	¹¹		4%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.10%		0.09%		0.10%		0.10%		0.08%		0.08%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 13% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath Retirement Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	10.30		$	11.05		$	11.69		$	11.78		$	11.37		$	11.54

Net investment income¹		0.10			0.21			0.22			0.20			0.25			0.32
Net realized and unrealized gain (loss)		0.36			(0.35	)		0.39			0.56			0.77			0.17

Net increase (decrease) from investment operations		0.46			(0.14	)		0.61			0.76			1.02			0.49

Distributions:²
From net investment income		(0.10	)		(0.24	)		(0.23	)		(0.20	)		(0.26	)		(0.31	)
From net realized gain		—			(0.36	)		(1.02	)		(0.65	)		(0.35	)		(0.35	)
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.10	)		(0.61	)		(1.25	)		(0.85	)		(0.61	)		(0.66	)

Net asset value, end of period	$	10.66		$	10.30		$	11.05		$	11.69		$	11.78		$	11.37


Total Return³
Based on net asset value		4.50%	⁴		(1.28)%			5.24%			6.54%			9.03%			4.27%


Ratios to Average Net Assets^5,6,7
Total expenses		0.39%	⁸		0.42%			0.40%			0.40%			0.43%			0.44%

Total expenses after fees waived and/or reimbursed		0.38%	⁸		0.42%			0.40%			0.40%			0.43%			0.43%

Net investment income		1.91%	⁸		1.96%			1.86%			1.67%			2.07%			2.69%


Supplemental Data
Net assets, end of period (000)	$	11,028		$	8,577		$	3,019		$	3,675		$	7,378		$	4,309

Portfolio turnover rate of the LifePath Master Portfolio		9%	⁹		21%	⁹		14%	¹⁰		17%	¹⁰		4%	¹¹		4%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.36%, 0.30%, 0.33%, 0.30%, 0.30% and 0.29% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.10%		0.09%		0.10%		0.10%		0.08%		0.08%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 13% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (concluded)		BlackRock LifePath Retirement Fund


	Class R
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	10.26		$	11.01		$	11.65		$	11.75		$	11.36		$	11.54

Net investment income¹		0.06			0.10			0.12			0.10			0.17			0.21
Net realized and unrealized gain (loss)		0.36			(0.33	)		0.38			0.55			0.76			0.17

Net increase (decrease) from investment operations		0.42			(0.23	)		0.50			0.65			0.93			0.38

Distributions:²
From net investment income		(0.07	)		(0.15	)		(0.12	)		(0.10	)		(0.19	)		(0.21	)
From net realized gain		—			(0.36	)		(1.02	)		(0.65	)		(0.35	)		(0.35	)
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.07	)		(0.52	)		(1.14	)		(0.75	)		(0.54	)		(0.56	)

Net asset value, end of period	$	10.61		$	10.26		$	11.01		$	11.65		$	11.75		$	11.36


Total Return³
Based on net asset value		4.11%	⁴		(2.10)%			4.25%			5.61%			8.26%			3.32%


Ratios to Average Net Assets^5,6,7
Total expenses		1.04%	⁸		1.25%			1.25%			1.26%			1.27%			1.28%

Total expenses after fees waived and/or reimbursed		1.03%	⁸		1.19%			1.25%			1.25%			1.26%			1.27%

Net investment income		1.24%	⁸		0.99%			0.98%			0.85%			1.38%			1.76%


Supplemental Data
Net assets, end of period (000)	$	783		$	656		$	895		$	2,060		$	2,609		$	41

Portfolio turnover rate of the LifePath Master Portfolio		9%	⁹		21%	⁹		14%	¹⁰		17%	¹⁰		4%	¹¹		4%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.36%, 0.31%, 0.31%, 0.30%, 0.32% and 0.29% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.10%		0.09%		0.10%		0.10%		0.08%		0.08%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 13% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		BlackRock LifePath 2020 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	14.21		$	15.65		$	16.75		$	16.42		$	15.22		$	15.92

Net investment income¹		0.12			0.23			0.26			0.25			0.29			0.33
Net realized and unrealized gain (loss)		0.43			(0.49	)		0.58			1.32			1.38			(0.09	)

Net increase (decrease) from investment operations		0.55			(0.26	)		0.84			1.57			1.67			0.24

Distributions:²
From net investment income		(0.12	)		(0.27	)		(0.26	)		(0.26	)		(0.29	)		(0.33	)
From net realized gain		—			(0.89	)		(1.68	)		(0.98	)		(0.18	)		(0.61	)
From return of capital		—			(0.02	)		—			—			—			—

Total distributions		(0.12	)		(1.18	)		(1.94	)		(1.24	)		(0.47	)		(0.94	)

Net asset value, end of period	$	14.64		$	14.21		$	15.65		$	16.75		$	16.42		$	15.22


Total Return³
Based on net asset value		3.91%	⁴		(1.78)%			5.06%			9.67%			10.99%			1.46%


Ratios to Average Net Assets^5,6,7
Total expenses		0.58%	⁸		0.73%			0.74%			0.73%			0.75%			0.75%

Total expenses after fees waived and/or reimbursed		0.58%	⁸		0.73%			0.74%			0.73%			0.75%			0.74%

Net investment income		1.73%	⁸		1.44%			1.50%			1.47%			1.77%			2.05%


Supplemental Data
Net assets, end of period (000)	$	209,328		$	259,411		$	490,447		$	698,251		$	688,545		$	752,092

Portfolio turnover rate of the LifePath Master Portfolio		9%	⁹		18%	⁹		21%	¹⁰		19%	¹⁰		5%	¹¹		5%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.36%, 0.34%, 0.34%, 0.32%, 0.32% and 0.32% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.10%		0.11%		0.11%		0.12%		0.11%		0.11%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 15% and 23% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2020 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.18		$	14.61		$	15.77		$	15.53		$	14.43		$	15.14

Net investment income¹		0.10			0.18			0.20			0.19			0.24			0.28
Net realized and unrealized gain (loss)		0.40			(0.46	)		0.55			1.25			1.30			(0.09	)

Net increase (decrease) from investment operations		0.50			(0.28	)		0.75			1.44			1.54			0.19

Distributions:²
From net investment income		(0.11	)		(0.24	)		(0.23	)		(0.22	)		(0.26	)		(0.29	)
From net realized gain		—			(0.89	)		(1.68	)		(0.98	)		(0.18	)		(0.61	)
From return of capital		—			(0.02	)		—			—			—			—

Total distributions		(0.11	)		(1.15	)		(1.91	)		(1.20	)		(0.44	)		(0.90	)

Net asset value, end of period	$	13.57		$	13.18		$	14.61		$	15.77		$	15.53		$	14.43


Total Return³
Based on net asset value		3.81%	⁴		(2.03)%			4.79%			9.39%			10.67%			1.26%


Ratios to Average Net Assets^5,6,7
Total expenses		0.83%	⁸		0.98%			0.99%			0.98%			1.00%			1.00%

Total expenses after fees waived and/or reimbursed		0.83%	⁸		0.98%			0.98%			0.98%			1.00%			1.00%

Net investment income		1.49%	⁸		1.24%			1.26%			1.21%			1.55%			1.82%


Supplemental Data
Net assets, end of period (000)	$	281,654		$	297,027		$	367,281		$	390,380		$	410,926		$	401,477

Portfolio turnover rate of the LifePath Master Portfolio		9%	⁹		18%	⁹		21%	¹⁰		19%	¹⁰		5%	¹¹		5%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.36%, 0.33%, 0.35%, 0.32%, 0.32% and 0.32% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.10%		0.11%		0.11%		0.12%		0.11%		0.11%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 15% and 23% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2020 Fund


	Investor C
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	14.05		$	15.49		$	16.62		$	16.32		$	15.16		$	15.89

Net investment income¹		0.05			0.08			0.09			0.09			0.14			0.17
Net realized and unrealized gain (loss)		0.43			(0.50	)		0.57			1.30			1.36			(0.09	)

Net increase (decrease) from investment operations		0.48			(0.42	)		0.66			1.39			1.50			0.08

Distributions:²
From net investment income		(0.06	)		(0.11	)		(0.11	)		(0.11	)		(0.16	)		(0.20	)
From net realized gain		—			(0.89	)		(1.68	)		(0.98	)		(0.18	)		(0.61	)
From return of capital		—			(0.02	)		—			—			—			—

Total distributions		(0.06	)		(1.02	)		(1.79	)		(1.09	)		(0.34	)		(0.81	)

Net asset value, end of period	$	14.47		$	14.05		$	15.49		$	16.62		$	16.32		$	15.16


Total Return³
Based on net asset value		3.44%	⁴		(2.77)%			3.98%			8.58%			9.87%			0.47%


Ratios to Average Net Assets^5,6,7
Total expenses		1.63%	⁸		1.74%			1.74%			1.73%			1.75%			1.75%

Total expenses after fees waived and/or reimbursed		1.63%	⁸		1.73%			1.73%			1.73%			1.75%			1.75%

Net investment income		0.71%	⁸		0.49%			0.54%			0.51%			0.87%			1.05%


Supplemental Data
Net assets, end of period (000)	$	2,710		$	2,233		$	2,981		$	2,193		$	1,262		$	301

Portfolio turnover rate of the LifePath Master Portfolio		9%	⁹		18%	⁹		21%	¹⁰		19%	¹⁰		5%	¹¹		5%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.36%, 0.33%, 0.36%, 0.32%, 0.32% and 0.32% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.10%		0.11%		0.11%		0.12%		0.11%		0.11%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 15% and 23% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2020 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	14.16		$	15.61		$	16.73		$	16.39		$	15.20		$	15.91

Net investment income¹		0.14			0.30			0.32			0.30			0.35			0.40
Net realized and unrealized gain (loss)		0.43			(0.51	)		0.57			1.33			1.37			(0.12	)

Net increase (decrease) from investment operations		0.57			(0.21	)		0.89			1.63			1.72			0.28

Distributions:²
From net investment income		(0.14	)		(0.33	)		(0.33	)		(0.31	)		(0.35	)		(0.38	)
From net realized gain					(0.89	)		(1.68	)		(0.98	)		(0.18	)		(0.61	)
From return of capital		—			(0.02	)		—			—			—			—

Total distributions		(0.14	)		(1.24	)		(2.01	)		(1.29	)		(0.53	)		(0.99	)

Net asset value, end of period	$	14.59		$	14.16		$	15.61		$	16.73		$	16.39		$	15.20


Total Return³
Based on net asset value		4.05%	⁴		(1.46)%			5.35%			10.11%			11.36%			1.78%


Ratios to Average Net Assets^5,6,7
Total expenses		0.38%	⁸		0.40%			0.39%			0.38%			0.40%			0.40%

Total expenses after fees waived and/or reimbursed		0.38%	⁸		0.40%			0.38%			0.37%			0.40%			0.40%

Net investment income		1.96%	⁸		1.96%			1.90%			1.77%			2.18%			2.47%


Supplemental Data
Net assets, end of period (000)	$	25,657		$	18,412		$	9,545		$	6,500		$	11,609		$	6,224

Portfolio turnover rate of the LifePath Master Portfolio		9%	⁹		18%	⁹		21%	¹⁰		19%	¹⁰		5%	¹¹		5%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.31%, 0.33%, 0.36%, 0.32%, 0.32% and 0.32% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.10%		0.11%		0.11%		0.12%		0.11%		0.11%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 15% and 23% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (concluded)		BlackRock LifePath 2020 Fund


	Class R
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	14.14		$	15.59		$	16.70		$	16.36		$	15.20		$	15.88

Net investment income¹		0.09			0.16			0.17			0.16			0.25			0.24
Net realized and unrealized gain (loss)		0.43			(0.50	)		0.58			1.33			1.32			(0.07	)

Net increase (decrease) from investment operations		0.52			(0.34	)		0.75			1.49			1.57			0.17

Distributions:²
From net investment income		(0.10	)		(0.20	)		(0.18	)		(0.17	)		(0.23	)		(0.24	)
From net realized gain		—			(0.89	)		(1.68	)		(0.98	)		(0.18	)		(0.61	)
From return of capital		—			(0.02	)		—			—			—			—

Total distributions		(0.10	)		(1.11	)		(1.86	)		(1.15	)		(0.41	)		(0.85	)

Net asset value, end of period	$	14.56		$	14.14		$	15.59		$	16.70		$	16.36		$	15.20


Total Return³
Based on net asset value		3.67%	⁴		(2.25)%			4.49%			9.20%			10.36%			1.06%


Ratios to Average Net Assets^5,6,7
Total expenses		1.03%	⁸		1.23%			1.24%			1.23%			1.25%			1.25%

Total expenses after fees waived and/or reimbursed		1.03%	⁸		1.23%			1.23%			1.23%			1.25%			1.25%

Net investment income		1.30%	⁸		1.04%			1.01%			0.94%			1.53%			1.51%


Supplemental Data
Net assets, end of period (000)	$	4,220		$	3,457		$	2,580		$	3,167		$	2,862		$	161

Portfolio turnover rate of the LifePath Master Portfolio		9%	⁹		18%	⁹		21%	¹⁰		19%	¹⁰		5%	¹¹		5%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.31%, 0.33%, 0.35%, 0.32%, 0.33% and 0.32% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.10%		0.11%		0.11%		0.12%		0.11%		0.11%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 15% and 23% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		BlackRock LifePath 2030 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.20		$	14.71		$	16.01		$	15.25		$	14.11		$	14.63

Net investment income¹		0.12			0.22			0.24			0.26			0.28			0.28
Net realized and unrealized gain (loss)		0.32			(0.51	)		0.61			1.80			1.56			(0.37	)

Net increase (decrease) from investment operations		0.44			(0.29	)		0.85			2.06			1.84			(0.09	)

Distributions:²
From net investment income		(0.12	)		(0.25	)		(0.26	)		(0.26	)		(0.28	)		(0.27	)
From net realized gain		—			(0.96	)		(1.89	)		(1.04	)		(0.42	)		(0.16	)
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.12	)		(1.22	)		(2.15	)		(1.30	)		(0.70	)		(0.43	)

Net asset value, end of period	$	13.52		$	13.20		$	14.71		$	16.01		$	15.25		$	14.11


Total Return³
Based on net asset value		3.36%	⁴		(2.05)%			5.32%			13.66%			13.09%			(0.63)%


Ratios to Average Net Assets^5,6,7
Total expenses		0.57%	⁸		0.70%			0.71%			0.70%			0.73%			0.73%

Total expenses after fees waived and/or reimbursed		0.57%	⁸		0.70%			0.71%			0.70%			0.73%			0.72%

Net investment income		1.85%	⁸		1.46%			1.50%			1.62%			1.84%			1.88%


Supplemental Data
Net assets, end of period (000)	$	194,278		$	222,491		$	449,354		$	674,558		$	630,131		$	642,867

Portfolio turnover rate of the LifePath Master Portfolio		14%	⁹		21%	⁹		33%	¹⁰		22%	¹⁰		5%	¹¹		7%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.37%, 0.37%, 0.37%, 0.33%, 0.34% and 0.34% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.12%		0.14%		0.14%		0.15%		0.13%		0.13%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 16% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2030 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.78		$	14.28		$	15.62		$	14.90		$	13.81		$	14.33

Net investment income¹		0.10			0.18			0.20			0.21			0.24			0.24
Net realized and unrealized gain (loss)		0.31			(0.49	)		0.58			1.77			1.52			(0.36	)

Net increase (decrease) from investment operations		0.41			(0.31	)		0.78			1.98			1.76			(0.12	)

Distributions:²
From net investment income		(0.11	)		(0.22	)		(0.23	)		(0.22	)		(0.25	)		(0.24	)
From net realized gain		—			(0.96	)		(1.89	)		(1.04	)		(0.42	)		(0.16	)
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.11	)		(1.19	)		(2.12	)		(1.26	)		(0.67	)		(0.40	)

Net asset value, end of period	$	13.08		$	12.78		$	14.28		$	15.62		$	14.90		$	13.81


Total Return³
Based on net asset value		3.20%	⁴		(2.25)%			4.98%			13.44%			12.75%			(0.87)%


Ratios to Average Net Assets^5,6,7
Total expenses		0.82%	⁸		0.95%			0.96%			0.95%			0.98%			0.98%

Total expenses after fees waived and/or reimbursed		0.82%	⁸		0.95%			0.96%			0.95%			0.98%			0.97%

Net investment income		1.61%	⁸		1.28%			1.28%			1.36%			1.62%			1.65%


Supplemental Data
Net assets, end of period (000)	$	290,598		$	298,579		$	350,201		$	356,117		$	343,885		$	339,249

Portfolio turnover rate of the LifePath Master Portfolio		14%	⁹		21%	⁹		33%	¹⁰		22%	¹⁰		5%	¹¹		7%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.37%, 0.36%, 0.37%, 0.33%, 0.34% and 0.34% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.12%		0.14%		0.14%		0.15%		0.13%		0.13%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 16% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2030 Fund


	Investor C
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.01		$	14.52		$	15.85		$	15.13		$	14.05		$	14.62

Net investment income¹		0.05			0.08			0.09			0.13			0.16			0.14
Net realized and unrealized gain (loss)		0.32			(0.51	)		0.58			1.76			1.51			(0.38	)

Net increase (decrease) from investment operations		0.37			(0.43	)		0.67			1.89			1.67			(0.24	)

Distributions:²
From net investment income		(0.06	)		(0.11	)		(0.11	)		(0.13	)		(0.17	)		(0.17	)
From net realized gain		—			(0.96	)		(1.89	)		(1.04	)		(0.42	)		(0.16	)
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.06	)		(1.08	)		(2.00	)		(1.17	)		(0.59	)		(0.33	)

Net asset value, end of period	$	13.32		$	13.01		$	14.52		$	15.85		$	15.13		$	14.05


Total Return³
Based on net asset value		2.84%	⁴		(3.01)%			4.23%			12.59%			11.92%			(1.63)%


Ratios to Average Net Assets^5,6,7
Total expenses		1.62%	⁸		1.71%			1.71%			1.71%			1.72%			1.74%

Total expenses after fees waived and/or reimbursed		1.61%	⁸		1.71%			1.71%			1.71%			1.72%			1.74%

Net investment income		0.81%	⁸		0.56%			0.55%			0.79%			1.05%			1.01%


Supplemental Data
Net assets, end of period (000)	$	3,262		$	3,173		$	3,053		$	2,531		$	1,010		$	154

Portfolio turnover rate of the LifePath Master Portfolio		14%	⁹		21%	⁹		33%	¹⁰		22%	¹⁰		5%	¹¹		7%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.37%, 0.36%, 0.38%, 0.34%, 0.35% and 0.34% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.12%		0.14%		0.14%		0.15%		0.13%		0.13%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 16% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2030 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.19		$	14.70		$	16.01		$	15.25		$	14.12		$	14.63

Net investment income¹		0.14			0.29			0.31			0.31			0.34			0.35
Net realized and unrealized gain (loss)		0.32			(0.52	)		0.60			1.81			1.55			(0.37	)

Net increase (decrease) from investment operations		0.46			(0.23	)		0.91			2.12			1.89			(0.02	)

Distributions:²
From net investment income		(0.14	)		(0.31	)		(0.33	)		(0.32	)		(0.34	)		(0.33	)
From net realized gain		—			(0.96	)		(1.89	)		(1.04	)		(0.42	)		(0.16	)
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.14	)		(1.28	)		(2.22	)		(1.36	)		(0.76	)		(0.49	)

Net asset value, end of period	$	13.51		$	13.19		$	14.70		$	16.01		$	15.25		$	14.12


Total Return³
Based on net asset value		3.48%	⁴		(1.66)%			5.66%			14.05%			13.43%			(0.20)%


Ratios to Average Net Assets^5,6,7
Total expenses		0.37%	⁸		0.37%			0.36%			0.35%			0.38%			0.38%

Total expenses after fees waived and/or reimbursed		0.37%	⁸		0.37%			0.36%			0.35%			0.38%			0.38%

Net investment income		2.08%	⁸		2.01%			1.89%			1.95%			2.26%			2.41%


Supplemental Data
Net assets, end of period (000)	$	24,392		$	16,171		$	9,518		$	8,666		$	11,077		$	6,448

Portfolio turnover rate of the LifePath Master Portfolio		14%	⁹		21%	⁹		33%	¹⁰		22%	¹⁰		5%	¹¹		7%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.37%, 0.36%, 0.36%, 0.34%, 0.35% and 0.34% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.12%		0.14%		0.14%		0.15%		0.13%		0.13%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 16% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (concluded)		BlackRock LifePath 2030 Fund


	Class R
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	13.09		$	14.60		$	15.92		$	15.17		$	14.08		$	14.60

Net investment income¹		0.09			0.15			0.17			0.18			0.28			0.20
Net realized and unrealized gain (loss)		0.32			(0.50	)		0.59			1.80			1.47			(0.36	)

Net increase (decrease) from investment operations		0.41			(0.35	)		0.76			1.98			1.75			(0.16	)

Distributions:²
From net investment income		(0.10	)		(0.19	)		(0.19	)		(0.19	)		(0.24	)		(0.20	)
From net realized gain		—			(0.96	)		(1.89	)		(1.04	)		(0.42	)		(0.16	)
From return of capital		—			(0.01	)		—			—			—			—

Total distributions		(0.10	)		(1.16	)		(2.08	)		(1.23	)		(0.66	)		(0.36	)

Net asset value, end of period	$	13.40		$	13.09		$	14.60		$	15.92		$	15.17		$	14.08


Total Return³
Based on net asset value		3.12%	⁴		(2.50)%			4.73%			13.14%			12.48%			(1.12)%


Ratios to Average Net Assets^5,6,7
Total expenses		1.02%	⁸		1.20%			1.21%			1.21%			1.22%			1.23%

Total expenses after fees waived and/or reimbursed		1.02%	⁸		1.20%			1.21%			1.21%			1.22%			1.23%

Net investment income		1.42%	⁸		1.07%			1.02%			1.15%			1.84%			1.41%


Supplemental Data
Net assets, end of period (000)	$	4,062		$	3,178		$	3,044		$	3,155		$	2,088		$	188

Portfolio turnover rate of the LifePath Master Portfolio		14%	⁹		21%	⁹		33%	¹⁰		22%	¹⁰		5%	¹¹		7%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.37%, 0.36%, 0.34%, 0.34%, 0.35% and 0.34% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.12%		0.14%		0.14%		0.15%		0.13%		0.13%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 16% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		BlackRock LifePath 2040 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	16.24		$	18.37		$	20.06		$	18.62		$	16.98		$	17.78

Net investment income¹		0.15			0.27			0.31			0.35			0.35			0.31
Net realized and unrealized gain (loss)		0.31			(0.67	)		0.79			2.77			2.14			(0.73	)

Net increase (decrease) from investment operations		0.46			(0.40	)		1.10			3.12			2.49			(0.42	)

Distributions:²
From net investment income		(0.15	)		(0.30	)		(0.32	)		(0.34	)		(0.36	)		(0.30	)
From net realized gain		(0.06	)		(1.43	)		(2.47	)		(1.34	)		(0.49	)		(0.08	)

Total distributions		(0.21	)		(1.73	)		(2.79	)		(1.68	)		(0.85	)		(0.38	)

Net asset value, end of period	$	16.49		$	16.24		$	18.37		$	20.06		$	18.62		$	16.98


Total Return³
Based on net asset value		2.82%	⁴		(2.29)%			5.48%			16.92%			14.73%			(2.38)%


Ratios to Average Net Assets^5,6,7
Total expenses		0.55%	⁸		0.67%			0.69%			0.69%			0.71%			0.71%

Total expenses after fees waived and/or reimbursed		0.55%	⁸		0.67%			0.69%			0.68%			0.71%			0.70%

Net investment income		1.92%	⁸		1.46%			1.51%			1.75%			1.91%			1.73%


Supplemental Data
Net assets, end of period (000)	$	169,557		$	186,357		$	434,049		$	615,699		$	536,902		$	528,655

Portfolio turnover rate of the LifePath Master Portfolio		20%	⁹		19%	⁹		42%	¹⁰		26%	¹⁰		4%	¹¹		8%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.38%, 0.39%, 0.39%, 0.35%, 0.36% and 0.35% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.13%		0.17%		0.16%		0.17%		0.15%		0.15%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 14% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2040 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	15.10		$	17.22		$	18.98		$	17.69		$	16.18		$	16.97

Net investment income¹		0.12			0.23			0.25			0.28			0.30			0.25
Net realized and unrealized gain (loss)		0.30			(0.65	)		0.75			2.64			2.02			(0.70	)

Net increase (decrease) from investment operations		0.42			(0.42	)		1.00			2.92			2.32			(0.45	)

Distributions:²
From net investment income		(0.14	)		(0.27	)		(0.29	)		(0.29	)		(0.32	)		(0.26	)
From net realized gain		(0.06	)		(1.43	)		(2.47	)		(1.34	)		(0.49	)		(0.08	)

Total distributions		(0.20	)		(1.70	)		(2.76	)		(1.63	)		(0.81	)		(0.34	)

Net asset value, end of period	$	15.32		$	15.10		$	17.22		$	18.98		$	17.69		$	16.18


Total Return³
Based on net asset value		2.73%	⁴		(2.57)%			5.23%			16.70%			14.41%			(2.65)%


Ratios to Average Net Assets^5,6,7
Total expenses		0.80%	⁸		0.93%			0.94%			0.94%			0.96%			0.96%

Total expenses after fees waived and/or reimbursed		0.80%	⁸		0.92%			0.94%			0.93%			0.96%			0.95%

Net investment income		1.68%	⁸		1.31%			1.30%			1.48%			1.69%			1.50%


Supplemental Data
Net assets, end of period (000)	$	209,016		$	221,048		$	264,312		$	262,573		$	247,317		$	233,427

Portfolio turnover rate of the LifePath Master Portfolio		20%	⁹		19%	⁹		42%	¹⁰		26%	¹⁰		4%	¹¹		8%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.38%, 0.38%, 0.40%, 0.35%, 0.36% and 0.35% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.13%		0.17%		0.16%		0.17%		0.15%		0.15%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 14% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2040 Fund


	Investor C
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	16.05		$	18.19		$	19.89		$	18.49		$	16.92		$	17.77

Net investment income¹		0.07			0.11			0.11			0.17			0.21			0.13
Net realized and unrealized gain (loss)		0.30			(0.69	)		0.79			2.73			2.08			(0.73	)

Net increase (decrease) from investment operations		0.37			(0.58	)		0.90			2.90			2.29			(0.60	)

Distributions:²
From net investment income		(0.07	)		(0.13	)		(0.13	)		(0.16	)		(0.23	)		(0.17	)
From net realized gain		(0.06	)		(1.43	)		(2.47	)		(1.34	)		(0.49	)		(0.08	)

Total distributions		(0.13	)		(1.56	)		(2.60	)		(1.50	)		(0.72	)		(0.25	)

Net asset value, end of period	$	16.29		$	16.05		$	18.19		$	19.89		$	18.49		$	16.92


Total Return³
Based on net asset value		2.28%	⁴		(3.28)%			4.49%			15.80%			13.59%			(3.39)%


Ratios to Average Net Assets^5,6,7
Total expenses		1.60%	⁸		1.68%			1.69%			1.69%			1.71%			1.72%

Total expenses after fees waived and/or reimbursed		1.60%	⁸		1.68%			1.69%			1.69%			1.71%			1.71%

Net investment income		0.87%	⁸		0.61%			0.55%			0.85%			1.12%			0.72%


Supplemental Data
Net assets, end of period (000)	$	2,251		$	2,492		$	2,277		$	1,944		$	1,185		$	98

Portfolio turnover rate of the LifePath Master Portfolio		20%	⁹		19%	⁹		42%	¹⁰		26%	¹⁰		4%	¹¹		8%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.38%, 0.38%, 0.41%, 0.35%, 0.36% and 0.35% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.13%		0.17%		0.16%		0.17%		0.15%		0.15%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 14% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2040 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	16.32		$	18.47		$	20.16		$	18.69		$	17.05		$	17.84

Net investment income¹		0.17			0.40			0.39			0.41			0.44			0.46
Net realized and unrealized gain (loss)		0.31			(0.75	)		0.79			2.81			2.12			(0.80	)

Net increase (decrease) from investment operations		0.48			(0.35	)		1.18			3.22			2.56			(0.34	)

Distributions:²
From net investment income		(0.17	)		(0.37	)		(0.40	)		(0.41	)		(0.43	)		(0.37	)
From net realized gain		(0.06	)		(1.43	)		(2.47	)		(1.34	)		(0.49	)		(0.08	)

Total distributions		(0.23	)		(1.80	)		(2.87	)		(1.75	)		(0.92	)		(0.45	)

Net asset value, end of period	$	16.57		$	16.32		$	18.47		$	20.16		$	18.69		$	17.05


Total Return³
Based on net asset value		2.92%	⁴		(1.98)%			5.85%			17.41%			15.08%			(1.95)%


Ratios to Average Net Assets^5,6,7
Total expenses		0.35%	⁸		0.36%			0.34%			0.33%			0.36%			0.37%

Total expenses after fees waived and/or reimbursed		0.35%	⁸		0.35%			0.34%			0.33%			0.36%			0.36%

Net investment income		2.15%	⁸		2.21%			1.90%			2.05%			2.36%			2.60%


Supplemental Data
Net assets, end of period (000)	$	27,765		$	14,470		$	4,980		$	5,733		$	8,038		$	4,749

Portfolio turnover rate of the LifePath Master Portfolio		20%	⁹		19%	⁹		42%	¹⁰		26%	¹⁰		4%	¹¹		8%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.13%		0.17%		0.16%		0.17%		0.15%		0.15%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 14% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (concluded)		BlackRock LifePath 2040 Fund


	Class R
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	16.15		$	18.29		$	19.98		$	18.54		$	16.93		$	17.74

Net investment income¹		0.12			0.21			0.20			0.22			0.34			0.23
Net realized and unrealized gain (loss)		0.31			(0.69	)		0.80			2.78			2.05			(0.74	)

Net increase (decrease) from investment operations		0.43			(0.48	)		1.00			3.00			2.39			(0.51	)

Distributions:²
From net investment income		(0.13	)		(0.23	)		(0.22	)		(0.22	)		(0.29	)		(0.22	)
From net realized gain		(0.06	)		(1.43	)		(2.47	)		(1.34	)		(0.49	)		(0.08	)

Total distributions		(0.19	)		(1.66	)		(2.69	)		(1.56	)		(0.78	)		(0.30	)

Net asset value, end of period	$	16.39		$	16.15		$	18.29		$	19.98		$	18.54		$	16.93


Total Return³
Based on net asset value		2.62%	⁴		(2.75)%			4.96%			16.33%			14.19%			(2.88)%


Ratios to Average Net Assets^5,6,7
Total expenses		1.00%	⁸		1.17%			1.19%			1.19%			1.21%			1.22%

Total expenses after fees waived and/or reimbursed		1.00%	⁸		1.17%			1.19%			1.18%			1.21%			1.22%

Net investment income		1.52%	⁸		1.13%			1.01%			1.12%			1.83%			1.35%


Supplemental Data
Net assets, end of period (000)	$	2,133		$	1,389		$	1,162		$	1,438		$	1,917		$	460

Portfolio turnover rate of the LifePath Master Portfolio		20%	⁹		19%	⁹		42%	¹⁰		26%	¹⁰		4%	¹¹		8%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.38%, 0.38%, 0.39%, 0.35%, 0.37% and 0.35% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.13%		0.17%		0.16%		0.17%		0.15%		0.15%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 14% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		BlackRock LifePath 2050 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	17.53		$	19.59		$	21.37		$	19.18		$	17.16		$	18.58

Net investment income¹		0.17			0.28			0.33			0.41			0.37			0.31
Net realized and unrealized gain (loss)		0.29			(0.74	)		0.89			3.36			2.37			(0.99	)

Net increase (decrease) from investment operations		0.46			(0.46	)		1.22			3.77			2.74			(0.68	)

Distributions:²
From net investment income		(0.17	)		(0.30	)		(0.34	)		(0.39	)		(0.37	)		(0.29	)
From net realized gain		—			(1.30	)		(2.66	)		(1.19	)		(0.35	)		(0.45	)

Total distributions		(0.17	)		(1.60	)		(3.00	)		(1.58	)		(0.72	)		(0.74	)

Net asset value, end of period	$	17.82		$	17.53		$	19.59		$	21.37		$	19.18		$	17.16


Total Return³
Based on net asset value		2.61%	⁴		(2.46)%			5.73%			19.82%			16.05%			(3.78)%


Ratios to Average Net Assets^5,6,7
Total expenses		0.56%	⁸		0.66%			0.68%			0.71%			0.72%			0.71%

Total expenses after fees waived and/or reimbursed		0.54%	⁸		0.65%			0.67%			0.70%			0.71%			0.68%

Net investment income		1.94%	⁸		1.42%			1.51%			1.97%			1.99%			1.69%


Supplemental Data
Net assets, end of period (000)	$	41,329		$	40,444		$	108,741		$	166,385		$	106,813		$	70,555

Portfolio turnover rate of the LifePath Master Portfolio		24%	⁹		36%	⁹		48%	¹⁰		28%	¹⁰		5%	¹¹		13%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.41%, 0.42%, 0.41%, 0.36%, 0.39% and 0.40% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.19%		0.17%		0.15%		0.15%		0.17%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 15% and 19% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2050 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	17.49		$	19.56		$	21.35		$	19.17		$	17.15		$	18.58

Net investment income¹		0.14			0.27			0.28			0.35			0.33			0.26
Net realized and unrealized gain (loss)		0.29			(0.77	)		0.89			3.36			2.36			(0.99	)

Net increase (decrease) from investment operations		0.43			(0.50	)		1.17			3.71			2.69			(0.73	)

Distributions:²
From net investment income		(0.14	)		(0.27	)		(0.30	)		(0.34	)		(0.32	)		(0.25	)
From net realized gain		—			(1.30	)		(2.66	)		(1.19	)		(0.35	)		(0.45	)

Total distributions		(0.14	)		(1.57	)		(2.96	)		(1.53	)		(0.67	)		(0.70	)

Net asset value, end of period	$	17.78		$	17.49		$	19.56		$	21.35		$	19.17		$	17.15


Total Return³
Based on net asset value		2.49%	⁴		(2.65)%			5.47%			19.48%			15.80%			(4.06)%


Ratios to Average Net Assets^5,6,7
Total expenses		0.81%	⁸		0.92%			0.93%			0.96%			0.97%			0.96%

Total expenses after fees waived and/or reimbursed		0.79%	⁸		0.91%			0.92%			0.95%			0.96%			0.94%

Net investment income		1.70%	⁸		1.38%			1.30%			1.67%			1.77%			1.44%


Supplemental Data
Net assets, end of period (000)	$	68,469		$	70,473		$	70,442		$	62,891		$	46,189		$	32,617

Portfolio turnover rate of the LifePath Master Portfolio		24%	⁹		36%	⁹		48%	¹⁰		28%	¹⁰		5%	¹¹		13%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.41%, 0.40%, 0.42%, 0.36%, 0.39% and 0.40% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.19%		0.17%		0.15%		0.15%		0.17%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 15% and 19% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2050 Fund


	Investor C
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	17.35		$	19.43		$	21.23		$	19.10		$	17.10		$	18.57

Net investment income¹		0.08			0.13			0.12			0.24			0.17			0.12
Net realized and unrealized gain (loss)		0.28			(0.77	)		0.87			3.30			2.37			(0.99	)

Net increase (decrease) from investment operations		0.36			(0.64	)		0.99			3.54			2.54			(0.87	)

Distributions:²
From net investment income		(0.07	)		(0.14	)		(0.13	)		(0.22	)		(0.19	)		(0.15	)
From net realized gain		—			(1.30	)		(2.66	)		(1.19	)		(0.35	)		(0.45	)

Total distributions		(0.07	)		(1.44	)		(2.79	)		(1.41	)		(0.54	)		(0.60	)

Net asset value, end of period	$	17.64		$	17.35		$	19.43		$	21.23		$	19.10		$	17.10


Total Return³
Based on net asset value		2.10%	⁴		(3.41)%			4.67%			18.60%			14.93%			(4.76)%


Ratios to Average Net Assets^5,6,7
Total expenses		1.61%	⁸		1.68%			1.69%			1.72%			1.72%			1.71%

Total expenses after fees waived and/or reimbursed		1.59%	⁸		1.67%			1.68%			1.71%			1.70%			1.69%

Net investment income		0.89%	⁸		0.66%			0.55%			1.14%			0.91%			0.63%


Supplemental Data
Net assets, end of period (000)	$	638		$	717		$	605		$	553		$	118		$	39

Portfolio turnover rate of the LifePath Master Portfolio		24%	⁹		36%	⁹		48%	¹⁰		28%	¹⁰		5%	¹¹		13%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.19%		0.17%		0.15%		0.15%		0.17%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 15% and 19% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath 2050 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	17.58		$	19.66		$	21.44		$	19.24		$	17.20		$	18.63

Net investment income¹		0.19			0.39			0.42			0.46			0.45			0.47
Net realized and unrealized gain (loss)		0.29			(0.78	)		0.89			3.39			2.37			(1.10	)

Net increase (decrease) from investment operations		0.48			(0.39	)		1.31			3.85			2.82			(0.63	)

Distributions:²
From net investment income		(0.19	)		(0.39	)		(0.43	)		(0.46	)		(0.43	)		(0.35	)
From net realized gain		—			(1.30	)		(2.66	)		(1.19	)		(0.35	)		(0.45	)

Total distributions		(0.19	)		(1.69	)		(3.09	)		(1.65	)		(0.78	)		(0.80	)

Net asset value, end of period	$	17.87		$	17.58		$	19.66		$	21.44		$	19.24		$	17.20


Total Return³
Based on net asset value		2.73%	⁴		(2.10)%			6.12%			20.19%			16.53%			(3.48)%


Ratios to Average Net Assets^5,6,7
Total expenses		0.35%	⁸		0.34%			0.33%			0.36%			0.37%			0.36%

Total expenses after fees waived and/or reimbursed		0.34%	⁸		0.33%			0.32%			0.35%			0.36%			0.34%

Net investment income		2.16%	⁸		2.01%			1.95%			2.22%			2.38%			2.56%


Supplemental Data
Net assets, end of period (000)	$	11,341		$	1,647		$	1,257		$	821		$	1,018		$	625

Portfolio turnover rate of the LifePath Master Portfolio		24%	⁹		36%	⁹		48%	¹⁰		28%	¹⁰		5%	¹¹		13%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.40%, 0.40%, 0.36%, 0.39% and 0.40% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.19%		0.17%		0.15%		0.15%		0.17%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 15% and 19% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights (concluded)		BlackRock LifePath 2050 Fund


	Class R
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	17.45		$	19.53		$	21.31		$	19.14		$	17.13		$	18.56

Net investment income¹		0.13			0.23			0.22			0.30			0.37			0.22
Net realized and unrealized gain (loss)		0.29			(0.78	)		0.89			3.35			2.29			(1.00	)

Net increase (decrease) from investment operations		0.42			(0.55	)		1.11			3.65			2.66			(0.78	)

Distributions:²
From net investment income		(0.13	)		(0.23	)		(0.23	)		(0.29	)		(0.30	)		(0.20	)
From net realized gain		—			(1.30	)		(2.66	)		(1.19	)		(0.35	)		(0.45	)

Total distributions		(0.13	)		(1.53	)		(2.89	)		(1.48	)		(0.65	)		(0.65	)

Net asset value, end of period	$	17.74		$	17.45		$	19.53		$	21.31		$	19.14		$	17.13


Total Return³
Based on net asset value		2.44%	⁴		(2.92)%			5.21%			19.19%			15.59%			(4.29)%


Ratios to Average Net Assets^5,6,7
Total expenses		1.01%	⁸		1.17%			1.18%			1.21%			1.22%			1.21%

Total expenses after fees waived and/or reimbursed		0.99%	⁸		1.16%			1.17%			1.20%			1.20%			1.19%

Net investment income		1.50%	⁸		1.20%			1.01%			1.42%			1.98%			1.18%


Supplemental Data
Net assets, end of period (000)	$	1,498		$	1,550		$	1,091		$	1,126		$	796		$	53

Portfolio turnover rate of the LifePath Master Portfolio		24%	⁹		36%	⁹		48%	¹⁰		28%	¹⁰		5%	¹¹		13%	¹¹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated fees waived of 0.41%, 0.40%, 0.40%, 0.36%, 0.39% and 0.40% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷

Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:


	Six Months Ended June 30, 2016		Year Ended December 31,
	Six Months Ended June 30, 2016		2015		2014		2013		2012		2011

Investments in underlying funds		0.14%		0.19%		0.17%		0.15%		0.15%		0.17%

⁸

Annualized.

⁹

¹⁰

¹¹

Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 15% and 19% for the years ended December 31, 2012 and December 31, 2011, respectively.


Notes to Financial Statements (Unaudited)

1. Organization:

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


Fund Name	Herein Referred To As	Diversification Classification
BlackRock LifePath^® Retirement Fund	LifePath Retirement Fund	Diversified
BlackRock LifePath^® 2020 Fund	LifePath 2020 Fund	Diversified
BlackRock LifePath^® 2030 Fund	LifePath 2030 Fund	Diversified
BlackRock LifePath^® 2040 Fund	LifePath 2040 Fund	Diversified
BlackRock LifePath^® 2050 Fund	LifePath 2050 Fund	Diversified

Each LifePath Fund seeks to achieve its investment objective by investing all of its assets in a corresponding series of Master Investment Portfolio (“MIP”): LifePath^® Retirement Master Portfolio, LifePath^® 2020 Master Portfolio, LifePath^® 2030 Master Portfolio, LifePath^® 2040 Master Portfolio and LifePath^® 2050 Master Portfolio (each, a “LifePath Master Portfolio” and together, the “LifePath Master Portfolios”). MIP is an affiliate of the Trust. Each LifePath Master Portfolio has the same investment objective and strategies as its corresponding LifePath Fund. The value of each LifePath Fund’s investment in its corresponding LifePath Master Portfolio reflects the LifePath Fund’s proportionate interest in the net assets of the LifePath Master Portfolio. The performance of the LifePath Funds is directly affected by the performance of its corresponding LifePath Master Portfolio. At June 30, 2016, the percentage of the LifePath Master Portfolio owned by the corresponding LifePath Fund was 100.0% for each of LifePath Retirement Fund, LifePath 2020 Fund, LifePath 2030 Fund, LifePath 2040 Fund and LifePath 2050 Fund, respectively. As such, the financial statements of each corresponding LifePath Master Portfolio, including the Schedules of Investments, are included elsewhere in this report and should be read in conjunction with the LifePath Funds’ financial statements.


Share Class	Initial Sales Charge	CDSC			Conversion Privilege
Institutional, Class K and Class R	No		No			None
Investor A	Yes		No	¹		None
Investor C	No		Yes			None

Investor A Shares may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase.

The LifePath Funds, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, are included in a complex of open end funds referred to as the Equity-Liquidity Complex.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each LifePath 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from each LifePath Master Portfolio are accounted for on a trade date basis. Each LifePath Fund records its proportionate share of its LifePath 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, each LifePath 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.



BLACKROCK FUNDS III	JUNE 30, 2016	49


Notes to Financial Statements (continued)

Other: Expenses directly related to a LifePath Fund or its classes are charged to that LifePath Fund or the applicable class. 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. Expenses directly related to the LifePath Funds and other shared expenses prorated to the LifePath Funds are allocated daily to each class based on its relative net assets or other appropriate methods.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The LifePath Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the LifePath Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Administration

The Trust, on behalf of the LifePath Funds, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the LifePath Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the LifePath Funds. BAL is entitled to receive for these administration services an annual fee of 0.35% of the average daily net assets of each LifePath Fund’s Institutional and Investor A Shares, 0.40% of the average daily net assets of Investor C Shares, 0.30% of the average daily net assets of Class R Shares and 0.15% of the average daily net assets of Class K Shares.

For the six months ended June 30, 2016, the following table shows the class specific administration fees borne directly by each class of each LifePath Fund:


	Institutional		Investor A		Investor C		Class K		Class R		Total
LifePath Retirement Fund	$	183,946	$	164,379	$	2,802	$	6,789	$	966	$	358,882
LifePath 2020 Fund	$	411,079	$	492,185	$	4,446	$	15,711	$	5,789	$	929,210
LifePath 2030 Fund	$	354,726	$	499,146	$	6,199	$	15,090	$	5,380	$	880,541
LifePath 2040 Fund	$	304,920	$	361,372	$	4,316	$	15,634	$	2,418	$	688,660
LifePath 2050 Fund	$	70,351	$	116,456	$	1,288	$	4,926	$	1,962	$	194,983

Service and Distribution Fees


	Distribution Fees		Service Fees
Investor A		—		0.25%
Investor C		0.75%		0.25%
Class R		0.25%		0.25%



50	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)

For the six months ended June 30, 2016, the following table shows the class specific service and distribution fees borne directly by each share class of each LifePath Fund:


	Investor A		Investor C		Class R		Total
LifePath Retirement Fund	$	117,255	$	7,032	$	1,611	$	125,898
LifePath 2020 Fund	$	351,295	$	11,101	$	9,677	$	372,073
LifePath 2030 Fund	$	356,282	$	15,487	$	8,997	$	380,766
LifePath 2040 Fund	$	257,915	$	10,777	$	4,044	$	272,736
LifePath 2050 Fund	$	83,064	$	3,216	$	3,269	$	89,549

Other Fees

For the six months ended June 30, 2016, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the LifePath Funds’ Investor A Shares as follows:

LifePath

Retirement

Fund

LifePath

2020

Fund

LifePath

2030

Fund

LifePath

2040

Fund

LifePath

2050

Fund

Investor A

1,116

928

666

409

222

For the six months ended June 30, 2016, affiliates received CDSCs as follows:

LifePath

Retirement

Fund

LifePath

2030

Fund

LifePath

2050

Fund

Investor C

347

Officers and Trustees

The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the LifePath Funds. BAL has contractually agreed to reimburse the LifePath Funds or provide an offsetting credit against the administration fees paid by the LifePath Funds in an amount equal to the independent expenses through April 30, 2026. These amounts are included in fees waived by the administrator in the Statements of Operations.

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.

5. Income Tax Information:

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
BlackRock LifePath Retirement Fund	Shares			Amount			Shares			Amount
Institutional
Shares sold		988,050		$	10,247,785			3,082,419		$	34,185,070
Shares issued in reinvestment of distributions		76,127			807,148			816,982			8,689,281
Shares redeemed		(5,803,865	)		(59,360,978	)		(11,402,092	)		(125,957,082	)

Net decrease		(4,739,688	)	$	(48,306,045	)		(7,502,691	)	$	(83,082,731	)



BLACKROCK FUNDS III	JUNE 30, 2016	51


Notes to Financial Statements (continued)


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
BlackRock LifePath Retirement Fund (concluded)	Shares			Amount			Shares			Amount
Investor A
Shares sold		531,785		$	4,923,921			1,024,947		$	10,156,190
Shares issued in reinvestment of distributions		82,700			784,472			668,737			6,373,801
Shares redeemed		(2,112,112	)		(19,559,607	)		(4,653,270	)		(46,034,385	)

Net decrease		(1,497,627	)	$	(13,851,214	)		(2,959,586	)	$	(29,504,394	)


Investor C
Shares sold		23,444		$	242,382			81,259		$	877,768
Shares issued in reinvestment of distributions		495			5,174			6,687			69,832
Shares redeemed		(63,889	)		(664,132	)		(52,089	)		(558,971	)

Net increase (decrease)		(39,950	)	$	(416,576	)		35,857		$	388,629


Class K
Shares sold		409,208		$	4,315,169			600,351		$	6,640,487
Shares issued in reinvestment of distributions		9,493			100,404			43,257			455,494
Shares redeemed		(216,573	)		(2,254,748	)		(84,046	)		(908,724	)

Net increase		202,128		$	2,160,825			559,562		$	6,187,257


Class R
Shares sold		20,829		$	216,786			21,123		$	228,653
Shares issued in reinvestment of distributions		451			4,756			3,314			34,961
Shares redeemed		(11,423	)		(115,832	)		(41,754	)		(457,997	)

Net increase (decrease)		9,857		$	105,710			(17,317	)	$	(194,383	)

Total Net Decrease		(6,065,280	)	$	(60,307,300	)		(9,884,175	)	$	(106,205,622	)


BlackRock LifePath 2020 Fund
Institutional
Shares sold		1,301,622		$	18,373,242			4,215,109		$	66,252,877
Shares issued in reinvestment of distributions		131,101			1,906,019			1,538,593			22,595,121
Shares redeemed		(5,395,062	)		(76,954,922	)		(18,834,441	)		(295,907,148	)

Net decrease		(3,962,339	)	$	(56,675,661	)		(13,080,739	)	$	(207,059,150	)


Investor A
Shares sold		664,705		$	8,740,819			1,338,679		$	19,437,877
Shares issued in reinvestment of distributions		173,135			2,334,710			1,838,939			24,938,220
Shares redeemed		(2,618,996	)		(34,504,564	)		(5,778,076	)		(83,791,873	)

Net decrease		(1,781,156	)	$	(23,429,035	)		(2,600,458	)	$	(39,415,776	)


Investor C
Shares sold		53,791		$	767,573			51,355		$	790,022
Shares issued in reinvestment of distributions		774			11,140			12,177			175,330
Shares redeemed		(26,150	)		(364,407	)		(97,038	)		(1,455,576	)

Net increase (decrease)		28,415		$	414,306			(33,506	)	$	(490,224	)


Class K
Shares sold		763,861		$	10,956,620			906,154		$	14,234,945
Shares issued in reinvestment of distributions		16,985			246,210			102,104			1,485,355
Shares redeemed		(322,728	)		(4,525,990	)		(319,506	)		(4,878,569	)

Net increase		458,118		$	6,676,840			688,752		$	10,841,731



52	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
BlackRock LifePath 2020 Fund (concluded)	Shares			Amount			Shares			Amount
Class R
Shares sold		58,555		$	816,036			153,240		$	2,359,038
Shares issued in reinvestment of distributions		1,938			28,050			16,501			239,167
Shares redeemed		(15,222	)		(219,083	)		(90,678	)		(1,408,817	)

Net increase		45,271		$	625,003			79,063		$	1,189,388

Total Net Decrease		(5,211,691	)	$	(72,388,547	)		(14,946,888	)	$	(234,934,031	)


BlackRock LifePath 2030 Fund
Institutional
Shares sold		1,745,824		$	22,576,289			5,213,448		$	76,881,977
Shares issued in reinvestment of distributions		133,890			1,800,545			1,593,135			21,846,676
Shares redeemed		(4,365,379	)		(56,831,263	)		(20,505,711	)		(303,358,679	)

Net decrease		(2,485,665	)	$	(32,454,429	)		(13,699,128	)	$	(204,630,026	)


Investor A
Shares sold		956,667		$	12,175,964			1,856,330		$	26,432,452
Shares issued in reinvestment of distributions		184,202			2,397,591			2,024,081			26,664,070
Shares redeemed		(2,293,437	)		(29,135,360	)		(5,033,944	)		(70,961,535	)

Net decrease		(1,152,568	)	$	(14,561,805	)		(1,153,533	)	$	(17,865,013	)


Investor C
Shares sold		41,237		$	531,206			138,615		$	2,028,091
Shares issued in reinvestment of distributions		1,075			14,267			19,359			258,835
Shares redeemed		(41,229	)		(533,492	)		(124,341	)		(1,774,867	)

Net increase		1,083		$	11,981			33,633		$	512,059


Class K
Shares sold		804,784		$	10,735,380			857,844		$	12,732,460
Shares issued in reinvestment of distributions		18,790			252,393			108,207			1,472,178
Shares redeemed		(243,660	)		(3,236,685	)		(387,243	)		(5,532,178	)

Net increase		579,914		$	7,751,088			578,808		$	8,672,460


Class R
Shares sold		74,237		$	956,067			104,545		$	1,486,750
Shares issued in reinvestment of distributions		2,154			28,717			18,287			245,226
Shares redeemed		(16,021	)		(209,603	)		(88,538	)		(1,295,592	)

Net increase		60,370		$	775,181			34,294		$	436,384

Total Net Decrease		(2,996,866	)	$	(38,477,984	)		(14,205,926	)	$	(212,874,136	)


BlackRock LifePath 2040 Fund
Institutional
Shares sold		1,239,768		$	19,608,587			3,838,975		$	71,051,113
Shares issued in reinvestment of distributions		132,356			2,177,112			1,271,130			21,570,928
Shares redeemed		(2,565,029	)		(41,147,288	)		(17,261,307	)		(319,896,632	)

Net decrease		(1,192,905	)	$	(19,361,589	)		(12,151,202	)	$	(227,274,591	)


Investor A
Shares sold		660,859		$	9,875,876			1,308,200		$	22,522,484
Shares issued in reinvestment of distributions		169,193			2,586,706			1,495,264			23,333,183
Shares redeemed		(1,821,362	)		(27,115,968	)		(3,519,184	)		(60,270,739	)

Net decrease		(991,310	)	$	(14,653,386	)		(715,720	)	$	(14,415,072	)



BLACKROCK FUNDS III	JUNE 30, 2016	53


Notes to Financial Statements (concluded)


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
BlackRock LifePath 2040 Fund (concluded)	Shares			Amount			Shares			Amount
Investor C
Shares sold		40,933		$	649,394			80,026		$	1,463,438
Shares issued in reinvestment of distributions		1,042			16,968			13,679			225,450
Shares redeemed		(59,088	)		(920,762	)		(63,608	)		(1,156,085	)

Net increase (decrease)		(17,113	)	$	(254,400	)		30,097		$	532,803


Class K
Shares sold		964,938		$	15,866,263			787,006		$	14,765,461
Shares issued in reinvestment of distributions		22,761			376,178			86,454			1,454,936
Shares redeemed		(198,821	)		(3,249,542	)		(256,507	)		(4,573,411	)

Net increase		788,878		$	12,992,899			616,953		$	11,646,986


Class R
Shares sold		59,064		$	945,752			55,743		$	1,007,207
Shares issued in reinvestment of distributions		1,370			22,419			7,749			128,802
Shares redeemed		(16,285	)		(253,883	)		(40,978	)		(752,099	)

Net increase		44,149		$	714,288			22,514		$	383,910

Total Net Decrease		(1,368,301	)	$	(20,562,188	)		(12,197,358	)	$	(229,125,964	)


BlackRock LifePath 2050 Fund
Institutional
Shares sold		631,410		$	10,689,587			2,156,166		$	42,661,367
Shares issued in reinvestment of distributions		21,876			388,208			246,435			4,538,084
Shares redeemed		(641,839	)		(11,010,265	)		(5,646,501	)		(111,606,012	)

Net increase (decrease)		11,447		$	67,530			(3,243,900	)	$	(64,406,561	)


Investor A
Shares sold		543,697		$	9,372,680			822,426		$	16,036,796
Shares issued in reinvestment of distributions		30,711			544,070			338,012			6,070,846
Shares redeemed		(753,796	)		(13,171,647	)		(731,224	)		(13,958,447	)

Net increase (decrease)		(179,388	)	$	(3,254,897	)		429,214		$	8,149,195


Investor C
Shares sold		9,771		$	164,545			30,293		$	584,184
Shares issued in reinvestment of distributions		154			2,706			3,156			56,080
Shares redeemed		(15,105	)		(254,193	)		(23,249	)		(440,677	)

Net increase (decrease)		(5,180	)	$	(86,942	)		10,200		$	199,587


Class K
Shares sold		619,007		$	10,981,510			39,619		$	760,896
Shares issued in reinvestment of distributions		6,851			121,863			7,855			141,933
Shares redeemed		(84,966	)		(1,511,739	)		(17,717	)		(338,992	)

Net increase		540,892		$	9,591,634			29,757		$	563,837


Class R
Shares sold		36,372		$	636,922			37,131		$	712,379
Shares issued in reinvestment of distributions		559			9,894			6,733			120,074
Shares redeemed		(41,341	)		(698,249	)		(10,892	)		(212,633	)

Net increase (decrease)		(4,410	)	$	(51,433	)		32,972		$	619,820

Total Net Increase (Decrease)		363,361		$	6,265,892			(2,741,757	)	$	(54,874,122	)

7. Subsequent Events:



54	BLACKROCK FUNDS III	JUNE 30, 2016


Master Portfolio Information as of June 30, 2016		Master Investment Portfolio


LifePath^® Retirement Master Portfolio


Portfolio Composition		Percent of Total Net Assets


Fixed Income Funds	60	%
Equity Funds	39
Common Stocks	1
Short-Term Securities	2
Liabilities in Excess of Other Assets	(2	)


Ten Largest Holdings		Percent of Total Net Assets


CoreAlpha Bond Master Portfolio	51	%
Active Stock Master Portfolio	13
iShares TIPS Bond ETF	9
International Tilts Master Portfolio	8
Large Cap Index Master Portfolio	8
Master Small Cap Index Series	4
BlackRock Commodity Strategies Fund	3
BlackRock Emerging Markets Fund, Inc.	2
iShares MSCI EAFE Small-Cap ETF	1
iShares MSCI Canada ETF	1


LifePath^® 2020 Master Portfolio


Portfolio Composition		Percent of Total Net Assets


Fixed Income Funds	49	%
Equity Funds	48
Common Stocks	3
Short-Term Securities	1
Liabilities in Excess of Other Assets	(1	)


Ten Largest Holdings		Percent of Total Net Assets


CoreAlpha Bond Master Portfolio	42	%
Active Stock Master Portfolio	18
International Tilts Master Portfolio	10
Large Cap Index Master Portfolio	8
iShares TIPS Bond ETF	7
BlackRock Commodity Strategies Fund	4
Master Small Cap Index Series	3
BlackRock Emerging Markets Fund, Inc.	3
iShares MSCI EAFE Small-Cap ETF	1
iShares MSCI Canada ETF	1


LifePath^® 2030 Master Portfolio


Portfolio Composition		Percent of Total Net Assets


Equity Funds	65	%
Fixed Income Funds	27
Common Stocks	7
Short-Term Securities	2
Liabilities in Excess of Other Assets	(1	)


Ten Largest Holdings		Percent of Total Net Assets


CoreAlpha Bond Master Portfolio	25	%
Active Stock Master Portfolio	24
International Tilts Master Portfolio	15
Large Cap Index Master Portfolio	12
BlackRock Emerging Markets Fund, Inc.	4
BlackRock Commodity Strategies Fund	4
Master Small Cap Index Series	2
iShares TIPS Bond ETF	2
iShares MSCI EAFE Small-Cap ETF	2
iShares MSCI Canada ETF	1



BLACKROCK FUNDS III	JUNE 30, 2016	55


Master Portfolio Information as of June 30, 2016 (concluded)		Master Investment Portfolio


LifePath^® 2040 Master Portfolio


Portfolio Composition		Percent of Total Net Assets


Equity Funds	79	%
Common Stocks	12
Fixed Income Funds	8
Short-Term Securities	2
Liabilities in Excess of Other Assets	(1	)


Ten Largest Holdings		Percent of Total Net Assets


Active Stock Master Portfolio	26	%
International Tilts Master Portfolio	19
Large Cap Index Master Portfolio	19
CoreAlpha Bond Master Portfolio	8
BlackRock Emerging Markets Fund, Inc.	5
BlackRock Commodity Strategies Fund	4
iShares MSCI EAFE Small-Cap ETF	3
Master Small Cap Index Series	2
iShares MSCI Canada ETF	2
Simon Property Group, Inc.	1


LifePath^® 2050 Master Portfolio


Portfolio Composition		Percent of Total Net Assets


Equity Funds	84	%
Common Stocks	14
Short-Term Securities	4
Fixed Income Funds	1
Liabilities in Excess of Other Assets	(3	)


Ten Largest Holdings		Percent of Total Net Assets


Active Stock Master Portfolio	30	%
International Tilts Master Portfolio	21
Large Cap Index Master Portfolio	18
BlackRock Emerging Markets Fund, Inc.	6
BlackRock Commodity Strategies Fund	4
iShares MSCI EAFE Small-Cap ETF	3
Master Small Cap Index Series	2
iShares MSCI Canada ETF	2
CoreAlpha Bond Master Portfolio	1
Simon Property Group, Inc.	1



56	BLACKROCK FUNDS III	JUNE 30, 2016

Schedule of Investments June 30, 2016 (Unaudited)

LifePath Retirement Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 39.4%
Active Stock Master Portfolio	$	25,661,972	$	25,661,972
BlackRock Commodity Strategies Fund (b)		946,679		6,967,558
BlackRock Emerging Markets Fund, Inc.		254,414		4,335,210
International Tilts Master Portfolio	$	15,786,569		15,786,569
iShares MSCI Canada ETF (c)		53,837		1,319,545
iShares MSCI EAFE Small-Cap ETF (c)		44,013		2,124,067
Large Cap Index Master Portfolio	$	15,477,204		15,477,204
Master Small Cap Index Series	$	7,059,647		7,059,647

				78,731,772
Fixed Income Funds — 59.9%
CoreAlpha Bond Master Portfolio	$	101,546,868		101,546,868
iShares TIPS Bond ETF		154,119		17,981,064

				119,527,932
Short-Term Securities (d) — 1.7%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (e)		2,510,574		2,510,574
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (e)		907,946		907,946

				3,418,520
Total Affiliated Investment Companies — 101.0%				201,678,224



Common Stocks
Hotels, Restaurants & Leisure — 0.0%
Hilton Worldwide Holdings, Inc.		250		5,632
Real Estate Investment Trusts (REITs) — 0.5%
AEON REIT Investment Corp.		12		13,710
Alexandria Real Estate Equities, Inc.		80		8,282
American Campus Communities, Inc.		384		20,302
AvalonBay Communities, Inc.		230		41,490
Beni Stabili SpA SIIQ		11,048		6,839
Boston Properties, Inc.		360		47,484
British Land Co. PLC		4,712		38,258
Cambridge Industrial Trust		17,000		6,952
Colony Starwood Homes		243		7,392
CyrusOne, Inc.		280		15,585
DDR Corp.		1,041		18,884
Derwent London PLC		193		6,733
DiamondRock Hospitality Co.		1,470		13,274
Dream Office Real Estate Investment Trust		1,038		14,928
Empiric Student Property PLC		3,734		5,356
EPR Properties		194		15,652
Equity One, Inc.		357		11,488
Essex Property Trust, Inc.		178		40,600
Extra Space Storage, Inc.		386		35,720
First Industrial Realty Trust, Inc.		433		12,046
General Growth Properties, Inc.		1,037		30,923
Gramercy Property Trust		1,624		14,973
Great Portland Estates PLC		838		7,014
Hammerson PLC		3,592		25,872
Healthcare Trust of America, Inc., Class A		464		15,006
Host Hotels & Resorts, Inc.		1,163		18,852
Ichigo Office REIT Investment		15		11,669
Japan Rental Housing Investments, Inc.		33		27,046


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Kenedix Retail REIT Corp.		6	$	16,154
Kilroy Realty Corp.		432		28,637
Klepierre		324		14,297
LaSalle Logiport REIT (b)		41		41,733
Link REIT		2,500		17,096
McKay Securities PLC		843		1,859
MGM Growth Properties LLC		289		7,711
National Health Investors, Inc.		211		15,844
National Storage		14,314		16,867
Parkway Properties, Inc.		460		7,696
Public Storage		63		16,102
Retail Properties of America, Inc., Class A		1,811		30,606
Rexford Industrial Realty, Inc.		182		3,838
Sekisui House REIT, Inc.		4		5,395
Simon Property Group, Inc.		424		91,966
SL Green Realty Corp.		126		13,415
STAG Industrial, Inc.		559		13,310
STORE Capital Corp.		670		19,732
Terreno Realty Corp.		803		20,774
UDR, Inc.		596		22,004
Vastned Retail NV		378		15,337
Ventas, Inc.		824		60,004
Westfield Corp.		5,435		43,658

				1,056,365
Real Estate Management & Development — 0.1%
Deutsche Wohnen AG, Bearer Shares		619		21,076
Entra ASA (f)		841		7,924
First Capital Realty, Inc.		456		7,821
Grainger PLC		1,850		5,231
Howard Hughes Corp. (b)		67		7,659
Inmobiliaria Colonial SA		19,553		14,284
Kenedix, Inc.		2,900		10,898
Kungsleden AB		1,710		11,127
LEG Immobilien AG		89		8,328
Mitsui Fudosan Co. Ltd.		2,000		45,901
St. Modwen Properties PLC		3,192		11,457
Sumitomo Realty & Development Co. Ltd.		1,000		27,117
Sun Hung Kai Properties Ltd.		3,000		36,207
UNITE Group PLC		1,514		12,524

				227,554
Total Common Stocks — 0.6%				1,289,551
Total Investments (Cost — $172,144,178) — 101.6%				202,967,775
Liabilities in Excess of Other Assets — (1.6)%				(3,255,964	)

Net Assets — 100.0%			$	199,711,811


Portfolio Abbreviations


AUD		Australian Dollar
CAD		Canadian Dollar
CHF		Swiss Franc
EUR		Euro
GBP		British Pound


HKD		Hong Kong Dollar
ILS		Israeli Shekel
JPY		Japanese Yen
NOK		Norwegian Krone
NZD		New Zealand Dollar


PHP		Philippine Peso
SEK		Swedish Krona
SGD		Singapore Dollar
USD		United States Dollar

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	57


Schedule of Investments (continued)		LifePath Retirement Master Portfolio


Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	28,411,425		—		$	(2,749,453	)¹	$	25,661,972	$	25,661,972	$	208,732		$	(5,554,815	)
BlackRock Cash Funds: Institutional, SL Agency Shares		517,747		1,992,827	²		—			2,510,574	$	2,510,574	$	4,502	³		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		907,946	²		—			907,946	$	907,946	$	1,559	³		—
BlackRock Commodity Strategies Fund		1,399,391		9,484			(462,196	)		946,679	$	6,967,558		—		$	(548,364	)
BlackRock Emerging Markets Fund, Inc.		325,916		9,255			(80,757	)		254,414	$	4,335,210		—		$	(161,061	)
CoreAlpha Bond Master Portfolio	$	129,362,345		—		$	(27,815,477	)¹	$	101,546,868	$	101,546,868	$	1,314,461		$	(4,734	)
International Tilts Master Portfolio	$	20,042,535		—		$	(4,255,966	)¹	$	15,786,569	$	15,786,569	$	305,257		$	(799,375	)
iShares MSCI Canada ETF		68,752		1,420			(16,335	)		53,837	$	1,319,545	$	10,562		$	(35,791	)
iShares MSCI EAFE Small-Cap ETF		53,861		2,900			(12,748	)		44,013	$	2,124,067	$	29,820		$	18,342
iShares TIPS Bond ETF		208,795		10,375			(65,051	)		154,119	$	17,981,064	$	5,616		$	501,412
Large Cap Index Master Portfolio	$	24,159,652		—		$	(8,682,448	)¹	$	15,477,204	$	15,477,204	$	200,825		$	(4,675,684	)
Master Small Cap Index Series	$	9,573,489		—		$	(2,513,842	)¹	$	7,059,647	$	7,059,647	$	66,477		$	154,145
Total											$	201,678,224	$	2,147,811		$	(11,105,925	)

Represents net shares/beneficial interest sold.

Represents net shares/beneficial interest purchased.

Represents all or a portion of 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.

(b)

Non-income producing security.

(c)

Security, or a portion of security, is on loan.

(d)

All or a portion of security was purchased with the cash collateral from loaned securities.

(e)

Current yield as of period end.

(f)

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	5,000	USD	3,890	Citibank N.A.		7/21/16	$	(169	)
AUD	10,000	USD	7,387	Royal Bank of Scotland PLC		7/21/16		54
AUD	2,000	USD	1,538	Royal Bank of Scotland PLC		7/21/16		(50	)
AUD	2,000	USD	1,459	Royal Bank of Scotland PLC		7/21/16		29
AUD	5,000	USD	3,636	Royal Bank of Scotland PLC		7/21/16		85
AUD	82,000	USD	60,639	State Street Bank and Trust Co.		7/21/16		382
CAD	25,000	USD	19,433	Morgan Stanley & Co. International PLC		7/21/16		(182	)
CHF	14,000	USD	14,531	Morgan Stanley & Co. International PLC		7/21/16		(146	)
EUR	2,000	USD	2,277	Barclays Bank PLC		7/21/16		(53	)
EUR	7,000	USD	7,820	HSBC Bank PLC		7/21/16		(39	)
EUR	14,000	USD	15,787	Morgan Stanley & Co. International PLC		7/21/16		(225	)
EUR	1,000	USD	1,102	Morgan Stanley & Co. International PLC		7/21/16		10
EUR	1,000	USD	1,132	Morgan Stanley & Co. International PLC		7/21/16		(21	)
EUR	1,000	USD	1,154	Morgan Stanley & Co. International PLC		7/21/16		(42	)
EUR	5,000	USD	5,611	Morgan Stanley & Co. International PLC		7/21/16		(54	)
EUR	8,000	USD	8,906	Morgan Stanley & Co. International PLC		7/21/16		(13	)
EUR	1,000	USD	1,136	Royal Bank of Scotland PLC		7/21/16		(24	)
EUR	2,000	USD	2,283	Royal Bank of Scotland PLC		7/21/16		(60	)
EUR	1,000	USD	1,145	Royal Bank of Scotland PLC		7/21/16		(33	)
EUR	6,000	USD	6,801	Royal Bank of Scotland PLC		7/21/16		(132	)
EUR	1,000	USD	1,134	Royal Bank of Scotland PLC		7/21/16		(23	)
EUR	1,000	USD	1,122	UBS AG		7/21/16		(10	)
GBP	4,000	USD	5,771	Barclays Bank PLC		7/21/16		(424	)
GBP	1,000	USD	1,440	HSBC Bank PLC		7/21/16		(103	)

See Notes to Financial Statements.



58	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath Retirement Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
GBP	5,000	USD	6,622	Morgan Stanley & Co. International PLC		7/21/16	$	62
GBP	1,000	USD	1,433	Morgan Stanley & Co. International PLC		7/21/16		(96	)
GBP	5,000	USD	6,661	Northern Trust Co.		7/21/16		24
GBP	1,000	USD	1,444	Royal Bank of Scotland PLC		7/21/16		(107	)
HKD	443,000	USD	57,165	HSBC Bank PLC		7/21/16		(50	)
HKD	2,000	USD	258	HSBC Bank PLC		7/21/16		—
HKD	9,000	USD	1,160	Morgan Stanley & Co. International PLC		7/21/16		—
HKD	77,000	USD	9,926	Morgan Stanley & Co. International PLC		7/21/16		1
HKD	12,000	USD	1,547	Morgan Stanley & Co. International PLC		7/21/16		—
ILS	8,000	USD	2,125	BNP Paribas S.A.		7/21/16		(47	)
JPY	321,000	USD	3,031	Barclays Bank PLC		7/21/16		99
JPY	3,348,000	USD	30,501	Citibank N.A.		7/21/16		2,150
JPY	984,000	USD	9,215	Goldman Sachs International		7/21/16		381
JPY	1,211,000	USD	11,738	Goldman Sachs International		7/21/16		72
JPY	460,000	USD	4,351	Morgan Stanley & Co. International PLC		7/21/16		135
JPY	106,000	USD	1,003	Morgan Stanley & Co. International PLC		7/21/16		31
JPY	293,000	USD	2,692	Morgan Stanley & Co. International PLC		7/21/16		165
JPY	72,000	USD	673	Morgan Stanley & Co. International PLC		7/21/16		29
JPY	71,000	USD	657	Morgan Stanley & Co. International PLC		7/21/16		36
JPY	114,000	USD	1,045	Morgan Stanley & Co. International PLC		7/21/16		67
JPY	1,068,000	USD	9,809	Morgan Stanley & Co. International PLC		7/21/16		606
JPY	376,000	USD	3,455	Northern Trust Co.		7/21/16		212
JPY	320,000	USD	2,990	Northern Trust Co.		7/21/16		130
JPY	60,000	USD	564	Royal Bank of Scotland PLC		7/21/16		21
JPY	225,000	USD	2,069	Royal Bank of Scotland PLC		7/21/16		125
NZD	2,000	USD	1,375	HSBC Bank PLC		7/21/16		48
PHP	146,000	USD	3,124	BNP Paribas S.A.		7/21/16		(23	)
PHP	448,000	USD	9,603	JPMorgan Chase Bank N.A.		7/21/16		(89	)
PHP	239,000	USD	5,092	JPMorgan Chase Bank N.A.		7/21/16		(16	)
SEK	7,000	USD	848	Morgan Stanley & Co. International PLC		7/21/16		(22	)
SEK	56,000	USD	6,910	State Street Bank and Trust Co.		7/21/16		(296	)
SEK	2,000	USD	246	State Street Bank and Trust Co.		7/21/16		(10	)
SGD	16,000	USD	11,768	Barclays Bank PLC		7/21/16		119
SGD	6,000	USD	4,466	Barclays Bank PLC		7/21/16		(8	)
SGD	4,000	USD	2,912	Citibank N.A.		7/21/16		59
SGD	2,000	USD	1,459	Citibank N.A.		7/21/16		27
SGD	3,000	USD	2,218	HSBC Bank PLC		7/21/16		11
SGD	2,000	USD	1,459	HSBC Bank PLC		7/21/16		27
SGD	1,000	USD	738	State Street Bank and Trust Co.		7/21/16		5
SGD	1,000	USD	738	State Street Bank and Trust Co.		7/21/16		5
USD	24,110	AUD	33,000	Barclays Bank PLC		7/21/16		(448	)
USD	1,461	AUD	2,000	Morgan Stanley & Co. International PLC		7/21/16		(27	)
USD	731	AUD	1,000	Northern Trust Co.		7/21/16		(13	)
USD	2,897	AUD	4,000	Northern Trust Co.		7/21/16		(79	)
USD	12,265	AUD	17,000	Royal Bank of Scotland PLC		7/21/16		(386	)
USD	764	CAD	1,000	Barclays Bank PLC		7/21/16		(6	)
USD	765	CAD	1,000	Morgan Stanley & Co. International PLC		7/21/16		(5	)
USD	4,597	CAD	6,000	State Street Bank and Trust Co.		7/21/16		(23	)
USD	1,014	CHF	1,000	Barclays Bank PLC		7/21/16		(13	)
USD	1,024	CHF	1,000	State Street Bank and Trust Co.		7/21/16		(4	)
USD	2,261	EUR	2,000	HSBC Bank PLC		7/21/16		38
USD	2,261	EUR	2,000	Royal Bank of Scotland PLC		7/21/16		37
USD	3,467	EUR	3,000	Royal Bank of Scotland PLC		7/21/16		132
USD	1,132	EUR	1,000	State Street Bank and Trust Co.		7/21/16		20
USD	11,309	EUR	10,000	State Street Bank and Trust Co.		7/21/16		193
USD	6,721	EUR	6,000	State Street Bank and Trust Co.		7/21/16		52
USD	4,325	GBP	3,000	Barclays Bank PLC		7/21/16		314
USD	1,442	GBP	1,000	Barclays Bank PLC		7/21/16		105
USD	16,076	GBP	11,000	HSBC Bank PLC		7/21/16		1,370
USD	1,345	GBP	1,000	Morgan Stanley & Co. International PLC		7/21/16		8
USD	12,783	GBP	9,000	Morgan Stanley & Co. International PLC		7/21/16		751
USD	1,427	GBP	1,000	Morgan Stanley & Co. International PLC		7/21/16		90
USD	5,686	GBP	4,000	Morgan Stanley & Co. International PLC		7/21/16		338
USD	13,211	GBP	9,000	Morgan Stanley & Co. International PLC		7/21/16		1,178

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	59


Schedule of Investments (continued)		LifePath Retirement Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	4,032		GBP	3,000	Morgan Stanley & Co. International PLC		7/21/16	$	21
USD	1,427		GBP	1,000	Northern Trust Co.		7/21/16		90
USD	2,933		GBP	2,000	Northern Trust Co.		7/21/16		259
USD	1,434		GBP	1,000	Royal Bank of Scotland PLC		7/21/16		97
USD	11,889		GBP	9,000	State Street Bank and Trust Co.		7/21/16		(144	)
USD	3,609		HKD	28,000	Citibank N.A.		7/21/16		(1	)
USD	2,834		HKD	22,000	HSBC Bank PLC		7/21/16		(3	)
USD	2,963		HKD	23,000	HSBC Bank PLC		7/21/16		(3	)
USD	3,992		HKD	31,000	HSBC Bank PLC		7/21/16		(5	)
USD	7,992		HKD	62,000	Morgan Stanley & Co. International PLC		7/21/16		(1	)
USD	9,152		HKD	71,000	Northern Trust Co.		7/21/16		(2	)
USD	5,543		HKD	43,000	Northern Trust Co.		7/21/16		(1	)
USD	67,343		JPY	7,305,000	Barclays Bank PLC		7/21/16		(3,898	)
USD	741		JPY	81,000	Barclays Bank PLC		7/21/16		(49	)
USD	1,889		JPY	197,000	HSBC Bank PLC		7/21/16		(33	)
USD	9,473		JPY	1,027,000	Morgan Stanley & Co. International PLC		7/21/16		(543	)
USD	2,906		JPY	317,000	Morgan Stanley & Co. International PLC		7/21/16		(186	)
USD	2,014		JPY	220,000	Morgan Stanley & Co. International PLC		7/21/16		(132	)
USD	2,838		JPY	308,000	Morgan Stanley & Co. International PLC		7/21/16		(166	)
USD	751		JPY	80,000	Morgan Stanley & Co. International PLC		7/21/16		(29	)
USD	11,306		JPY	1,236,000	Morgan Stanley & Co. International PLC		7/21/16		(748	)
USD	4,745		JPY	494,000	Morgan Stanley & Co. International PLC		7/21/16		(72	)
USD	1,275		JPY	133,000	Morgan Stanley & Co. International PLC		7/21/16		(22	)
USD	778		JPY	79,000	Morgan Stanley & Co. International PLC		7/21/16		8
USD	14,870		JPY	1,510,000	Northern Trust Co.		7/21/16		144
USD	1,530		JPY	164,000	Royal Bank of Scotland PLC		7/21/16		(69	)
USD	759		JPY	81,000	Royal Bank of Scotland PLC		7/21/16		(31	)
USD	2,564		JPY	278,000	State Street Bank and Trust Co.		7/21/16		(147	)
USD	794		JPY	85,000	State Street Bank and Trust Co.		7/21/16		(35	)
USD	850		JPY	91,000	State Street Bank and Trust Co.		7/21/16		(38	)
USD	8,249		NOK	68,000	HSBC Bank PLC		7/21/16		123
USD	2,085		PHP	98,000	Bank of America N.A.		7/21/16		3
USD	15,863		PHP	735,000	JPMorgan Chase Bank N.A.		7/21/16		254
USD	1,001		SEK	8,000	Barclays Bank PLC		7/21/16		56
USD	750		SEK	6,000	HSBC Bank PLC		7/21/16		41
USD	377		SEK	3,000	HSBC Bank PLC		7/21/16		23
USD	1,410		SEK	12,000	Morgan Stanley & Co. International PLC		7/21/16		(8	)
USD	2,177		SGD	3,000	Citibank N.A.		7/21/16		(52	)
USD	2,204		SGD	3,000	Northern Trust Co.		7/21/16		(25	)
Total								$	938

Derivative Instruments Categorized by Rick Exposure

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


Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	10,952		—		—	$	10,952
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	10,014		—		—	$	10,014

See Notes to Financial Statements.



60	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath Retirement Master Portfolio

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:


Net Realized Gain (Loss) from:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Forward foreign currency exchange contracts		—		—		—	$	573		—		—	$	573

Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts		—		—		—	$	1,435		—		—	$	1,435

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	394,305
Average amounts sold — in USD	$	443,772

For more information about the LifePath Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:


	Assets		Liabilities
Derivative Financial Instruments
Forward foreign currency exchange contracts	$	10,952	$	10,014

Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	10,952	$	10,014

Derivatives not subject to a master netting or similar agreement (“MNA”)		—		—

Total assets and liabilities subject to a MNA	$	10,952	$	10,014

The following table presents the LifePath 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 LifePath Master Portfolio:


	Derivative Assets subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral received		Cash Collateral received		Net Amount of Derivative Assets²
Bank of America N.A.	$	3		—			—		—	$	3
Barclays Bank PLC		693	$	(693	)		—		—		—
Citibank N.A.		2,236		(222	)		—		—		2,014
Goldman Sachs International		453		—			—		—		453
HSBC Bank PLC		1,681		(236	)		—		—		1,445
JPMorgan Chase Bank N.A.		254		(105	)		—		—		149
Morgan Stanley & Co. International PLC		3,536		(2,740	)		—		—		796
Northern Trust Co.		859		(120	)		—		—		739
Royal Bank of Scotland PLC		580		(580	)		—		—		—
State Street Bank and Trust Co.		657		(657	)		—		—		—

Total	$	10,952	$	(5,353	)		—		—	$	5,599


	Derivative Liabilities subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral pledged		Cash Collateral pledged		Net Amount of Derivative Liabilities³
Barclays Bank PLC	$	4,899	$	(693	)		—		—	$	4,206
BNP Paribas S.A.		70		—			—		—		70
Citibank N.A.		222		(222	)		—		—		—
HSBC Bank PLC		236		(236	)		—		—		—
JPMorgan Chase Bank N.A.		105		(105	)		—		—		—
Morgan Stanley & Co. International PLC		2,740		(2,740	)		—		—		—
Northern Trust Co.		120		(120	)		—		—		—
Royal Bank of Scotland PLC		915		(580	)		—		—		335
State Street Bank and Trust Co.		697		(657	)		—		—		40
UBS AG		10		—			—		—		10

Total	$	10,014	$	(5,353	)		—		—	$	4,661

¹ The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
² Net amount represents the net amount receivable from the counterparty in the event of default.
³ Net amount represents the net amount payable due to the counterparty in the event of default.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	61


Schedule of Investments (concluded)		LifePath Retirement Master Portfolio

Fair Value Hierarchy as of Period End

The following tables summarize the LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	14,746,380	$	63,985,392			—	$	78,731,772
Fixed Income Funds		17,981,064		101,546,868			—		119,527,932
Short-Term Securities		3,418,520		—			—		3,418,520
Common Stocks:
Hotels, Restaurants & Leisure		5,632		—			—		5,632
Real Estate Investment Trusts (REITs)		739,875		316,490			—		1,056,365
Real Estate Management & Development		15,481		212,073			—		227,554

Total	$	36,906,952	$	166,060,823			—	$	202,967,775


	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Forward foreign currency contracts		—	$	10,952			—	$	10,952
Liabilities:
Forward foreign currency contracts		—		(10,014	)		—		(10,014	)

Total		—	$	938			—	$	938

¹ Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


	Level 1		Level 2			Level 3		Total
Assets:
Foreign currency at value	$	30,503		—			—	$	30,503
Liabilities:
Collateral on securities loaned at value		—	$	(3,140,359	)		—		(3,140,359	)

Total	$	30,503	$	(3,140,359	)		—	$	(3,109,856	)

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



62	BLACKROCK FUNDS III	JUNE 30, 2016

Schedule of Investments June 30, 2016 (Unaudited)

LifePath 2020 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 47.8%
Active Stock Master Portfolio	$	93,385,910	$	93,385,910
BlackRock Commodity Strategies Fund (b)		2,527,127		18,599,656
BlackRock Emerging Markets Fund, Inc.		889,908		15,164,030
International Tilts Master Portfolio	$	54,143,791		54,143,791
iShares MSCI Canada ETF (c)		187,151		4,587,071
iShares MSCI EAFE Small-Cap ETF (c)		155,219		7,490,869
Large Cap Index Master Portfolio	$	40,281,467		40,281,467
Master Small Cap Index Series	$	17,038,245		17,038,245

				250,691,039
Fixed Income Funds — 49.1%
CoreAlpha Bond Master Portfolio	$	222,514,977		222,514,977
iShares TIPS Bond ETF		296,010		34,535,487

				257,050,464
Short-Term Securities (d) — 1.4%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (e)		5,690,497		5,690,497
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (e)		1,542,471		1,542,471

				7,232,968
Total Affiliated Investment Companies — 98.3%				514,974,471



Common Stocks
Hotels, Restaurants & Leisure — 0.0%
Hilton Worldwide Holdings, Inc.		3,557		80,139
Real Estate Investment Trusts (REITs) — 2.4%
AEON REIT Investment Corp.		134		153,099
Alexandria Real Estate Equities, Inc.		851		88,096
American Campus Communities, Inc.		4,184		221,208
AvalonBay Communities, Inc.		2,609		470,637
Beni Stabili SpA SIIQ		141,205		87,406
Boston Properties, Inc.		4,292		566,115
British Land Co. PLC		54,851		445,351
Cambridge Industrial Trust		196,000		80,155
Colony Starwood Homes		4,253		129,376
CyrusOne, Inc.		4,564		254,032
DDR Corp.		12,048		218,551
Derwent London PLC		2,248		78,427
DiamondRock Hospitality Co.		17,092		154,341
Dream Office Real Estate Investment Trust		12,502		179,796
Duke Realty Corp.		4,396		117,197
Empiric Student Property PLC		44,438		63,743
EPR Properties		2,260		182,337
Equity One, Inc.		4,155		133,708
Essex Property Trust, Inc.		2,066		471,234
Extra Space Storage, Inc.		4,284		396,441
First Industrial Realty Trust, Inc.		5,572		155,013
General Growth Properties, Inc.		12,154		362,432
Gramercy Property Trust		18,736		172,746
Great Portland Estates PLC		9,740		81,528
Hammerson PLC		41,781		300,931
Healthcare Trust of America, Inc., Class A		5,406		174,830
Host Hotels & Resorts, Inc.		14,083		228,285
Ichigo Office REIT Investment		178		138,477
Japan Rental Housing Investments, Inc.		385		315,540
Kenedix Retail REIT Corp.		71		191,160
Kilroy Realty Corp.		4,995		331,119
Klepierre		3,878		171,118
LaSalle Logiport REIT (b)		480		488,586
Link REIT		23,500		160,698
McKay Securities PLC		9,624		21,223
MGM Growth Properties LLC		3,757		100,237


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
National Health Investors, Inc.		2,490	$	186,974
National Storage		166,238		195,889
Parkway Properties, Inc.		5,118		85,624
Public Storage		717		183,258
Retail Properties of America, Inc., Class A		20,799		351,503
Rexford Industrial Realty, Inc.		2,119		44,690
Sekisui House REIT, Inc.		45		60,690
Simon Property Group, Inc.		4,920		1,067,148
SL Green Realty Corp.		1,538		163,751
STAG Industrial, Inc.		8,402		200,052
STORE Capital Corp.		7,902		232,714
Terreno Realty Corp.		9,404		243,281
UDR, Inc.		6,963		257,074
Vastned Retail NV		4,534		183,959
Ventas, Inc.		9,477		690,115
Westfield Corp.		63,374		509,063

				12,540,958
Real Estate Management & Development — 0.5%
Deutsche Wohnen AG, Bearer Shares		7,189		244,771
Entra ASA (f)		10,252		96,594
First Capital Realty, Inc.		5,836		100,101
Grainger PLC		21,507		60,811
Howard Hughes Corp. (b)		828		94,657
Inmobiliaria Colonial SA		234,657		171,423
Kenedix, Inc.		41,700		156,703
Kungsleden AB		20,594		134,005
LEG Immobilien AG		1,040		97,311
Mitsui Fudosan Co. Ltd.		19,000		436,065
St. Modwen Properties PLC		39,458		141,623
Sumitomo Realty & Development Co. Ltd.		8,000		216,939
Sun Hung Kai Properties Ltd.		32,000		386,205
UNITE Group PLC		17,561		145,273

				2,482,481
Total Common Stocks — 2.9%				15,103,578
Total Investments (Cost — $489,375,752) — 101.2%				530,078,049
Liabilities in Excess of Other Assets — (1.2)%				(6,218,325	)

Net Assets — 100.0%			$	523,859,724

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	63


Schedule of Investments (continued)		LifePath 2020 Master Portfolio

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	98,938,953		—		$	(5,553,043	)¹	$	93,385,910	$	93,385,910	$	803,136		$	(9,575,877	)
BlackRock Cash Funds: Institutional, SL Agency Shares		2,831,794		2,858,703	²		—			5,690,497	$	5,690,497	$	16,659	³		—
BlackRock Cash Funds: Prime, SL Agency Shares		1,196,918		345,553	²		—			1,542,471	$	1,542,471	$	5,843	³		—
BlackRock Commodity Strategies Fund		3,062,221		134,680			(669,774	)		2,527,127	$	18,599,656		—		$	(1,124,543	)
BlackRock Emerging Markets Fund, Inc.		1,006,837		31,768			(148,697	)		889,908	$	15,164,030		—		$	(594,701	)
CoreAlpha Bond Master Portfolio	$	246,301,565		—		$	(23,786,588	)¹	$	222,514,977	$	222,514,977	$	2,840,137		$	989,412
International Tilts Master Portfolio	$	61,723,700		—		$	(7,579,909	)¹	$	54,143,791	$	54,143,791	$	1,084,540		$	(1,961,114	)
iShares MSCI Canada ETF		220,099		1,991			(34,939	)		187,151	$	4,587,071	$	36,672		$	(234,327	)
iShares MSCI EAFE Small-Cap ETF		172,841		4,970			(22,592	)		155,219	$	7,490,869	$	105,058		$	(23,744	)
iShares TIPS Bond ETF		342,392		30,794			(77,176	)		296,010	$	34,535,487	$	11,283		$	(89,251	)
Large Cap Index Master Portfolio	$	51,535,999		—		$	(11,254,532	)¹	$	40,281,467	$	40,281,467	$	492,257		$	(7,352,018	)
Master Small Cap Index Series	$	20,833,677		—		$	(3,795,432	)¹		$ 17,038,245	$	17,038,245	$	160,952		$	55,195
Total											$	514,974,471	$	5,556,537		$	(19,910,968	)

¹ Represents net shares/beneficial interest sold.
² Represents net shares/beneficial interest purchased.
³ Represents all or a portion of 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.

(b)

Non-income producing security.

(c)

Security, or a portion of security, is on loan.

(d)

All or a portion of security was purchased with the cash collateral from loaned securities.

(e)

Current yield as of period end.

(f)

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	39,000	USD	30,341	Citibank N.A.		7/21/16	$	(1,319	)
AUD	12,000	USD	9,211	HSBC Bank PLC		7/21/16		(281	)
AUD	47,000	USD	34,747	HSBC Bank PLC		7/21/16		229
AUD	28,000	USD	20,838	Morgan Stanley & Co. International PLC		7/21/16		(2	)
AUD	25,000	USD	19,225	Royal Bank of Scotland PLC		7/21/16		(621	)
AUD	24,000	USD	17,511	Royal Bank of Scotland PLC		7/21/16		349
AUD	54,000	USD	39,271	Royal Bank of Scotland PLC		7/21/16		913
AUD	975,000	USD	721,106	Royal Bank of Scotland PLC		7/21/16		4,446
CAD	283,000	USD	219,967	Royal Bank of Scotland PLC		7/21/16		(2,045	)
CHF	144,000	USD	149,464	Morgan Stanley & Co. International PLC		7/21/16		(1,498	)
EUR	20,000	USD	22,766	Barclays Bank PLC		7/21/16		(534	)
EUR	9,000	USD	10,383	BNP Paribas S.A.		7/21/16		(379	)
EUR	13,000	USD	14,522	HSBC Bank PLC		7/21/16		(71	)
EUR	162,000	USD	182,674	HSBC Bank PLC		7/21/16		(2,598	)
EUR	21,000	USD	23,777	Morgan Stanley & Co. International PLC		7/21/16		(433	)
EUR	19,000	USD	21,657	Morgan Stanley & Co. International PLC		7/21/16		(537	)
EUR	53,000	USD	59,481	Morgan Stanley & Co. International PLC		7/21/16		(568	)
EUR	89,000	USD	99,080	Morgan Stanley & Co. International PLC		7/21/16		(150	)
EUR	14,000	USD	15,787	Morgan Stanley & Co. International PLC		7/21/16		(225	)
EUR	113,000	USD	124,532	Morgan Stanley & Co. International PLC		7/21/16		1,076
EUR	60,000	USD	68,013	Royal Bank of Scotland PLC		7/21/16		(1,319	)
EUR	7,000	USD	7,940	Royal Bank of Scotland PLC		7/21/16		(159	)
EUR	17,000	USD	19,407	Royal Bank of Scotland PLC		7/21/16		(510	)
GBP	3,000	USD	4,331	Goldman Sachs International		7/21/16		(320	)
GBP	9,000	USD	12,956	HSBC Bank PLC		7/21/16		(924	)

See Notes to Financial Statements.



64	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2020 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
GBP	16,000	USD	22,921	Morgan Stanley & Co. International PLC		7/21/16	$	(1,530	)
GBP	45,000	USD	59,602	Morgan Stanley & Co. International PLC		7/21/16		560
HKD	4,435,000	USD	572,291	HSBC Bank PLC		7/21/16		(498	)
HKD	22,000	USD	2,835	HSBC Bank PLC		7/21/16		1
HKD	88,000	USD	11,344	HSBC Bank PLC		7/21/16		2
HKD	116,000	USD	14,950	Morgan Stanley & Co. International PLC		7/21/16		5
HKD	158,000	USD	20,369	Morgan Stanley & Co. International PLC		7/21/16		1
HKD	814,000	USD	104,937	Morgan Stanley & Co. International PLC		7/21/16		10
HKD	99,000	USD	12,771	Royal Bank of Scotland PLC		7/21/16		(8	)
ILS	64,000	USD	17,002	BNP Paribas S.A.		7/21/16		(379	)
JPY	36,165,000	USD	329,473	Citibank N.A.		7/21/16		23,220
JPY	3,455,000	USD	32,356	Goldman Sachs International		7/21/16		1,338
JPY	1,332,000	USD	12,238	Morgan Stanley & Co. International PLC		7/21/16		752
JPY	2,661,000	USD	23,942	Morgan Stanley & Co. International PLC		7/21/16		2,009
JPY	712,000	USD	6,653	Morgan Stanley & Co. International PLC		7/21/16		290
JPY	4,937,000	USD	45,651	Morgan Stanley & Co. International PLC		7/21/16		2,496
JPY	734,000	USD	6,730	Morgan Stanley & Co. International PLC		7/21/16		429
JPY	7,834,000	USD	71,954	Morgan Stanley & Co. International PLC		7/21/16		4,446
JPY	3,656,000	USD	34,583	Morgan Stanley & Co. International PLC		7/21/16		1,071
JPY	1,981,000	USD	18,740	Morgan Stanley & Co. International PLC		7/21/16		580
JPY	1,686,000	USD	15,952	Morgan Stanley & Co. International PLC		7/21/16		491
JPY	2,754,000	USD	25,304	Northern Trust Co.		7/21/16		1,553
JPY	2,129,000	USD	19,687	Northern Trust Co.		7/21/16		1,076
JPY	3,790,000	USD	34,852	Royal Bank of Scotland PLC		7/21/16		2,110
JPY	1,321,000	USD	12,426	Royal Bank of Scotland PLC		7/21/16		457
NZD	22,000	USD	15,126	HSBC Bank PLC		7/21/16		530
PHP	1,333,000	USD	28,519	BNP Paribas S.A.		7/21/16		(210	)
PHP	4,662,000	USD	99,936	JPMorgan Chase Bank N.A.		7/21/16		(929	)
PHP	2,688,000	USD	57,271	JPMorgan Chase Bank N.A.		7/21/16		(185	)
SEK	588,000	USD	72,576	Morgan Stanley & Co. International PLC		7/21/16		(3,129	)
SGD	175,000	USD	128,716	Barclays Bank PLC		7/21/16		1,298
SGD	57,000	USD	42,423	Barclays Bank PLC		7/21/16		(76	)
SGD	6,000	USD	4,366	Citibank N.A.		7/21/16		91
SGD	30,000	USD	21,843	Citibank N.A.		7/21/16		445
SGD	20,000	USD	14,586	Citibank N.A.		7/21/16		273
SGD	11,000	USD	8,118	HSBC Bank PLC		7/21/16		54
SGD	12,000	USD	8,858	HSBC Bank PLC		7/21/16		58
SGD	29,000	USD	21,442	HSBC Bank PLC		7/21/16		104
SGD	13,000	USD	9,485	HSBC Bank PLC		7/21/16		173
USD	246,940	AUD	338,000	Barclays Bank PLC		7/21/16		(4,585	)
USD	12,422	AUD	17,000	Morgan Stanley & Co. International PLC		7/21/16		(229	)
USD	13,152	AUD	18,000	Northern Trust Co.		7/21/16		(243	)
USD	125,531	AUD	174,000	Royal Bank of Scotland PLC		7/21/16		(3,952	)
USD	25,032	AUD	34,000	Royal Bank of Scotland PLC		7/21/16		(270	)
USD	19,542	CAD	25,000	Goldman Sachs International		7/21/16		291
USD	26,759	CAD	35,000	Morgan Stanley & Co. International PLC		7/21/16		(192	)
USD	21,479	EUR	19,000	HSBC Bank PLC		7/21/16		359
USD	13,584	EUR	12,000	Morgan Stanley & Co. International PLC		7/21/16		245
USD	115,313	EUR	102,000	Morgan Stanley & Co. International PLC		7/21/16		1,932
USD	25,879	EUR	23,000	Morgan Stanley & Co. International PLC		7/21/16		313
USD	33,910	EUR	30,000	Royal Bank of Scotland PLC		7/21/16		562
USD	32,357	EUR	28,000	Royal Bank of Scotland PLC		7/21/16		1,233
USD	5,767	GBP	4,000	Barclays Bank PLC		7/21/16		419
USD	13,152	GBP	9,000	HSBC Bank PLC		7/21/16		1,120
USD	62,081	GBP	47,000	HSBC Bank PLC		7/21/16		(756	)
USD	129,410	GBP	91,000	Morgan Stanley & Co. International PLC		7/21/16		7,749
USD	11,382	GBP	8,000	Morgan Stanley & Co. International PLC		7/21/16		686
USD	4,269	GBP	3,000	Morgan Stanley & Co. International PLC		7/21/16		258
USD	2,855	GBP	2,000	Morgan Stanley & Co. International PLC		7/21/16		181
USD	169,513	GBP	116,000	Morgan Stanley & Co. International PLC		7/21/16		14,428
USD	5,793	GBP	4,000	Morgan Stanley & Co. International PLC		7/21/16		445
USD	79,601	GBP	56,000	Morgan Stanley & Co. International PLC		7/21/16		4,733
USD	129,171	GBP	88,000	Morgan Stanley & Co. International PLC		7/21/16		11,520
USD	21,311	GBP	16,000	Morgan Stanley & Co. International PLC		7/21/16		(80	)

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	65


Schedule of Investments (continued)		LifePath 2020 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	49,723		GBP	37,000	Morgan Stanley & Co. International PLC		7/21/16	$	257
USD	30,925		GBP	23,000	Morgan Stanley & Co. International PLC		7/21/16		175
USD	29,327		GBP	20,000	Northern Trust Co.		7/21/16		2,589
USD	2,899		GBP	2,000	Royal Bank of Scotland PLC		7/21/16		225
USD	21,911		HKD	170,000	Citibank N.A.		7/21/16		(6	)
USD	21,265		HKD	165,000	Citibank N.A.		7/21/16		(8	)
USD	32,460		HKD	252,000	HSBC Bank PLC		7/21/16		(30	)
USD	31,688		HKD	246,000	HSBC Bank PLC		7/21/16		(28	)
USD	53,238		HKD	413,000	Northern Trust Co.		7/21/16		(9	)
USD	77,468		HKD	601,000	Northern Trust Co.		7/21/16		(18	)
USD	33,651		HKD	261,000	UBS AG		7/21/16		1
USD	15,468		JPY	1,677,000	Barclays Bank PLC		7/21/16		(887	)
USD	644,675		JPY	69,930,000	Barclays Bank PLC		7/21/16		(37,304	)
USD	8,910		JPY	974,000	Barclays Bank PLC		7/21/16		(589	)
USD	89,976		JPY	9,755,000	HSBC Bank PLC		7/21/16		(5,158	)
USD	34,954		JPY	3,819,000	Morgan Stanley & Co. International PLC		7/21/16		(2,290	)
USD	30,326		JPY	3,291,000	Morgan Stanley & Co. International PLC		7/21/16		(1,769	)
USD	6,055		JPY	645,000	Morgan Stanley & Co. International PLC		7/21/16		(235	)
USD	15,040		JPY	1,602,000	Morgan Stanley & Co. International PLC		7/21/16		(584	)
USD	7,032		JPY	753,000	Morgan Stanley & Co. International PLC		7/21/16		(311	)
USD	62,821		JPY	6,540,000	Morgan Stanley & Co. International PLC		7/21/16		(959	)
USD	52,211		JPY	5,435,000	Morgan Stanley & Co. International PLC		7/21/16		(793	)
USD	11,425		JPY	1,192,000	Morgan Stanley & Co. International PLC		7/21/16		(199	)
USD	1,763		JPY	179,000	Morgan Stanley & Co. International PLC		7/21/16		17
USD	20,705		JPY	2,247,000	Northern Trust Co.		7/21/16		(1,209	)
USD	9,542		JPY	969,000	Northern Trust Co.		7/21/16		92
USD	16,055		JPY	1,721,000	Royal Bank of Scotland PLC		7/21/16		(729	)
USD	9,128		JPY	974,000	Royal Bank of Scotland PLC		7/21/16		(370	)
USD	83,584		NOK	689,000	HSBC Bank PLC		7/21/16		1,247
USD	21,441		PHP	1,008,000	Bank of America N.A.		7/21/16		34
USD	165,642		PHP	7,675,000	JPMorgan Chase Bank N.A.		7/21/16		2,647
USD	10,383		SEK	83,000	Barclays Bank PLC		7/21/16		580
USD	6,371		SEK	51,000	HSBC Bank PLC		7/21/16		347
USD	4,397		SEK	35,000	HSBC Bank PLC		7/21/16		263
Total								$	22,655

Derivative Instruments Categorized by Rick Exposure

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


Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	107,884		—		—	$	107,884
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	85,229		—		—	$	85,229

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:


Net Realized Gain (Loss) from:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Forward foreign currency exchange contracts		—		—		—	$	6,132		—		—	$	6,132
Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts		—		—		—	$	27,223		—		—	$	27,223

See Notes to Financial Statements.



66	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2020 Master Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	3,260,259
Average amounts sold — in USD	$	4,088,376

For more information about the LifePath Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:


	Assets		Liabilities
Derivative Financial Instruments
Forward foreign currency exchange contracts	$	107,884	$	85,229

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	107,884	$	85,229

Derivatives not subject to a master netting or similar agreement (“MNA”)		—		—

Total assets and liabilities subject to a MNA	$	107,884	$	85,229


	Derivative Assets subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral received		Cash Collateral received		Net Amount of Derivative Assets²
Bank of America N.A.	$	34		—			—		—	$	34
Barclays Bank PLC		2,297	$	(2,297	)		—		—		—
Citibank N.A.		24,029		(1,333	)		—		—		22,696
Goldman Sachs International		1,629		(320	)		—		—		1,309
HSBC Bank PLC		4,487		(4,487	)		—		—		—
JPMorgan Chase Bank N.A.		2,647		(1,114	)		—		—		1,533
Morgan Stanley & Co. International PLC		57,155		(15,713	)		—		—		41,442
Northern Trust Co.		5,310		(1,479	)		—		—		3,831
Royal Bank of Scotland PLC		10,295		(9,983	)		—		—		312
UBS AG		1		—			—		—		1

Total	$	107,884	$	(36,726	)		—		—	$	71,158


	Derivative Liabilities subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral pledged		Cash Collateral pledged		Net Amount of Derivative Liabilities³
Barclays Bank PLC	$	43,975	$	(2,297	)		—		—	$	41,678
BNP Paribas S.A.		968		—			—		—		968
Citibank N.A.		1,333		(1,333	)		—		—		—
Goldman Sachs International		320		(320	)		—		—		—
HSBC Bank PLC		10,344		(4,487	)		—		—		5,857
JPMorgan Chase Bank N.A.		1,114		(1,114	)		—		—		—
Morgan Stanley & Co. International PLC		15,713		(15,713	)		—		—		—
Northern Trust Co.		1,479		(1,479	)		—		—		—
Royal Bank of Scotland PLC		9,983		(9,983	)		—		—		—

Total	$	85,229	$	(36,726	)		—		—	$	48,503

¹ The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
² Net amount represents the net amount receivable from the counterparty in the event of default.
³ Net amount represents the net amount payable due to the counterparty in the event of default.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	67


Schedule of Investments (concluded)		LifePath 2020 Master Portfolio

Fair Value Hierarchy as of Period End

The following tables summarize the LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	45,841,626	$	204,849,413			—	$	250,691,039
Fixed Income Funds		34,535,487		222,514,977			—		257,050,464
Short-Term Securities		7,232,968		—			—		7,232,968
Common Stocks:
Hotels, Restaurants & Leisure		80,139		—			—		80,139
Real Estate Investment Trusts (REITs)		8,797,519		3,743,439			—		12,540,958
Real Estate Management & Development		274,897		2,207,584			—		2,482,481

Subtotal	$	96,762,636	$	433,315,413			—	$	530,078,049


	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Forward foreign currency contracts		—	$	107,884			—	$	107,884
Liabilities:
Forward foreign currency contracts		—		(85,229	)		—		(85,229	)

Total		—	$	22,655			—	$	22,655

¹Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.


	Level 1		Level 2			Level 3		Total
Assets:
Foreign currency at value	$	111,886		—			—	$	111,886
Liabilities:
Collateral on securities loaned at value		—	$	(5,335,025	)		—		(5,335,025	)

Total	$	111,886	$	(5,335,025	)		—	$	(5,223,139	)

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



68	BLACKROCK FUNDS III	JUNE 30, 2016

Schedule of Investments June 30, 2016 (Unaudited)

LifePath 2030 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 64.8%
Active Stock Master Portfolio	$	123,426,052	$	123,426,052
BlackRock Commodity Strategies Fund (b)		2,587,286		19,042,422
BlackRock Emerging Markets Fund, Inc.		1,260,680		21,481,979
International Tilts Master Portfolio	$	77,458,838		77,458,838
iShares MSCI Canada ETF (c)		264,755		6,489,145
iShares MSCI EAFE Small-Cap ETF		221,734		10,700,883
Large Cap Index Master Portfolio	$	63,883,889		63,883,889
Master Small Cap Index Series	$	12,472,041		12,472,041

				334,955,249
Fixed Income Funds — 26.9%
CoreAlpha Bond Master Portfolio	$	127,782,627		127,782,627
iShares TIPS Bond ETF		93,961		10,962,430

				138,745,057
Short-Term Securities — 2.0%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (d)(e)		8,645,209		8,645,209
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (d)(e)		1,906,295		1,906,295

				10,551,504
Total Affiliated Investment Companies — 93.7%				484,251,810



Common Stocks
Hotels, Restaurants & Leisure — 0.0%
Hilton Worldwide Holdings, Inc.		7,872		177,356
Real Estate Investment Trusts (REITs) — 6.3%
AEON REIT Investment Corp.		351		401,028
Alexandria Real Estate Equities, Inc.		2,264		234,369
American Campus Communities, Inc.		10,846		573,428
AvalonBay Communities, Inc.		6,683		1,205,546
Beni Stabili SpA SIIQ		358,427		221,868
Boston Properties, Inc.		11,159		1,471,872
British Land Co. PLC		145,974		1,185,205
Cambridge Industrial Trust		520,500		212,862
Colony Starwood Homes		11,274		342,955
CyrusOne, Inc.		12,102		673,597
DDR Corp.		32,064		581,641
Derwent London PLC		5,940		207,232
DiamondRock Hospitality Co.		45,169		407,876
Dream Office Real Estate Investment Trust		32,501		467,409
Duke Realty Corp.		11,672		311,175
Empiric Student Property PLC		115,566		165,770
EPR Properties		6,032		486,662
Equity One, Inc.		10,980		353,336
Essex Property Trust, Inc.		5,154		1,175,576
Extra Space Storage, Inc.		10,929		1,011,370
First Industrial Realty Trust, Inc.		14,784		411,291
General Growth Properties, Inc.		30,909		921,706
Gramercy Property Trust		49,741		458,612
Great Portland Estates PLC		25,738		215,438
Hammerson PLC		110,672		797,123
Healthcare Trust of America, Inc., Class A		14,353		464,176
Host Hotels & Resorts, Inc.		36,611		593,464
Ichigo Office REIT Investment		457		355,529
Japan Rental Housing Investments, Inc.		1,008		826,140
Kenedix Retail REIT Corp.		186		500,785
Kilroy Realty Corp.		12,440		824,648
Klepierre		10,288		453,960
LaSalle Logiport REIT (b)		1,253		1,275,412
Link REIT		62,000		423,969
McKay Securities PLC		25,554		56,353
MGM Growth Properties LLC		9,767		260,584
National Health Investors, Inc.		6,546		491,539


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
National Storage		439,330	$	517,691
Parkway Properties, Inc.		13,354		223,412
Public Storage		1,678		428,880
Retail Properties of America, Inc., Class A		55,336		935,178
Rexford Industrial Realty, Inc.		5,599		118,083
Sekisui House REIT, Inc.		118		159,144
Simon Property Group, Inc.		12,906		2,799,311
SL Green Realty Corp.		3,993		425,135
STAG Industrial, Inc.		22,286		530,630
STORE Capital Corp.		20,980		617,861
Terreno Realty Corp.		24,856		643,025
UDR, Inc.		18,630		687,820
Vastned Retail NV		11,776		477,790
Ventas, Inc.		25,161		1,832,224
Westfield Corp.		165,320		1,327,962

				32,745,652
Real Estate Management & Development — 1.3%
Deutsche Wohnen AG, Bearer Shares		19,094		650,113
Entra ASA (f)		27,405		258,210
First Capital Realty, Inc.		15,171		260,219
Grainger PLC		56,838		160,708
Howard Hughes Corp. (b)		2,159		246,817
Inmobiliaria Colonial SA		609,836		445,500
Kenedix, Inc.		109,500		411,486
Kungsleden AB		53,651		349,108
LEG Immobilien AG		2,761		258,342
Mitsui Fudosan Co. Ltd.		50,000		1,147,539
St. Modwen Properties PLC		102,917		369,390
Sumitomo Realty & Development Co. Ltd.		21,000		569,465
Sun Hung Kai Properties Ltd.		85,000		1,025,856
UNITE Group PLC		46,735		386,615

				6,539,368
Total Common Stocks — 7.6%				39,462,376
Total Investments (Cost — $507,054,739) — 101.3%				523,714,186
Liabilities in Excess of Other Assets — (1.3)%				(6,837,428	)

Net Assets — 100.0%			$	516,876,758

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	69


Schedule of Investments (continued)		LifePath 2030 Master Portfolio

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	127,705,255		—		$	(4,279,203	)¹	$	123,426,052	$	123,426,052	$	1,027,179		$	7,436,697
BlackRock Cash Funds:
Institutional, SL Agency Shares		1,688,189		6,957,020	²		—		$	8,645,209	$	8,645,209	$	23,085	³		—
BlackRock Cash Funds:
Prime, SL Agency Shares		439,558		1,466,737	²		—			1,906,295	$	1,906,295	$	7,797	³		—
BlackRock Commodity Strategies Fund		3,173,206		28,124			(614,044	)		2,587,286	$	19,042,422		—		$	(863,974	)
BlackRock Emerging Markets Fund, Inc.		1,377,544		37,293			(154,157	)		1,260,680	$	21,481,979		—		$	(635,337	)
CoreAlpha Bond Master Portfolio	$	135,910,507		—		$	(8,127,880	)¹	$	127,782,627	$	127,782,627	$	1,581,061		$	522,434
International Tilts Master Portfolio	$	82,549,286		—		$	(5,090,448	)¹	$	77,458,838	$	77,458,838	$	1,485,675		$	(2,121,313	)
iShares MSCI Canada ETF		297,289		5,229			(37,763	)		264,755	$	6,489,145	$	51,665		$	(292,398	)
iShares MSCI EAFE Small-Cap ETF		233,145		10,823			(22,234	)		221,734	$	10,700,883	$	149,402		$	(58,176	)
iShares TIPS Bond ETF		91,590		26,255			(23,884	)		93,961	$	10,962,430	$	3,509		$	(34,435	)
Large Cap Index Master Portfolio	$	71,445,267		—		$	(7,561,378	)¹	$	63,883,889	$	63,883,889	$	721,524		$	(7,020,329	)
Master Small Cap Index Series	$	14,504,592		—			$(2,032,551)¹		$	12,472,041	$	12,472,041	$	113,811		$	(663,119	)
Total											$	484,251,810	$	5,164,708		$	(3,729,950	)

¹ Represents net shares/beneficial interest sold.
² Represents net shares/beneficial interest purchased.
³ Represents all or a portion of 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.

(b)

Non-income producing security.

(c)

Security, or a portion of security, is on loan.

(d)

All or a portion of security was purchased with the cash collateral from loaned securities.

(e)

Current yield as of period end.

(f)

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	114,000	USD	88,688	Citibank N.A.		7/21/16	$	(3,855	)
AUD	24,000	USD	18,423	HSBC Bank PLC		7/21/16		(563	)
AUD	56,000	USD	41,677	HSBC Bank PLC		7/21/16		(4	)
AUD	17,000	USD	12,568	HSBC Bank PLC		7/21/16		83
AUD	2,606,000	USD	1,927,173	HSBC Bank PLC		7/21/16		12,097
AUD	58,000	USD	42,318	Royal Bank of Scotland PLC		7/21/16		843
AUD	140,000	USD	101,814	Royal Bank of Scotland PLC		7/21/16		2,367
AUD	48,000	USD	36,912	Royal Bank of Scotland PLC		7/21/16		(1,192	)
CAD	6,000	USD	4,712	Morgan Stanley & Co. International PLC		7/21/16		(92	)
CAD	696,000	USD	541,024	Morgan Stanley & Co. International PLC		7/21/16		(5,073	)
CHF	371,000	USD	385,077	Morgan Stanley & Co. International PLC		7/21/16		(3,860	)
EUR	53,000	USD	60,329	Barclays Bank PLC		7/21/16		(1,416	)
EUR	42,000	USD	48,453	BNP Paribas S.A.		7/21/16		(1,767	)
EUR	392,000	USD	442,025	HSBC Bank PLC		7/21/16		(6,287	)
EUR	138,000	USD	154,876	Morgan Stanley & Co. International PLC		7/21/16		(1,478	)
EUR	231,000	USD	257,163	Morgan Stanley & Co. International PLC		7/21/16		(389	)
EUR	10,000	USD	11,251	Morgan Stanley & Co. International PLC		7/21/16		(135	)
EUR	302,000	USD	332,820	Morgan Stanley & Co. International PLC		7/21/16		2,876
EUR	14,000	USD	15,851	Morgan Stanley & Co. International PLC		7/21/16		(289	)
EUR	25,000	USD	28,496	Royal Bank of Scotland PLC		7/21/16		(707	)
EUR	186,000	USD	210,841	Royal Bank of Scotland PLC		7/21/16		(4,088	)
EUR	18,000	USD	20,416	Royal Bank of Scotland PLC		7/21/16		(408	)
EUR	21,000	USD	23,846	Royal Bank of Scotland PLC		7/21/16		(503	)
EUR	43,000	USD	49,088	Royal Bank of Scotland PLC		7/21/16		(1,290	)
EUR	6,000	USD	6,792	Royal Bank of Scotland PLC		7/21/16		(123	)

See Notes to Financial Statements.



70	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2030 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
GBP	15,000		USD	21,656	Goldman Sachs International		7/21/16	$	(1,602	)
GBP	19,000		USD	27,352	HSBC Bank PLC		7/21/16		(1,950	)
GBP	10,000		USD	14,452	Morgan Stanley & Co. International PLC		7/21/16		(1,083	)
GBP	102,000		USD	135,098	Morgan Stanley & Co. International PLC		7/21/16		1,270
GBP	19,000		USD	27,219	Morgan Stanley & Co. International PLC		7/21/16		(1,817	)
HKD	56,000		USD	7,217	HSBC Bank PLC		7/21/16		3
HKD	11,659,000		USD	1,504,475	HSBC Bank PLC		7/21/16		(1,309	)
HKD	2,136,000		USD	275,363	Morgan Stanley & Co. International PLC		7/21/16		26
HKD	435,000		USD	56,063	Morgan Stanley & Co. International PLC		7/21/16		21
ILS	174,000		USD	46,225	BNP Paribas S.A.		7/21/16		(1,030	)
JPY	89,588,000		USD	816,170	Citibank N.A.		7/21/16		57,520
JPY	9,294,000		USD	87,039	Goldman Sachs International		7/21/16		3,599
JPY	10,930,000		USD	101,067	Morgan Stanley & Co. International PLC		7/21/16		5,525
JPY	5,764,000		USD	52,846	Morgan Stanley & Co. International PLC		7/21/16		3,366
JPY	28,756,000		USD	264,119	Morgan Stanley & Co. International PLC		7/21/16		16,319
JPY	9,740,000		USD	92,133	Morgan Stanley & Co. International PLC		7/21/16		2,854
JPY	4,741,000		USD	44,848	Morgan Stanley & Co. International PLC		7/21/16		1,387
JPY	1,192,000		USD	11,278	Morgan Stanley & Co. International PLC		7/21/16		347
JPY	3,876,000		USD	35,613	Morgan Stanley & Co. International PLC		7/21/16		2,187
JPY	1,780,000		USD	16,634	Morgan Stanley & Co. International PLC		7/21/16		725
JPY	7,307,000		USD	67,139	Northern Trust Co.		7/21/16		4,122
JPY	9,376,000		USD	86,219	Royal Bank of Scotland PLC		7/21/16		5,219
JPY	3,839,000		USD	36,111	Royal Bank of Scotland PLC		7/21/16		1,328
NZD	59,000		USD	40,564	HSBC Bank PLC		7/21/16		1,421
PHP	3,465,000		USD	74,134	BNP Paribas S.A.		7/21/16		(547	)
PHP	12,030,000		USD	257,878	JPMorgan Chase Bank N.A.		7/21/16		(2,396	)
PHP	6,867,000		USD	146,309	JPMorgan Chase Bank N.A.		7/21/16		(474	)
SEK	354,000		USD	42,911	HSBC Bank USA N.A.		7/21/16		(1,102	)
SEK	6,000		USD	737	Morgan Stanley & Co. International PLC		7/21/16		(29	)
SEK	1,521,000		USD	187,734	Morgan Stanley & Co. International PLC		7/21/16		(8,095	)
SGD	170,000		USD	126,526	Barclays Bank PLC		7/21/16		(227	)
SGD	451,000		USD	331,720	Barclays Bank PLC		7/21/16		3,345
SGD	14,000		USD	10,188	Citibank N.A.		7/21/16		213
SGD	80,000		USD	58,249	Citibank N.A.		7/21/16		1,186
SGD	50,000		USD	36,466	Citibank N.A.		7/21/16		681
SGD	32,000		USD	23,348	HSBC Bank PLC		7/21/16		426
SGD	27,000		USD	19,927	HSBC Bank PLC		7/21/16		133
SGD	37,000		USD	27,311	HSBC Bank PLC		7/21/16		178
SGD	76,000		USD	56,192	HSBC Bank PLC		7/21/16		272
USD	640,728		AUD	877,000	Barclays Bank PLC		7/21/16		(11,897	)
USD	15,345		AUD	21,000	Morgan Stanley & Co. International PLC		7/21/16		(282	)
USD	30,688		AUD	42,000	Northern Trust Co.		7/21/16		(567	)
USD	327,536		AUD	454,000	Royal Bank of Scotland PLC		7/21/16		(10,311	)
USD	45,874		CAD	60,000	Morgan Stanley & Co. International PLC		7/21/16		(329	)
USD	62,176		EUR	55,000	HSBC Bank PLC		7/21/16		1,039
USD	302,978		EUR	268,000	Morgan Stanley & Co. International PLC		7/21/16		5,076
USD	88,165		EUR	78,000	Royal Bank of Scotland PLC		7/21/16		1,462
USD	83,205		EUR	72,000	Royal Bank of Scotland PLC		7/21/16		3,171
USD	14,417		GBP	10,000	Citibank N.A.		7/21/16		1,048
USD	441,359		GBP	302,000	HSBC Bank PLC		7/21/16		37,603
USD	29,228		GBP	20,000	HSBC Bank PLC		7/21/16		2,489
USD	179,639		GBP	136,000	HSBC Bank PLC		7/21/16		(2,185	)
USD	27,119		GBP	19,000	HSBC Bank PLC		7/21/16		1,717
USD	328,119		GBP	231,000	Morgan Stanley & Co. International PLC		7/21/16		19,287
USD	171,996		GBP	121,000	Morgan Stanley & Co. International PLC		7/21/16		10,226
USD	17,379		GBP	12,000	Morgan Stanley & Co. International PLC		7/21/16		1,335
USD	391,916		GBP	267,000	Morgan Stanley & Co. International PLC		7/21/16		34,954
USD	62,602		GBP	47,000	Morgan Stanley & Co. International PLC		7/21/16		(234	)
USD	130,355		GBP	97,000	Morgan Stanley & Co. International PLC		7/21/16		672
USD	80,673		GBP	60,000	Morgan Stanley & Co. International PLC		7/21/16		457
USD	7,114		GBP	5,000	Morgan Stanley & Co. International PLC		7/21/16		429
USD	8,564		GBP	6,000	Morgan Stanley & Co. International PLC		7/21/16		543
USD	65,986		GBP	45,000	Northern Trust Co.		7/21/16		5,824
USD	102,846		HKD	798,000	Citibank N.A.		7/21/16		(38	)

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	71


Schedule of Investments (continued)		LifePath 2030 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	83,342		HKD	647,000	HSBC Bank PLC		7/21/16	$	(74	)
USD	85,529		HKD	664,000	HSBC Bank PLC		7/21/16		(79	)
USD	209,588		HKD	1,626,000	Northern Trust Co.		7/21/16		(48	)
USD	171,831		HKD	1,333,000	Northern Trust Co.		7/21/16		(30	)
USD	51,346		JPY	5,613,000	Barclays Bank PLC		7/21/16		(3,394	)
USD	1,621,988		JPY	175,939,000	Barclays Bank PLC		7/21/16		(93,824	)
USD	38,971		JPY	4,068,000	Barclays Bank PLC		7/21/16		(702	)
USD	23,015		JPY	2,516,000	Barclays Bank PLC		7/21/16		(1,521	)
USD	6,609		JPY	690,000	Citibank N.A.		7/21/16		(120	)
USD	44,861		JPY	4,671,000	HSBC Bank PLC		7/21/16		(692	)
USD	28,290		JPY	2,951,000	HSBC Bank PLC		7/21/16		(489	)
USD	234,423		JPY	25,415,000	Morgan Stanley & Co. International PLC		7/21/16		(13,432	)
USD	163,449		JPY	17,016,000	Morgan Stanley & Co. International PLC		7/21/16		(2,496	)
USD	27,676		JPY	2,881,000	Morgan Stanley & Co. International PLC		7/21/16		(420	)
USD	29,139		JPY	3,040,000	Morgan Stanley & Co. International PLC		7/21/16		(508	)
USD	98,590		JPY	10,699,000	Morgan Stanley & Co. International PLC		7/21/16		(5,750	)
USD	15,133		JPY	1,612,000	Morgan Stanley & Co. International PLC		7/21/16		(587	)
USD	54,863		JPY	5,844,000	Morgan Stanley & Co. International PLC		7/21/16		(2,129	)
USD	17,641		JPY	1,889,000	Morgan Stanley & Co. International PLC		7/21/16		(782	)
USD	4,264		JPY	433,000	Morgan Stanley & Co. International PLC		7/21/16		41
USD	65,506		JPY	7,157,000	Morgan Stanley & Co. International PLC		7/21/16		(4,291	)
USD	37,990		JPY	4,119,000	Northern Trust Co.		7/21/16		(2,179	)
USD	42,828		JPY	4,591,000	Royal Bank of Scotland PLC		7/21/16		(1,945	)
USD	23,580		JPY	2,516,000	Royal Bank of Scotland PLC		7/21/16		(957	)
USD	223,572		NOK	1,843,000	HSBC Bank PLC		7/21/16		3,330
USD	56,027		PHP	2,634,000	Bank of America N.A.		7/21/16		89
USD	425,769		PHP	19,728,000	JPMorgan Chase Bank N.A.		7/21/16		6,804
USD	29,897		SEK	239,000	Barclays Bank PLC		7/21/16		1,670
USD	18,363		SEK	147,000	HSBC Bank PLC		7/21/16		1,001
USD	12,813		SEK	102,000	HSBC Bank PLC		7/21/16		767
Total								$	55,501

Derivative Instruments Categorized by Rick Exposure

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


Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	272,973		—		—	$	272,973
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	217,472		—		—	$	217,472

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:


Net Realized Gain (Loss) from:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Forward foreign currency exchange contracts		—		—		—	$	25,827		—		—	$	25,827
Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts		—		—		—	$	66,911		—		—	$	66,911

See Notes to Financial Statements.



72	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2030 Master Portfolio


Average Quarterly Balances of Outstanding Derivative Financial Instruments


Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	8,294,373
Average amounts sold — in USD	$	10,473,803

For more information about the LifePath Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments – Offsetting as of Period End

The LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:


	Assets		Liabilities
Derivative Financial Instruments
Forward foreign currency exchange contracts	$	272,973	$	217,472

Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	272,973	$	217,472

Derivatives not subject to a master netting or similar agreement (“MNA”)		—		—

Total assets and liabilities subject to a MNA	$	272,973	$	217,472


	Derivative Assets subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral received		Cash Collateral received		Net Amount of Derivative Assets²
Bank of America N.A.	$	89		—			—		—	$	89
Barclays Bank PLC		5,015	$	(5,015	)		—		—		—
Citibank N.A.		60,648		(4,013	)		—		—		56,635
Goldman Sachs International		3,599		(1,602	)		—		—		1,997
HSBC Bank PLC		62,559		(14,734	)		—		—		47,825
JPMorgan Chase Bank N.A.		6,804		(2,870	)		—		—		3,934
Morgan Stanley & Co. International PLC		109,923		(53,580	)		—		—		56,343
Northern Trust Co.		9,946		(2,824	)		—		—		7,122
Royal Bank of Scotland PLC		14,390		(14,390	)		—		—		—

Total	$	272,973	$	(99,028	)		—		—	$	173,945


	Derivative Liabilities subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral pledged		Cash Collateral pledged		Net Amount of Derivative Liabilities³
Barclays Bank PLC	$	112,981	$	(5,015	)		—		—	$	107,966
BNP Paribas S.A.		3,344		—			—		—		3,344
Citibank N.A.		4,013		(4,013	)		—		—		—
Goldman Sachs International		1,602		(1,602	)		—		—		—
HSBC Bank PLC		14,734		(14,734	)		—		—		—
JPMorgan Chase Bank N.A.		2,870		(2,870	)		—		—		—
Morgan Stanley & Co. International PLC		53,580		(53,580	)		—		—		—
Northern Trust Co.		2,824		(2,824	)		—		—		—
Royal Bank of Scotland PLC		21,524		(14,390	)		—		—		7,134

Total	$	217,472	$	(99,028	)		—		—	$	118,444

¹ The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
² Net amount represents the net amount receivable from the counterparty in the event of default.
³ Net amount represents the net amount payable due to the counterparty in the event of default.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	73


Schedule of Investments (concluded)		LifePath 2030 Master Portfolio

Fair Value Hierarchy as of Period End

The following tables summarize the LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	57,714,429	$	277,240,820			—	$	334,955,249
Fixed Income Funds		10,962,430		127,782,627			—		138,745,057
Short-Term Securities		10,551,504		—			—		10,551,504
Common Stocks:
Hotels, Restaurants & Leisure		177,356		—			—		177,356
Real Estate Investment Trusts (REITs)		23,130,162		9,615,490			—		32,745,652
Real Estate Management & Development		507,036		6,032,332			—		6,539,368

Total	$	103,042,917	$	420,671,269			—	$	523,714,186


Derivative Financial Instruments¹
Assets:
Forward foreign currency contracts		—	$	272,973			—	$	272,973
Liabilities:
Forward foreign currency contracts		—		(217,472	)		—		(217,472	)

Total		—	$	55,501			—	$	55,501

¹Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.


	Level 1		Level 2			Level 3		Total
Assets:
Foreign currency at value	$	287,975		—			—	$	287,975
Liabilities:
Collateral on securities loaned at value		—	$	(6,593,400	)		—		(6,593,400	)

Total		$287,975	$	(6,593,400	)		—	$	(6,305,425	)

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



74	BLACKROCK FUNDS III	JUNE 30, 2016

Schedule of Investments June 30, 2016 (Unaudited)

LifePath 2040 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 79.4%
Active Stock Master Portfolio (a)	$	106,559,318	$	106,559,318
BlackRock Commodity Strategies Fund (b)		2,171,849		15,984,807
BlackRock Emerging Markets Fund, Inc.		1,274,894		21,724,185
International Tilts Master Portfolio	$	78,431,998		78,431,998
iShares MSCI Canada ETF (c)		269,062		6,594,710
iShares MSCI EAFE Small-Cap ETF		227,688		10,988,223
Large Cap Index Master Portfolio	$	77,958,197		77,958,197
Master Small Cap Index Series	$	7,972,588		7,972,588

				326,214,026
Fixed Income Fund — 8.2%
CoreAlpha Bond Master Portfolio	$	33,458,732		33,458,732
Short-Term Securities (d) — 2.2%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (e)		7,581,087		7,581,087
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (e)		1,410,191		1,410,191

				8,991,278
Total Affiliated Investment Companies — 89.8%				368,664,036



Common Stocks
Hotels, Restaurants & Leisure — 0.1%
Hilton Worldwide Holdings, Inc.		9,619		216,716
Real Estate Investment Trusts (REITs) — 9.7%
AEON REIT Investment Corp.		428		489,003
Alexandria Real Estate Equities, Inc.		2,769		286,647
American Campus Communities, Inc.		13,514		714,485
AvalonBay Communities, Inc.		8,167		1,473,245
Beni Stabili SpA SIIQ		436,262		270,048
Boston Properties, Inc.		13,635		1,798,457
British Land Co. PLC		178,525		1,449,495
Cambridge Industrial Trust		637,000		260,505
Colony Starwood Homes		13,796		419,674
CyrusOne, Inc.		14,808		824,213
DDR Corp.		39,214		711,342
Derwent London PLC		7,269		253,598
DiamondRock Hospitality Co.		55,273		499,115
Dream Office Real Estate Investment Trust		39,713		571,127
Duke Realty Corp.		14,284		380,811
Empiric Student Property PLC		151,911		217,904
EPR Properties		7,382		595,580
Equity One, Inc.		13,436		432,371
Essex Property Trust, Inc.		6,298		1,436,511
Extra Space Storage, Inc.		13,355		1,235,872
First Industrial Realty Trust, Inc.		18,085		503,125
General Growth Properties, Inc.		37,771		1,126,331
Gramercy Property Trust		60,874		561,258
Great Portland Estates PLC		31,496		263,635
Hammerson PLC		135,246		974,119
Healthcare Trust of America, Inc., Class A		17,565		568,052
Host Hotels & Resorts, Inc.		44,735		725,154
Ichigo Office REIT Investment		558		434,103
Japan Rental Housing Investments, Inc.		1,231		1,008,908
Kenedix Retail REIT Corp.		227		611,173
Kilroy Realty Corp.		15,202		1,007,741
Klepierre		12,756		562,861
LaSalle Logiport REIT (b)		1,531		1,558,385
Link REIT		76,000		519,704
McKay Securities PLC		31,257		68,929
MGM Growth Properties LLC		11,935		318,426
National Health Investors, Inc.		8,008		601,321
National Storage		537,605		633,494
Parkway Properties, Inc.		16,230		271,528


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Public Storage		2,050	$	523,960
Retail Properties of America, Inc., Class A		67,682		1,143,826
Rexford Industrial Realty, Inc.		6,851		144,488
Sekisui House REIT, Inc.		144		194,209
Simon Property Group, Inc.		15,771		3,420,730
SL Green Realty Corp.		4,876		519,148
STAG Industrial, Inc.		27,272		649,346
STORE Capital Corp.		25,675		756,129
Terreno Realty Corp.		30,406		786,603
UDR, Inc.		22,072		814,898
Vastned Retail NV		14,388		583,768
Ventas, Inc.		30,792		2,242,273
Westfield Corp.		202,019		1,622,753

				40,040,381
Real Estate Management & Development — 1.9%
Deutsche Wohnen AG, Bearer Shares		23,364		795,498
Entra ASA (f)		33,118		312,038
First Capital Realty, Inc.		18,538		317,970
Grainger PLC		69,552		196,657
Howard Hughes Corp. (b)		2,624		299,976
Inmobiliaria Colonial SA		746,365		545,238
Kenedix, Inc.		133,800		502,803
Kungsleden AB		65,237		424,498
LEG Immobilien AG		3,378		316,074
Mitsui Fudosan Co. Ltd.		61,000		1,399,997
St. Modwen Properties PLC		124,654		447,409
Sumitomo Realty & Development Co. Ltd.		26,000		705,051
Sun Hung Kai Properties Ltd.		103,000		1,243,096
UNITE Group PLC		57,157		472,831

				7,979,136
Total Common Stocks — 11.7%				48,236,233
Total Investments (Cost — $399,776,856) — 101.5%				416,900,269
Liabilities in Excess of Other Assets — (1.5)%				(5,960,477	)

Net Assets — 100.0%			$	410,939,792

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	75


Schedule of Investments (continued)		LifePath 2040 Master Portfolio

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	113,154,626		—		$	(6,595,308	)¹	$	106,559,318	$	106,559,318	$	906,233		$	(193,076	)
BlackRock Cash Funds: Institutional, SL Agency Shares		931,298		6,649,789	²		—			7,581,087	$	7,581,087	$	18,139	³		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		1,410,191	²		—			1,410,191	$	1,410,191	$	5,742	³		—
BlackRock Commodity Strategies Fund		2,587,499		17,254			(432,904	)		2,171,849	$	15,984,807		—		$	(682,856	)
BlackRock Emerging Markets Fund, Inc.		1,391,835		52,914			(169,855	)		1,274,894	$	21,724,185		—		$	(813,538	)
CoreAlpha Bond Master Portfolio	$	31,354,405	$	2,104,327	²		—		$	33,458,732	$	33,458,732	$	388,793		$	212,219
International Tilts Master Portfolio	$	82,910,552		—		$	(4,478,554	)¹	$	78,431,998	$	78,431,998	$	1,493,978		$	(2,543,736	)
iShares MSCI Canada ETF		294,258		10,773			(35,969	)		269,062	$	6,594,710	$	52,460		$	(258,300	)
iShares MSCI EAFE Small-Cap ETF		236,258		14,909			(23,479	)		227,688	$	10,988,223	$	153,280		$	(51,895	)
Large Cap Index Master Portfolio	$	81,187,428		—		$	(3,229,231	)¹	$	77,958,197	$	77,958,197	$	842,353		$	(4,082,870	)
Master Small Cap Index Series	$	9,147,421		—		$	(1,174,833	)¹	$	7,972,588	$	7,972,588	$	70,504		$	178,085
Total											$	368,664,036	$	3,931,482		$	(8,235,967	)

¹ Represents net shares/beneficial interest sold.
² Represents net shares/beneficial interest purchased.
³ Represents all or a portion of 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.

(b)

Non-income producing security.

(c)

Security, or a portion of security, is on loan.

(d)

All or a portion of security was purchased with the cash collateral from loaned securities.

(e)

Current yield as of period end.

(f)

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	196,000	USD	152,482	Citibank N.A.		7/21/16	$	(6,627	)
AUD	14,000	USD	10,747	HSBC Bank PLC		7/21/16		(329	)
AUD	3,175,000	USD	2,347,957	HSBC Bank PLC		7/21/16		14,739
AUD	102,000	USD	75,910	Morgan Stanley & Co. International PLC		7/21/16		(6	)
AUD	13,000	USD	9,997	Royal Bank of Scotland PLC		7/21/16		(323	)
AUD	37,000	USD	26,996	Royal Bank of Scotland PLC		7/21/16		538
AUD	167,000	USD	121,450	Royal Bank of Scotland PLC		7/21/16		2,824
CAD	814,000	USD	632,720	Morgan Stanley & Co. International PLC		7/21/16		(5,903	)
CAD	26,000	USD	20,418	Morgan Stanley & Co. International PLC		7/21/16		(397	)
CHF	455,000	USD	472,264	Morgan Stanley & Co. International PLC		7/21/16		(4,733	)
EUR	70,000	USD	79,681	Barclays Bank PLC		7/21/16		(1,870	)
EUR	48,000	USD	55,375	BNP Paribas S.A.		7/21/16		(2,020	)
EUR	469,000	USD	528,852	HSBC Bank PLC		7/21/16		(7,522	)
EUR	40,000	USD	44,683	HSBC Bank PLC		7/21/16		(220	)
EUR	369,000	USD	406,665	Morgan Stanley & Co. International PLC		7/21/16		3,507
EUR	26,000	USD	29,252	Morgan Stanley & Co. International PLC		7/21/16		(351	)
EUR	167,000	USD	187,422	Morgan Stanley & Co. International PLC		7/21/16		(1,789	)
EUR	281,000	USD	312,826	Morgan Stanley & Co. International PLC		7/21/16		(473	)
EUR	34,000	USD	38,495	Morgan Stanley & Co. International PLC		7/21/16		(702	)
EUR	34,000	USD	38,755	Royal Bank of Scotland PLC		7/21/16		(961	)
EUR	27,000	USD	30,659	Royal Bank of Scotland PLC		7/21/16		(646	)
EUR	57,000	USD	65,070	Royal Bank of Scotland PLC		7/21/16		(1,710	)
EUR	186,000	USD	210,886	Royal Bank of Scotland PLC		7/21/16		(4,132	)
EUR	22,000	USD	24,953	Royal Bank of Scotland PLC		7/21/16		(499	)
GBP	20,000	USD	28,791	HSBC Bank PLC		7/21/16		(2,052	)
GBP	127,000	USD	168,210	Morgan Stanley & Co. International PLC		7/21/16		1,581
GBP	32,000	USD	45,842	Morgan Stanley & Co. International PLC		7/21/16		(3,060	)

See Notes to Financial Statements.



76	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2040 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
GBP	6,000	USD	8,662	Royal Bank of Scotland PLC		7/21/16	$	(641	)
HKD	14,172,000	USD	1,828,752	HSBC Bank PLC		7/21/16		(1,591	)
HKD	68,000	USD	8,764	HSBC Bank PLC		7/21/16		3
HKD	2,673,000	USD	344,591	Morgan Stanley & Co. International PLC		7/21/16		32
HKD	383,000	USD	49,361	Morgan Stanley & Co. International PLC		7/21/16		18
HKD	196,000	USD	25,285	Royal Bank of Scotland PLC		7/21/16		(15	)
ILS	217,000	USD	57,648	BNP Paribas S.A.		7/21/16		(1,284	)
JPY	112,310,000	USD	1,023,174	Citibank N.A.		7/21/16		72,109
JPY	7,053,000	USD	64,665	Goldman Sachs International		7/21/16		4,118
JPY	745,000	USD	7,221	Goldman Sachs International		7/21/16		44
JPY	11,443,000	USD	107,153	Goldman Sachs International		7/21/16		4,443
JPY	30,177,000	USD	277,170	Morgan Stanley & Co. International PLC		7/21/16		17,125
JPY	1,452,000	USD	13,738	Morgan Stanley & Co. International PLC		7/21/16		423
JPY	4,061,000	USD	38,424	Morgan Stanley & Co. International PLC		7/21/16		1,180
JPY	3,408,000	USD	30,663	Morgan Stanley & Co. International PLC		7/21/16		2,573
JPY	2,135,000	USD	19,951	Morgan Stanley & Co. International PLC		7/21/16		870
JPY	11,150,000	USD	103,102	Morgan Stanley & Co. International PLC		7/21/16		5,637
JPY	4,685,000	USD	44,050	Morgan Stanley & Co. International PLC		7/21/16		1,640
JPY	11,898,000	USD	112,546	Morgan Stanley & Co. International PLC		7/21/16		3,487
JPY	4,370,000	USD	40,152	Morgan Stanley & Co. International PLC		7/21/16		2,466
JPY	7,539,000	USD	70,454	Northern Trust Co.		7/21/16		3,069
JPY	9,385,000	USD	86,232	Northern Trust Co.		7/21/16		5,294
JPY	11,527,000	USD	105,999	Royal Bank of Scotland PLC		7/21/16		6,416
NZD	73,000	USD	50,189	HSBC Bank PLC		7/21/16		1,759
PHP	4,229,000	USD	90,479	BNP Paribas S.A.		7/21/16		(668	)
PHP	14,740,000	USD	315,970	JPMorgan Chase Bank N.A.		7/21/16		(2,936	)
PHP	8,374,000	USD	178,417	JPMorgan Chase Bank N.A.		7/21/16		(578	)
SEK	1,849,000	USD	228,174	Morgan Stanley & Co. International PLC		7/21/16		(9,796	)
SEK	93,000	USD	11,429	Morgan Stanley & Co. International PLC		7/21/16		(445	)
SGD	548,000	USD	403,066	Barclays Bank PLC		7/21/16		4,064
SGD	215,000	USD	160,018	Barclays Bank PLC		7/21/16		(287	)
SGD	17,000	USD	12,372	Citibank N.A.		7/21/16		258
SGD	61,000	USD	44,488	Citibank N.A.		7/21/16		831
SGD	33,000	USD	24,345	Citibank N.A.		7/21/16		172
SGD	97,000	USD	70,626	Citibank N.A.		7/21/16		1,439
SGD	39,000	USD	28,455	HSBC Bank PLC		7/21/16		520
SGD	45,000	USD	33,216	HSBC Bank PLC		7/21/16		217
SGD	92,000	USD	68,022	HSBC Bank PLC		7/21/16		329
USD	781,732	AUD	1,070,000	Barclays Bank PLC		7/21/16		(14,515	)
USD	14,614	AUD	20,000	Morgan Stanley & Co. International PLC		7/21/16		(269	)
USD	21,920	AUD	30,000	Northern Trust Co.		7/21/16		(405	)
USD	399,680	AUD	554,000	Royal Bank of Scotland PLC		7/21/16		(12,582	)
USD	42,815	CAD	56,000	Morgan Stanley & Co. International PLC		7/21/16		(308	)
USD	94,959	EUR	84,000	HSBC Bank PLC		7/21/16		1,587
USD	371,940	EUR	329,000	Morgan Stanley & Co. International PLC		7/21/16		6,231
USD	4,528	EUR	4,000	Morgan Stanley & Co. International PLC		7/21/16		82
USD	107,380	EUR	95,000	Royal Bank of Scotland PLC		7/21/16		1,780
USD	101,695	EUR	88,000	Royal Bank of Scotland PLC		7/21/16		3,876
USD	18,742	GBP	13,000	Barclays Bank PLC		7/21/16		1,362
USD	542,199	GBP	371,000	HSBC Bank PLC		7/21/16		46,195
USD	212,662	GBP	161,000	HSBC Bank PLC		7/21/16		(2,585	)
USD	8,537	GBP	6,000	Morgan Stanley & Co. International PLC		7/21/16		515
USD	9,992	GBP	7,000	Morgan Stanley & Co. International PLC		7/21/16		633
USD	21,723	GBP	15,000	Morgan Stanley & Co. International PLC		7/21/16		1,669
USD	194,739	GBP	137,000	Morgan Stanley & Co. International PLC		7/21/16		11,578
USD	479,987	GBP	327,000	Morgan Stanley & Co. International PLC		7/21/16		42,808
USD	75,920	GBP	57,000	Morgan Stanley & Co. International PLC		7/21/16		(285	)
USD	161,264	GBP	120,000	Morgan Stanley & Co. International PLC		7/21/16		832
USD	99,497	GBP	74,000	Morgan Stanley & Co. International PLC		7/21/16		564
USD	387,772	GBP	273,000	Morgan Stanley & Co. International PLC		7/21/16		22,788
USD	34,146	GBP	24,000	Morgan Stanley & Co. International PLC		7/21/16		2,059
USD	45,302	GBP	31,000	Northern Trust Co.		7/21/16		3,857
USD	83,583	GBP	57,000	Northern Trust Co.		7/21/16		7,377
USD	10,035	GBP	7,000	Royal Bank of Scotland PLC		7/21/16		676

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	77


Schedule of Investments (continued)		LifePath 2040 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	125,657		HKD	975,000	Citibank N.A.		7/21/16	$	(47	)
USD	103,436		HKD	803,000	HSBC Bank PLC		7/21/16		(92	)
USD	103,176		HKD	801,000	HSBC Bank PLC		7/21/16		(95	)
USD	201,608		HKD	1,564,000	Northern Trust Co.		7/21/16		(35	)
USD	255,089		HKD	1,979,000	Northern Trust Co.		7/21/16		(59	)
USD	28,220		JPY	3,085,000	Barclays Bank PLC		7/21/16		(1,865	)
USD	53,962		JPY	5,899,000	Barclays Bank PLC		7/21/16		(3,567	)
USD	55,055		JPY	5,747,000	Barclays Bank PLC		7/21/16		(991	)
USD	45,646		JPY	4,949,000	Barclays Bank PLC		7/21/16		(2,618	)
USD	1,963,325		JPY	212,972,000	Barclays Bank PLC		7/21/16		(113,645	)
USD	8,995		JPY	939,000	Citibank N.A.		7/21/16		(162	)
USD	56,108		JPY	5,842,000	HSBC Bank PLC		7/21/16		(865	)
USD	38,739		JPY	4,041,000	HSBC Bank PLC		7/21/16		(670	)
USD	126,545		JPY	13,826,000	Morgan Stanley & Co. International PLC		7/21/16		(8,290	)
USD	165,508		JPY	17,961,000	Morgan Stanley & Co. International PLC		7/21/16		(9,654	)
USD	59,670		JPY	6,356,000	Morgan Stanley & Co. International PLC		7/21/16		(2,316	)
USD	18,917		JPY	2,015,000	Morgan Stanley & Co. International PLC		7/21/16		(734	)
USD	21,976		JPY	2,353,000	Morgan Stanley & Co. International PLC		7/21/16		(971	)
USD	199,384		JPY	20,757,000	Morgan Stanley & Co. International PLC		7/21/16		(3,045	)
USD	41,379		JPY	4,317,000	Morgan Stanley & Co. International PLC		7/21/16		(722	)
USD	6,303		JPY	640,000	Morgan Stanley & Co. International PLC		7/21/16		61
USD	286,519		JPY	31,063,000	Morgan Stanley & Co. International PLC		7/21/16		(16,418	)
USD	47,712		JPY	4,845,000	Northern Trust Co.		7/21/16		462
USD	51,998		JPY	5,574,000	Royal Bank of Scotland PLC		7/21/16		(2,362	)
USD	269,918		NOK	2,225,000	HSBC Bank PLC		7/21/16		4,027
USD	68,045		PHP	3,199,000	Bank of America N.A.		7/21/16		108
USD	521,075		PHP	24,144,000	JPMorgan Chase Bank, N.A.		7/21/16		8,327
USD	37,153		SEK	297,000	Barclays Bank PLC		7/21/16		2,075
USD	22,610		SEK	181,000	HSBC Bank PLC		7/21/16		1,233
USD	15,828		SEK	126,000	HSBC Bank PLC		7/21/16		947
Total								$	72,696

Derivative Instruments Categorized by Rick Exposure

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


Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	337,434		—		—	$	337,434
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	264,738		—		—	$	264,738
For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:
Net Realized Gain (Loss) from:
Forward foreign currency exchange contracts			—		—		—	$	35,531		—		—	$	35,531
Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts			—		—		—	$	85,714		—		—	$	85,714

See Notes to Financial Statements.



78	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2040 Master Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Forward foreign currency exchange contracts:
Average amounts purchased – in USD	$	10,218,572
Average amounts sold – in USD	$	12,848,670

For more information about the LifePath Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:


	Assets		Liabilities
Derivative Financial Instruments
Forward foreign currency exchange contracts	$	337,434	$	264,738

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	337,434	$	264,738

Derivatives not subject to a master netting or similar agreement (“MNA”)		—		—

Total assets and liabilities subject to a MNA	$	337,434	$	264,738


	Derivative Assets subject to a MNA by Counterparty		Derivatives Available for Offset¹			Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets²
Bank of America N.A.	$	108		—			—		—	$	108
Barclays Bank PLC		7,501	$	(7,501	)		—		—		—
Citibank N.A.		74,809		(6,836	)		—		—		67,973
Goldman Sachs International		8,605		—			—		—		8,605
HSBC Bank PLC		71,556		(16,021	)		—		—		55,535
JPMorgan Chase Bank N.A.		8,327		(3,514	)		—		—		4,813
Morgan Stanley & Co. International PLC		130,359		(70,667	)		—		—		59,692
Northern Trust Co.		20,059		(499	)		—		—		19,560
Royal Bank of Scotland PLC		16,110		(16,110	)		—		—		—

Total	$	337,434	$	(121,148	)		—		—	$	216,286


	Derivative Liabilities subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral pledged		Cash Collateral pledged		Net Amount of Derivative Liabilities³
Barclays Bank PLC	$	139,358	$	(7,501	)		—		—	$	131,857
BNP Paribas S.A.		3,972		—			—		—		3,972
Citibank N.A.		6,836		(6,836	)		—		—		—
HSBC Bank PLC		16,021		(16,021	)		—		—		—
JPMorgan Chase Bank N.A.		3,514		(3,514	)		—		—		—
Morgan Stanley & Co. International PLC		70,667		(70,667	)		—		—		—
Northern Trust Co.		499		(499	)		—		—		—
Royal Bank of Scotland PLC		23,871		(16,110	)		—		—		7,761

Total	$	264,738	$	(121,148	)		—		—	$	143,590

¹ The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
² Net amount represents the net amount receivable from the counterparty in the event of default.
³ Net amount represents the net amount payable due to the counterparty in the event of default.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	79


Schedule of Investments (concluded)		LifePath 2040 Master Portfolio

Fair Value Hierarchy as of Period End

The following tables summarize the LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	55,291,925	$	270,922,101		—	$	326,214,026
Fixed Income Funds		—		33,458,732		—		33,458,732
Short-Term Securities		8,991,278		—		—		8,991,278
Common Stocks:
Hotels, Restaurants & Leisure		216,716		—		—		216,716
Real Estate Investment Trusts (REITs)		28,281,690		11,758,691		—		40,040,381
Real Estate Management & Development		617,947		7,361,189		—		7,979,136

Total	$	93,399,556	$	323,500,713		—	$	416,900,269


	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments ¹
Assets:
Forward foreign currency contracts		—	$	337,434			—	$	337,434
Liabilities:
Forward foreign currency contracts		—		(264,738	)		—		(264,738	)

Total		—	$	72,696			—	$	72,696

¹ Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.


	Level 1		Level 2			Level 3		Total
Assets:
Foreign currency at value		$348,631		—			—	$	348,631
Liabilities:
Collateral on securities loaned at value		—	$	(4,877,500	)		—		(4,877,500	)

Total		$348,631	$	(4,877,500	)		—	$	(4,528,869	)

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



80	BLACKROCK FUNDS III	JUNE 30, 2016

Schedule of Investments June 30, 2016 (Unaudited)

LifePath 2050 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 84.2%
Active Stock Master Portfolio	$	36,528,084	$	36,528,084
BlackRock Commodity Strategies Fund (b)		658,098		4,843,599
BlackRock Emerging Markets Fund, Inc.		415,965		7,088,038
International Tilts Master Portfolio	$	25,586,359		25,586,359
iShares MSCI Canada ETF (c)		86,156		2,111,683
iShares MSCI EAFE Small-Cap ETF (c)		72,395		3,493,783
Large Cap Index Master Portfolio	$	21,830,724		21,830,724
Master Small Cap Index Series	$	2,419,558		2,419,558

				103,901,828
Fixed Income Fund — 1.4%
CoreAlpha Bond Master Portfolio	$	1,746,753		1,746,753
Short-Term Securities (d) — 4.0%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (e)		3,886,035		3,886,035
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (e)		971,001		971,001

				4,857,036
Total Affiliated Investment Companies — 89.6%				110,505,617



Common Stocks
Hotels, Restaurants & Leisure — 0.1%
Hilton Worldwide Holdings, Inc.		3,299		74,326
Real Estate Investment Trusts (REITs) — 11.1%
AEON REIT Investment Corp.		149		170,237
Alexandria Real Estate Equities, Inc.		954		98,758
American Campus Communities, Inc.		4,594		242,885
AvalonBay Communities, Inc.		2,801		505,272
Beni Stabili SpA SIIQ		140,832		87,176
Boston Properties, Inc.		4,684		617,820
British Land Co. PLC		61,487		499,231
Cambridge Industrial Trust		220,000		89,970
Colony Starwood Homes		4,745		144,343
CyrusOne, Inc.		5,091		283,365
DDR Corp.		13,506		244,999
Derwent London PLC		2,508		87,498
DiamondRock Hospitality Co.		19,071		172,211
Dream Office Real Estate Investment Trust		13,643		196,205
Duke Realty Corp.		4,903		130,714
Empiric Student Property PLC		47,309		67,861
EPR Properties		2,534		204,443
Equity One, Inc.		4,636		149,187
Essex Property Trust, Inc.		2,160		492,674
Extra Space Storage, Inc.		4,580		423,833
First Industrial Realty Trust, Inc.		6,005		167,059
General Growth Properties, Inc.		12,955		386,318
Gramercy Property Trust		20,897		192,670
Great Portland Estates PLC		10,868		90,970
Hammerson PLC		46,333		333,717
Healthcare Trust of America, Inc., Class A		6,030		195,010
Host Hotels & Resorts, Inc.		15,368		249,115
Ichigo Office REIT Investment		194		150,925
Japan Rental Housing Investments, Inc.		422		345,864
Kenedix Retail REIT Corp.		78		210,007
Kilroy Realty Corp.		5,214		345,636
Klepierre		4,379		193,224
LaSalle Logiport REIT (b)		525		534,391
Link REIT		26,000		177,793
McKay Securities PLC		10,748		23,702
MGM Growth Properties LLC		4,100		109,388
National Health Investors, Inc.		2,754		206,798
National Storage		185,505		218,592
Parkway Properties, Inc.		5,422		90,710


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Public Storage		703	$	179,680
Retail Properties of America, Inc., Class A		23,299		393,753
Rexford Industrial Realty, Inc.		2,364		49,857
Sekisui House REIT, Inc.		49		66,085
Simon Property Group, Inc.		5,409		1,173,212
SL Green Realty Corp.		1,677		178,550
STAG Industrial, Inc.		9,372		223,147
STORE Capital Corp.		8,814		259,572
Terreno Realty Corp.		10,493		271,454
UDR, Inc.		7,344		271,141
Vastned Retail NV		4,912		199,296
Ventas, Inc.		10,828		788,495
Westfield Corp.		69,287		556,560

				13,741,373
Real Estate Management & Development — 2.2%
Deutsche Wohnen AG, Bearer Shares		8,030		273,406
Entra ASA (f)		11,047		104,085
First Capital Realty, Inc.		6,369		109,243
Grainger PLC		24,000		67,859
Howard Hughes Corp. (b)		877		100,259
Inmobiliaria Colonial SA		255,135		186,383
Kenedix, Inc.		46,000		172,862
Kungsleden AB		22,405		145,790
LEG Immobilien AG		1,161		108,633
Mitsui Fudosan Co. Ltd.		21,000		481,966
St. Modwen Properties PLC		42,786		153,568
Sumitomo Realty & Development Co. Ltd.		9,000		244,056
Sun Hung Kai Properties Ltd.		35,000		422,411
UNITE Group PLC		19,686		162,851

				2,733,372
Total Common Stocks — 13.4%				16,549,071
Total Investments (Cost — $113,949,705) — 103.0%				127,054,688
Liabilities in Excess of Other Assets — (3.0)%				(3,702,002	)

Net Assets — 100.0%			$	123,352,686

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	81


Schedule of Investments (continued)		LifePath 2050 Master Portfolio

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	35,160,143	$	1,367,941	¹		—		$	36,528,084	$	36,528,084	$	291,395		$	(4,422,021	)
BlackRock Cash Funds: Institutional, SL Agency Shares		1,133,330		2,752,705	¹		—			3,886,035	$	3,886,035	$	7,206	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		650,208		320,793	¹		—			971,001	$	971,001	$	2,281	²		—
BlackRock Commodity Strategies Fund		731,981		52,610			(126,493	)		658,098	$	4,843,599		—		$	(175,863	)
BlackRock Emerging Markets Fund, Inc.		392,434		62,348			(38,817	)		415,965	$	7,088,038		—		$	(154,621	)
CoreAlpha Bond Master Portfolio	$	1,595,987	$	150,766	¹		—		$	1,746,753	$	1,746,753	$	19,472		$	10,122
International Tilts Master Portfolio	$	24,072,801	$	1,513,558	¹		—		$	25,586,359	$	25,586,359	$	468,290		$	(862,140	)
iShares MSCI Canada ETF		85,881		10,319			(10,044	)		86,156	$	2,111,683	$	16,781		$	(68,719	)
iShares MSCI EAFE Small-Cap ETF		70,032		10,373			(8,010	)		72,395	$	3,493,783	$	48,734		$	(9,745	)
Large Cap Index Master Portfolio	$	19,606,042	$	2,224,682	¹		—		$	21,830,724	$	21,830,724	$	219,173		$	(1,896,550	)
Master Small Cap Index Series	$	2,338,662	$	80,896	¹		—		$	2,419,558	$	2,419,558	$	20,393		$	(132,756	)
Total											$	110,505,617	$	1,093,725		$	(7,712,293	)

¹ Represents net shares/beneficial interest purchased.
² Represents all or a portion of 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.

(b)

Non-income producing security.

(c)

Security, or a portion of security, is on loan.

(d)

All or a portion of security was purchased with the cash collateral from loaned securities.

(e)

Current yield as of period end.

(f)

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	65,000	USD	50,568	Citibank N.A.		7/21/16	$	(2,198	)
AUD	22,000	USD	16,053	HSBC Bank PLC		7/21/16		318
AUD	1,088,000	USD	804,646	HSBC Bank PLC		7/21/16		4,996
AUD	62,000	USD	44,316	Northern Trust Co.		7/21/16		1,822
AUD	10,000	USD	7,296	Royal Bank of Scotland PLC		7/21/16		145
AUD	57,000	USD	41,453	Royal Bank of Scotland PLC		7/21/16		964
AUD	18,000	USD	13,842	Royal Bank of Scotland PLC		7/21/16		(447	)
CAD	35,000	USD	27,082	Barclays Bank PLC		7/21/16		(130	)
CAD	3,000	USD	2,356	Morgan Stanley & Co. International PLC		7/21/16		(46	)
CAD	266,000	USD	206,761	Morgan Stanley & Co. International PLC		7/21/16		(1,929	)
CHF	149,000	USD	154,653	Morgan Stanley & Co. International PLC		7/21/16		(1,550	)
EUR	22,000	USD	25,042	Barclays Bank PLC		7/21/16		(588	)
EUR	9,000	USD	10,383	BNP Paribas S.A.		7/21/16		(379	)
EUR	161,000	USD	181,546	HSBC Bank PLC		7/21/16		(2,582	)
EUR	7,000	USD	7,979	Morgan Stanley & Co. International PLC		7/21/16		(198	)
EUR	56,000	USD	62,848	Morgan Stanley & Co. International PLC		7/21/16		(600	)
EUR	94,000	USD	104,646	Morgan Stanley & Co. International PLC		7/21/16		(158	)
EUR	5,000	USD	5,625	Morgan Stanley & Co. International PLC		7/21/16		(68	)
EUR	13,000	USD	14,327	Morgan Stanley & Co. International PLC		7/21/16		123
EUR	127,000	USD	139,961	Morgan Stanley & Co. International PLC		7/21/16		1,209
EUR	15,000	USD	17,098	Royal Bank of Scotland PLC		7/21/16		(425	)
EUR	76,000	USD	86,150	Royal Bank of Scotland PLC		7/21/16		(1,670	)
EUR	12,000	USD	13,584	Royal Bank of Scotland PLC		7/21/16		(245	)
EUR	6,000	USD	6,857	Royal Bank of Scotland PLC		7/21/16		(188	)
EUR	7,000	USD	7,940	Royal Bank of Scotland PLC		7/21/16		(159	)
EUR	12,000	USD	13,626	Royal Bank of Scotland PLC		7/21/16		(287	)
EUR	18,000	USD	20,548	Royal Bank of Scotland PLC		7/21/16		(540	)
GBP	3,000	USD	4,319	HSBC Bank PLC		7/21/16		(308	)

See Notes to Financial Statements.



82	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2050 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
GBP	7,000	USD	10,028	Morgan Stanley & Co. International PLC		7/21/16	$	(669	)
GBP	38,000	USD	50,331	Morgan Stanley & Co. International PLC		7/21/16		473
GBP	14,000	USD	20,212	Royal Bank of Scotland PLC		7/21/16		(1,495	)
HKD	4,732,000	USD	610,616	HSBC Bank PLC		7/21/16		(531	)
HKD	23,000	USD	2,964	HSBC Bank PLC		7/21/16		1
HKD	175,000	USD	22,554	Morgan Stanley & Co. International PLC		7/21/16		8
HKD	915,000	USD	117,958	Morgan Stanley & Co. International PLC		7/21/16		11
ILS	64,000	USD	17,002	BNP Paribas S.A.		7/21/16		(379	)
JPY	35,919,000	USD	327,232	Citibank N.A.		7/21/16		23,062
JPY	3,674,000	USD	34,403	Goldman Sachs International		7/21/16		1,427
JPY	1,166,000	USD	10,690	Morgan Stanley & Co. International PLC		7/21/16		681
JPY	7,780,000	USD	71,458	Morgan Stanley & Co. International PLC		7/21/16		4,415
JPY	1,269,000	USD	11,660	Morgan Stanley & Co. International PLC		7/21/16		716
JPY	712,000	USD	6,653	Morgan Stanley & Co. International PLC		7/21/16		290
JPY	3,976,000	USD	36,765	Morgan Stanley & Co. International PLC		7/21/16		2,010
JPY	4,108,000	USD	38,859	Morgan Stanley & Co. International PLC		7/21/16		1,204
JPY	2,150,000	USD	20,338	Morgan Stanley & Co. International PLC		7/21/16		629
JPY	387,000	USD	3,661	Morgan Stanley & Co. International PLC		7/21/16		113
JPY	2,462,000	USD	23,295	Morgan Stanley & Co. International PLC		7/21/16		716
JPY	3,332,000	USD	30,615	Northern Trust Co.		7/21/16		1,879
JPY	3,648,000	USD	33,733	Northern Trust Co.		7/21/16		1,843
JPY	2,413,000	USD	22,550	Northern Trust Co.		7/21/16		982
JPY	3,799,000	USD	34,937	Royal Bank of Scotland PLC		7/21/16		2,112
JPY	1,314,000	USD	12,360	Royal Bank of Scotland PLC		7/21/16		455
NZD	21,000	USD	14,438	HSBC Bank PLC		7/21/16		506
PHP	1,432,000	USD	30,638	BNP Paribas S.A.		7/21/16		(226	)
PHP	4,793,000	USD	102,744	JPMorgan Chase Bank N.A.		7/21/16		(955	)
PHP	2,573,000	USD	54,821	JPMorgan Chase Bank N.A.		7/21/16		(178	)
SEK	29,000	USD	3,564	Morgan Stanley & Co. International PLC		7/21/16		(139	)
SEK	652,000	USD	80,460	Morgan Stanley & Co. International PLC		7/21/16		(3,455	)
SEK	165,000	USD	19,875	Morgan Stanley & Co. International PLC		7/21/16		(388	)
SGD	193,000	USD	141,956	Barclays Bank PLC		7/21/16		1,431
SGD	79,000	USD	58,797	Barclays Bank PLC		7/21/16		(105	)
SGD	6,000	USD	4,366	Citibank N.A.		7/21/16		91
SGD	30,000	USD	21,843	Citibank N.A.		7/21/16		445
SGD	3,000	USD	2,200	Citibank N.A.		7/21/16		29
SGD	20,000	USD	14,586	Citibank N.A.		7/21/16		273
SGD	29,000	USD	21,442	HSBC Bank PLC		7/21/16		104
SGD	13,000	USD	9,485	HSBC Bank PLC		7/21/16		173
SGD	11,000	USD	8,118	HSBC Bank PLC		7/21/16		54
SGD	10,000	USD	7,382	Northern Trust Co.		7/21/16		48
USD	265,204	AUD	363,000	Barclays Bank PLC		7/21/16		(4,924	)
USD	21,921	AUD	30,000	Morgan Stanley & Co. International PLC		7/21/16		(403	)
USD	7,244	AUD	10,000	Morgan Stanley & Co. International PLC		7/21/16		(198	)
USD	10,229	AUD	14,000	Northern Trust Co.		7/21/16		(189	)
USD	5,070	AUD	7,000	Northern Trust Co.		7/21/16		(139	)
USD	20,798	AUD	28,000	Northern Trust Co.		7/21/16		(38	)
USD	135,631	AUD	188,000	Royal Bank of Scotland PLC		7/21/16		(4,270	)
USD	29,817	CAD	39,000	Morgan Stanley & Co. International PLC		7/21/16		(214	)
USD	6,702	EUR	6,000	HSBC Bank PLC		7/21/16		33
USD	10,173	EUR	9,000	HSBC Bank PLC		7/21/16		168
USD	2,240	EUR	2,000	Morgan Stanley & Co. International PLC		7/21/16		17
USD	20,348	EUR	18,000	Morgan Stanley & Co. International PLC		7/21/16		340
USD	125,487	EUR	111,000	Morgan Stanley & Co. International PLC		7/21/16		2,102
USD	27,128	EUR	24,000	Royal Bank of Scotland PLC		7/21/16		450
USD	33,513	EUR	29,000	Royal Bank of Scotland PLC		7/21/16		1,277
USD	14,429	GBP	10,000	Barclays Bank PLC		7/21/16		1,059
USD	7,241	GBP	5,000	Barclays Bank PLC		7/21/16		557
USD	77,933	GBP	59,000	HSBC Bank PLC		7/21/16		(947	)
USD	184,143	GBP	126,000	HSBC Bank PLC		7/21/16		15,689
USD	4,336	GBP	3,000	Morgan Stanley & Co. International PLC		7/21/16		325
USD	5,793	GBP	4,000	Morgan Stanley & Co. International PLC		7/21/16		445
USD	68,230	GBP	48,000	Morgan Stanley & Co. International PLC		7/21/16		4,057
USD	157,060	GBP	107,000	Morgan Stanley & Co. International PLC		7/21/16		14,008

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	83


Schedule of Investments (continued)		LifePath 2050 Master Portfolio

Forward Foreign Currency Exchange Contracts (concluded)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	27,971		GBP	21,000	Morgan Stanley & Co. International PLC		7/21/16	$	(105	)
USD	55,099		GBP	41,000	Morgan Stanley & Co. International PLC		7/21/16		284
USD	33,614		GBP	25,000	Morgan Stanley & Co. International PLC		7/21/16		190
USD	123,573		GBP	87,000	Morgan Stanley & Co. International PLC		7/21/16		7,259
USD	2,846		GBP	2,000	Morgan Stanley & Co. International PLC		7/21/16		172
USD	14,227		GBP	10,000	Morgan Stanley & Co. International PLC		7/21/16		858
USD	4,282		GBP	3,000	Morgan Stanley & Co. International PLC		7/21/16		271
USD	30,794		GBP	21,000	Northern Trust Co.		7/21/16		2,718
USD	5,413		HKD	42,000	Citibank N.A.		7/21/16		(2	)
USD	11,735		HKD	91,000	HSBC Bank PLC		7/21/16		3
USD	34,522		HKD	268,000	HSBC Bank PLC		7/21/16		(31	)
USD	35,422		HKD	275,000	HSBC Bank PLC		7/21/16		(33	)
USD	86,619		HKD	672,000	Northern Trust Co.		7/21/16		(20	)
USD	69,351		HKD	538,000	Northern Trust Co.		7/21/16		(12	)
USD	5,946		JPY	650,000	Barclays Bank PLC		7/21/16		(393	)
USD	35,455		JPY	3,701,000	Barclays Bank PLC		7/21/16		(638	)
USD	15,108		JPY	1,638,000	Barclays Bank PLC		7/21/16		(867	)
USD	632,000		JPY	68,555,000	Barclays Bank PLC		7/21/16		(36,570	)
USD	3,554		JPY	371,000	Citibank N.A.		7/21/16		(64	)
USD	7,366		JPY	767,000	HSBC Bank PLC		7/21/16		(114	)
USD	12,568		JPY	1,311,000	HSBC Bank PLC		7/21/16		(217	)
USD	29,344		JPY	3,206,000	Morgan Stanley & Co. International PLC		7/21/16		(1,922	)
USD	21,125		JPY	2,348,000	Morgan Stanley & Co. International PLC		7/21/16		(1,773	)
USD	86,021		JPY	9,335,000	Morgan Stanley & Co. International PLC		7/21/16		(5,017	)
USD	6,816		JPY	726,000	Morgan Stanley & Co. International PLC		7/21/16		(265	)
USD	20,588		JPY	2,193,000	Morgan Stanley & Co. International PLC		7/21/16		(799	)
USD	8,639		JPY	925,000	Morgan Stanley & Co. International PLC		7/21/16		(382	)
USD	66,673		JPY	6,941,000	Morgan Stanley & Co. International PLC		7/21/16		(1,018	)
USD	11,845		JPY	1,233,000	Morgan Stanley & Co. International PLC		7/21/16		(180	)
USD	2,541		JPY	258,000	Morgan Stanley & Co. International PLC		7/21/16		25
USD	94,719		JPY	10,269,000	Morgan Stanley & Co. International PLC		7/21/16		(5,427	)
USD	13,127		JPY	1,333,000	Northern Trust Co.		7/21/16		127
USD	22,061		JPY	2,276,000	Northern Trust Co.		7/21/16		(136	)
USD	8,442		JPY	905,000	Royal Bank of Scotland PLC		7/21/16		(383	)
USD	10,656		JPY	1,137,000	Royal Bank of Scotland PLC		7/21/16		(432	)
USD	90,494		NOK	746,000	HSBC Bank PLC		7/21/16		1,345
USD	22,930		PHP	1,078,000	Bank of America N.A.		7/21/16		36
USD	166,613		PHP	7,720,000	JPMorgan Chase Bank N.A.		7/21/16		2,663
USD	14,261		SEK	114,000	Barclays Bank PLC		7/21/16		797
USD	8,744		SEK	70,000	HSBC Bank PLC		7/21/16		477
USD	6,030		SEK	48,000	HSBC Bank PLC		7/21/16		361
USD	4,285		SEK	35,000	HSBC Bank PLC		7/21/16		151
Total								$	22,685

Derivative Instruments Categorized by Rick Exposure

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


Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	114,022		—		—	$	114,022
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	91,337		—		—	$	91,337

See Notes to Financial Statements.



84	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (continued)		LifePath 2050 Master Portfolio

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:


Net Realized Gain (Loss) from:	Commodity Contracts	Credit Contracts	Equity Contracts	Foreign Currency Exchange Contracts		Interest Rate Contracts	Other Contacts	Total
Forward foreign currency exchange contracts	—	—	—	$	8,070	—	—	$	8,070
Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts	—	—	—	$	27,318	—	—	$	27,318

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	3,292,622
Average amounts sold — in USD	$	4,280,751

For more information about the LifePath Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:


	Assets		Liabilities
Derivative Financial Instruments
Forward foreign currency exchange contracts	$	114,022	$	91,337

Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	114,022	$	91,337

Derivatives not subject to a master netting or similar agreement (“MNA”)		—		—

Total assets and liabilities subject to a MNA	$	114,022	$	91,337


	Derivative Assets subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral received	Cash Collateral received	Net Amount of Derivative Assets²
Bank of America N.A.	$	36		—		—	—	$	36
Barclays Bank PLC		3,844	$	(3,844	)	—	—		—
Citibank N.A.		23,900		(2,264	)	—	—		21,636
Goldman Sachs International		1,427		—		—	—		1,427
HSBC Bank PLC		24,379		(4,763	)	—	—		19,616
JPMorgan Chase Bank N.A.		2,663		(1,133	)	—	—		1,530
Morgan Stanley & Co. International PLC		42,951		(26,903	)	—	—		16,048
Northern Trust Co.		9,419		(534	)	—	—		8,885
Royal Bank of Scotland PLC		5,403		(5,403	)	—	—		—

Total	$	114,022	$	(44,844	)	—	—	$	69,178


	Derivative Liabilities subject to a MNA by counterparty		Derivatives Available for Offset¹			Non-cash Collateral pledged	Cash Collateral pledged	Net Amount of Derivative Liabilities³
Barclays Bank PLC	$	44,215	$	(3,844	)	—	—	$	40,371
BNP Paribas S.A.		984		—		—	—		984
Citibank N.A.		2,264		(2,264	)	—	—		—
HSBC Bank PLC		4,763		(4,763	)	—	—		—
JPMorgan Chase Bank N.A.		1,133		(1,133	)	—	—		—
Morgan Stanley & Co. International PLC		26,903		(26,903	)	—	—		—
Northern Trust Co.		534		(534	)	—	—		—
Royal Bank of Scotland PLC		10,541		(5,403	)	—	—		5,138

Total	$	91,337	$	(44,844	)	—	—	$	46,493

¹ The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
² Net amount represents the net amount receivable from the counterparty in the event of default.
³ Net amount represents the net amount payable due to the counterparty in the event of default.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	85


Schedule of Investments (concluded)		LifePath 2050 Master Portfolio

Fair Value Hierarchy as of Period End

The following tables summarize the LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	17,537,103	$	86,364,725			—	$	103,901,828
Fixed Income Funds		—		1,746,753			—		1,746,753
Short-Term Securities		4,857,036		—			—		4,857,036
Common Stocks:
Hotels, Restaurants & Leisure		74,326		—			—		74,326
Real Estate Investment Trusts (REITs)		9,706,136		4,035,237			—		13,741,373
Real Estate Management & Development		209,503		2,523,869			—		2,733,372

Total	$	32,384,104	$	94,670,584			—	$	127,054,688


	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Forward foreign currency contracts		—	$	114,022			—	$	114,022
Liabilities:
Forward foreign currency contracts		—		(91,337	)		—		(91,337	)

Total		—	$	22,685			—	$	22,685

¹Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.


	Level 1		Level 2			Level 3		Total
Assets:
Foreign currency at value	$	112,117		—			—	$	112,117
Liabilities:
Collateral on securities loaned at value		—	$	(3,358,450	)		—		(3,358,450	)

Total	$	112,117	$	(3,358,450	)		—	$	(3,246,333	)

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



86	BLACKROCK FUNDS III	JUNE 30, 2016


Statements of Assets and Liabilities		Master Investment Portfolio


June 30, 2016 (Unaudited)	LifePath Retirement Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio		LifePath 2050 Master Portfolio

Assets
Investments at value — unaffiliated¹	$	1,289,551	$	15,103,578	$	39,462,376	$	48,236,233	$	16,549,071
Investments at value — affiliated^2,3		201,678,224		514,974,471		484,251,810		368,664,036		110,505,617
Foreign currency at value⁴		30,503		111,886		287,975		348,631		112,117
Receivables:
Dividends — unaffiliated		4,720		54,583		142,962		174,655		59,810
Dividends — affiliated		147		445		833		893		339
Investments sold — unaffiliated		33,765		241,783		1,013,702		1,279,634		506,813
Investments sold — affiliated		1,895,741		3,179,535		3,869,008		3,837,472		288,826
Securities lending income — affiliated		604		4,210		2,222		2,338		786
Unrealized appreciation on forward foreign currency exchange contracts		10,952		107,884		272,973		337,434		114,022

Total assets		204,944,207		533,778,375		529,303,861		422,881,326		128,137,401


Liabilities
Collateral on securities loaned at value		3,140,359		5,335,025		6,593,400		4,877,500		3,358,450
Payables:
Investments purchased — unaffiliated		43,267		499,166		1,322,963		1,619,214		563,169
Investments purchased — affiliated		979,187		1,432,959		2,097,242		2,589,001		591,141
Professional fees		14,164		15,953		15,213		13,966		10,712
Trustees’ fees		12,404		21,217		20,397		14,662		3,019
Investment advisory fees		8,501		22,180		21,578		16,845		4,262
Withdrawals to investors		1,024,500		2,506,922		2,138,838		2,545,608		162,625
Unrealized depreciation on forward foreign currency exchange contracts		10,014		85,229		217,472		264,738		91,337

Total liabilities		5,232,396		9,918,651		12,427,103		11,941,534		4,784,715

Net Assets	$	199,711,811	$	523,859,724	$	516,876,758	$	410,939,792	$	123,352,686


Net Assets Consist of
Investors’ capital	$	168,887,384	$	483,135,832	$	500,164,478	$	393,747,032	$	110,226,166
Net unrealized appreciation (depreciation)		30,824,427		40,723,892		16,712,280		17,192,760		13,126,520

Net Assets	$	199,711,811	$	523,859,724	$	516,876,758	$	410,939,792	$	123,352,686

¹ Investments at cost — unaffiliated	$	1,214,052	$	14,244,360	$	37,257,899	$	45,550,039	$	15,638,316
² Investments at cost — affiliated	$	170,930,126	$	475,131,392	$	469,796,840	$	354,226,817	$	98,311,389
³ Securities loaned at value	$	3,097,139	$	5,234,999	$	6,464,169	$	4,781,901	$	3,298,134
⁴ Foreign currency at cost	$	30,451	$	111,892	$	287,955	$	348,611	$	112,133


Statements of Operations		Master Investment Portfolio


Six Months Ended June 30, 2016 (Unaudited)	LifePath Retirement Master Portfolio			LifePath 2020 Master Portfolio			LifePath 2030 Master Portfolio			LifePath 2040 Master Portfolio			LifePath 2050 Master Portfolio

Investment Income
Dividends — unaffiliated	$	24,801		$	251,908		$	655,611		$	798,236		$	262,741
Dividends — affiliated		46,665			155,306			208,492			209,762			67,113
Securities lending — affiliated — net		5,394			20,209			26,966			19,859			7,889
Foreign taxes withheld		(636	)		(3,860	)		(9,332	)		(10,676	)		(4,318	)
Net investment income allocated from the applicable Underlying Master Portfolios:
Dividends		820,478			2,683,672			3,542,982			3,501,218			1,058,646
Interest		1,466,149			3,184,742			1,810,688			494,798			41,633
Expenses		(230,520	)		(624,040	)		(589,465	)		(437,389	)		(126,702	)
Fees waived		39,645			136,648			165,045			143,234			45,146

Total income		2,171,976			5,804,585			5,810,987			4,719,042			1,352,148


Expenses
Investment advisory		367,953			951,047			901,238			709,727			201,837
Independent Trustees		10,080			16,396			15,844			12,899			6,282
Professional		9,536			9,854			9,815			9,790			9,456

Total expenses		387,569			977,297			926,897			732,416			217,575
Less fees waived by the Manager		(335,090	)		(841,660	)		(798,421	)		(631,247	)		(188,815	)

Total expenses after fees waived		52,479			135,637			128,476			101,169			28,760

Net investment income		2,119,497			5,668,948			5,682,511			4,617,873			1,323,388


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		(2,119	)		239,550			617,821			668,622			225,563
Investments — affiliated		(225,462	)		(2,066,566	)		(1,884,320	)		(1,806,589	)		(408,948	)
Foreign currency transactions		940			703			9,671			10,485			1,009
Allocated from the applicable Underlying Master Portfolios from investments, futures contracts, swaps and foreign currency transactions		(10,880,463	)		(17,844,402	)		(1,845,630	)		(6,429,378	)		(7,303,345	)

		(11,107,104	)		(19,670,715	)		(3,102,458	)		(7,556,860	)		(7,485,721	)

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		66,425			684,318			1,730,983			2,105,170			732,887
Investments — affiliated		3,131,211			9,500,191			8,386,567			7,092,828			2,039,921
Foreign currency translations		1,787			27,981			68,900			88,132			27,773
Allocated from the applicable Underlying Master Portfolios from investments, futures contracts, swaps and foreign currency translations		13,835,913			25,038,579			4,471,423			5,326,533			6,891,031

		17,035,336			35,251,069			14,657,873			14,612,663			9,691,612

Net realized and unrealized gain		5,928,232			15,580,354			11,555,415			7,055,803			2,205,891

Net Increase in Net Assets Resulting from Operations	$	8,047,729		$	21,249,302		$	17,237,926		$	11,673,676		$	3,529,279


Statements of Changes in Net Assets		Master Investment Portfolio


	LifePath Retirement Master Portfolio						LifePath 2020 Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	2,119,497		$	25,787,326		$	5,668,948		$	47,034,117
Net realized gain (loss)		(11,107,104	)		38,303,062			(19,670,715	)		112,654,731
Net change in unrealized appreciation (depreciation)		17,035,336			(63,484,434	)		35,251,069			(159,303,759	)

Net increase in net assets resulting from operations		8,047,729			605,954			21,249,302			385,089


Capital Transactions
Proceeds from contributions		19,946,043			300,179,102			39,654,290			464,173,999
Value of withdrawals		(82,449,311	)		(1,636,813,035	)		(117,848,422	)		(2,759,248,995	)

Net decrease in net assets derived from capital transactions		(62,503,268	)		(1,336,633,933	)		(78,194,132	)		(2,295,074,996	)


Net Assets
Total decrease in net assets		(54,455,539	)		(1,336,027,979	)		(56,944,830	)		(2,294,689,907	)
Beginning of period		254,167,350			1,590,195,329			580,804,554			2,875,494,461

End of period	$	199,711,811		$	254,167,350		$	523,859,724		$	580,804,554


Statements of Changes in Net Assets		Master Investment Portfolio


	LifePath 2030 Master Portfolio						LifePath 2040 Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	5,682,511		$	45,601,857		$	4,617,873		$	34,986,795
Net realized gain (loss)		(3,102,458	)		135,069,446			(7,556,860	)		121,476,095
Net change in unrealized appreciation (depreciation)		14,657,873			(181,053,782	)		14,612,663			(155,925,514	)

Net increase (decrease) in net assets resulting from operations		17,237,926			(382,479	)		11,673,676			537,376


Capital Transactions
Proceeds from contributions		46,974,906			520,309,935			46,945,872			394,402,394
Value of withdrawals		(91,182,939	)		(2,678,876,359	)		(73,635,450	)		(2,058,297,441	)

Net decrease in net assets derived from capital transactions		(44,208,033	)		(2,158,566,424	)		(26,689,578	)		(1,663,895,047	)


Net Assets
Total decrease in net assets		(26,970,107	)		(2,158,948,903	)		(15,015,902	)		(1,663,357,671	)
Beginning of period		543,846,865			2,702,795,768			425,955,694			2,089,313,365

End of period	$	516,876,758		$	543,846,865		$	410,939,792		$	425,955,694


Statements of Changes in Net Assets		Master Investment Portfolio


	LifePath 2050 Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	1,323,388		$	7,909,882
Net realized gain (loss)		(7,485,721	)		16,392,410
Net change in unrealized appreciation (depreciation)		9,691,612			(25,186,905	)

Net increase (decrease) in net assets resulting from operations		3,529,279			(884,613	)


Capital Transactions
Proceeds from contributions		31,845,244			154,043,711
Value of withdrawals		(26,925,398	)		(477,699,188	)

Net increase (decrease) in net assets derived from capital transactions		4,919,846			(323,655,477	)


Net Assets
Total increase (decrease) in net assets		8,449,125			(324,540,090	)
Beginning of period		114,903,561			439,443,651

End of period	$	123,352,686		$	114,903,561


Financial Highlights		Master Investment Portfolio


	LifePath Retirement Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Total Return
Total return		4.53%	¹		(1.02)%			5.25%			6.75%			9.11%			4.46%


Ratios to Average Net Assets
Total expenses		0.55%	^2,3,4,5		0.54%	^3,4,5		0.54%	^6,7,8		0.54%	^6,7,8		0.55%	^9,10,11		0.55%	^9,10,11

Total expenses after fees waived and/or reimbursed		0.23%	^2,3,4,5		0.26%	^3,4,5		0.25%	^6,7,8		0.25%	^6,7,8		0.28%	^9,10,11		0.27%	^9,10,11

Net investment income¹²		2.02%	^2,3,4,5		1.88%	^3,4,5		2.02%	^6,7,8		1.83%	^6,7,8		2.22%	^9,10,11		2.77%	^9,10,11


Supplemental Data
Net assets, end of period (000)		$ 199,712			$ 254,167			$ 1,590,195			$ 1,586,408			$ 1,491,576			$ 1,387,033

Portfolio turnover rate		9%	¹³		21%	¹³		14%	¹⁴		17%	¹⁴		4%	¹⁵		4%	¹⁵

Aggregate total return.

Annualized.

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁴

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.04% and 0.03% for the six months ended June 30, 2016 and the year ended December 31, 2015, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.10% and 0.09% for the six months ended June 30, 2016 and the year ended December 31, 2015, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁶

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁷

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.03% and 0.03% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁸

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.10% and 0.10% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁹

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

¹⁰

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.03% and 0.02% for the years ended December 31, 2012 and December 31, 2011, respectively.

¹¹

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.08% and 0.08% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex-U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹²

Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the six months ended June 30, 2016 and the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹³

¹⁴

¹⁵

Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 13% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		Master Investment Portfolio


	LifePath 2020 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Total Return
Total return		4.09%	¹		(1.28)%			5.56%			10.17%			11.49%			1.96%


Ratios to Average Net Assets
Total expenses		0.54%	^2,3,4,5		0.53%	^3,4,5		0.54%	^6,7,8		0.53%	^6,7,8		0.53%	^9,10,11		0.53%	^9,10,11

Total expenses after fees waived and/or reimbursed		0.23%	^2,3,4,5		0.24%	^3,4,5		0.24%	^6,7,8		0.23%	^6,7,8		0.25%	^9,10,11		0.25%	^9,10,11

Net investment income¹²		2.09%	^2,3,4,5		1.90%	^3,4,5		2.01%	^6,7,8		1.97%	^6,7,8		2.30%	^9,10,11		2.56%	^9,10,11


Supplemental Data
Net assets, end of period (000)		$ 523,860			$ 580,805			$ 2,875,494			$ 2,831,270			$ 2,524,316			$ 2,358,583

Portfolio turnover rate		9%	¹³		18%	¹³		21%	¹⁴		19%	¹⁴		5%	¹⁵		5%	¹⁵

Aggregate total return.

Annualized.

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁴

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.05% and 0.04% for the six months ended June 30, 2016 and the year ended December 31, 2015, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.10% and 0.11% for the six months ended June 30, 2016 and the year ended December 31, 2015, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁶

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁷

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.04% and 0.03% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁸

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11% and 0.12% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁹

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

¹⁰

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.03% and 0.03% for the years ended December 31, 2012 and December 31, 2011, respectively.

¹¹

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11% and 0.11% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹²

Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the six months ended June 30, 2016 and the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹³

¹⁴

¹⁵

Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 15% and 23% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		Master Investment Portfolio


	LifePath 2030 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Total Return
Total return		3.53%	¹		(1.55)%			5.82%			14.16%			13.59%			(0.13)%


Ratios to Average Net Assets
Total expenses		0.52%	^2,3,4,5		0.52%	^3,4,5		0.53%	^6,7,8		0.52%	^6,7,8		0.53%	^9,10,11		0.52%	^9,10,11

Total expenses after fees waived and/or reimbursed		0.21%	^2,3,4,5		0.21%	^3,4,5		0.21%	^6,7,8		0.20%	^6,7,8		0.23%	^9,10,11		0.22%	^9,10,11

Net investment income¹²		2.21%	^2,3,4,5		1.93%	^3,4,5		2.02%	^67,8		2.13%	^6,7,8		2.37%	^9,10,11		2.39%	^9,10,11


Supplemental Data
Net assets, end of period (000)		$ 516,877			$ 543,847			$ 2,702,796			$ 2,651,481			$ 2,237,444			$ 2,014,111

Portfolio turnover rate		14%	¹³		21%	¹³		33%	¹⁴		22%	¹⁴		5%	¹⁵		7%	¹⁵

Aggregate total return.

Annualized.

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁴

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.06% and 0.05% for the six months ended June 30, 2016 and the year ended December 31, 2015, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.12% and 0.14% for the six months ended June 30, 2016 and the year ended December 31, 2015, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁶

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁷

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.05% and 0.05% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁸

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.14% and 0.15% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁹

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

¹⁰

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.04% and 0.04% for the years ended December 31, 2012 and December 31, 2011, respectively.

¹¹

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.13% and 0.13% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹²

Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the six months ended June 30, 2016 and the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹³

¹⁴

¹⁵

Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 16% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		Master Investment Portfolio


	LifePath 2040 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Total Return
Total return		3.00%	¹		(1.79)%			5.98%			17.42%			15.23%			(1.88)%


Ratios to Average Net Assets
Total expenses		0.51%	^2,3,4,5		0.50%	^3,4,5		0.53%	^6,7,8		0.51%	^6,7,8		0.52%	^9,10,11		0.52%	^9,10,11

Total expenses after fees waived and/or reimbursed		0.19%	^2,3,4,5		0.18%	^3,4,5		0.19%	^6,7,8		0.18%	^6,7,8		0.21%	^9,10,11		0.20%	^9,10,11

Net investment income¹²		2.28%	^2,3,4,5		1.94%	^3,4,5		2.03%	^6,7,8		2.26%	^6,7,8		2.44%	^9,10,11		2.24%	^9,10,11


Supplemental Data
Net assets, end of period (000)		$ 410,940			$ 425,956			$ 2,089,313			$ 2,064,693			$ 1,701,257			$ 1,509,756

Portfolio turnover rate		20%	¹³		19%	¹³		42%	¹⁴		26%	¹⁴		4%	¹⁵		8%	¹⁵

Aggregate total return.

Annualized.

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁴

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.07% and 0.06% for the six months ended June 30, 2016 and the year ended December 31, 2015, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.13% and 0.17% for the six months ended June 30, 2016 and the year ended December 31, 2015, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁶

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁷

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.06% and 0.05% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁸

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.16% and 0.17% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁹

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

¹⁰

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.06% and 0.05% for the years ended December 31, 2012 and December 31, 2011, respectively.

¹¹

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.15% and 0.15% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹²

Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the six months ended June 30, 2016 and the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹³

¹⁴

¹⁵

Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 14% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.


Financial Highlights		Master Investment Portfolio


	LifePath 2050 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Total Return
Total return		2.79%	¹		(1.96)%			6.23%			20.32%			16.55%			(3.28)%


Ratios to Average Net Assets
Total expenses		0.52%	^2,3,4,5		0.51%	^3,4,5		0.53%	^6,7,8		0.53%	^6,7,8		0.54%	^9,10,11		0.53%	^9,10,11

Total expenses after fees waived and/or reimbursed		0.19%	^2,3,4,5		0.17%	^3,4,5		0.18%	^6,7,8		0.20%	^6,7,8		0.21%	^9,10,11		0.18%	^9,10,11

Net investment income¹²		2.29%	^2,3,4,5		1.94%	^,3,4,5		2.04%	^6,7,8		2.46%	^6,7,8		2.51%	^9,10,11		2.18%	^9,10,11


Supplemental Data
Net assets, end of period (000)		$ 123,353			$ 114,904			$ 439,444			$ 415,263			$ 267,851			$ 180,087

Portfolio turnover rate		24%	¹³		36%	¹³		48%	¹⁴		28%	¹⁴		5%	¹⁵		13%	¹⁵

Aggregate total return.

Annualized.

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁴

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.08% and 0.07% for the six months ended June 30, 2016 and the year ended December 31, 2015, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.14% and 0.19% for the six months ended June 30, 2016 and for the year ended December 31, 2015, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁶

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁷

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.07% and 0.06% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁸

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.17% and 0.15% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁹

Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

¹⁰

Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.06% and 0.05% for the years ended December 31, 2012 and December 31, 2011, respectively.

¹¹

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.15% and 0.17% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹²

Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the six months ended June 30, 2016 and for the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the six months ended June 30, 2016 and the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹³

¹⁴

¹⁵

Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current period presentation, the portfolio turnover rate would have been 15% and 29% for the years ended December 31, 2012 and December 31, 2011, respectively.


Notes to Financial Statements (Unaudited)		Master Investment Portfolio

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. MIP is classified as diversified. MIP is organized as a Delaware statutory trust. The financial statements and these accompanying notes relate to five series of MIP: LifePath^® Retirement Master Portfolio, LifePath^® 2020 Master Portfolio, LifePath^® 2030 Master Portfolio, LifePath^® 2040 Master Portfolio and LifePath^® 2050 Master Portfolio (each, a “LifePath Master Portfolio” and together, the “LifePath Master Portfolios”).

As of period end, the investment of LifePath 2030 Master Portfolio in the Active Stock Master Portfolio represented 28.6% of net assets. The investment of LifePath 2020 Master Portfolio in the CoreAlpha Bond Master Portfolio represented 26.0% of net assets. The investment of LifePath 2030 Master Portfolio and LifePath 2040 Master Portfolio in the International Tilts Master Portfolio represented 27.1% and 27.4% of net assets, respectively. As such, financial statements of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio and International Tilts Master Portfolio, including the Schedules of Investments, should be read in conjunction with each respective LifePath Master Portfolio’s financial statements. Active Stock Master Portfolio’s, CoreAlpha Bond Master Portfolio’s and International Tilts Master Portfolio’s financial statements are available, without charge, on the U.S. Securities and Exchange Commission’s (“SEC’s”) website at http://www.sec.gov.


	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio		Large Cap Index Master Portfolio		Master Small Cap Index Series
LifePath Retirement Master Portfolio		12.85%		50.85%		7.90%		7.75%		3.53%
LifePath 2020 Master Portfolio		17.83%		42.48%		10.34%		7.69%		3.25%
LifePath 2030 Master Portfolio		23.88%		24.72%		14.99%		12.36%		2.41%
LifePath 2040 Master Portfolio		25.93%		8.14%		19.09%		18.97%		1.94%
LifePath 2050 Master Portfolio		29.61%		1.42%		20.74%		17.70%		1.96%

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each LifePath 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:



BLACKROCK FUNDS III	JUNE 30, 2016	97


Notes to Financial Statements (continued)		Master Investment Portfolio

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the LifePath Master Portfolios are informed of the ex-dividend date. 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, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Each LifePath Master Portfolio records its proportionate share of the income, expenses and realized and unrealized gains and losses of the Underlying Funds or the Underlying Master Portfolios in which it invests on a daily basis.

3. Investment Valuation and Fair Value Measurements:

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each LifePath Master Portfolio’s assets and liabilities:

•

Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. 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. Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the LifePath Master Portfolios’ net assets. Each business day, the LifePath Master Portfolios use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.

•

Investments in open-end U.S. mutual funds are valued at NAV each business day.

•



98	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)		Master Investment Portfolio

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

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each LifePath Master Portfolio has the ability to access

•

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each LifePath Master Portfolio’s investments and derivative financial instruments have been included in the Schedules of Investments.

4. Securities and Other Investments:

Securities Lending: The LifePath Master Portfolios may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the LifePath Master Portfolios collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each LifePath Master Portfolios 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 LifePath Master Portfolio and any additional required collateral is delivered to the LifePath Master Portfolio, or excess collateral returned by the LifePath Master Portfolio, on the next business day. During the term of the loan, the LifePath Master Portfolios are entitled to all distributions made on or in respect of the loaned securities. 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.



BLACKROCK FUNDS III	JUNE 30, 2016	99


Notes to Financial Statements (continued)		Master Investment Portfolio

As of period end, the following table is a summary of the LifePath Master Portfolios’ securities lending agreements by counterparty which are subject to offset under an MSLA:


LifePath Retirement Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
JP Morgan Securities LLC	$	973,072	$	(973,072	)		—
UBS Securities LLC		2,124,067		(2,124,067	)		—

Total	$	3,097,139	$	(3,097,139	)		—


LifePath 2020 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
Deutsche Bank Securities Inc.	$	4,098,072	$	(4,098,072	)		—
JP Morgan Securities LLC		142,771		(142,771	)		—
Nomura Securities International Inc.		830,072		(830,072	)		—
SG Americas Securities LLC		164,084		(164,084	)		—

Total	$	5,234,999	$	(5,234,999	)		—


LifePath 2030 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
JP Morgan Securities LLC	$	6,464,169	$	(6,464,169	)		—


LifePath 2040 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
JP Morgan Securities LLC	$	4,781,901	$	(4,781,901	)		—


LifePath 2050 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
JP Morgan Securities LLC	$	2,091,634	$	(2,091,634	)		—
SG Americas Securities LLC		1,206,500		(1,206,500	)		—

Total	$	3,298,134	$	(3,298,134	)		—

Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the tables above. Collateral has been received in connection with securities lending agreements as follows:


LifePath Retirement Master Portfolio	LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio		LifePath 2050 Master Portfolio
$3,140,359	$	5,335,025	$	6,593,400	$	4,877,500	$	3,358,450

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 LifePath Master Portfolios benefit from a borrower default indemnity provided by BlackRock. BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. Each LifePath Master Portfolio could suffer 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.

5. Derivative Financial Instruments:



100	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)		Master Investment Portfolio

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 LifePath Master Portfolios are denominated and in some cases, may be used to obtain exposure to a particular market.

Cash collateral that has been pledged to cover obligations of the LifePath Master Portfolios and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the LifePath Master Portfolio, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the LifePath Master Portfolios. Any additional required collateral is delivered to/pledged by the LifePath Master Portfolios on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A LifePath 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 LifePath Master Portfolios from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the LifePath Master Portfolios have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear 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.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

Investment Advisory

MIP, with respect to the LifePath Master Portfolios, entered into a sub-advisory agreement with BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BRS”), affiliates of the Manager. The Manager pays BIL and BRS, for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by the LifePath Master Portfolio to the Manager.



BLACKROCK FUNDS III	JUNE 30, 2016	101


Notes to Financial Statements (continued)		Master Investment Portfolio

Expense Limitations and Waivers

The fees and expenses of MIP’s trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the LifePath Master Portfolios. BAL has contractually agreed to reimburse the LifePath Master Portfolios or provide an offsetting credit against the administration fees paid by the LifePath Master Portfolios in an amount equal to the independent expenses through April 30, 2026.

LifePath Retirement

Master Portfolio

LifePath 2020

Master Portfolio

LifePath 2030

Master Portfolio

LifePath 2040

Master Portfolio

LifePath 2050

Master Portfolio

Amount waived

315,388

815,183

772,490

608,337

173,004

The Manager, with respect to each LifePath Master Portfolio, voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each LifePath Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. These amounts are included in fees waived by the Manager in the Statements of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the LifePath Master Portfolios’ investments in other affiliated investment companies, if any. For the six months ended June 30, 2016, there were no waivers on the LifePath Master Portfolios.

Securities Lending

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each LifePath Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

The share of securities lending income earned by each LifePath Master Portfolio is shown as securities lending — affiliated — net in the Statements of Operations. For the six months ended June 30, 2016, each LifePath Master Portfolio paid BTC the following amounts in total for securities lending agent services and collateral investment fees:


LifePath Retirement Master Portfolio	LifePath 2020 Master Portfolio	LifePath 2030 Master Portfolio	LifePath 2040 Master Portfolio	LifePath 2050 Master Portfolio
$1,345	$5,035	$6,732	$4,955	$1,969



102	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)		Master Investment Portfolio

Officers and Trustees

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

Other Transactions


	Purchases		Sales		Net Realized Gain
LifePath Retirement Master Portfolio		—	$	7,870	$	616
LifePath 2020 Master Portfolio		—	$	79,577	$	5,890
LifePath 2030 Master Portfolio		—	$	204,625	$	15,612
LifePath 2040 Master Portfolio		—	$	248,349	$	18,949
LifePath 2050 Master Portfolio		—	$	79,577	$	6,075

7. Purchases and Sales:

For the six months ended June 30, 2016, purchases and sales of investments in the Underlying Funds and Underlying Master Portfolios, excluding short-term securities, were as follows:


	LifePath Retirement Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio		LifePath 2050 Master Portfolio
Purchases	$	18,880,249	$	49,342,484	$	73,819,877	$	80,324,786	$	32,396,112
Sales	$	81,246,097	$	127,531,499	$	119,421,619	$	107,489,874	$	27,685,434

8. Income Tax Information:

As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


	LifePath Retirement Master Portfolio			LifePath 2020 Master Portfolio			LifePath 2030 Master Portfolio			LifePath 2040 Master Portfolio			LifePath 2050 Master Portfolio
Tax cost	$	137,843,128		$	481,407,885		$	494,320,884		$	378,507,187		$	112,168,619

Gross unrealized appreciation	$	65,628,239		$	52,323,774		$	39,202,950		$	55,935,127		$	15,410,360
Gross unrealized depreciation		(503,592	)		(3,653,610	)		(9,809,648	)		(17,542,045	)		(524,291	)

Net unrealized appreciation	$	65,124,647		$	48,670,164		$	29,393,302		$	38,393,082		$	14,886,069

9. Bank Borrowings:



BLACKROCK FUNDS III	JUNE 30, 2016	103


Notes to Financial Statements (concluded)		Master Investment Portfolio

any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2017 unless extended or renewed. Prior to April 21, 2016, the credit agreement had a fee per annum of 0.06% on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statements of Operations. 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 June 30, 2016, the LifePath Master Portfolios did not borrow under the credit agreement.

10. Principal Risks:

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

11. Subsequent Events:



104	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements

The Board of Trustees of Master Investment Portfolio (the “Master Fund”) met in person on April 21, 2016 (the “April Meeting”) and May 18-20, 2016 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Advisory Agreement”) between the Master Fund, on behalf of LifePath Retirement Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio and LifePath 2050 Master Portfolio (each, a “Master Portfolio” and collectively, the “Master Portfolios”), each a series of the Master Fund, and BlackRock Fund Advisors (the “Manager”), the Master Fund’s investment advisor. The Board of Trustees of the Master Fund also considered the approval of the sub-advisory agreement between the Manager and BlackRock International Limited (“BIL”) with respect to each Master Portfolio (the “BIL Sub-Advisory Agreement”) and the sub-advisory agreement between the Manager and BlackRock (Singapore) Limited (“BSL,” and together with BIL, the “Sub-Advisors”) with respect to each Master Portfolio (the “BSL Sub-Advisory Agreement,” and together with the BIL Sub-Advisory Agreement, the “Sub-Advisory Agreements”). Each of BlackRock LifePath Retirement Fund, BlackRock LifePath 2020 Fund, BlackRock LifePath 2030 Fund, BlackRock LifePath 2040 Fund and BlackRock LifePath 2050 Fund (each, a “Portfolio” and collectively, the “Portfolios”), each a series of BlackRock Funds III (the “Fund”), is a “feeder” fund that invests all of its investable assets in the corresponding Master Portfolio. Accordingly, the Board of Trustees of the Fund also considered the approval of the Advisory Agreement and the Sub-Advisory Agreements with respect to each Master Portfolio. The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Agreements.” For simplicity: (a) the Board of Trustees of the Master Fund and the Board of Trustees of the Fund are referred to herein collectively as the “Board,” and the members are referred to as “Board Members;” and (b) the shareholders of each Portfolio and the interest holders of each Master Portfolio are referred to as “shareholders.”

Activities and Composition of the Board

The Agreements

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreements, and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Board assessed, among other things, the nature, extent and quality of the services provided to the Master Portfolios and the Portfolios by BlackRock, BlackRock’s personnel and affiliates, including (as applicable) investment management; administrative and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Master Portfolios, the Portfolios and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolios and/or the Portfolios for services; (c) the Master Portfolios’ and/or the Portfolios’ operating expenses and how BlackRock allocates expenses to the Master Portfolios and the Portfolios; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Master Portfolio’s and Portfolio’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Master Fund’s and the Fund’s compliance with its respective compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master Fund’s and/or the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Master Portfolios and/or the Portfolios; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.



BLACKROCK FUNDS III	JUNE 30, 2016	105


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on fees and expenses of each Master Portfolio and Portfolio, as applicable, as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Portfolio as compared with a peer group of funds as determined by Broadridge¹ and the applicable Morningstar Classification; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Master Portfolio and/or Portfolio to BlackRock; and (g) sales and redemption data regarding each Portfolio’s shares.

At the May Meeting, the Board of the Master Fund, including the Independent Board Members, approved the continuation of (i) the Advisory Agreement between the Manager and the Master Fund with respect to each Master Portfolio, (ii) the BIL Sub-Advisory Agreement between the Manager and BIL with respect to each Master Portfolio and (iii) the BSL Sub-Advisory Agreement between the Manager and BSL with respect to each Master Portfolio, each for a one-year term ending June 30, 2017. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreements with respect to each Master Portfolio and found the Agreements to be satisfactory. In approving the continuation of the Agreements, the Board of the Master Fund considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Master Portfolio and Portfolio; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolios and the Portfolios; (d) each Portfolio’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Master Portfolios and the Portfolios; and (g) other factors deemed relevant by the Board Members.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of each Portfolio. Throughout the year, the Board compared each Portfolio’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Master Portfolio’s portfolio management team discussing the relevant Master Portfolio’s performance and the Master Portfolio’s investment objective(s), strategies and outlook.

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.



106	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing other administrative functions necessary for the operation of the Master Portfolios and the Portfolios, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

BlackRock believes that the Morningstar Performance Universe is an appropriate performance metric for each of the Portfolios.

The Board noted that for the one-, three- and five-year periods reported, BlackRock LifePath Retirement Fund ranked in the third, first and first quartiles, respectively, against its Morningstar Performance Universe. The Board and BlackRock reviewed and discussed the reasons for the Portfolio’s underperformance during the one-year period.

The Board noted that for each of the one-, three- and five-year periods reported, BlackRock LifePath 2020 Fund ranked in the third quartile against its Morningstar Performance Universe. The Board and BlackRock reviewed and discussed the reasons for the Portfolio’s underperformance during these periods. The Board was informed that, among other things, asset allocation was the primary driver of underperformance. Given the Portfolio’s relatively more conservative glidepath, performance has lagged somewhat given the substantial rally of equity and equity-like asset classes over the last five years.

The Board noted that for the one-, three- and five-year periods reported, each of BlackRock LifePath 2040 Fund and BlackRock LifePath 2050 Fund ranked in the third, fourth and third quartiles, respectively, against its respective Morningstar Performance Universe. The Board and BlackRock reviewed and discussed the reasons for the underperformance of these Portfolios during these periods. The Board was informed that, among other things, asset allocation was the primary driver of underperformance. Given each Portfolio’s relatively more conservative glidepath, performance has lagged somewhat given the substantial rally of equity and equity-like asset classes over the last five years.

The Board noted that for the one-, three- and five-year periods reported, BlackRock LifePath 2030 Fund ranked in the fourth, fourth and third quartiles, respectively, against its Morningstar Performance Universe. The Board and BlackRock reviewed and discussed the reasons for the Portfolio’s underperformance during these periods. The Board was informed that, among other things, asset allocation was the primary driver of underperformance. Given the Portfolio’s relatively more conservative glidepath, performance has lagged somewhat given the substantial rally of equity and equity-like asset classes over the last five years.

The Board and BlackRock discussed BlackRock’s strategy for improving the investment performance of each of the BlackRock LifePath 2020 Master Portfolio/Portfolio, BlackRock LifePath 2030 Master Portfolio/Portfolio, BlackRock LifePath 2040 Master Portfolio/Portfolio, and BlackRock LifePath 2050 Master Portfolio/Portfolio. Discussions covered topics, for each Master Portfolio and Portfolio, as applicable, such as: investment risks undertaken; performance attribution; investment personnel; and the resources appropriate to support the investment processes. The Board and BlackRock also discussed BlackRock’s strategy for the LifePath Fund suite, including the glidepath.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolios and the Portfolios: The Board, including the Independent Board Members, reviewed each Master Portfolio’s contractual advisory fee rate compared with the other funds in the corresponding Portfolio’s Broadridge category. The contractual advisory fee rate is shown before taking into account any reimbursements or fee waivers. The Board also compared each Portfolio’s total expense ratio, as well as each Master Portfolio’s actual advisory fee rate, to those of other funds in the corresponding Fund’s Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual advisory fee rate gives effect to any advisory fee reimbursements or waivers that benefit a fund. The Board considered the



BLACKROCK FUNDS III	JUNE 30, 2016	107


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board noted that the varying fee structures for fund of funds can limit the value of advisory fee comparisons.

The Board also noted that LifePath 2020 Master Portfolio’s contractual advisory fee rate ranked third out of three funds, and that the actual advisory fee rate and the corresponding Portfolio’s total expense ratio ranked second out of three funds and in the third quartile, respectively, relative to the Portfolio’s Expense Peers.

The Board also noted that, with respect to each of LifePath 2040 Master Portfolio and LifePath 2050 Master Portfolio, the respective Master Portfolio’s contractual advisory fee rate ranked fourth out of four funds, and the actual advisory fee rate and the corresponding Portfolio’s total expense ratio ranked third out of four funds and in the first quartile, respectively, relative to the Portfolio’s Expense Peers.

The Board also noted that LifePath 2030 Master Portfolio’s contractual advisory fee rate ranked fourth out of four funds, and that the actual advisory fee rate and the corresponding Portfolio’s total expense ratio ranked third out of four funds and in the second quartile, respectively, relative to the Portfolio’s Expense Peers.

The Board also noted that LifePath Retirement Master Portfolio’s contractual advisory fee rate ranked fourth out of four funds, and that the actual advisory fee rate and the corresponding Portfolio’s total expense ratio ranked third out of four funds and in the third quartile, respectively, relative to the Portfolio’s Expense Peers.

The Board also noted that, with respect to each Master Portfolio, BlackRock proposed, and the Board agreed to, a contractual advisory fee waiver at the Master Portfolio level. The waivers were implemented on November 30, 2015. The Board also noted that, with respect to each Portfolio, BlackRock proposed, and the Board agreed to, a contractual reduction of the Portfolio’s administration fee. This administration fee reduction was implemented on November 30, 2015. Additionally, the Board noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate each Master Portfolio/Portfolio for the fees and expenses of the Independent Board Members, counsel to the Independent Board Members and the Master Portfolio’s/Portfolio’s independent registered public accounting firm.



108	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (concluded)

Conclusion



BLACKROCK FUNDS III	JUNE 30, 2016	109


Officers and Trustees

Rodney D. Johnson, Chair of the Board and Trustee

David O. Beim, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Barbara G. Novick, Trustee

Dr. Matina S. Horner, Trustee

Cynthia A. Montgomery, Trustee

Joseph P. Platt, Trustee

Robert C. Robb, Jr., Trustee

Mark Stalnecker, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Frederick W. Winter, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Richard Hoerner, CFA, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Fernanda Piedra, Anti-Money Laundering Compliance Officer

Benjamin Archibald, Secretary

Effective February 5, 2016, Frank J. Fabozzi resigned as a Trustee of the Trust/MIP.

Effective February 8, 2016, Susan J. Carter, Neil A. Cotty and Claire A. Walton were elected to serve as Trustees of the Trust/MIP.



Investment Adviser BlackRock Fund Advisors San Francisco, CA 94105	Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02110	Distributor BlackRock Investments, LLC New York, NY 10022	Legal Counsel Sidley Austin LLP New York, NY 10019

Sub-Advisers BlackRock International Limited Edinburgh, United Kingdom BlackRock (Singapore) Limited 079912 Singapore	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105

Administrator BlackRock Advisors, LLC Wilmington, DE 19809



110	BLACKROCK FUNDS III	JUNE 30, 2016


Additional Information


Proxy Results

BlackRock Funds III

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of the Trust.


		Votes For		Votes Withheld
Approved the Trustees* as follows:	David O. Beim		61,938,311,360		43,835,788
	Susan J. Carter		61,780,259,925		201,887,223
	Collette Chilton		61,948,124,716		34,022,432
	Neil A. Cotty		61,775,834,676		206,312,472
	Matina S. Horner		61,940,727,663		41,419,485
	Rodney D. Johnson		61,941,649,924		40,497,224
	Cynthia A. Montgomery		61,943,332,673		38,814,475
	Joseph P. Platt		61,944,232,208		37,914,940
	Robert C. Robb, Jr.		61,944,234,953		37,912,195
	Mark Stalnecker		61,943,725,951		38,421,197
	Kenneth L. Urish		61,944,152,210		37,994,938
	Claire A. Walton		61,784,560,644		197,586,504
	Frederick W. Winter		61,939,767,717		42,379,431
	Barbara G. Novick		61,947,782,498		34,364,650
	John M. Perlowski		61,944,381,941		37,765,207

Denotes Trust-wide proposal and voting results.

Master Investment Portfolio

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of MIP.


		Votes For		Votes Withheld
Approved the Trustees* as follows:	David O. Beim		93,744,625,170		102,294,210
	Susan J. Carter		93,564,604,497		282,314,883
	Collette Chilton		93,778,667,881		68,251,499
	Neil A. Cotty		93,524,182,594		322,736,786
	Matina S. Horner		93,744,748,738		102,170,642
	Rodney D. Johnson		93,743,366,844		103,552,536
	Cynthia A. Montgomery		93,738,956,489		107,962,891
	Joseph P. Platt		93,750,384,350		96,535,030
	Robert C. Robb, Jr.		93,749,078,613		97,840,767
	Mark Stalnecker		93,668,711,867		178,207,513
	Kenneth L. Urish		93,694,700,012		152,219,368
	Claire A. Walton		93,569,519,963		277,399,417
	Frederick W. Winter		93,699,601,190		147,318,190
	Barbara G. Novick		93,778,480,450		68,438,930
	John M. Perlowski		93,744,975,345		101,944,035

Denotes MIP-wide proposal and voting results.



BLACKROCK FUNDS III	JUNE 30, 2016	111


Additional Information (continued)


General Information

Householding

Availability of Quarterly Schedule of Investments

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the LifePath Funds/LifePath Master Portfolios use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1), by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the LifePath Funds/LifePath Master Portfolios voted proxies relating to securities held in the LifePath Funds’/LifePath Master Portfolios’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family


Shareholder Privileges

Account 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.



112	BLACKROCK FUNDS III	JUNE 30, 2016


Additional Information (concluded)


BlackRock Privacy Principles



BLACKROCK FUNDS III	JUNE 30, 2016	113

This report are 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 a LifePath Fund unless preceded or accompanied by that LifePath 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.

LOGO


LifePath-6/16-SAR

JUNE 30, 2016

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock Funds III

^Ø	BlackRock LifePath^® Index Retirement Fund

^Ø	BlackRock LifePath^® Index 2020 Fund

^Ø	BlackRock LifePath^® Index 2025 Fund

^Ø	BlackRock LifePath^® Index 2030 Fund

^Ø	BlackRock LifePath^® Index 2035 Fund

^Ø	BlackRock LifePath^® Index 2040 Fund

^Ø	BlackRock LifePath^® Index 2045 Fund

^Ø	BlackRock LifePath^® Index 2050 Fund

^Ø	BlackRock LifePath^® Index 2055 Fund

^Ø	BlackRock LifePath^® Index 2060 Fund

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


	Page
The Markets in Review		3
Semi-Annual Report:
Fund Summaries		4
About Fund Performance		15
Disclosure of Expenses		15
Fund Financial Statements:
Statements of Assets and Liabilities		17
Statements of Operations		19
Statements of Changes in Net Assets		21
Fund Financial Highlights		31
Fund Notes to Financial Statements		61
Master Portfolio Information		70
Master Portfolio Financial Statements:
Schedules of Investments		74
Statements of Assets and Liabilities		89
Statements of Operations		91
Statements of Changes in Net Assets		93
Master Portfolio Financial Highlights		98
Master Portfolio Notes to Financial Statements		108
Disclosure of Investment Advisory Agreement		115
Officers and Trustees		123
Additional Information		124

LOGO



2	BLACKROCK FUNDS III	JUNE 30, 2016

The Markets in Review

Dear Shareholder,

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of June 30, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		3.84	%		3.99	%
U.S. small cap equities (Russell 2000^® Index)		2.22			(6.73	)
International equities (MSCI Europe, Australasia, Far East Index)		(4.42	)		(10.16	)
Emerging market equities (MSCI Emerging Markets Index)		6.41			(12.05	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.15			0.19
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		7.95			9.49
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)		5.31			6.00
Tax-exempt municipal bonds (S&P Municipal Bond Index)		4.35			7.80
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		9.06			1.65
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



		THIS PAGE NOT PART OF YOUR FUND REPORT				3


Fund Summary as of June 30, 2016				BlackRock LifePath Index Funds

Portfolio Management Commentary

How did each Fund perform?

•

Each of the LifePath Index Funds with target dates of 2020, 2025, 2030, 2035, 2040, 2045, 2050, 2055, 2060 and LifePath Index Retirement Fund (together, the “LifePath Index Funds”) invest in their respective LifePath Index Master Portfolio.

•

For the six-month period ended June 30, 2016, the LifePath Index Funds with target dates of 2025, 2030, 2040, 2045, 2050 and 2055 outperformed their respective custom benchmark. For the LifePath Index Retirement Fund and the LifePath Index Funds with target dates of 2020 and 2035, Institutional and Class K Shares outperformed the custom benchmark, while Investor A Shares underperformed for LifePath Index Retirement Fund and performed in line for the LifePath Index Funds with target dates of 2020 and 2035. The returns for the LifePath Index Funds include fund expenses. The custom benchmarks have no expenses associated with performance.

What factors influenced performance?

•

While most of the LifePath Index Funds outperformed their benchmark, the outperformance was greater in the longer-dated LifePath Index Funds

(2025 to 2055) due to the positive impact of fair value pricing in the underlying international strategies, which are held in larger percentages in the longer-dated funds.

•

There were no notable detractors from performance during the period.

Describe recent portfolio activity.

•

Each LifePath Index Fund has its own time horizon, which affects its acceptable level of risk and, in turn, the strategic allocation of its holdings across asset classes. On a quarterly basis, the strategic allocation of each LifePath Index Fund is systematically adjusted to reflect the shareholders’ remaining investment time horizon. During the period, the LifePath Index Funds were rebalanced in accordance with their updated strategic allocations. Daily cash flows were allocated to the underlying funds and instruments as appropriate. In addition, the LifePath Index 2060 Fund commenced operations on February 29, 2016.

Describe portfolio positioning at period end.

•

At period end, each of the LifePath Index Funds was invested according to its respective strategic allocation benchmark within tolerance limits.

Glide Path Evolution

Under normal circumstances, the asset allocation of each LifePath Index Fund will change over time according to a predetermined “glide path” as each LifePath Index Fund approaches its respective target date. The glide path represents the shifting of asset classes over time. Each LifePath Index Fund’s asset allocations become more conservative prior to retirement as time elapses. This reflects the need for reduced investment risks as retirement approaches and the need for lower volatility of each LifePath Index Fund, which may be a primary source of income after retirement. As each LifePath Index Fund approaches its target date, its asset allocation will shift so that each LifePath Index Fund invests a greater percentage of its assets in fixed income funds. The asset allocation targets are established by the portfolio managers working with oversight from a committee of BlackRock Fund Advisers (“BFA” or the “Manager”) investment professionals. The investment team, including the portfolio managers and this investment committee, meets regularly to assess

market conditions, review the asset allocation targets of each LifePath Index Fund, and determine whether any changes are required to enable each LifePath Index Fund to achieve its investment objective.

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



4	BLACKROCK FUNDS III	JUNE 30, 2016


				BlackRock LifePath Index Retirement Fund

Investment Objective

BlackRock LifePath^® Index Retirement Fund’s (“LifePath Index Retirement Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes.

Total Return Based on a $10,000 Investment

LOGO

The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index Retirement Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Index Fund’s custom benchmark consists of the following:


Period³	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index
7/01/11 to 6/30/12		52.9	%		9.1	%		N/A			10.9	%		23.2	%		3.9	%
7/01/12 to 6/30/13		52.9			9.1			0.4	%		11.8			21.6			4.2
7/01/13 to 6/30/14		52.9			9.1			0.2			12.0			21.3			4.5
7/01/14 to 6/30/15		51.9			8.9			0.5			12.7			22.1			4.0
7/01/15 to 6/30/16		51.2			8.8			0.5			13.2			22.4			3.9

See “About Fund Performance” on page 15 for descriptions of the indexes.

Performance Summary for the Period Ended June 30, 2016


	6-Month			Average Annual Total Returns
	Total Returns			1 Year			5 Years			Since Inception³
Institutional		4.34	%		2.76	%		5.28	%		5.04	%
Investor A		4.13			2.41			5.01			4.78
Class K		4.37			2.81			5.32			5.08
LifePath Index Retirement Fund Custom Benchmark		4.23			2.78			5.42			5.18
Barclays U.S. Aggregate Bond Index		5.31			6.00			3.76			3.64
Barclays U.S. TIPS Index (Series L)		6.24			4.35			2.63			2.75
FTSE EPRA/NAREIT Developed Index		5.48			0.78			4.52			7.13
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		0.39			0.07
Russell 1000^® Index		3.74			2.93			11.88			11.29
Russell 2000^® Index		2.22			(6.73	)		8.35			7.72

The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.



BLACKROCK FUNDS III	JUNE 30, 2016	5


		BlackRock LifePath Index 2020 Fund

Investment Objective

BlackRock LifePath^® Index 2020 Fund’s (“LifePath Index 2020 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Total Return Based on a $10,000 Investment

LOGO

The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2020 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Index Fund’s custom benchmark consists of the following:


Period³	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index
7/01/11 to 6/30/12		37.9	%		6.1	%		N/A			17.3	%		35.0	%		3.7	%
7/01/12 to 6/30/13		39.9			6.4			3.3	%		16.1			30.7			3.6
7/01/13 to 6/30/14		41.9			6.8			2.9			15.8			28.7			3.9
7/01/14 to 6/30/15		41.1			6.7			3.2			16.4			29.0			3.5
7/01/15 to 6/30/16		41.3			6.9			3.1			16.7			28.5			3.4

See “About Fund Performance” on page 15 for descriptions of the indexes.

Performance Summary for the Period Ended June 30, 2016


	6-Month			Average Annual Total Returns
	Total Returns			1 Year			5 Years			Since Inception³
Institutional		4.09	%		2.23	%		5.82	%		5.50	%
Investor A		3.97			1.98			5.53			5.22
Class K		4.21			2.28			5.85			5.54
LifePath Index 2020 Fund Custom Benchmark		4.02			2.22			5.93			5.61
Barclays U.S. Aggregate Bond Index		5.31			6.00			3.76			3.64
Barclays U.S. TIPS Index (Series L)		6.24			4.35			2.63			2.75
FTSE EPRA/NAREIT Developed Index		5.48			0.78			4.52			7.13
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		0.39			0.07
Russell 1000^® Index		3.74			2.93			11.88			11.29
Russell 2000^® Index		2.22			(6.73	)		8.35			7.72

The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.



6	BLACKROCK FUNDS III	JUNE 30, 2016


				BlackRock LifePath Index 2025 Fund

Investment Objective

BlackRock LifePath^® Index 2025 Fund’s (“LifePath Index 2025 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Total Return Based on a $10,000 Investment

LOGO

The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2025 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Index Fund’s custom benchmark consists of the following:


Period³	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index
7/01/11 to 6/30/12		30.9	%		4.8	%		N/A			20.3	%		40.5	%		3.5	%
7/01/12 to 6/30/13		32.9			5.1			4.8	%		18.4			35.6			3.2
7/01/13 to 6/30/14		34.8			5.4			4.7			18.2			33.5			3.4
7/01/14 to 6/30/15		32.6			5.1			5.4			19.4			34.4			3.1
7/01/15 to 6/30/16		31.8			5.1			5.8			19.9			34.4			3.0

See “About Fund Performance” on page 15 for descriptions of the indexes.

Performance Summary for the Period Ended June 30, 2016


	6-Month			Average Annual Total Returns
	Total Returns			1 Year			5 Years			Since Inception³
Institutional		3.97	%		1.89	%		6.13	%		5.79	%
Investor A		3.86			1.64			5.88			5.54
Class K		4.00			1.94			6.17			5.82
LifePath Index 2025 Fund Custom Benchmark		3.80			1.73			6.25			5.90
Barclays U.S. Aggregate Bond Index		5.31			6.00			3.76			3.64
Barclays U.S. TIPS Index (Series L)		6.24			4.35			2.63			2.75
FTSE EPRA/NAREIT Developed Index		5.48			0.78			4.52			7.13
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		0.39			0.07
Russell 1000^® Index		3.74			2.93			11.88			11.29
Russell 2000^® Index		2.22			(6.73	)		8.35			7.72

The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.



BLACKROCK FUNDS III	JUNE 30, 2016	7


		BlackRock LifePath Index 2030 Fund

Investment Objective

BlackRock LifePath^® Index 2030 Fund’s (“LifePath Index 2030 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Total Return Based on a $10,000 Investment

LOGO

The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2030 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Index Fund’s custom benchmark consists of the following:


Period³	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index
7/01/11 to 6/30/12		24.7	%		3.6	%		N/A			22.9	%		45.4	%		3.4	%
7/01/12 to 6/30/13		26.6			4.0			6.2	%		20.4			39.9			2.9
7/01/13 to 6/30/14		28.6			4.2			6.2			20.3			37.7			3.0
7/01/14 to 6/30/15		24.6			3.7			7.5			22.1			39.5			2.7
7/01/15 to 6/30/16		22.7			3.5			8.3			23.0			40.0			2.6

See “About Fund Performance” on page 15 for descriptions of the indexes.

Performance Summary for the Period Ended June 30, 2016


	6-Month			Average Annual Total Returns
	Total Returns			1 Year			5 Years			Since Inception³
Institutional		3.78	%		1.45	%		6.42	%		6.05	%
Investor A		3.65			1.20			6.15			5.78
Class K		3.72			1.42			6.43			6.05
LifePath Index 2030 Fund Custom Benchmark		3.59			1.24			6.50			6.12
Barclays U.S. Aggregate Bond Index		5.31			6.00			3.76			3.64
Barclays U.S. TIPS Index (Series L)		6.24			4.35			2.63			2.75
FTSE EPRA/NAREIT Developed Index		5.48			0.78			4.52			7.13
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		0.39			0.07
Russell 1000^® Index		3.74			2.93			11.88			11.29
Russell 2000^® Index		2.22			(6.73	)		8.35			7.72

The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.



8	BLACKROCK FUNDS III	JUNE 30, 2016


				BlackRock LifePath Index 2035 Fund

Investment Objective

BlackRock LifePath^® Index 2035 Fund’s (“LifePath Index 2035 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Total Return Based on a $10,000 Investment

LOGO

The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2035 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Index Fund’s custom benchmark consists of the following:


Period³	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index
7/01/11 to 6/30/12		19.1	%		2.5	%		N/A			25.3	%		49.8	%		3.3	%
7/01/12 to 6/30/13		21.1			2.8			7.4	%		22.2			43.8			2.7
7/01/13 to 6/30/14		23.1			3.0			7.6			22.2			41.4			2.7
7/01/14 to 6/30/15		17.3			2.3			9.3			24.6			44.1			2.4
7/01/15 to 6/30/16		14.0			2.0			10.6			25.9			45.2			2.2

See “About Fund Performance” on page 15 for descriptions of the indexes.

Performance Summary for the Period Ended June 30, 2016


	6-Month			Average Annual Total Returns
	Total Returns			1 Year			5 Years			Since Inception³
Institutional		3.59	%		1.05	%		6.63	%		6.23	%
Investor A		3.39			0.80			6.34			5.94
Class K		3.62			1.10			6.65			6.25
LifePath Index 2035 Fund Custom Benchmark		3.38			0.77			6.72			6.31
Barclays U.S. Aggregate Bond Index		5.31			6.00			3.76			3.64
Barclays U.S. TIPS Index (Series L)		6.24			4.35			2.63			2.75
FTSE EPRA/NAREIT Developed Index		5.48			0.78			4.52			7.13
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		0.39			0.07
Russell 1000^® Index		3.74			2.93			11.88			11.29
Russell 2000^® Index		2.22			(6.73	)		8.35			7.72

The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.



BLACKROCK FUNDS III	JUNE 30, 2016	9


		BlackRock LifePath Index 2040 Fund

Investment Objective

BlackRock LifePath^® Index 2040 Fund’s (“LifePath Index 2040 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Total Return Based on a $10,000 Investment

LOGO

The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2040 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Index Fund’s custom benchmark consists of the following:


Period³	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index
7/01/11 to 6/30/12		14.1	%		1.4	%		N/A			27.4	%		53.8	%		3.3	%
7/01/12 to 6/30/13		16.1			1.6			8.6	%		23.9			47.4			2.4
7/01/13 to 6/30/14		18.2			1.9			8.8			23.9			44.8			2.4
7/01/14 to 6/30/15		10.9			1.2			11.1			26.8			47.8			2.2
7/01/15 to 6/30/16		6.2			0.8			13.0			28.6			49.5			2.0

See “About Fund Performance” on page 15 for descriptions of the indexes.

Performance Summary for the Period Ended June 30, 2016


	6-Month			Average Annual Total Returns
	Total Returns			1 Year			5 Years			Since Inception³
Institutional		3.39	%		0.66	%		6.84	%		6.41	%
Investor A		3.28			0.42			6.56			6.13
Class K		3.41			0.71			6.88			6.45
LifePath Index 2040 Fund Custom Benchmark		3.18			0.33			6.91			6.48
Barclays U.S. Aggregate Bond Index		5.31			6.00			3.76			3.64
Barclays U.S. TIPS Index (Series L)		6.24			4.35			2.63			2.75
FTSE EPRA/NAREIT Developed Index		5.48			0.78			4.52			7.13
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		0.39			0.07
Russell 1000^® Index		3.74			2.93			11.88			11.29
Russell 2000^® Index		2.22			(6.73	)		8.35			7.72

The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.



10	BLACKROCK FUNDS III	JUNE 30, 2016


				BlackRock LifePath Index 2045 Fund

Investment Objective

BlackRock LifePath^® Index 2045 Fund’s (“LifePath Index 2045 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Total Return Based on a $10,000 Investment

LOGO

The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2045 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Index Fund’s custom benchmark consists of the following:


Period³	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index
7/01/11 to 6/30/12		9.8	%		N/A			N/A			29.5	%		57.5	%		3.2	%
7/01/12 to 6/30/13		12.1			N/A			9.6	%		25.4			50.7			2.2
7/01/13 to 6/30/14		14.5			N/A			9.9			25.5			48.0			2.1
7/01/14 to 6/30/15		7.3			0.1	%		12.4			28.2			49.9			2.1
7/01/15 to 6/30/16		2.1			0.2			14.4			30.1			51.3			1.9

See “About Fund Performance” on page 15 for descriptions of the indexes.

Performance Summary for the Period Ended June 30, 2016


	6-Month			Average Annual Total Returns
	Total Returns			1 Year			5 Years			Since Inception³
Institutional		3.29	%		0.49	%		6.98	%		6.54	%
Investor A		3.18			0.17			6.71			6.28
Class K		3.31			0.54			7.03			6.60
LifePath Index 2045 Fund Custom Benchmark		3.07			0.09			7.12			6.66
Barclays U.S. Aggregate Bond Index		5.31			6.00			3.76			3.64
Barclays U.S. TIPS Index (Series L)		6.24			4.35			2.63			2.75
FTSE EPRA/NAREIT Developed Index		5.48			0.78			4.52			7.13
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		0.39			0.07
Russell 1000^® Index		3.74			2.93			11.88			11.29
Russell 2000^® Index		2.22			(6.73	)		8.35			7.72

The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.



BLACKROCK FUNDS III	JUNE 30, 2016	11


		BlackRock LifePath Index 2050 Fund

Investment Objective

BlackRock LifePath^® Index 2050 Fund’s (“LifePath Index 2050 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Total Return Based on a $10,000 Investment

LOGO

The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2050 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Index Fund’s custom benchmark consists of the following:


Period³	Barclays U.S. Aggregate Bond Index			U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)		FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index
7/01/11 to 6/30/12		4.4	%		N/A		N/A			31.5	%		60.8	%		3.3	%
7/01/12 to 6/30/13		6.8			N/A		10.6	%		26.9			53.7			2.0
7/01/13 to 6/30/14		9.2			N/A		11.0			27.0			51.0			1.8
7/01/14 to 6/30/15		4.8			N/A		13.0			29.0			51.2			2.1
7/01/15 to 6/30/16		1.0			N/A		14.8			30.6			51.6			2.0

See “About Fund Performance” on page 15 for descriptions of the indexes.

Performance Summary for the Period Ended June 30, 2016


	6-Month			Average Annual Total Returns
	Total Returns			1 Year			5 Years			Since Inception³
Institutional		3.29	%		0.42	%		7.21	%		6.75	%
Investor A		3.18			0.18			6.95			6.49
Class K		3.31			0.47			7.25			6.79
LifePath Index 2050 Fund Custom Benchmark		3.04			0.02			7.32			6.85
Barclays U.S. Aggregate Bond Index		5.31			6.00			3.76			3.64
FTSE EPRA/NAREIT Developed Index		5.48			0.78			4.52			7.13
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		0.39			0.07
Russell 1000^® Index		3.74			2.93			11.88			11.29
Russell 2000^® Index		2.22			(6.73	)		8.35			7.72

The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.



12	BLACKROCK FUNDS III	JUNE 30, 2016


				BlackRock LifePath Index 2055 Fund

Investment Objective

BlackRock LifePath^® Index 2055 Fund’s (“LifePath Index 2055 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Total Return Based on a $10,000 Investment

LOGO

The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2055 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment adviser’s changes to the benchmark’s weightings over time. The investment adviser adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

Commencement of operations.

The LifePath Index Fund’s custom benchmark consists of the following:


Period³	Barclays U.S. Aggregate Bond Index			U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)		FTSE EPRA/NAREIT Developed Index			MSCI ACWI ex USA IMI Index			Russell 1000^® Index			Russell 2000^® Index
7/01/11 to 6/30/12		1.0	%		N/A		N/A			33.9	%		58.7	%		6.4	%
7/01/12 to 6/30/13		1.6			N/A		11.9	%		28.3			56.2			2.0
7/01/13 to 6/30/14		4.0			N/A		12.5			28.5			53.2			1.8
7/01/14 to 6/30/15		2.7			N/A		13.5			29.6			52.1			2.0
7/01/15 to 6/30/16		1.0			N/A		14.8			30.6			51.6			2.0

See “About Fund Performance” on page 15 for descriptions of the indexes.

Performance Summary for the Period Ended June 30, 2016


	6-Month			Average Annual Total Returns
	Total Returns			1 Year			5 Year			Since Inception³
Institutional		3.34	%		0.53	%		7.45	%		6.99	%
Investor A		3.24			0.30			7.18			6.72
Class K		3.36			0.58			7.50			7.03
LifePath Index 2055 Fund Custom Benchmark		3.04			0.02			7.50			7.01
Barclays U.S. Aggregate Bond Index		5.31			6.00			3.76			3.64
FTSE EPRA/NAREIT Developed Index		5.48			0.78			4.52			7.13
MSCI ACWI ex USA IMI Index		(0.91	)		(9.61	)		0.39			0.07
Russell 1000^® Index		3.74			2.93			11.88			11.29
Russell 2000^® Index		2.22			(6.73	)		8.35			7.72

The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.



BLACKROCK FUNDS III	JUNE 30, 2016	13


				BlackRock LifePath Index 2060 Fund

Investment Objective

BlackRock LifePath^® Index 2060 Fund’s (“LifePath Index 2060 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.



14	BLACKROCK FUNDS III	JUNE 30, 2016


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.

•

BlackRock Advisers, LLC (“BAL” or the “Administrator”), each LifePath Index Funds’ administrator, waived and/or reimbursed a portion of each LifePath Index Fund’s expenses. Without such waiver and/or reimbursement, each LifePath Index Fund’s performance would have been lower. The Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 4 of the Notes to Financial Statements for additional information on waivers and/or reimbursements.

The LifePath Index Funds’ custom benchmarks are hypothetical representations of the performance of the respective LifePath Index Fund’s asset

classes according to their weightings as of the most recent quarter-end. The weightings of the various indexes that are included in the LifePath Index Funds’ custom benchmarks are adjusted quarterly to reflect the LifePath Index Fund’s changing asset allocations over time. As of June 30, 2016, the following indexes are used to calculate the LifePath Index Funds’ custom benchmarks: Barclays U.S. Aggregate Bond Index, Barclays U.S. TIPS Index (Series L), FTSE EPRA/NAREIT Developed Index, MSCI ACWI ex USA IMI Index, Russell 1000^® Index and Russell 2000^® Index.

The Barclays U.S. Aggregate Bond Index is 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. The Barclays U.S. TIPS Index (Series L) is a market value-weighted index that tracks inflation-protected securities issued by the U.S. Treasury. The FTSE EPRA/NAREIT Developed Index a global market capitalization weighted index composed of listed real estate securities from developed market countries in North America, Europe, and Asia. The MSCI ACWI ex USA IMI Index is a free float-adjusted market capitalization weighted index that measures the equity market performance of the developed (excluding the U.S.) and emerging investable market universe. The Russell 1000^® Index is an index that measures the performance of the large cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The Index represents approximately 92% of the total market capitalization of the Russell 3000^® Index. The Russell 2000^® Index is an unmanaged index that is a subset of the Russell 3000^® Index representing approximately 10% of the total market capitalization of that Index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.

Disclosure of Expenses

Shareholders of each LifePath Index Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, and other fund expenses. The expense examples shown below (which are based on a hypothetical investment of $1,000 invested on January 1, 2016 and held through June 30, 2016) are intended to assist shareholders both in calculating expenses based on an investment in a LifePath Index Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense examples provide information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their LifePath Index Fund and their share class under the heading entitled “Expenses Paid During the Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on each LifePath Index 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 a LifePath Index Fund and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.



BLACKROCK FUNDS III	JUNE 30, 2016	15


Disclosure of Expenses (concluded)

Expense Examples


	Actual						Hypothetical⁴
	Beginning Account Value January 1, 2016¹		Ending Account Value June 30, 2016		Expenses Paid During the Period^2,3		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period^2,3		Annualized Expense Ratio
LifePath Index Retirement Fund
Institutional	$	1,000.00	$	1,043.40	$	0.66	$	1,000.00	$	1,024.22	$	0.65		0.13%
Investor A	$	1,000.00	$	1,041.30	$	1.93	$	1,000.00	$	1,022.97	$	1.91		0.38%
Class K	$	1,000.00	$	1,043.70	$	0.41	$	1,000.00	$	1,024.47	$	0.40		0.08%
LifePath Index 2020 Fund
Institutional	$	1,000.00	$	1,040.90	$	0.66	$	1,000.00	$	1,024.22	$	0.65		0.13%
Investor A	$	1,000.00	$	1,039.70	$	1.93	$	1,000.00	$	1,022.97	$	1.91		0.38%
Class K	$	1,000.00	$	1,042.10	$	0.41	$	1,000.00	$	1,024.47	$	0.40		0.08%
LifePath Index 2025 Fund
Institutional	$	1,000.00	$	1,039.70	$	0.66	$	1,000.00	$	1,024.22	$	0.65		0.13%
Investor A	$	1,000.00	$	1,038.60	$	1.93	$	1,000.00	$	1,022.97	$	1.91		0.38%
Class K	$	1,000.00	$	1,040.00	$	0.41	$	1,000.00	$	1,024.47	$	0.40		0.08%
LifePath Index 2030 Fund
Institutional	$	1,000.00	$	1,037.80	$	0.66	$	1,000.00	$	1,024.22	$	0.65		0.13%
Investor A	$	1,000.00	$	1,036.50	$	1.92	$	1,000.00	$	1,022.97	$	1.91		0.38%
Class K	$	1,000.00	$	1,037.20	$	0.41	$	1,000.00	$	1,024.47	$	0.40		0.08%
LifePath Index 2035 Fund
Institutional	$	1,000.00	$	1,035.90	$	0.61	$	1,000.00	$	1,024.27	$	0.60		0.12%
Investor A	$	1,000.00	$	1,033.90	$	1.87	$	1,000.00	$	1,023.02	$	1.86		0.37%
Class K	$	1,000.00	$	1,036.20	$	0.35	$	1,000.00	$	1,024.52	$	0.35		0.07%
LifePath Index 2040 Fund
Institutional	$	1,000.00	$	1,033.90	$	0.61	$	1,000.00	$	1,024.27	$	0.60		0.12%
Investor A	$	1,000.00	$	1,032.80	$	1.87	$	1,000.00	$	1,023.02	$	1.86		0.37%
Class K	$	1,000.00	$	1,034.10	$	0.35	$	1,000.00	$	1,024.52	$	0.35		0.07%
LifePath Index 2045 Fund
Institutional	$	1,000.00	$	1,032.90	$	0.56	$	1,000.00	$	1,024.32	$	0.55		0.11%
Investor A	$	1,000.00	$	1,031.80	$	1.82	$	1,000.00	$	1,023.07	$	1.81		0.36%
Class K	$	1,000.00	$	1,033.10	$	0.30	$	1,000.00	$	1,024.57	$	0.30		0.06%
LifePath Index 2050 Fund
Institutional	$	1,000.00	$	1,032.90	$	0.56	$	1,000.00	$	1,024.32	$	0.55		0.11%
Investor A	$	1,000.00	$	1,031.80	$	1.82	$	1,000.00	$	1,023.07	$	1.81		0.36%
Class K	$	1,000.00	$	1,033.10	$	0.30	$	1,000.00	$	1,024.57	$	0.30		0.06%
LifePath Index 2055 Fund
Institutional	$	1,000.00	$	1,033.40	$	0.51	$	1,000.00	$	1,024.37	$	0.50		0.10%
Investor A	$	1,000.00	$	1,032.40	$	1.77	$	1,000.00	$	1,023.12	$	1.76		0.35%
Class K	$	1,000.00	$	1,033.60	$	0.25	$	1,000.00	$	1,024.61	$	0.25		0.05%
LifePath Index 2060 Fund
Institutional	$	1,000.00	$	1,100.70	$	0.32	$	1,000.00	$	1,016.37	$	0.30		0.09%
Investor A	$	1,000.00	$	1,099.00	$	1.26	$	1,000.00	$	1,015.47	$	1.21		0.36%
Class K	$	1,000.00	$	1,100.90	$	0.14	$	1,000.00	$	1,016.53	$	0.13		0.04%

LifePath Index 2060 Fund commenced operations on February 29, 2016.

For each class of the LifePath Index Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). Because each LifePath Index Fund invests all its assets in a LifePath Index Master Portfolio, the expense examples reflect the net expenses of both the LifePath Index Fund and the LifePath Index Master Portfolio in which it invests.

For each class of LifePath Index 2060 Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 153/366 (to reflect the period from February 29, 2016, commencement of operations, to June 30, 2016). Because LifePath Index 2060 Fund invests all its assets in LifePath Index 2060 Master Portfolio, the expense examples reflect the net expenses of both the LifePath Index Fund and the LifePath Index Master Portfolio in which it invests.

⁴

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.



16	BLACKROCK FUNDS III	JUNE 30, 2016


Statements of Assets and Liabilities


June 30, 2016 (Unaudited)	BlackRock LifePath Index Retirement Fund			BlackRock LifePath Index 2020 Fund			BlackRock LifePath Index 2025 Fund			BlackRock LifePath Index 2030 Fund			BlackRock LifePath Index 2035 Fund

Assets
Investments at value — from the applicable LifePath Index Master Portfolio¹	$	589,873,061		$	1,274,065,657		$	1,033,959,956		$	1,334,473,239		$	818,637,640
Receivables:
Capital shares sold		734,325			1,793,900			1,523,344			1,688,369			1,044,408
From the administrator		18,074			22,378			19,517			22,579			18,703
Prepaid expenses		31,397			41,046			33,532			42,971			31,190

Total assets		590,656,857			1,275,922,981			1,035,536,349			1,336,227,158			819,731,941


Liabilities
Payables:
Contributions payable to the LifePath Index Master Portfolio		475,385			1,327,121			1,049,792			505,764			199,259
Capital shares redeemed		258,940			466,779			473,552			1,182,605			845,149
Income dividends		102,603			70,275			13,810			89,029			9,328
Professional fees		21,559			17,776			19,365			17,944			20,269
Transfer agent fees		20,085			27,972			18,356			28,045			12,534
Service fees		12,637			21,137			22,904			24,400			21,910
Capital gains distributions		11,925			—			—			800			—
Printing fees		10,048			10,707			9,563			10,567			9,457
Registration fees		1,837			4,784			4,424			6,265			4,211
Trustees’ fees		374			734			441			661			343
Other accrued expenses		297			—			—			—			—

Total liabilities		915,690			1,947,285			1,612,207			1,866,080			1,122,460

Net Assets	$	589,741,167		$	1,273,975,696		$	1,033,924,142		$	1,334,361,078		$	818,609,481


Net Assets Consist of
Paid-in capital	$	558,006,196		$	1,203,776,303		$	993,317,627		$	1,266,589,377		$	787,676,644
Distributions in excess of net investment income		(928,689	)		(1,558,648	)		(747,623	)		(1,089,215	)		(350,512	)
Accumulated net realized gain allocated from the applicable LifePath Index Master Portfolio		19,172,607			45,513,234			23,434,738			47,397,665			20,305,916
Net unrealized appreciation (depreciation) allocated from the applicable LifePath Index Master Portfolio		13,491,053			26,244,807			17,919,400			21,463,251			10,977,433

Net Assets	$	589,741,167		$	1,273,975,696		$	1,033,924,142		$	1,334,361,078		$	818,609,481


Net Asset Value
Institutional:
Net assets	$	76,887,760		$	92,987,410		$	81,382,708		$	98,818,455		$	65,225,064

Shares outstanding²		6,784,743			8,058,578			6,944,417			8,412,480			5,500,766

Net asset value	$	11.33		$	11.54		$	11.72		$	11.75		$	11.86

Investor A:
Net assets	$	61,185,116		$	100,970,311		$	113,814,924		$	114,592,935		$	109,357,184

Shares outstanding²		5,403,303			8,763,269			9,721,567			9,760,186			9,241,938

Net asset value	$	11.32		$	11.52		$	11.71		$	11.74		$	11.83

Class K:
Net assets	$	451,668,291		$	1,080,017,975		$	838,726,510		$	1,120,949,688		$	644,027,233

Shares outstanding²		39,875,441			93,612,332			71,544,188			95,523,503			54,360,087

Net asset value	$	11.33		$	11.54		$	11.72		$	11.73		$	11.85

¹ Investments at cost — from the applicable LifePath Index Master Portfolio	$	576,382,008		$	1,247,820,850		$	1,016,040,556		$	1,313,009,988		$	807,660,207
² No par value, unlimited number of shares authorized.


Statements of Assets and Liabilities


June 30, 2016 (Unaudited)	BlackRock LifePath Index 2040 Fund			BlackRock LifePath Index 2045 Fund			BlackRock LifePath Index 2050 Fund			BlackRock LifePath Index 2055 Fund			BlackRock LifePath Index 2060 Fund

Assets
Investments at value — from the applicable LifePath Index Master Portfolio¹	$	912,652,109		$	452,467,968		$	427,239,591		$	159,892,006		$	1,720,541
Receivables:
Capital shares sold		1,305,778			898,173			1,087,475			426,234			1,082
From the administrator		20,985			17,447			18,844			21,987			34,925
Deferred offering costs		—			—			—			—			107,533
Prepaid expenses		40,222			29,252			36,393			26,812			3,931

Total assets		914,019,094			453,412,840			428,382,303			160,367,039			1,868,012


Liabilities
Payables:
Contributions payable to the LifePath Index Master Portfolio		825,432			694,957			702,246			361,430			1,082
Capital shares redeemed		480,346			203,216			385,229			64,804			—
Income dividends		67,463			7,931			9,036			1,140			7,452
Professional fees		19,438			21,696			22,049			23,085			8,784
Transfer agent fees		15,994			5,034			6,194			—			45
Service fees		14,822			10,186			6,260			3,752			14
Capital gains distributions		—			6			83			31			—
Printing fees		10,113			9,018			8,984			8,441			2,799
Registration fees		4,062			1,841			2,051			932			—
Trustees’ fees		460			183			183			2			—
Offering costs payable		—			—			—			—			161,300
Other accrued expenses		—			325			322			342			—

Total liabilities		1,438,130			954,393			1,142,637			463,959			181,476

Net Assets	$	912,580,964		$	452,458,447		$	427,239,666		$	159,903,080		$	1,686,536


Net Assets Consist of
Paid-in capital	$	871,773,293		$	437,772,564		$	413,918,730		$	155,929,231		$	1,588,388
Undistributed (distributions in excess of) net investment income		(430,306	)		(116,257	)		(110,407	)		(19,145	)		378
Accumulated net realized gain (loss) allocated from the applicable LifePath Index Master Portfolio		32,296,013			11,174,393			11,427,001			1,926,114			(2,970	)
Net unrealized appreciation (depreciation) allocated from the applicable LifePath Index Master Portfolio		8,941,964			3,627,747			2,004,342			2,066,880			100,740

Net Assets	$	912,580,964		$	452,458,447		$	427,239,666		$	159,903,080		$	1,686,536


Net Asset Value
Institutional:
Net assets	$	74,381,007		$	50,367,967		$	43,270,969		$	25,983,071		$	54,538

Shares outstanding²		6,250,566			4,181,922			3,548,684			2,092,344			5,000

Net asset value	$	11.90		$	12.04		$	12.19		$	12.42		$	10.91

Investor A:
Net assets	$	71,383,402		$	51,570,681		$	32,286,871		$	19,791,472		$	77,014

Shares outstanding²		6,007,534			4,288,956			2,652,558			1,596,334			7,064

Net asset value	$	11.88		$	12.02		$	12.17		$	12.40		$	10.90

Class K:
Net assets	$	766,816,555		$	350,519,799		$	351,681,826		$	114,128,537		$	1,554,984

Shares outstanding²		64,453,296			29,083,227			28,843,130			9,189,823			142,574

Net asset value	$	11.90		$	12.05		$	12.19		$	12.42		$	10.91

¹ Investments at cost — from the applicable LifePath Index Master Portfolio	$	903,710,145		$	448,840,221		$	425,235,249		$	157,825,126		$	1,619,802
² No par value, unlimited number of shares authorized.


Statements of Operations


Six Months Ended June 30, 2016 (Unaudited)	BlackRock LifePath Index Retirement Fund			BlackRock LifePath Index 2020 Fund			BlackRock LifePath Index 2025 Fund			BlackRock LifePath Index 2030 Fund			BlackRock LifePath Index 2035 Fund

Investment Income
Net investment income allocated from the LifePath Index Master Portfolio:
Dividends — affiliated	$	2,799,204		$	8,036,551		$	7,644,020		$	12,152,133		$	8,191,560
Interest — affiliated		3,000,618			5,275,976			3,145,761			3,073,996			1,171,417
Securities lending — affiliated — net		3,096			5,712			17,174			13,905			12,217
Expenses		(269,346	)		(550,965	)		(411,730	)		(548,429	)		(319,983	)
Fees waived		52,721			81,467			61,423			69,165			78,845

Total income		5,586,293			12,848,741			10,456,648			14,760,770			9,134,056


Fund Expenses
Administration		79,396			169,894			130,174			173,602			102,153
Service and distribution — class specific		75,597			131,050			134,496			144,560			123,397
Transfer agent — class specific		52,171			76,945			59,781			81,430			54,156
Registration		28,660			34,785			30,033			35,890			29,046
Professional		16,937			17,405			16,684			17,302			16,656
Printing		9,148			12,364			10,078			12,199			9,359
Independent Trustees		61			91			74			91			56
Miscellaneous		4,704			5,136			4,039			5,136			3,813
Recoupment of past waived fees — class specific		—			—			68			—			13

Total expenses		266,674			447,670			385,427			470,210			338,649
Less:
Administration fees waived		(79,396	)		(169,894	)		(130,174	)		(173,602	)		(102,153	)
Transfer agent fees waived and/or reimbursed — class specific		(20,035	)		(29,265	)		(15,086	)		(30,814	)		(15,531	)
Fees reimbursed by the Administrator		(58,387	)		(68,653	)		(60,512	)		(69,490	)		(58,762	)

Total expenses after fees waived and/or reimbursed		108,856			179,858			179,655			196,304			162,203

Net investment income		5,477,437			12,668,883			10,276,993			14,564,466			8,971,853


Realized and Unrealized Gain (Loss) Allocated from the LifePath Index Master Portfolio
Net realized gain from investments and futures contracts		(439,530	)		(1,236,181	)		(945,249	)		(2,648,240	)		(1,533,748	)

Net change in unrealized appreciation (depreciation) on investments and futures contracts		18,552,256			37,256,197			28,896,671			35,654,212			21,508,437

Net realized and unrealized gain		18,112,726			36,020,016			27,951,422			33,005,972			19,974,689

Net Increase in Net Assets Resulting from Operations	$	23,590,163		$	48,688,899		$	38,228,415		$	47,570,438		$	28,946,542


Statements of Operations


Six Months Ended June 30, 2016 (Unaudited)	BlackRock LifePath Index 2040 Fund			BlackRock LifePath Index 2045 Fund			BlackRock LifePath Index 2050 Fund			BlackRock LifePath Index 2055 Fund			BlackRock LifePath Index 2060 Fund¹

Investment Income
Net investment income allocated from the LifePath Index Master Portfolio:
Dividends — affiliated	$	10,650,554		$	5,395,965		$	5,261,496		$	1,899,877		$	14,244
Interest — affiliated		704,996			156,602			108,967			36,243			207
Securities lending — affiliated — net		15,425			10,914			9,393			8,122			—
Expenses		(375,454	)		(184,364	)		(179,035	)		(74,480	)		(16,372	)
Fees waived		86,937			70,392			68,577			44,812			16,216

Total income		11,082,458			5,449,509			5,269,398			1,914,574			14,295


Fund Expenses
Administration		119,539			57,037			54,907			19,232			112
Service and distribution — class specific		85,897			57,466			34,822			19,908			48
Transfer agent — class specific		61,255			39,323			43,553			27,797			85
Registration		34,044			26,090			30,165			23,957			1,059
Professional		16,680			16,529			16,541			16,398			8,784
Printing		10,406			8,170			8,269			7,072			2,806
Offering cost		—			—			—			—			53,767
Organization		—			—			—			—			30,000
Independent Trustees		78			30			30			—			—
Miscellaneous		3,813			3,696			3,693			3,696			2,440

Total expenses		331,712			208,341			191,980			118,060			99,101
Less:
Administration fees waived		(119,539	)		(57,037	)		(54,907	)		(19,232	)		(112	)
Transfer agent fees waived and/or reimbursed — class specific		(27,451	)		(16,463	)		(26,653	)		(18,503	)		(63	)
Fees reimbursed by the Administrator		(64,852	)		(54,460	)		(58,645	)		(51,067	)		(98,854	)

Total expenses after fees waived and/or reimbursed		119,870			80,381			51,775			29,258			72

Net investment income		10,962,588			5,369,128			5,217,623			1,885,316			14,223


Realized and Unrealized Gain (Loss) Allocated from the LifePath Index Master Portfolio
Net realized gain from investments and futures contracts		(2,554,539	)		(1,092,055	)		(1,114,444	)		(282,483	)		(2,970	)

Net change in unrealized appreciation (depreciation) on investments and futures contracts		22,295,903			11,096,450			10,146,461			4,079,880			100,740

Net realized and unrealized gain		19,741,364			10,004,395			9,032,017			3,797,397			97,770

Net Increase in Net Assets Resulting from Operations	$	30,703,952		$	15,373,523		$	14,249,640		$	5,682,713		$	111,993

¹ Commenced operations on February 29, 2016.


Statements of Changes in Net Assets		BlackRock LifePath Index Retirement Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	5,477,437		$	8,641,794
Net realized gain (loss)		(439,530	)		25,091,156
Net change in unrealized appreciation (depreciation)		18,552,256			(35,849,607	)

Net increase (decrease) in net assets resulting from operations		23,590,163			(2,116,657	)


Distributions to Shareholders¹
From net investment income:
Institutional		(712,535	)		(1,277,848	)
Investor A		(515,231	)		(1,083,250	)
Class K		(4,214,496	)		(6,712,304	)
From net realized gain:
Institutional		(49,437	)		(671,047	)
Investor A		(39,322	)		(661,044	)
Class K		(289,860	)		(3,568,084	)

Decrease in net assets resulting from distributions to shareholders		(5,820,881	)		(13,973,577	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		72,234,832			84,341,187


Net Assets
Total increase in net assets		90,004,114			68,250,953
Beginning of period		499,737,053			431,486,100

End of period	$	589,741,167		$	499,737,053

Distributions in excess of net investment income, end of period	$	(928,689	)	$	(963,864	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets		BlackRock LifePath Index 2020 Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	12,668,883		$	19,700,454
Net realized gain (loss)		(1,236,181	)		57,467,254
Net change in unrealized appreciation (depreciation)		37,256,197			(83,870,133	)

Net increase (decrease) in net assets resulting from operations		48,688,899			(6,702,425	)


Distributions to Shareholders¹
From net investment income:
Institutional		(927,727	)		(1,703,517	)
Investor A		(935,760	)		(2,187,020	)
Class K		(10,638,462	)		(16,717,448	)
From net realized gain:
Institutional		—			(797,026	)
Investor A		—			(1,155,335	)
Class K		—			(7,783,760	)

Decrease in net assets resulting from distributions to shareholders		(12,501,949	)		(30,344,106	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		162,658,617			231,104,256


Net Assets
Total increase in net assets		198,845,567			194,057,725
Beginning of period		1,075,130,129			881,072,404

End of period	$	1,273,975,696		$	1,075,130,129

Distributions in excess of net investment income, end of period	$	(1,558,648	)	$	(1,725,582	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets		BlackRock LifePath Index 2025 Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	10,276,993		$	13,183,833
Net realized gain (loss)		(945,249	)		29,568,229
Net change in unrealized appreciation (depreciation)		28,896,671			(48,301,927	)

Net increase (decrease) in net assets resulting from operations		38,228,415			(5,549,865	)


Distributions to Shareholders¹
From net investment income:
Institutional		(826,174	)		(1,377,536	)
Investor A		(1,038,429	)		(1,805,811	)
Class K		(8,235,594	)		(10,608,523	)
From net realized gain:
Institutional		—			(407,135	)
Investor A		—			(592,391	)
Class K		—			(3,270,147	)
From return of capital:
Institutional		—			(9,315	)
Investor A		—			(13,769	)
Class K		—			(65,804	)

Decrease in net assets resulting from distributions to shareholders		(10,100,197	)		(18,150,431	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		229,282,183			282,075,364


Net Assets
Total increase in net assets		257,410,401			258,375,068
Beginning of period		776,513,741			518,138,673

End of period	$	1,033,924,142		$	776,513,741

Distributions in excess of net investment income, end of period	$	(747,623	)	$	(924,419	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets		BlackRock LifePath Index 2030 Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	14,564,466		$	20,906,687
Net realized gain (loss)		(2,648,240	)		61,509,874
Net change in unrealized appreciation (depreciation)		35,654,212			(90,984,619	)

Net increase (decrease) in net assets resulting from operations		47,570,438			(8,568,058	)


Distributions to Shareholders¹
From net investment income:
Institutional		(1,069,900	)		(1,813,762	)
Investor A		(1,165,849	)		(2,626,280	)
Class K		(12,002,362	)		(17,338,274	)
From net realized gain:
Institutional		(5,975	)		(716,183	)
Investor A		(6,938	)		(1,160,733	)
Class K		(67,800	)		(7,146,165	)

Decrease in net assets resulting from distributions to shareholders		(14,318,824	)		(30,801,397	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		224,456,758			297,955,479


Net Assets
Total increase in net assets		257,708,372			258,586,024
Beginning of period		1,076,652,706			818,066,682

End of period	$	1,334,361,078		$	1,076,652,706

Distributions in excess of net investment income, end of period	$	(1,089,215	)	$	(1,415,570	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets		BlackRock LifePath Index 2035 Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	8,971,853		$	11,244,213
Net realized gain (loss)		(1,533,748	)		27,014,851
Net change in unrealized appreciation (depreciation)		21,508,437			(43,393,602	)

Net increase (decrease) in net assets resulting from operations		28,946,542			(5,134,538	)


Distributions to Shareholders¹
From net investment income:
Institutional		(719,447	)		(1,117,568	)
Investor A		(1,085,978	)		(1,835,251	)
Class K		(6,942,095	)		(8,692,886	)
From net realized gain:
Institutional		—			(373,420	)
Investor A		—			(639,622	)
Class K		—			(2,991,293	)

Decrease in net assets resulting from distributions to shareholders		(8,747,520	)		(15,650,040	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		188,855,274			220,348,776


Net Assets
Total increase in net assets		209,054,296			199,564,198
Beginning of period		609,555,185			409,990,987

End of period	$	818,609,481		$	609,555,185

Distributions in excess of net investment income, end of period	$	(350,512	)	$	(574,845	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets		BlackRock LifePath Index 2040 Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	10,962,588		$	15,551,462
Net realized gain (loss)		(2,554,539	)		43,354,569
Net change in unrealized appreciation (depreciation)		22,295,903			(66,075,844	)

Net increase (decrease) in net assets resulting from operations		30,703,952			(7,169,813	)


Distributions to Shareholders¹
From net investment income:
Institutional		(878,985	)		(1,422,218	)
Investor A		(782,748	)		(1,669,244	)
Class K		(8,989,965	)		(12,960,520	)
From net realized gain:
Institutional		—			(569,482	)
Investor A		—			(758,603	)
Class K		—			(5,436,087	)

Decrease in net assets resulting from distributions to shareholders		(10,651,698	)		(22,816,154	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		141,234,691			234,932,488


Net Assets
Total increase in net assets		161,286,945			204,946,521
Beginning of period		751,294,019			546,347,498

End of period	$	912,580,964		$	751,294,019

Distributions in excess of net investment income, end of period	$	(430,306	)	$	(741,196	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets		BlackRock LifePath Index 2045 Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	5,369,128		$	6,791,462
Net realized gain (loss)		(1,092,055	)		15,256,959
Net change in unrealized appreciation (depreciation)		11,096,450			(25,245,810	)

Net increase (decrease) in net assets resulting from operations		15,373,523			(3,197,389	)


Distributions to Shareholders¹
From net investment income:
Institutional		(598,074	)		(959,840	)
Investor A		(552,757	)		(878,566	)
Class K		(4,066,362	)		(5,161,906	)
From net realized gain:
Institutional		(307	)		(322,391	)
Investor A		(314	)		(327,816	)
Class K		(2,132	)		(1,825,857	)

Decrease in net assets resulting from distributions to shareholders		(5,219,946	)		(9,476,376	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		101,078,847			127,142,109


Net Assets
Total increase in net assets		111,232,424			114,468,344
Beginning of period		341,226,023			226,757,679

End of period	$	452,458,447		$	341,226,023

Distributions in excess of net investment income, end of period	$	(116,257	)	$	(268,192	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets		BlackRock LifePath Index 2050 Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	5,217,623		$	7,132,242
Net realized gain (loss)		(1,114,444	)		15,525,064
Net change in unrealized appreciation (depreciation)		10,146,461			(26,110,210	)

Net increase (decrease) in net assets resulting from operations		14,249,640			(3,452,904	)


Distributions to Shareholders¹
From net investment income:
Institutional		(521,284	)		(848,474	)
Investor A		(347,317	)		(637,156	)
Class K		(4,199,239	)		(5,861,725	)
From net realized gain:
Institutional		(3,122	)		(273,605	)
Investor A		(2,306	)		(236,197	)
Class K		(25,253	)		(1,956,362	)

Decrease in net assets resulting from distributions to shareholders		(5,098,521	)		(9,813,519	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		81,021,088			117,465,063


Net Assets
Total increase in net assets		90,172,207			104,198,640
Beginning of period		337,067,459			232,868,819

End of period	$	427,239,666		$	337,067,459

Distributions in excess of net investment income, end of period	$	(110,407	)	$	(260,190	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets		BlackRock LifePath Index 2055 Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	1,885,316		$	2,091,558
Net realized gain (loss)		(282,483	)		3,730,516
Net change in unrealized appreciation (depreciation)		4,079,880			(6,917,381	)

Net increase (decrease) in net assets resulting from operations		5,682,713			(1,095,307	)


Distributions to Shareholders¹
From net investment income:
Institutional		(301,431	)		(383,507	)
Investor A		(208,714	)		(263,372	)
Class K		(1,327,728	)		(1,505,805	)
From net realized gain:
Institutional		(5,697	)		(99,073	)
Investor A		(4,310	)		(76,262	)
Class K		(24,971	)		(391,251	)

Decrease in net assets resulting from distributions to shareholders		(1,872,851	)		(2,719,270	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		49,082,899			48,966,574


Net Assets
Total increase in net assets		52,892,761			45,151,997
Beginning of period		107,010,319			61,858,322

End of period	$	159,903,080		$	107,010,319

Distributions in excess of net investment income, end of period	$	(19,145	)	$	(66,588	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets		BlackRock LifePath Index 2060 Fund


Increase (Decrease) in Net Assets:	Period February 29, 2016¹ to June 30, 2016 (Unaudited)

Operations
Net investment income	$	14,223
Net realized loss		(2,970	)
Net change in unrealized appreciation (depreciation)		100,740

Net increase in net assets resulting from operations		111,993


Distributions to Shareholders²
From net investment income:
Institutional		(484	)
Investor A		(589	)
Class K		(12,772	)

Decrease in net assets resulting from distributions to shareholders		(13,845	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		1,588,388


Net Assets
Total increase in net assets		1,686,536
Beginning of period		—

End of period	$	1,686,536

Undistributed net investment income, end of period	$	378

Commencement of operations.

Distributions for annual periods determined in accordance with federal income tax regulations.


Financial Highlights		BlackRock LifePath Index Retirement Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
				2015			2014			2013			2012
				2015			2014			2013			2012

Per Share Operating Performance
Net asset value, beginning of period	$	10.97		$	11.33		$	11.05		$	10.49		$	9.77		$	10.00

Net investment income²		0.11			0.21			0.21			0.18			0.21			0.16
Net realized and unrealized gain (loss)		0.37			(0.25	)		0.42			0.62			0.68			(0.22	)

Net increase (decrease) from investment operations		0.48			(0.04	)		0.63			0.80			0.89			(0.06	)

Distributions:³
From net investment income		(0.11	)		(0.21	)		(0.21	)		(0.19	)		(0.15	)		(0.16	)
From net realized gain		(0.01	)		(0.11	)		(0.14	)		(0.05	)		(0.02	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.12	)		(0.32	)		(0.35	)		(0.24	)		(0.17	)		(0.17	)

Net asset value, end of period	$	11.33		$	10.97		$	11.33		$	11.05		$	10.49		$	9.77


Total Return⁴
Based on net asset value		4.34%	⁵		(0.36)%			5.73%			7.68%			9.16%			(0.61)%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8		0.19%	⁹		0.21%			0.23%			0.26%			0.38%			6.81%	^9,10

Total expenses after fees waived and/or reimbursed^7,8		0.13%	⁹		0.14%			0.16%			0.18%			0.16%			0.18%	⁹

Net investment income^7,8		2.06%	⁹		1.79%			1.82%			1.70%			2.00%			2.84%	⁹


Supplemental Data
Net assets, end of period (000)	$	76,888		$	68,492		$	68,385		$	39,793		$	20,223		$	24

Portfolio turnover rate of the LifePath Index Master Portfolio		7%	¹¹		25%	¹¹		15%	¹¹		18%	¹¹		1%	¹²		1%	¹²

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.03%, 0.02%, 0.06% and 3.37% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.03%

0.02%

0.04%

⁹

Annualized.

¹⁰

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 6.84%.

¹¹

Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 9% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath Index Retirement Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
				2015			2014			2013			2012
				2015			2014			2013			2012

Per Share Operating Performance
Net asset value, beginning of period	$	10.97		$	11.33		$	11.05		$	10.49		$	9.77		$	10.00

Net investment income²		0.10			0.17			0.17			0.16			0.18			0.15
Net realized and unrealized gain (loss)		0.35			(0.24	)		0.43			0.62			0.69			(0.23	)

Net increase (decrease) from investment operations		0.45			(0.07	)		0.60			0.78			0.87			(0.08	)

Distributions:³
From net investment income		(0.09	)		(0.18	)		(0.18	)		(0.17	)		(0.13	)		(0.14	)
From net realized gain		(0.01	)		(0.11	)		(0.14	)		(0.05	)		(0.02	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.10	)		(0.29	)		(0.32	)		(0.22	)		(0.15	)		(0.15	)

Net asset value, end of period	$	11.32		$	10.97		$	11.33		$	11.05		$	10.49		$	9.77


Total Return⁴
Based on net asset value		4.13%	⁵		(0.61)%			5.50%			7.44%			8.88%			(0.76)%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8		0.44%	⁹		0.46%			0.48%			0.51%			0.81%			7.16%	^9,10

Total expenses after fees waived and/or reimbursed^7,8		0.38%	⁹		0.39%			0.41%			0.43%			0.41%			0.43%	⁹

Net investment income^7,8		1.79%	⁹		1.54%			1.55%			1.45%			1.71%			2.58%	⁹


Supplemental Data
Net assets, end of period (000)	$	61,185		$	61,886		$	55,156		$	28,215		$	7,967		$	24

Portfolio turnover rate of the LifePath Index Master Portfolio		7%	¹¹		25%	¹¹		15%	¹¹		18%	¹¹		1%	¹²		1%	¹²

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.03%, 0.02%, 0.13% and 3.37% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸

Six Months Ended
June 30,
2016

(Unaudited)

Year Ended December 31,

Period

May 31, 2011¹to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.03%

0.02%

0.04%

⁹

Annualized.

¹⁰

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.10%.

¹¹

¹²


Financial Highlights (concluded)		BlackRock LifePath Index Retirement Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	10.97		$	11.33		$	11.05		$	10.49		$	9.77		$	10.00

Net investment income²		0.12			0.20			0.21			0.19			0.21			0.16
Net realized and unrealized gain (loss)		0.36			(0.23	)		0.42			0.61			0.69			(0.22	)

Net increase (decrease) from investment operations		0.48			(0.03	)		0.63			0.80			0.90			(0.06	)

Distributions:³
From net investment income		(0.11	)		(0.22	)		(0.21	)		(0.19	)		(0.16	)		(0.16	)
From net realized gain		(0.01	)		(0.11	)		(0.14	)		(0.05	)		(0.02	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.12	)		(0.33	)		(0.35	)		(0.24	)		(0.18	)		(0.17	)

Net asset value, end of period	$	11.33		$	10.97		$	11.33		$	11.05		$	10.49		$	9.77


Total Return⁴
Based on net asset value		4.37%	⁵		(0.31)%			5.78%			7.72%			9.17%			(0.59)%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8		0.14%	⁹		0.15%			0.19%			0.22%			0.28%			6.71%	^9,10

Total expenses after fees waived and/or reimbursed^7,8		0.08%	⁹		0.09%			0.11%			0.14%			0.15%			0.15%	⁹

Net investment income^7,8		2.11%	⁹		1.84%			1.87%			1.74%			2.02%			2.87%	⁹


Supplemental Data
Net assets, end of period (000)	$	451,668		$	369,359		$	307,946		$	253,463		$	173,667		$	1,905

Portfolio turnover rate of the LifePath Index Master Portfolio		7%	¹¹		25%	¹¹		15%	¹¹		18%	¹¹		1%	¹²		1%	¹²

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.03%, 0.02%, 0.04%, and 3.38% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.03%

0.02%

0.04%

⁹

Annualized.

¹⁰

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 6.74%.

¹¹

¹²


Financial Highlights		BlackRock LifePath Index 2020 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.20		$	11.57		$	11.25		$	10.36		$	9.48		$	10.00

Net investment income²		0.12			0.22			0.22			0.22			0.22			0.15
Net realized and unrealized gain (loss)		0.34			(0.27	)		0.46			0.94			0.85			(0.53	)

Net increase (decrease) from investment operations		0.46			(0.05	)		0.68			1.16			1.07			(0.38	)

Distributions:³
From net investment income		(0.12	)		(0.22	)		(0.22	)		(0.21	)		(0.16	)		(0.13	)
From net realized gain		—			(0.10	)		(0.14	)		(0.06	)		(0.03	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.12	)		(0.32	)		(0.36	)		(0.27	)		(0.19	)		(0.14	)

Net asset value, end of period	$	11.54		$	11.20		$	11.57		$	11.25		$	10.36		$	9.48


Total Return⁴
Based on net asset value		4.09%	⁵		(0.38)%			6.10%			11.32%			11.35%			(3.72)%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8		0.18%	⁹		0.20%			0.22%			0.26%			0.36%			6.91%	^9,10

Total expenses after fees waived and/or reimbursed^7,8		0.13%	⁹		0.14%			0.16%			0.18%			0.17%			0.20%	⁹

Net investment income^7,8		2.20%	⁹		1.89%			1.93%			1.98%			2.14%			2.66%	⁹


Supplemental Data
Net assets, end of period (000)	$	92,987		$	89,773		$	81,485		$	42,447		$	19,786		$	24

Portfolio turnover rate of the LifePath Index Master Portfolio		8%	¹¹		14%	¹¹		12%	¹¹		12%	¹¹		1%	¹²		1%	¹²

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.02%, 0.02%, 0.01%, 0.06%, and 3.48% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.04%

0.03%

0.05%

⁹

Annualized.

¹⁰

Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses for Institutional Shares would have been 6.94%.

¹¹

¹²

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 8% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.


Financial Highlights (continued)		BlackRock LifePath Index 2020 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.18		$	11.55		$	11.23		$	10.35		$	9.48		$	10.00

Net investment income²		0.11			0.19			0.19			0.19			0.19			0.13
Net realized and unrealized gain (loss)		0.33			(0.26	)		0.46			0.94			0.85			(0.52	)

Net increase (decrease) from investment operations		0.44			(0.07	)		0.65			1.13			1.04			(0.39	)

Distributions:³
From net investment income		(0.10	)		(0.20	)		(0.19	)		(0.19	)		(0.14	)		(0.12	)
From net realized gain		—			(0.10	)		(0.14	)		(0.06	)		(0.03	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.10	)		(0.30	)		(0.33	)		(0.25	)		(0.17	)		(0.13	)

Net asset value, end of period	$	11.52		$	11.18		$	11.55		$	11.23		$	10.35		$	9.48


Total Return⁴
Based on net asset value		3.97%	⁵		(0.63)%			5.87%			10.99%			10.98%			(3.87)%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8		0.44%	⁹		0.45%			0.47%			0.51%			0.68%			7.16%	^9,10

Total expenses after fees waived and/or reimbursed^7,8		0.38%	⁹		0.39%			0.41%			0.44%			0.42%			0.46%	⁹

Net investment income^7,8		1.93%	⁹		1.64%			1.68%			1.75%			1.85%			2.42%	⁹


Supplemental Data
Net assets, end of period (000)	$	100,970		$	109,566		$	99,790		$	61,996		$	17,944		$	24

Portfolio turnover rate of the LifePath Index Master Portfolio		8%	¹¹		14%	¹¹		12%	¹¹		12%	¹¹		1%	¹²		1%	¹²

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

⁸

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹
to December 31,

2011

2015

2014

2013

2012

Investments in underlying funds

0.04%

0.03%

0.05%

⁹

Annualized.

¹⁰

Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses for Investor A Shares would have been 7.19%.

¹¹

¹²

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 8% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.


Financial Highlights (concluded)		BlackRock LifePath Index 2020 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.19		$	11.57		$	11.25		$	10.36		$	9.48		$	10.00

Net investment income²		0.13			0.23			0.23			0.22			0.22			0.15
Net realized and unrealized gain (loss)		0.34			(0.28	)		0.46			0.94			0.85			(0.52	)

Net increase (decrease) from investment operations		0.47			(0.05	)		0.69			1.16			1.07			(0.37	)

Distributions:³
From net investment income		(0.12	)		(0.23	)		(0.23	)		(0.21	)		(0.16	)		(0.14	)
From net realized gain		—			(0.10	)		(0.14	)		(0.06	)		(0.03	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.12	)		(0.33	)		(0.37	)		(0.27	)		(0.19	)		(0.15	)

Net asset value, end of period	$	11.54		$	11.19		$	11.57		$	11.25		$	10.36		$	9.48


Total Return⁴
Based on net asset value		4.21%	⁵		(0.42)%			6.15%			11.36%			11.36%			(3.71)%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8		0.13%	⁹		0.14%			0.17%			0.21%			0.28%			6.81%	^9,10

Total expenses after fees waived and paid indirectly^7,8		0.08%	⁹		0.09%			0.11%			0.14%			0.16%			0.18%	⁹

Net investment income^7,8		2.27%	⁹		1.95%			1.98%			2.00%			2.20%			2.70%	⁹


Supplemental Data
Net assets, end of period (000)	$	1,080,018		$	875,791		$	699,797		$	511,443		$	249,157		$	1,848

Portfolio turnover rate of the LifePath Index Master Portfolio		8%	¹²		14%	¹¹		12%	¹¹		12%	¹¹		1%	¹²		1%	¹²

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.02%, 0.02%, 0.01%, 0.04%, and 3.48% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,								Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012

Investments in underlying funds		0.04%		0.04%		0.04%		0.03%		0.03%		0.05%

⁹

Annualized.

¹⁰

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 6.84%.

¹¹

¹²

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 8% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.


Financial Highlights		BlackRock LifePath Index 2025 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.39		$	11.74		$	11.37		$	10.30		$	9.35		$	10.00

Net investment income²		0.13			0.24			0.24			0.25			0.23			0.14
Net realized and unrealized gain (loss)		0.32			(0.29	)		0.47			1.12			0.92			(0.65	)

Net increase (decrease) from investment operations		0.45			(0.05	)		0.71			1.37			1.15			(0.51	)

Distributions:³
From net investment income		(0.12	)		(0.23	)		(0.22	)		(0.22	)		(0.16	)		(0.13	)
From net realized gain		—			(0.07	)		(0.12	)		(0.08	)		(0.04	)		—
From return of capital		—			(0.00	)⁴		—			—			—			(0.01	)³

Total distributions		(0.12	)		(0.30	)		(0.34	)		(0.30	)		(0.20	)		(0.14	)

Net asset value, end of period	$	11.72		$	11.39		$	11.74		$	11.37		$	10.30		$	9.35


Total Return⁵
Based on net asset value		3.97%	⁶		(0.42)%			6.33%			13.46%			12.34%			(5.12)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.18%	¹⁰		0.20%			0.23%			0.27%			0.51%			6.97%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.13%	¹⁰		0.14%			0.16%			0.17%			0.18%			0.21%	¹⁰

Net investment income^8,9		2.33%	¹⁰		2.00%			2.03%			2.25%			2.26%			2.55%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	81,383		$	73,993		$	53,760		$	21,097		$	4,844		$	23

Portfolio turnover rate of the LifePath Index Master Portfolio		5%	¹²		12%	¹²		15%	¹²		13%	¹²		0%	^13,14		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.01%, 0.02%, 0.02%, 0.12%, and 3.53% for the six months ended June 30, 2016, and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period

May 31, 2011¹to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.06%

0.05%

0.04%

0.03%

0.06%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 6.99%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 14% and 8% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%.


Financial Highlights (continued)		BlackRock LifePath Index 2025 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
				2015			2014			2013			2012
				2015			2014			2013			2012

Per Share Operating Performance
Net asset value, beginning of period	$	11.38		$	11.73		$	11.36		$	10.30		$	9.35		$	10.00

Net investment income²		0.12			0.20			0.21			0.23			0.22			0.13
Net realized and unrealized gain (loss)		0.32			(0.28	)		0.48			1.11			0.91			(0.66	)

Net increase (decrease) from investment operations		0.44			(0.08	)		0.69			1.34			1.13			(0.53	)

Distributions:³
From net investment income		(0.11	)		(0.20	)		(0.20	)		(0.20	)		(0.14	)		(0.11	)
From net realized gain		—			(0.07	)		(0.12	)		(0.08	)		(0.04	)		—
From return of capital		—			(0.00	)⁴		—			—			—			(0.01	)

Total distributions		(0.11	)		(0.27	)		(0.32	)		(0.28	)		(0.18	)		(0.12	)

Net asset value, end of period	$	11.71		$	11.38		$	11.73		$	11.36		$	10.30		$	9.35


Total Return⁵
Based on net asset value		3.86%	⁶		(0.67)%			6.10%			13.13%			12.12%			(5.26)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.43%	¹⁰		0.45%			0.48%			0.52%			0.85%			7.22%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.38%	¹⁰		0.39%			0.41%			0.43%			0.44%			0.46%	¹⁰

Net investment income^8,9		2.07%	¹⁰		1.75%			1.77%			2.04%			2.21%			2.30%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	113,815		$	104,993		$	89,983		$	49,232		$	3,918		$	23

Portfolio turnover rate of the LifePath Index Master Portfolio		5%	¹²		12%	¹²		15%	¹²		13%	¹²		0%	^13,14		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.01%, 0.02%, 0.02%, 0.13%, and 3.53% for the six months ended June 30, 2016, and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,								Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012

Investments in underlying funds		0.06%		0.05%		0.05%		0.04%		0.03%		0.06%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.24%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 14% and 8% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%.


Financial Highlights (concluded)		BlackRock LifePath Index 2025 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012

Per Share Operating Performance
Net asset value, beginning of period	$	11.39		$	11.75		$	11.37		$	10.30		$	9.35		$	10.00

Net investment income²		0.14			0.24			0.24			0.24			0.23			0.14
Net realized and unrealized gain (loss)		0.31			(0.29	)		0.49			1.14			0.92			(0.65	)

Net increase (decrease) from investment operations		0.45			(0.05	)		0.73			1.38			1.15			(0.51	)

Distributions:³
From net investment income		(0.12	)		(0.24	)		(0.23	)		(0.23	)		(0.16	)		(0.13	)
From net realized gain		—			(0.07	)		(0.12	)		(0.08	)		(0.04	)		—
From return of capital		—			(0.00	)⁴		—			—			—			(0.01	)

Total distributions		(0.12	)		(0.31	)		(0.35	)		(0.31	)		(0.20	)		(0.14	)

Net asset value, end of period	$	11.72		$	11.39		$	11.75		$	11.37		$	10.30		$	9.35


Total Return⁵
Based on net asset value		4.00%	⁶		(0.45)%			6.47%			13.48%			12.34%			(5.10)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.13%	¹⁰		0.14%			0.18%			0.23%			0.37%			6.87%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.08%	¹⁰		0.09%			0.11%			0.14%			0.16%			0.18%	¹⁰

Net investment income^8,9		2.41%	¹⁰		2.06%			2.08%			2.16%			2.26%			2.58%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	838,727		$	597,527		$	374,396		$	208,280		$	113,655		$	1,823

Portfolio turnover rate of the LifePath Index Master Portfolio		5%	¹²		12%	¹²		15%	¹²		13%	¹²		0%	^13,14		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.01%, 0.02%, 0.02%, 0.07 %, and 3.53% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,								Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012

Investments in underlying funds		0.06%		0.05%		0.05%		0.04%		0.03%		0.06%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 6.89%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 14% and 8% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%.


Financial Highlights		BlackRock LifePath Index 2030 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.45		$	11.86		$	11.49		$	10.26		$	9.24		$	10.00

Net investment income²		0.14			0.25			0.25			0.25			0.23			0.13
Net realized and unrealized gain (loss)		0.29			(0.31	)		0.51			1.31			1.00			(0.76	)

Net increase (decrease) from investment operations		0.43			(0.06	)		0.76			1.56			1.23			(0.63	)

Distributions:³
From net investment income		(0.13	)		(0.25	)		(0.24	)		(0.24	)		(0.17	)		(0.12	)
From net realized gain		(0.00	)⁴		(0.10	)		(0.15	)		(0.09	)		(0.04	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.13	)		(0.35	)		(0.39	)		(0.33	)		(0.21	)		(0.13	)

Net asset value, end of period	$	11.75		$	11.45		$	11.86		$	11.49		$	10.26		$	9.24


Total Return⁵
Based on net asset value		3.78%	⁶		(0.55)%			6.58%			15.34%			13.38%			(6.30)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.18%	¹⁰		0.20%			0.22%			0.27%			0.41%			7.04%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.13%	¹⁰		0.14%			0.16%			0.19%			0.18%			0.22%	¹⁰

Net investment income^8,9		2.49%	¹⁰		2.08%			2.10%			2.30%			2.27%			2.47%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	98,818		$	88,246		$	73,640		$	32,538		$	16,158		$	23

Portfolio turnover rate of the LifePath Index Master Portfolio		6%	¹²		12%	¹²		20%	¹²		12%	¹²		2%	¹³		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.01%, 0.02%, 0.01%, 0.07% and 3.57% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.06%

0.05%

0.04%

0.06%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses for Institutional Shares would have been 7.06%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 18% and 6% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%


Financial Highlights (continued)		BlackRock LifePath Index 2030 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.45		$	11.85		$	11.49		$	10.26		$	9.24		$	10.00

Net investment income²		0.12			0.22			0.22			0.23			0.20			0.12
Net realized and unrealized gain (loss)		0.29			(0.30	)		0.50			1.30			1.01			(0.77	)

Net increase (decrease) from investment operations		0.41			(0.08	)		0.72			1.53			1.21			(0.65	)

Distributions:³
From net investment income		(0.12	)		(0.22	)		(0.21	)		(0.21	)		(0.15	)		(0.10	)
From net realized gain		(0.00	)⁴		(0.10	)		(0.15	)		(0.09	)		(0.04	)		—
From tax return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.12	)		(0.32	)		(0.36	)		(0.30	)		(0.19	)		(0.11	)

Net asset value, end of period	$	11.74		$	11.45		$	11.85		$	11.49		$	10.26		$	9.24


Total Return⁵
Based on net asset value		3.65%	⁶		(0.80)%			6.26%			15.09%			13.11%			(6.44)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.44%	¹⁰		0.45%			0.47%			0.52%			0.72%			7.29%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.38%	¹⁰		0.39%			0.41%			0.45%			0.44%			0.47%	¹⁰

Net investment income^8,9		2.19%	¹⁰		1.84%			1.84%			2.10%			1.99%			2.22%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	114,593		$	117,745		$	111,333		$	62,487		$	13,908		$	23

Portfolio turnover rate of the LifePath Index Master Portfolio		6%	¹²		12%	¹²		20%	¹²		12%	¹²		2%	¹³		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

⁹

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.06%

0.05%

0.04%

0.06%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses for Investor A would have been 7.32%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 18% and 6% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%


Financial Highlights (concluded)		BlackRock LifePath Index 2030 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.44		$	11.85		$	11.48		$	10.25		$	9.24		$	10.00

Net investment income²		0.14			0.26			0.25			0.26			0.24			0.14
Net realized and unrealized gain (loss)		0.28			(0.32	)		0.51			1.30			0.98			(0.77	)

Net increase (decrease) from investment operations		0.42			(0.06	)		0.76			1.56			1.22			(0.63	)

Distributions:³
From net investment income		(0.13	)		(0.25	)		(0.24	)		(0.24	)		(0.17	)		(0.12	)
From net realized gain		(0.00	)⁴		(0.10	)		(0.15	)		(0.09	)		(0.04	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.13	)		(0.35	)		(0.39	)		(0.33	)		(0.21	)		(0.13	)

Net asset value, end of period	$	11.73		$	11.44		$	11.85		$	11.48		$	10.25		$	9.24


Total Return⁵
Based on net asset value		3.72%	⁶		(0.50)%			6.64%			15.40%			13.28%			(6.28)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.13%	¹⁰		0.14%			0.17%			0.22%			0.31%			6.94%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.08%	¹⁰		0.09%			0.11%			0.15%			0.17%			0.19%	¹⁰

Net investment income^8,9		2.56%	¹⁰		2.15%			2.14%			2.32%			2.37%			2.50%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	1,120,950		$	870,661		$	633,093		$	433,320		$	175,849		$	1,802

Portfolio turnover rate of the LifePath Index Master Portfolio		6%	¹²		12%	¹²		20%	¹²		12%	¹²		2%	¹³		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.01%, 0.02%, 0.01%, 0.09% and 3.57% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.06%

0.05%

0.04%

0.06%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses for Class K would have been 6.96%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 18% and 6% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%


Financial Highlights		BlackRock LifePath Index 2035 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012

Per Share Operating Performance
Net asset value, beginning of period	$	11.58		$	11.98		$	11.57		$	10.21		$	9.14		$	10.00

Net investment income²		0.15			0.26			0.26			0.29			0.25			0.13
Net realized and unrealized gain (loss)		0.26			(0.32	)		0.51			1.43			1.04			(0.87	)

Net increase (decrease) from investment operations		0.41			(0.06	)		0.77			1.72			1.29			(0.74	)

Distributions:³
From net investment income		(0.13	)		(0.26	)		(0.24	)		(0.25	)		(0.17	)		(0.11	)
From net realized gain		—			(0.08	)		(0.12	)		(0.11	)		(0.05	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.13	)		(0.34	)		(0.36	)		(0.36	)		(0.22	)		(0.12	)

Net asset value, end of period	$	11.86		$	11.58		$	11.98		$	11.57		$	10.21		$	9.14


Total Return⁴
Based on net asset value		3.59%	⁵		(0.53)%			6.68%			16.98%			14.16%			(7.37)%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8		0.17%	⁹		0.20%			0.24%			0.28%			0.86%			7.12%	^9,10

Total expenses after fees waived and/or reimbursed^7,8		0.12%	⁹		0.13%			0.15%			0.18%			0.20%			0.23%	⁹

Net investment income^7,8		2.60%	⁹		2.19%			2.18%			2.59%			2.52%			2.40%	⁹


Supplemental Data
Net assets, end of period (000)	$	65,225		$	57,253		$	37,073		$	10,605		$	1,835		$	23

Portfolio turnover rate of the LifePath Index Master Portfolio		4%	¹¹		10%	¹¹		25%	¹¹		12%	¹¹		1%	¹²		0%	^12,13

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.02%, 0.03%, 0.21%, and 3.61% for the six months ended June 30, 2016, the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of LifePath Index Master Portfolio’s investments in underlying funds as follows:

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.08%

0.07%

0.06%

0.05%

0.04%

0.06%

⁹

Annualized.

¹⁰

Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 7.15%.

¹¹

¹²

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 24% and 7% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³

Rounds to less than 1%.


Financial Highlights (continued)		BlackRock LifePath Index 2035 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012

Per Share Operating Performance
Net asset value, beginning of period	$	11.56		$	11.96		$	11.56		$	10.20		$	9.14		$	10.00

Net investment income²		0.13			0.23			0.23			0.25			0.26			0.12
Net realized and unrealized gain (loss)		0.26			(0.32	)		0.51			1.45			1.00			(0.87	)

Net increase (decrease) from investment operations		0.39			(0.09	)		0.74			1.70			1.26			(0.75	)

Distributions:³
From net investment income		(0.12	)		(0.23	)		(0.22	)		(0.23	)		(0.15	)		(0.10	)
From net realized gain		—			(0.08	)		(0.12	)		(0.11	)		(0.05	)		—
From tax return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.12	)		(0.31	)		(0.34	)		(0.34	)		(0.20	)		(0.11	)

Net asset value, end of period	$	11.83		$	11.56		$	11.96		$	11.56		$	10.20		$	9.14


Total Return⁴
Based on net asset value		3.39%	⁵		(0.78)%			6.37%			16.74%			13.83%			(7.52)%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8		0.42%	⁹		0.45%			0.48%			0.54%			0.89%			7.47%	^9,10

Total expenses after fees waived and/or reimbursed^7,8		0.37%	⁹		0.38%			0.41%			0.44%			0.45%			0.48%	⁹

Net investment income^7,8		2.36%	⁹		1.95%			1.91%			2.29%			2.59%			2.14%	⁹


Supplemental Data
Net assets, end of period (000)	$	109,357		$	94,830		$	83,587		$	38,107		$	3,798		$	23

Portfolio turnover rate of the LifePath Index Master Portfolio		4%	¹¹		10%	¹¹		25%	¹¹		12%	¹¹		1%	¹²		0%	^12,13

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.02%, 0.03%, 0.09%, and 3.61% for the six months ended June 30, 2016, the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period

May 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.08%

0.07%

0.06%

0.05%

0.04%

0.06%

⁹

Annualized.

¹⁰

Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 7.50%.

¹¹

¹²

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 24% and 7% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³

Rounds to less than 1%.


Financial Highlights (concluded)		BlackRock LifePath Index 2035 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.57		$	11.98		$	11.56		$	10.20		$	9.14		$	10.00

Net investment income²		0.15			0.27			0.26			0.27			0.24			0.13
Net realized and unrealized gain (loss)		0.27			(0.33	)		0.53			1.45			1.04			(0.87	)

Net increase (decrease) from investment operations		0.42			(0.06	)		0.79			1.72			1.28			(0.74	)

Distributions:³
From net investment income		(0.14	)		(0.27	)		(0.25	)		(0.25	)		(0.17	)		(0.11	)
From net realized gain		—			(0.08	)		(0.12	)		(0.11	)		(0.05	)		—
From tax return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.14	)		(0.35	)		(0.37	)		(0.36	)		(0.22	)		(0.12	)

Net asset value, end of period	$	11.85		$	11.57		$	11.98		$	11.56		$	10.20		$	9.14


Total Return⁴
Based on net asset value		3.62%	⁵		(0.56)%			6.82%			17.02%			14.07%			(7.35)%	⁵


Ratio to Average Net Assets⁶
Total expenses^7,8		0.12%	⁹		0.14%			0.19%			0.25%			0.48%			7.02%	^9,10

Total expenses after fees waived and/or reimbursed^7,8		0.07%	⁹		0.08%			0.11%			0.15%			0.17%			0.19%	⁹

Net investment income^7,8		2.69%	⁹		2.26%			2.22%			2.44%			2.43%			2.43%	⁹


Supplemental Data
Net assets, end of period (000)	$	644,027		$	457,472		$	289,331		$	158,455		$	76,095		$	1,782

Portfolio turnover rate of the LifePath Index Master Portfolio		4%	¹¹		10%	¹¹		25%	¹¹		12%	¹¹		1%	¹²		0%	^12,13

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.02%, 0.03%, 0.10%, and 3.61% for the six months ended June 30, 2016, the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.08%

0.07%

0.06%

0.05%

0.04%

0.06%

⁹

Annualized.

¹⁰

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.05%.

¹¹

¹²

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 24% and 7% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³

Rounds to less than 1%.


Financial Highlights		BlackRock LifePath Index 2040 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.65		$	12.11		$	11.69		$	10.18		$	9.04		$	10.00

Net investment income²		0.16			0.28			0.27			0.28			0.23			0.13
Net realized and unrealized gain (loss)		0.23			(0.36	)		0.54			1.60			1.12			(0.98	)

Net increase (decrease) from investment operations		0.39			(0.08	)		0.81			1.88			1.35			(0.85	)

Distributions:³
From net investment income		(0.14	)		(0.27	)		(0.26	)		(0.26	)		(0.18	)		(0.10	)
From net realized gain		—			(0.11	)		(0.13	)		(0.11	)		(0.03	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.14	)		(0.38	)		(0.39	)		(0.37	)		(0.21	)		(0.11	)

Net asset value, end of period	$	11.90		$	11.65		$	12.11		$	11.69		$	10.18		$	9.04


Total Return⁴
Based on net asset value		3.39%	⁵		(0.69)%			6.94%			18.61%			15.01%			(8.44)%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8		0.17%	⁹		0.20%			0.23%			0.29%			0.53%			7.17%	^9,10

Total expenses after fees waived and/or reimbursed^7,8		0.12%	⁹		0.13%			0.16%			0.20%			0.19%			0.23%	⁹

Net investment income^7,8		2.72%	⁹		2.26%			2.23%			2.55%			2.36%			2.34%	⁹


Supplemental Data
Net assets, end of period (000)	$	74,381		$	66,512		$	50,054		$	19,346		$	9,554		$	23

Portfolio turnover rate of the LifePath Index Master Portfolio		5%	¹¹		11%	¹¹		29%	¹¹		12%	¹¹		3%	¹²		0%	^12,13

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.02%, 0.02%, 0.11% and 3.65% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.08%

0.07%

0.06%

0.05%

0.04%

0.07%

⁹

Annualized.

¹⁰

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.19%.

¹¹

¹²

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 21% and 5% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³

Rounds to less than 1%.


Financial Highlights (continued)		BlackRock LifePath Index 2040 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.64		$	12.09		$	11.68		$	10.17		$	9.04		$	10.00

Net investment income²		0.14			0.25			0.24			0.27			0.21			0.11
Net realized and unrealized gain (loss)		0.23			(0.35	)		0.53			1.58			1.11			(0.97	)

Net increase (decrease) from investment operations		0.37			(0.10	)		0.77			1.85			1.32			(0.86	)

Distributions:³
From net investment income		(0.13	)		(0.24	)		(0.23	)		(0.23	)		(0.16	)		(0.09	)
From net realized gain		—			(0.11	)		(0.13	)		(0.11	)		(0.03	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.13	)		(0.35	)		(0.36	)		(0.34	)		(0.19	)		(0.10	)

Net asset value, end of period	$	11.88		$	11.64		$	12.09		$	11.68		$	10.17		$	9.04


Total Return⁴
Based on net asset value		3.28%	⁵		(0.94)%			6.62%			18.38%			14.63%			(8.58)%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8		0.44%	⁹		0.45%			0.48%			0.53%			0.85%			7.42%	^9,10

Total expenses after fees waived and/or reimbursed^7,8		0.37%	⁹		0.38%			0.41%			0.45%			0.45%			0.48%	⁹

Net investment income^7,8		2.43%	⁹		2.02%			1.98%			2.39%			2.13%			2.08%	⁹


Supplemental Data
Net assets, end of period (000)	$	71,383		$	69,660		$	58,952		$	31,753		$	7,563		$	23

Portfolio turnover rate of the LifePath Index Master Portfolio		5%	¹¹		11%	¹¹		29%	¹¹		12%	¹¹		3%	¹²		0%	^12,13

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.02%, 0.02%, 0.14% and 3.65% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.08%

0.07%

0.06%

0.05%

0.04%

0.07%

⁹

Annualized.

¹⁰

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.45%.

¹¹

¹²

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 21% and 5% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³

Rounds to less than 1%.


Financial Highlights (concluded)		BlackRock LifePath Index 2040 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.65		$	12.10		$	11.69		$	10.18		$	9.04		$	10.00

Net investment income²		0.16			0.28			0.27			0.29			0.25			0.13
Net realized and unrealized gain (loss)		0.24			(0.34	)		0.53			1.59			1.10			(0.97	)

Net increase (decrease) from investment operations		0.40			(0.06	)		0.80			1.88			1.35			(0.84	)

Distributions from:³
From net investment income		(0.15	)		(0.28	)		(0.26	)		(0.26	)		(0.18	)		(0.11	)
From net realized gain		—			(0.11	)		(0.13	)		(0.11	)		(0.03	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.15	)		(0.39	)		(0.39	)		(0.37	)		(0.21	)		(0.12	)

Net asset value, end of period	$	11.90		$	11.65		$	12.10		$	11.69		$	10.18		$	9.04


Total Return⁴
Based on net asset value		3.41%	⁵		(0.56)%			6.90%			18.66%			15.03%			(8.42)%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8		0.12%	⁹		0.14%			0.18%			0.24%			0.39%			7.06%	^9,10

Total expenses after fees waived and/or reimbursed^7,8		0.07%	⁹		0.08%			0.11%			0.15%			0.18%			0.20%	⁹

Net investment income^7,8		2.79%	⁹		2.33%			2.27%			2.58%			2.52%			2.36%	⁹


Supplemental Data
Net assets, end of period (000)	$	766,817		$	615,122		$	437,342		$	275,471		$	90,476		$	1,763

Portfolio turnover rate of the LifePath Index Master Portfolio		5%	¹¹		11%	¹¹		29%	¹¹		12%	¹¹		3%	¹²		0%	^12,13

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.02%, 0.02%, 0.02%, 0.14 %, and 3.65 % for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,								Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012

Investments in underlying funds		0.08%		0.07%		0.06%		0.05%		0.04%		0.07%

⁹

Annualized.

¹⁰

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.09%.

¹¹

¹²

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 21% and 5% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³

Rounds to less than 1%.


Financial Highlights		BlackRock LifePath Index 2045 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.80		$	12.25		$	11.78		$	10.13		$	8.94		$	10.00

Net investment income²		0.16			0.29			0.29			0.34			0.26			0.12
Net realized and unrealized gain (loss)		0.23			(0.37	)		0.54			1.69			1.13			(1.07	)

Net increase (decrease) from investment operations		0.39			(0.08	)		0.83			2.03			1.39			(0.95	)

Distributions:³
From net investment income		(0.15	)		(0.28	)		(0.26	)		(0.27	)		(0.18	)		(0.10	)
From net realized gain		(0.00	)⁴		(0.09	)		(0.10	)		(0.11	)		(0.02	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.15	)		(0.37	)		(0.36	)		(0.38	)		(0.20	)		(0.11	)

Net asset value, end of period	$	12.04		$	11.80		$	12.25		$	11.78		$	10.13		$	8.94


Total Return⁵
Based on net asset value		3.29%	⁶		(0.70)%			7.07%			20.18%			15.58%			(9.51)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.17%	¹⁰		0.21%			0.26%			0.35%			1.35%			7.23%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.11%	¹⁰		0.12%			0.15%			0.20%			0.22%			0.24%	¹⁰

Net investment income^8,9		2.78%	¹⁰		2.32%			2.35%			3.01%			2.64%			2.26%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	50,368		$	45,228		$	27,964		$	4,117		$	532		$	22

Portfolio turnover rate of the LifePath Index Master Portfolio		3%	¹²		10%	¹²		30%	¹²		12%	¹²		2%	¹³		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.04%, 0.03%, 0.03%, 0.05%, 0.36%, and 3.69% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,								Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012

Investments in underlying funds		0.09%		0.08%		0.07%		0.05%		0.04%		0.07%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.25%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 22% and 6% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%.


Financial Highlights (continued)		BlackRock LifePath Index 2045 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.78		$	12.23		$	11.77		$	10.12		$	8.94		$	10.00

Net investment income²		0.15			0.26			0.25			0.29			0.27			0.11
Net realized and unrealized gain (loss)		0.22			(0.37	)		0.54			1.72			1.09			(1.08	)

Net increase (decrease) from investment operations		0.37			(0.11	)		0.79			2.01			1.36			(0.97	)

Distributions:³
From net investment income		(0.13	)		(0.25	)		(0.23	)		(0.25	)		(0.16	)		(0.08	)
From net realized gain		(0.00	)⁴		(0.09	)		(0.10	)		(0.11	)		(0.02	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.13	)		(0.34	)		(0.33	)		(0.36	)		(0.18	)		(0.09	)

Net asset value, end of period	$	12.02		$	11.78		$	12.23		$	11.77		$	10.12		$	8.94


Total Return⁵
Based on net asset value		3.18%	⁶		(0.94)%			6.74%			19.96%			15.27%			(9.64)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.42%	¹⁰		0.46%			0.51%			0.58%			1.39%			7.48%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.36%	¹⁰		0.37%			0.40%			0.44%			0.46%			0.49%	¹⁰

Net investment income^8,9		2.54%	¹⁰		2.09%			2.04%			2.61%			2.75%			2.00%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	51,571		$	43,155		$	33,859		$	16,428		$	887		$	22

Portfolio turnover rate of the LifePath Index Master Portfolio		3%	¹²		10%	¹²		30%	¹²		12%	¹²		2%	¹³		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.04%, 0.03%, 0.03%, 0.06%, 0.25%, and 3.69% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹
to December 31,

2011

2015

2014

2013

2012

Investments in underlying funds

0.09%

0.08%

0.07%

0.05%

0.04%

0.07%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.50%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 22% and 6% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%.


Financial Highlights (concluded)		BlackRock LifePath Index 2045 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.81		$	12.26		$	11.79		$	10.13		$	8.94		$	10.00

Net investment income²		0.17			0.29			0.28			0.30			0.26			0.12
Net realized and unrealized gain (loss)		0.22			(0.37	)		0.55			1.74			1.13			(1.07	)

Net increase (decrease) from investment operations		0.39			(0.08	)		0.83			2.04			1.39			(0.95	)

Distributions:³
From net investment income		(0.15	)		(0.28	)		(0.26	)		(0.27	)		(0.18	)		(0.10	)
From net realized gain		(0.00	)⁴		(0.09	)		(0.10	)		(0.11	)		(0.02	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.15	)		(0.37	)		(0.36	)		(0.38	)		(0.20	)		(0.11	)

Net asset value, end of period	$	12.05		$	11.81		$	12.26		$	11.79		$	10.13		$	8.94


Total Return⁵
Based on net asset value		3.31%	⁶		(0.64)%			7.10%			20.32%			15.61%			(9.49)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.13%	¹⁰		0.15%			0.22%			0.31%			0.89%			7.12%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.06%	¹⁰		0.07%			0.10%			0.15%			0.18%			0.21%	¹⁰

Net investment income^8,9		2.88%	¹⁰		2.39%			2.33%			2.73%			2.60%			2.29%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	350,520		$	252,843		$	164,934		$	84,015		$	31,724		$	1,744

Portfolio turnover rate of the LifePath Index Master Portfolio		3%	¹²		10%	¹²		30%	¹²		12%	¹²		2%	¹³		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.04%, 0.03%, 0.03%, 0.06%, 0.24%, and 3.69% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.09%

0.08%

0.07%

0.05%

0.04%

0.07%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.15%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 22% and 6% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%.


Financial Highlights		BlackRock LifePath Index 2050 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.95		$	12.41		$	11.91		$	10.11		$	8.86		$	10.00

Net investment income²		0.16			0.29			0.29			0.34			0.24			0.12
Net realized and unrealized gain (loss)		0.23			(0.38	)		0.57			1.82			1.21			(1.16	)

Net increase (decrease) from investment operations		0.39			(0.09	)		0.86			2.16			1.45			(1.04	)

Distributions:³
From net investment income		(0.15	)		(0.28	)		(0.26	)		(0.27	)		(0.19	)		(0.09	)
From net realized gain		(0.00	)⁴		(0.09	)		(0.10	)		(0.09	)		(0.01	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.15	)		(0.37	)		(0.36	)		(0.36	)		(0.20	)		(0.10	)

Net asset value, end of period	$	12.19		$	11.95		$	12.41		$	11.91		$	10.11		$	8.86


Total Return⁵
Based on net asset value		3.29%	⁶		(0.72)%			7.23%			21.56%			16.35%			(10.36)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.19%	¹⁰		0.22%			0.27%			0.34%			1.55%			7.27%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.11%	¹⁰		0.12%			0.15%			0.20%			0.21%			0.24%	¹⁰

Net investment income^8,9		2.80%	¹⁰		2.32%			2.33%			3.03%			2.44%			2.22%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	43,271		$	38,476		$	24,618		$	7,679		$	1,573		$	22

Portfolio turnover rate of the LifePath Index Master Portfolio		2%	¹²		14%	¹²		22%	¹²		12%	¹²		3%	¹³		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.04%, 0.03%, 0.03%, 0.06%, 0.47%, and 3.71% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹

Six Months Ended
June 30,
2016
(Unaudited)

Year Ended December 31,

Period
May 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Investments in underlying funds

0.09%

0.08%

0.06%

0.05%

0.07%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.30%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 26% and 5% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%.


Financial Highlights (continued)		BlackRock LifePath Index 2050 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
				2015			2014			2013			2012
				2015			2014			2013			2012

Per Share Operating Performance
Net asset value, beginning of period	$	11.93		$	12.39		$	11.89		$	10.10		$	8.86		$	10.00

Net investment income²		0.15			0.26			0.26			0.32			0.28			0.10
Net realized and unrealized gain (loss)		0.23			(0.38	)		0.57			1.81			1.14			(1.15	)

Net increase (decrease) from investment operations		0.38			(0.12	)		0.83			2.13			1.42			(1.05	)

Distributions:³
From net investment income		(0.14	)		(0.25	)		(0.23	)		(0.25	)		(0.17	)		(0.08	)
From net realized gain		(0.00	)⁴		(0.09	)		(0.10	)		(0.09	)		(0.01	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.14	)		(0.34	)		(0.33	)		(0.34	)		(0.18	)		(0.09	)

Net asset value, end of period	$	12.17		$	11.93		$	12.39		$	11.89		$	10.10		$	8.86


Total Return⁵
Based on net asset value		3.18%	⁶		(0.96)%			7.01%			21.25%			16.00%			(10.49)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.45%	¹⁰		0.46%			0.52%			0.59%			1.33%			7.69%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.36%	¹⁰		0.37%			0.40%			0.45%			0.47%			0.49%	¹⁰

Net investment income^8,9		2.56%	¹⁰		2.09%			2.08%			2.85%			2.86%			1.97%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	32,287		$	27,413		$	22,053		$	12,103		$	1,090		$	25

Portfolio turnover rate of the LifePath Index Master Portfolio		2%	¹²		14%	¹²		22%	¹²		12%	¹²		3%	¹³		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.04%, 0.03%, 0.03%, 0.06%, 0.22%, and 3.71% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,								Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012

Investments in underlying funds		0.09%		0.09%		0.08%		0.06%		0.05%		0.07%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.71%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 26% and 5% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%.


Financial Highlights (concluded)		BlackRock LifePath Index 2050 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	11.95		$	12.41		$	11.91		$	10.11		$	8.86		$	10.00

Net investment income²		0.17			0.30			0.29			0.32			0.26			0.12
Net realized and unrealized gain (loss)		0.22			(0.38	)		0.58			1.85			1.19			(1.16	)

Net increase (decrease) from investment operations		0.39			(0.08	)		0.87			2.17			1.45			(1.04	)

Distributions:³
From net investment income		(0.15	)		(0.29	)		(0.27	)		(0.28	)		(0.19	)		(0.09	)
From net realized gain		(0.00	)⁴		(0.09	)		(0.10	)		(0.09	)		(0.01	)		—
From return of capital		—			—			—			—			—			(0.01	)

Total distributions		(0.15	)		(0.38	)		(0.37	)		(0.37	)		(0.20	)		(0.10	)

Net asset value, end of period	$	12.19		$	11.95		$	12.41		$	11.91		$	10.11		$	8.86


Total Return⁵
Based on net asset value		3.31%	⁶		(0.67)%			7.28%			21.61%			16.37%			(10.34)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.14%	¹⁰		0.16%			0.23%			0.33%			0.99%			7.17%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.06%	¹⁰		0.07%			0.10%			0.15%			0.19%			0.21%	¹⁰

Net investment income^8,9		2.88%	¹⁰		2.39%			2.37%			2.88%			2.67%			2.25%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	351,682		$	271,178		$	186,198		$	83,933		$	23,342		$	1,727

Portfolio turnover rate of the LifePath Index Master Portfolio		2%	¹²		14%	¹²		22%	¹²		12%	¹²		3%	¹³		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.04%, 0.03%, 0.03%, 0.06%, 0.27%, and 3.71% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,								Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012

Investments in underlying funds		0.09%		0.09%		0.08%		0.06%		0.05%		0.07%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.19%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 26% and 5% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%.


Financial Highlights		BlackRock LifePath Index 2055 Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.17		$	12.60		$	12.05		$	10.05		$	8.80		$	10.00

Net investment income²		0.17			0.30			0.31			0.37			0.24			0.12
Net realized and unrealized gain (loss)		0.23			(0.38	)		0.58			1.91			1.23			(1.22	)

Net increase (decrease) from investment operations		0.40			(0.08	)		0.89			2.28			1.47			(1.10	)

Distributions:³
From net investment income		(0.15	)		(0.28	)		(0.27	)		(0.28	)		(0.22	)		(0.09	)
From net realized gain		(0.00	)⁴		(0.07	)		(0.07	)		—			—			—
From return of capital		—			—			—			—			(0.00	)⁴		(0.01	)

Total distributions		(0.15	)		(0.35	)		(0.34	)		(0.28	)		(0.22	)		(0.10	)

Net asset value, end of period	$	12.42		$	12.17		$	12.60		$	12.05		$	10.05		$	8.80


Total Return⁵
Based on net asset value		3.34%	⁶		(0.64)%			7.46%			22.91%			16.78%			(10.98)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.23%	¹⁰		0.30%			0.43%			0.75%			4.43%			7.32%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.10%	¹⁰		0.11%			0.13%			0.20%			0.24%			0.24%	¹⁰

Net investment income^8,9		2.92%	¹⁰		2.39%			2.50%			3.25%			2.46%			2.21%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	25,983		$	19,214		$	7,874		$	896		$	25		$	22

Portfolio turnover rate of the LifePath Index Master Portfolio		5%	¹²		17%	¹²		22%	¹²		15%	¹²		8%	¹³		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.07%, 0.05%, 0.10%, 0.26%, 1.36%, and 3.73% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,								Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012

Investments in underlying funds		0.10%		0.09%		0.09%		0.06%		0.05%		0.08%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.34%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 53% and 13% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%.


Financial Highlights (continued)		BlackRock LifePath Index 2055 Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.15		$	12.58		$	12.04		$	10.05		$	8.80		$	10.00

Net investment income²		0.16			0.27			0.27			0.33			0.25			0.10
Net realized and unrealized gain (loss)		0.23			(0.38	)		0.58			1.92			1.20			(1.21	)

Net increase (decrease) from investment operations		0.39			(0.11	)		0.85			2.25			1.45			(1.11	)

Distributions:³
From net investment income		(0.14	)		(0.25	)		(0.24	)		(0.26	)		(0.20	)		(0.08	)
From net realized gain		(0.00	)⁴		(0.07	)		(0.07	)		—			—			—
From return of capital		—			—			—			—			(0.00	)⁴		(0.01	)

Total distributions		(0.14	)		(0.32	)		(0.31	)		(0.26	)		(0.20	)		(0.09	)

Net asset value, end of period	$	12.40		$	12.15		$	12.58		$	12.04		$	10.05		$	8.80


Total Return⁵
Based on net asset value		3.24%	⁶		(0.88)%			7.13%			22.55%			16.55%			(11.11)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.47%	¹⁰		0.53%			0.69%			0.91%			3.98%			7.57%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.35%	¹⁰		0.36%			0.40%			0.44%			0.49%			0.49%	¹⁰

Net investment income^8,9		2.66%	¹⁰		2.13%			2.14%			2.87%			2.60%			1.95%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	19,791		$	13,140		$	8,945		$	4,696		$	129		$	22

Portfolio turnover rate of the LifePath Index Master Portfolio		5%	¹²		17%	¹²		22%	¹²		15%	¹²		8%	¹³		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.07%, 0.05%, 0.10%, 0.27%, 1.05%, and 3.74% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,								Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012

Investments in underlying funds		0.10%		0.09%		0.09%		0.06%		0.05%		0.08%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.59%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 53% and 13% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%.


Financial Highlights (concluded)		BlackRock LifePath Index 2055 Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.17		$	12.60		$	12.05		$	10.05		$	8.80		$	10.00

Net investment income²		0.18			0.31			0.30			0.34			0.26			0.12
Net realized and unrealized gain (loss)		0.23			(0.38	)		0.60			1.95			1.21			(1.22	)

Net increase (decrease) from investment operations		0.41			(0.07	)		0.90			2.29			1.47			(1.10	)

Distributions:³
From net investment income		(0.16	)		(0.29	)		(0.28	)		(0.29	)		(0.22	)		(0.09	)
From net realized gain		(0.00	)⁴		(0.07	)		(0.07	)		—			—			—
From return of capital		—			—			—			—			(0.00	)⁴		(0.01	)

Total distributions		(0.16	)		(0.36	)		(0.35	)		(0.29	)		(0.22	)		(0.10	)

Net asset value, end of period	$	12.42		$	12.17		$	12.60		$	12.05		$	10.05		$	8.80


Total Return⁵
Based on net asset value		3.36%	⁶		(0.60)%			7.50%			22.95%			16.83%			(10.96)%	⁶


Ratios to Average Net Assets⁷
Total expenses^8,9		0.19%	¹⁰		0.24%			0.42%			0.70%			3.71%			7.21%	^10,11

Total expenses after fees waived and/or reimbursed^8,9		0.05%	¹⁰		0.06%			0.10%			0.15%			0.19%			0.21%	¹⁰

Net investment income^8,9		3.00%	¹⁰		2.43%			2.44%			3.05%			2.71%			2.24%	¹⁰


Supplemental Data
Net assets, end of period (000)	$	114,129		$	74,656		$	45,039		$	18,345		$	4,706		$	1,716

Portfolio turnover rate of the LifePath Index Master Portfolio		5%	¹²		17%	¹²		22%	¹²		15%	¹²		8%	¹³		0%	^13,14

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.07%, 0.05%, 0.10%, 0.28%, 0.18% and 3.74% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,								Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012

Investments in underlying funds		0.10%		0.09%		0.09%		0.06%		0.05%		0.08%

¹⁰

Annualized.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.22%.

¹²

¹³

Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 53% and 13% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴

Rounds to less than 1%.


Financial Highlights		BlackRock LifePath Index 2060 Fund


	Institutional
	Period February 29, 2016¹ to June 30, 2016 (Unaudited)

Per Share Operating Performance
Net asset value, beginning of period	$	10.00

Net investment income²		0.12
Net realized and unrealized gain		0.89

Net increase from investment operations		1.01

Distributions from net investment income³		(0.10	)

Net asset value, end of period	$	10.91


Total Return⁴
Based on net asset value		10.07%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8,9		10.51%	¹⁰

Total expenses after fees waived/or reimbursed^7,8,9		0.09%

Net investment income^7,8,9		3.31%


Supplemental Data
Net assets, end of period (000)	$	55

Portfolio turnover rate of the LifePath Index Master Portfolio		86%	¹¹

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 3.08% for period ended June 30, 2016.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:


	Period February 29, 2016¹ to June 30, 2016 (Unaudited)
	Period February 29, 2016¹ to June 30, 2016 (Unaudited)

Investments in underlying funds		0.12%

⁹

Annualized.

¹⁰

Audit, Offering and Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 27.14%.

¹¹

Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series and U.S. Total Bond Index Master Portfolio.


Financial Highlights (continued)		BlackRock LifePath Index 2060 Fund


	Investor A
	Period February 29, 2016¹ to June 30, 2016 (Unaudited)

Per Share Operating Performance
Net asset value, beginning of period	$	10.00

Net investment income²		0.13
Net realized and unrealized gain		0.86

Net increase from investment operations		0.99

Distributions from net investment income³		(0.09	)

Net asset value, end of period	$	10.90


Total Return⁴
Based on net asset value		9.90%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8,9		10.49%	¹⁰

Total expenses after fees waived/or reimbursed^7,8,9		0.36%

Net investment income^7,8,9		3.58%


Supplemental Data
Net assets, end of period (000)	$	77

Portfolio turnover rate of the LifePath Index Master Portfolio		86%	¹¹

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 3.05% for period ended June 30, 2016.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:


	Period February 29, 2016¹ to June 30, 2016 (Unaudited)
	Period February 29, 2016¹ to June 30, 2016 (Unaudited)

Investments in underlying funds		0.12%

⁹

Annualized.

¹⁰

Audit, Offering and Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 26.62%.

¹¹


Financial Highlights (concluded)		BlackRock LifePath Index 2060 Fund


	Class K
	Period February 29, 2016¹ to June 30, 2016 (Unaudited)

Per Share Operating Performance
Net asset value, beginning of period	$	10.00

Net investment income²		0.14
Net realized and unrealized gain		0.87

Net increase from investment operations		1.01

Distributions from net investment income³		(0.10	)

Net asset value, end of period	$	10.91


Total Return⁴
Based on net asset value		10.09%	⁵


Ratios to Average Net Assets⁶
Total expenses^7,8,9		10.34%	¹⁰

Total expenses after fees waived/or reimbursed^7,8,9		0.04%

Net investment income^7,8,9		3.87%


Supplemental Data
Net assets, end of period (000)	$	1,555

Portfolio turnover rate of the LifePath Index Master Portfolio		86%	¹¹

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 3.07% for period ended June 30, 2016.

⁸

Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:


	Period February 29, 2016¹ to June 30, 2016 (Unaudited)
	Period February 29, 2016¹ to June 30, 2016 (Unaudited)

Investments in underlying funds		0.12%

⁹

Annualized.

¹⁰

Audit, Offering and Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 26.72%.

¹¹


Notes to Financial Statements (Unaudited)

1. Organization:

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


Fund Name	Herein Referred To As	Diversification Classification
BlackRock LifePath^® Index Retirement Fund	LifePath Index Retirement Fund		Diversified
BlackRock LifePath^® Index 2020 Fund	LifePath Index 2020 Fund		Diversified
BlackRock LifePath^® Index 2025 Fund	LifePath Index 2025 Fund		Diversified
BlackRock LifePath^® Index 2030 Fund	LifePath Index 2030 Fund		Diversified
BlackRock LifePath^® Index 2035 Fund	LifePath Index 2035 Fund		Diversified
BlackRock LifePath^® Index 2040 Fund	LifePath Index 2040 Fund		Diversified
BlackRock LifePath^® Index 2045 Fund	LifePath Index 2045 Fund		Diversified
BlackRock LifePath^® Index 2050 Fund	LifePath Index 2050 Fund		Diversified
BlackRock LifePath^® Index 2055 Fund	LifePath Index 2055 Fund		Diversified
BlackRock LifePath^® Index 2060 Fund	LifePath Index 2060 Fund		Diversified

Each LifePath Index Fund seeks to achieve its investment objective by investing all of its assets in a corresponding series of Master Investment Portfolio (“MIP”): LifePath^® Index Retirement Master Portfolio, LifePath^® Index 2020 Master Portfolio, LifePath^® Index 2025 Master Portfolio, LifePath^® Index 2030 Master Portfolio, LifePath^® Index 2035 Master Portfolio, LifePath^® Index 2040 Master Portfolio, LifePath^® Index 2045 Master Portfolio, LifePath^® Index 2050 Master Portfolio, LifePath^® Index 2055 Master Portfolio and LifePath^® Index 2060 Master Portfolio (each, a “LifePath Index Master Portfolio” and together, the “LifePath Index Master Portfolios”). MIP is an affiliate of the Trust. Each LifePath Index Master Portfolio has the same investment objective and strategies as its corresponding LifePath Index Fund. The value of each LifePath Index Fund’s investment in its corresponding LifePath Index Master Portfolio reflects the LifePath Index Fund’s proportionate interest in the net assets of the LifePath Master Portfolio. The performance of the LifePath Funds is directly affected by the performance of its corresponding LifePath Index Master Portfolio. At June 30, 2016, the percentage of the LifePath Index Master Portfolio owned by the corresponding LifePath Index Fund was 100.0%, except that 99.4% of LifePath^® Index 2060 Master Portfolio was owned by LifePath Index 2060 Fund. As such, the financial statements of the LifePath Index Master Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the LifePath Index Funds’ financial statements.

Each LifePath Index Fund offers multiple classes of shares. Institutional and Class K Shares are sold without a sales charge and only to certain eligible investors. Investor A Shares are sold without a sales charge and are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures. 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. The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees.”

Share Class

Initial Sales Charge

CDSC

Conversion Privilege

Institutional, Investor A and Class K

None

The LifePath Index Funds, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, are included in a complex of open-end funds referred to as the Equity-Liquidity Complex.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each LifePath Index 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from each LifePath Index Master Portfolio are accounted for on a trade date basis. Each LifePath Index Fund records its proportionate share of its LifePath Index 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, each LifePath Index 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 quarterly and paid quarterly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The portion of distributions, if any, that exceeds a LifePath Index Fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.



BLACKROCK FUNDS III	JUNE 30, 2016	61


Notes to Financial Statements (continued)

Organization and Offering Costs: Upon commencement of operations, organization costs associated with the establishment of the LifePath 2060 Index Fund were expensed by the LifePath Index Fund and reimbursed by the Manager. The Manager reimbursed the LifePath 2060 Index Fund $91,209, which is shown as expenses reimbursed by the Manager in the Statements of Operations. Offering costs are amortized over a 12-month period beginning with the commencement of operations.

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

Other: Expenses directly related to a LifePath Index Fund or its classes are charged to that LifePath Index Fund or the applicable class. 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. Expenses directly related to the LifePath Index Funds and other shared expenses prorated to the LifePath Index Funds are allocated daily to each class based on its relative net assets or other appropriate methods.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The LifePath Index Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the LifePath Index Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.

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

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Administration

The Trust, on behalf of the LifePath Index Funds, entered into an Administration Agreement with BlackRock Advisor, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the LifePath Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the LifePath Index Funds. BAL is entitled to receive for these administration services an annual fee of 0.03% based on the average daily net assets of each LifePath Index Fund.

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

Service and Distribution Fees

The Trust, on behalf of the LifePath Index Funds, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Administrator. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, each LifePath Index Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates of 0.25% based upon the average daily net assets of each LifePath Index Fund’s Investor A Shares.

BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the LifePath Index Funds. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to the shareholders.

For the six months ended June 30, 2016, the following table shows the class specific service and distribution fees borne directly by each share class of each LifePath Index Fund:


Service and Distribution Fees
	Investor A
LifePath Index Retirement Fund	$	75,597
LifePath Index 2020 Fund	$	131,050
LifePath Index 2025 Fund	$	134,496
LifePath Index 2030 Fund	$	144,560
LifePath Index 2035 Fund	$	123,397
LifePath Index 2040 Fund	$	85,897
LifePath Index 2045 Fund	$	57,466
LifePath Index 2050 Fund	$	34,822
LifePath Index 2055 Fund	$	19,908
LifePath Index 2060 Fund	$	48



62	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)

Transfer Agent

Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the LifePath Index Funds with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to sub-accounts they service. 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 June 30, 2016, the LifePath Index Funds paid the following amounts to affiliates of BlackRock in return for these services, which are included in transfer agent — class specific in the Statements of Operations:


	Institutional		Investor A		Total
LifePath Index Retirement Fund	$	16,408	$	16,169	$	32,577
LifePath Index 2020 Fund	$	21,060	$	31,047	$	52,107
LifePath Index 2025 Fund	$	17,043	$	25,788	$	42,831
LifePath Index 2030 Fund	$	21,543	$	33,282	$	54,825
LifePath Index 2035 Fund	$	12,995	$	23,196	$	36,191
LifePath Index 2040 Fund	$	15,843	$	20,071	$	35,914
LifePath Index 2045 Fund	$	10,240	$	10,638	$	20,878
LifePath Index 2050 Fund	$	9,266	$	7,555	$	16,821
LifePath Index 2055 Fund	$	4,464	$	3,430	$	7,894

The Administrator maintains a call center that is responsible for providing certain shareholder services to the LifePath Index Funds. Shareholder services include responding to inquiries and processing subscriptions and redemptions transactions based upon instructions from shareholders. For the six months ended June 30, 2016, each LifePath Index Fund reimbursed the Administrator the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statements of Operations:


	Institutional		Investor A		Class K		Total
LifePath Index Retirement Fund	$	173	$	270	$	709	$	1,152
LifePath Index 2020 Fund	$	206	$	494	$	1,473	$	2,173
LifePath Index 2025 Fund	$	189	$	444	$	1,048	$	1,681
LifePath Index 2030 Fund	$	208	$	536	$	1,487	$	2,231
LifePath Index 2035 Fund	$	165	$	401	$	949	$	1,515
LifePath Index 2040 Fund	$	196	$	432	$	1,156	$	1,784
LifePath Index 2045 Fund	$	166	$	397	$	720	$	1,283
LifePath Index 2050 Fund	$	164	$	331	$	823	$	1,318
LifePath Index 2055 Fund	$	135	$	308	$	505	$	948

For the six months ended June 30, 2016, the following table shows the class specific transfer agent fees borne directly by each class of LifePath Index Fund:


	Institutional		Investor A		Class K		Total
LifePath Index Retirement Fund	$	18,388	$	18,271	$	15,512	$	52,171
LifePath Index 2020 Fund	$	23,297	$	33,954	$	19,694	$	76,945
LifePath Index 2025 Fund	$	19,291	$	27,911	$	12,579	$	59,781
LifePath Index 2030 Fund	$	24,030	$	36,410	$	20,990	$	81,430
LifePath Index 2035 Fund	$	15,423	$	25,531	$	13,203	$	54,156
LifePath Index 2040 Fund	$	18,562	$	22,700	$	19,993	$	61,255
LifePath Index 2045 Fund	$	12,887	$	12,775	$	13,661	$	39,323
LifePath Index 2050 Fund	$	12,564	$	10,322	$	20,667	$	43,553
LifePath Index 2055 Fund	$	8,184	$	5,246	$	14,368	$	27,797
LifePath Index 2060 Fund	$	12	$	12	$	61	$	85

Expense Limitations, Waivers, Reimbursements and Recoupments

BFA and BAL, with respect to the LifePath Index Funds, 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 LifePath Index Funds’ business. The expense limitations as a percentage of average daily net assets are as follows: 1.10% for Institutional; 1.35% for Investor A, and 1.05% for Class K. This agreement will automatically renew on May 1 of each year for an additional year until May 1, 2026, unless terminated earlier by the Board, including a majority of the Independent Trustees, or by a vote of the majority of the outstanding voting securities of the applicable LifePath Index Fund.

In addition, BFA and BAL 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



BLACKROCK FUNDS III	JUNE 30, 2016	63


Notes to Financial Statements (continued)

ordinary course of the LifePath Index Fund’s business. The agreement may be terminated upon 90 days’ notice by a majority of the non-interested trustees of the Trust or by a vote of majority of the outstanding voting securities of the LifePath Index Fund. The expense limitations as a percentage of average daily net assets until May 1, 2017 are as follows:


	Institutional		Investor A		Class K
LifePath Index Retirement Fund		0.10%		0.35%		0.05%
LifePath Index 2020 Fund		0.10%		0.35%		0.05%
LifePath Index 2025 Fund		0.10%		0.35%		0.05%
LifePath Index 2030 Fund		0.10%		0.35%		0.05%
LifePath Index 2035 Fund		0.09%		0.34%		0.04%
LifePath Index 2040 Fund		0.09%		0.34%		0.04%
LifePath Index 2045 Fund		0.08%		0.33%		0.03%
LifePath Index 2050 Fund		0.08%		0.33%		0.03%
LifePath Index 2055 Fund		0.07%		0.32%		0.02%
LifePath Index 2060 Fund		0.07%		0.32%		0.02%

These amounts waived and/or reimbursed are included in fees waived by the Administrator, and shown as transfer agent fees waived and/or reimbursed — class specific, in the Statements of Operations. For the six months ended June 30, 2016, the amounts included in fees waived by the Administrator were as follows:


		Institutional		Investor A		Class K		Total
Amount waived……	LifePath Index Retirement Fund	$	1,213	$	2,953	$	14,804	$	18,970
Amount waived……	LifePath Index 2020 Fund	$	1,349	$	7,586	$	18,220	$	27,155
Amount waived……	LifePath Index 2025 Fund	$	882	$	1,254	$	11,531	$	13,667
Amount waived……	LifePath Index 2030 Fund	$	1,903	$	7,231	$	19,503	$	28,637
Amount waived……	LifePath Index 2035 Fund	$	556	$	1,408	$	12,252	$	14,216
Amount waived……	LifePath Index 2040 Fund	$	1,589	$	5,286	$	18,837	$	25,712
Amount waived……	LifePath Index 2045 Fund	$	1,233	$	1,100	$	12,941	$	15,274
Amount waived……	LifePath Index 2050 Fund	$	2,563	$	2,937	$	19,843	$	25,343
Amount waived……	LifePath Index 2055 Fund	$	2,668	$	1,024	$	13,862	$	17,554
Amount waived……	LifePath Index 2060 Fund	$	3		—	$	61	$	64

If during a LifePath Index Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from BFA or BAL, are less than the expense cap for that share class, the BFA or BAL is entitled to be reimbursed by such share class up to the lesser of the following expenses:

(a)

The amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement.

(b)

The amount by which the expense cap for that share class exceeds the operating expenses of the share class for the current fiscal year, provided that:

•

The LifePath Index Fund, of which the share class is a part, has more than $50 million in assets for the fiscal year.

•

BFA or BAL or an affiliate continues to serve as the LifePath Index Fund’s investment adviser or administrator.

In the event the expense cap for a share class is changed subsequent to a fiscal year in which BFA or BAL becomes entitled to reimbursement for fees waived and/or reimbursed, the amount available to reimburse BFA or BAL shall be calculated by reference to the expense cap for that share class in effect at the time BFA or BAL became entitled to receive such reimbursement, rather than the subsequently changed expense cap for that share class.

For the six months ended June 30, 2016, BAL recouped the following fund level and class specific waivers and/or reimbursements previously recorded by the LifePath Index Funds:


	LifePath Index 2025 Fund		LifePath Index 2035 Fund
Institutional	$	68	$	13

On June 30, 2016, fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:


	Expiring December 31,
	2016		2017		2018
LifePath Index Retirement Fund
Fund level	$	236,881	$	267,767	$	137,783
Institutional	$	4,112	$	8,299	$	1,308
Investor A		—	$	10,921	$	3,215
Class K	$	38,752	$	28,603	$	15,513



64	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)


	Expiring December 31,
	2016		2017		2018
LifePath Index 2020 Fund
Fund level	$	378,914	$	470,803	$	238,547
Institutional	$	5,309	$	9,854	$	1,492
Investor A	$	4,044	$	14,497	$	8,080
Class K	$	34,471	$	33,795	$	19,693
LifePath Index 2025 Fund
Fund level	$	251,481	$	335,371	$	190,686
Institutional	$	1,845	$	9,037	$	993
Investor A	$	2,905	$	13,405	$	1,513
Class K	$	18,068	$	18,415	$	12,579
LifePath Index 2030 Fund
Fund level	$	360,380	$	463,274	$	243,092
Institutional	$	3,365	$	9,386	$	2,076
Investor A	$	3,592	$	16,429	$	7,748
Class K	$	35,943	$	35,862	$	20,990
LifePath Index 2035 Fund
Fund level	$	217,349	$	281,863	$	160,915
Institutional	$	1,495	$	6,733	$	679
Investor A	$	1,076	$	13,807	$	1,652
Class K	$	20,255	$	19,218	$	13,201
LifePath Index 2040 Fund
Fund level	$	274,798	$	353,535	$	184,391
Institutional	$	1,865	$	8,017	$	1,754
Investor A	$	2,134	$	9,825	$	5,705
Class K	$	35,927	$	34,606	$	19,992
LifePath Index 2045 Fund
Fund level	$	161,498	$	200,123	$	111,497
Institutional	$	169	$	7,595	$	1,391
Investor A	$	1,843	$	7,392	$	1,412
Class K	$	21,336	$	19,915	$	13,660
LifePath Index 2050 Fund
Fund level	$	167,905	$	212,016	$	113,552
Institutional	$	1,309	$	8,506	$	2,727
Investor A	$	3,247	$	5,578	$	3,261
Class K	$	35,911	$	34,777	$	20,666
LifePath Index 2055 Fund
Fund level	$	104,536	$	126,231	$	70,299
Institutional	$	1,426	$	6,770	$	2,803
Investor A	$	1,708	$	3,365	$	1,333
Class K	$	17,946	$	19,560	$	14,367
LifePath Index 2060 Fund
Fund level		—		—	$	68,966
Institutional		—		—	$	3
Investor A		—		—		—
Class K		—		—	$	61

Officers and Trustees

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.

5. Income Tax Information:

It is the LifePath Index Funds’ 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 their taxable income to their shareholders. Therefore, no federal income tax provision is required.

Each LifePath Index Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each LifePath Index Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2015. The statutes of limitations on each LifePath Index 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 LifePath Index Funds as of June 30, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the LifePath Index Funds’ financial statements.



BLACKROCK FUNDS III	JUNE 30, 2016	65


Notes to Financial Statements (continued)

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
LifePath Index Retirement Fund	Shares			Amount			Shares			Amount
Institutional
Shares sold		1,281,943		$	14,239,080			2,554,950		$	29,021,680
Shares issued in reinvestment of distributions		67,615			761,971			175,020			1,948,895
Shares redeemed		(806,794	)		(8,969,547	)		(2,521,227	)		(28,805,683	)

Net increase		542,764		$	6,031,504			208,743		$	2,164,892


Investor A
Shares sold		806,443		$	8,915,213			3,392,349		$	38,594,002
Shares issued in reinvestment of distributions		49,245			554,552			156,883			1,744,295
Shares redeemed		(1,096,302	)		(12,096,539	)		(2,774,607	)		(31,378,201	)

Net increase (decrease)		(240,614	)	$	(2,626,774	)		774,625		$	8,960,096


Class K
Shares sold		10,727,232		$	118,529,955			16,777,846		$	189,800,125
Shares issued in reinvestment of distributions		399,569			4,503,203			923,943			10,276,621
Shares redeemed		(4,927,993	)		(54,203,056	)		(11,204,827	)		(126,860,547	)

Net increase		6,198,808		$	68,830,102			6,496,962		$	73,216,199

Total Net Increase		6,500,958		$	72,234,832			7,480,330		$	84,341,187


LifePath Index 2020 Fund
Institutional
Shares sold		1,833,408		$	20,646,026			4,515,664		$	52,369,745
Shares issued in reinvestment of distributions		80,853			927,727			220,078			2,500,544
Shares redeemed		(1,873,681	)		(21,040,390	)		(3,759,343	)		(43,917,181	)

Net increase		40,580		$	533,363			976,399		$	10,953,108


Investor A
Shares sold		1,281,459		$	14,265,212			4,853,576		$	56,122,302
Shares issued in reinvestment of distributions		81,726			935,760			294,782			3,342,355
Shares redeemed		(2,400,182	)		(26,939,891	)		(3,984,733	)		(45,510,700	)

Net increase (decrease)		(1,036,997	)	$	(11,738,919	)		1,163,625		$	13,953,957


Class K
Shares sold		22,832,025		$	257,009,164			30,589,214		$	355,194,101
Shares issued in reinvestment of distributions		926,754			10,637,030			2,157,628			24,501,172
Shares redeemed		(8,378,935	)		(93,782,021	)		(15,000,205	)		(173,498,082	)

Net increase		15,379,844		$	173,864,173			17,746,637		$	206,197,191

Total Net Increase		14,383,427		$	162,658,617			19,886,661		$	231,104,256


LifePath Index 2025 Fund
Institutional
Shares sold		1,520,535		$	17,360,175			4,469,528		$	52,624,386
Shares issued in reinvestment of distributions		70,870			826,174			153,474			1,771,190
Shares redeemed		(1,143,143	)		(13,053,026	)		(2,704,757	)		(32,206,958	)

Net increase		448,262		$	5,133,323			1,918,245		$	22,188,618


Investor A
Shares sold		1,437,024		$	16,279,978			3,065,236		$	36,262,072
Shares issued in reinvestment of distributions		89,150			1,038,429			209,188			2,411,971
Shares redeemed		(1,030,605	)		(11,777,267	)		(1,718,276	)		(20,315,086	)

Net increase		495,569		$	5,541,140			1,556,148		$	18,358,957



66	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
LifePath Index 2025 Fund (concluded)	Shares			Amount			Shares			Amount
Class K
Shares sold		22,937,743		$	261,919,029			26,119,320		$	307,027,110
Shares issued in reinvestment of distributions		705,940			8,233,232			1,209,314			13,941,182
Shares redeemed		(4,541,452	)		(51,544,541	)		(6,759,750	)		(79,440,503	)

Net increase		19,102,231		$	218,607,720			20,568,884		$	241,527,789

Total Net Increase		20,046,062		$	229,282,183			24,043,277		$	282,075,364


LifePath Index 2030 Fund
Institutional
Shares sold		1,959,735		$	22,463,358			4,274,480		$	50,812,514
Shares issued in reinvestment of distributions		92,010			1,075,874			217,842			2,529,945
Shares redeemed		(1,345,769	)		(15,406,271	)		(2,995,796	)		(36,095,486	)

Net increase		705,976		$	8,132,961			1,496,526		$	17,246,973


Investor A
Shares sold		1,826,694		$	20,688,290			4,892,193		$	58,052,152
Shares issued in reinvestment of distributions		100,413			1,172,787			326,058			3,787,014
Shares redeemed		(2,454,158	)		(28,017,524	)		(4,325,077	)		(50,669,367	)

Net increase (decrease)		(527,051	)	$	(6,156,447	)		893,174		$	11,169,799


Class K
Shares sold		24,719,064		$	282,459,761			31,052,806		$	369,413,212
Shares issued in reinvestment of distributions		1,033,758			12,069,906			2,111,529			24,483,767
Shares redeemed		(6,339,690	)		(72,049,423	)		(10,494,964	)		(124,358,272	)

Net increase		19,413,132		$	222,480,244			22,669,371		$	269,538,707

Total Net Increase		19,592,057		$	224,456,758			25,059,071		$	297,955,479


LifePath Index 2035 Fund
Institutional
Shares sold		1,635,809		$	18,828,070			3,454,555		$	41,467,537
Shares issued in reinvestment of distributions		60,946			719,447			125,913			1,476,870
Shares redeemed		(1,140,287	)		(13,157,170	)		(1,729,644	)		(21,158,214	)

Net increase		556,468		$	6,390,347			1,850,824		$	21,786,193


Investor A
Shares sold		1,707,233		$	19,631,796			2,571,827		$	30,980,524
Shares issued in reinvestment of distributions		92,188			1,085,978			211,247			2,474,873
Shares redeemed		(763,085	)		(8,684,527	)		(1,565,151	)		(18,736,195	)

Net increase		1,036,336		$	12,033,247			1,217,923		$	14,719,202


Class K
Shares sold		17,554,356		$	201,799,628			19,333,090		$	231,569,790
Shares issued in reinvestment of distributions		588,375			6,941,960			997,433			11,683,839
Shares redeemed		(3,323,777	)		(38,309,908	)		(4,950,460	)		(59,410,248	)

Net increase		14,818,954		$	170,431,680			15,380,063		$	183,843,381

Total Net Increase		16,411,758		$	188,855,274			18,448,810		$	220,348,776


LifePath Index 2040 Fund
Institutional
Shares sold		1,689,444		$	19,503,953			3,742,465		$	45,441,390
Shares issued in reinvestment of distributions		74,185			878,985			168,425			1,991,699
Shares redeemed		(1,221,555	)		(14,149,063	)		(2,336,755	)		(28,748,355	)

Net increase		542,074		$	6,233,875			1,574,135		$	18,684,734



BLACKROCK FUNDS III	JUNE 30, 2016	67


Notes to Financial Statements (continued)


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
LifePath Index 2040 Fund (concluded)	Shares			Amount			Shares			Amount
Investor A
Shares sold		1,325,945		$	15,281,519			3,394,171		$	40,987,512
Shares issued in reinvestment of distributions		66,179			782,748			205,645			2,427,847
Shares redeemed		(1,371,486	)		(15,897,093	)		(2,488,529	)		(29,580,282	)

Net increase		20,638		$	167,174			1,111,287		$	13,835,077


Class K
Shares sold		15,265,483		$	176,195,919			22,594,367		$	274,630,234
Shares issued in reinvestment of distributions		758,584			8,989,728			1,556,425			18,395,984
Shares redeemed		(4,375,776	)		(50,352,005	)		(7,475,003	)		(90,613,541	)

Net increase		11,648,291		$	134,833,642			16,675,789		$	202,412,677

Total Net Increase		12,211,003		$	141,234,691			19,361,211		$	234,932,488


LifePath Index 2045 Fund
Institutional
Shares sold		1,264,005		$	14,766,832			2,832,028		$	34,762,713
Shares issued in reinvestment of distributions		49,905			598,382			107,110			1,282,231
Shares redeemed		(964,332	)		(11,307,278	)		(1,389,856	)		(17,360,373	)

Net increase		349,578		$	4,057,936			1,549,282		$	18,684,571


Investor A
Shares sold		974,308		$	11,356,600			1,707,713		$	21,065,033
Shares issued in reinvestment of distributions		46,195			553,071			100,984			1,206,383
Shares redeemed		(393,872	)		(4,608,372	)		(914,620	)		(11,197,390	)

Net increase		626,631		$	7,301,299			894,077		$	11,074,026


Class K
Shares sold		9,313,347		$	108,761,528			10,357,098		$	127,174,706
Shares issued in reinvestment of distributions		338,727			4,066,054			583,925			6,985,514
Shares redeemed		(1,979,506	)		(23,107,970	)		(2,987,293	)		(36,776,708	)

Net increase		7,672,568		$	89,719,612			7,953,730		$	97,383,512

Total Net Increase		8,648,777		$	101,078,847			10,397,089		$	127,142,109


LifePath Index 2050 Fund
Institutional
Shares sold		1,025,224		$	12,108,913			2,839,446		$	35,471,658
Shares issued in reinvestment of distributions		43,191			524,406			92,590			1,122,079
Shares redeemed		(738,637	)		(8,723,152	)		(1,696,316	)		(21,414,834	)

Net increase		329,778		$	3,910,167			1,235,720		$	15,178,903


Investor A
Shares sold		807,831		$	9,541,777			1,493,742		$	18,562,504
Shares issued in reinvestment of distributions		28,837			349,623			72,199			873,353
Shares redeemed		(481,200	)		(5,594,514	)		(1,048,315	)		(12,800,671	)

Net increase		355,468		$	4,296,886			517,626		$	6,635,186


Class K
Shares sold		8,293,918		$	97,981,789			11,998,246		$	149,820,858
Shares issued in reinvestment of distributions		347,872			4,224,325			645,363			7,817,658
Shares redeemed		(2,486,489	)		(29,392,079	)		(4,957,672	)		(61,987,542	)

Net increase		6,155,301		$	72,814,035			7,685,937		$	95,650,974

Total Net Increase		6,840,547		$	81,021,088			9,439,283		$	117,465,063



68	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (concluded)


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
LifePath Index 2055 Fund	Shares			Amount			Shares			Amount
Institutional
Shares sold		831,032		$	10,008,120			1,466,687		$	18,564,571
Shares issued in reinvestment of distributions		24,813			307,128			39,112			481,437
Shares redeemed		(342,570	)		(4,125,869	)		(551,644	)		(7,052,483	)

Net increase		513,275		$	6,189,379			954,155		$	11,993,525


Investor A
Shares sold		633,172		$	7,565,421			695,213		$	8,822,753
Shares issued in reinvestment of distributions		17,235			213,025			27,644			339,634
Shares redeemed		(135,478	)		(1,620,070	)		(352,293	)		(4,399,745	)

Net increase		514,929		$	6,158,376			370,564		$	4,762,642


Class K
Shares sold		3,969,148		$	47,748,416			4,101,454		$	51,922,767
Shares issued in reinvestment of distributions		109,274			1,352,677			154,168			1,897,041
Shares redeemed		(1,023,963	)		(12,365,949	)		(1,694,573	)		(21,609,401	)

Net increase		3,054,459		$	36,735,144			2,561,049		$	32,210,407

Total Net Increase		4,082,663		$	49,082,899			3,885,768		$	48,966,574


	Period February 29, 2016¹ to June 30, 2016
LifePath Index 2060 Fund	Shares			Amount
Institutional
Shares sold		5,000		$	50,006
Shares issued in reinvestment of distributions		—			—
Shares redeemed		—			(5	)

Net increase		5,000		$	50,001


Investor A
Shares sold		7,301		$	75,517
Shares issued in reinvestment of distributions		14			141
Shares redeemed		(251	)		(2,722	)

Net increase		7,064		$	72,936


Class K
Shares sold		142,272		$	1,462,153
Shares issued in reinvestment of distributions		358			3,905
Shares redeemed		(56	)		(607	)

Net increase		142,574		$	1,465,451

Total Net Increase		154,638		$	1,588,388

Commencement of operations.

At June 30, 2016, shares of the LifePath Index 2060 Fund owned by BlackRock HoldCo 2, Inc., an affiliate of the LifePath Index Funds, were as follows:


Institutional		Investor A		Class K
	5,000		5,000		90,000

7. Subsequent Events:

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



BLACKROCK FUNDS III	JUNE 30, 2016	69


Master Portfolio Information as of June 30, 2016		Master Investment Portfolio


LifePath^® Index Retirement Master Portfolio


Portfolio Composition		Percent of Affiliated Investment Companies


Fixed Income Funds	59	%
Equity Funds	40
Short-Term Securities	1


Ten Largest Holdings		Percent of Affiliated Investment Companies


U.S. Total Bond Index Master Portfolio	51	%
Large Cap Index Master Portfolio	22
iShares TIPS Bond ETF	9
iShares Core MSCI Total International Stock ETF	8
Total International ex U.S. Index Master Portfolio	5
Master Small Cap Index Series	4
BlackRock Cash Funds: Institutional, SL Agency Shares	1


LifePath^® Index 2020 Master Portfolio


Portfolio Composition		Percent of Affiliated Investment Companies


Equity Funds	51	%
Fixed Income Funds	49


Ten Largest Holdings		Percent of Affiliated Investment Companies


U.S. Total Bond Index Master Portfolio	42	%
Large Cap Index Master Portfolio	28
iShares Core MSCI Total International Stock ETF	9
iShares TIPS Bond ETF	7
Total International ex U.S. Index Master Portfolio	7
Master Small Cap Index Series	3
iShares Cohen & Steers REIT ETF	2
iShares International Developed Real Estate ETF	1
iShares MSCI EAFE Small-Cap ETF	1


LifePath^® Index 2025 Master Portfolio


Portfolio Composition		Percent of Affiliated Investment Companies


Equity Funds	62	%
Fixed Income Funds	37
Short-Term Securities	1


Ten Largest Holdings		Percent of Affiliated Investment Companies


Large Cap Index Master Portfolio	34	%
U.S. Total Bond Index Master Portfolio	32
iShares Core MSCI Total International Stock ETF	13
Total International ex U.S. Index Master Portfolio	5
iShares TIPS Bond ETF	5
iShares Cohen & Steers REIT ETF	3
Master Small Cap Index Series	3
iShares International Developed Real Estate ETF	3
BlackRock Cash Funds: Institutional, SL Agency Shares	1
iShares MSCI EAFE Small-Cap ETF	1

The LifePath Index Master Portfolios’ allocation and holdings listed above are current as of the report date. However, the LifePath Index Master Portfolios are regularly monitored and their composition may vary throughout various periods.



70	BLACKROCK FUNDS III	JUNE 30, 2016


Master Portfolio Information as of June 30, 2016 (continued)		Master Investment Portfolio


LifePath^® Index 2030 Master Portfolio


Portfolio Composition		Percent of Affiliated Investment Companies


Equity Funds	73	%
Fixed Income Funds	26
Short-Term Securities	1


Ten Largest Holdings		Percent of Affiliated Investment Companies


Large Cap Index Master Portfolio	39	%
U.S. Total Bond Index Master Portfolio	23
iShares Core MSCI Total International Stock ETF	12
Total International ex U.S. Index Master Portfolio	9
iShares Cohen & Steers REIT ETF	5
iShares International Developed Real Estate ETF	4
iShares TIPS Bond ETF	4
Master Small Cap Index Series	2
iShares MSCI EAFE Small-Cap ETF	1
BlackRock Cash Funds: Institutional, SL Agency Shares	1


LifePath^® Index 2035 Master Portfolio


Portfolio Composition		Percent of Affiliated Investment Companies


Equity Funds	82	%
Fixed Income Funds	16
Short-Term Securities	2


Ten Largest Holdings		Percent of Affiliated Investment Companies


Large Cap Index Master Portfolio	44	%
U.S. Total Bond Index Master Portfolio	14
iShares Core MSCI Total International Stock ETF	17
Total International ex U.S. Index Master Portfolio	8
iShares Cohen & Steers REIT ETF	6
iShares International Developed Real Estate ETF	5
iShares TIPS Bond ETF	2
Master Small Cap Index Series	2
BlackRock Cash Funds: Institutional, SL Agency Shares	1
iShares MSCI EAFE Small-Cap ETF	1


LifePath^® Index 2040 Master Portfolio


Portfolio Composition		Percent of Affiliated Investment Companies


Equity Funds	91	%
Fixed Income Funds	8
Short-Term Securities	1


Ten Largest Holdings		Percent of Affiliated Investment Companies


Large Cap Index Master Portfolio	48	%
Total International ex U.S. Index Master Portfolio	11
iShares Core MSCI Total International Stock ETF	16
iShares Cohen & Steers REIT ETF	7
U.S. Total Bond Index Master Portfolio	7
iShares International Developed Real Estate ETF	6
Master Small Cap Index Series	2
iShares MSCI EAFE Small-Cap ETF	1
BlackRock Cash Funds: Institutional, SL Agency Shares	1
iShares TIPS Bond ETF	1



BLACKROCK FUNDS III	JUNE 30, 2016	71


Master Portfolio Information as of June 30, 2016 (continued)		Master Investment Portfolio


LifePath^® Index 2045 Master Portfolio


Portfolio Composition		Percent of Affiliated Investment Companies


Equity Funds	96	%
Fixed Income Funds	2
Short-Term Securities	2


Ten Largest Holdings		Percent of Affiliated Investment Companies


Large Cap Index Master Portfolio	50	%
iShares Core MSCI Total International Stock ETF	20
Total International ex U.S. Index Master Portfolio	9
iShares Cohen & Steers REIT ETF	8
iShares International Developed Real Estate ETF	6
U.S. Total Bond Index Master Portfolio	2
Master Small Cap Index Series	2
BlackRock Cash Funds: Institutional, SL Agency Shares	2
iShares MSCI EAFE Small-Cap ETF	1


LifePath^® Index 2050 Master Portfolio


Portfolio Composition		Percent of Affiliated Investment Companies


Equity Funds	98	%
Fixed Income Funds	1
Short-Term Securities	1


Ten Largest Holdings		Percent of Affiliated Investment Companies


Large Cap Index Master Portfolio	51	%
iShares Core MSCI Total International Stock ETF	19
Total International ex U.S. Index Master Portfolio	10
iShares Cohen & Steers REIT ETF	8
iShares International Developed Real Estate ETF	7
Master Small Cap Index Series	2
U.S. Total Bond Index Master Portfolio	1
BlackRock Cash Funds: Institutional, SL Agency Shares	1
iShares MSCI EAFE Small-Cap ETF	1


LifePath^® Index 2055 Master Portfolio


Portfolio Composition		Percent of Affiliated Investment Companies


Equity Funds	93	%
Short-Term Securities	6
Fixed Income Funds	1


Ten Largest Holdings		Percent of Affiliated Investment Companies


Large Cap Index Master Portfolio	48	%
iShares Core MSCI Total International Stock ETF	25
iShares Cohen & Steers REIT ETF	8
iShares International Developed Real Estate ETF	6
BlackRock Cash Funds: Institutional, SL Agency Shares	5
Total International ex U.S. Index Master Portfolio	4
Master Small Cap Index Series	2
BlackRock Cash Funds: Prime, SL Agency Shares	1
U.S. Total Bond Index Master Portfolio	1



72	BLACKROCK FUNDS III	JUNE 30, 2016


Master Portfolio Information as of June 30, 2016 (concluded)		Master Investment Portfolio


LifePath^® Index 2060 Master Portfolio


Portfolio Composition		Percent of Affiliated Investment Companies


Equity Funds	96	%
Short-Term Securities	3
Fixed Income Funds	1


Ten Largest Holdings		Percent of Affiliated Investment Companies


Large Cap Index Master Portfolio	50	%
iShares Core MSCI Total International Stock ETF	30
iShares Cohen & Steers REIT ETF	8
iShares International Developed Real Estate ETF	7
BlackRock Cash Funds: Institutional, SL Agency Shares	2
Master Small Cap Index Series	2
U.S. Total Bond Index Master Portfolio	1



BLACKROCK FUNDS III	JUNE 30, 2016	73

Schedule of Investments June 30, 2016 (Unaudited)

LifePath Index Retirement Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 40.1%
iShares Cohen & Steers REIT ETF (b)		16,610	$	1,797,202
iShares Core MSCI Total International Stock ETF		1,018,787		49,879,812
iShares International Developed Real Estate ETF		48,277		1,407,757
iShares MSCI EAFE Small-Cap ETF		38,878		1,876,252
Large Cap Index Master Portfolio	$	132,355,357		132,355,357
Master Small Cap Index Series	$	22,295,282		22,295,282
Total International ex U.S. Index Master Portfolio	$	27,099,789		27,099,789

				236,711,451
Fixed Income Funds — 59.7%
iShares TIPS Bond ETF		445,010		51,919,317
U.S. Total Bond Index Master Portfolio	$	300,029,256		300,029,256

				351,948,573


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Short-Term Securities — 0.9%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.31% (c)(d)		5,056,094	$	5,056,094
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (c)(d)		354,895		354,895

				5,410,989
Total Affiliated Investment Companies (Cost — $580,519,872) — 100.7%				594,071,013
Liabilities in Excess of Other Assets — (0.7)%				(4,185,078	)

Net Assets — 100.0%			$	589,885,935

Notes to Schedule of Investments

(a)

During the six months ended June 30, 2016, investments in issuers considered to be affiliates of the LifePath Index Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		1,955,906		3,100,188	¹		—			5,056,094	$	5,056,094	$	5,378	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		229,051		125,844	¹		—			354,895	$	354,895	$	895	²		—
iShares Cohen & Steers REIT ETF		14,574		2,471			(435	)		16,610	$	1,797,202	$	28,685		$	(1,159	)
iShares Core MSCI Total International Stock ETF		640,123		388,164			(9,500	)		1,018,787	$	49,879,812	$	685,817		$	(97,480	)
iShares International Developed Real Estate ETF		41,936		7,191			(850	)		48,277	$	1,407,757	$	22,682		$	(2,933	)
iShares MSCI EAFE Small-Cap ETF		38,878		—			—			38,878	$	1,876,252	$	26,280			—
iShares TIPS Bond ETF		408,584		61,393			(24,967	)		445,010	$	51,919,317	$	15,292		$	(229,550	)
Large Cap Index Master Portfolio	$	111,965,799	$	20,389,558	¹		—		$	132,355,357	$	132,355,357	$	1,310,209		$	(209,121	)
Master Small Cap Index Series	$	19,969,721	$	2,325,561	¹		—		$	22,295,282	$	22,295,282	$	180,586		$	(40,585	)
Total International ex U.S. Index Master Portfolio	$	31,996,970		—		$	(4,897,181	)³	$	27,099,789	$	27,099,789	$	548,806		$	(364,853	)
U.S. Total Bond Index Master Portfolio	$	254,892,164	$	45,137,092	¹		—		$	300,029,256	$	300,029,256	$	2,894,067		$	506,140
Total											$	594,071,013	$	5,718,697		$	(439,541	)

¹ Represents net shares/beneficial interest purchased.

² Represents all or a portion of 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.

³ Represents net shares/beneficial interest sold.

(b)

Security, or a portion of security, is on loan.

(c)

All or a portion of security was purchased with the cash collateral from loaned securities.

(d)

Current yield as of period end.


Portfolio Abbreviations


ETF		Exchange-Traded Fund
MSCI		Morgan Stanley Capital International
REIT		Real Estate Investment Trust

See Notes to Financial Statements.



74	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (concluded)		LifePath Index Retirement Master Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about the LifePath Index Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes the LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3	Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	54,961,023	$	181,750,428	—	$	236,711,451
Fixed Income Funds		51,919,317		300,029,256	—		351,948,573
Short-Term Securities		5,410,989		—	—		5,410,989

Total	$	112,291,329	$	481,779,684	—	$	594,071,013

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $1,227,495 is categorized as Level 2 within the disclosure hierarchy.

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	75

Schedule of Investments June 30, 2016 (Unaudited)

LifePath Index 2020 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 51.0%
iShares Cohen & Steers REIT ETF		215,673	$	23,335,819
iShares Core MSCI Total International Stock ETF		2,282,680		111,760,013
iShares International Developed Real Estate ETF		652,024		19,013,020
iShares MSCI EAFE Small-Cap ETF		183,140		8,838,336
Large Cap Index Master Portfolio	$	356,756,339		356,756,339
Master Small Cap Index Series	$	41,832,918		41,832,918
Total International ex U.S. Index Master Portfolio	$	88,347,620		88,347,620

				649,884,065


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 48.9%
iShares TIPS Bond ETF		769,152	$	89,736,964
U.S. Total Bond Index Master Portfolio	$	532,930,436		532,930,436

				622,667,400
Short-Term Securities — 0.4%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.31% (b)(c)		5,892,330		5,892,330
Total Affiliated Investment Companies (Cost — $1,252,198,440) — 100.3%				1,278,443,795
Liabilities in Excess of Other Assets — (0.3)%				(4,364,980	)

Net Assets — 100.0%			$	1,274,078,815

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		7,305,823		—			(1,413,493	)¹		5,892,330	$	5,892,330	$	9,827	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		2,715,981		—			(2,715,981	)¹		—		—	$	3,200	²		—
iShares Cohen & Steers REIT ETF		188,176		31,607			(4,110	)		215,673	$	23,335,819	$	369,764		$	(15,244	)
iShares Core MSCI Total International Stock ETF		1,264,323		1,018,357			—			2,282,680	$	111,760,013	$	1,581,810			—
iShares International Developed Real Estate ETF		555,003		106,868			(9,847	)		652,024	$	19,013,020	$	304,529		$	(55,499	)
iShares MSCI EAFE Small-Cap ETF		204,158		—			(21,018	)		183,140	$	8,838,336	$	123,796		$	16,714
iShares TIPS Bond ETF		681,438		111,006			(23,292	)		769,152	$	89,736,964	$	26,608		$	(226,114	)
Large Cap Index Master Portfolio	$	310,598,522	$	46,157,817	³		—		$	356,756,339	$	356,756,339	$	3,531,431		$	(573,580	)
Master Small Cap Index Series	$	38,748,461	$	3,084,457	³		—		$	41,832,918	$	41,832,918	$	342,498		$	(74,928	)
Total International ex U.S. Index Master Portfolio	$	106,850,308		—		$	(18,502,688	)¹	$	88,347,620	$	88,347,620	$	1,793,837		$	(1,188,564	)
U.S. Total Bond Index Master Portfolio	$	454,062,674	$	78,867,762	³		—		$	532,930,436	$	532,930,436	$	5,044,533		$	881,020
Total											$	1,278,443,795	$	13,131,833		$	(1,236,195	)

¹ Represents net shares/beneficial interest sold.
² Represents all or a portion of 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.
³ Represents net shares/beneficial interest purchased.

(b)

All or a portion of security was purchased with the cash collateral from loaned securities.

(c)

Current yield as of period end.

Fair Value Hierarchy as of Period End

The following table summarizes the LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3	Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	162,947,188	$	486,936,877	—	$	649,884,065
Fixed Income Funds		89,736,964		532,930,436	—		622,667,400
Short-Term Securities		5,892,330		—	—		5,892,330

Total	$	258,576,482	$	1,019,867,313	—	$	1,278,443,795

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



76	BLACKROCK FUNDS III	JUNE 30, 2016

Schedule of Investments June 30, 2016 (Unaudited)

LifePath Index 2025 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 62.5%
iShares Cohen & Steers REIT ETF		320,055	$	34,629,951
iShares Core MSCI Total International Stock ETF		2,851,166		139,593,087
iShares International Developed Real Estate ETF		967,353		28,208,014
iShares MSCI EAFE Small-Cap ETF		124,030		5,985,688
Large Cap Index Master Portfolio	$	350,429,627		350,429,627
Master Small Cap Index Series	$	29,010,384		29,010,384
Total International ex U.S. Index Master Portfolio	$	58,627,444		58,627,444

				646,484,195


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 37.4%
iShares TIPS Bond ETF		466,998	$	54,484,657
U.S. Total Bond Index Master Portfolio	$	331,595,755		331,595,755

				386,080,412
Short-Term Securities — 0.8%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.31% (b)(c)		8,509,318		8,509,318
Total Affiliated Investment Companies (Cost — $1,023,154,965) — 100.7%				1,041,073,925
Liabilities in Excess of Other Assets — (0.7)%				(7,100,623	)

Net Assets — 100.0%			$	1,033,973,302

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		6,872,778		1,636,540	¹		—			8,509,318	$	8,509,318	$	16,514	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		1,883,549		—			(1,883,549	)³		—		—	$	10,310	²		—
iShares Cohen & Steers REIT ETF		248,988		73,267			(2,200	)		320,055	$	34,629,951	$	525,217		$	(20,027	)
iShares Core MSCI Total International Stock ETF		1,556,261		1,294,905			—			2,851,166	$	139,593,087	$	1,942,615			—
iShares International Developed Real Estate ETF		715,578		253,575			(1,800	)		967,353	$	28,208,014	$	435,870		$	(7,684	)
iShares MSCI EAFE Small-Cap ETF		138,530		—			(14,500	)		124,030	$	5,985,688	$	83,840		$	7,803
iShares TIPS Bond ETF		361,737		111,061			(5,800	)		466,998	$	54,484,657	$	15,414		$	(53,310	)
Large Cap Index Master Portfolio	$	266,338,811	$	84,090,816	¹		—		$	350,429,627	$	350,429,627	$	3,266,489		$	(580,716	)
Master Small Cap Index Series	$	24,045,521	$	4,964,863	¹		—		$	29,010,384	$	29,010,384	$	227,645		$	(40,096	)
Total International ex U.S. Index Master Portfolio	$	68,026,251		—		$	(9,398,807	)³	$	58,627,444	$	58,627,444	$	1,172,904		$	(774,781	)
U.S. Total Bond Index Master Portfolio	$	248,639,480	$	82,956,275	¹		—		$	331,595,755	$	331,595,755	$	2,976,851		$	523,550
Total											$	1,041,073,925	$	10,673,669		$	(945,261	)

¹ Represents net shares/beneficial interest purchased.
² Represents all or a portion of 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.
³ Represents net shares/beneficial interest sold.

(b)

All or a portion of security was purchased with the cash collateral from loaned securities.

(c)

Current yield as of period end.

Fair Value Hierarchy as of Period End

The following table summarizes the LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	208,416,740	$	438,067,455		—	$	646,484,195
Fixed Income Funds		54,484,657		331,595,755		—		386,080,412
Short-Term Securities		8,509,318		—		—		8,509,318

Total	$	271,410,715	$	769,663,210		—	$	1,041,073,925

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	77

Schedule of Investments June 30, 2016 (Unaudited)

LifePath Index 2030 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 73.1%
iShares Cohen & Steers REIT ETF		580,958	$	62,859,656
iShares Core MSCI Total International Stock ETF (b)		3,420,029		167,444,620
iShares International Developed Real Estate ETF (b)		1,743,876		50,851,424
iShares MSCI EAFE Small-Cap ETF		241,433		11,651,556
Large Cap Index Master Portfolio	$	525,494,475		525,494,475
Master Small Cap Index Series	$	32,195,453		32,195,453
Total International ex U.S. Index Master Portfolio	$	125,292,834		125,292,834

				975,790,018


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 26.7%
iShares TIPS Bond ETF		417,872	$	48,753,126
U.S. Total Bond Index Master Portfolio	$	307,848,371		307,848,371

				356,601,497
Short-Term Securities — 1.0%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.31% (c)(d)		11,015,498		11,015,498
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (c)(d)		1,410,810		1,410,810

				12,426,308
Total Affiliated Investment Companies (Cost — $1,323,355,086) — 100.8%				1,344,817,823
Liabilities in Excess of Other Assets — (0.8)%				(10,331,077	)

Net Assets — 100.0%			$	1,334,486,746

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		4,224,689		6,790,809	¹		—			11,015,498	$	11,015,498	$	20,585	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		202,078		1,208,732	¹		—			1,410,810	$	1,410,810	$	4,020	²		—
iShares Cohen & Steers REIT ETF		509,918		100,140			(29,100	)		580,958	$	62,859,656	$	995,500		$	4,217
iShares Core MSCI Total International Stock ETF		1,857,147		1,562,882			—			3,420,029	$	167,444,620	$	2,364,578			—
iShares International Developed Real Estate ETF		1,463,321		371,955			(91,400	)		1,743,876	$	50,851,424	$	825,703		$	(490,660	)
iShares MSCI EAFE Small-Cap ETF		253,525		—			(12,092	)		241,433	$	11,651,556	$	163,200		$	10,520
iShares TIPS Bond ETF		350,843		77,529			(10,500	)		417,872	$	48,753,126	$	14,123		$	(106,127	)
Large Cap Index Master Portfolio	$	429,624,226	$	95,870,249	¹		—		$	525,494,475	$	525,494,475	$	5,066,238		$	(864,766	)
Master Small Cap Index Series	$	28,641,879	$	3,553,574	¹		—		$	32,195,453	$	32,195,453	$	259,398		$	(50,887	)
Total International ex U.S. Index Master Portfolio	$	142,152,800		—		$	(16,859,966	)³	$	125,292,834	$	125,292,834	$	2,495,883		$	(1,648,071	)
U.S. Total Bond Index Master Portfolio	$	245,012,642	$	62,835,729	¹		—		$	307,848,371	$	307,848,371	$	2,840,818		$	497,505
Total											$	1,344,817,823	$	15,050,046		$	(2,648,269	)

¹ Represents net shares/beneficial interest purchased.
² Represents all or a portion of 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.
³ Represents net shares/beneficial interest sold.

(b)

Security, or a portion of security, is on loan.

(c)

All or a portion of security was purchased with the cash collateral from loaned securities.

(d)

Current yield as of period end.

See Notes to Financial Statements.



78	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (concluded)		LifePath Index 2030 Master Portfolio

Fair Value Hierarchy as of Period End

The following table summarizes the LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3	Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	292,807,256	$	682,982,762	—	$	975,790,018
Fixed Income Funds		48,753,126		307,848,371	—		356,601,497
Short-Term Securities		12,426,308		—	—		12,426,308

Total	$	353,986,690	$	990,831,133	—	$	1,344,817,823

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $4,879,640 is categorized as Level 2 within the disclosure hierarchy.

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	79

Schedule of Investments June 30, 2016 (Unaudited)

LifePath Index 2035 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 83.2%
iShares Cohen & Steers REIT ETF		452,990	$	49,013,518
iShares Core MSCI Total International Stock ETF		2,792,362		136,714,043
iShares International Developed Real Estate ETF (b)		1,351,908		39,421,637
iShares MSCI EAFE Small-Cap ETF		140,134		6,762,867
Large Cap Index Master Portfolio	$	365,354,738		365,354,738
Master Small Cap Index Series	$	17,033,294		17,033,294
Total International ex U.S. Index Master Portfolio	$	67,061,337		67,061,337

				681,361,434


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 16.6%
iShares TIPS Bond ETF		151,193	$	17,639,688
U.S. Total Bond Index Master Portfolio	$	118,029,799		118,029,799

				135,669,487
Short-Term Securities — 1.5%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.31% (c)(d)		11,146,125		11,146,125
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (c)(d)		1,426,486		1,426,486

				12,572,611
Total Affiliated Investment Companies (Cost — $818,624,638) — 101.3%				829,603,532
Liabilities in Excess of Other Assets — (1.3)%				(10,952,265	)

Net Assets — 100.0%			$	818,651,267

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		3,748,132		7,397,993	¹		—			11,146,125	$	11,146,125	$	16,124	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		624,013		802,473			—			1,426,486	$	1,426,486	$	3,532	²		—
iShares Cohen & Steers REIT ETF		365,844		107,446			(20,300	)		452,990	$	49,013,518	$	756,619		$	(39,634	)
iShares Core MSCI Total International Stock ETF		1,508,195		1,284,167			—			2,792,362	$	136,714,043	$	1,897,063			—
iShares International Developed Real Estate ETF		1,046,365		352,043			(46,500	)		1,351,908	$	39,421,637	$	632,965		$	(184,690	)
iShares MSCI EAFE Small-Cap ETF		140,134		—			—			140,134	$	6,762,867	$	94,726			—
iShares TIPS Bond ETF		112,159		39,534			(500	)		151,193	$	17,639,688	$	4,839		$	(2,631	)
Large Cap Index Master Portfolio	$	276,036,983	$	89,317,755	¹		—		$	365,354,738	$	365,354,738	$	3,378,661		$	(613,810	)
Master Small Cap Index Series	$	13,686,883	$	3,346,411	¹		—		$	17,033,294	$	17,033,294	$	129,975		$	(13,500	)
Total International ex U.S. Index Master Portfolio	$	74,464,733		—		$	(7,403,396	)³	$	67,061,337	$	67,061,337	$	1,315,716		$	(862,577	)
U.S. Total Bond Index Master Portfolio	$	85,746,349	$	32,283,450	¹		—		$	118,029,799	$	118,029,799	$	1,040,151		$	183,067
Total											$	829,603,532	$	9,270,371		$	(1,533,775	)

¹ Represents net shares/beneficial interest purchased.
² Represents all or a portion of 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.
³ Represents net shares/beneficial interest sold.

(b)

Security, or a portion of security, is on loan.

(c)

All or a portion of security was purchased with the cash collateral from loaned securities.

(d)

Current yield as of period end.

See Notes to Financial Statements.



80	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (concluded)		LifePath Index 2035 Master Portfolio

Fair Value Hierarchy as of Period End

The following table summarizes the LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3	Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	231,912,065	$	449,449,369	—	$	681,361,434
Fixed Income Funds		17,639,688		118,029,799	—		135,669,487
Short-Term Securities		12,572,611		—	—		12,572,611

Total	$	262,124,364	$	567,479,168	—	$	829,603,532

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $4,933,860 is categorized as Level 2 within the disclosure hierarchy.

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	81

Schedule of Investments June 30, 2016 (Unaudited)

LifePath Index 2040 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 92.1%
iShares Cohen & Steers REIT ETF (b)		610,616	$	66,068,651
iShares Core MSCI Total International Stock ETF (b)		2,940,018		143,943,281
iShares International Developed Real Estate ETF (b)		1,821,905		53,126,750
iShares MSCI EAFE Small-Cap ETF (b)		209,343		10,102,893
Large Cap Index Master Portfolio	$	445,516,742		445,516,742
Master Small Cap Index Series	$	16,993,247		16,993,247
Total International ex U.S. Index Master Portfolio	$	105,060,864		105,060,864

				840,812,428


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 7.7%
iShares TIPS Bond ETF (b)		70,935	$	8,275,986
U.S. Total Bond Index Master Portfolio	$	61,713,475		61,713,475

				69,989,461
Short-Term Securities — 1.2%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.31% (c)(d)		9,832,203		9,832,203
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (c)(d)		1,550,566		1,550,566

				11,382,769
Total Affiliated Investment Companies (Cost — $913,242,453) — 101.0%				922,184,658
Liabilities in Excess of Other Assets — (1.0)%				(9,518,800	)

Net Assets — 100.0%			$	912,665,858

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		2,836,397		6,995,806	¹		—			9,832,203	$	9,832,203	$	18,332	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		1,550,566	¹		—			1,550,566	$	1,550,566	$	4,460	²		—
iShares Cohen & Steers REIT ETF		554,158		94,058			(37,600	)		610,616	$	66,068,651	$	1,064,947		$	(90,461	)
iShares Core MSCI Total International Stock ETF		1,745,458		1,194,560			—			2,940,018	$	143,943,281	$	2,052,626			—
iShares International Developed Real Estate ETF		1,585,534		330,671			(94,300	)		1,821,905	$	53,126,750	$	885,538		$	(413,796	)
iShares MSCI EAFE Small-Cap ETF		229,343		—			(20,000	)		209,343	$	10,102,893	$	141,509		$	(26,154	)
iShares TIPS Bond ETF		55,895		18,840			(3,800	)		70,935	$	8,275,986	$	2,285		$	(11,586	)
Large Cap Index Master Portfolio	$	372,521,982	$	72,994,760	¹		—		$	445,516,742	$	445,516,742	$	4,325,306		$	(731,194	)
Master Small Cap Index Series	$	14,850,473	$	2,142,774	¹		—		$	16,993,247	$	16,993,247	$	134,174		$	(21,220	)
Total International ex U.S. Index Master Portfolio	$	117,826,153		—		$	(12,765,289	)³	$	105,060,864	$	105,060,864	$	2,065,787		$	(1,356,566	)
U.S. Total Bond Index Master Portfolio	$	45,832,656	$	15,880,819	¹		—		$	61,713,475	$	61,713,475	$	546,953		$	96,397

Total											$	922,184,658	$	11,241,917		$	(2,554,580	)

¹ Represents net shares/beneficial interest purchased.
² Represents all or a portion of 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.
³ Represents net shares/beneficial interest sold.

(b)

Security, or a portion of security, is on loan.

(c)

All or a portion of security was purchased with the cash collateral from loaned securities.

(d)

Current yield as of period end.

See Notes to Financial Statements.



82	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (concluded)		LifePath Index 2040 Master Portfolio

Fair Value Hierarchy as of Period End

The following table summarizes the LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	273,241,575	$	567,570,853		—	$	840,812,428
Fixed Income Funds		8,275,986		61,713,475		—		69,989,461
Short-Term Securities		11,382,769		—		—		11,382,769

Total	$	292,900,330	$	629,284,328		—	$	922,184,658

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $5,363,021 is categorized as Level 2 within the disclosure hierarchy.

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	83

Schedule of Investments June 30, 2016 (Unaudited)

LifePath Index 2045 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 97.3%
iShares Cohen & Steers REIT ETF (b)		338,654	$	36,642,363
iShares Core MSCI Total International Stock ETF		1,831,721		89,681,060
iShares International Developed Real Estate ETF		1,010,110		29,454,808
iShares MSCI EAFE Small-Cap ETF (b)		83,700		4,039,362
Large Cap Index Master Portfolio	$	229,074,756		229,074,756
Master Small Cap Index Series	$	8,439,995		8,439,995
Total International ex U.S. Index Master Portfolio	$	42,750,831		42,750,831

				440,083,175


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 2.4%
iShares TIPS Bond ETF		9,041	$	1,054,813
U.S. Total Bond Index Master Portfolio	$	9,803,135		9,803,135

				10,857,948
Short-Term Securities — 1.6%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.31% (c)(d)		6,567,335		6,567,335
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (c)(d)		765,681		765,681

				7,333,016
Total Affiliated Investment Companies (Cost — $454,646,254) — 101.3%				458,274,139
Liabilities in Excess of Other Assets — (1.3)%				(5,792,322	)

Net Assets — 100.0%			$	452,481,817

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		2,228,251		4,339,084	¹		—			6,567,335	$	6,567,335	$	12,166	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		306,340		459,341	¹		—			765,681	$	765,681	$	3,155	²		—
iShares Cohen & Steers REIT ETF		276,055		74,799			(12,200	)		338,654	$	36,642,363	$	570,702		$	(51,649	)
iShares Core MSCI Total International Stock ETF		1,068,849		762,872			—			1,831,721	$	89,681,060	$	1,274,146			—
iShares International Developed Real Estate ETF		789,580		247,030			(26,500	)		1,010,110	$	29,454,808	$	476,039		$	(115,143	)
iShares MSCI EAFE Small-Cap ETF		95,700		—			(12,000	)		83,700	$	4,039,362	$	56,578		$	(13,514	)
iShares TIPS Bond ETF		6,225		2,916			(100	)		9,041	$	1,054,813	$	247		$	(176	)
Large Cap Index Master Portfolio	$	175,431,933	$	53,642,823	¹		—		$	229,074,756	$	229,074,756	$	2,141,694		$	(381,780	)
Master Small Cap Index Series	$	6,688,764	$	1,751,231	¹		—		$	8,439,995	$	8,439,995	$	63,798		$	(8,683	)
Total International ex U.S. Index Master Portfolio	$	45,792,251		—		$	(3,041,420	)³	$	42,750,831	$	42,750,831	$	823,506		$	(536,236	)
U.S. Total Bond Index Master Portfolio	$	6,335,194	$	3,467,941	¹		—		$	9,803,135	$	9,803,135	$	84,680		$	15,090

Total											$	458,274,139	$	5,506,711		$	(1,092,091	)

¹ Represents net shares/beneficial interest purchased.
² Represents all or a portion of 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.
³ Represents net shares/beneficial interest sold.

(b)

Security, or a portion of security, is on loan.

(c)

All or a portion of security was purchased with the cash collateral from loaned securities.

(d)

Current yield as of period end.

See Notes to Financial Statements.



84	BLACKROCK FUNDS III	JUNE 30, 2016


Schedule of Investments (concluded)		LifePath Index 2045 Master Portfolio

Fair Value Hierarchy as of Period End

The following table summarizes the LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	159,817,593	$	280,265,582		—	$	440,083,175
Fixed Income Funds		1,054,813		9,803,135		—		10,857,948
Short-Term Securities		7,333,016		—		—		7,333,016

Total	$	168,205,422	$	290,068,717		—	$	458,274,139

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $2,648,300 is categorized as Level 2 within the disclosure hierarchy.

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	85

Schedule of Investments June 30, 2016 (Unaudited)

LifePath Index 2050 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 98.7%
iShares Cohen & Steers REIT ETF		331,178	$	35,833,460
iShares Core MSCI Total International Stock ETF		1,698,148		83,141,326
iShares International Developed Real Estate ETF		989,447		28,852,274
iShares MSCI EAFE Small-Cap ETF		70,618		3,408,025
Large Cap Index Master Portfolio	$	217,368,618		217,368,618
Master Small Cap Index Series	$	8,141,672		8,141,672
Total International ex U.S. Index Master Portfolio	$	44,855,328		44,855,328

				421,600,703


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Fund — 1.0%
U.S. Total Bond Index Master Portfolio	$	4,143,826	$	4,143,826
Short-Term Securities — 0.9%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.31% (b)(c)		3,986,450		3,986,450
Total Affiliated Investment Companies (Cost — $427,723,249) — 100.6%				429,730,979
Liabilities in Excess of Other Assets — (0.6)%				(2,477,411	)

Net Assets — 100.0%			$	427,253,568

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		3,062,777		923,673	¹		—			3,986,450	$	3,986,450	$	4,398	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		1,208,810		—			(1,208,810	)³		—		—	$	8,814	²		—
iShares Cohen & Steers REIT ETF		282,305		63,123			(14,250	)		331,178	$	35,833,460	$	563,791		$	(54,659	)
iShares Core MSCI Total International Stock ETF		1,075,396		622,752			—			1,698,148	$	83,141,326	$	1,204,601			—
iShares International Developed Real Estate ETF		806,393		219,154			(36,100	)		989,447	$	28,852,274	$	472,537		$	(151,144	)
iShares MSCI EAFE Small-Cap ETF		89,118		—			(18,500	)		70,618	$	3,408,025	$	47,735		$	3,391
Large Cap Index Master Portfolio	$	173,705,052	$	43,663,566	¹		—		$	217,368,618	$	217,368,618	$	2,067,391		$	(357,983	)
Master Small Cap Index Series	$	6,843,092	$	1,298,580	¹		—		$	8,141,672	$	8,141,672	$	63,475		$	(9,828	)
Total International ex U.S. Index Master Portfolio	$	46,580,774		—		$	(1,725,446	)³	$	44,855,328	$	44,855,328	$	852,657		$	(551,210	)
U.S. Total Bond Index Master Portfolio	$	3,370,948	$	772,878	¹		—		$	4,143,826	$	4,143,826	$	39,075		$	6,951
Total											$	429,730,979	$	5,324,474		$	(1,114,482	)

¹ Represents net shares/beneficial interest purchased.
² Represents all or a portion of 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.
³ Represents net shares/beneficial interest sold.

(b)

All or a portion of security was purchased with the cash collateral from loaned securities.

(c)

Current yield as of period end.

Fair Value Hierarchy as of Period End

The following table summarizes the LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	151,235,085	$	270,365,618		—	$	421,600,703
Fixed Income Funds		—		4,143,826		—		4,143,826
Short-Term Securities		3,986,450		—		—		3,986,450

Total	$	155,221,535	$	274,509,444		—	$	429,730,979

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



86	BLACKROCK FUNDS III	JUNE 30, 2016

Schedule of Investments June 30, 2016 (Unaudited)

LifePath Index 2055 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 98.6%
iShares Cohen & Steers REIT ETF (b)		124,417	$	13,461,919
iShares Core MSCI Total International Stock ETF		853,720		41,798,131
iShares International Developed Real Estate ETF		372,359		10,857,989
iShares MSCI EAFE Small-Cap ETF		15,217		734,373
Large Cap Index Master Portfolio	$	81,142,329		81,142,329
Master Small Cap Index Series	$	3,031,982		3,031,982
Total International ex U.S. Index Master Portfolio	$	6,609,776		6,609,776

				157,636,499


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Fund — 1.0%
U.S. Total Bond Index Master Portfolio	$	1,624,262	$	1,624,262
Short-Term Securities — 6.6%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.31% (c)(d)		8,027,653		8,027,653
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (c)(d)		2,494,715		2,494,715

				10,522,368
Total Affiliated Investment Companies (Cost — $167,714,122) — 106.2%				169,783,129
Liabilities in Excess of Other Assets — (6.2)%				(9,876,988	)

Net Assets — 100.0%			$	159,906,141

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Held at December 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		3,001,864		5,025,789	¹		—			8,027,653	$	8,027,653	$	7,779	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		1,681,340		813,375	¹		—			2,494,715	$	2,494,715	$	2,349	²		—
iShares Cohen & Steers REIT ETF		88,789		38,168			(2,540	)		124,417	$	13,461,919	$	201,909		$	(4,239	)
iShares Core MSCI Total International Stock ETF		431,175		422,545			—			853,720	$	41,798,131	$	608,782			—
iShares International Developed Real Estate ETF		253,583		127,976			(9,200	)		372,359	$	10,857,989	$	171,368		$	(35,706	)
iShares MSCI EAFE Small-Cap ETF		21,217		—			(6,000	)		15,217	$	734,373	$	10,286		$	10,365
Large Cap Index Master Portfolio	$	55,147,907	$	25,994,422	¹		—		$	81,142,329	$	81,142,329	$	724,826		$	(136,088	)
Master Small Cap Index Series	$	2,173,646	$	858,336	¹		—		$	3,031,982	$	3,031,982	$	22,285		$	(1,452	)
Total International ex U.S. Index Master Portfolio	$	10,703,083		—		$	(4,093,307	)³	$	6,609,776	$	6,609,776	$	164,312		$	(117,819	)
U.S. Total Bond Index Master Portfolio	$	1,070,209	$	554,053	¹		—		$	1,624,262	$	1,624,262	$	13,691		$	2,430
Total											$	169,783,129	$	1,927,587		$	(282,509	)

¹ Represents net shares/beneficial interest purchased.
² Represents all or a portion of 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.
³ Represents net shares/beneficial interest sold.

(b)

Security, or a portion of security, is on loan.

(c)

All or a portion of security was purchased with the cash collateral from loaned securities.

(d)

Current yield as of period end.

Fair Value Hierarchy as of Period End

The following table summarizes the LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	66,852,412	$	90,784,087		—	$	157,636,499
Fixed Income Funds		—		1,624,262		—		1,624,262
Short-Term Securities		10,522,368		—		—		10,522,368

Total	$	77,374,780	$	92,408,349		—	$	169,783,129

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $8,628,600 is categorized as Level 2 within the disclosure hierarchy.

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK FUNDS III	JUNE 30, 2016	87

Schedule of Investments June 30, 2016 (Unaudited)

LifePath Index 2060 Master Portfolio

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 98.6%
iShares Cohen & Steers REIT ETF		1,335	$	144,447
iShares Core MSCI Total International Stock ETF		10,940		535,622
iShares International Developed Real Estate ETF		4,040		117,806
Large Cap Index Master Portfolio	$	878,213		878,213
Master Small Cap Index Series	$	31,788		31,788

				1,707,876


Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Fund — 1.0%
U.S. Total Bond Index Master Portfolio	$	17,131	$	17,131
Short-Term Securities — 2.6%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.31% (c)(d)		45,438		45,438
Total Investments (Cost — $1,668,801) — 102.2%				1,770,445
Liabilities in Excess of Other Assets — (2.2)%				(38,897	)

Net Assets — 100.0%			$	1,731,548

Notes to Schedule of Investments

(a)


Affiliate	Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		45,438	¹		—			45,438	$	45,438	$	34	²		—
iShares Cohen & Steers REIT ETF		2,113			(778	)		1,335	$	144,447	$	1,759		$	(797	)
iShares Core MSCI Total International Stock ETF		17,295			(6,355	)		10,940	$	535,622	$	6,787		$	(682	)
iShares International Developed Real Estate ETF		6,400			(2,360	)		4,040	$	117,806	$	1,510		$	(282	)
Large Cap Index Master Portfolio		878,213	¹		—			878,213	$	878,213	$	4,168		$	(1,368	)
Master Small Cap Index Series		31,788	¹		—			31,788	$	31,788	$	152		$	138
U.S. Total Bond Index Master Portfolio		17,131	¹		—			17,131	$	17,131	$	84		$	3
Total									$	1,770,445	$	14,494		$	(2,988	)

¹ Represents net shares/beneficial interest sold.
² Represents all or a portion of 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.
³ Represents net shares/beneficial interest purchased.

(b)

Current yield as of period end.

Fair Value Hierarchy as of Period End

The following table summarizes the LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	797,875	$	910,001		—	$	1,707,876
Fixed Income Funds		—		17,131		—		17,131
Short-Term Securities		45,438		—		—		45,438

Total	$	843,313	$	927,132		—	$	1,770,445

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



88	BLACKROCK FUNDS III	JUNE 30, 2016


Statements of Assets and Liabilities		Master Investment Portfolio


June 30, 2016 (Unaudited)	LifePath Index Retirement Master Portfolio		LifePath Index 2020 Master Portfolio		LifePath Index 2025 Master Portfolio		LifePath Index 2030 Master Portfolio		LifePath Index 2035 Master Portfolio

Assets
Investments at value — affiliated^1,2	$	594,071,013	$	1,278,443,795	$	1,041,073,925	$	1,344,817,823	$	829,603,532
Receivables:
Contributions from investors		475,385		1,327,121		1,049,792		505,764		199,259
Dividends — affiliated		856		1,839		2,959		3,226		1,932
Investment adviser		—		—		—		—		—
Investments sold		2,842,782		3,100,000		2,845,000		3,777,429		2,453,374
Securities lending income — affiliated		625		1,506		1,495		1,705		1,044
Prepaid expenses		830		1,791		1,222		1,769		964

Total assets		597,391,491		1,282,876,052		1,044,974,393		1,349,107,716		832,260,105


Liabilities
Collateral on securities loaned at value		1,227,495		—		—		4,879,640		4,933,860
Payables:
Custodian fees		1,391		1,687		2,181		1,933		1,705
Investment advisory fees		16,510		41,685		32,155		44,042		18,335
Investments purchased		6,235,083		8,725,204		10,941,110		9,667,516		8,630,834
Independent Trustees’ fees		1,980		4,392		2,041		3,823		1,454
Professional fees		22,751		23,628		23,555		23,586		22,650
Other accrued expenses		346		641		49		430		—

Total liabilities		7,505,556		8,797,237		11,001,091		14,620,970		13,608,838

Net Assets	$	589,885,935	$	1,274,078,815	$	1,033,973,302	$	1,334,486,746	$	818,651,267


Net Assets Consist of
Investors’ capital	$	576,334,794	$	1,247,833,460	$	1,016,054,342	$	1,313,024,009	$	807,672,373
Net unrealized appreciation (depreciation)		13,551,141		26,245,355		17,918,960		21,462,737		10,978,894

Net Assets	$	589,885,935	$	1,274,078,815	$	1,033,973,302	$	1,334,486,746	$	818,651,267

¹ Investments at cost — affiliated	$	580,519,872	$	1,252,198,440	$	1,023,154,965	$	1,323,355,086	$	818,624,638
²Securities loaned at value	$	1,212,922		—		—	$	4,785,624	$	4,855,140


Statements of Assets and Liabilities		Master Investment Portfolio


June 30, 2016 (Unaudited)	LifePath Index 2040 Master Portfolio		LifePath Index 2045 Master Portfolio		LifePath Index 2050 Master Portfolio		LifePath Index 2055 Master Portfolio		LifePath Index 2060 Master Portfolio

Assets
Investments at value — affiliated^1,2	$	922,184,658	$	458,274,139	$	429,730,979	$	169,783,129	$	1,770,445
Receivables:
Contributions from investors		825,432		694,957		702,246		361,430		1,082
Dividends — affiliated		1,538		1,050		848		413		12
Investment adviser		—		—		—		4,733		9,375
Investments sold		2,408,339		724,613		525,523		174,449		6,436
Securities lending income — affiliated		2,193		1,787		—		2,210		—
Prepaid expenses		1,221		533		545		167		—

Total assets		925,423,381		459,697,079		430,960,141		170,326,531		1,787,350


Liabilities
Collateral on securities loaned at value		5,363,021		2,648,300		—		8,628,600		—
Payables:
Custodian fees		1,793		1,473		2,451		2,878		2,803
Investment advisory fees		21,159		4,324		4,052		—		—
Investments purchased		7,345,530		4,537,696		3,676,279		1,766,290		42,045
Independent Trustees’ fees		2,598		872		1,042		191		—
Professional fees		23,158		22,597		22,722		22,038		10,614
Other accrued expenses		264		—		27		393		340

Total liabilities		12,757,523		7,215,262		3,706,573		10,420,390		55,802

Net Assets	$	912,665,858	$	452,481,817	$	427,253,568	$	159,906,141	$	1,731,548


Net Assets Consist of
Investors’ capital	$	903,723,653	$	448,853,932	$	425,245,838	$	157,837,134	$	1,629,904
Net unrealized appreciation (depreciation)		8,942,205		3,627,885		2,007,730		2,069,007		101,644

Net Assets	$	912,665,858	$	452,481,817	$	427,253,568	$	159,906,141	$	1,731,548

¹ Investments at cost — affiliated	$	913,242,453	$	454,646,254	$	427,723,249	$	167,714,122	$	1,668,801
² Securities loaned at value	$	5,295,713	$	2,611,842		—	$	8,526,160		—


Statements of Operations		Master Investment Portfolio


Six Months Ended June 30, 2016 (Unaudited)	LifePath Index Retirement Master Portfolio			LifePath Index 2020 Master Portfolio			LifePath Index 2025 Master Portfolio			LifePath Index 2030 Master Portfolio			LifePath Index 2035 Master Portfolio

Investment Income
Dividends — affiliated	$	781,933		$	2,413,822		$	3,012,606		$	4,373,804		$	3,393,651
Securities lending — affiliated — net		3,096			5,712			17,174			13,905			12,217
Net investment income allocated from the applicable Underlying Master Portfolio:
Dividends		2,017,337			5,622,819			4,631,523			7,778,460			4,798,060
Interest		3,000,687			5,276,032			3,145,807			3,074,030			1,171,439
Expenses		(105,196	)		(224,660	)		(157,430	)		(215,859	)		(116,446	)
Fees waived		20,840			38,108			23,989			25,706			11,450

Total income		5,718,697			13,131,833			10,673,669			15,050,046			9,270,371


Expenses
Investment advisory		132,333			283,168			216,968			289,349			170,263
Professional		15,305			16,442			15,559			16,442			15,329
Independent Trustees		10,738			18,343			14,094			18,347			11,957
Accounting services		2,835			2,550			3,751			2,755			2,840
Printing		364			364			372			364			364
Miscellaneous		2,575			5,446			3,560			5,313			2,789

Total expenses		164,150			326,313			254,304			332,570			203,542
Less fees waived by the Manager		(31,881	)		(43,359	)		(37,434	)		(43,459	)		(67,396	)

Total expenses after fees waived		132,269			282,954			216,870			289,111			136,146

Net investment income		5,586,428			12,848,879			10,456,799			14,760,935			9,134,225


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — affiliated		(331,122	)		(280,143	)		(73,218	)		(582,050	)		(226,955	)
Allocated from the applicable Underlying Master Portfolios from investments and futures contracts		(108,419	)		(956,052	)		(872,043	)		(2,066,219	)		(1,306,820	)

		(439,541	)		(1,236,195	)		(945,261	)		(2,648,269	)		(1,533,775	)

Net change in unrealized appreciation (depreciation) on:
Investments — affiliated		3,448,035			7,701,790			6,775,657			9,794,626			6,620,791
Allocated from the applicable Underlying Master Portfolios from investments and futures contracts		15,104,640			29,554,805			22,121,387			25,859,940			14,887,978

		18,552,675			37,256,595			28,897,044			35,654,566			21,508,769

Net realized and unrealized gain		18,113,134			36,020,400			27,951,783			33,006,297			19,974,994

Net Increase in Net Assets Resulting from Operations	$	23,699,562		$	48,869,279		$	38,408,582		$	47,767,232		$	29,109,219


Statements of Operations		Master Investment Portfolio


Six Months Ended June 30, 2016 (Unaudited)	LifePath Index 2040 Master Portfolio			LifePath Index 2045 Master Portfolio			LifePath Index 2050 Master Portfolio			LifePath Index 2055 Master Portfolio			LifePath Index 2060 Master Portfolio¹

Investment Income
Dividends — affiliated	$	4,154,272		$	2,382,119		$	2,292,483		$	994,349		$	10,090
Securities lending — affiliated — net		15,425			10,914			9,393			8,124			—
Net investment income allocated from the applicable Underlying Master Portfolio:
Dividends		6,496,453			3,014,027			2,969,199			905,716			4,276
Interest		705,006			156,608			108,972			36,247			209
Expenses		(138,934	)		(60,564	)		(58,835	)		(17,957	)		(87	)
Fees waived		9,695			3,607			3,262			1,108			6

Total income		11,241,917			5,506,711			5,324,474			1,927,587			14,494


Expenses
Investment advisory		199,238			95,065			91,513			32,052			189
Professional		15,697			14,901			15,004			14,402			10,614
Independent Trustees		14,054			8,566			8,566			5,547			2,247
Accounting services		3,526			3,534			3,365			4,015			3,050
Printing		372			178			178			86			183
Miscellaneous		3,638			1,563			1,578			430			159

Total expenses		236,525			123,807			120,204			56,532			16,442
Less fees waived by the Manager		(77,243	)		(66,787	)		(65,317	)		(43,709	)		(16,365	)

Total expenses after fees waived		159,282			57,020			54,887			12,823			77

Net investment income		11,082,635			5,449,691			5,269,587			1,914,764			14,417


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — affiliated		(541,997	)		(180,482	)		(202,412	)		(29,580	)		(1,761	)
Allocated from the applicable Underlying Master Portfolios from investments and futures contracts		(2,012,583	)		(911,609	)		(912,070	)		(252,929	)		(1,227	)

		(2,554,580	)		(1,092,091	)		(1,114,482	)		(282,509	)		(2,988	)

Net change in unrealized appreciation (depreciation) on:
Investments — affiliated		7,968,478			4,103,683			3,858,439			1,367,009			39,607
Allocated from the applicable Underlying Master Portfolios from investments and futures contracts		14,327,741			6,993,068			6,288,322			2,713,168			62,037

		22,296,219			11,096,751			10,146,761			4,080,177			101,644

Net realized and unrealized gain		19,741,639			10,004,660			9,032,279			3,797,668			98,656

Net Increase in Net Assets Resulting from Operations	$	30,824,274		$	15,454,351		$	14,301,866		$	5,712,432		$	113,073

¹Commenced operations on February 29, 2016.


Statements of Changes in Net Assets		Master Investment Portfolio


	LifePath Index Retirement Master Portfolio						LifePath Index 2020 Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	5,586,428		$	8,876,782		$	12,848,879		$	20,127,555
Net realized gain (loss)		(439,541	)		25,092,542			(1,236,195	)		57,468,798
Net change in unrealized appreciation (depreciation)		18,552,675			(35,851,265	)		37,256,595			(83,871,972	)

Net increase (decrease) in net assets resulting from operations		23,699,562			(1,881,941	)		48,869,279			(6,275,619	)


Capital Transactions
Proceeds from contributions		142,059,174			257,415,807			291,920,403			463,686,148
Value of withdrawals		(75,621,817	)		(187,579,951	)		(141,867,647	)		(263,577,292	)

Net increase in net assets derived from capital transactions		66,437,357			69,835,856			150,052,756			200,108,856


Net Assets
Total increase in net assets		90,136,919			67,953,915			198,922,035			193,833,237
Beginning of period		499,749,016			431,795,101			1,075,156,780			881,323,543

End of period	$	589,885,935		$	499,749,016		$	1,274,078,815		$	1,075,156,780


Statements of Changes in Net Assets		Master Investment Portfolio


	LifePath Index 2025 Master Portfolio						LifePath Index 2030 Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	10,456,799		$	13,523,406		$	14,760,935		$	21,369,222
Net realized gain (loss)		(945,261	)		29,570,553			(2,648,269	)		61,512,318
Net change in unrealized appreciation (depreciation)		28,897,044			(48,304,565	)		35,654,566			(90,987,411	)

Net increase (decrease) in net assets resulting from operations		38,408,582			(5,210,606	)		47,767,232			(8,105,871	)


Capital Transactions
Proceeds from contributions		295,559,182			395,913,568			325,758,057			478,277,878
Value of withdrawals		(76,529,808	)		(132,362,034	)		(115,720,029	)		(211,785,714	)

Net increase in net assets derived from capital transactions		219,029,374			263,551,534			210,038,028			266,492,164


Net Assets
Total increase in net assets		257,437,956			258,340,928			257,805,260			258,386,293
Beginning of period		776,535,346			518,194,418			1,076,681,486			818,295,193

End of period	$	1,033,973,302		$	776,535,346		$	1,334,486,746		$	1,076,681,486


Statements of Changes in Net Assets		Master Investment Portfolio


	LifePath Index 2035 Master Portfolio						LifePath Index 2040 Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	9,134,225		$	11,549,977		$	11,082,635		$	15,825,065
Net realized gain (loss)		(1,533,775	)		27,017,731			(2,554,580	)		43,357,531
Net change in unrealized appreciation (depreciation)		21,508,769			(43,396,849	)		22,296,219			(66,079,203	)

Net increase (decrease) in net assets resulting from operations		29,109,219			(4,829,141	)		30,824,274			(6,896,607	)


Capital Transactions
Proceeds from contributions		240,260,087			304,017,851			210,981,390			361,059,136
Value of withdrawals		(60,289,902	)		(99,656,977	)		(80,445,372	)		(149,358,428	)

Net increase in net assets derived from capital transactions		179,970,185			204,360,874			130,536,018			211,700,708


Net Assets
Total increase in net assets		209,079,404			199,531,733			161,360,292			204,804,101
Beginning of period		609,571,863			410,040,130			751,305,566			546,501,465

End of period	$	818,651,267		$	609,571,863		$	912,665,858		$	751,305,566


Statements of Changes in Net Assets		Master Investment Portfolio


	LifePath Index 2045 Master Portfolio						LifePath Index 2050 Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	5,449,691		$	6,936,498		$	5,269,587		$	7,240,018
Net realized gain (loss)		(1,092,091	)		15,260,388			(1,114,482	)		15,528,685
Net change in unrealized appreciation (depreciation)		11,096,751			(25,249,645	)		10,146,761			(26,114,247	)

Net increase (decrease) in net assets resulting from operations		15,454,351			(3,052,759	)		14,301,866			(3,345,544	)


Capital Transactions
Proceeds from contributions		134,885,087			183,002,452			119,632,505			203,855,020
Value of withdrawals		(39,087,697	)		(65,515,857	)		(43,745,212	)		(96,352,760	)

Net increase in net assets derived from capital transactions		95,797,390			117,486,595			75,887,293			107,502,260


Net Assets
Total increase in net assets		111,251,741			114,433,836			90,189,159			104,156,716
Beginning of period		341,230,076			226,796,240			337,064,409			232,907,693

End of period	$	452,481,817		$	341,230,076		$	427,253,568		$	337,064,409


Statements of Changes in Net Assets		Master Investment Portfolio


	LifePath Index 2055 Master Portfolio						LifePath Index 2060 Master Portfolio
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015			Period February 29, 2016¹ to June 30, 2016 (Unaudited)

Operations
Net investment income	$	1,914,764		$	2,136,211		$	14,417
Net realized gain (loss)		(282,509	)		3,734,441			(2,988	)
Net change in unrealized appreciation (depreciation)		4,080,177			(6,921,725	)		101,644

Net increase (decrease) in net assets resulting from operations		5,712,432			(1,051,073	)		113,073


Capital Transactions
Proceeds from contributions		65,321,777			79,310,091			1,618,475
Value of withdrawals		(18,132,157	)		(33,130,687	)		—

Net increase in net assets derived from capital transactions		47,189,620			46,179,404			1,618,475


Net Assets
Total increase in net assets		52,902,052			45,128,331			1,731,548
Beginning of period		107,004,089			61,875,758			—

End of period	$	159,906,141		$	107,004,089		$	1,731,548


Financial Highlights		Master Investment Portfolio


	LifePath Index Retirement Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Total Return
Total return		4.37%	²		(0.31)%			5.78%			7.72%			9.17%			(0.59)%	²


Ratios to Average Net Assets
Total expenses^3,4,5		0.09%	⁶		0.10%			0.13%			0.16%			0.18%			3.44%	^6,7

Total expenses after fees waived^3,4,5		0.08%	⁶		0.09%			0.11%			0.14%			0.15%			0.15%	⁶

Net investment income^4,5,8		2.11%	⁶		1.84%			1.87%			1.74%			2.02%			2.87%	⁶


Supplemental Data
Net assets, end of period (000)		$ 589,886			$ 499,749			$ 431,795			$ 321,594			$ 201,972			$ 1,968

Portfolio turnover rate		7%	⁹		25%	⁹		15%	⁹		18%	⁹		1%	¹⁰		1%	¹⁰

Commencement of operations.

Aggregate total return.

Includes the LifePath Index Master Portfolio’s pro rata portion of expenses from Large Cap Index Master Portfolio, Master International Index Series (for the period May 31, 2011 through December 31, 2012), Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio (collectively, the “Underlying Master Portfolios”). These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and iShares exchange-traded funds.

⁴

Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.03%, 0.01%, 0.01%, 0.00%, 0.02% and 0.08% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.02%, 0.03%, 0.03%, 0.02%, 0.02% and 0.04% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶

Annualized.

⁷

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.45%.

⁸

Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹

Includes the purchases or sales of the underlying funds and the Underlying Master Portfolios.

¹⁰

Excludes purchases or sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover would have been 15% and 9% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.


Financial Highlights		Master Investment Portfolio


	LifePath Index 2020 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Total Return
Total return		4.21%	²		(0.42)%			6.15%			11.36%			11.36%			(3.71)%	²


Ratios to Average Net Assets
Total expenses^3,4,5		0.09%	⁶		0.10%			0.12%			0.16%			0.19%			3.55%	^6,7

Total expenses after fees waived^3,4,5		0.08%	⁶		0.09%			0.11%			0.14%			0.16%			0.18%	⁶

Net investment income^4,5,8		2.27%	⁶		1.95%			1.99%			2.01%			2.19%			2.70%	⁶


Supplemental Data
Net assets, end of period (000)		$ 1,274,079			$ 1,075,157			$ 881,324			$ 616,003			$ 286,973			$ 1,908

Portfolio turnover rate		8%	⁹		14%	⁹		12%	⁹		12%	⁹		1%	¹⁰		1%	¹⁰

Commencement of operations.

Aggregate total return.

Includes the LifePath Index Master Portfolio’s pro rata portion of expenses from Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio (collectively, the “Underlying Master Portfolios”). These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and iShares exchange-traded funds.

⁴

Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.01%, 0.01%, 0.01%, 0.00%, 0.02% and 0.10% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.04%, 0.04%, 0.04%, 0.03%, 0.03% and 0.05%% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶

Annualized.

⁷

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.56%.

⁸

Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹

Includes the purchases or sales of the underlying funds and the Underlying Master Portfolios.

¹⁰

Excludes purchases or sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover rate would have been 13% and 8% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.


Financial Highlights		Master Investment Portfolio


	LifePath Index 2025 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Total Return
Total return		4.00%	²		(0.45)%			6.47%			13.48%			12.34%			(5.10)%	²


Ratios to Average Net Assets
Total expenses^3,4,5		0.09%	⁶		0.10%			0.12%			0.17%			0.23%			3.59%	^6,7

Total expenses after fees waived^3,4,5		0.08%	⁶		0.09%			0.11%			0.14%			0.16%			0.18%	⁶

Net investment income^4,5,8		2.41%	⁶		2.06%			2.08%			2.19%			2.27%			2.58%	⁶


Supplemental Data
Net assets, end of period (000)		$ 1,033,973			$ 776,535			$ 518,194			$ 278,608			$ 122,448			$ 1,882

Portfolio turnover rate		5%	⁹		12%	⁹		15%	⁹		13%	⁹		0%	^10,11		0%	^10,11

Commencement of operations.

Aggregate total return.

⁴

Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.01%, 0.00%, 0.01%, 0.00%, 0.02% and 0.11% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.06%, 0.05%, 0.05%, 0.04%, 0.03% and 0.06% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶

Annualized.

⁷

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.60%.

⁸

Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹

Includes the purchases or sales of the underlying funds and the Underlying Master Portfolios.

¹⁰

Excludes purchases or sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover would have been 14% and 8% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹

Rounds to less than 1%.


Financial Highlights		Master Investment Portfolio


	LifePath Index 2030 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Total Return
Total return		3.72%	²		(0.50)%			6.64%			15.40%			13.28%			(6.28)%	²


Ratios to Average Net Assets
Total expenses^3,4,5		0.09%	⁶		0.10%			0.12%			0.16%			0.21%			3.63%	^6,7

Total expenses after fees waived^3,4,5		0.08%	⁶		0.09%			0.11%			0.15%			0.17%			0.19%	⁶

Net investment income^4,5,8		2.55%	⁶		2.15%			2.14%			2.33%			2.36%			2.50%	⁶


Supplemental Data
Net assets, end of period (000)		$ 1,334,487			$ 1,076,681			$ 818,295			$ 528,481			$ 206,007			$ 1,859

Portfolio turnover rate		6%	⁹		12%	⁹		20%	⁹		12%	⁹		2%	¹⁰		0%	^10,11

Commencement of operations.

Aggregate total return.

⁴

Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.01%, 0.01%, 0.01%, 0.00%, 0.02% and 0.12% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.06%, 0.06%, 0.05%, 0.04%, 0.04% and 0.06% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶

Annualized.

⁷

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.64%.

⁸

Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹

Includes the purchases or sales of the underlying funds and the Underlying Master Portfolios.

¹⁰

Excludes purchases or sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover would have been 18% and 6% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹

Rounds to less than 1%.


Financial Highlights		Master Investment Portfolio


	LifePath Index 2035 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Total Return
Total return		3.62%	²		(0.56)%			6.82%			17.02%			14.07%			(7.35)%	²


Ratios to Average Net Assets
Total expenses^3,4,5		0.09%	⁶		0.10%			0.12%			0.18%			0.26%			3.67%	^6,7

Total expenses after fees waived^3,4,5		0.07%	⁶		0.08%			0.11%			0.15%			0.17%			0.19%	⁶

Net investment income^4,5,8		2.68%	⁶		2.26%			2.22%			2.47%			2.44%			2.43%	⁶


Supplemental Data
Net assets, end of period (000)		$ 818,651			$ 609,572			$ 410,040			$ 207,175			$ 81,763			$ 1,838

Portfolio turnover rate		4%	⁹		10%	⁹		25%	⁹		12%	⁹		1%	¹⁰		0%	^10,11

Commencement of operations.

Aggregate total return.

⁴

Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.02%, 0.00%, 0.01%, 0.00%, 0.02% and 0.13% for the six months ended June 30, 2016, the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and the period ended December 31, 2011, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.08%, 0.07%, 0.06%, 0.05%, 0.04% and 0.06% for the six months ended June 30, 2016, the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶

Annualized.

⁷

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.68%.

⁸

Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹

Includes the purchases or sales of the underlying funds and the Underlying Master Portfolios.

¹⁰

Excludes purchases and sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover would have been 24% and 7% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹

Rounds to less than 1%.


Financial Highlights		Master Investment Portfolio


	LifePath Index 2040 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Total Return
Total return		3.41%	²		(0.56)%			6.90%			18.66%			15.03%			(8.42)%	²


Ratios to Average Net Assets
Total expenses^3,4,5		0.09%	⁶		0.10%			0.12%			0.17%			0.24%			3.70%	^6,7

Total expenses after fees waived^3,4,5		0.07%	⁶		0.08%			0.11%			0.15%			0.18%			0.20%	⁶

Net investment income^4,5,8		2.78%	⁶		2.33%			2.27%			2.59%			2.50%			2.36%	⁶


Supplemental Data
Net assets, end of period (000)		$ 912,666			$ 751,306			$ 546,501			$ 326,693			$ 107,671			$ 1,819

Portfolio turnover rate		5%	⁹		11%	⁹		29%	⁹		12%	⁹		3%	¹⁰		0%	^10,11

Commencement of operations.

Aggregate total return.

⁴

Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.00%, 0.00%, 0.01%, 0.00%, 0.02% and 0.14% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.08%, 0.07%, 0.06%, 0.05%, 0.04%, and 0.07% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶

Annualized.

⁷

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.71%.

⁸

Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹

Includes the purchases or sales of the underlying funds and the Underlying Master Portfolios.

¹⁰

Excludes purchases or sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover would have been 21% and 5% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹

Rounds to less than 1%.


Financial Highlights		Master Investment Portfolio


	LifePath Index 2045 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Total Return
Total return		3.31%	²		(0.64)%			7.10%			20.33%			15.61%			(9.49)%	²


Ratios to Average Net Assets
Total expenses^3,4,5		0.10%	⁶		0.11%			0.13%			0.21%			0.41%			3.74%	^6,7

Total expenses after fees waived^3,4,5		0.06%	⁶		0.07%			0.10%			0.15%			0.17%			0.21%	⁶

Net investment income^4,5,8		2.87%	⁶		2.39%			2.34%			2.77%			2.62%			2.29%	⁶


Supplemental Data
Net assets, end of period (000)		$ 452,482			$ 341,230			$ 226,796			$ 104,567			$ 33,177			$ 1,799

Portfolio turnover rate		3%	⁹		10%	⁹		30%	⁹		12%	⁹		2%	¹⁰		0%	^10,11

Commencement of operations.

Aggregate total return.

⁴

Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.00%, 0.00%,0.00%,0.00%,0.02% and 0.15% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.09%, 0.08 %, 0.07 %, 0.05%, 0.04% and 0.07 % for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶

Annualized.

⁷

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.75%.

⁸

Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹

Includes the purchases or sales of the underlying funds and the Underlying Master Portfolios.

¹⁰

Excludes purchases or sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover rate would have been 22% and 6% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹

Rounds to less than 1%.


Financial Highlights		Master Investment Portfolio


	LifePath Index 2050 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Total Return
Total return		3.31%	²		(0.67)%			7.28%			21.62%			16.37%			(10.34)%	²


Ratios to Average Net Assets
Total expenses^3,4,5		0.10%	⁶		0.11%			0.13%			0.21%			0.46%			3.76%	^6,7

Total expenses after fees waived^3,4,5		0.06%	⁶		0.07%			0.10%			0.15%			0.18%			0.21%	⁶

Net investment income^4,5,8		2.88%	⁶		2.39%			2.38%			2.91%			2.67%			2.25%	⁶


Supplemental Data
Net assets, end of period (000)		$ 427,254			$ 337,064			$ 232,908			$ 103,722			$ 26,037			$ 1,784

Portfolio turnover rate		2%	⁹		14%	⁹		22%	⁹		12%	⁹		3%	¹⁰		0%	^10,11

Commencement of operations.

Aggregate total return.

⁴

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.09%, 0.09%, 0.08%, 0.06%, 0.05% and 0.07% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶

Annualized.

⁷

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.77%.

⁸

Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹

Includes the purchases or sales of the underlying funds and the Underlying Master Portfolios.

¹⁰

Excludes purchases or sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover rate would have been 26% and 5% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹

Rounds to less than 1%.


Financial Highlights		Master Investment Portfolio


	LifePath Index 2055 Master Portfolio
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period May 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period May 31, 2011¹ to December 31, 2011

Total Return
Total return		3.36%	²		(0.60)%			7.50%			22.99%			16.83%			(10.96)%	²


Ratios to Average Net Assets
Total expenses^3,4,5		0.11%	⁶		0.14%			0.20%			0.42%			1.39%			3.79%	^6,7

Total expenses after fees waived^3,4,5		0.05%	⁶		0.06%			0.10%			0.15%			0.15%			0.21%	⁶

Net investment income^4,5,8		2.99%	⁶		2.44%			2.46%			3.09%			2.76%			2.24%	⁶


Supplemental Data
Net assets, end of period (000)		$ 159,906			$ 107,004			$ 61,856			$ 23,968			$ 4,908			$ 1,769

Portfolio turnover rate		5%	⁹		17%	⁹		22%	⁹		15%	⁹		8%	¹⁰		0%	^10,11

Commencement of operations.

Aggregate total return.

⁴

Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.00%, 0.00%, 0.00%, 0.00%, 0.02% and 0.15% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.10%, 0.09%, 0.09%, 0.06%, 0.05% and 0.08% for the six months ended June 30, 2016 and the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶

Annualized.

⁷

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.79%.

⁸

Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹

Includes the purchases or sales of the underlying funds and the Underlying Master Portfolios.

¹⁰

Excludes purchases or sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover would have been 53% and 13% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹

Rounds to less than 1%.


Financial Highlights		Master Investment Portfolio


	LifePath Index 2060 Master Portfolio
	Period February 29, 2016¹ to June 30, 2016 (Unaudited)

Total Return
Total return		10.09%	²


Ratio to Average Net Assets
Total expenses^3,4,5,6		4.45%	⁷

Total expenses after fees waived^3,4,5		0.04%	⁷

Net investment income^4,5,8		3.88%	⁷


Supplemental Data
Net assets, end of period (000)		$ 1,732

Portfolio turnover rate		86%	⁹

Commencement of operations.

Aggregate total return.

Includes the LifePath Index Master Portfolio’s pro rata portion of expenses from Large Cap Index Master Portfolio, Master Small Cap Index Series and U.S. Total Bond Index Master Portfolio (collectively, the “Underlying Master Portfolios”). These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Cash Funds: iShares exchange-traded funds.

⁴

Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived 0.00% for the period ended June 30, 2016.

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.12% for the period ended June 30, 2016, although the ratio does not include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶

Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 2.59%.

⁷

Annualized.

⁸

Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹

Includes the purchases or sales of the underlying funds and the Underlying Master Portfolios.


Notes to Financial Statements (Unaudited)		Master Investment Portfolio

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. MIP is organized as a Delaware statutory trust. The financial statements and these accompanying notes relate to ten series of MIP: LifePath^® Index Retirement Master Portfolio, LifePath^® Index 2020 Master Portfolio, LifePath^® Index 2025 Master Portfolio, LifePath^® Index 2030 Master Portfolio, LifePath^® Index 2035 Master Portfolio, LifePath^® Index 2040 Master Portfolio, LifePath^® Index 2045 Master Portfolio, LifePath^® Index 2050 Master Portfolio, LifePath^® Index 2055 Master Portfolio and LifePath^® Index 2060 Master Portfolio (each, a “LifePath Index Master Portfolio” and together, the “LifePath Index Master Portfolios”). Each LifePath Index Master Portfolio is classified as diversified.

The LifePath Index Master Portfolios will generally invest in other registered investment companies (each, an “Underlying Fund” and collectively the “Underlying Funds”) that are managed by subsidiaries of BlackRock, Inc. (“BlackRock”) and its affiliates and affiliates of the LifePath Index Master Portfolios. The LifePath Index Master Portfolios may also invest in other master portfolios (“Underlying Master Portfolios”) that are managed by subsidiaries of BlackRock.

The value of a LifePath Index Master Portfolio’s investment in each of Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio reflects that LifePath Index Master Portfolio’s proportionate interest in the net assets of that master portfolio. As of period end, the LifePath Index Master Portfolios held interests in these Underlying Master Portfolios as follows:


	Large Cap Index Master Portfolio		Master Small Cap Index Series		Total International ex U.S. Index Master Portfolio		U.S. Total Bond Index Master Portfolio
LifePath Index Retirement Master Portfolio		4.20%		4.39%		3.24%		13.76%
LifePath Index 2020 Master Portfolio		11.32%		8.24%		10.57%		24.44%
LifePath Index 2025 Master Portfolio		11.12%		5.71%		7.01%		15.21%
LifePath Index 2030 Master Portfolio		16.67%		6.34%		14.99%		14.12%
LifePath Index 2035 Master Portfolio		11.59%		3.35%		8.02%		5.41%
LifePath Index 2040 Master Portfolio		14.13%		3.35%		12.57%		2.83%
LifePath Index 2045 Master Portfolio		7.27%		1.66%		5.12%		0.45%
LifePath Index 2050 Master Portfolio		6.90%		1.60%		5.37%		0.19%
LifePath Index 2055 Master Portfolio		2.57%		0.60%		0.79%		0.07%
LifePath Index 2060 Master Portfolio		0.03%		0.01%		—		0.01%

Large Cap Index Master Portfolio’s, Master Small Cap Index Series’, Total International ex U.S. Index Master Portfolio’s and U.S. Total Bond Index Master Portfolio’s financial statements are available, without charge, on the U.S. Securities and Exchange Commission’s (“SEC’s”) website at http://www.sec.gov.

The LifePath Index Master Portfolios, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, are included in a complex of open-end funds referred to as the Equity-Liquidity Complex.

2. Significant Accounting Policies:

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the LifePath Index Master Portfolios are informed of the ex-dividend date. 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, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Each LifePath Index Master Portfolio records its proportionate share of the income, expenses and realized and unrealized gains and losses of the Underlying Master Portfolios in which it invests on a daily basis.

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



108	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)		Master Investment Portfolio

Other: Expenses directly related to a LifePath Index Master Portfolio are charged to that LifePath Index 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 LifePath Index Master Portfolios have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective October 2015, the custodian is imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The LifePath Index Master Portfolios’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the LifePath Index Master Portfolios would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The LifePath Index Master Portfolios determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each LifePath Index Master Portfolio’s assets and liabilities:

•

The market value of the LifePath Index Master Portfolios’s investments in the Underlying Funds is based on the published net asset value (“NAV”) of each Underlying Fund computed as of the close of regular trading on the NYSE on days when the NYSE is open.

•

Investments in open-end U.S. mutual funds are valued at NAV each business day.

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each LifePath Index Master Portfolio has the ability to access

•

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each LifePath Index Master Portfolio’s own assumptions used in determining the fair value of investments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The fair value hierarchy for each LifePath Index Master Portfolio’s investments has been included in the Schedules of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each LifePath Index Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.



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Notes to Financial Statements (continued)		Master Investment Portfolio

4. Securities and Other Investments:

Securities Lending: Certain LifePath Index Master Portfolios may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the LifePath Index Master Portfolios collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each LifePath Index 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 LifePath Index Master Portfolio and any additional required collateral is delivered to the LifePath Index Master Portfolio, or excess collateral returned by the LifePath Index Master Portfolio, on the next business day. During the term of the loan, the LifePath Index Master Portfolios are entitled to all distributions made on or in respect of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as common stocks in the LifePath Index Master Portfolios’ Schedules of Investments, and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedules of Investments.

Securities lending transactions are entered into by the LifePath Index Master Portfolios 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 LifePath Index Master Portfolios, 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 a LifePath Index 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 LifePath Index Master Portfolios’ securities lending agreements by counterparty which are subject to offset under an MSLA:


LifePath Index Retirement Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
Barclays Capital Inc.	$	1,212,922	$	(1,212,922	)		—

LifePath Index 2030 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
Citigroup Global Markets, Inc.	$	195,840	$	(195,840	)		—
Merrill Lynch, Pierce, Fenner & Smith Inc.		513,216		(513,216	)		—
SG Americas Securities LLC		4,035,744		(4,035,744	)		—
UBS Securities LLC		40,824		(40,824	)		—

Total	$	4,785,624	$	(4,785,624	)		—


LifePath Index 2035 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
Goldman Sachs & Co.	$	3,793,716	$	(3,793,716	)		—
SG Americas Securities LLC		1,061,424		(1,061,424	)		—

Total	$	4,855,140	$	(4,855,140	)		—



110	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)		Master Investment Portfolio


LifePath Index 2040 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
Barclays Capital Inc.	$	1,340,598	$	(1,340,598	)		—
Citigroup Global Markets, Inc.		73,440		(73,440	)		—
Credit Suisse Securities (USA) LLC		67,068		(67,068	)		—
SG Americas Securities LLC		1,625,472		(1,625,472	)		—
UBS Securities LLC		2,189,135		(2,189,135	)		—

Total	$	5,295,713	$	(5,295,713	)		—


LifePath Index 2045 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
Nomura Securities International Inc.	$	1,529,842	$	(1,529,842	)		—
SG Americas Securities LLC		1,082,000		(1,082,000	)		—

Total	$	2,611,842	$	(2,611,842	)		—


LifePath Index 2055 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
SG Americas Securities LLC	$	8,526,160	$	(8,526,160	)		—

LifePath Index

Retirement

Master Portfolio

LifePath Index

2030

Master Portfolio

LifePath Index

2035

Master Portfolio

LifePath Index

2040

Master Portfolio

LifePath Index

2045

Master Portfolio

LifePath Index

2055

Master Portfolio

$1,227,495

$4,879,640

$4,933,860

$5,363,021

$2,648,300

$8,628,600

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 LifePath Index Master Portfolios benefit from a borrower default indemnity provided by BlackRock. BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. Each LifePath Index Master Portfolio could suffer 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.

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

Investment Advisory

MIP, on behalf of the LifePath Index Master Portfolios, entered into an Investment Advisory Agreement with BFA, the LifePath Index Master Portfolios’ investment adviser, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of each LifePath Index Master Portfolio’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each LifePath Index Master Portfolio.

For such services, each LifePath Index Master Portfolio pays BFA a monthly fee, which is determined by calculating a percentage of each LifePath Master Portfolios’s average daily net assets based on the annual rate of 0.05%.

MIP, on behalf of the LifePath Index Master Portfolios, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the LifePath Index Master Portfolios’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the LifePath Index Master Portfolios.

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



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Notes to Financial Statements (continued)		Master Investment Portfolio

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

The fees and expenses of the MIP’s trustees who are not “interested persons” of the MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the LifePath Index Master Portfolios. BAL has contractually agreed to reimburse the LifePath Index Master Portfolios or provide an offsetting credit against the administration fees paid by the LifePath Index Master Portfolios in an amount equal to the independent expenses through April 30, 2017. If the LifePath Index Master Portfolios do not pay administration fees, BAL agrees to cap the expenses of the LifePath Index Master Portfolios at the rate at which it pays an investment advisory fee to BAL.

Expense Limitations and Waivers

The Manager, with respect to each LifePath Index Master Portfolio, voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the LifePath Index Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. These amounts are included in fees waived by the Manager in the Statements of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the LifePath Index Master Portfolios’ investments in other affiliated investment companies, if any. For the six months ended June 30, 2016, the amounts waived were as follows:


	LifePath Index Retirement Master Portfolio		LifePath Index 2020 Master Portfolio		LifePath Index 2025 Master Portfolio		LifePath Index 2030 Master Portfolio		LifePath Index 2035 Master Portfolio
Amounts waived	$	432	$	998	$	1,159	$	1,410	$	1,014


	LifePath Index 2040 Master Portfolio		LifePath Index 2045 Master Portfolio		LifePath Index 2050 Master Portfolio		LifePath Index 2055 Master Portfolio		LifePath Index 2060 Master Portfolio
Amounts waived	$	1,002	$	601	$	474	$	274	$	4

Securities Lending

The SEC has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the LifePath Index Master Portfolios, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The LifePath Index Master Portfolios are responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the LifePath Index Master Portfolios bears to an annual rate of 0.04% (the “collateral investment fees”).

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each LifePath Index Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, each LifePath Index Master Portfolio retains 80% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, each LifePath Index Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by each LifePath Index Master Portfolio is shown as securities lending — affiliated — net in the Statements of Operations. For the six months ended June 30, 2016, each LifePath Index Master Portfolio paid BTC the following amounts in total for securities lending agent services and collateral investment fees:


	LifePath Index Retirement Master Portfolio		LifePath Index 2020 Master Portfolio		LifePath Index 2025 Master Portfolio		LifePath Index 2030 Master Portfolio		LifePath Index 2035 Master Portfolio
Amounts	$	771	$	1,417	$	4,290	$	3,416	$	3,051


	LifePath Index 2040 Master Portfolio		LifePath Index 2045 Master Portfolio		LifePath Index 2050 Master Portfolio		LifePath Index 2055 Master Portfolio
Amounts	$	3,852	$	2,723	$	2,345	$	2,009



112	BLACKROCK FUNDS III	JUNE 30, 2016


Notes to Financial Statements (continued)		Master Investment Portfolio

Officers and Trustees

Each LifePath Index Master Portfolio may invest its positive cash balances in certain money market funds managed by the Manager or an affiliate. The income earned on these temporary cash investments is shown as income — affiliated in the Statements of Operations.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

6. Purchases and Sales:

For the six months ended June 30, 2016, purchases and sales of investments in the Underlying Funds and Underlying Master Portfolios, excluding short-term securities, were as follows:


	LifePath Index Retirement Master Portfolio		LifePath Index 2020 Master Portfolio		LifePath Index 2025 Master Portfolio		LifePath Index 2030 Master Portfolio		LifePath Index 2035 Master Portfolio
Purchases	$	102,840,585	$	226,903,344	$	264,878,315	$	275,566,064	$	207,436,080
Sales	$	37,096,458	$	92,991,901	$	43,221,590	$	66,719,366	$	25,590,631


	LifePath Index 2040 Master Portfolio		LifePath Index 2045 Master Portfolio		LifePath Index 2050 Master Portfolio		LifePath Index 2055 Master Portfolio		LifePath Index 2060 Master Portfolio
Purchases	$	166,267,444	$	105,541,755	$	83,907,253	$	53,404,977	$	2,656,658
Sales	$	36,469,442	$	9,729,867	$	8,881,722	$	6,238,753	$	1,034,711

7. Income Tax Information:

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

Each LifePath Index 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 each LifePath Index Master Portfolio’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2015. The statutes of limitations on each LifePath Index 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 LifePath Index Master Portfolios as of June 30, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the LifePath Index Master Portfolios’ financial statements.

As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


	LifePath Index Retirement Master Portfolio			LifePath Index 2020 Master Portfolio			LifePath Index 2025 Master Portfolio			LifePath Index 2030 Master Portfolio			LifePath Index 2035 Master Portfolio
Tax cost	$	561,926,058		$	1,207,032,205		$	999,547,123		$	1,274,698,120		$	797,315,402

Gross unrealized appreciation	$	37,481,680		$	94,775,405		$	59,007,113		$	120,743,448		$	55,786,942
Gross unrealized depreciation		(5,336,725	)		(23,363,815	)		(17,480,311	)		(50,623,745	)		(23,498,812	)

Net unrealized appreciation	$	32,144,955		$	71,411,590		$	41,526,802		$	70,119,703		$	32,288,130


	LifePath Index 2040 Master Portfolio			LifePath Index 2045 Master Portfolio			LifePath Index 2050 Master Portfolio			LifePath Index 2055 Master Portfolio			LifePath Index 2060 Master Portfolio
Tax cost	$	879,109,003		$	442,643,773		$	415,439,094		$	165,570,401		$	1,668,801

Gross unrealized appreciation	$	75,013,452		$	28,123,157		$	27,465,749		$	7,304,253		$	101,644
Gross unrealized depreciation		(31,937,797	)		(12,492,791	)		(13,173,864	)		(3,091,525	)		—

Net unrealized appreciation	$	43,075,655		$	15,630,366		$	14,291,885		$	4,212,728		$	101,644

8. Bank Borrowings:

MIP, on behalf of the LifePath Index Master Portfolios, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.1 billion credit agreement with a group of lenders. Under this agreement, the LifePath Index Master Portfolios may borrow to fund



BLACKROCK FUNDS III	JUNE 30, 2016	113


Notes to Financial Statements (concluded)		Master Investment Portfolio

shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the LifePath Index Master Portfolios, can borrow up to an aggregate commitment amount of $1.6 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 0.12% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2017 unless extended or renewed. Prior to April 21, 2016, the credit agreement had a fee per annum of 0.06% on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statements of Operations. 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 June 30, 2016, the LifePath Index Master Portfolios did not borrow under the credit agreement.

9. Principal Risks:

In the normal course of business, certain LifePath Index Master Portfolios invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the LifePath Index Master Portfolios may decline in response to certain events, including those directly involving the issuers of securities owned by the LifePath Index Master Portfolios. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

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

10. Subsequent Events:

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



114	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Investment Advisory Agreement

The Board of Trustees of Master Investment Portfolio (the “Master Fund”) met in person on April 21, 2016 (the “April Meeting”) and May 18-20, 2016 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Agreement”) between the Master Fund, on behalf of LifePath Index Retirement Master Portfolio, LifePath Index 2020 Master Portfolio, LifePath Index 2025 Master Portfolio, LifePath Index 2030 Master Portfolio, LifePath Index 2035 Master Portfolio, LifePath Index 2040 Master Portfolio, LifePath Index 2045 Master Portfolio, LifePath Index 2050 Master Portfolio and LifePath Index 2055 Master Portfolio (each, a “Master Portfolio” and collectively, the “Master Portfolios”), each a series of the Master Fund, and BlackRock Fund Advisors (the “Manager” or “BlackRock”), the Master Fund’s investment advisor. Each of BlackRock LifePath Index Retirement Fund, BlackRock LifePath Index 2020 Fund, BlackRock LifePath Index 2025 Fund, BlackRock LifePath Index 2030 Fund, BlackRock LifePath Index 2035 Fund, BlackRock LifePath Index 2040 Fund, BlackRock LifePath Index 2045 Fund, BlackRock LifePath Index 2050 Fund and BlackRock LifePath Index 2055 Fund (each, a “Portfolio” and collectively, the “Portfolios”), each a series of BlackRock Funds III (the “Fund”), is a “feeder” fund that invests all of its investable assets in the corresponding Master Portfolio. Accordingly, the Board of Trustees of the Fund also considered the approval of the Agreement with respect to each Master Portfolio. For simplicity: (a) the Board of Trustees of the Master Fund and the Board of Trustees of the Fund are referred to herein collectively as the “Board,” and the members are referred to as “Board Members;” and (b) the shareholders of each Portfolio and the interest holders of each Master Portfolio are referred to as “shareholders.”

Activities and Composition of the Board

The Agreement

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Master Portfolios, the Portfolios and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreement.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolios and/or the Portfolios for services; (c) the Master Portfolios’ and/or the Portfolios’ operating expenses and how BlackRock allocates expenses to the Master Portfolios and the Portfolios; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Master Portfolio’s and Portfolio’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Master Fund’s and the Fund’s compliance with its respective compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master Fund’s and/or the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Master Portfolios and/or the Portfolios; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreement



BLACKROCK FUNDS III	JUNE 30, 2016	115


Disclosure of Investment Advisory Agreement (continued)

assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on fees and expenses of each Master Portfolio and Portfolio, as applicable, as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Portfolio as compared with a peer group of funds as determined by Broadridge¹, as well as the performance of each Portfolio as compared with its benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Master Portfolio and/or Portfolio to BlackRock; and (g) sales and redemption data regarding each Portfolio’s shares.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of each Portfolio. Throughout the year, the Board compared each Portfolio’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Master Portfolio’s portfolio management team discussing the relevant Master Portfolio’s performance and the Master Portfolio’s investment objective(s), strategies and outlook.

In addition to investment advisory services, the Board considered the quality of the administrative and other non-investment advisory services provided to the Master Portfolios and the Portfolios. BlackRock and its affiliates provide the Master Portfolios and the Portfolios with certain administrative, shareholder and other services (in addition to any such services provided to the Master Portfolios and the Portfolios by third parties) and officers and other personnel as are necessary for the operations of the Master Portfolios and the Portfolios. In particular, BlackRock and its affiliates provide the Master Portfolios and the Portfolios with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) preparing periodic filings with regulators; (iv) overseeing and coordinating the activities of other service providers; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing other administrative functions necessary for the operation of the Master Portfolios and the Portfolios, such as tax reporting, fulfilling regulatory filing requirements and call

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.



116	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Investment Advisory Agreement (continued)

center services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Master Portfolios, the Portfolios and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of each Master Portfolio and Portfolio, as applicable. The Board noted that each Portfolio’s investment results correspond directly to the investment results of the applicable Master Portfolio. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of each Portfolio’s performance. The Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board received and reviewed information regarding the investment performance of each Portfolio as compared to other funds in its applicable Broadridge category and the performance of each Portfolio as compared with its benchmark. The Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. The Board was provided with information on the composition of the Broadridge performance universes and expense universes. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of each Master Portfolio and Portfolio, as applicable, throughout the year.

The Board noted that for each of the one-year, three-year and since-inception periods reported, each Portfolio’s net performance was within tolerance of its benchmark. BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for each of the Portfolios.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolios and the Portfolios: The Board, including the Independent Board Members, reviewed each Master Portfolio’s/Portfolio’s contractual management fee rate compared with the other funds in the Portfolio’s Broadridge category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Portfolio’s total expense ratio, as well as each Master Portfolio’s/Portfolio’s actual management fee rate, to those of other funds in the Portfolio’s Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

In addition, the Board considered the cost of the services provided to the Master Portfolios and the Portfolios by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolios and the Portfolios and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing the Master Portfolios and the Portfolios, to each Master Portfolio or Portfolio, as pertinent. The Board may receive and review information from independent third parties as part of its annual evaluation. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Master Portfolios and the Portfolios in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.



BLACKROCK FUNDS III	JUNE 30, 2016	117


Disclosure of Investment Advisory Agreement (continued)

The Board noted that the varying fee structures for fund of funds can limit the value of management fee comparisons.

The Board also noted that the contractual management fee of each of LifePath Index 2045 Master Portfolio/BlackRock LifePath Index 2045 Fund and LifePath Index 2050 Master Portfolio/BlackRock LifePath Index 2050 Fund ranked in the second quartile. The Board also noted that the actual management fee rate of each of these Master Portfolios/Portfolios and the total expense ratio of each of these Portfolios each ranked in the first quartile, relative to the relevant Portfolio’s Expense Peers.

The Board also noted that LifePath Index Retirement Master Portfolio’s/BlackRock LifePath Index Retirement Fund’s contractual management fee rate ranked second out of four funds, and that the actual management fee rate and the Portfolio’s total expense ratio ranked third out of four funds and in the first quartile, respectively, relative to the Portfolio’s Expense Peers.

The Board also noted that the contractual management fee rate of each of LifePath Index 2020 Master Portfolio/BlackRock LifePath Index 2020 Fund, LifePath Index 2030 Master Portfolio/BlackRock LifePath Index 2030 Fund, LifePath Index 2035 Master Portfolio/BlackRock LifePath Index 2035 Fund and LifePath Index 2040 Master Portfolio/BlackRock LifePath Index 2040 Fund ranked in the second quartile. The Board also noted that the actual management fee rate of each of these Master Portfolios/Portfolios and the total expense ratio of each of these Portfolios ranked in the second and first quartiles, respectively, relative to the relevant Portfolio’s Expense Peers.

The Board also noted that LifePath Index 2025 Master Portfolio’s/BlackRock LifePath Index 2025 Fund’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and the Portfolio’s total expense ratio ranked in the third and first quartiles, respectively, relative to the Portfolio’s Expense Peers.

The Board also noted that LifePath Index 2055 Master Portfolio’s/BlackRock LifePath Index 2055 Fund’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and the Portfolio’s total expense ratio each ranked in the first quartile, relative to the Portfolio’s Expense Peers.

The Board also noted that, with respect to each Portfolio, BlackRock has contractually agreed to a cap on the Portfolio’s total expenses as a percentage of the Portfolio’s average daily net assets on a class-by-class basis. The Board further noted that with respect to BlackRock LifePath Index 2035 Fund, BlackRock LifePath Index 2040 Fund, BlackRock LifePath Index 2045 Fund, BlackRock LifePath Index 2050 Fund and BlackRock Index 2055 Fund, BlackRock proposed, and the Board agreed to, a lower contractual expense cap on each of these Portfolios on a class-by-class basis. This expense cap reduction was implemented on April 30, 2015.

Conclusion



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Disclosure of Investment Advisory Agreement (concluded)

Independent Board Members, also considered the continuation of the Agreement with respect to each Master Portfolio and found the Agreement to be satisfactory. In arriving at its decision to approve the Agreement, the Board of the Master Fund did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolios reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.



BLACKROCK FUNDS III	JUNE 30, 2016	119


Disclosure of Investment Advisory Agreement

The Board of Trustees of Master Investment Portfolio (the “Master Fund”) met in person on November 18-20, 2015 (the “Meeting”) to consider the approval of the proposed investment advisory agreement (the “Agreement”) between the Master Fund, on behalf LifePath Index 2060 Master Portfolio (the “Master Portfolio”), a series of the Master Fund, and BlackRock Fund Advisors (the “Manager” or “BlackRock”), the Master Fund’s investment advisor. BlackRock LifePath Index 2060 Fund (the “Portfolio”), a series of BlackRock Funds III (the “Fund”), is a “feeder” fund that invests all of its investable assets in the Master Portfolio. Accordingly, the Board of Trustees of the Fund also considered the approval of the proposed Agreement with respect to the Master Portfolio. The Agreement was the same agreement that had been previously approved by the Board of the Master Fund with respect to certain other master portfolios of the Master Fund. For simplicity: (a) the Board of Trustees of the Master Fund and the Board of Trustees of the Fund are referred to herein collectively as the “Board,” and the members are referred to as “Board Members;” and (b) the shareholders of the Portfolio and the interest holders of the Master Portfolio are referred to as “shareholders.” The Master Portfolio and the Portfolio each commenced operations in February 2016.

Activities and Composition of the Board

On the date of the Meeting, the Board consisted of fifteen individuals, thirteen of whom were not “interested persons” of the Master Fund or the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Master Fund or the Fund, as pertinent, and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Board Member. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight and Contract Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreement

Pursuant to the 1940 Act, the Board of the Master Fund is required to consider the initial approval of the Agreement. In connection with this process, the Board assessed, among other things, the nature, extent and quality of the services to be provided to the Master Portfolio and the Portfolio by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management; administrative and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

Board Considerations in Approving the Agreement

The Approval Process: At the Meeting, the Board reviewed materials relating to its consideration of the Agreement. The Board considered all factors it believed relevant with respect to the Master Portfolio and the Portfolio, including, among other factors: (a) the nature, extent and quality of the services to be provided by BlackRock; (b) the investment performance of BlackRock portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio and the Portfolio; (d) the sharing of potential economies of scale; (e) fall out benefits to BlackRock and its affiliates from their relationship with the Master Portfolio and the Portfolio; (f) possible alternatives to the proposed Agreement; (g) the policies and practices of BlackRock with respect to portfolio transactions for the Portfolio; (h) BlackRock’s portfolio compliance systems and capabilities; and (i) other factors deemed relevant by the Board Members.

In considering approval of the Agreement, the Board met with the relevant investment advisory personnel from BlackRock and considered all information it deemed reasonably necessary to evaluate the terms of the Agreement. The Board received materials in advance of the Meeting relating to its consideration of the Agreement, including fees and estimated expense ratios of each class of the Portfolio, and for a representative class of the Portfolio, as compared with the fees and expense ratios of a peer group of funds as determined by Broadridge Financial Solutions, Inc. (“Broadridge”)¹. The Board also received (a) information regarding BlackRock’s economic outlook for the Master Portfolio and the Portfolio and its general investment outlook for the markets; (b) information regarding fees paid to service providers that are affiliates of BlackRock; and (c) information outlining the legal duties of the Board under the 1940 Act with respect to the consideration and approval of the Agreement. The Board also noted information received at prior Board meetings concerning compliance records and regulatory matters relating to BlackRock.

The Board also considered other matters it deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to the distribution of Portfolio shares, securities lending and cash management, services related to the valuation and pricing of portfolio holdings of the Portfolio, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Master Portfolio and the Portfolio and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services to be provided by BlackRock, including the investment advisory services to be provided to the Master Portfolio. The Board received information concerning the investment philosophy and investment process to be used by BlackRock in managing the Master Portfolio, as well as a description of the capabilities,

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.



120	BLACKROCK FUNDS III	JUNE 30, 2016


Disclosure of Investment Advisory Agreement (continued)

personnel and services of BlackRock. In connection with this review, the Board considered BlackRock’s in-house research capabilities as well as other resources available to its personnel. The Board considered the scope of the services provided by BlackRock to the Master Portfolio and the Portfolio under the Agreement relative to services typically provided by third parties to other funds. The Board noted that the standard of care applicable under the Agreement was comparable to that found generally in investment company advisory agreements. The Board concluded that the scope of BlackRock’s services to be provided to the Master Portfolio and the Portfolio was consistent with the Master Portfolio’s and the Portfolio’s operational requirements, including, in addition to seeking to meet the Master Portfolio’s investment objective(s), compliance with investment restrictions, tax and reporting requirements and related shareholder services.

The Board, including the Independent Board Members, also considered the quality of the administrative and other non-investment advisory services to be provided by BlackRock and its affiliates to the Master Portfolio and the Portfolio. The Board evaluated the procedures of BlackRock designed to fulfill its fiduciary duty to the Master Portfolio and the Portfolio with respect to possible conflicts of interest, including BlackRock’s code of ethics (regulating the personal trading of BlackRock’s officers and employees), the procedures by which BlackRock allocates trades among its various investment advisory clients, the integrity of the systems in place to ensure compliance with the foregoing and the record of BlackRock in these matters. The Board also noted information received at prior Board meetings concerning standards of BlackRock with respect to the execution of portfolio transactions.

The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and the Master Portfolio’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board reviewed BlackRock’s compensation structure with respect to the Master Portfolio’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives. The Board also considered the business reputation of BlackRock and its financial resources and concluded that BlackRock would be able to meet any reasonably foreseeable obligation under the Agreement.

In addition to investment advisory services, the Board considered the quality of the administrative and other non-investment advisory services to be provided to the Master Portfolio and the Portfolio. The Board noted that BlackRock and its affiliates will provide the Master Portfolio and the Portfolio with certain administrative, shareholder and other services (in addition to any such services provided to the Master Portfolio and the Portfolio by third parties) and officers and other personnel as are necessary for the operations of the Master Portfolio and the Portfolio. In particular, BlackRock and its affiliates will provide the Master Portfolio and the Portfolio with administrative services, including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus, the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) preparing periodic filings with regulators; (iv) overseeing and coordinating the activities of other service providers; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing other administrative functions necessary for the operation of the Master Portfolio and the Portfolio, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Master Portfolio and the Portfolio and BlackRock: The Board, including the Independent Board Members, previously received and considered information about BlackRock’s investment performance for other funds. The Board, however, did not consider the performance history of the Master Portfolio and the Portfolio because the Master Portfolio and the Portfolio were newly organized and had not yet commenced operations as of the date of the Meeting.

C. Consideration of the Advisory Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio and the Portfolio: In connection with the initial approval of the Agreement, the Board, including the Independent Board Members, reviewed the Portfolio’s contractual management fee rate compared with the other funds in its Broadridge category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Portfolio’s estimated total expense ratio, as well as its estimated actual management fee rate, to those of other funds in its Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. Additionally, the Board noted information received at prior Board meetings concerning the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board noted that the varying fee structures for fund of funds can limit the value of management fee comparisons. The Board also noted that the Master Portfolio’s/Portfolio’s contractual management fee rate ranked first out of four funds, and that the estimated actual management fee rate and the Portfolio’s estimated total expense ratio each ranked in the first quartile, relative to the Portfolio’s Expense Peers. The Board also noted that BlackRock has contractually agreed to a cap on the Portfolio’s total net operating expenses as a percentage of the Portfolio’s average daily net assets on a class-by-class basis.



BLACKROCK FUNDS III	JUNE 30, 2016	121


Disclosure of Investment Advisory Agreement (concluded)

Following consideration of this information, the Board, including the independent Board Members, concluded that the fees to be paid pursuant to the Agreement were fair and reasonable in light of the services provided.

As the Master Portfolio and the Portfolio had not commenced operations as of the date of the Meeting, BlackRock was not able to provide the Board with specific information concerning the expected profits to be realized by BlackRock and its affiliates from their relationships with the Master Portfolio and the Portfolio. BlackRock, however, will provide the Board with such information at future meetings.

E. Other Factors Deemed Relevant by the Board Members: The Board, including a majority of the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Master Portfolio and the Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolio and the Portfolio, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.

The Board, including the Independent Board Members, concluded that these ancillary benefits that BlackRock and its affiliates could receive with regard to providing investment advisory and other services to the Master Portfolio and the Portfolio were consistent with those generally available to other mutual fund sponsors.

Conclusion

All the Members of the Board of the Master Fund present at the Meeting, including all the Independent Board Members present, approved the Agreement between the Manager and the Master Fund, with respect to the Master Portfolio, for a two-year term beginning on the effective date of the Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board of the Master Fund, including a majority of the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of the Master Portfolio and its shareholders. The Board of the Fund, including the Independent Board Members, also considered the approval of the Agreement with respect to the Master Portfolio and found the Agreement to be satisfactory. In arriving at its decision to approve the Agreement, the Board of the Master Fund did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.



122	BLACKROCK FUNDS III	JUNE 30, 2016


Officers and Trustees

Rodney D. Johnson, Chair of the Board and Trustee

David O. Beim, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Barbara G. Novick, Trustee

Dr. Matina S. Horner, Trustee

Cynthia A. Montgomery, Trustee

Joseph P. Platt, Trustee

Robert C. Robb, Jr., Trustee

Mark Stalnecker, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Frederick W. Winter, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Richard Hoerner, CFA, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Fernanda Piedra, Anti-Money Laundering Compliance Officer

Benjamin Archibald, Secretary

Effective February 5, 2016, Frank J. Fabozzi resigned as a Trustee of the Trust/MIP.

Effective February 8, 2016, Susan J. Carter, Neil A. Cotty and Claire A. Walton were elected to serve as Trustees of the Trust/MIP.



Investment Adviser BlackRock Fund Advisors San Francisco, CA 94105	Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02110	Distributor BlackRock Investments, LLC New York, NY 10022	Legal Counsel Sidley Austin LLP New York, NY 10019

Administrator BlackRock Advisors, LLC Wilmington, DE 19809	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105



BLACKROCK FUNDS III	JUNE 30, 2016	123


Additional Information

Proxy Results

BlackRock Funds III

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of the Trust.


		Votes For		Votes Withheld
Approved the Trustees* as follows:	David O. Beim		61,938,311,360		43,835,788
	Susan J. Carter		61,780,259,925		201,887,223
	Collette Chilton		61,948,124,716		34,022,432
	Neil A. Cotty		61,775,834,676		206,312,472
	Matina S. Horner		61,940,727,663		41,419,485
	Rodney D. Johnson		61,941,649,924		40,497,224
	Cynthia A. Montgomery		61,943,332,673		38,814,475
	Joseph P. Platt		61,944,232,208		37,914,940
	Robert C. Robb, Jr.		61,944,234,953		37,912,195
	Mark Stalnecker		61,943,725,951		38,421,197
	Kenneth L. Urish		61,944,152,210		37,994,938
	Claire A. Walton		61,784,560,644		197,586,504
	Frederick W. Winter		61,939,767,717		42,379,431
	Barbara G. Novick		61,947,782,498		34,364,650
	John M. Perlowski		61,944,381,941		37,765,207

Denotes Trust-wide proposal and voting results.

Master Investment Portfolio

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of MIP.


		Votes For		Votes Withheld
Approved the Trustees* as follows:	David O. Beim		93,744,625,170		102,294,210
	Susan J. Carter		93,564,604,497		282,314,883
	Collette Chilton		93,778,667,881		68,251,499
	Neil A. Cotty		93,524,182,594		322,736,786
	Matina S. Horner		93,744,748,738		102,170,642
	Rodney D. Johnson		93,743,366,844		103,552,536
	Cynthia A. Montgomery		93,738,956,489		107,962,891
	Joseph P. Platt		93,750,384,350		96,535,030
	Robert C. Robb, Jr.		93,749,078,613		97,840,767
	Mark Stalnecker		93,668,711,867		178,207,513
	Kenneth L. Urish		93,694,700,012		152,219,368
	Claire A. Walton		93,569,519,963		277,399,417
	Frederick W. Winter		93,699,601,190		147,318,190
	Barbara G. Novick		93,778,480,450		68,438,930
	John M. Perlowski		93,744,975,345		101,944,035

Denotes Trust-wide proposal and voting results.

General Information

Householding

The LifePath Index Funds 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 LifePath Index Funds at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The LifePath Index Funds/LifePath Index Master Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The LifePath Index Funds’/LifePath Index Master Portfolios’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The LifePath Index Funds’/ LifePath Index Master Portfolios’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.



124	BLACKROCK FUNDS III	JUNE 30, 2016


Additional Information (continued)

General Information (concluded)

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the LifePath Index Funds/LifePath Index Master Portfolios use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the LifePath Index Funds/LifePath Index Master Portfolios voted proxies relating to securities held in the LifePath Index Funds’/LifePath Index Master Portfolios’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family



BLACKROCK FUNDS III	JUNE 30, 2016	125


Additional Information (concluded)

Shareholder Privileges

Account 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



126	BLACKROCK FUNDS III	JUNE 30, 2016

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 a LifePath Index Fund unless preceded or accompanied by that LifePath Index 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.

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LPindex-6/16-SAR

JUNE 30, 2016

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock S&P 500 Index Fund | of BlackRock Funds III

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


	Page
The Markets in Review		3
Semi-Annual Report:
Fund Summary		4
About Fund Performance		6
Disclosure of Expenses		6
Derivative Financial Instruments		6
Fund Financial Statements:
Statement of Assets and Liabilities		7
Statement of Operations		8
Statements of Changes in Net Assets		9
Fund Financial Highlights		10
Fund Notes to Financial Statements		15
Master Portfolio Information		19
Master Portfolio Financial Statements:
Schedule of Investments		20
Statement of Assets and Liabilities		28
Statement of Operations		29
Statements of Changes in Net Assets		30
Master Portfolio Financial Highlights		30
Master Portfolio Notes to Financial Statements		31
Disclosure of Investment Advisory Agreement		37
Officers and Trustees		41
Additional Information		42

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2	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016

The Markets in Review

Dear Shareholder,

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of June 30, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		3.84	%		3.99	%
U.S. small cap equities (Russell 2000^® Index)		2.22			(6.73	)
International equities (MSCI Europe, Australasia, Far East Index)		(4.42	)		(10.16	)
Emerging market equities (MSCI Emerging Markets Index)		6.41			(12.05	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.15			0.19
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		7.95			9.49
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)		5.31			6.00
Tax-exempt municipal bonds (S&P Municipal Bond Index)		4.35			7.80
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		9.06			1.65
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



		THIS PAGE NOT PART OF YOUR FUND REPORT				3


Fund Summary as of June 30, 2016


Investment Objective

BlackRock S&P 500 Index Fund’s (the “Fund”) investment objective is to seek to provide investment results that correspond to the total return performance of publicly-traded common stocks in the aggregate, as represented by the Standard & Poor’s (“S&P”) 500^® Index.


Portfolio Management Commentary

How did the Fund perform?

•

For the six-month period ended June 30, 2016, the Fund’s Institutional Shares returned 3.77%, Service Shares returned 3.71%, Investor A Shares returned 3.64%, Investor C1 Shares returned 3.27% and Class K Shares returned 3.81%. The benchmark S&P 500^® Index returned 3.84% for the same period.

•

Returns for the Fund’s respective share classes differ from the benchmark index based on individual share-class expenses. The Fund invests all of its assets in S&P 500^® Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.

Describe the market environment.

•

Market-moving events and headlines in the first half of the year have been dominated by slowing global growth fears and geopolitical events.

•

The first week of the year was the worst start to a year since 2009, and by February 11, the S&P 500^® Index hit a low for the year of (10.27)%. With fears of a global economic slowdown, oil prices cratering, and terrorist attacks in Istanbul, Jakarta, and Pakistan, equities suffered.

•

Fed kept rates unchanged and scaled back the expected number of rate hikes this year. Despite the terror attacks in Brussels, the market rallied in March, and the S&P 500^® Index ended the first quarter up 1.35%.

•

Domestic equity markets posted gains in the first half of the year despite increased volatility in June from the “Brexit”, i.e., the United Kingdom’s vote to leave the European Union. Following the vote, equity markets declined worldwide, and investors rushed to high quality assets, driving U.S. Treasury yields further down. However, U.S. equities capitalized on the upward momentum from their March rally, which continued through the second quarter as commodities rebounded and dovish comments from the Fed fueled the market.

Describe recent portfolio activity.

•

During the period, as changes were made to the composition of the S&P 500^® Index, the Master Portfolio purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index.

Describe portfolio positioning at period end.

•

The Master Portfolio remains positioned to match the risk characteristics of its benchmark index, irrespective of the market’s future direction.



4	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Total Return Based on a $10,000 Investment

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Assuming transaction costs and other operating expenses, including administration fees, if any.

The Fund invests all of its assets in the Master Portfolio. The Master Portfolio invests primarily in a diversified portfolio of equity securities of large companies located in the United States.

An unmanaged index that covers 500 leading companies and captures approximately 80% coverage of available market capitalization.


Performance Summary for the Period Ended June 30, 2016


	6-Month Total Returns			Average Annual Total Returns⁴
				1 Year			5 Years			10 Years
				w/o sales charge			w/o sales charge			w/o sales charge
Institutional		3.77	%		3.86	%		11.92	%		7.26	%
Service		3.71			3.72			11.78			7.12
Investor A		3.64			3.59			11.64			6.99
Investor C1		3.27			2.84			10.84			6.22
Class K		3.81			3.92			12.00			7.33
S&P 500^® Index		3.84			3.99			12.10			7.42

⁴

See “About Fund Performance” on page 6 for a detailed description of share classes, including any related sales charges and fees.

Past performance is not indicative of future results.

Expense Example


	Actual						Hypothetical⁶
	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period⁵		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period⁵		Annualized Expense Ratio
Institutional	$	1,000.00	$	1,037.70	$	0.56	$	1,000.00	$	1,024.32	$	0.55		0.11	%
Service	$	1,000.00	$	1,037.10	$	1.16	$	1,000.00	$	1,023.72	$	1.16		0.23	%
Investor A	$	1,000.00	$	1,036.40	$	1.82	$	1,000.00	$	1,023.07	$	1.81		0.36	%
Investor C1	$	1,000.00	$	1,032.70	$	5.46	$	1,000.00	$	1,019.49	$	5.42		1.08	%
Class K	$	1,000.00	$	1,038.10	$	0.20	$	1,000.00	$	1,024.66	$	0.20		0.04	%

⁵

For each class of the Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). Because the Fund invests 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.

⁶

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.

See “Disclosure of Expenses” on page 6 for further information on how expenses were calculated.



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	5


About Fund Performance

•

Service Shares are not subject to any sales charge. These shares are subject to a service fee of 0.15% per year (but no distribution fee) and are available only to certain eligible investors.

•

Investor C1 Shares are not subject to any sales charge. These shares are subject to a distribution fee of 0.75% per year and a service fee of 0.15% per year. These shares are only available for dividend and capital gain reinvestment by existing shareholders and for purchase by certain employer-sponsored retirement plans.

Prior to the inception date of April 10, 2013 for Institutional and Investor A Shares and prior to the inception date of April 19, 2013 for Service and Investor C1 Shares, the performance of the classes is based on the returns of the Class K Shares, adjusted to reflect the

estimated annual fund fees and operating expenses of each respective share class of the Fund.

BlackRock Advisors, LLC (“BAL” or the “Administrator”), the Fund’s administrator, voluntarily waived a portion of the Fund’s expenses. Without such waiver, the Fund’s performance would have been lower. The Administrator is under no obligation to waive or to continue waiving its fees and such voluntary waiver may be reduced or discontinued at any time. See Note 4 of the Notes to Financial Statements for additional information on waivers.

Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses and other Fund expenses. The expense example on previous page (which is based on a hypothetical investment of $1,000 invested on January 1, 2016 and held through June 30, 2016) 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.

Derivative Financial Instruments

of the counterparty to the transaction or illiquidity of the instrument. The Master Portfolio’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.



6	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Statement of Assets and Liabilities		BlackRock S&P 500 Index Fund


June 30, 2016 (Unaudited)

Asset
Investments at value — Master Portfolio (cost — $5,379,439,096)	$	7,151,790,922
Capital shares sold Receivable		33,350,761

Total assets		7,185,141,683


Liabilities
Payables:
Capital shares redeemed		23,848,742
Income dividends		16,520,398
Contributions to the Master Portfolio		9,502,019
Capital gain distributions		3,921,392
Service and distribution fees		373,510
Administration fees		310,796
Professional fees		9,815
Other accrued expenses		299

Total liabilities		54,486,971

Net Assets	$	7,130,654,712


Net Assets Consist of
Paid-in capital	$	5,200,990,492
Distributions in excess of net investment income		(5,774,278	)
Accumulated net realized gain allocated from the Master Portfolio		163,086,672
Net unrealized appreciation (depreciation) allocated from the Master Portfolio		1,772,351,826

Net Assets	$	7,130,654,712


Net Asset Value
Institutional — Based on net assets of $3,773,964,957 and 15,041,861 shares outstanding, unlimited number of shares authorized, no par value	$	250.90

Service — Based on net assets of $334,250,102 and 1,332,304 shares outstanding, unlimited number of shares authorized, no par value	$	250.88

Investor A — Based on net assets of $1,400,038,232 and 5,580,586 shares outstanding, unlimited number of shares authorized, no par value	$	250.88

Investor C1 — Based on net assets of $74,151,163 and 295,501 shares outstanding, unlimited number of shares authorized, no par value	$	250.93

Class K — Based on net assets of $1,548,250,258 and 6,169,808 shares outstanding, unlimited number of shares authorized, no par value	$	250.94


Statement of Operations		BlackRock S&P 500 Index Fund


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Net investment income allocated from the Master Portfolio:
Dividends — unaffiliated	$	69,141,430
Dividends — affiliated		1,002,568
Securities lending — affiliated — net		142,815
Foreign taxes withheld		(88,730	)
Expenses		(1,395,287	)
Fees waived		193,272

Total income		68,996,068


Fund Expenses
Administration — class specific		1,766,757
Service and distribution — class specific		2,158,874
Professional		7,038
Miscellaneous		56

Total expenses		3,932,725
Less fees waived by the Administrator		(7,038	)

Total expenses after fees waived		3,925,687

Net investment income		65,070,381


Realized and Unrealized Gain Allocation from the Master Portfolio
Net realized gain from investments and futures contracts		25,081,623
Net change in unrealized appreciation (depreciation) on investments and futures contracts		182,832,920

Net realized and unrealized gain		207,914,543

Net Increase in Net Assets Resulting from Operations	$	272,984,924


Statements of Changes in Net Assets		BlackRock S&P 500 Index Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	65,070,381		$	101,541,341
Net realized gain		25,081,623			78,044,657
Net change in unrealized appreciation (depreciation)		182,832,920			(128,478,964	)

Net increase in net assets resulting from operations		272,984,924			51,107,034


Distributions to Shareholders¹
From net investment income:
Institutional		(37,383,090	)		(57,769,260	)
Service		(3,052,998	)		(5,322,477	)
Investor A		(12,188,388	)		(20,472,384	)
Investor C1		(407,151	)		(718,684	)
Class K		(15,182,947	)		(20,537,451	)
From net realized gain:
Institutional		(4,070,554	)		(15,240,580	)
Service		(362,635	)		(1,436,649	)
Investor A		(1,507,354	)		(5,932,833	)
Investor C1		(80,046	)		(349,393	)
Class K		(1,667,833	)		(5,391,331	)

Decrease in net assets resulting from distributions to shareholders		(75,902,996	)		(133,171,042	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		880,616,258			1,795,625,047


Net Assets
Total increase in net assets		1,077,698,186			1,713,561,039
Beginning of period		6,052,956,526			4,339,395,487

End of period	$	7,130,654,712		$	6,052,956,526

Distributions in excess of net investment income, end of period	$	(5,774,278	)	$	(2,630,085	)

¹Distributions for annual periods determined in accordance with federal income tax regulations.


Financial Highlights		BlackRock S&P 500 Index Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,						Period April 10, 2013¹to December 31, 2013
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			Period April 10, 2013¹to December 31, 2013

Per Share Operating Performance
Net asset value, beginning of period	$	244.52		$	247.36		$	221.97		$	190.60

Net investment income²		2.49			4.79			4.28			2.89
Net realized and unrealized gain (loss)		6.70			(1.71	)		25.50			31.21

Net increase from investment operations		9.19			3.08			29.78			34.10

Distributions:³
From net investment income		(2.54	)		(4.77	)		(4.39	)		(2.73	)
From net realized gain		(0.27	)		(1.15	)		—			—

Total distributions		(2.81	)		(5.92	)		(4.39	)		(2.73	)

Net asset value, end of period	$	250.90		$	244.52		$	247.36		$	221.97


Total Return⁴
Based on net asset value		3.77%	⁵		1.28%			13.53%			18.03%	⁵


Ratios to Average Net Assets⁶
Total expenses		0.11%	^7,8		0.11%	⁹		0.14%	⁷		0.23%	^7,8

Total expenses after fees waived		0.11%	^7,8		0.11%	⁹		0.14%	⁷		0.23%	^7,8

Net investment income		2.08%	^7,8		1.93%	⁹		1.84%	⁷		1.93%	^7,8


Supplemental Data
Net assets, end of period (000)	$	3,773,965		$	3,247,607		$	1,909,077		$	1,570,760

Portfolio turnover of the Master Portfolio		2%			2%			3%			2%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷

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

⁸

Annualized.

⁹

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


Financial Highlights (continued)		BlackRock S&P 500 Index Fund


	Service
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,						Period April 19, 2013¹ to December 31, 2013
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			Period April 19, 2013¹ to December 31, 2013

Per Share Operating Performance
Net asset value, beginning of period	$	244.52		$	247.35		$	221.97		$	186.71

Net investment income²		2.35			4.48			3.98			2.59
Net realized and unrealized gain (loss)		6.68			(1.69	)		25.50			35.22

Net increase from investment operations		9.03			2.79			29.48			37.81

Distributions:³
From net investment income		(2.40	)		(4.47	)		(4.10	)		(2.55	)
From net realized gain		(0.27	)		(1.15	)		—			—

Total distributions		(2.67	)		(5.62	)		(4.10	)		(2.55	)

Net asset value, end of period	$	250.88		$	244.52		$	247.35		$	221.97


Total Return⁴
Based on net asset value		3.71%	⁵		1.16%			13.39%			20.39%	⁵


Ratios to Average Net Assets⁶
Total expenses		0.23%	^7,8		0.23%	⁹		0.27%	⁷		0.35%	^7,8

Total expenses after fees waived		0.23%	^7,8		0.23%	⁹		0.27%	⁷		0.35%	^7,8

Net investment income		1.96%	^7,8		1.81%	⁹		1.71%	⁷		1.81%	^7,8


Supplemental Data
Net assets, end of period (000)	$	334,250		$	304,088		$	277,856		$	252,419

Portfolio turnover of the Master Portfolio		2%			2%			3%			2%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷

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

⁸

Annualized.

⁹

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


Financial Highlights (continued)		BlackRock S&P 500 Index Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,						Period April 10, 2013¹ to December 31, 2013
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			Period April 10, 2013¹ to December 31, 2013

Per Share Operating Performance
Net asset value, beginning of period	$	244.52		$	247.35		$	221.96		$	190.60

Net investment income²		2.19			4.16			3.68			2.50
Net realized and unrealized gain (loss)		6.68			(1.69	)		25.51			31.23

Net increase from investment operations		8.87			2.47			29.19			33.73

Distributions:³
From net investment income		(2.24	)		(4.15	)		(3.80	)		(2.37	)
From net realized gain		(0.27	)		(1.15	)		—			—

Total distributions		(2.51	)		(5.30	)		(3.80	)		(2.37	)

Net asset value, end of period	$	250.88		$	244.52		$	247.35		$	221.96


Total Return⁴
Based on net asset value		3.64%	⁵		1.03%			13.25%			17.82%	⁵


Ratios to Average Net Assets⁶
Total expenses		0.36%	^7,8		0.36%	⁹		0.39%	⁷		0.48%	^7,8

Total expenses after fees waived		0.36%	^7,8		0.36%	⁹		0.39%	⁷		0.48%	^7,8

Net investment income		1.83%	^7,8		1.68%	⁹		1.59%	⁷		1.67%	^7,8


Supplemental Data
Net assets, end of period (000)	$	1,400,038		$	1,281,538		$	1,149,714		$	1,046,428

Portfolio turnover of the Master Portfolio		2%			2%			3%			2%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷

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

⁸

Annualized.

⁹

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


Financial Highlights (continued)		BlackRock S&P 500 Index Fund


	Investor C1
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,						Period April 19, 2013¹ to December 31, 2013
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			Period April 19, 2013¹ to December 31, 2013

Per Share Operating Performance
Net asset value, beginning of period	$	244.59		$	247.36		$	221.98		$	186.71

Net investment income²		1.33			2.36			1.98			1.38
Net realized and unrealized gain (loss)		6.65			(1.65	)		25.48			35.22

Net increase from investment operations		7.98			0.71			27.46			36.60

Distributions:³
From net investment income		(1.37	)		(2.33	)		(2.08	)		(1.33	)
From net realized gain		(0.27	)		(1.15	)		—			—

Total distributions		(1.64	)		(3.48	)		(2.08	)		(1.33	)

Net asset value, end of period	$	250.93		$	244.59		$	247.36		$	221.98


Total Return⁴
Based on net asset value		3.27%	⁵		0.30%			12.42%			19.68%	⁵


Ratios to Average Net Assets⁶
Total expenses		1.08%	^7,8		1.08%	⁹		1.12%	⁷		1.19%	^7,8

Total expenses after fees waived		1.08%	^7,8		1.08%	⁹		1.12%	⁷		1.19%	^7,8

Net investment income		1.11%	^7,8		0.95%	⁹		0.85%	⁷		0.97%	^7,8


Supplemental Data
Net assets, end of period (000)	$	74,151		$	74,558		$	79,476		$	77,040

Portfolio turnover of the Master Portfolio		2%			2%			3%			2%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷

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

⁸

Annualized.

⁹

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


Financial Highlights (concluded)		BlackRock S&P 500 Index Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	244.56		$	247.39		$	221.99		$	171.12		$	150.57		$	150.60

Net investment income¹		2.57			4.97			4.44			3.91			3.57			2.97
Net realized and unrealized gain (loss)		6.70			(1.72	)		25.51			50.74			20.23			(0.05	)

Net increase from investment operations		9.27			3.25			29.95			54.65			23.80			2.92

Distributions:²
From net investment income		(2.62	)		(4.93	)		(4.55	)		(3.78	)		(3.25	)		(2.92	)
From net realized gain		(0.27	)		(1.15	)		—			—			—			—
From return of capital		—			—			—			—			—			(0.03	)

Total distributions		(2.89	)		(6.08	)		(4.55	)		(3.78	)		(3.25	)		(2.95	)

Net asset value, end of period	$	250.94		$	244.56		$	247.39		$	221.99		$	171.12		$	150.57


Total Return³
Based on net asset value		3.81%	⁴		1.35%			13.61%			32.21%			15.85%			2.00%


Ratios to Average Net Assets⁵
Total expenses		0.04%	^6,7		0.04%	⁸		0.07%	⁷		0.17%	⁷		0.26%	⁸		0.19%	⁷

Total expenses after fees waived		0.04%	^6,7		0.04%	⁸		0.07%	⁷		0.16%	⁷		0.18%	⁸		0.18%	⁷

Net investment income		2.14%	^6,7		2.00%	⁸		1.91%	⁷		1.96%	⁷		2.15%	⁸		1.95%	⁷


Supplemental Data
Net assets, end of period (000)	$	1,548,250		$	1,145,165		$	923,271		$	826,342		$	380,066		$	255,280

Portfolio turnover of the Master Portfolio		2%			2%			3%			2%			10%			5%

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Where applicable, assumes the reinvestment of distributions.

⁴

Aggregate total return.

⁵

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁶

Annualized.

⁷

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

⁸

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


Notes to Financial Statements (Unaudited)				BlackRock S&P 500 Index Fund

1. Organization:

BlackRock Funds III (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. BlackRock S&P 500 Index Fund (the “Fund”) is a series of the Trust. The Trust is classified as diversified. The Fund seeks to achieve its investment objective by investing all of its assets in S&P 500 Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”), an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At June 30, 2016, the percentage of the Master Portfolio owned by the Fund was 87.2%. 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 Service, Investor A and Investor C1 Shares bear certain expenses related to shareholder servicing of such shares, and Investor C1 Shares also bears certain expenses related to distribution of such shares. Institutional, Service and Class K Shares are sold without a sales charge and only to certain eligible investors. Investor A Shares are generally available through financial intermediaries. Investor C1 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. The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees.”

Share Class

Initial Sales Charge

CDSC

Conversion Privilege

Institutional Shares

None

Service Shares

None

Investor A Shares

None

Investor C1 Shares

None

Class K Shares

None

The Fund, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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 Investment Income: 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.



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	15


Notes to Financial Statements (continued)		BlackRock S&P 500 Index Fund

3. Investment Valuation and Fair Value Measurements:

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Administration

The Trust, on behalf of the Fund, entered into an Administration Agreement with BAL, which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, an indirect, wholly-owned subsidiary of BlackRock, to provide administrative services (other than investment advice and related portfolio activities). For such services, the Fund pays BAL a monthly fee at an annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:


	Institutional		Service		Investor A		Investor C1		Class K
Rate		0.07%		0.04%		0.07%		0.14%		0.00%

The Fund does not pay an investment advisory fee or investment management fee.

For the six months ended June 30, 2016, the following table shows the class specific administration fees borne directly by each class of the Fund:


Institutional	Service	Investor A	Investor C1	Class K	Total
$1,205,714	$58,493	$452,332	$50,218	—	$1,766,757

Service and Distribution Fees

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


	Service		Investor A		Investor C1
Service Fee		0.15%		0.25%		0.15%
Distribution Fee		—		—		0.75%

For the six months ended June 30, 2016, the following table shows the class specific service and distribution fees borne directly by each share class of the Fund:


Service	Investor A	Investor C1	Total
$219,293	$1,616,731	$322,850	$2,158,874

Other Fees

For the six months ended June 30, 2016, affiliates received CDSCs of $1,360 for Investor C1 Shares.

Officers and Trustees

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.



16	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)				BlackRock S&P 500 Index Fund

5. Income Tax Information:

As of December 31, 2015, the Fund had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:


Expires December 31,
2016	$	50,950,914
2017		21,080,621
2018		29,366,509

Total	$	101,398,044

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
	Shares			Amount			Shares			Amount
Institutional
Shares sold		3,943,647		$	947,403,784			9,491,979		$	2,366,531,483
Shares issued to shareholders in reinvestment of distributions		163,945			40,734,236			294,747			71,632,015
Shares redeemed		(2,347,115	)		(567,682,098	)		(4,223,183	)		(1,045,339,030	)

Net increase		1,760,477		$	420,455,922			5,563,543		$	1,392,824,468


Service
Shares sold		238,272		$	57,828,347			363,978		$	87,835,046
Shares issued to shareholders in reinvestment of distributions		13,554			3,368,200			27,395			6,655,833
Shares redeemed		(163,132	)		(38,910,881	)		(271,091	)		(67,543,403	)

Net increase		88,694		$	22,285,666			120,282		$	26,947,476


Investor A
Shares sold		1,070,999		$	258,517,618			1,779,017		$	439,866,474
Shares issued to shareholders in reinvestment of distributions		52,631			13,073,912			103,205			25,099,530
Shares redeemed		(784,111	)		(188,511,300	)		(1,289,344	)		(319,724,415	)

Net increase		339,519		$	83,080,230			592,878		$	145,241,589


Investor C1
Shares sold		4		$	883			109		$	27,271
Shares issued to shareholders in reinvestment of distributions		1,736			430,923			3,910			952,238
Shares redeemed		(11,062	)		(2,663,726	)		(20,498	)		(5,108,301	)

Net decrease		(9,322	)	$	(2,231,920	)		(16,479	)	$	(4,128,792	)



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	17


Notes to Financial Statements (concluded)		BlackRock S&P 500 Index Fund


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
	Shares			Amount			Shares			Amount
Class K
Shares sold		2,140,798		$	516,379,537			1,648,844		$	408,582,198
Shares issued to shareholders in reinvestment of distributions		57,684			14,343,333			86,179			20,954,346
Shares redeemed		(711,266	)		(173,696,510	)		(784,525	)		(194,796,238	)

Net increase		1,487,216		$	357,026,360			950,498		$	234,740,306

Total Net Increase		3,666,584		$	880,616,258			7,210,722		$	1,795,625,047

7. Subsequent Events:



18	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Master Portfolio Information		S&P 500 Index Master Portfolio

As of June 30, 2016

Ten Largest Holdings

Percent of

Net Assets


Apple, Inc.	3	%
Microsoft Corp.	2
Exxon Mobil Corp.	2
Johnson & Johnson	2
General Electric Co.	2
Amazon.com, Inc.	1
Berkshire Hathaway, Inc., Class B	1
AT&T, Inc.	1
Facebook, Inc., Class A	1
Verizon Communications, Inc.	1

Sector Allocation

Percent of

Net Assets


Information Technology	19	%
Financials	15
Health Care	14
Consumer Discretionary	12
Consumer Staples	10
Industrials	10
Energy	7
Utilities	4
Telecommunication Services	3
Materials	3
Short-Term Securities	4
Liabilities in Excess of Other Assets	(1	)

For Master Portfolio compliance purposes, the Master Portfolio’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	19

Schedule of Investments June 30, 2016 (Unaudited)

S&P 500 Index Master Portfolio

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Aerospace & Defense — 2.5%
Boeing Co.		260,831	$	33,874,122
General Dynamics Corp.		124,631		17,353,620
Honeywell International, Inc.		330,169		38,405,258
L-3 Communications Holdings, Inc.		33,067		4,850,598
Lockheed Martin Corp.		114,162		28,331,584
Northrop Grumman Corp.		77,885		17,312,278
Raytheon Co.		129,107		17,552,097
Rockwell Collins, Inc.		55,318		4,709,775
Textron, Inc.		113,524		4,150,437
TransDigm Group, Inc. (a)		23,260		6,133,429
United Technologies Corp.		339,408		34,806,290

				207,479,488
Air Freight & Logistics — 0.7%
C.H. Robinson Worldwide, Inc.		63,418		4,708,786
Expeditors International of Washington, Inc.		81,417		3,992,690
FedEx Corp.		108,784		16,511,236
United Parcel Service, Inc., Class B		299,291		32,239,626

				57,452,338
Airlines — 0.5%
Alaska Air Group, Inc.		52,230		3,044,487
American Airlines Group, Inc.		253,016		7,162,883
Delta Air Lines, Inc.		337,528		12,296,145
Southwest Airlines Co.		276,482		10,840,859
United Continental Holdings, Inc. (a)		144,556		5,932,578

				39,276,952
Auto Components — 0.3%
BorgWarner, Inc.		91,532		2,702,025
Delphi Automotive PLC		117,579		7,360,445
Goodyear Tire & Rubber Co.		111,795		2,868,660
Johnson Controls, Inc.		282,515		12,504,114

				25,435,244
Automobiles — 0.5%
Ford Motor Co.		1,696,825		21,329,090
General Motors Co.		612,020		17,320,166
Harley-Davidson, Inc.		77,041		3,489,958

				42,139,214
Banks — 5.0%
Bank of America Corp.		4,456,855		59,142,466
BB&T Corp.		359,061		12,786,162
Citigroup, Inc.		1,278,533		54,197,014
Citizens Financial Group, Inc.		234,834		4,691,983
Comerica, Inc.		73,212		3,011,210
Fifth Third Bancorp		346,052		6,087,055
Huntington Bancshares, Inc.		333,456		2,981,097
JPMorgan Chase & Co.		1,587,938		98,674,467
KeyCorp		380,587		4,205,486
M&T Bank Corp.		69,277		8,190,620
PNC Financial Services Group, Inc. (b)		216,412		17,613,773
Regions Financial Corp.		545,458		4,641,848
SunTrust Banks, Inc.		221,039		9,080,282
US Bancorp		705,340		28,446,362
Wells Fargo & Co.		2,006,995		94,991,073
Zions Bancorporation		85,616		2,151,530

				410,892,428


Common Stocks	Shares		Value
Beverages — 2.3%
Brown-Forman Corp., Class B		44,626	$	4,451,890
Coca-Cola Co.		1,690,306		76,621,571
Constellation Brands, Inc., Class A		76,069		12,581,812
Dr Pepper Snapple Group, Inc.		81,690		7,893,705
Molson Coors Brewing Co., Class B		80,024		8,092,827
Monster Beverage Corp. (a)		61,007		9,804,435
PepsiCo, Inc.		626,637		66,385,924

				185,832,164
Biotechnology — 2.8%
AbbVie, Inc.		703,897		43,578,263
Alexion Pharmaceuticals, Inc. (a)		97,636		11,399,979
Amgen, Inc.		326,871		49,733,423
Biogen, Inc. (a)		94,687		22,897,210
Celgene Corp. (a)		335,821		33,122,025
Gilead Sciences, Inc.		579,245		48,320,618
Regeneron Pharmaceuticals, Inc. (a)		33,821		11,811,308
Vertex Pharmaceuticals, Inc. (a)		107,043		9,207,839

				230,070,665
Building Products — 0.1%
Allegion PLC		40,558		2,815,942
Fortune Brands Home & Security, Inc.		66,648		3,863,584
Masco Corp.		148,020		4,579,739

				11,259,265
Capital Markets — 1.7%
Affiliated Managers Group, Inc. (a)(c)		22,605		3,182,106
Ameriprise Financial, Inc.		74,117		6,659,412
Bank of New York Mellon Corp.		466,492		18,123,214
BlackRock, Inc. (b)		54,501		18,668,228
Charles Schwab Corp.		521,683		13,203,797
E*Trade Financial Corp. (a)		118,354		2,780,136
Franklin Resources, Inc.		157,299		5,249,068
Goldman Sachs Group, Inc.		168,749		25,072,726
Invesco Ltd.		185,002		4,724,951
Legg Mason, Inc.		45,092		1,329,763
Morgan Stanley		654,766		17,010,821
Northern Trust Corp.		94,512		6,262,365
State Street Corp.		174,233		9,394,643
T. Rowe Price Group, Inc.		108,036		7,883,387

				139,544,617
Chemicals — 2.0%
Air Products & Chemicals, Inc.		84,222		11,962,893
Albemarle Corp.		48,786		3,869,218
CF Industries Holdings, Inc.		97,770		2,356,257
Dow Chemical Co.		489,255		24,320,866
E.I. du Pont de Nemours & Co.		378,159		24,504,703
Eastman Chemical Co.		65,885		4,473,591
Ecolab, Inc.		115,342		13,679,561
FMC Corp.		55,954		2,591,230
International Flavors & Fragrances, Inc.		35,400		4,462,878
LyondellBasell Industries NV, Class A		147,303		10,962,289
Monsanto Co.		188,821		19,525,980
Mosaic Co.		147,578		3,863,592
PPG Industries, Inc.		115,756		12,055,987
Praxair, Inc.		123,438		13,873,197
Sherwin-Williams Co.		33,989		9,981,550

				162,483,792

See Notes to Financial Statements.



20	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		S&P 500 Index Master Portfolio


Common Stocks	Shares		Value
Commercial Services & Supplies — 0.5%
Cintas Corp.		36,761	$	3,607,357
Iron Mountain, Inc.		100,912		4,019,325
Pitney Bowes, Inc.		80,513		1,433,131
Republic Services, Inc.		100,844		5,174,306
Stericycle, Inc. (a)(c)		38,065		3,963,328
Tyco International PLC		185,819		7,915,889
Waste Management, Inc.		178,896		11,855,438

				37,968,774
Communications Equipment — 1.4%
Cisco Systems, Inc.		2,186,687		62,736,050
F5 Networks, Inc. (a)		28,784		3,276,770
Harris Corp.		55,273		4,611,979
Juniper Networks, Inc.		159,219		3,580,835
Motorola Solutions, Inc.		70,713		4,664,937
QUALCOMM, Inc.		639,759		34,271,890

				113,142,461
Construction & Engineering — 0.1%
Fluor Corp.		58,157		2,865,977
Jacobs Engineering Group, Inc. (a)		51,300		2,555,253
Quanta Services, Inc. (a)		66,892		1,546,543

				6,967,773
Construction Materials — 0.1%
Martin Marietta Materials, Inc.		27,171		5,216,832
Vulcan Materials Co.		58,470		7,037,449

				12,254,281
Consumer Finance — 0.7%
American Express Co.		351,375		21,349,545
Capital One Financial Corp.		225,325		14,310,391
Discover Financial Services		180,199		9,656,864
Navient Corp.		143,530		1,715,184
Synchrony Financial (a)		362,407		9,161,649

				56,193,633
Containers & Packaging — 0.2%
Avery Dennison Corp.		37,440		2,798,640
Ball Corp.		75,609		5,465,774
Owens-Illinois, Inc. (a)		64,902		1,168,885
Sealed Air Corp.		87,371		4,016,445
WestRock Co.		114,847		4,464,103

				17,913,847
Distributors — 0.1%
Genuine Parts Co.		65,811		6,663,364
LKQ Corp. (a)		132,474		4,199,426

				10,862,790
Diversified Consumer Services — 0.0%
H&R Block, Inc.		99,463		2,287,649
Diversified Financial Services — 2.1%
Berkshire Hathaway, Inc., Class B (a)(c)		813,098		117,728,459
CME Group, Inc.		146,191		14,239,003
Intercontinental Exchange, Inc.		51,388		13,153,273
Leucadia National Corp.		139,518		2,417,847
Moody’s Corp.		74,223		6,955,437
NASDAQ, Inc.		48,143		3,113,408
S&P Global, Inc.		115,048		12,340,049

				169,947,476


Common Stocks	Shares		Value
Diversified Telecommunication Services — 2.8%
AT&T, Inc.		2,673,980	$	115,542,676
CenturyLink, Inc.		238,854		6,929,155
Frontier Communications Corp.		493,180		2,436,309
Level 3 Communications, Inc. (a)		126,806		6,529,241
Verizon Communications, Inc.		1,771,025		98,894,036

				230,331,417
Electric Utilities — 1.9%
American Electric Power Co., Inc.		212,020		14,860,482
Duke Energy Corp.		300,146		25,749,525
Edison International		140,942		10,946,965
Entergy Corp.		78,840		6,413,634
Eversource Energy		138,329		8,285,907
Exelon Corp.		399,745		14,534,728
FirstEnergy Corp.		186,845		6,522,759
NextEra Energy, Inc.		200,596		26,157,718
Pinnacle West Capital Corp.		49,736		4,031,600
PPL Corp.		291,382		10,999,671
Southern Co.		403,209		21,624,099
Xcel Energy, Inc.		220,214		9,861,183

				159,988,271
Electrical Equipment — 0.5%
Acuity Brands, Inc.		19,531		4,842,907
AMETEK, Inc.		99,649		4,606,773
Eaton Corp. PLC		199,331		11,906,041
Emerson Electric Co.		279,345		14,570,635
Rockwell Automation, Inc.		57,685		6,623,392

				42,549,748
Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp., Class A		134,393		7,704,751
Corning, Inc.		471,125		9,648,640
FLIR Systems, Inc.		57,588		1,782,348
TE Connectivity Ltd.		156,317		8,927,264

				28,063,003
Energy Equipment & Services — 1.1%
Baker Hughes, Inc.		190,848		8,612,970
Diamond Offshore Drilling, Inc.		26,988		656,618
FMC Technologies, Inc. (a)		94,993		2,533,463
Halliburton Co.		372,667		16,878,089
Helmerich & Payne, Inc.		45,561		3,058,510
National Oilwell Varco, Inc.		166,544		5,604,206
Schlumberger Ltd.		605,951		47,918,605
Transocean Ltd. (c)		143,288		1,703,694

				86,966,155
Food & Staples Retailing — 2.3%
Costco Wholesale Corp.		190,919		29,981,920
CVS Health Corp.		466,986		44,709,240
Kroger Co.		415,043		15,269,432
Sysco Corp.		226,827		11,509,202
Wal-Mart Stores, Inc.		663,374		48,439,569
Walgreens Boots Alliance, Inc.		374,508		31,185,281
Whole Foods Market, Inc.		136,589		4,373,580

				185,468,224
Food Products — 1.8%
Archer-Daniels-Midland Co.		252,729		10,839,547
Campbell Soup Co.		79,986		5,321,468
ConAgra Foods, Inc.		188,496		9,011,994

See Notes to Financial Statements.



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	21


Schedule of Investments (continued)		S&P 500 Index Master Portfolio


Common Stocks	Shares		Value
Food Products (continued)
General Mills, Inc.		259,902	$	18,536,211
Hershey Co.		60,606		6,878,175
Hormel Foods Corp.		120,420		4,407,372
J.M. Smucker Co.		52,174		7,951,839
Kellogg Co.		109,575		8,946,799
Kraft Heinz Co.		256,577		22,701,933
McCormick & Co., Inc.		51,416		5,484,545
Mead Johnson Nutrition Co.		81,355		7,382,966
Mondelez International, Inc., Class A		672,513		30,606,067
Tyson Foods, Inc., Class A		131,369		8,774,135

				146,843,051
Gas Utilities — 0.0%
AGL Resources, Inc.		50,500		3,331,485
Health Care Equipment & Supplies — 2.4%
Abbott Laboratories		638,239		25,089,175
Baxter International, Inc.		241,306		10,911,857
Becton Dickinson & Co.		91,496		15,516,807
Boston Scientific Corp. (a)		584,452		13,658,643
C.R. Bard, Inc.		32,239		7,581,323
DENTSPLY SIRONA, Inc.		102,070		6,332,423
Edwards Lifesciences Corp. (a)		92,992		9,274,092
Hologic, Inc. (a)		103,297		3,574,076
Intuitive Surgical, Inc. (a)		16,531		10,933,769
Medtronic PLC		611,150		53,029,486
St. Jude Medical, Inc.		123,452		9,629,256
Stryker Corp.		137,366		16,460,568
Varian Medical Systems, Inc. (a)(c)		40,086		3,296,272
Zimmer Biomet Holdings, Inc.		86,572		10,421,537

				195,709,284
Health Care Providers & Services — 2.7%
Aetna, Inc.		150,956		18,436,256
AmerisourceBergen Corp.		78,404		6,219,005
Anthem, Inc.		114,770		15,073,892
Cardinal Health, Inc.		142,750		11,135,927
Centene Corp. (a)		74,899		5,345,542
Cigna Corp.		112,246		14,366,365
DaVita HealthCare Partners, Inc. (a)		69,978		5,410,699
Express Scripts Holding Co. (a)		275,017		20,846,289
HCA Holdings, Inc. (a)		132,189		10,179,875
Henry Schein, Inc. (a)		36,065		6,376,292
Humana, Inc.		64,077		11,526,171
Laboratory Corp. of America Holdings (a)		44,956		5,856,418
McKesson Corp.		97,725		18,240,371
Patterson Cos., Inc.		34,966		1,674,522
Quest Diagnostics, Inc.		60,479		4,923,595
UnitedHealth Group, Inc.		412,454		58,238,505
Universal Health Services, Inc., Class B		38,199		5,122,486

				218,972,210
Health Care Technology — 0.1%
Cerner Corp. (a)		132,332		7,754,655
Hotels, Restaurants & Leisure — 1.7%
Carnival Corp.		189,580		8,379,436
Chipotle Mexican Grill, Inc. (a)(c)		12,619		5,082,429
Darden Restaurants, Inc.		48,416		3,066,669
Marriott International, Inc., Class A (c)		81,148		5,393,096
McDonald’s Corp.		381,183		45,871,562
Royal Caribbean Cruises Ltd.		71,467		4,799,009


Common Stocks	Shares		Value
Hotels, Restaurants & Leisure (continued)
Starbucks Corp.		635,560	$	36,303,187
Starwood Hotels & Resorts Worldwide, Inc.		75,023		5,547,951
Wyndham Worldwide Corp.		47,101		3,355,004
Wynn Resorts Ltd.		34,173		3,097,441
Yum! Brands, Inc.		177,865		14,748,566

				135,644,350
Household Durables — 0.5%
D.R. Horton, Inc.		146,006		4,596,269
Garmin Ltd.		49,244		2,088,930
Harman International Industries, Inc.		29,783		2,139,015
Leggett & Platt, Inc.		56,808		2,903,457
Lennar Corp., Class A		81,487		3,756,551
Mohawk Industries, Inc. (a)		28,184		5,348,196
Newell Brands, Inc.		199,008		9,665,818
PulteGroup, Inc.		134,343		2,618,345
Whirlpool Corp.		34,137		5,688,590

				38,805,171
Household Products — 2.0%
Church & Dwight Co., Inc.		54,903		5,648,970
Clorox Co.		56,529		7,823,048
Colgate-Palmolive Co.		389,484		28,510,229
Kimberly-Clark Corp.		155,883		21,430,795
Procter & Gamble Co.		1,155,085		97,801,047

				161,214,089
Independent Power and Renewable Electricity Producers — 0.1%
AES Corp.		276,192		3,446,876
NRG Energy, Inc.		131,827		1,976,087

				5,422,963
Industrial Conglomerates — 2.5%
3M Co.		263,097		46,073,547
Danaher Corp.		260,569		26,317,469
General Electric Co.		3,997,893		125,853,671
Roper Technologies, Inc.		43,980		7,501,229

				205,745,916
Insurance — 2.6%
Aflac, Inc.		182,866		13,195,610
Allstate Corp.		164,588		11,512,931
American International Group, Inc.		488,899		25,857,868
Aon PLC		114,370		12,492,635
Arthur J Gallagher & Co.		76,592		3,645,779
Assurant, Inc.		27,119		2,340,641
Chubb Ltd.		201,177		26,295,846
Cincinnati Financial Corp.		65,508		4,905,894
Hartford Financial Services Group, Inc.		173,511		7,700,418
Lincoln National Corp.		102,152		3,960,433
Loews Corp.		118,629		4,874,466
Marsh & McLennan Cos., Inc.		225,093		15,409,867
MetLife, Inc.		478,180		19,045,909
Principal Financial Group, Inc.		114,684		4,714,659
Progressive Corp.		254,006		8,509,201
Prudential Financial, Inc.		190,590		13,596,691
Torchmark Corp.		47,213		2,918,708
Travelers Cos., Inc.		127,927		15,228,430
Unum Group		99,996		3,178,873
Willis Towers Watson PLC		60,298		7,495,644
XL Group PLC		122,158		4,069,083

				210,949,586

See Notes to Financial Statements.



22	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		S&P 500 Index Master Portfolio


Common Stocks	Shares		Value
Internet & Catalog Retail — 2.1%
Amazon.com, Inc. (a)		168,168	$	120,344,384
Expedia, Inc.		49,913		5,305,752
Netflix, Inc. (a)		185,455		16,965,423
Priceline Group, Inc. (a)		21,487		26,824,586
TripAdvisor, Inc. (a)		47,893		3,079,520

				172,519,665
Internet Software & Services — 4.0%
Akamai Technologies, Inc. (a)(c)		73,995		4,138,540
Alphabet, Inc., Class A (a)		127,730		89,861,887
Alphabet, Inc., Class C (a)		128,272		88,777,051
eBay, Inc. (a)		460,472		10,779,650
Facebook, Inc., Class A (a)		1,004,833		114,832,315
VeriSign, Inc. (a)(c)		40,329		3,486,845
Yahoo!, Inc. (a)		377,932		14,195,126

				326,071,414
IT Services — 3.5%
Accenture PLC, Class A		271,416		30,748,719
Alliance Data Systems Corp. (a)(c)		25,038		4,905,445
Automatic Data Processing, Inc.		197,259		18,122,184
Cognizant Technology Solutions Corp., Class A (a)(c)		264,008		15,111,818
CSRA, Inc.		58,004		1,359,034
Fidelity National Information Services, Inc.		119,871		8,832,095
Fiserv, Inc. (a)		96,303		10,471,025
Global Payments, Inc.		68,525		4,891,315
International Business Machines Corp.		384,063		58,293,082
Mastercard, Inc., Class A		421,006		37,073,788
Paychex, Inc.		140,347		8,350,646
PayPal Holdings, Inc. (a)		481,651		17,585,078
Teradata Corp. (a)(c)		55,832		1,399,708
Total System Services, Inc.		75,487		4,009,115
Visa, Inc., Class A		825,364		61,217,248
Western Union Co.		210,122		4,030,140
Xerox Corp.		424,524		4,028,733

				290,429,173
Leisure Products — 0.1%
Hasbro, Inc.		49,946		4,194,965
Mattel, Inc.		150,381		4,705,421

				8,900,386
Life Sciences Tools & Services — 0.6%
Agilent Technologies, Inc.		143,997		6,387,707
Illumina, Inc. (a)		63,857		8,964,246
PerkinElmer, Inc.		45,963		2,409,380
Thermo Fisher Scientific, Inc.		171,159		25,290,454
Waters Corp. (a)		34,410		4,839,766

				47,891,553
Machinery — 1.2%
Caterpillar, Inc.		253,215		19,196,229
Cummins, Inc.		68,895		7,746,554
Deere & Co.		130,353		10,563,807
Dover Corp.		65,841		4,564,098
Flowserve Corp.		54,453		2,459,642
Illinois Tool Works, Inc.		141,570		14,745,931
Ingersoll-Rand PLC		112,799		7,183,041
PACCAR, Inc.		153,639		7,969,255
Parker Hannifin Corp.		59,483		6,427,138


Common Stocks	Shares		Value
Machinery (continued)
Pentair PLC		77,332	$	4,507,682
Snap-on, Inc.		25,949		4,095,271
Stanley Black & Decker, Inc.		66,301		7,373,997
Xylem, Inc.		75,027		3,349,956

				100,182,601
Media — 2.6%
CBS Corp., Class B		184,204		10,028,066
Comcast Corp., Class A		1,052,573		68,617,234
Discovery Communications, Inc., Class A (a)		72,458		1,828,115
Discovery Communications, Inc., Class C (a)(c)		100,331		2,392,894
Interpublic Group of Cos., Inc.		178,943		4,133,583
News Corp., Class A		159,077		1,805,524
News Corp., Class B		45,530		531,335
Omnicom Group, Inc.		104,105		8,483,517
Scripps Networks Interactive, Inc., Class A		40,063		2,494,723
TEGNA, Inc.		91,984		2,131,269
Time Warner, Inc.		342,167		25,162,961
Twenty-First Century Fox, Inc., Class A		468,647		12,676,901
Twenty-First Century Fox, Inc., Class B		191,654		5,222,572
Viacom, Inc., Class B		152,665		6,331,018
Walt Disney Co.		649,576		63,541,524

				215,381,236
Metals & Mining — 0.3%
Alcoa, Inc.		582,726		5,401,870
Freeport-McMoRan, Inc.		545,608		6,078,073
Newmont Mining Corp.		229,980		8,996,817
Nucor Corp.		139,587		6,896,994

				27,373,754
Multi-Utilities — 1.4%
Alliant Energy Corp.		98,725		3,919,383
Ameren Corp.		108,015		5,787,444
CenterPoint Energy, Inc.		190,968		4,583,232
CMS Energy Corp.		123,444		5,661,142
Consolidated Edison, Inc.		130,351		10,485,434
Dominion Resources, Inc.		265,059		20,656,048
DTE Energy Co.		78,553		7,786,173
NiSource, Inc.		144,152		3,822,911
PG&E Corp.		217,248		13,886,492
Public Service Enterprise Group, Inc.		219,351		10,223,950
SCANA Corp.		63,291		4,788,597
Sempra Energy		101,919		11,620,804
TECO Energy, Inc.		99,223		2,742,524
WEC Energy Group, Inc.		137,377		8,970,718

				114,934,852
Multiline Retail — 0.6%
Dollar General Corp.		123,234		11,583,996
Dollar Tree, Inc. (a)		102,301		9,640,846
Kohl’s Corp.		79,467		3,013,389
Macy’s, Inc.		137,891		4,634,516
Nordstrom, Inc. (c)		53,112		2,020,912
Target Corp.		256,647		17,919,094

				48,812,753
Oil, Gas & Consumable Fuels — 6.1%
Anadarko Petroleum Corp.		220,983		11,767,345
Apache Corp.		164,198		9,140,903
Cabot Oil & Gas Corp.		202,224		5,205,246

See Notes to Financial Statements.



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	23


Schedule of Investments (continued)		S&P 500 Index Master Portfolio


Common Stocks	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Chesapeake Energy Corp. (a)		275,170	$	1,177,728
Chevron Corp.		819,647		85,923,595
Cimarex Energy Co.		42,276		5,044,372
Columbia Pipeline Group, Inc.		177,175		4,516,191
Concho Resources, Inc. (a)(c)		56,592		6,749,728
ConocoPhillips		541,389		23,604,560
Devon Energy Corp.		231,642		8,397,023
EOG Resources, Inc.		237,622		19,822,427
EQT Corp.		73,874		5,720,064
Exxon Mobil Corp.		1,801,838		168,904,294
Hess Corp.		116,075		6,976,108
Kinder Morgan, Inc.		794,236		14,868,098
Marathon Oil Corp.		376,534		5,651,775
Marathon Petroleum Corp.		230,746		8,759,118
Murphy Oil Corp.		67,700		2,149,475
Newfield Exploration Co. (a)		83,117		3,672,109
Noble Energy, Inc.		187,876		6,739,112
Occidental Petroleum Corp.		330,427		24,967,064
ONEOK, Inc.		88,681		4,207,913
Phillips 66		203,499		16,145,611
Pioneer Natural Resources Co.		70,605		10,676,182
Range Resources Corp.		70,996		3,062,767
Southwestern Energy Co. (a)		163,130		2,052,175
Spectra Energy Corp.		300,077		10,991,821
Tesoro Corp.		53,383		3,999,454
Valero Energy Corp.		204,516		10,430,316
Williams Cos., Inc.		299,934		6,487,572

				497,810,146
Paper & Forest Products — 0.1%
International Paper Co.		181,312		7,684,003
Personal Products — 0.1%
Estee Lauder Cos., Inc., Class A		96,272		8,762,677
Pharmaceuticals — 5.6%
Allergan PLC (a)		172,027		39,753,720
Bristol-Myers Squibb Co.		725,311		53,346,624
Eli Lilly & Co.		423,723		33,368,186
Endo International PLC (a)		85,582		1,334,223
Johnson & Johnson		1,194,896		144,940,885
Mallinckrodt PLC (a)(c)		46,853		2,847,725
Merck & Co., Inc.		1,204,828		69,410,141
Mylan NV (a)		187,008		8,086,226
Perrigo Co. PLC		62,302		5,648,922
Pfizer, Inc.		2,633,724		92,733,422
Zoetis, Inc.		198,575		9,424,370

				460,894,444
Professional Services — 0.3%
Dun & Bradstreet Corp.		15,161		1,847,216
Equifax, Inc.		52,140		6,694,776
Nielsen Holdings PLC		157,469		8,183,664
Robert Half International, Inc.		54,908		2,095,290
Verisk Analytics, Inc. (a)		68,626		5,564,196

				24,385,142
Real Estate Investment Trusts (REITs) — 3.0%
American Tower Corp.		182,671		20,753,252
Apartment Investment & Management Co., Class A		66,034		2,916,061
AvalonBay Communities, Inc.		59,136		10,667,543
Boston Properties, Inc.		66,673		8,794,169
Crown Castle International Corp.		146,460		14,855,438


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Digital Realty Trust, Inc. (c)		61,427	$	6,694,929
Equinix, Inc.		30,419		11,794,359
Equity Residential		157,786		10,868,300
Essex Property Trust, Inc. (c)		28,738		6,554,850
Extra Space Storage, Inc.		55,621		5,147,167
Federal Realty Investment Trust		31,136		5,154,565
General Growth Properties, Inc.		255,375		7,615,282
HCP, Inc. (c)		204,549		7,236,944
Host Hotels & Resorts, Inc.		318,981		5,170,682
Kimco Realty Corp.		184,112		5,777,435
Macerich Co.		56,127		4,792,685
Prologis, Inc.		227,879		11,175,186
Public Storage		64,419		16,464,852
Realty Income Corp. (c)		113,565		7,876,868
Simon Property Group, Inc.		134,623		29,199,729
SL Green Realty Corp.		44,893		4,779,758
UDR, Inc.		111,833		4,128,874
Ventas, Inc.		146,018		10,633,031
Vornado Realty Trust		77,442		7,753,493
Welltower, Inc.		154,173		11,743,357
Weyerhaeuser Co.		327,304		9,743,840

				248,292,649
Real Estate Management & Development — 0.0%
CBRE Group, Inc., Class A (a)		132,999		3,521,814
Road & Rail — 0.8%
CSX Corp.		411,764		10,738,805
JB Hunt Transport Services, Inc.		37,298		3,018,527
Kansas City Southern		48,241		4,346,032
Norfolk Southern Corp.		129,691		11,040,595
Ryder System, Inc.		22,631		1,383,659
Union Pacific Corp.		366,920		32,013,770

				62,541,388
Semiconductors & Semiconductor Equipment — 2.3%
Analog Devices, Inc.		135,222		7,658,974
Applied Materials, Inc.		475,028		11,386,421
Broadcom Ltd.		161,789		25,142,011
First Solar, Inc. (a)		31,273		1,516,115
Intel Corp.		2,051,163		67,278,146
KLA-Tencor Corp.		69,600		5,098,200
Lam Research Corp.		70,625		5,936,738
Linear Technology Corp.		101,724		4,733,218
Microchip Technology, Inc.		91,784		4,658,956
Micron Technology, Inc. (a)		461,329		6,347,887
NVIDIA Corp.		221,394		10,407,732
Qorvo, Inc. (a)(c)		54,422		3,007,360
Skyworks Solutions, Inc.		81,212		5,139,095
Texas Instruments, Inc.		437,223		27,392,021
Xilinx, Inc.		108,556		5,007,688

				190,710,562
Software — 4.0%
Activision Blizzard, Inc.		220,196		8,726,367
Adobe Systems, Inc. (a)		217,717		20,855,111
Autodesk, Inc. (a)		99,507		5,387,309
CA, Inc.		132,208		4,340,389
Citrix Systems, Inc. (a)		68,111		5,455,010
Electronic Arts, Inc. (a)		130,503		9,886,907
Intuit, Inc.		110,839		12,370,741
Microsoft Corp.		3,414,759		174,733,218

See Notes to Financial Statements.



24	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		S&P 500 Index Master Portfolio


Common Stocks	Shares		Value
Software (continued)
Oracle Corp.		1,353,950	$	55,417,174
Red Hat, Inc. (a)		77,359		5,616,263
salesforce.com, Inc. (a)		277,407		22,028,890
Symantec Corp.		273,048		5,608,406

				330,425,785
Specialty Retail — 2.5%
Advance Auto Parts, Inc.		32,335		5,226,306
AutoNation, Inc. (a)(c)		29,995		1,409,165
AutoZone, Inc. (a)		13,140		10,431,058
Bed Bath & Beyond, Inc.		68,485		2,959,922
Best Buy Co., Inc.		125,887		3,852,142
CarMax, Inc. (a)(c)		81,941		4,017,567
Foot Locker, Inc.		57,444		3,151,378
Gap, Inc.		94,735		2,010,277
Home Depot, Inc.		539,830		68,930,893
L Brands, Inc.		108,780		7,302,401
Lowe’s Cos., Inc.		384,869		30,470,079
O’Reilly Automotive, Inc. (a)(c)		42,204		11,441,504
Ross Stores, Inc.		178,346		10,110,435
Signet Jewelers Ltd.		33,296		2,743,923
Staples, Inc.		272,009		2,344,718
Tiffany & Co.		46,739		2,834,253
TJX Cos., Inc.		287,581		22,209,881
Tractor Supply Co.		59,262		5,403,509
Ulta Salon Cosmetics & Fragrance, Inc. (a)		27,043		6,588,756
Urban Outfitters, Inc. (a)		35,003		962,582

				204,400,749
Technology Hardware, Storage & Peripherals — 3.5%
Apple, Inc.		2,380,992		227,622,835
EMC Corp.		844,012		22,931,806
Hewlett Packard Enterprise Co.		724,750		13,241,183
HP, Inc.		737,309		9,253,228
NetApp, Inc.		121,307		2,982,939
Seagate Technology PLC		124,095		3,022,954
Western Digital Corp.		124,929		5,904,145

				284,959,090
Textiles, Apparel & Luxury Goods — 0.8%
Coach, Inc.		123,415		5,027,927
Hanesbrands, Inc.		163,970		4,120,566
Michael Kors Holdings Ltd. (a)		75,118		3,716,839


Common Stocks	Shares		Value
Textiles, Apparel & Luxury Goods (continued)
NIKE, Inc., Class B		579,246	$	31,974,379
PVH Corp.		34,306		3,232,654
Ralph Lauren Corp. (c)		24,337		2,181,082
Under Armour, Inc., Class A (a)(c)		84,309		3,383,320
Under Armour, Inc., Class C (a)(c)		76,587		2,787,759
VF Corp.		146,304		8,996,233

				65,420,759
Thrifts & Mortgage Finance — 0.0%
People’s United Financial, Inc.		129,963		1,905,258
Tobacco — 1.8%
Altria Group, Inc.		850,139		58,625,585
Philip Morris International, Inc.		673,678		68,526,526
Reynolds American, Inc.		357,965		19,305,053

				146,457,164
Trading Companies & Distributors — 0.2%
Fastenal Co.		127,454		5,657,683
United Rentals, Inc. (a)		38,084		2,555,436
W.W. Grainger, Inc.		25,110		5,706,248

				13,919,367
Water Utilities — 0.1%
American Water Works Co., Inc.		78,640		6,645,866
Total Long-Term Investments (Cost — $5,191,061,597) — 96.5%				7,914,398,679



Short-Term Securities
Money Market Funds
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (b)(d)(e)		331,216,906		331,216,906
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (b)(d)(e)		21,110,639		21,110,639
Total Short-Term Securities (Cost — $352,327,545) — 4.3%				352,327,545
Total Investments (Cost — $5,543,389,142) — 100.8%				8,266,726,224
Liabilities in Excess of Other Assets — (0.8)%				(68,813,983	)

Net Assets — 100.0%			$	8,197,912,241


Notes to Schedule of Investments

(a)

Non-income producing security.

(b)


Affiliate	Shares Held at December 31, 2015		Shares Purchased		Shares Sold			Shares Held at June 30, 2016		Value at June 30, 2016		Income			Realized Loss
BlackRock, Inc.		48,211		6,290		—			54,501	$	18,668,228	$	242,639			—
BlackRock Cash Funds: Institutional, SL Agency Shares		374,887,021		—		(43,670,115	)¹		331,216,906	$	331,216,906	$	828,586	²		—
BlackRock Cash Funds: Prime, SL Agency Shares		26,986,879		—		(5,876,240	)¹		21,110,639	$	21,110,639	$	48,258	²		—
PNC Financial Services Group, Inc.		193,874		24,134		(1,596	)		216,412	$	17,613,773	$	208,887		$	(17,491	)
Total										$	388,609,546	$	1,328,370		$	(17,491	)

¹ Represents net shares sold.
² Represents all or portion of 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.

See Notes to Financial Statements.



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	25


Schedule of Investments (continued)		S&P 500 Index Master Portfolio

(c)

Security, or a portion of security, is on loan.

(d)

Current yield as of period end.

(e)

All or a portion of security was purchased with the cash collateral from loaned securities.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts


Contracts Long		Issue	Expiration	Notional Value		Unrealized Appreciation
	2,853	S&P 500 E-Mini Index	September 2016	$	298,167,030	$	706,197


Derivative Financial Instruments Categorized by Risk Exposure

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


Assets — Derivative Financial Instruments		Commodity Contracts	Credit Contracts	Equity Contracts	Foreign Currency Exchange Contracts	Interest Rate Contracts	Other Contacts	Total
Futures contracts	Net unrealized appreciation¹	—	—	$706,197	—	—	—	$	706,197
¹ Includes cumulative appreciation on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statement of Operations was as follows:


Net Realized Gain (Loss) From:	Commodity Contracts	Credit Contracts	Equity Contracts		Foreign Currency Exchange Contracts	Interest Rate Contracts	Other Contacts	Total
Futures contracts	—	—		$4,911,571	—	—	—		$4,911,571
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	—	—	$	2,726,041	—	—	—	$	2,726,041

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts:
Average notional value of contracts — long	$	259,967,090

For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Fair Value Hierarchy as of Period End

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks¹	$	7,914,398,679		—		—	$	7,914,398,679
Short-Term Securities:
Money Market Funds		352,327,545		—		—		352,327,545

Total	$	8,266,726,224		—		—	$	8,266,726,224

See Notes to Financial Statements.



26	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Schedule of Investments (concluded)		S&P 500 Index Master Portfolio


	Level 1		Level 2		Level 3		Total
Derivative Financial Instruments²
Assets:
Equity contracts	$	706,197		—		—	$	706,197

¹ See above Schedule of Investments for values in each industry.
² Derivative financial instruments are futures contracts. Future contracts are valued at the unrealized appreciation (depreciation) on the instrument.


	Level 1		Level 2			Level 3		Total
Assets:
Cash pledged for futures contracts	$	11,985,800		—			—	$	11,985,800
Liabilities:
Collateral on securities loaned at value		—	$	(73,016,450	)		—		(73,016,450	)

Total	$	11,985,800	$	(73,016,450	)		—	$	(61,030,650	)

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	27


Statement of Assets and Liabilities		S&P 500 Index Master Portfolio


June 30, 2016 (Unaudited)

Assets
Investments at value — unaffiliated (including securities loaned at value of $71,903,747) (cost — $5,165,009,481)	$	7,878,116,678
Investments at value — affiliated (cost — $378,379,661)		388,609,546
Cash pledged for futures contracts		11,985,800
Receivables:
Dividends — unaffiliated		8,896,582
Contributions from the investors		9,512,134
Variation margin on futures contracts		3,344,171
Dividends — affiliated		99,916
Securities lending income — affiliated		19,694

Total assets		8,300,584,521


Liabilities
Collateral on securities loaned at value		73,016,450
Payables:
Withdrawals to the investors		20,657,915
Investments purchased		8,714,257
Investment advisory fees		228,676
Officer’s and Trustees’ fees		31,759
Professional fees		23,223

Total liabilities		102,672,280

Net Assets	$	8,197,912,241


Net Assets Consist of
Investors’ capital	$	5,473,868,962
Net unrealized appreciation (depreciation)		2,724,043,279

Net Assets	$	8,197,912,241


Statement of Operations		S&P 500 Index Master Portfolio


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Dividends — unaffiliated	$	80,657,823
Dividends — affiliated		1,161,461
Securities lending — affiliated — net		166,909
Foreign taxes withheld		(102,222	)

Total income		81,883,971


Expenses
Investment advisory		1,499,721
Officer and Trustees		101,742
Professional		25,176

Total expenses		1,626,639
Less fees waived by the Manager		(225,381	)

Total expenses after fees waived		1,401,258

Net investment income		80,482,713


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		24,052,870
Investments — affiliated		(17,491	)
Futures contracts		4,911,571

		28,946,950

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		203,876,582
Investments — affiliated		(2,637,321	)
Futures contracts		2,726,041

		203,965,302

Net realized and unrealized gain		232,912,252

Net Increase in Net Assets Resulting from Operations	$	313,394,965


Statements of Changes in Net Assets		S&P 500 Index Master Portfolio


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	80,482,713		$	134,064,606
Net realized gain		28,946,950			110,235,734
Net change in unrealized appreciation (depreciation)		203,965,302			(168,377,143	)

Net increase in net assets resulting from operations		313,394,965			75,923,197


Capital Transactions
Proceeds from contributions		1,873,519,757			3,573,168,628
Value of withdrawals		(1,198,859,791	)		(2,187,812,801	)

Net increase in net assets derived from capital transactions		674,659,966			1,385,355,827


Net Assets
Total increase in net assets		988,054,931			1,461,279,024
Beginning of period		7,209,857,310			5,748,578,286

End of period	$	8,197,912,241		$	7,209,857,310


Financial Highlights		S&P 500 Index Master Portfolio


	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015		2014		2013		2012		2011

Total Return
Total return		3.81%	¹		1.35%		13.63%		32.33%		15.98%		2.13%


Ratios to Average Net Assets
Total expenses		0.04%	²		0.05%		0.05%		0.05%		0.06%		0.06%

Total expenses after fees waived and/or paid indirectly		0.04%	²		0.04%		0.05%		0.05%		0.05%		0.05%

Net investment income		2.15%	²		2.00%		1.98%		2.08%		2.22%		2.08%


Supplemental Data
Net assets, end of period (000)		$ 8,197,912			$ 7,209,857		$ 5,748,578		$ 5,271,130		$ 1,717,932		$ 2,108,316

Portfolio turnover rate		2%			2%		3%		2%		10%		5%

Aggregate total return.

Annualized.


Notes to Financial Statements (Unaudited)		S&P 500 Index Master Portfolio

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. S&P 500 Index Master Portfolio (the “Master Portfolio”) is a series of MIP. The Master Portfolio is classified as diversified. MIP is organized as a Delaware statutory trust.

2. Significant Accounting Policies:

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

3. Investment Valuation and Fair Value Measurements:



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	31


Notes to Financial Statements (continued)		S&P 500 Index Master Portfolio

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:

•

Investments in open-end U.S. mutual funds are valued at NAV each business day.

•

Futures contracts traded on exchanges are valued at their last sale price.

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

•

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments has been included in the Schedule of Investments.

4. Securities and Other Investments:



32	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)		S&P 500 Index Master Portfolio

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. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as common stocks in the Master Portfolio’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments.

As of period end, the following table is a summary of the Master Portfolio’s securities lending agreements by counterparty which are subject to offset under an MSLA:


Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
Barclays Capital, Inc.	$	16,052	$	(16,052	)		—
BNP Paribas S.A.		5,762,279		(5,762,279	)		—
Citigroup Global Markets, Inc.		8,934,586		(8,934,586	)		—
Credit Suisse Securities (USA) LLC		6,306,128		(6,306,128	)		—
Goldman Sachs & Co.		9,724,488		(9,724,488	)		—
JP Morgan Securities LLC		23,141,092		(23,141,092	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		3,770,219		(3,770,219	)		—
State Street Bank & Trust Co.		9,310,866		(9,310,866	)		—
UBS Securities LLC		4,938,037		(4,938,037	)		—

Total	$	71,903,747	$	(71,903,747	)		—

Collateral with a value of $73,016,450 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

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 equity risk. Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	33


Notes to Financial Statements (continued)		S&P 500 Index Master Portfolio

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

Investment Advisory and Administration

MIP, on behalf of the Master Portfolio, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the Master Portfolio’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolio.

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

Waivers

Securities Lending



34	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)		S&P 500 Index Master Portfolio

Pursuant to a securities lending agreement effective March 9, 2015, the Master Portfolio retains 71.5% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 75% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment fees. For the period January 1, 2015 through March 8, 2015, BTC could lend securities with respect to the Master Portfolio only when the difference between the borrower rebate rate and the risk free rate exceeded a certain level, and the Master Portfolio retained 80% (85% commencing on the business day following the date that the aggregate securities lending income earned across the Equity-Liquidity Complex in the calendar year 2014 exceeded a specified threshold and for the remainder of that calendar year) of securities lending income.

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated — net in the Statement of Operations. For the six months ended June 30, 2016, the Master Portfolio paid BTC $66,287 in total for securities lending agent services and collateral investment fees

Officers and Trustees

The fees and expenses of the MIP trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. BAL has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the administration fees paid by the Master Portfolio in an amount equal to the independent expenses through April 30, 2017. For the six months ended June 30, 2016, the amount waived was $126,918.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

Other Transactions


Purchases	Sales	Net Realized Loss
$92,913,906	$14,620,806	$(11,198,690)

7. Purchases and Sales:

For the six months ended June 30, 2016, purchases and sales of investments, excluding short-term securities, were $1,035,462,652 and $154,603,122, respectively.

8. Income Tax Information:



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	35


Notes to Financial Statements (concluded)		S&P 500 Index Master Portfolio

As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


Tax cost	$	5,210,999,476

Gross unrealized appreciation	$	3,235,374,036
Gross unrealized depreciation		(179,647,288	)

Net unrealized appreciation	$	3,055,726,748

9. Bank Borrowings:

10. Principal Risks:

11. Subsequent Events:



36	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Disclosure of Investment Advisory Agreement

Activities and Composition of the Board

The Agreement

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreement on an annual basis. The Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement, and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Board assessed, among other things, the nature, extent and quality of the services provided to the Master Portfolio and the Portfolio by BlackRock, BlackRock’s personnel and affiliates, including (as applicable) investment management; administrative and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Master Portfolio, the Portfolio and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreement.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolio and/or the Portfolio for services; (c) the Master Portfolio’s and/or the Portfolio’s operating expenses and how BlackRock allocates expenses to the Master Portfolio and the Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Master Portfolio’s and the Portfolio’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Master Fund’s and the Fund’s compliance with its respective compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master Fund’s and/or the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Master Portfolio and/or the Portfolio; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreement



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	37


Disclosure of Investment Advisory Agreement (continued)

At the May Meeting, the Board of the Master Fund, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master Fund with respect to the Master Portfolio for a one-year term ending June 30, 2017. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreement with respect to the Master Portfolio and found the Agreement to be satisfactory. In approving the continuation of the Agreement, the Board of the Master Fund considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and the Portfolio; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio and the Portfolio; (d) the Portfolio’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Master Portfolio and the Portfolio; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates, securities lending and cash management, services related to the valuation and pricing of portfolio holdings of the Master Portfolio, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Portfolio. Throughout the year, the Board compared the Portfolio’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the Master Portfolio’s performance and the Master Portfolio’s investment objective(s), strategies and outlook.

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.



38	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Disclosure of Investment Advisory Agreement (continued)

B. The Investment Performance of the Master Portfolio, the Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio and the Portfolio, as applicable. The Board noted that the Portfolio’s investment results correspond directly to the investment results of the Master Portfolio. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Portfolio’s performance. The Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board received and reviewed information regarding the investment performance of the Portfolio as compared to other funds in its applicable Broadridge category and the performance of the Portfolio as compared with its benchmark. The Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. The Board was provided with information on the composition of the Broadridge performance universes and expense universes. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of the Master Portfolio and the Portfolio, as applicable, throughout the year.

The Board noted that for the past five one-year periods reported, the Portfolio’s net performance was within the tolerance range of its benchmark for four of the five periods. BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Portfolio.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio and the Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s contractual advisory fee rate compared with the other funds in the Portfolio’s Broadridge category. The contractual advisory rate is shown before taking into account any reimbursements or fee waivers. The Board also compared the Portfolio’s total expense ratio, as well as the Master Portfolio’s actual advisory fee rate, to those of other funds in the Portfolio’s Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual advisory fee rate gives effect to any advisory fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio and the Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and the Portfolio, as applicable, and other funds the Board currently oversees for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. The Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	39


Disclosure of Investment Advisory Agreement (concluded)

In addition, the Board considered the cost of the services provided to the Master Portfolio and the Portfolio by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolio and the Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing the Master Portfolio and the Portfolio, to the Master Portfolio or the Portfolio, as pertinent. The Board may receive and review information from independent third parties as part of its annual evaluation. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Master Portfolio and the Portfolio in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

The Board noted that the Master Portfolio’s contractual advisory fee rate ranked in the first quartile, and that the actual advisory fee rate and the Portfolio’s total expense ratio ranked in the first and second quartiles, respectively, relative to the Portfolio’s Expense Peers. The Board noted that BlackRock proposed, and the Board agreed to, a contractual reduction of the Master Portfolio’s advisory fee. This advisory fee reduction was implemented on April 30, 2015. The Board also noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate the Master Portfolio/Portfolio for the fees and expenses of the Independent Board Members, counsel to the Independent Board Members and the Master Portfolio’s/Portfolio’s independent registered public accounting firm.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio and the Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolio and the Portfolio benefit from such economies in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolio and the Portfolio to more fully participate in these economies of scale. The Board considered the Master Portfolio’s asset levels and whether the current fee schedule was appropriate.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Master Portfolio and the Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolio and the Portfolio, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.

Conclusion



40	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Officers and Trustees

Rodney D. Johnson, Chair of the Board and Trustee

David O. Beim, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Dr. Matina S. Horner, Trustee

Cynthia A. Montgomery, Trustee

Barbara G. Novick, Trustee

Joseph P. Platt, Trustee

Robert C. Robb, Jr., Trustee

Mark Stalnecker, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Frederick W. Winter, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Richard Hoerner, CFA, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Fernanda Piedra, Anti-Money Laundering Compliance Officer

Benjamin Archibald, Secretary

Effective February 5, 2016, Frank J. Fabozzi resigned as a Trustee of the Trust/MIP.

Effective February 8, 2016, Susan J. Carter, Neil A. Cotty and Claire A. Walton were elected to serve as Trustees of the Trust/MIP.



BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016	41


Additional Information

Proxy Results

BlackRock Funds III

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of the Trust.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		61,938,311,360		43,835,788
Susan J. Carter		61,780,259,925		201,887,223
Collette Chilton		61,948,124,716		34,022,432
Neil A. Cotty		61,775,834,676		206,312,472
Matina S. Horner		61,940,727,663		41,419,485
Rodney D. Johnson		61,941,649,924		40,497,224
Cynthia A. Montgomery		61,943,332,673		38,814,475
Joseph P. Platt		61,944,232,208		37,914,940
Robert C. Robb, Jr.		61,944,234,953		37,912,195
Mark Stalnecker		61,943,725,951		38,421,197
Kenneth L. Urish		61,944,152,210		37,994,938
Claire A. Walton		61,784,560,644		197,586,504
Frederick W. Winter		61,939,767,717		42,379,431
Barbara G. Novick		61,947,782,498		34,364,650
John M. Perlowski		61,944,381,941		37,765,207

Denotes Trust-wide proposal and voting results.

Master Investment Portfolio

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of MIP.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		93,744,625,170		102,294,210
Susan J. Carter		93,564,604,497		282,314,883
Collette Chilton		93,778,667,881		68,251,499
Neil A. Cotty		93,524,182,594		322,736,786
Matina S. Horner		93,744,748,738		102,170,642
Rodney D. Johnson		93,743,366,844		103,552,536
Cynthia A. Montgomery		93,738,956,489		107,962,891
Joseph P. Platt		93,750,384,350		96,535,030
Robert C. Robb, Jr.		93,749,078,613		97,840,767
Mark Stalnecker		93,668,711,867		178,207,513
Kenneth L. Urish		93,694,700,012		152,219,368
Claire A. Walton		93,569,519,963		277,399,417
Frederick W. Winter		93,699,601,190		147,318,190
Barbara G. Novick		93,778,480,450		68,438,930
John M. Perlowski		93,744,975,345		101,944,035

Denotes Trust-wide proposal and voting results.



42	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016


Additional Information (continued)


General Information

Householding

Availability of Quarterly Schedule of Investments

Availability of Proxy Voting Policies and Procedures

Availability of Proxy Voting Record

BlackRock’s Mutual Fund Family

Shareholder Privileges

Account 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 S&P 500 INDEX FUND	JUNE 30, 2016	43


Additional Information (concluded)


BlackRock Privacy Principles



44	BLACKROCK S&P 500 INDEX FUND	JUNE 30, 2016

LOGO


SPSF-6/16-SAR

JUNE 30, 2016

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock Total International ex U.S. Index Fund | of BlackRock Funds III

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


	Page
The Markets in Review		3
Semi-Annual Report:
Fund Summary		4
About Fund Performance		6
Disclosure of Expenses		6
Derivative Financial Instruments		6
Fund Financial Statements:
Statement of Assets and Liabilities		7
Statement of Operations		8
Statements of Changes in Net Assets		9
Fund Financial Highlights		10
Fund Notes to Financial Statements		13
Master Portfolio Information		17
Master Portfolio Financial Statements:
Schedule of Investments		18
Statement of Assets and Liabilities		37
Statement of Operations		38
Statements of Changes in Net Assets		39
Master Portfolio Financial Highlights		39
Master Portfolio Notes to Financial Statements		40
Disclosure of Investment Advisory Agreement		48
Officers and Trustees		52
Additional Information		53

LOGO



2	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016

The Markets in Review

Dear Shareholder,

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of June 30, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		3.84	%		3.99	%
U.S. small cap equities (Russell 2000^® Index)		2.22			(6.73	)
International equities (MSCI Europe, Australasia, Far East Index)		(4.42	)		(10.16	)
Emerging market equities (MSCI Emerging Markets Index)		6.41			(12.05	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.15			0.19
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		7.95			9.49
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)		5.31			6.00
Tax-exempt municipal bonds (S&P Municipal Bond Index)		4.35			7.80
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		9.06			1.65
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



		THIS PAGE NOT PART OF YOUR FUND REPORT				3


Fund Summary as of June 30, 2016


Investment Objective

BlackRock Total International ex U.S. Index Fund’s (the “Fund”) investment objective is to match the performance of the MSCI All Country World ex USA Index (the “MSCI ACWI ex USA Index”) in U.S. dollars with net dividends as closely as possible before the deduction of Fund expenses.


Portfolio Management Commentary

How did the Fund perform?

•

For the six-month period ended June 30, 2016, the Fund’s Institutional Shares returned (0.06)%, Investor A Shares returned (0.18)% and Class K Shares returned (0.04)%. The benchmark MSCI ACWI ex USA Index returned (1.02)% for the same period.

•

Returns for the Fund’s respective share classes differ from the benchmark index based on individual share-class expenses. The Fund invests all of its assets in the Total International ex U.S. Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.

Describe the market environment.

•

The year had its worst monthly start since 2008 as the markets struggled with weakness in China and plunging oil prices. Performance declined early in January as concerns about the slowing global economy rattled developed markets globally. Markets partially recovered at the end of January when central banks around the world stepped in to provide monetary stimulus, including the Bank of Japan, which unexpectedly adopted a negative interest rate policy. The downtrend resumed in February on disappointing global macro data that perpetuated fears of a global growth slowdown. Markets abruptly reversed the trend and recovered in March when the People’s Bank of China cut reserve requirement ratios and the European Central Bank announced more monetary stimulus than anticipated. On top of looser policies around the globe, in the United States, the Fed lowered the expected number of rate increases for 2016. Oil price stability toward the end of the quarter helped decrease global volatility and fuel the recovery as well.

•

Performance of equity indexes was mixed in the second quarter amid recovering oil prices, uncertainty about a potential Fed rate hike and the U.K.’s referendum on European Union (“EU”) membership.

•

Global equity markets outperformed slightly in April as oil prices recovered and comments from Fed officials were broadly dovish. In May, developed markets benefited from signs of a strengthening U.S. economy and a continued rebound in oil prices. The most notable

event of the second quarter, however, occurred in late June when investors were shocked by the U.K. decision to leave the EU. The vote results sparked a sharp two-day selloff, after which developed markets rallied into the end of the month and recovered much of the losses.

•

In this first half of 2016, the strong U.S. dollar ultimately weakened against most major currencies, with the British pound being a notable exception. For the six months ended June 30, 2016, the U.S. dollar declined 14.7% versus the Japanese yen, 6.5% versus the Canadian dollar, 2.7% versus the Swiss franc, 2.3% versus the Australian dollar and 2.2% versus the euro, but was up 10.3% versus the British pound. Overall, the currency performance hurt U.S. investors in European equities, but helped investors in Asia-Pacific equities. The MSCI Europe Index was down 3.8% in local currency, but down 5.1% in U.S. dollar terms. Meanwhile, the MSCI Pacific Index was down 13.2% in local terms but down only 2.9% in U.S. dollar terms. Similarly, the MSCI EAFE Index was down 7.2% in local currency terms, but down only 4.4% in U.S. dollar terms.

Describe recent portfolio activity.

•

During the period, as changes were made to the composition of the MSCI ACWI ex USA Index, the Master Portfolio purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index.

•

As part of its investment strategy, the Master Portfolio utilized derivatives in the form of futures contracts and foreign currency transactions. The Master Portfolio invests in derivative instruments in order to gain market exposure quickly in the event of subscriptions, to maintain liquidity in the event of redemptions and to keep trading costs low. The Master Portfolio may seek to enhance returns using derivatives. During the period, the Master Portfolio’s use of futures contracts and foreign currency transactions contributed positively to Fund performance.

Describe portfolio positioning at period end.

•

The Master Portfolio remains positioned to match the risk characteristics of its benchmark index, irrespective of the market’s future direction.



4	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Total Return Based on a $10,000 Investment

LOGO

Assuming transaction costs and other operating expense, including administration fees, if any.

The Fund invests all of its assets in the Master Portfolio. The Master Portfolio will be substantially invested in equity securities in the MSCI ACWI ex USA Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI ACWI ex USA Index.

The Index is a free float-adjusted market capitalization index designed to measure the combined equity market performance of developed and emerging market countries, excluding the United States.

⁴

Commencement of operations.


Performance Summary for the Period Ended June 30, 2016


	6-Month Total Returns			Average Annual Total Returns⁵
	6-Month Total Returns			1 Year			5 Years			Since Inception⁶
Institutional		(0.06	)%		(9.86	)%		(0.50	)%		(0.50	)%
Investor A		(0.18	)		(10.15	)		(0.77	)		(0.77	)
Class K		(0.04	)		(9.90	)		(0.04	)		(0.04	)
MSCI ACWI ex USA Index		(1.02	)		(10.24	)		0.10			0.10

⁵

See “About Fund Performance” on page 6 for a detailed description of share classes, including any related sales charges and fees.

⁶

The Fund commenced operations on June 30, 2011.

Past performance is not indicative of future results.


Expense Example


	Actual						Hypothetical⁷
	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period⁶		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period⁶		Annualized Expense Ratio
Institutional	$	1,000.00	$	999.40	$	0.85	$	1,000.00	$	1,024.02	$	0.86		0.17	%
Investor A	$	1,000.00	$	998.20	$	2.04	$	1,000.00	$	1,022.82	$	2.06		0.41	%
Class K	$	1,000.00	$	999.60	$	0.60	$	1,000.00	$	1,024.27	$	0.60		0.12	%

⁶

For each class of the Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). Because the Fund invests 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.

⁷

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.

See “Disclosure of Expenses” on page 6 for further information on how expenses were calculated.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	5


About Fund Performance

•

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

•

assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of the different levels of administration and service fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (“BAL” or the “Administrator”), the Fund’s administrator, has contractually agreed to waive and/or reimburse a portion of the Fund’s expenses. Without such waiver and/or reimbursement, the Fund’s performance would have been lower. The Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 4 of the Notes to Financial Statements for additional information on waivers and/or reimbursements.


Disclosure of Expenses


Derivative Financial Instruments



6	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Statement of Assets and Liabilities		BlackRock Total International ex U.S. Index Fund


June 30, 2016 (Unaudited)

Assets
Investments at value — Master Portfolio (cost — $274,096,575)	$	270,066,143
Receivables:
Capital shares sold		2,147,805
From the Administrator		8,986
Prepaid expenses		35,767

Total assets		272,258,701


Liabilities
Payables:
Contributions to the Master Portfolio		1,787,033
Income dividends		1,519,431
Capital shares redeemed		360,772
Capital gain distributions		184,432
Professional fees		54,849
Service fees		29,746
Officer’s fees		49
Other accrued expenses		11,993

Total liabilities		3,948,305

Net Assets	$	268,310,396


Net Assets Consist of
Paid-in capital	$	278,442,535
Distributions in excess of net investment income		(169,761	)
Accumulated net realized loss		(5,931,946	)
Net unrealized appreciation (depreciation)		(4,030,432	)

Net Assets	$	268,310,396


Net Asset Value
Institutional — Based on net assets of $42,084,108 and 5,604,779 shares outstanding, unlimited shares authorized, no par value	$	7.51

Investor A — Based on net assets of $145,407,680 and 19,415,957 shares outstanding, unlimited shares authorized, no par value	$	7.49

Class K — Based on net assets of $80,818,608 and 10,473,210 shares outstanding, unlimited shares authorized, no par value	$	7.72


Statement of Operations		BlackRock Total International ex U.S. Index Fund


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Net investment income allocated from the Master Portfolio:
Dividends — unaffiliated	$	4,891,566
Securities lending — affiliated — net		60,416
Dividends — affiliated		2,627
Foreign taxes withheld		(672,382	)
Expenses		(84,473	)
Fees waived		1,146

Total income		4,198,900


Fund Expenses
Administration		10,516
Service — class specific		176,083
Transfer agent — class specific		45,176
Professional		30,577
Registration		25,804
Printing		9,808
Officer		13
Recoupment of past fees waived and/or reimbursed — class specific		2,757
Miscellaneous		4,512

Total expenses		305,246
Less:
Administration fees waived		(10,516	)
Transfer agent fees waiver and/or reimbursed — class specific		(10,398	)
Fees reimbursed by the Administrator		(29,991	)

Total expenses after fees waived and/or reimbursed		254,341

Net investment income		3,944,559


Realized and Unrealized Gain (Loss) Allocated from the Master Portfolio
Net realized loss from investments, futures contracts and foreign currency transactions		(2,597,940	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(1,274,099	)

Net realized and unrealized loss		(3,872,039	)

Net Increase in Net Assets Resulting from Operations	$	72,520


Statements of Changes in Net Assets		BlackRock Total International ex U.S. Index Fund


	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	3,944,559		$	1,505,163
Net realized gain (loss)		(2,597,940	)		1,963,965
Net change in unrealized appreciation (depreciation)		(1,274,099	)		(6,722,869	)

Net increase (decrease) in net assets resulting from operations		72,520			(3,253,741	)


Distributions to Shareholders¹
From net investment income:
Institutional		(701,111	)		(571,448	)
Investor A		(2,255,885	)		(900,995	)
Class K		(952,036	)		(149,505	)
From net realized gain:
Institutional		(50,090	)		(493,712	)
Investor A		(173,135	)		(1,217,105	)
Class K		(93,519	)		(107,430	)

Decrease in net assets resulting from distributions to shareholders		(4,225,776	)		(3,440,195	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		80,273,093			174,864,697


Net Assets
Total increase in net assets		76,119,837			168,170,761
Beginning of period		192,190,559			24,019,798

End of period	$	268,310,396		$	192,190,559

Distributions in excess of net investment income, end of period	$	(169,761	)	$	(205,288	)

¹Distributions for annual periods determined in accordance with federal income tax regulations.


Financial Highlights		BlackRock Total International ex U.S. Index Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period from June 30, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period from June 30, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	7.65		$	8.43		$	10.06		$	9.06		$	8.13		$	10.00

Net investment income²		0.14			0.21			0.30			0.22			0.17			0.08
Net realized and unrealized gain (loss)		(0.14	)		(0.69	)		(0.75	)		1.02			1.16			(1.89	)

Net increase (decrease) from investment operations		0.00			(0.48	)		(0.45	)		1.24			1.33			(1.81	)

Distributions:³
From net investment income		(0.13	)		(0.17	)		(0.29	)		(0.24	)		(0.40	)		(0.04	)
From net realized gain		(0.01	)		(0.13	)		(0.89	)		—			—			—
From return of capital		—			—			—			—			(0.00	)⁴		(0.02	)

Total distributions		(0.14	)		(0.30	)		(1.18	)		(0.24	)		(0.40	)		(0.06	)

Net asset value, end of period	$	7.51		$	7.65		$	8.43		$	10.06		$	9.06		$	8.13


Total Return⁵
Based on net asset value		(0.06)%	⁶		(5.89)%			(4.78)%			13.94%			16.61%			(18.05)%	⁶


Ratios to Average Net Assets⁷
Total expenses⁸		0.21%	⁹		0.45%			0.83%	¹⁰		1.25%			0.75%			2.04%	^9,11

Total expenses after fees waived and/or reimbursed⁸		0.17%	⁹		0.17%			0.21%	¹⁰		0.35%			0.34%			0.37%	⁹

Net investment income⁸		3.79%	⁹		2.49%			3.00%	¹⁰		2.35%			1.95%			1.78%	⁹


Supplemental Data
Net assets, end of period (000)	$	42,084		$	40,716		$	17,380		$	15,013		$	9,602		$	46

Portfolio turnover rate of the Master Portfolio		4%			6%			49%			36%			42%			4%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸

Includes the Fund’s share of the Master Portfolio’s allocated fees waived as follows:

Six Months Ended
June 30, 2016
(Unaudited)

Year Ended December 31,

Period from
June 30, 2011¹
to December 31,

2011

2015

2014

2013

2012

Allocated fees waived

0.00%

0.03%

0.01%

0.08%

1.14%

⁹

Annualized.

¹⁰

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 2.08%.


Financial Highlights (continued)		BlackRock Total International ex U.S. Index Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period from June 30, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period from June 30, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	7.63		$	8.41		$	10.06		$	9.06		$	8.13		$	10.00

Net investment income²		0.13			0.13			0.22			0.21			0.19			0.08
Net realized and unrealized gain (loss)		(0.14	)		(0.62	)		(0.71	)		1.00			1.12			(1.89	)

Net increase (decrease) from investment operations		(0.01	)		(0.49	)		(0.49	)		1.21			1.31			(1.81	)

Distributions:³
From net investment income		(0.12	)		(0.16	)		(0.27	)		(0.21	)		(0.38	)		(0.04	)
From net realized gain		(0.01	)		(0.13	)		(0.89	)		—			—			—
From return of capital		—			—			—			—			(0.00	)⁴		(0.02	)

Total distributions		(0.13	)		(0.29	)		(1.16	)		(0.21	)		(0.38	)		(0.06	)

Net asset value, end of period	$	7.49		$	7.63		$	8.41		$	10.06		$	9.06		$	8.13


Total Return⁵
Based on net asset value		(0.18)%	⁶		(6.05)%			(5.19)%			13.63%			16.31%			(18.11)%	⁶


Ratios to Average Net Assets⁷
Total expenses⁸		0.46%	⁹		0.43%			1.30%	¹⁰		1.91%			1.88%			2.30%	^9,11

Total expenses after fees waived and/or reimbursed⁸		0.41%	⁹		0.38%			0.46%	¹⁰		0.64%			0.63%			0.62%	⁹

Net investment income⁸		3.55%	⁹		1.63%			2.28%	¹⁰		2.21%			2.18%			1.74%	⁹


Supplemental Data
Net assets, end of period (000)	$	145,408		$	144,177		$	372		$	65		$	39		$	20

Portfolio turnover rate of the Master Portfolio		4%			6%			49%			36%			42%			4%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸

Includes the Fund’s share of the Master Portfolio’s allocated fees waived as follows:

Six Months Ended
June 30, 2016
(Unaudited)

Year Ended December 31,

Period from

June 30, 2011¹
to December 31,

2011

2015

2014

2013

2012

Allocated fees waived

0.00%

0.03%

0.01%

0.16%

1.14%

⁹

Annualized.

¹⁰

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 2.36%.


Financial Highlights (concluded)		BlackRock Total International ex U.S. Index Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period from June 30, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period from June 30, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	7.86		$	8.65		$	10.30		$	9.27		$	8.13		$	10.00

Net investment income²		0.17			0.23			0.19			0.23			0.28			0.09
Net realized and unrealized gain (loss)		(0.17	)		(0.71	)		(0.65	)		1.04			1.27			(1.90	)

Net increase (decrease) from investment operations		0.00			(0.48	)		(0.46	)		1.27			1.55			(1.81	)

Distributions:³
From net investment income		(0.13	)		(0.18	)		(0.30	)		(0.24	)		(0.41	)		(0.04	)
From net realized gain		(0.01	)		(0.13	)		(0.89	)		—			—			—
From return of capital		—			—			—			—			(0.00	)⁴		(0.02	)

Total distributions		(0.14	)		(0.31	)		(1.19	)		(0.24	)		(0.41	)		(0.06	)

Net asset value, end of period	$	7.72		$	7.86		$	8.65		$	10.30		$	9.27		$	8.13


Total Return⁵
Based on net asset value		(0.04)%	⁶		(5.83)%			(4.84)%			13.96%			19.25%			(18.04)%	⁶


Ratios to Average Net Assets⁷
Total expenses⁸		0.16%	⁹		0.46%			0.81%	¹⁰		1.36%			1.80%			1.73%	^9,11

Total expenses after fees waived and/or reimbursed⁸		0.12%	⁹		0.13%			0.15%	¹⁰		0.34%			0.33%			0.32%	⁹

Net investment income⁸		4.64%	⁹		2.71%			2.02%	¹⁰		2.40%			3.31%			2.03%	⁹


Supplemental Data
Net assets, end of period (000)	$	80,819		$	7,297		$	6,267		$	80		$	50		$	16,224

Portfolio turnover rate of the Master Portfolio		4%			6%			49%			36%			42%			4%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸

Includes the Fund’s share of the Master Portfolio’s allocated fees waived as follows:

Six Months Ended
June 30, 2016

(Unaudited)

Year Ended December 31,

Period from

June 30, 2011¹
to December 31,

2011

2015

2014

2013

2012

Allocated fees waived

0.00%

0.03%

0.01%

0.29%

1.14%

⁹

Annualized.

¹⁰

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

¹¹

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 1.79%.


Notes to Financial Statements (Unaudited)		BlackRock Total International ex U.S. Index Fund

1. Organization:

BlackRock Funds III (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. BlackRock Total International ex U.S. Index Fund (the “Fund”) is a series of the Trust. The Fund is classified as non-diversified. The Fund seeks to achieve its investment objective by investing all of its assets in Total International ex U.S. Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”), an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At June 30, 2016, the percentage of the Master Portfolio owned by the Fund was 32.3%. The financial statements of the Master Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.

The Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that Investor A Shares bear certain expenses related to shareholder servicing of such shares. Institutional and Class K Shares are sold without a sales charge and only to certain eligible investors. Investor A Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures. The Board of Trustees of the Fund and Board of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees.”

Share Class

Initial Sales Charge

CDSC

Conversion Privilege

Institutional Shares

None

Investor A Shares

None

Class K Shares

None

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 Investment Income: 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.

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



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	13


Notes to Financial Statements (continued)		BlackRock Total International ex U.S. Index Fund

3. Investment Valuation and Fair Value Measurements:

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

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Administration

The Trust, on behalf of the Fund, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), an indirect, wholly owned subsidiary of BlackRock, to provide administrative services (other than investment advice and related portfolio activities). For such services, the Fund pays BAL a monthly fee at an annual rate of 0.01% of the average daily net assets of the Fund. The Fund does not pay an investment advisory fee or investment management fee.

Service and Distribution Fees

The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Administrator. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at an annual rate of 0.25% based upon the average daily net assets of the Investor A Shares.

For the six months ended June 30, 2016, the class specific service and/or distribution fees borne directly by Investor A Shares was $176,083.

Transfer Agent

BAL maintains a call center that is responsible for providing certain shareholder services to the Fund. Shareholder services include responding to inquiries and processing subscriptions and redemptions transactions based upon instructions from shareholders. For the six months ended June 30, 2016, the Fund reimbursed BAL the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statement of Operations:


Institutional	Investor A	Class K	Total
$96	$471	$7	$574

For the six months ended June 30, 2016, the following table shows the class specific transfer agent fees borne directly by each class of the Fund:


Institutional	Investor A	Class K	Total
$7,586	$37,358	$232	$45,176

Expense Limitations, Waivers, Reimbursements and Recoupments

BFA, the investment adviser for the Master Portfolio, and BAL 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. The expense limitation as a percentage of average daily net assets is as follows:


	Institutional		Investor A		Class K
Rate		0.17%		0.42%		0.12%



14	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)				BlackRock Total International ex U.S. Index Fund

BFA and BAL have agreed not to reduce or discontinue this contractual expense limitation prior to May 1, 2017, unless approved by the Board, including a majority of the Independent Trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) or by a majority of the outstanding voting securities of the Fund. These amounts are shown as administration fees waived and fees reimbursed by the Administrator in the Statement of Operations.

If during the Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from BFA or BAL, are less than the expense cap for that share class, BFA or BAL is entitled to be reimbursed by such share class up to the lesser of the following expenses:

(a)

The amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement.

(b)

The amount by which the expense cap for that share class exceeds the operating expenses of the share class for the current fiscal year, provided that:

•

The Fund, of which the share class is a part, has more than $50 million in assets for the fiscal year.

•

BFA or BAL or an affiliate continues to serve as the Fund’s investment adviser or administrator.

In the event the expense cap for a share class is changed subsequent to a fiscal year in which BFA or BAL, as applicable, becomes entitled to reimbursement for fees waived and/or reimbursed, the amount available to reimburse BFA or BAL shall be calculated by reference to the expense cap for that share class in effect at the time BFA or BAL became entitled to receive such reimbursement, rather than the subsequently changed expense cap for that share class.

For the six months ended June 30, 2016, BAL recouped the following class specific waivers and/or reimbursements previously recorded by the Fund:


Institutional	Investor A	Total
$2,291	$466	$2,757

On June 30, 2016, the Fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:


	Expiring December 31,
	2016		2017		2018
Fund level	$	102,174	$	115,753	$	40,507
Institutional	$	2,297	$	10		—
Investor A		—	$	465	$	10,166
Class K	$	18		—	$	232

Officers and Trustees

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.

5. Income Tax Information:

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



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	15


Notes to Financial Statements (concluded)		BlackRock Total International ex U.S. Index Fund

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
	Shares			Amount			Shares			Amount
Institutional
Shares sold		1,133,812		$	8,342,035			3,607,468		$	29,199,121
Shares issued in reinvestment of distributions		98,264			740,642			124,878			1,009,206
Shares redeemed		(948,527	)		(7,029,973	)		(474,006	)		(3,845,526	)

Net increase		283,549		$	2,052,704			3,258,340		$	26,362,801


Investor A
Shares sold		1,351,350		$	9,954,503			19,293,545		$	150,340,411
Shares issued in reinvestment of distributions		323,118			2,429,020			275,490			2,118,100
Shares redeemed		(1,148,454	)		(8,518,652	)		(723,364	)		(5,709,494	)

Net increase		526,014		$	3,864,871			18,845,671		$	146,749,017


Class K
Shares sold		9,643,697		$	75,085,846			485,159		$	4,219,483
Shares issued in reinvestment of distributions		135,266			1,045,555			30,429			256,936
Shares redeemed		(233,796	)		(1,775,883	)		(312,244	)		(2,723,540	)

Net increase		9,545,167		$	74,355,518			203,344		$	1,752,879

Total Net Increase		10,354,730		$	80,273,093			22,307,355		$	174,864,697

7. Subsequent Events:



16	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Master Portfolio Information		Total International ex U.S. Index Master Portfolio

As of June 30, 2016


Ten Largest Holdings		Percent of Net Assets


Nestlé SA, Registered Shares	1	%
Novartis AG, Registered Shares	1
Roche Holding AG	1
Tencent Holdings Ltd.	1
Toyota Motor Corp.	1
Samsung Electronics Co. Ltd.	1
Taiwan Semiconductor Manufacturing Co. Ltd.	1
Royal Dutch Shell PLC, Class A	1
HSBC Holdings PLC	1
British American Tobacco PLC	1


Geographic Allocation		Percent of Net Assets


Japan	16	%
United Kingdom	11
United States	8
Canada	7
Switzerland	7
France	7
Germany	6
Australia	5
China	5
Netherlands	3
Hong Kong	3
South Korea	3
Taiwan	3
Spain	2
Sweden	2
India	2
Brazil	2
South Africa	2
Other¹	11
Liabilities in Excess of Other Assets	(5	)

Other includes a 1% or less holding in each of the following countries: Austria, Belgium, Chile, Columbia, Czech Republic, Denmark, Finland, Greece, Hungary, Indonesia, Ireland, Israel, Italy, Luxembourg, Malaysia, Malta, Mexico, New Zealand, Norway, Peru, Philippines, Poland, Portugal, Qatar, Romania, Russia, Singapore, Thailand, Turkey and United Arab Emirates.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	17

Schedule of Investments June 30, 2016 (Unaudited)

Total International ex U.S. Index Master Portfolio

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Australia — 5.0%
AGL Energy Ltd.		33,932	$	492,798
Alumina Ltd. (a)		80,719		79,344
Amcor Ltd.		61,970		696,765
AMP Ltd.		140,036		545,749
APA Group (b)		66,494		462,490
Aristocrat Leisure Ltd.		27,113		282,058
Asciano Ltd.		32,335		214,536
ASX Ltd.		9,130		314,351
Aurizon Holdings Ltd.		104,377		378,710
AusNet Services		34,747		42,795
Australia & New Zealand Banking Group Ltd. (a)		139,444		2,540,677
Bank of Queensland Ltd.		19,847		158,344
Bendigo & Adelaide Bank Ltd. (a)		16,747		121,256
BHP Billiton Ltd.		148,256		2,066,129
Boral Ltd.		39,580		185,821
Brambles Ltd.		85,150		794,993
Caltex Australia Ltd.		14,445		348,268
CIMIC Group Ltd.		10,867		293,383
Coca-Cola Amatil Ltd.		16,044		99,040
Cochlear Ltd.		3,188		290,871
Commonwealth Bank of Australia		81,331		4,565,123
Computershare Ltd. (a)		18,081		125,028
Crown Resorts Ltd.		12,817		121,909
CSL Ltd.		24,426		2,059,907
Dexus Property Group		50,587		343,266
Flight Centre Travel Group Ltd. (a)		1,384		32,926
Fortescue Metals Group Ltd. (a)		63,976		171,203
Goodman Group		90,279		484,212
GPT Group		85,677		348,418
Harvey Norman Holdings Ltd. (a)		13,921		48,439
Healthscope Ltd.		82,216		176,923
Incitec Pivot Ltd.		96,223		216,147
Insurance Australia Group Ltd. (a)		120,818		497,682
Lend Lease Group (b)		31,290		297,229
Macquarie Group Ltd.		15,644		814,340
Medibank Pvt Ltd.		149,927		332,472
Mirvac Group		96,945		147,438
National Australia Bank Ltd.		125,239		2,404,515
Newcrest Mining Ltd. (c)		43,527		754,403
Oil Search Ltd.		68,503		345,910
Orica Ltd. (a)		17,936		166,850
Origin Energy Ltd.		77,987		340,735
Platinum Asset Management Ltd.		9,023		39,188
Qantas Airways Ltd. (c)		21,423		45,381
QBE Insurance Group Ltd.		69,084		545,736
Ramsay Health Care Ltd. (a)		7,590		410,205
REA Group Ltd.		6,650		298,437
Rio Tinto Ltd.		22,393		774,586
Santos Ltd. (a)		81,201		287,434
Scentre Group		288,676		1,069,243
Seek Ltd.		11,674		134,013
Sonic Healthcare Ltd. (a)		20,252		328,429


Common Stocks	Shares		Value
Australia (continued)
South32 Ltd. (c)		304,116	$	356,663
Stockland		120,177		426,087
Suncorp Group Ltd.		64,177		588,498
Sydney Airport (b)		56,475		294,892
Tabcorp Holdings Ltd.		54,398		187,389
Tatts Group Ltd.		59,669		171,711
Telstra Corp. Ltd.		194,368		812,406
TPG Telecom Ltd. (a)		14,159		126,962
Transurban Group (b)		107,552		968,696
Treasury Wine Estates Ltd.		48,858		339,508
Vicinity Centres		174,986		436,564
Wesfarmers Ltd.		53,148		1,602,777
Westfield Corp.		107,826		866,131
Westpac Banking Corp.		158,901		3,523,716
Woodside Petroleum Ltd.		37,491		760,214
Woolworths Ltd. (a)		58,393		918,437

				41,516,756
Austria — 0.1%
Andritz AG		5,013		237,702
Erste Group Bank AG (c)		15,117		344,183
OMV AG		7,068		198,686
Raiffeisen Bank International AG (a)(c)		4,478		56,568
Voestalpine AG		4,890		164,574

				1,001,713
Belgium — 1.1%
Ageas		9,520		330,908
Anheuser-Busch InBev SA (a)		38,567		5,099,958
Colruyt SA		3,569		197,501
Delhaize Group		5,181		547,291
Groupe Bruxelles Lambert SA		4,110		337,043
KBC Groep NV (c)		12,394		609,548
Proximus		7,467		237,290
Solvay SA		4,091		382,131
Telenet Group Holding NV (c)		1,997		91,316
UCB SA (a)		6,867		515,625
Umicore SA		7,878		406,932

				8,755,543
Brazil — 1.6%
AMBEV SA		229,963		1,363,757
Banco Bradesco SA — ADR		38,715		325,528
Banco Bradesco SA, Preference Shares		137,486		1,077,701
Banco do Brasil SA		36,400		194,674
Banco Santander Brasil SA		12,700		71,876
BB Seguridade Participacoes SA		38,243		334,655
BM&FBovespa SA		105,100		588,924
BR Malls Participacoes SA		17,810		71,244
Braskem SA, Preference A Shares		11,000		65,199
BRF SA		35,100		493,124
CCR SA		32,500		169,972


Portfolio Abbreviations


ADR		American Depositary Receipts
GDR		Global Depositary Receipt
MSCI		Morgan Stanley Capital International
NVDR		Non-voting Depository Receipts
REIT		Real Estate Investment Trust
S&P		Standard & Poor’s

See Notes to Financial Statements.



18	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
Brazil (continued)
Centrais Eletricas Brasileiras SA, Preference ‘B’ Shares (c)		1,600	$	8,771
CETIP SA — Mercados Organizado		9,411		128,291
Cia Brasileira de Distribuicao Grupo Pao de Acucar, Preference Shares		5,400		78,521
Cia Energetica de Minas Gerais, Preference Shares		24,313		55,100
Cia Energetica de Sao Paulo, Preference ‘B’ Shares		4,000		14,818
Cia Paranaense de Energia, Preference ‘B’ Shares		11,500		104,607
Cielo SA		57,998		611,342
Companhia de Saneamento Basico do Estado de Sao Paulo		7,000		63,369
Companhia Siderurgica Nacional SA (c)		48,700		118,555
Cosan SA Industria e Comercio		1,800		18,665
CPFL Energia SA		3,808		24,409
Duratex SA		5,621		14,874
EDP — Energias do Brasil SA		900		3,816
Embraer SA		37,700		205,382
Equatorial Energia SA		13,600		205,971
Fibria Celulose SA		10,300		69,034
Gerdau SA, Preference Shares		30,600		56,107
Hypermarcas SA		19,300		140,230
Itau Unibanco Holding SA, Preference Shares		150,436		1,418,987
Itausa — Investimentos Itau SA, Preference Shares		249,383		589,240
JBS SA		31,400		97,749
Klabin SA, Preference Shares		22,200		106,567
Kroton Educacional SA		59,168		250,501
Localiza Rent a Car SA		2,940		31,576
Lojas Americanas SA		7,200		25,440
Lojas Americanas SA, Preference Shares		14,784		74,005
Lojas Renner SA		59,435		438,320
M Dias Branco SA		1,500		49,451
Multiplan Empreendimentos Imobiliarios SA		4,600		86,292
Natura Cosmeticos SA		8,200		65,094
Odontoprev SA		600		2,486
Petroleo Brasileiro SA (c)		164,300		588,704
Petroleo Brasileiro SA, Preference Shares (c)		177,022		519,113
Porto Seguro SA		4,400		36,640
Qualicorp SA		8,500		49,244
Raia Drogasil SA		9,300		182,798
Sul America SA		8,738		42,543
Suzano Papel e Celulose SA, Preference ‘A’ Shares		13,600		47,968
Telefonica Brasil SA, Preference Shares		16,200		221,897
Tim Participacoes SA		41,040		87,387
Totvs SA		3,300		31,374
Tractebel Energia SA		4,600		54,860
Transmissora Alianca de Energia Eletrica SA		3,300		19,724
Ultrapar Participacoes SA		18,600		411,744
Vale SA		65,800		333,271
Vale SA, Preference Shares		114,000		462,416
WEG SA		18,720		80,071

				13,083,978
Canada — 6.6%
Agnico Eagle Mines Ltd.		12,637		676,282
Agrium, Inc.		7,173		648,982
Alimentation Couche Tard, Inc., Class B		20,794		892,953
AltaGas Ltd. (a)		5,249		127,574
ARC Resources Ltd. (a)		13,939		238,547
Atco Ltd., Class I		2,968		104,114
Bank of Montreal		30,058		1,906,616
Bank of Nova Scotia (a)		57,323		2,809,024


Common Stocks	Shares		Value
Canada (continued)
Barrick Gold Corp.		55,355	$	1,181,695
BCE, Inc.		7,340		347,357
BlackBerry Ltd. (c)		17,331		116,305
Bombardier, Inc., Class B (c)		55,865		83,887
Brookfield Asset Management, Inc., Class A		44,288		1,465,126
CAE, Inc.		5,726		69,184
Cameco Corp.		17,020		186,937
Canadian Imperial Bank of Commerce (a)		18,546		1,393,014
Canadian National Railway Co.		37,972		2,242,257
Canadian Natural Resources Ltd.		53,452		1,649,132
Canadian Pacific Railway Ltd.		7,192		925,922
Canadian Tire Corp. Ltd., Class A		4,121		448,958
Canadian Utilities Ltd., Class A		9,258		268,220
CCL Industries, Inc., Class B		1,374		239,119
Cenovus Energy, Inc.		39,944		552,498
CGI Group, Inc., Class A (c)		12,922		552,007
CI Financial Corp.		11,539		240,703
Constellation Software, Inc.		1,101		426,109
Crescent Point Energy Corp.		30,179		476,763
Dollarama, Inc.		6,920		483,133
Eldorado Gold Corp.		17,582		79,068
Element Financial Corp. (a)		19,100		202,539
Empire Co. Ltd., Class A		12,024		178,785
Enbridge, Inc.		42,824		1,814,124
Encana Corp.		30,957		240,813
Fairfax Financial Holdings Ltd.		1,258		677,545
Finning International, Inc.		7,357		119,812
First Capital Realty, Inc.		2,654		45,522
First Quantum Minerals Ltd. (a)		28,339		198,951
Fortis, Inc. (a)		15,891		537,142
Franco-Nevada Corp.		9,282		705,804
George Weston Ltd.		3,435		297,277
Gildan Activewear, Inc.		13,076		382,984
Goldcorp, Inc.		40,940		783,341
Great-West Lifeco, Inc.		12,487		329,391
H&R Real Estate Investment Trust		2,945		51,312
Husky Energy, Inc.		15,100		184,316
Hydro One Ltd. (d)		13,003		261,278
IGM Financial, Inc. (a)		4,062		110,577
Imperial Oil Ltd.		16,836		532,726
Industrial Alliance Insurance & Financial Services, Inc.		3,523		110,739
Intact Financial Corp.		5,846		417,607
Inter Pipeline Ltd. (a)		18,400		390,232
Jean Coutu Group PJC, Inc., Class A		3,208		49,661
Keyera Corp.		8,330		254,810
Kinross Gold Corp. (c)		50,110		245,905
Loblaw Cos. Ltd.		10,899		583,018
Magna International, Inc.		21,261		746,303
Manulife Financial Corp.		100,351		1,372,501
Methanex Corp.		4,533		131,890
Metro, Inc.		13,402		466,910
National Bank of Canada		16,555		566,249
Onex Corp.		5,499		336,252
Open Text Corp.		5,660		334,663
Pembina Pipeline Corp.		18,933		575,339
Peyto Exploration & Development Corp.		6,142		164,871
Potash Corp. of Saskatchewan, Inc.		43,849		712,744
Power Corp. of Canada		21,464		456,875
Power Financial Corp. (a)		12,359		283,637
PrairieSky Royalty Ltd. (a)		6,087		115,526

See Notes to Financial Statements.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	19


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
Canada (continued)
Restaurant Brands International, Inc.		11,133	$	463,433
RioCan Real Estate Investment Trust		3,112		70,649
Rogers Communications, Inc., Class B		18,164		735,305
Royal Bank of Canada		74,944		4,428,364
Saputo, Inc.		10,940		324,910
Shaw Communications, Inc., Class B		19,068		366,025
Silver Wheaton Corp.		17,253		406,102
SNC-Lavalin Group, Inc.		9,239		388,024
Sun Life Financial, Inc.		30,632		1,006,248
Suncor Energy, Inc.		77,710		2,155,754
Teck Resources Ltd., Class B (a)		19,684		259,162
TELUS Corp.		8,212		264,421
Thomson Reuters Corp.		15,724		636,165
Toronto-Dominion Bank		87,138		3,741,953
Tourmaline Oil Corp. (c)		10,430		274,565
TransCanada Corp. (a)		34,852		1,577,033
Turquoise Hill Resources Ltd. (c)		39,981		135,235
Valeant Pharmaceuticals International, Inc. (c)		16,850		339,752
Veresen, Inc.		9,589		81,272
Vermilion Energy, Inc.		6,754		215,070
West Fraser Timber Co. Ltd.		2,687		78,554
Yamana Gold, Inc.		84,936		441,789

				55,191,242
Chile — 0.3%
AES Gener SA		90,837		44,428
Aguas Andinas SA, Class A		76,400		43,824
Banco de Chile		1,385,221		148,448
Banco de Credito e Inversiones		735		31,760
Banco Santander Chile SA		2,103,327		101,436
Cencosud SA		46,368		132,321
Colbun SA		466,420		113,040
Companhia Cervecerias Unidas SA		4,404		51,522
Embotelladora Andina SA, Preference ‘B’ Shares		9,220		32,835
Empresa Nacional de Electricidad SA		204,788		189,267
Empresa Nacional de Telecomunicaciones SA		2,032		18,409
Empresas CMPC SA		36,023		74,961
Empresas COPEC SA		24,294		213,695
Endesa SA		204,788		94,322
Enersis Chile SA		1,181,655		138,487
Enersis SA		1,181,655		202,365
Itau CorpBanca		2,375,874		20,166
Latam Airlines Group SA (c)		19,853		131,399
SACI Falabella		35,710		272,359
Sociedad Quimica y Minera de Chile SA, Preference ‘B’ Shares		1,850		45,767

				2,100,811
China — 4.7%
AAC Technologies Holdings, Inc.		39,500		337,691
Agricultural Bank of China Ltd., Class H		1,110,000		407,841
Air China Ltd., Class H		62,000		42,624
Alibaba Group Holding Ltd. — SP ADR (c)		50,292		3,999,723
Aluminum Corp. of China Ltd., Class H (a)(c)		64,000		20,276
Anhui Conch Cement Co. Ltd., Class H		79,500		192,487
ANTA Sports Products Ltd.		81,000		163,226
AviChina Industry & Technology Co. Ltd., Class H		116,000		81,045
Baidu, Inc. — ADR (c)		12,937		2,136,546
Bank of China Ltd., Class H		3,731,000		1,499,518
Bank of Communications Co. Ltd., Class H		470,700		299,418
Beijing Capital International Airport Co. Ltd., Class H		100,000		108,911


Common Stocks	Shares		Value
China (continued)
Byd Co. Ltd., Class H (a)(c)		26,500	$	160,015
CGN Power Co. Ltd. (d)		546,000		152,602
China Cinda Asset Management Co. Ltd.		681,000		230,923
China CITIC Bank Corp. Ltd., Class H		448,000		274,036
China Coal Energy Co. Ltd., Class H (c)		107,000		56,062
China Communications Construction Co. Ltd., Class H		239,000		259,097
China Communications Services Corp. Ltd., Class H		44,000		23,061
China Conch Venture Holdings Ltd.		92,500		183,940
China Construction Bank Corp., Class H		3,987,000		2,657,886
China COSCO Holdings Co. Ltd., Class H (a)(c)		78,000		27,691
China Everbright Bank Co. Ltd., Class H (a)		58,000		26,644
China Galaxy Securities Co. Ltd., Class H		132,500		119,576
China Huishan Dairy Holdings Co. Ltd. (a)		338,000		137,996
China Life Insurance Co. Ltd., Class H		346,000		746,018
China Longyuan Power Group Corp., Class H		125,000		104,350
China Medical System Holdings Ltd.		109,000		167,056
China Mengniu Dairy Co. Ltd.		170,000		297,400
China Merchants Bank Co. Ltd., Class H		209,078		471,705
China Minsheng Banking Corp. Ltd., Class H		306,400		297,649
China National Building Material Co. Ltd., Class H (a)		132,000		58,053
China Oilfield Services Ltd., Class H		64,000		49,724
China Pacific Insurance Group Co. Ltd., Class H		141,800		480,581
China Petroleum & Chemical Corp. Class H		1,278,400		923,796
China Railway Construction Corp. Ltd., Class H		72,000		90,705
China Railway Group Ltd., Class H		230,000		172,865
China Resources Gas Group Ltd.		48,000		145,975
China Shenhua Energy Co. Ltd., Class H		179,500		333,852
China Shipping Container Lines Co. Ltd., Class H (c)		122,000		25,472
China Southern Airlines Co. Ltd., Class H		48,000		27,156
China Telecom Corp. Ltd., Class H		754,000		339,086
China Unicom Hong Kong Ltd.		340,000		354,532
China Vanke Co. Ltd., Class H		48,500		95,778
Chongqing Changan Automobile Co. Ltd.		21,400		29,977
Chongqing Rural Commercial Bank, Co. Ltd., Class H		122,000		62,136
CITIC Securities Co. Ltd., Class H		90,500		200,810
CNOOC Ltd.		857,000		1,069,724
Country Garden Holdings Co. Ltd.		214,270		90,617
CSPC Pharmaceutical Group Ltd.		154,000		137,593
CSR Corp. Ltd., Class H		222,350		199,950
Ctrip.com International Ltd. — ADR (c)		16,126		664,391
Dalian Wanda Commercial Properties Co. Ltd., Class H (d)		24,800		153,486
Dongfeng Motor Group Co. Ltd., Class H		182,000		191,837
Evergrande Real Estate Group Ltd. (a)		286,000		176,437
Far East Horizon Ltd.		141,000		110,127
Fosun International Ltd.		81,500		105,987
GF Securities Co. Ltd., Class H		31,000		71,100
Great Wall Motor Co. Ltd., Class H		123,000		102,836
Guangzhou Automobile Group Co. Ltd., Class H		52,000		62,400
Guangzhou R&F Properties Co. Ltd., Class H (a)		13,200		16,734
Haitian International Holdings Ltd.		67,000		118,544
Haitong Securities Co. Ltd., Class H		163,200		278,073
Hengan International Group Co. Ltd.		39,000		326,653
Huadian Power International Corp. Ltd., Class H		68,000		32,592
Huaneng Power International, Inc., Class H		192,000		119,255
Huaneng Renewables Corp. Ltd., Class H		158,000		52,882
Huatai Securities Co. Ltd., Class H (d)		68,800		148,166

See Notes to Financial Statements.



20	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
China (continued)
Industrial & Commercial Bank of China Ltd., Class H		3,477,000	$	1,939,013
JD.com, Inc. — ADR (c)		32,784		696,004
Jiangsu Expressway Co. Ltd., Class H		26,000		36,309
Jiangxi Copper Co. Ltd., Class H		36,000		40,401
Kingsoft Corp. Ltd. (a)		55,000		106,863
Lenovo Group Ltd.		446,000		271,094
Longfor Properties Co. Ltd.		51,500		67,192
Luye Pharma Group Ltd. (c)		189,500		116,682
NetEase, Inc. — ADR		3,772		728,826
New China Life Insurance Co. Ltd., Class H		29,100		104,195
New Oriental Education & Technology Group, Inc. — ADR		6,358		266,273
People’s Insurance Co. Group of China Ltd., Class H		272,000		104,715
PetroChina Co. Ltd., Class H		1,096,000		755,405
PICC Property & Casualty Co. Ltd., Class H		177,532		279,905
Ping An Insurance Group Co. of China Ltd., Class H		241,000		1,067,792
Qihoo 360 Technology Co. Ltd. — ADR (c)		6,494		474,387
Qinqin Foodstuffs Group Cayman Co. Ltd. (c)		7,800		11,059
Semiconductor Manufacturing International Corp. (c)		1,051,000		84,657
Shandong Weigao Group Medical Polymer Co. Ltd., Class H		132,000		75,639
Shanghai Electric Group Co. Ltd., Class H (c)		104,000		44,002
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H		7,000		17,156
Shanghai Pharmaceuticals Holding Co. Ltd., Class H		19,100		42,352
Shenzhou International Group Holdings Ltd.		20,000		96,713
Shui On Land Ltd.		76,666		19,490
Sino-Ocean Land Holdings Ltd.		137,000		59,643
Sinopec Engineering Group Co. Ltd., Class H		13,500		12,250
Sinopec Shanghai Petrochemical Co. Ltd., Class H		123,000		56,594
Sinopharm Group Co. Ltd., Class H		47,200		226,734
Sinotrans Ltd., Class H		45,000		20,091
SOHO China Ltd.		195,000		94,144
Sunac China Holdings Ltd.		149,000		92,948
Tencent Holdings Ltd.		281,600		6,459,811
Tingyi Cayman Islands Holding Corp.		138,000		131,040
Tsingtao Brewery Co. Ltd., Class H		14,000		48,673
Vipshop Holdings Ltd. — ADR (c)		33,903		378,696
Want Want China Holdings Ltd.		339,000		239,985
Weichai Power Co. Ltd., Class H		24,400		25,123
Yanzhou Coal Mining Co. Ltd., Class H		36,000		23,455
Zhejiang Expressway Co. Ltd., Class H		54,000		51,086
Zhuzhou CRRC Times Electric Co. Ltd.		25,000		138,855
Zijin Mining Group Co. Ltd., Class H		218,000		73,228
ZTE Corp., Class H		14,400		18,316

				38,899,691
Colombia — 0.1%
Bancolombia SA		15,644		136,469
Cementos Argos SA		38,031		155,203
Corp. Financiera Colombiana SA		1,463		19,113
Ecopetrol SA (c)		184,080		87,916
Grupo Argos SA		6,618		41,917
Grupo Aval Acciones y Valores		125,734		50,795
Grupo de Inversiones Suramericana SA		6,592		86,438
Grupo de Inversiones Suramericana SA, Preference Shares		23,325		300,100


Common Stocks	Shares		Value
Colombia (continued)
Interconexion Electrica SA		6,953	$	21,281

				899,232
Czech Republic — 0.0%
CEZ AS		9,764		166,574
Komercni Banka AS		2,790		104,609

				271,183
Denmark — 1.3%
A.P. Moeller — Maersk A/S, Class A		220		277,279
A.P. Moeller — Maersk A/S, Class B (a)		313		408,826
Carlsberg A/S, Class B		4,333		413,403
Chr Hansen Holding A/S		4,943		324,633
Coloplast A/S, Class B (a)		5,471		409,529
Danske Bank A/S		35,120		924,372
DSV A/S		8,213		345,341
Genmab A/S (c)		2,387		435,263
ISS A/S		8,788		330,519
Novo Nordisk A/S, Class B		88,761		4,780,036
Novozymes A/S, Class B		12,683		609,049
Pandora A/S		5,500		749,096
TDC A/S		36,256		177,672
Tryg A/S (a)		5,025		89,970
Vestas Wind Systems A/S		11,244		764,248
William Demant Holding A/S (c)		8,025		156,213

				11,195,449
Finland — 0.7%
Elisa OYJ		8,970		344,656
Fortum OYJ		21,469		344,930
Kone OYJ, Class B		16,423		757,927
Metso OYJ (a)		9,428		221,651
Neste Oil OYJ		5,327		191,020
Nokia OYJ		270,810		1,542,382
Nokian Renkaat OYJ		4,713		168,923
Orion OYJ, Class B		4,256		165,259
Sampo OYJ, Class A		25,381		1,037,989
Stora Enso OYJ, Class R		22,850		183,762
UPM-Kymmene OYJ		27,594		506,923
Wartsila OYJ		6,761		275,857

				5,741,279
France — 6.5%
Accor SA		10,752		411,975
Aeroports de Paris		1,132		124,034
Air Liquide SA		16,009		1,667,843
Airbus Group SE		28,300		1,622,154
Alstom SA (c)		10,571		244,069
ArcelorMittal (c)		86,041		392,278
Arkema SA		3,739		285,856
AtoS SE		4,829		398,146
AXA SA		91,463		1,808,462
BNP Paribas SA		50,974		2,235,491
Bollore SA		36,855		124,073
Bouygues SA		11,139		319,113
Bureau Veritas SA		11,737		246,419
Cap Gemini SA		7,654		660,484
Carrefour SA		24,570		604,315
Casino Guichard-Perrachon SA		2,964		164,527
Christian Dior SA		2,982		477,692
Cie Generale des Etablissements Michelin		9,265		873,139
CNP Assurances		7,565		111,612

See Notes to Financial Statements.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	21


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
France (continued)
Compagnie de Saint-Gobain		23,437	$	888,393
Credit Agricole SA		52,014		437,278
Danone SA		27,974		1,957,694
Dassault Systemes SA		6,665		502,514
Edenred		13,608		278,639
Eiffage SA		2,780		197,630
Electricite de France SA		14,412		174,748
Engie SA		69,686		1,118,924
Essilor International SA		10,093		1,326,513
Eurazeo		1,782		105,719
Eutelsat Communications SA		10,133		191,261
Fonciere Des Regions		2,240		197,985
Gecina SA		1,956		264,937
Groupe Eurotunnel SE, Registered Shares		23,156		244,590
Hermes International		1,327		494,677
ICADE		1,426		100,205
Iliad SA		1,504		303,603
Imerys SA		704		44,919
Ingenico Group SA		4,022		466,170
JCDecaux SA		4,756		160,357
Kering		3,641		586,135
Klepierre		10,381		458,064
L’Oreal SA		11,774		2,254,170
Lagardere SCA		4,159		90,467
Legrand SA		13,403		686,117
LVMH Moet Hennessy Louis Vuitton SA		13,374		2,015,925
Natixis SA		32,454		122,120
Numericable-SFR		5,463		136,519
Orange SA		94,347		1,534,130
Pernod Ricard SA		10,214		1,130,856
Peugeot SA (c)		21,557		258,384
Publicis Groupe SA		9,791		655,041
Remy Cointreau SA		2,985		256,952
Renault SA		9,110		687,782
Rexel SA		17,849		224,405
Safran SA		14,145		952,549
Sanofi		56,420		4,687,525
Schneider Electric SE		27,411		1,599,176
SCOR SE		9,355		276,581
SES SA		16,337		349,735
Societe BIC SA		1,438		202,606
Societe Generale SA		35,927		1,124,008
Sodexo SA		5,001		535,754
Suez		25,669		400,372
Technip SA		5,041		272,844
Thales SA		4,833		401,353
TOTAL SA		103,488		4,962,869
Unibail-Rodamco SE		4,674		1,209,135
Valeo SA		11,640		516,747
Veolia Environnement SA		23,837		514,750
Vinci SA		22,988		1,622,190
Vivendi SA		56,472		1,056,518
Wendel SA		1,358		140,395
Zodiac Aerospace		9,179		214,132

				54,364,744
Germany — 5.7%
adidas AG (a)		10,707		1,536,981
Allianz SE, Registered Shares		23,212		3,311,364
Axel Springer AG		2,564		134,619
BASF SE		42,394		3,250,717


Common Stocks	Shares		Value
Germany (continued)
Bayer AG, Registered Shares		39,462	$	3,963,358
Bayerische Motoren Werke AG (a)		15,932		1,159,452
Bayerische Motoren Werke AG, Preference Shares		2,023		128,959
Beiersdorf AG		5,135		486,154
Brenntag AG		8,520		412,725
Commerzbank AG (a)		59,739		389,041
Continental AG (a)		5,478		1,036,583
Daimler AG, Registered Shares		45,538		2,724,917
Deutsche Bank AG, Registered Shares (a)(c)		69,330		958,357
Deutsche Boerse AG		9,803		805,363
Deutsche Lufthansa AG, Registered Shares		12,602		148,168
Deutsche Post AG, Registered Shares		45,040		1,268,889
Deutsche Telekom AG, Registered Shares (a)		155,481		2,651,302
Deutsche Wohnen AG, Bearer Shares		16,491		561,486
E.ON SE		97,260		981,821
Evonik Industries AG		7,842		233,759
Fraport AG Frankfurt Airport Services Worldwide		2,602		139,313
Fresenius Medical Care AG & Co. KGaA (a)		10,573		920,976
Fresenius SE & Co. KGaA		22,058		1,620,766
Fuchs Petrolub SE, Preference Shares		3,377		132,854
GEA Group AG		7,070		333,713
Hannover Rueck SE		2,808		294,215
HeidelbergCement AG		7,796		587,288
Henkel AG & Co. KGaA		5,377		581,619
Hugo Boss AG (a)		3,305		187,896
Infineon Technologies AG		59,995		868,512
K+S AG, Registered Shares (a)		10,011		204,947
Lanxess AG		5,116		224,454
Linde AG		9,262		1,290,535
MAN SE		2,023		206,465
Merck KGaA (a)		6,678		678,771
Metro AG		7,442		228,887
Muenchener Rueckversicherungs AG, Registered Shares		7,654		1,283,538
OSRAM Licht AG		4,893		254,225
Porsche Automobil Holding SE, Preference Shares		6,103		282,092
ProSiebenSat.1 Media AG, Registered Shares		11,089		485,056
RWE AG (a)(c)		24,137		384,387
SAP SE		47,374		3,558,031
Siemens AG, Registered Shares		37,367		3,834,644
Symrise AG		6,340		432,458
Telefonica Deutschland Holding AG (a)		33,908		139,670
ThyssenKrupp AG (a)		19,076		383,434
TUI AG		24,966		284,161
United Internet AG, Registered Shares		6,889		286,368
Volkswagen AG		1,804		239,143
Vonovia SE		25,145		918,144

				47,410,577
Greece — 0.1%
Alpha Bank AE (c)		69,105		129,486
Eurobank Ergasias SA (c)		92,831		58,764
FF Group (c)		440		8,189
Hellenic Telecommunications Organization SA		12,770		116,675
JUMBO SA (c)		1,999		26,298
National Bank of Greece SA (c)		3,405		755
OPAP SA		8,833		61,562
Piraeus Bank SA (c)		860,181		160,516
Titan Cement Co. SA		990		20,325

				582,570

See Notes to Financial Statements.



22	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
Hong Kong — 3.3%
AIA Group Ltd.		577,200	$	3,471,122
Alibaba Health Information Technology Ltd. (c)		176,000		129,899
Alibaba Pictures Group Ltd. (a)(c)		480,000		112,322
ASM Pacific Technology Ltd.		6,300		45,300
Bank of East Asia Ltd. (a)		59,000		228,165
Beijing Enterprises Holdings Ltd.		38,000		215,429
Beijing Enterprises Water Group Ltd.		232,000		140,497
Belle International Holdings Ltd.		292,000		171,861
BOC Hong Kong Holdings Ltd.		180,500		543,910
Brilliance China Automotive Holdings Ltd.		148,000		152,806
Cathay Pacific Airways Ltd.		32,000		46,946
Cheung Kong Infrastructure Holdings Ltd.		38,000		327,638
Cheung Kong Property Holdings Ltd.		157,008		989,252
China Everbright International Ltd.		107,000		119,642
China Everbright Ltd.		102,000		197,913
China Gas Holdings Ltd.		74,000		113,270
China Jinmao Holdings Group Ltd.		326,000		92,243
China Merchants Holdings International Co. Ltd.		60,000		160,620
China Mobile Ltd.		296,000		3,420,046
China Overseas Land & Investment Ltd.		216,000		688,576
China Power International Development Ltd.		139,000		51,310
China Resources Beer Holdings Co. Ltd.		86,000		187,974
China Resources Land Ltd.		163,111		384,363
China Resources Power Holdings Co. Ltd.		118,000		177,088
China State Construction International Holdings Ltd.		70,000		92,881
China Taiping Insurance Holdings Co. Ltd. (c)		67,872		127,726
CITIC Ltd.		220,000		321,601
CK Hutchison Holdings Ltd.		134,008		1,474,149
CLP Holdings Ltd.		79,500		812,107
COSCO Pacific Ltd.		36,000		35,943
ENN Energy Holdings Ltd.		34,000		168,402
First Pacific Co. Ltd.		140,000		101,639
Galaxy Entertainment Group Ltd.		116,000		347,074
GCL-Poly Energy Holdings Ltd.		431,000		56,649
Geely Automobile Holdings Ltd.		365,000		199,086
GOME Electrical Appliances Holding Ltd.		627,000		74,990
Guangdong Investment Ltd.		164,000		250,359
Haier Electronics Group Co. Ltd.		48,000		73,340
Hanergy Thin Film Power Group Ltd. (c)		67,997		—
Hang Lung Properties Ltd.		120,000		242,436
Hang Seng Bank Ltd.		39,400		675,820
Henderson Land Development Co. Ltd.		64,735		365,673
HKT Trust & HKT Ltd. (b)		142,900		205,930
Hong Kong & China Gas Co. Ltd.		397,463		726,253
Hong Kong Exchanges & Clearing Ltd.		56,400		1,374,218
Hongkong Land Holdings Ltd.		56,200		343,959
Hysan Development Co. Ltd.		25,000		111,488
Jardine Matheson Holdings Ltd.		12,200		713,257
Kerry Properties Ltd.		16,500		40,851
Kunlun Energy Co. Ltd.		134,000		111,512
Li & Fung Ltd.		250,000		121,224
Link REIT		126,500		865,033
MGM China Holdings Ltd.		27,200		35,515
MTR Corp. Ltd.		67,500		342,444
New World Development Co. Ltd.		280,666		285,820
Nine Dragons Paper Holdings Ltd.		178,000		136,471
NWS Holdings Ltd.		52,186		82,603
PCCW Ltd.		452,000		303,721
Power Assets Holdings Ltd.		62,000		570,060
Sands China Ltd.		138,800		469,687
Shanghai Industrial Holdings Ltd.		15,000		34,101


Common Stocks	Shares		Value
Hong Kong (continued)
Shangri-La Asia Ltd.		32,000	$	32,128
Shimao Property Holdings Ltd.		51,000		64,842
Sino Biopharmaceutical Ltd.		198,000		129,952
Sino Land Co. Ltd.		112,800		185,724
SJM Holdings Ltd.		69,000		42,248
Sun Art Retail Group Ltd.		110,000		77,350
Sun Hung Kai Properties Ltd.		68,000		820,685
Swire Pacific Ltd., Class A		36,500		412,495
Swire Properties Ltd.		42,600		113,503
Techtronic Industries Co. Ltd.		74,000		309,024
WH Group Ltd. (d)		335,500		265,714
Wharf Holdings Ltd.		73,000		445,484
Wheelock & Co. Ltd.		32,000		150,325
Wynn Macau Ltd. (a)		121,200		175,629
Yue Yuen Industrial Holdings Ltd.		19,000		75,303

				27,762,620
Hungary — 0.1%
MOL Hungarian Oil & Gas PLC		997		57,717
OTP Bank PLC		11,103		248,456
Richter Gedeon Nyrt		14,765		293,677

				599,850
India — 1.9%
ACC Ltd.		1,747		41,916
Adani Ports & Special Economic Zone Ltd.		43,145		132,792
Ambuja Cements Ltd.		26,422		100,077
Apollo Hospitals Enterprise Ltd.		8,931		174,473
Asian Paints Ltd.		11,155		166,073
Aurobindo Pharma Ltd.		13,516		149,105
Axis Bank Ltd.		28,844		229,200
Bajaj Auto Ltd.		3,253		129,954
Bharat Forge Ltd.		5,977		67,559
Bharat Heavy Electricals Ltd.		22,772		43,270
Bharat Petroleum Corp. Ltd.		6,728		107,055
Bharti Airtel Ltd.		67,324		366,835
Bharti Infratel Ltd.		20,489		104,987
Bosch Ltd.		292		98,155
Cairn India Ltd.		17,443		36,541
Cipla Ltd.		13,384		99,616
Coal India Ltd.		42,303		196,598
Container Corp. of India		2,401		50,998
Dabur India Ltd.		20,426		93,563
Divi’s Laboratories Ltd.		3,088		50,895
Dr. Reddy’s Laboratories Ltd.		1,820		91,796
Dr. Reddy’s Laboratories Ltd. — ADR		4,517		231,406
Eicher Motors Ltd.		723		206,517
GAIL India Ltd.		12,294		70,356
GlaxoSmithKline Consumer Healthcare Ltd.		391		34,271
Glenmark Pharmaceuticals Ltd.		5,797		68,873
Godrej Consumer Products Ltd.		4,619		110,039
HCL Technologies Ltd.		29,571		320,980
Hero MotoCorp Ltd.		1,935		91,387
Hindalco Industries Ltd.		43,227		79,274
Hindustan Unilever Ltd.		40,183		535,982
Housing Development Finance Corp.		76,688		1,428,739
ICICI Bank Ltd.		30,654		109,714
ICICI Bank Ltd. — ADR		20,733		148,863
Idea Cellular Ltd.		41,835		66,293
Indiabulls Housing Finance Ltd.		29,511		294,578
Infosys Ltd.		13,647		236,835

See Notes to Financial Statements.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	23


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
India (continued)
Infosys Ltd. — ADR		75,312	$	1,344,319
ITC Ltd.		114,631		627,592
JSW Steel Ltd.		3,280		71,401
Larsen & Toubro Ltd.		4,639		103,318
Larsen & Toubro Ltd. — GDR		12,158		270,919
LIC Housing Finance Ltd.		17,978		132,307
Lupin Ltd.		11,830		270,639
Mahindra & Mahindra Financial Services Ltd.		10,804		53,625
Mahindra & Mahindra Ltd.		3,478		73,879
Mahindra & Mahindra Ltd. — GDR (a)		13,518		287,945
Marico Ltd.		22,064		86,322
Maruti Suzuki India Ltd.		4,295		267,004
Motherson Sumi Systems Ltd.		12,306		53,085
Nestle India Ltd.		897		86,564
NTPC Ltd.		63,930		148,373
Oil & Natural Gas Corp. Ltd.		58,267		187,435
Piramal Enterprises Ltd.		8,297		177,759
Power Finance Corp. Ltd.		10,235		25,810
Reliance Industries Ltd.		11,768		169,515
Reliance Industries Ltd. — GDR (a)(d)		27,499		785,096
Shree Cement Ltd.		231		49,904
Shriram Transport Finance Co. Ltd.		5,718		102,251
Siemens Ltd.		2,761		53,693
State Bank of India		34,826		113,447
State Bank of India — GDR (a)		5,712		181,070
Sun Pharmaceutical Industries Ltd.		47,910		543,222
Tata Consultancy Services Ltd.		23,603		894,532
Tata Motors Ltd. (c)		75,797		518,890
Tata Motors Ltd. — ADR (c)		6,008		208,297
Tata Power Co. Ltd.		42,988		46,809
Tata Steel Ltd.		11,672		55,981
Tech Mahindra Ltd.		11,300		84,950
UltraTech Cement Ltd.		1,383		70,094
United Spirits Ltd. (c)		3,702		137,359
UPL Ltd.		13,245		108,325
Vedanta Ltd. — ADR		11,497		90,481
Wipro Ltd.		9,623		79,760
Wipro Ltd. — ADR		18,332		226,583
Zee Entertainment Enterprises Ltd.		20,478		139,000

				15,493,120
Indonesia — 0.6%
Adaro Energy Tbk PT		230,400		14,973
Astra International Tbk PT		1,198,900		675,894
Bank Central Asia Tbk PT		705,900		714,765
Bank Danamon Indonesia Tbk PT		186,600		50,138
Bank Mandiri Persero Tbk PT		462,000		334,329
Bank Negara Indonesia Persero Tbk PT		405,600		160,735
Bank Rakyat Indonesia Persero Tbk PT		660,000		543,069
Bumi Serpong Damai Tbk PT		111,800		17,991
Charoen Pokphand Indonesia Tbk PT		271,300		77,663
Global Mediacom Tbk PT		137,600		10,303
Gudang Garam Tbk PT		9,800		51,275
Hanjaya Mandala Sampoerna Tbk PT		260,000		74,851
Indocement Tunggal Prakarsa Tbk PT		88,600		113,943
Indofood CBP Sukses Makmur Tbk PT		18,900		24,846
Indofood Sukses Makmur Tbk PT		331,300		182,287
Jasa Marga Persero Tbk PT		71,000		28,484
Kalbe Farma Tbk PT		858,400		99,895
Lippo Karawaci Tbk PT		819,500		71,193
Matahari Department Store Tbk PT		98,800		150,582


Common Stocks	Shares		Value
Indonesia (continued)
Media Nusantara Citra Tbk PT		60,162	$	10,093
Perusahaan Gas Negara Persero Tbk PT		426,200		75,994
Semen Indonesia Persero Tbk PT		106,000		75,502
Summarecon Agung Tbk PT		499,900		69,129
Surya Citra Media Tbk PT		84,000		21,108
Telekomunikasi Indonesia Persero Tbk PT		2,805,700		853,622
Tower Bersama Infrastructure Tbk PT		38,000		19,049
Unilever Indonesia Tbk PT		62,700		214,291
United Tractors Tbk PT		67,700		76,384
XL Axiata Tbk PT (c)		82,000		22,796

				4,835,184
Ireland — 0.8%
Bank of Ireland (c)		1,442,740		297,420
CRH PLC		39,330		1,146,089
DCC PLC		6,086		535,565
Experian PLC		44,248		839,476
James Hardie Industries PLC		24,629		381,438
Kerry Group PLC, Class A		8,083		716,871
Paddy Power Betfair PLC		4,015		421,962
Shire PLC		42,751		2,642,116

				6,980,937
Israel — 0.5%
Azrieli Group Ltd.		1,500		63,787
Bank Hapoalim BM		66,126		333,135
Bank Leumi Le-Israel BM (c)		71,682		251,687
Bezeq The Israeli Telecommunication Corp. Ltd.		106,530		211,028
Check Point Software Technologies Ltd. (c)		8,303		661,583
Israel Chemicals Ltd.		18,197		70,897
Mizrahi Tefahot Bank Ltd.		8,332		96,075
Mobileye NV (c)		8,390		387,115
NICE Ltd.		2,571		163,600
Teva Pharmaceutical Industries Ltd.		44,550		2,254,685

				4,493,592
Italy — 1.3%
Assicurazioni Generali SpA		55,938		659,642
Atlantia SpA		17,307		432,414
Enel SpA		358,329		1,590,782
Eni SpA		119,849		1,930,428
Exor SpA		6,195		228,692
Ferrari NV (a)		4,560		187,198
Finmeccanica SpA (c)		15,326		154,987
Intesa Sanpaolo SpA		663,590		1,260,057
Luxottica Group SpA (a)		9,215		449,117
Mediobanca SpA		34,909		201,139
Prysmian SpA		10,105		221,796
Saipem SpA (a)(c)		391,138		156,389
Snam SpA		147,779		883,486
Telecom Italia SpA (c)		577,797		474,549
Telecom Italia SpA, Non-Convertible Savings Shares (c)		219,492		141,216
Tenaris SA (a)		27,208		393,240
Terna — Rete Elettrica Nazionale SpA		77,000		428,513
UniCredit SpA		237,637		522,623
Unione di Banche Italiane SCpA (a)		40,601		112,122
UnipolSai SpA		92,405		139,450

				10,567,840

See Notes to Financial Statements.



24	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
Japan — 16.0%
ABC-Mart, Inc.		4,100	$	275,158
Acom Co. Ltd. (c)		16,100		77,997
Aeon Co. Ltd. (a)		34,200		531,009
AEON Financial Service Co. Ltd. (a)		4,000		86,612
Aeon Mall Co. Ltd.		5,190		67,906
Air Water, Inc.		4,000		58,855
Aisin Seiki Co. Ltd.		10,800		439,919
Ajinomoto Co., Inc.		29,000		683,268
Alfresa Holdings Corp.		8,900		185,940
Alps Electric Co. Ltd. (a)		9,900		188,083
Amada Co. Ltd.		12,700		128,932
ANA Holdings, Inc.		80,000		227,969
Aozora Bank Ltd. (a)		70,000		242,829
Asahi Glass Co. Ltd. (a)		49,000		265,918
Asahi Group Holdings Ltd.		20,300		656,397
Asahi Kasei Corp.		68,000		473,214
Asics Corp. (a)		6,100		103,059
Astellas Pharma, Inc.		105,900		1,660,760
Bandai Namco Holdings, Inc.		10,000		258,065
Bank of Kyoto Ltd. (a)		15,000		92,005
Benesse Holdings, Inc.		1,100		25,823
Bridgestone Corp. (a)		29,000		931,971
Brother Industries Ltd.		7,500		80,447
Calbee, Inc. (a)		3,500		146,426
Canon, Inc. (a)		46,100		1,316,164
Casio Computer Co. Ltd. (a)		8,100		116,642
Central Japan Railway Co.		6,600		1,173,899
Chiba Bank Ltd. (a)		41,000		193,756
Chubu Electric Power Co., Inc.		33,600		478,162
Chugai Pharmaceutical Co. Ltd.		11,800		420,531
Chugoku Bank Ltd.		4,000		40,813
Chugoku Electric Power Co., Inc. (a)		14,700		186,883
Concordia Financial Group Ltd. (c)		56,000		216,267
Credit Saison Co. Ltd. (a)		7,700		129,348
Dai Nippon Printing Co. Ltd.		26,000		289,768
Dai-ichi Life Insurance Co. Ltd.		55,200		617,930
Daicel Corp.		12,000		124,345
Daihatsu Motor Co. Ltd. (a)		8,100		105,511
Daiichi Sankyo Co. Ltd.		29,700		721,565
Daikin Industries Ltd.		10,500		882,470
Daito Trust Construction Co. Ltd.		4,000		649,449
Daiwa House Industry Co. Ltd.		29,900		878,073
Daiwa Securities Group, Inc.		82,000		432,006
Denso Corp.		24,600		865,559
Dentsu, Inc. (a)		11,900		557,823
Don Quijote Holdings Co. Ltd.		6,600		245,274
East Japan Railway Co.		16,200		1,501,308
Eisai Co. Ltd.		13,100		731,453
Electric Power Development Co. Ltd.		7,100		165,418
FamilyMart Co. Ltd.		3,300		201,106
FANUC Corp.		9,300		1,512,861
Fast Retailing Co. Ltd. (a)		2,600		698,049
Fuji Electric Co. Ltd.		13,000		54,126
Fuji Heavy Industries Ltd.		29,000		996,828
FUJIFILM Holdings Corp.		20,600		799,289
Fujitsu Ltd.		103,000		378,763
Fukuoka Financial Group, Inc.		34,000		112,106
GungHo Online Entertainment, Inc. (a)		8,800		23,845
Hachijuni Bank Ltd. (a)		10,000		43,553
Hakuhodo DY Holdings, Inc.		5,800		69,518
Hamamatsu Photonics KK (a)		6,400		179,578


Common Stocks	Shares		Value
Japan (continued)
Hankyu Hanshin Holdings, Inc.		57,000	$	425,023
Hikari Tsushin, Inc.		1,800		150,792
Hino Motors Ltd.		8,600		85,656
Hirose Electric Co. Ltd.		1,335		164,160
Hiroshima Bank Ltd.		22,000		73,510
Hisamitsu Pharmaceutical Co., Inc.		6,000		345,968
Hitachi Chemical Co. Ltd.		1,600		29,882
Hitachi Construction Machinery Co. Ltd.		4,600		67,142
Hitachi High-Technologies Corp.		1,600		43,788
Hitachi Ltd.		241,000		1,009,755
Hitachi Metals Ltd. (a)		8,000		81,273
Hokuriku Electric Power Co.		7,100		87,977
Honda Motor Co. Ltd.		78,900		1,979,226
Hoshizaki Electric Co Ltd.		2,500		244,735
Hoya Corp.		18,900		675,032
Hulic Co. Ltd. (a)		9,000		94,838
Idemitsu Kosan Co. Ltd.		2,400		52,104
IHI Corp. (a)		58,000		156,338
Iida Group Holdings Co. Ltd.		6,800		139,258
Inpex Corp.		53,500		418,402
Isetan Mitsukoshi Holdings Ltd.		20,100		178,906
Isuzu Motors Ltd.		31,000		381,826
ITOCHU Corp.		69,700		852,655
Iyo Bank Ltd. (a)		8,700		53,285
J. Front Retailing Co. Ltd.		9,700		100,573
Japan Airlines Co. Ltd.		5,100		164,080
Japan Airport Terminal Co. Ltd.		1,500		54,422
Japan Exchange Group, Inc.		29,800		343,101
Japan Post Bank Co. Ltd.		20,200		237,525
Japan Post Holdings Co. Ltd.		22,500		273,721
Japan Prime Realty Investment Corp. (a)		41		175,938
Japan Real Estate Investment Corp.		56		345,888
Japan Retail Fund Investment Corp.		141		360,039
Japan Tobacco, Inc. (a)		52,300		2,107,804
JFE Holdings, Inc. (a)		22,200		289,603
JGC Corp.		10,000		143,156
Joyo Bank Ltd.		29,000		108,414
JSR Corp.		12,500		165,539
JTEKT Corp.		12,600		142,814
JX Holdings, Inc.		103,400		403,603
Kajima Corp.		47,000		326,496
Kakaku.com, Inc.		7,400		147,036
Kamigumi Co. Ltd.		18,000		166,371
Kaneka Corp.		19,000		126,773
Kansai Electric Power Co., Inc. (c)		38,500		374,961
Kansai Paint Co. Ltd. (a)		8,000		161,517
Kao Corp.		23,300		1,357,041
Kawasaki Heavy Industries Ltd.		84,000		236,850
KDDI Corp.		97,200		2,955,826
Keihan Holdings Co. Ltd.		15,000		103,940
Keikyu Corp.		22,000		221,388
Keio Corp.		27,000		254,687
Keisei Electric Railway Co. Ltd.		16,000		206,236
Keyence Corp.		2,220		1,514,769
Kikkoman Corp.		8,000		295,200
Kintetsu Group Holdings Co. Ltd.		91,000		389,429
Kirin Holdings Co. Ltd. (a)		35,100		592,002
Kobe Steel Ltd. (a)		126,000		103,556
Koito Manufacturing Co. Ltd.		6,000		276,267
Komatsu Ltd.		48,200		837,315
Konami Corp.		5,700		217,454

See Notes to Financial Statements.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	25


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
Japan (continued)
Konica Minolta, Inc.		23,700	$	172,644
Kose Corp.		1,700		144,058
Kubota Corp. (a)		56,000		757,418
Kuraray Co. Ltd. (a)		19,300		230,277
Kurita Water Industries Ltd. (a)		7,400		164,959
Kyocera Corp.		14,500		689,951
Kyowa Hakko Kirin Co. Ltd.		12,000		204,669
Kyushu Electric Power Co., Inc. (a)		25,500		255,750
Lawson, Inc.		3,800		303,372
LIXIL Group Corp.		13,600		223,337
M3, Inc. (a)		9,700		338,530
Mabuchi Motor Co. Ltd. (a)		2,300		97,416
Makita Corp.		5,800		385,103
Marubeni Corp.		87,100		393,494
Marui Group Co. Ltd. (a)		9,500		127,888
Maruichi Steel Tube Ltd.		2,400		83,880
Mazda Motor Corp.		29,500		390,382
McDonald’s Holdings Co. Japan Ltd.		10,700		290,641
Medipal Holdings Corp.		3,000		49,322
Meiji Holdings Co. Ltd.		6,200		637,083
Minebea Co. Ltd. (a)		19,000		129,084
Miraca Holdings, Inc.		2,400		104,083
Mitsubishi Chemical Holdings Corp.		70,100		321,338
Mitsubishi Corp.		68,400		1,204,341
Mitsubishi Electric Corp.		98,000		1,169,958
Mitsubishi Estate Co. Ltd.		59,000		1,082,225
Mitsubishi Gas Chemical Co., Inc.		31,000		161,724
Mitsubishi Heavy Industries Ltd.		157,000		631,332
Mitsubishi Logistics Corp. (a)		2,000		27,981
Mitsubishi Materials Corp.		62,000		148,450
Mitsubishi Motors Corp.		35,200		162,495
Mitsubishi Tanabe Pharma Corp.		11,400		205,977
Mitsubishi UFJ Financial Group, Inc.		622,300		2,789,679
Mitsubishi UFJ Lease & Finance Co. Ltd.		11,500		44,190
Mitsui & Co. Ltd.		84,200		1,005,109
Mitsui Chemicals, Inc.		37,000		135,966
Mitsui Fudosan Co. Ltd.		47,000		1,078,686
Mitsui OSK Lines Ltd. (a)		47,000		99,946
Mixi, Inc.		1,800		74,422
Mizuho Financial Group, Inc.		1,098,400		1,580,661
MS&AD Insurance Group Holdings, Inc.		25,800		668,481
Murata Manufacturing Co. Ltd.		10,100		1,132,357
Nabtesco Corp. (a)		3,900		93,055
Nagoya Railroad Co. Ltd. (a)		31,000		174,667
NEC Corp.		108,000		251,625
Nexon Co. Ltd.		5,100		75,480
NGK Insulators Ltd.		15,000		303,259
NGK Spark Plug Co. Ltd. (a)		8,500		128,306
NH Foods Ltd.		8,000		195,952
NHK Spring Co. Ltd.		14,000		113,622
Nidec Corp.		11,100		844,965
Nikon Corp.		19,900		269,442
Nintendo Co. Ltd.		5,200		747,235
Nippon Building Fund, Inc. (a)		75		462,003
Nippon Electric Glass Co. Ltd. (a)		28,000		116,886
Nippon Express Co. Ltd.		31,000		141,661
Nippon Paint Holdings Co. Ltd. (a)		14,600		360,938
Nippon Steel & Sumitomo Metal Corp.		37,647		728,832
Nippon Telegraph & Telephone Corp.		34,200		1,603,805
Nippon Yusen KK		93,000		163,609
Nissan Motor Co. Ltd.		109,400		976,320


Common Stocks	Shares		Value
Japan (continued)
Nisshin Seifun Group, Inc.		9,000	$	144,674
Nissin Foods Holdings Co. Ltd.		3,500		191,138
Nitori Holdings Co. Ltd.		4,000		485,136
Nitto Denko Corp.		8,800		558,221
NOK Corp.		3,800		64,621
Nomura Holdings, Inc.		183,100		651,205
Nomura Real Estate Holdings, Inc.		5,200		90,865
Nomura Real Estate Master Fund, Inc.		172		271,900
Nomura Research Institute Ltd.		6,710		246,091
NSK Ltd.		24,800		181,534
NTT Data Corp.		6,800		321,153
NTT DoCoMo, Inc.		68,600		1,850,041
NTT Urban Development Corp.		2,400		25,802
Obayashi Corp.		33,000		351,348
Odakyu Electric Railway Co. Ltd. (a)		34,000		398,682
Oji Holdings Corp.		39,000		149,721
Olympus Corp.		14,300		533,984
Omron Corp.		11,500		375,369
Ono Pharmaceutical Co. Ltd.		21,000		914,782
Oracle Corp. Japan		700		37,326
Oriental Land Co. Ltd.		9,900		641,019
ORIX Corp.		61,300		793,251
Osaka Gas Co. Ltd. (a)		94,000		361,382
Otsuka Corp.		2,900		135,608
Otsuka Holdings Co. Ltd. (a)		19,000		875,575
Panasonic Corp.		112,700		969,619
Park24 Co. Ltd.		10,500		360,826
Rakuten, Inc. (a)		48,300		524,216
Recruit Holdings Co. Ltd.		18,600		679,534
Resona Holdings, Inc.		113,000		413,005
Ricoh Co. Ltd.		39,000		338,071
Rinnai Corp.		2,100		185,562
Rohm Co. Ltd.		5,400		213,138
Ryohin Keikaku Co. Ltd.		1,000		243,698
Sankyo Co. Ltd.		3,300		123,727
Santen Pharmaceutical Co. Ltd.		20,200		317,487
SBI Holdings, Inc.		8,850		88,129
Secom Co. Ltd.		9,000		665,395
Sega Sammy Holdings, Inc.		6,900		74,314
Seibu Holdings, Inc.		6,200		105,011
Seiko Epson Corp.		14,900		238,871
Sekisui Chemical Co. Ltd.		19,000		234,095
Sekisui House Ltd.		27,100		474,577
Seven & i Holdings Co. Ltd.		35,900		1,505,219
Seven Bank Ltd.		27,800		86,289
Shikoku Electric Power Co., Inc. (a)		8,000		94,763
Shimadzu Corp.		11,000		165,366
Shimamura Co. Ltd.		900		133,908
Shimano, Inc. (a)		4,100		626,880
Shimizu Corp.		29,000		271,701
Shin-Etsu Chemical Co. Ltd.		19,800		1,160,051
Shinsei Bank Ltd.		100,000		145,698
Shionogi & Co. Ltd.		13,900		759,858
Shiseido Co. Ltd.		19,900		518,549
Shizuoka Bank Ltd. (a)		30,000		211,278
Showa Shell Sekiyu KK (a)		13,900		129,738
SMC Corp.		2,400		590,463
Softbank Group Corp.		46,400		2,624,014
Sompo Japan Nipponkoa Holdings, Inc.		14,800		393,860
Sony Corp.		62,700		1,847,266
Sony Financial Holdings, Inc. (a)		6,900		78,017

See Notes to Financial Statements.



26	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
Japan (continued)
Stanley Electric Co. Ltd. (a)		5,100	$	108,917
Sumitomo Chemical Co. Ltd.		79,000		325,959
Sumitomo Corp.		55,700		561,450
Sumitomo Dainippon Pharma Co. Ltd. (a)		3,900		67,598
Sumitomo Electric Industries Ltd.		39,500		522,800
Sumitomo Heavy Industries Ltd.		20,000		87,858
Sumitomo Metal Mining Co. Ltd. (a)		29,000		294,999
Sumitomo Mitsui Financial Group, Inc.		61,500		1,775,815
Sumitomo Mitsui Trust Holdings, Inc.		177,000		575,925
Sumitomo Realty & Development Co. Ltd.		19,000		515,230
Sumitomo Rubber Industries Ltd. (a)		10,500		140,573
Suntory Beverage & Food Ltd.		8,500		384,635
Suruga Bank Ltd. (a)		8,300		187,573
Suzuken Co. Ltd.		1,870		58,861
Suzuki Motor Corp.		18,900		511,773
Sysmex Corp.		7,800		537,096
T&D Holdings, Inc.		31,400		266,650
Taiheiyo Cement Corp.		49,000		116,060
Taisei Corp.		51,000		419,051
Taisho Pharmaceutical Holdings Co. Ltd.		3,500		368,305
Taiyo Nippon Sanso Corp. (a)		4,000		36,764
Takashimaya Co. Ltd.		13,000		93,113
Takeda Pharmaceutical Co. Ltd.		36,900		1,591,430
TDK Corp.		6,800		380,639
Teijin Ltd.		59,000		195,499
Terumo Corp.		16,500		704,143
THK Co. Ltd.		4,000		68,178
Tobu Railway Co. Ltd.		57,000		312,846
Toho Co. Ltd.		5,000		138,457
Toho Gas Co. Ltd.		18,000		147,289
Tohoku Electric Power Co., Inc. (a)		22,400		282,700
Tokio Marine Holdings, Inc.		30,800		1,025,365
Tokyo Electric Power Co. Holdings, Inc. (c)		70,100		296,876
Tokyo Electron Ltd. (a)		8,000		676,069
Tokyo Gas Co. Ltd.		124,000		511,966
Tokyo Tatemono Co. Ltd.		8,000		95,938
Tokyu Corp.		53,000		465,324
Tokyu Fudosan Holdings Corp. (a)		30,800		192,148
TonenGeneral Sekiyu KK (a)		16,000		145,752
Toppan Printing Co. Ltd.		23,000		197,771
Toray Industries, Inc.		62,000		529,039
Toshiba Corp. (a)(c)		208,000		566,592
Toto Ltd.		8,500		339,653
Toyo Seikan Kaisha Ltd. (a)		8,500		162,418
Toyo Suisan Kaisha Ltd.		5,400		219,041
Toyoda Gosei Co. Ltd.		4,300		76,580
Toyota Industries Corp.		6,600		262,415
Toyota Motor Corp.		127,700		6,295,418
Toyota Tsusho Corp.		10,200		219,599
Trend Micro, Inc.		4,200		150,209
Unicharm Corp.		17,500		393,182
United Urban Investment Corp.		132		237,780
USS Co. Ltd.		12,100		199,972
West Japan Railway Co.		8,200		519,661
Yahoo! Japan Corp.		75,400		334,351
Yakult Honsha Co. Ltd. (a)		5,200		270,260
Yamada Denki Co. Ltd.		39,300		207,458
Yamaguchi Financial Group, Inc.		4,000		37,825
Yamaha Corp.		9,600		258,753
Yamaha Motor Co. Ltd. (a)		14,700		224,244
Yamato Holdings Co. Ltd.		17,700		406,410


Common Stocks	Shares		Value
Japan (continued)
Yamazaki Baking Co. Ltd.		7,000	$	195,424
Yaskawa Electric Corp.		8,100		105,757
Yokogawa Electric Corp. (a)		8,400		94,728
Yokohama Rubber Co. Ltd. (a)		5,000		62,710

				133,719,282
Luxembourg — 0.0%
RTL Group SA		937		76,524
Malaysia — 0.7%
AirAsia Bhd (a)		60,100		38,913
Alliance Financial Group Bhd		90,800		90,903
AMMB Holdings Bhd		68,900		76,040
Astro Malaysia Holdings Bhd		29,600		21,513
Axiata Group Bhd		165,600		231,776
Berjaya Sports Toto Bhd		118,478		89,340
British American Tobacco Malaysia Bhd		3,100		40,523
CIMB Group Holdings Bhd		239,100		260,071
Dialog Group Bhd		142,134		54,411
DiGi.Com Bhd (a)		169,300		200,936
Felda Global Ventures Holdings Bhd		89,900		33,797
Gamuda Bhd		39,600		47,738
Genting Bhd		78,100		159,082
Genting Malaysia Bhd		106,100		117,311
Genting Plantations Bhd		10,000		26,343
Hong Leong Bank Bhd		14,040		46,054
Hong Leong Financial Group Bhd		7,000		25,544
IHH Healthcare Bhd		176,500		288,949
IJM Corp. Bhd		126,600		109,654
IOI Corp. Bhd		102,200		109,823
IOI Properties Group Sdn Bhd		23,273		13,566
Kuala Lumpur Kepong Bhd		17,500		101,212
Lafarge Malayan Cement Bhd		17,500		33,989
Malayan Banking Bhd		163,500		330,736
Malaysia Airports Holdings Bhd		11,300		17,189
Maxis Bhd (a)		66,600		97,383
MISC Bhd		27,400		50,702
Petronas Chemicals Group Bhd		126,000		206,588
Petronas Dagangan Bhd		6,100		35,406
Petronas Gas Bhd		52,700		288,464
PPB Group Bhd		12,600		51,765
Public Bank Bhd		156,720		755,149
RHB Capital Bhd		16,824		21,403
Sapurakencana Petroleum Bhd		220,700		81,100
Sime Darby Bhd		159,000		299,564
Telekom Malaysia Bhd		55,900		94,088
Tenaga Nasional Bhd		208,700		730,749
UMW Holdings Bhd		10,900		15,534
Westports Holdings Bhd		70,000		73,068
YTL Corp. Bhd		113,160		46,967
YTL Power International Bhd		42,000		14,689

				5,428,032
Malta — 0.0%
Brait SE (a)(c)		18,341		174,833
Mexico — 0.9%
Alfa SAB de CV, Series A		169,400		291,683
America Movil SAB de CV, Series L		1,602,800		983,638
Arca Continental SAB de CV		15,972		114,488
Cemex SAB de CV (c)		741,655		458,399
Coca-Cola Femsa SAB de CV, Series L		24,300		201,537

See Notes to Financial Statements.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	27


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
Mexico (continued)
El Puerto de Liverpool SAB de CV, Series C1		10,900	$	115,078
Fibra Uno Administracion SA de CV		129,500		275,255
Fomento Economico Mexicano SAB de CV		95,700		885,573
Gentera SAB de CV		37,100		65,971
Gruma SAB de CV		10,000		144,291
Grupo Aeroportuario del Pacifico SAB de CV, Class B		15,800		162,316
Grupo Aeroportuario del Sureste SAB de CV, Class B		10,700		169,988
Grupo Bimbo SAB de CV, Series A		104,600		327,373
Grupo Carso SAB de CV, Series A1		14,900		63,601
Grupo Comercial Chedraui SA de CV		41,000		102,508
Grupo Financiero Banorte SAB de CV, Series O		127,204		713,301
Grupo Financiero Inbursa SAB de CV, Series O		99,700		169,052
Grupo Financiero Santander Mexico SAB de CV, Series B		179,526		325,419
Grupo Lala SAB de CV		9,900		21,725
Grupo Mexico SAB de CV, Series B		130,223		306,922
Grupo Televisa SAB CPO		132,200		690,048
Industrias Penoles SAB de CV		2,850		67,892
Kimberly-Clark de Mexico SAB de CV, Class A		78,500		185,188
Mexichem SAB de CV		35,730		75,535
OHL Mexico SAB de CV (c)		42,200		51,473
Promotora y Operadora de Infraestructura SAB de CV		9,700		120,167
Wal-Mart de Mexico SAB de CV		281,300		675,610

				7,764,031
Netherlands — 3.5%
Aegon NV		89,219		353,514
AerCap Holdings NV (c)		8,129		273,053
Akzo Nobel NV		10,924		678,607
Altice NV, Class A (c)		14,627		218,402
Altice NV, Class B (c)		14,792		222,859
ASML Holding NV		17,224		1,695,498
CNH Industrial NV		45,146		327,473
Gemalto NV		4,250		257,482
Heineken Holding NV		5,586		452,587
Heineken NV		11,301		1,036,548
ING Groep NV CVA		184,628		1,910,143
Koninklijke Ahold NV		41,302		912,054
Koninklijke Boskalis Westminster NV		4,734		161,537
Koninklijke DSM NV		9,500		548,059
Koninklijke KPN NV (a)		174,560		622,208
Koninklijke Philips NV		47,377		1,176,668
Koninklijke Vopak NV		2,494		124,150
NN Group NV		20,253		557,533
NXP Semiconductor NV (c)		14,055		1,101,069
OCI NV (c)		3,417		46,290
QIAGEN NV (c)		10,835		236,119
Randstad Holding NV		7,147		285,815
Royal Dutch Shell PLC, Class A		211,374		5,805,417
Royal Dutch Shell PLC, Class B		177,886		4,914,736
Steinhoff International Holdings NV		143,318		822,168
Unilever NV CVA		77,911		3,623,611
Wolters Kluwer NV		16,190		655,552

				29,019,152
New Zealand — 0.1%
Auckland International Airport Ltd.		55,568		258,496
Contact Energy Ltd.		39,025		144,880
Fletcher Building Ltd.		30,613		188,302
Meridian Energy Ltd.		95,908		181,003
Mighty River Power Ltd.		12,773		27,567


Common Stocks	Shares		Value
New Zealand (continued)
Ryman Healthcare Ltd.		13,399	$	89,434
Spark New Zealand Ltd.		65,332		166,051

				1,055,733
Norway — 0.4%
DNB ASA		51,793		619,952
Gjensidige Forsikring ASA		10,710		178,438
Marine Harvest ASA (c)		18,547		312,837
Norsk Hydro ASA		59,486		217,768
Orkla ASA		51,519		458,187
Statoil ASA		57,162		987,671
Telenor ASA		36,700		607,495
Yara International ASA		9,441		299,910

				3,682,258
Peru — 0.1%
Compania de Minas Buenaventura SA — ADR (c)		4,924		58,842
Credicorp Ltd.		4,101		632,907
Southern Copper Corp.		5,675		153,112

				844,861
Philippines — 0.3%
Aboitiz Equity Ventures, Inc.		86,410		143,481
Aboitiz Power Corp.		29,200		28,663
Alliance Global Group, Inc.		35,800		11,294
Ayala Corp.		13,480		243,921
Ayala Land, Inc.		389,400		323,017
Bank of the Philippine Islands		45,031		93,243
BDO Unibank, Inc.		59,814		142,900
DMCI Holdings, Inc.		170,000		45,743
Energy Development Corp.		642,400		75,819
Globe Telecom, Inc.		845		42,715
GT Capital Holdings, Inc.		2,625		80,697
International Container Terminal Services, Inc.		9,550		12,525
JG Summit Holdings, Inc.		156,443		285,800
Jollibee Foods Corp.		12,070		62,249
Megaworld Corp.		600,000		59,700
Metro Pacific Investments Corp.		1,468,000		218,610
Metropolitan Bank & Trust Co.		12,817		24,686
Philippine Long Distance Telephone Co.		6,185		282,697
SM Investments Corp.		6,035		124,765
SM Prime Holdings, Inc.		486,150		284,010
Universal Robina Corp.		34,300		152,128

				2,738,663
Poland — 0.2%
Alior Bank SA (c)		1,352		17,976
Bank Handlowy w Warszawie SA		502		9,144
Bank Millennium SA (c)		13,346		15,832
Bank Pekao SA		6,396		223,312
Bank Zachodni WBK SA		1,160		77,572
CCC SA		981		39,868
Cyfrowy Polsat SA (c)		8,953		50,087
Enea SA		3,084		7,753
Energa SA		5,000		12,084
Eurocash SA		9,624		112,770
Grupa Azoty SA		1,551		27,116
Grupa Lotos SA (c)		1,964		15,193
KGHM Polska Miedz SA		4,863		82,071
LPP SA		55		70,564
Mbank (c)		573		45,076
Orange Polska SA		32,359		41,727

See Notes to Financial Statements.



28	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
Poland (continued)
PGE SA		64,372	$	193,898
Polski Koncern Naftowy Orlen SA		15,864		278,659
Polskie Gornictwo Naftowe i Gazownictwo SA		93,796		133,719
Powszechna Kasa Oszczednosci Bank Polski SA (c)		50,667		300,322
Powszechny Zaklad Ubezpieczen SA		33,880		246,892
Synthos SA (c)		54,162		49,617
Tauron Polska Energia SA		20,989		15,142

				2,066,394
Portugal — 0.1%
EDP — Energias de Portugal SA		94,763		290,123
Galp Energia SGPS SA		18,382		255,663
Jeronimo Martins SGPS SA		11,973		188,835

				734,621
Qatar — 0.2%
Barwa Real Estate Co.		2,548		23,162
Commercial Bank of Qatar QSC		2,974		30,313
Doha Bank QSC		6,076		59,147
Ezdan Holding Group QSC		43,351		213,977
Industries Qatar QSC		10,894		294,204
Masraf Al Rayan		13,978		130,759
Ooredoo QSC		2,666		64,724
Qatar Electricity & Water Co.		1,002		57,254
Qatar Insurance Co. SAQ		5,007		101,343
Qatar Islamic Bank SAQ		11,231		296,567
Qatar National Bank		11,988		461,927
Vodafone Qatar		7,760		22,604

				1,755,981
Romania — 0.0%
New Europe Property Investments PLC		11,085		126,445
Russia — 0.8%
AK Transneft OAO, Preference Shares		32		83,214
Alrosa AO		57,800		62,278
Federal Hydrogenerating Co. JSC		6,552,000		63,010
Gazprom OAO		357,230		782,370
Gazprom OAO — ADR		113,445		490,192
Lukoil OAO		17,457		732,099
Lukoil PJSC — ADR		10,256		429,251
Magnit OJSC — GDR		11,460		382,066
MegaFon OAO — GDR		2,296		23,977
MMC Norilsk Nickel		3,113		414,239
Mobile Telesystems — ADR		27,500		227,700
Moscow Exchange MICEX-RTS OAO		63,850		112,244
NovaTek OAO — GDR		4,662		476,974
Rosneft Oil Co.		21,260		109,738
Rosneft Oil Co. OJSC		20,000		102,896
Rostelecom OJSC		42,250		60,760
Sberbank of Russia		205,970		429,394
Sberbank of Russia — ADR		70,000		613,932
Severstal OAO		10,830		118,557
Sistema JSFC — GDR		2,940		22,138
Surgutneftegas OAO		301,050		155,554
Surgutneftegas OAO — ADR		24,155		123,258
Surgutneftegas OAO, Preference Shares		395,000		237,204
Tatneft OAO		79,770		407,955
VTB Bank OJSC		86,510,000		92,470
VTB Bank OJSC — GDR		50,000		103,451

				6,856,921


Common Stocks	Shares		Value
Singapore — 0.9%
Ascendas Real Estate Investment Trust		51,978	$	96,197
CapitaLand Commercial Trust Ltd.		80,000		87,990
CapitaLand Ltd.		147,400		338,427
CapitaLand Mall Trust		210,100		334,064
City Developments Ltd.		14,000		85,076
ComfortDelGro Corp. Ltd.		86,000		176,612
DBS Group Holdings Ltd.		88,484		1,043,307
Genting Singapore PLC		233,000		126,392
Global Logistic Properties Ltd. (a)		100,600		135,815
Golden Agri-Resources Ltd.		270,000		70,646
Hutchison Port Holdings Trust		309,000		141,389
Jardine Cycle & Carriage Ltd. (a)		4,444		121,569
Keppel Corp. Ltd. (a)		76,700		316,411
Noble Group Ltd. (a)(c)		131,000		19,837
Oversea-Chinese Banking Corp. Ltd.		154,649		1,005,532
SembCorp Industries Ltd.		40,000		84,707
SembCorp Marine Ltd. (a)		21,000		24,437
Singapore Airlines Ltd.		28,600		227,110
Singapore Exchange Ltd.		29,000		165,193
Singapore Press Holdings Ltd.		48,376		142,553
Singapore Technologies Engineering Ltd.		57,000		134,172
Singapore Telecommunications Ltd.		409,700		1,265,407
StarHub Ltd.		41,600		117,382
Suntec Real Estate Investment Trust		86,000		113,638
United Overseas Bank Ltd.		65,100		896,944
UOL Group Ltd.		22,000		89,678
Wilmar International Ltd.		108,500		264,122
Yangzijiang Shipbuilding Holdings Ltd.		76,800		51,510

				7,676,117
South Africa — 1.5%
African Bank Investments Ltd. (a)(c)		20,398		14
Anglo American Platinum Ltd. (c)		832		20,800
AngloGold Ashanti Ltd. (c)		19,921		359,744
Aspen Pharmacare Holdings Ltd. (c)		18,439		454,872
Barclays Africa Group Ltd.		20,871		204,706
Bid Corp. Ltd. (c)		15,736		294,890
Bidvest Group Ltd.		15,736		148,454
Capitec Bank Holdings Ltd. (a)		1,291		52,369
Coronation Fund Managers Ltd. (a)		27,149		123,153
Discovery Holdings Ltd. (a)		20,716		173,054
Exxaro Resources Ltd. (a)		15,325		70,606
FirstRand Ltd.		169,651		517,756
Foschini Group Ltd. (a)		6,537		61,716
Gold Fields Ltd.		38,623		187,503
Growthpoint Properties Ltd.		126,575		221,133
Hyprop Investments Ltd.		7,562		66,572
Impala Platinum Holdings Ltd. (c)		29,321		94,470
Imperial Holdings Ltd.		3,661		37,385
Investec Ltd. (a)		7,549		46,282
Liberty Holdings Ltd.		1,922		15,686
Life Healthcare Group Holdings Ltd.		20,938		51,514
Massmart Holdings Ltd.		14,916		127,414
MMI Holdings Ltd.		20,454		31,555
Mondi Ltd.		3,303		60,130
Mr Price Group Ltd.		10,819		152,010
MTN Group Ltd.		80,227		779,677
Naspers Ltd. Class N		22,395		3,419,604
Nedbank Group Ltd.		13,358		169,569
Netcare Ltd. (a)		21,846		46,392
Pick n Pay Stores Ltd. (a)		28,036		136,510

See Notes to Financial Statements.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	29


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
South Africa (continued)
Pioneer Foods Group Ltd.		6,964	$	81,717
PSG Group Ltd.		2,684		35,465
Rand Merchant Investment Holdings Ltd.		15,066		42,249
Redefine Properties Ltd.		238,334		182,935
Remgro Ltd.		24,867		431,495
Resilient REIT Ltd.		17,014		152,437
RMB Holdings Ltd.		17,898		68,597
Sanlam Ltd.		87,998		363,538
Sappi Ltd. (c)		61,972		288,506
Sasol Ltd.		27,037		731,452
Shoprite Holdings Ltd.		26,136		296,014
Sibanye Gold Ltd.		36,279		123,524
Spar Group Ltd.		4,305		59,045
Standard Bank Group Ltd.		67,456		587,503
Telkom SA SOC Ltd.		11,210		50,582
Tiger Brands Ltd. (a)		7,701		189,724
Truworths International Ltd.		20,055		116,709
Tsogo Sun Holdings Ltd.		25,000		45,257
Vodacom Group Ltd. (a)		23,375		266,350
Woolworths Holdings Ltd.		41,426		237,208

				12,475,847
South Korea — 3.2%
Amorepacific Corp.		2,183		761,429
Amorepacific Group		1,096		160,831
BGF Retail Co. Ltd.		612		113,951
BNK Financial Group, Inc.		6,269		44,180
Celltrion, Inc. (c)		3,421		287,590
Cheil Worldwide, Inc.		4,081		60,235
CJ CheilJedang Corp.		518		175,438
CJ Corp.		848		149,718
CJ Korea Express Co. Ltd. (c)		414		78,277
Coway Co. Ltd.		1,699		154,698
Daelim Industrial Co. Ltd.		1,073		71,578
Daewoo Engineering & Construction Co. Ltd. (c)		19,237		94,479
Daewoo Securities Co. Ltd.		8,184		55,966
DGB Financial Group, Inc.		5,100		38,619
Dongbu Insurance Co. Ltd.		1,160		69,821
Doosan Heavy Industries & Construction Co. Ltd.		776		14,404
E-Mart, Inc.		1,071		161,617
GS Engineering & Construction Corp. (c)		6,155		150,230
GS Holdings Corp.		1,216		50,498
Hana Financial Group, Inc.		14,915		303,235
Hankook Tire Co. Ltd.		4,552		202,520
Hanmi Pharm Co. Ltd.		208		128,731
Hanmi Science Co. Ltd.		709		95,324
Hanon Systems		3,750		34,320
Hanssem Co. Ltd.		731		101,810
Hanwha Chemical Corp.		4,037		84,350
Hanwha Corp.		4,520		140,419
Hanwha Life Insurance Co. Ltd.		7,120		35,877
Hotel Shilla Co. Ltd.		1,174		69,655
Hyosung Corp.		1,140		124,777
Hyundai Department Store Co. Ltd.		314		35,325
Hyundai Development Co-Engineering & Construction		2,250		78,058
Hyundai Engineering & Construction Co. Ltd.		3,298		96,489
Hyundai Glovis Co. Ltd.		1,138		170,466
Hyundai Heavy Industries Co. Ltd. (c)		1,622		150,172
Hyundai Marine & Fire Insurance Co. Ltd.		1,200		30,599
Hyundai Mobis Co. Ltd.		3,433		755,271
Hyundai Motor Co. (c)		7,769		919,006
Hyundai Motor Co., Preference Shares		852		70,200


Common Stocks	Shares		Value
South Korea (continued)
Hyundai Motor Co., Second Preference Shares		1,756	$	147,484
Hyundai Steel Co.		5,604		225,487
Hyundai Wia Corp.		513		39,993
Industrial Bank of Korea		11,789		114,866
Kakao Corp.		1,108		90,160
Kangwon Land, Inc.		7,491		271,811
KB Financial Group, Inc.		19,467		553,562
KCC Corp.		266		88,476
KEPCO Plant Service & Engineering Co. Ltd.		707		39,972
Kia Motors Corp.		13,276		500,232
Korea Aerospace Industries Ltd.		2,530		162,204
Korea Electric Power Corp.		12,939		679,194
Korea Gas Corp.		753		26,180
Korea Investment Holdings Co. Ltd.		1,486		54,784
Korea Zinc Co. Ltd.		398		176,493
Korean Air Lines Co. Ltd. (c)		3,387		76,613
KT Corp.		1,200		30,992
KT&G Corp.		5,534		655,419
Kumho Petrochemical Co. Ltd.		423		22,101
LG Chem Ltd.		2,381		543,746
LG Chem Ltd., Preference Shares		179		29,880
LG Corp.		5,702		317,099
LG Display Co. Ltd.		13,391		310,049
LG Electronics, Inc.		4,891		230,350
LG Household & Health Care Ltd.		443		432,614
LG Innotek Co. Ltd.		954		65,786
LG Uplus Corp.		5,020		47,678
Lotte Chemical Corp.		865		215,288
Lotte Confectionery Co. Ltd.		750		127,295
Lotte Shopping Co. Ltd.		752		133,015
Mirae Asset Securities Co. Ltd.		6,804		137,556
NAVER Corp.		1,412		874,756
NCSoft Corp.		540		111,193
NH Investment & Securities Co. Ltd.		5,312		42,624
OCI Co. Ltd. (c)		1,017		80,621
Orion Corp.		138		113,274
Paradise Co. Ltd.		5,601		74,235
POSCO		3,514		622,507
Posco Daewoo Corp.		1,160		25,481
S-1 Corp.		442		41,443
S-Oil Corp.		3,144		208,350
Samsung C&T Corp.		4,015		432,248
Samsung Card Co. Ltd.		1,210		43,848
Samsung Electro-Mechanics Co. Ltd.		2,177		95,388
Samsung Electronics Co. Ltd.		4,857		6,048,671
Samsung Electronics Co. Ltd., Preference Shares		1,068		1,101,735
Samsung Fire & Marine Insurance Co. Ltd.		1,790		411,127
Samsung Heavy Industries Co. Ltd. (c)		4,858		39,104
Samsung Life Insurance Co. Ltd.		3,994		349,517
Samsung SDI Co. Ltd.		2,189		207,253
Samsung SDS Co. Ltd.		1,671		209,280
Samsung Securities Co. Ltd.		2,400		74,473
Shinhan Financial Group Co. Ltd.		21,504		706,815
Shinsegae Co. Ltd.		670		114,014
SK Holdings Co. Ltd.		1,734		306,483
SK Hynix, Inc.		24,339		692,614
SK Innovation Co. Ltd.		3,761		463,408
SK Networks Co. Ltd.		14,759		76,557
SK Telecom Co. Ltd.		1,726		324,258
Woori Bank		13,531		112,502
Yuhan Corp.		122		32,602

				26,902,923

See Notes to Financial Statements.



30	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
Spain — 2.0%
Abertis Infraestructuras SA (a)		28,325	$	418,575
ACS Actividades de Construccion y Servicios SA		11,471		314,640
Aena SA (d)		3,841		509,126
Amadeus IT Holding SA, Class A		23,234		1,023,660
Banco Bilbao Vizcaya Argentaria SA		314,792		1,803,584
Banco de Sabadell SA (a)		292,491		387,332
Banco Popular Espanol SA (a)		177,700		230,931
Banco Santander SA		691,096		2,681,918
Bankia SA (a)		308,381		224,492
Bankinter SA		38,876		250,950
CaixaBank SA		189,198		416,987
Distribuidora Internacional de Alimentacion SA (c)		38,924		227,195
Enagas SA (a)		3,839		117,282
Endesa SA (a)		13,298		266,831
Ferrovial SA		25,659		502,351
Gas Natural SDG SA (a)		17,935		356,505
Grifols SA (a)		15,322		348,060
Iberdrola SA		262,986		1,793,976
Industria de Diseno Textil SA		50,755		1,705,061
International Consolidated Airlines Group SA (a)		47,602		235,691
Mapfre SA		66,978		147,095
Red Electrica Corp. SA (a)		2,074		185,319
Repsol SA (a)		48,048		615,921
Telefonica SA		216,147		2,052,059
Zardoya Otis SA (a)		4,481		42,315

				16,857,856
Sweden — 1.9%
Alfa Laval AB		18,245		287,556
Assa Abloy AB, Class B		50,271		1,034,217
Atlas Copco AB, A Shares		33,572		871,937
Atlas Copco AB, B Shares		19,981		473,596
Boliden AB		11,878		232,145
Electrolux AB, Class B		12,094		329,741
Getinge AB, Class B		11,241		232,081
Hennes & Mauritz AB, Class B		46,055		1,354,975
Hexagon AB, Class B		10,638		389,308
Husqvarna AB, Class B		17,215		128,191
ICA Gruppen AB		3,148		105,506
Industrivarden AB, Class C		8,883		144,522
Investor AB, Class B		22,400		752,545
Kinnevik AB		12,764		305,119
Lundin Petroleum AB (c)		9,142		166,596
Millicom International Cellular SA (a)		3,166		194,200
Nordea Bank AB		140,568		1,192,528
Sandvik AB		42,932		429,832
Securitas AB, Class B		18,887		291,574
Skandinaviska Enskilda Banken AB, Class A		69,523		607,331
Skanska AB, Class B		14,682		307,426
SKF AB, Class B		18,910		302,994
Svenska Cellulosa AB, B Shares		30,011		964,273
Svenska Handelsbanken AB, A Shares		70,525		856,209
Swedbank AB, Class A		41,559		872,867
Swedish Match AB		11,349		396,059
Tele2 AB, Class B		12,243		107,485
Telefonaktiebolaget LM Ericsson, Class B		154,231		1,184,888
TeliaSonera AB		135,866		643,390
Volvo AB, Class B		65,438		650,081

				15,809,172


Common Stocks	Shares		Value
Switzerland — 6.6%
ABB Ltd., Registered Shares (c)		92,259	$	1,825,998
Actelion Ltd., Registered Shares (c)		5,351		901,095
Adecco SA, Registered Shares		9,034		455,657
Aryzta AG (a)(c)		3,776		139,545
Baloise Holding AG, Registered Shares		2,811		313,090
Barry Callebaut AG, Registered Shares (c)		143		176,069
Cie Financiere Richemont SA, Registered Shares		24,832		1,453,533
Coca-Cola HBC AG (c)		17,206		348,154
Credit Suisse Group AG, Registered Shares (c)		90,687		966,035
Dufry AG (a)(c)		2,230		266,715
EMS-Chemie Holding AG, Registered Shares		450		232,338
Galenica AG		195		262,876
Geberit AG, Registered Shares		2,259		855,624
Givaudan SA, Registered Shares		474		954,411
Glencore PLC (a)(c)		617,224		1,272,171
Julius Baer Group Ltd. (c)		9,335		375,718
Kuehne & Nagel International AG, Registered Shares		2,735		383,200
LafargeHolcim Ltd. (c)		23,444		980,839
Lindt & Spruengli AG		47		280,313
Lindt & Spruengli AG, Registered Shares		6		428,780
Lonza Group AG, Registered Shares (c)		2,009		333,719
Nestle SA, Registered Shares		152,420		11,809,243
Novartis AG, Registered Shares		110,388		9,111,259
Pargesa Holding SA, Bearer Shares		4,151		274,460
Partners Group Holding AG		939		402,423
Roche Holding AG		33,648		8,879,027
Schindler Holding AG, Participation Certificates		1,841		333,309
Schindler Holding AG, Registered Shares		1,042		189,630
SGS SA, Registered Shares		282		645,992
Sika AG, Bearer Shares		114		478,009
Sonova Holding AG, Registered Shares		2,902		385,168
STMicroelectronics NV (a)		37,953		221,585
Swatch Group AG, Bearer Shares (a)		1,687		490,920
Swatch Group AG, Registered Shares		1,971		112,875
Swiss Life Holding AG, Registered Shares (c)		1,676		387,320
Swiss Prime Site AG, Registered Shares (c)		2,212		200,249
Swiss Re AG		16,763		1,464,087
Swisscom AG, Registered Shares		1,123		557,912
Syngenta AG, Registered Shares		4,489		1,723,096
UBS Group AG		177,957		2,309,096
Zurich Insurance Group AG (c)		7,146		1,767,797

				54,949,337
Taiwan — 2.6%
Acer, Inc. (c)		69,504		32,832
Advanced Semiconductor Engineering, Inc.		371,097		422,195
Advantech Co. Ltd.		8,795		67,064
Asia Cement Corp.		57,233		49,752
Asia Pacific Telecom Co. Ltd. (c)		33,000		11,019
Asustek Computer, Inc.		38,220		316,341
AU Optronics Corp.		320,000		110,780
Casetek Holdings Ltd.		6,000		21,155
Catcher Technology Co. Ltd.		36,000		268,422
Cathay Financial Holding Co. Ltd.		455,935		499,739
Chailease Holding Co. Ltd.		23,795		38,795
Chang Hwa Commercial Bank Ltd.		131,794		68,816
Cheng Shin Rubber Industry Co. Ltd.		71,436		150,618
Chicony Electronics Co. Ltd.		15,622		35,354
China Airlines Ltd. (c)		103,687		31,208
China Development Financial Holding Corp.		577,765		140,134
China Life Insurance Co. Ltd.		123,900		96,453

See Notes to Financial Statements.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	31


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
Taiwan (continued)
China Steel Corp.		540,638	$	352,267
Chunghwa Telecom Co. Ltd.		212,000		766,733
Compal Electronics, Inc.		192,000		121,460
CTBC Financial Holding Co. Ltd.		691,298		363,597
Delta Electronics, Inc.		87,000		424,501
E.Sun Financial Holding Co. Ltd.		359,437		212,933
Eclat Textile Co. Ltd.		7,160		69,436
Eva Airways Corp. (c)		67,689		30,905
Evergreen Marine Corp. Taiwan Ltd.		83,830		31,215
Far Eastern New Century Corp.		210,607		157,607
Far EasTone Telecommunications Co. Ltd.		95,000		230,033
Feng TAY Enterprise Co. Ltd.		14,420		59,953
First Financial Holding Co. Ltd.		445,555		234,295
Formosa Chemicals & Fibre Corp.		181,360		457,882
Formosa Petrochemical Corp.		74,000		201,763
Formosa Plastics Corp.		185,040		448,742
Formosa Taffeta Co. Ltd.		31,000		30,018
Foxconn Technology Co. Ltd.		42,582		100,587
Fubon Financial Holding Co. Ltd.		334,952		394,918
Giant Manufacturing Co. Ltd.		10,000		62,381
Hermes Microvision, Inc.		1,000		41,464
Highwealth Construction Corp.		62,400		103,233
Hiwin Technologies Corp.		10,871		50,558
Hon Hai Precision Industry Co. Ltd.		724,546		1,866,636
Hotai Motor Co. Ltd.		8,000		78,845
HTC Corp.		27,050		87,570
Hua Nan Financial Holdings Co. Ltd.		354,923		184,432
Innolux Corp.		658,494		222,496
Inotera Memories, Inc. (c)		93,000		72,832
Inventec Co. Ltd.		218,470		156,208
Largan Precision Co. Ltd.		5,000		462,416
Lite-On Technology Corp.		99,321		136,794
MediaTek, Inc.		75,255		575,065
Mega Financial Holding Co. Ltd.		510,110		385,832
Merida Industry Co. Ltd.		8,150		34,507
Nan Ya Plastics Corp.		251,790		479,666
Novatek Microelectronics Corp.		23,000		86,201
Pegatron Corp.		105,000		223,012
Phison Electronics Corp.		15,000		130,016
Pou Chen Corp.		92,000		123,833
Powertech Technology, Inc.		70,100		156,518
President Chain Store Corp.		37,000		289,094
Quanta Computer, Inc.		138,000		262,970
Realtek Semiconductor Corp.		53,240		166,049
Ruentex Development Co. Ltd.		47,757		55,862
Ruentex Industries Ltd.		17,521		26,449
Shin Kong Financial Holding Co. Ltd.		292,832		57,643
Siliconware Precision Industries Co.		206,848		315,437
Simplo Technology Co. Ltd.		11,600		40,826
SinoPac Financial Holdings Co. Ltd.		494,136		146,645
Standard Foods Corp.		6,361		15,654
Synnex Technology International Corp.		30,000		32,548
Taishin Financial Holding Co. Ltd.		299,398		115,753
Taiwan Business Bank (c)		242,073		61,643
Taiwan Cement Corp.		105,000		105,020
Taiwan Cooperative Financial Holding Co. Ltd.		389,833		172,298
Taiwan Fertilizer Co. Ltd.		12,000		16,020
Taiwan Mobile Co. Ltd.		98,800		345,330
Taiwan Semiconductor Manufacturing Co. Ltd.		1,199,000		6,042,596
Teco Electric and Machinery Co. Ltd.		39,000		32,981
Transcend Information, Inc.		29,000		88,193


Common Stocks	Shares		Value
Taiwan (continued)
Uni-President Enterprises Corp.		251,950	$	497,612
United Microelectronics Corp.		488,000		191,385
Vanguard International Semiconductor Corp.		11,000		18,182
Wistron Corp.		121,993		85,338
WPG Holdings Ltd.		28,270		33,017
Yuanta Financial Holding Co. Ltd.		319,260		103,669
Yulon Motor Co. Ltd.		14,000		11,950
Zhen Ding Technology Holding Ltd.		14,710		26,619

				22,126,820
Thailand — 0.5%
Advanced Info Service PCL — NVDR		52,400		236,035
Airports of Thailand PCL — NVDR		26,500		294,665
Bangkok Bank PCL — NVDR		22,400		101,405
Bangkok Bank PCL, Foreign Registered Shares		30,500		141,208
Bangkok Dusit Medical Services PCL — NVDR		54,300		37,013
Banpu PCL — NVDR (a)		29,500		12,400
BEC World PCL — NVDR (a)		16,900		10,997
BTS Group Holdings PCL — NVDR		152,700		41,781
Bumrungrad Hospital PCL — NVDR		22,400		116,644
Central Pattana PCL — NVDR		27,100		46,177
Charoen Pokphand Foods PCL — NVDR		323,700		265,380
CP ALL PCL — NVDR		280,500		402,342
Delta Electronics Thailand PCL — NVDR		20,000		38,971
Energy Absolute PCL (a)		45,000		27,310
Glow Energy PCL — NVDR		7,600		18,589
Home Product Center PCL — NVDR		82,832		23,417
Indorama Ventures PCL — NVDR		39,200		32,529
IRPC PCL — NVDR		492,400		66,950
Kasikornbank PCL — NVDR		36,500		177,240
Kasikornbank PCL, Foreign Registered Shares		48,700		239,854
Krung Thai Bank PCL — NVDR		143,775		66,972
Minor International PCL — NVDR		34,980		40,206
PTT Exploration & Production PCL — NVDR		76,522		183,780
PTT Global Chemical PCL — NVDR		52,168		88,531
PTT PCL — NVDR		53,000		475,332
Siam Cement PCL — NVDR		5,700		77,437
Siam Cement PCL, Foreign Registered Shares		19,200		260,769
Siam Commercial Bank PCL — NVDR		82,400		327,580
Thai Oil PCL — NVDR		17,800		30,514
Thai Union Group PCL		14,800		9,299
TMB Bank PCL		271,500		16,757
True Corp. PCL — NVDR		355,740		73,032

				3,981,116
Turkey — 0.3%
Akbank TAS		156,050		447,258
Anadolu Efes Biracilik Ve Malt Sanayii AS		3,889		26,296
Arcelik AS		3,960		26,074
BIM Birlesik Magazalar AS		8,104		158,047
Coca-Cola Icecek AS		4,750		58,024
Emlak Konut Gayrimenkul Yatirim Ortakligi AS		92,969		92,594
Eregli Demir ve Celik Fabrikalari TAS		51,754		73,211
Ford Otomotiv Sanayi		2,700		28,737
Haci Omer Sabanci Holding AS		32,457		106,518
KOC Holding AS		17,992		82,282
Petkim Petrokimya Holding		56,271		75,189
TAV Havalimanlari Holding AS		2,171		9,324
Tofas Turk Otomobil Fabrikasi AS		4,704		38,678
Tupras Turkiye Petrol Rafinerileri AS		5,076		112,686
Turk Hava Yollari (a)(c)		26,638		53,064

See Notes to Financial Statements.



32	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
Turkey (continued)
Turk Telekomunikasyon AS		10,009	$	21,097
Turkcell Iletisim Hizmetleri AS (c)		33,444		122,957
Turkiye Garanti Bankasi AS		133,513		352,665
Turkiye Halk Bankasi		58,372		173,723
Turkiye Is Bankasi, Class C		88,347		140,345
Turkiye Sise ve Cam Fabrikalari AS		39,778		49,183
Turkiye Vakiflar Bankasi Tao, Class D (a)		29,827		46,840
Ulker Biskuvi Sanayi		3,956		28,909
Yapi ve Kredi Bankasi (a)(c)		65,139		90,311

				2,414,012
United Arab Emirates — 0.2%
Abu Dhabi Commercial Bank PJSC		80,031		132,342
Aldar Properties PJSC		61,586		45,408
Arabtec Holding Co. (c)		77,075		28,782
DP World Ltd.		10,522		174,895
Dubai Financial Market		39,225		13,549
Dubai Islamic Bank PJSC		36,085		50,427
Emaar Malls Group PJSC		81,000		62,377
Emaar Properties PJSC		172,958		294,185
Emirates Telecommunications Group Co. PJSC		78,250		403,719
First Gulf Bank PJSC		112,849		387,952
Mediclinic International PLC (a)		17,716		259,359
National Bank of Abu Dhabi PJSC		28,159		74,226

				1,927,221
United Kingdom — 11.5%
3i Group PLC		35,640		261,494
Aberdeen Asset Management PLC		47,482		178,147
Admiral Group PLC		11,495		312,550
Aggreko PLC		10,191		174,297
Anglo American PLC		71,409		699,968
Antofagasta PLC (a)		26,475		165,548
ARM Holdings PLC		70,055		1,064,115
Ashtead Group PLC		25,797		368,482
Associated British Foods PLC		18,131		660,663
AstraZeneca PLC		60,907		3,641,231
Aviva PLC		185,272		976,621
Babcock International Group PLC		15,027		181,680
BAE Systems PLC		153,801		1,076,693
Barclays PLC		793,307		1,475,460
Barratt Developments PLC		48,277		262,338
BHP Billiton PLC		107,556		1,361,328
BP PLC		879,517		5,148,263
British American Tobacco PLC		88,616		5,744,887
British Land Co. PLC		45,237		367,292
BT Group PLC		437,798		2,406,399
Bunzl PLC		19,227		591,586
Burberry Group PLC		21,472		334,006
Capita PLC		33,043		425,776
Carnival PLC		9,212		408,642
Centrica PLC		257,380		778,314
Cobham PLC		98,005		206,480
Coca-Cola European Partners PLC (c)		10,327		370,056
Compass Group PLC		80,904		1,539,229
Croda International PLC		7,020		294,688
Diageo PLC		117,974		3,295,681
Direct Line Insurance Group PLC		65,820		304,296
Dixons Carphone PLC		53,496		229,608
easyJet PLC		8,921		129,637
Fiat Chrysler Automobiles NV		45,604		280,714
Fresnillo PLC		11,261		247,984


Common Stocks	Shares		Value
United Kingdom (continued)
G4S PLC		93,084	$	228,089
GKN PLC		101,475		366,878
GlaxoSmithKline PLC		233,235		5,008,718
Hammerson PLC		42,497		306,088
Hargreaves Lansdown PLC		11,100		185,159
HSBC Holdings PLC		936,872		5,804,436
ICAP PLC		22,617		127,259
IMI PLC		17,672		229,017
Imperial Brands PLC		46,369		2,514,717
Inmarsat PLC		25,312		272,784
InterContinental Hotels Group PLC		9,130		336,716
Intertek Group PLC		7,802		363,521
Intu Properties PLC		39,383		153,113
Investec PLC		22,696		141,073
ITV PLC		194,650		466,707
J. Sainsbury PLC		57,848		180,207
Johnson Matthey PLC		10,060		377,323
Kingfisher PLC		117,839		506,128
Land Securities Group PLC		41,762		581,138
Legal & General Group PLC		267,915		685,888
Lloyds Banking Group PLC		3,280,555		2,376,070
London Stock Exchange Group PLC		15,659		532,068
Marks & Spencer Group PLC		87,368		374,155
Meggitt PLC		42,920		233,289
Merlin Entertainments PLC (d)		43,755		257,672
Mondi PLC		18,175		340,281
National Grid PLC		178,343		2,622,591
Next PLC		7,051		465,901
Old Mutual PLC		250,936		677,895
Pearson PLC		43,957		571,797
Persimmon PLC		15,176		294,288
Petrofac Ltd.		14,308		148,726
Provident Financial PLC		7,347		226,536
Prudential PLC		119,915		2,034,825
Randgold Resources Ltd.		5,702		639,864
Reckitt Benckiser Group PLC		30,707		3,079,039
RELX NV (a)		49,245		851,969
RELX PLC		54,420		1,002,113
Rio Tinto PLC		60,525		1,880,301
Rolls-Royce Holdings PLC (c)		94,268		899,784
Royal Bank of Scotland Group PLC (c)		158,796		359,856
Royal Mail PLC		43,082		289,448
RSA Insurance Group PLC		54,630		366,150
SABMiller PLC		46,084		2,687,576
Sage Group PLC		57,581		497,705
Schroders PLC		7,414		234,287
Segro PLC		45,868		254,239
Severn Trent PLC		12,513		408,289
Sky PLC		49,764		565,490
Smith & Nephew PLC		44,736		759,669
Smiths Group PLC		22,769		351,854
SSE PLC		45,297		942,773
St. James’s Place PLC		26,679		281,351
Standard Chartered PLC		158,628		1,203,506
Standard Life PLC		93,066		367,178
Tate & Lyle PLC		18,661		166,847
Taylor Wimpey PLC		149,204		264,700
Tesco PLC (c)		414,229		972,855
Travis Perkins PLC		13,060		257,673
Unilever PLC		62,206		2,980,609
United Utilities Group PLC		37,850		524,613
Vodafone Group PLC		1,280,165		3,903,040
Weir Group PLC		13,734		265,251

See Notes to Financial Statements.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	33


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio


Common Stocks	Shares		Value
United Kingdom (continued)
Whitbread PLC		9,265	$	433,502
William Hill PLC		49,735		171,314
WM Morrison Supermarkets PLC (a)		110,313		276,930
Wolseley PLC		11,616		601,518
WPP PLC		63,087		1,314,820

				96,011,319
United States — 0.0%
Ball Corp.		1,885		134,212
Total Common Stocks — 96.8%				809,057,594



Preferred Stocks
Germany — 0.3%
Henkel AG & Co. KGaA Preference Shares, 0.00%		8,131		993,694
Volkswagen AG, Preference Shares, 0.00% (a)		10,129		1,226,827
Total Preferred Securities — 0.3%				2,220,521



Rights
Chile — 0.0%
Empresa Nacional de Telecomunicaciones SA (Expires 07/16/22) (c)		556		538
Hong Kong — 0.0%
Noble Group Ltd. (Expires 07/16/20) (c)		131,000		8,752


Rights	Shares		Value
Spain — 0.0%
ACS Actividades de Construccion y Servicios SA (Expires 07/16/18) (c)		11,471	$	8,058
Repsol SA (Expires 07/16/08) (a)(c)		48,048		15,623

				23,681
Total Rights — 0.0%				32,971
Total Long-Term Investments (Cost — $857,314,978) — 97.1%				811,311,086



Short-Term Securities
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (e)(f)(g)		50,313,990		50,316,668
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (e)(f)(g)		14,915,521		14,915,521
Total Short-Term Securities (Cost — $65,232,189) — 7.8%				65,232,189
Total Investments (Cost — $922,547,167) — 104.9%				876,543,275
Liabilities in Excess of Other Assets — (4.9)%				(40,761,542	)

Net Assets — 100.0%			$	835,781,733

Notes to Schedule of Investments

(a)

Security, or a portion of security, is on loan.

(b)

A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

(c)

Non-income producing security.

(d)

(e)

All or a portion of security was purchased with the cash collateral from loaned securities.

(f)


Affiliate	Shares Held at December 31, 2015		Net Activity			Shares Held at June 30, 2016		Value at June 30, 2016		Income
BlackRock Cash Funds: Institutional, SL Agency Shares		25,023,891		25,292,777			50,316,668	$	50,316,668	$	173,739	¹
BlackRock Cash Funds: Prime, SL Agency Shares		16,634,043		(1,718,522	)		14,915,521	$	14,915,521	$	66,898	¹
Total								$	65,232,189	$	240,637

¹ Represents all or a portion of 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 borrower of securities.

(g)

Current yield as of period end.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts


Contracts Long		Issue	Expiration	Notional Value		Unrealized Appreciation
	203	E-Mini MSCI EAFE Index	September 2016	$	16,394,280	$	121,895
	96	MSCI Emerging Markets Mini Index	September 2016	$	4,006,560		137,944
	59	S&P/TSX 60 Index	September 2016	$	1,859,348		11,639
	Total					$	271,478

See Notes to Financial Statements.



34	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		Total International ex U.S. Index Master Portfolio

Derivative Financial Instruments Categorized by Risk Exposure

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


Assets — Derivative Financial Instruments			Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Futures contracts	Net unrealized appreciation	¹		—		—	$	271,478		—		—		—	$	271,478

Includes cumulative appreciation on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statement of Operations was as follows:


Net Realized Gain (Loss) From:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Futures contracts		—		—	$	236,779		—		—		—	$	236,779
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts		—		—	$	204,829		—		—		—	$	204,829

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts:
Average notional value of contracts — long	$	14,468,400
Average notional value of contracts — short	$	324,977	¹
¹ Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Fair Value Hierarchy as of Period End

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Common Stocks:
Australia		—	$	41,516,756		—	$	41,516,756
Austria		—		1,001,713		—		1,001,713
Belgium		—		8,755,543		—		8,755,543
Brazil	$	13,083,978		—		—		13,083,978
Canada		55,191,242		—		—		55,191,242
Chile		2,100,811		—		—		2,100,811
China		9,344,846		29,554,845		—		38,899,691
Colombia		899,232		—		—		899,232
Czech Republic		—		271,183		—		271,183
Denmark		—		11,195,449		—		11,195,449
Finland		—		5,741,279		—		5,741,279
France		—		54,364,744		—		54,364,744
Germany		—		47,410,577		—		47,410,577
Greece		28,514		554,056		—		582,570
Hong Kong		205,930		27,556,690		—		27,762,620
Hungary		—		599,850		—		599,850
India		3,428,145		12,064,975		—		15,493,120
Indonesia		—		4,835,184		—		4,835,184

See Notes to Financial Statements.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	35


Schedule of Investments (concluded)		Total International ex U.S. Index Master Portfolio


	Level 1		Level 2			Level 3		Total
Assets (concluded):
Investments (concluded):
Common Stocks (concluded):
Ireland		—	$	6,980,937			—	$	6,980,937
Israel	$	1,048,698		3,444,894			—		4,493,592
Italy		—		10,567,840			—		10,567,840
Japan		216,267		133,503,015			—		133,719,282
Luxembourg		—		76,524			—		76,524
Malaysia		869,346		4,558,686			—		5,428,032
Malta		—		174,833			—		174,833
Mexico		7,764,031		—			—		7,764,031
Netherlands		4,997,733		24,021,419			—		29,019,152
New Zealand		—		1,055,733			—		1,055,733
Norway		—		3,682,258			—		3,682,258
Peru		844,861		—			—		844,861
Philippines		—		2,738,663			—		2,738,663
Poland		23,680		2,042,714			—		2,066,394
Portugal		—		734,621			—		734,621
Qatar		166,067		1,589,914			—		1,755,981
Romania		126,445		—			—		126,445
Russia		249,838		6,607,083			—		6,856,921
Singapore		—		7,676,117			—		7,676,117
South Africa		414,065		12,061,768		$	14		12,475,847
South Korea		168,738		26,734,185			—		26,902,923
Spain		—		16,857,856			—		16,857,856
Sweden		—		15,809,172			—		15,809,172
Switzerland		—		54,949,337			—		54,949,337
Taiwan		—		22,126,820			—		22,126,820
Thailand		—		3,981,116			—		3,981,116
Turkey		26,296		2,387,716			—		2,414,012
United Arab Emirates		403,719		1,523,502			—		1,927,221
United Kingdom		370,056		95,641,263			—		96,011,319
United States		134,212		—			—		134,212
Preferred Stocks		—		2,220,521			—		2,220,521
Rights		24,219		8,752			—		32,971
Short-Term Securities		65,232,189		—			—		65,232,189

Total	$	167,363,158	$	709,180,103		$	14	$	876,543,275


Derivative Financial Instruments¹
Assets:
Equity contracts	$	271,478		—			—	$	271,478
¹ Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
	Level 1		Level 2			Level 3		Total
Assets:
Cash pledged for futures contracts	$	1,299,620		—			—	$	1,299,620
Foreign currency at value		4,718,948		—			—		4,718,948
Liabilities:
Collateral on securities loaned at value		—	$	(51,591,757	)		—		(51,591,757	)

Total	$	6,018,568	$	(51,591,757	)		—	$	(45,573,189	)

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



36	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Statement of Assets and Liabilities		Total International ex U.S. Index Master Portfolio


June 30, 2016 (Unaudited)

Assets
Investments at value — unaffiliated (including securities loaned at value of $49,115,481) (cost — $857,314,978)	$	811,311,086
Investments at value — affiliated (cost — $65,232,189)		65,232,189
Foreign currency at value (cost — $4,757,876)		4,718,948
Cash pledged for futures contracts		1,299,620
Receivables:
Dividends — unaffiliated		2,576,414
Contributions from investors		1,787,033
Investments sold		471,377
Variation margin on futures contracts		285,343
Securities lending income — affiliated		27,826
Dividends — affiliated		4,462
Prepaid expenses		1,448

Total assets		887,715,746


Liabilities
Collateral on securities loaned at value		51,591,757
Payables:
Investment advisory fees		19,286
Investments purchased		238,853
Trustees’ fees		4,170
Other accrued expenses		79,947

Total liabilities		51,934,013

Net Assets	$	835,781,733


Net Assets Consist of
Investors’ capital	$	881,583,782
Net unrealized appreciation (depreciation)		(45,802,049	)

Net Assets	$	835,781,733


Statement of Operations		Total International ex U.S. Index Master Portfolio


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Dividends — unaffiliated	$	17,971,841
Securities lending — affiliated — net		231,383
Dividends — affiliated		9,254
Foreign taxes withheld		(2,467,917	)

Total income		15,744,561


Expenses
Accounting services		150,784
Investment advisory		120,039
Professional		25,951
Independent Trustees		15,266
Printing		562
Miscellaneous		4,539

Total expenses		317,141
Less fees waived and/or reimbursed by the Manager		(3,995	)

Total expenses after fees waived and/or reimbursed		313,146

Net investment income		15,431,415


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		(10,320,533	)
Futures contracts		236,779
Foreign currency transactions		151,227

		(9,932,527	)

Net change in unrealized appreciation (depreciation) on:
Investments		(5,977,223	)
Futures contracts		204,829
Foreign currency translations		(42,022	)

		(5,814,416	)

Net realized and unrealized loss		(15,746,943	)

Net Decrease in Net Assets Resulting from Operations	$	(315,528	)


Statements of Changes in Net Assets		Total International ex U.S. Index Master Portfolio


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	15,431,415		$	21,060,000
Net realized loss		(9,932,527	)		(6,192,960	)
Net change in unrealized appreciation (depreciation)		(5,814,416	)		(60,069,497	)

Net decrease in net assets resulting from operations		(315,528	)		(45,202,457	)


Capital Transactions
Proceeds from contributions		93,382,459			352,378,750
Value of withdrawals		(93,922,141	)		(61,736,783	)

Net increase (decrease) in net assets derived from capital transactions		(539,682	)		290,641,967


Net Assets
Total increase (decrease) in net assets		(855,210	)		245,439,510
Beginning of period		836,636,943			591,197,433

End of period	$	835,781,733		$	836,636,943


Financial Highlights		Total International ex U.S. Index Master Portfolio


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,								Period from June 30, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		Period from June 30, 2011¹ to December 31, 2011

Total Return
Total Return		(0.01)%²		(5.80)%		(4.68)%		13.96%		16.65%		(18.04)%²


Ratios to Average Net Assets
Total expenses		0.08%³		0.08%		0.15%⁴		0.25%		0.42%		1.47%^3,5

Total expenses after fees waived and/or reimbursed		0.08%³		0.07%		0.12%⁴		0.24%		0.32%		0.33%³

Net investment income		3.86%³		2.71%		3.08%⁴		2.60%		2.23%		1.76%³


Supplemental Data
Net assets, end of period (000)		$835,782		$836,637		$591,197		$556,443		$381,056		$ 43,554

Portfolio turnover rate		4%		6%		49%		36%		42%		4%

Commencement of operations.

Aggregate total return.

Annualized.

⁴

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

⁵

Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 1.48%.


Notes to Financial Statements (Unaudited)		Total International ex U.S. Index Master Portfolio

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Total International ex U.S. Index Master Portfolio (the “Master Portfolio”) is a series of MIP. The Master Portfolio is classified as non-diversified. MIP is organized as a Delaware statutory trust.

2. Significant Accounting Policies:

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

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



40	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)		Total International ex U.S. Index Master Portfolio

3. Investment Valuation and Fair Value Measurements:

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:

•

Investments in open-end U.S. mutual funds are valued at NAV each business day.

•

Futures contracts traded on exchanges are valued at their last sale price.

•



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	41


Notes to Financial Statements (continued)		Total International ex U.S. Index Master Portfolio

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

•

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments has been included in the Schedule of Investments.

4. Securities and Other Investments:

The market value of any securities on loan, all of which were classified as common stocks in the Master Portfolio’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments.



42	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)		Total International ex U.S. Index Master Portfolio

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 lending agreements by counterparty which are subject to offset under an MSLA:


Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount
BNP Paribas Securities Corp.	$	192,448	$	(192,448	)		—
Citigroup Global Markets, Inc		3,629,662		(3,629,662	)		—
Credit Suisse Securities (USA) LLC		1,270,281		(1,270,281	)		—
Deutsche Bank AG		5,756		(5,756	)		—
Deutsche Bank Securities, Inc.		1,147,177		(1,147,177	)		—
JP Morgan Securities LLC.		1,216,809		(1,216,809	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		2,337,823		(2,337,823	)		—
Mizuho Securities USA, Inc.		4,337,921		(4,337,921	)		—
Morgan Stanley & Co.		7,641,363		(7,641,363	)		—
Nomura Securities International, Inc.		4,662,637		(4,662,637	)		—
SG Americas Securities LLC.		6,435		(6,435	)		—
State Street Bank and Trust Co.		22,667,169		(22,667,169	)		—

Total	$	49,115,481	$	(49,115,481	)		—

Collateral with a value of $ 51,591,757 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes.

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 equity risk and foreign currency exchange rate risk. Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).

Futures Contracts: The Master Portfolio invests in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	43


Notes to Financial Statements (continued)		Total International ex U.S. Index Master Portfolio

appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value of the contract at the time it was opened and the value 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, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: The Master Portfolio enters into forward foreign currency exchange contracts to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

The contract is marked to market daily change in market value is recorded as unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without 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.

Master Netting Arrangements: In order to define the Master Portfolio contractual rights and to secure rights that will help it mitigate its counterparty risk, the Master Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the Master Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Master Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Master Portfolio’s net assets decline by a stated percentage or the Master Portfolio fails to meet the terms of its ISDA Master Agreements. The result would cause the Master Portfolio to accelerate payment of any net liability owed to the counterparty.



44	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)		Total International ex U.S. Index Master Portfolio

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

Investment Advisory

Expense Limitations, Waivers and Reimbursements

The Manager, with respect to the Master Portfolio, 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 Master Portfolio’s business.

The Manager has agreed not to reduce or discontinue this contractual expense limitation prior to May 1, 2017, unless approved by the Board, including a majority of the independent trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”) or by a majority of the outstanding voting securities of the Master Portfolio. For the six months ended June, 30, 2016, the amount waived was $2,792.

Securities Lending

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated – net in the Statement of Operations. For the six months ended June 30, 2016, the Master Portfolio paid BTC $57,827 in total for securities lending agent services and collateral investment fees.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	45


Notes to Financial Statements (continued)		Total International ex U.S. Index Master Portfolio

Officers and Trustees

The fees and expenses of the Independent Trustees, counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Funds. BTC has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the administration fees paid by the Master Portfolio in an amount equal to these independent expenses through April 30, 2017.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

7. Purchases and Sales:

For the six months ended June 30, 2016, purchases and sales of investments, excluding short-term securities, were $29,026,928 and $34,065,183 respectively.

8. Income Tax Information:

As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


Tax cost	$	926,119,434

Gross unrealized appreciation	$	65,043,944
Gross unrealized depreciation		(114,620,103	)

Net unrealized depreciation	$	(49,576,159	)

9. Bank Borrowings:

10. Principal Risks:



46	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (concluded)		Total International ex U.S. Index Master Portfolio

The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers of securities owned by the Master Portfolio. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Concentration Risk: The Master Portfolio invests a significant portion of its assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Master Portfolio’s investments.

The United Kingdom has voted to withdraw from the European Union on June 23, 2016, which may introduce significant new uncertainties and instability in the financial markets across Europe.

The Master Portfolio invests a significant portion of its assets in securities of issuers located in Asia or with significant exposure to Asian issuers or countries. The Asian financial markets have recently experienced volatility and adverse trends due to concerns in several Asian countries regarding monetary policy, government intervention in the markets, rising government debt levels or economic downturns. These events may spread to other countries in Asia and may affect the value and liquidity of certain of the Master Portfolio’s investments.

11. Subsequent Events:



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	47


Disclosure of Investment Advisory Agreement

Activities and Composition of the Board

The Agreement

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreement on an annual basis. The Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement, and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Board assessed, among other things, the nature, extent and quality of the services provided to the Master Portfolio and the Portfolio by BlackRock, BlackRock’s personnel and affiliates, including (as applicable) investment management; administrative and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Master Portfolio, the Portfolio and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreement.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolio and/or the Portfolio for services; (c) the Master Portfolio’s and/or the Portfolio’s operating expenses and how BlackRock allocates expenses to the Master Portfolio and the Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Master Portfolio’s and the Portfolio’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Master Fund’s and the Fund’s compliance with its respective compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master Fund’s and/or the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Master Portfolio and/or the Portfolio; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreement



48	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Disclosure of Investment Advisory Agreement (continued)

At the May Meeting, the Board of the Master Fund, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master Fund with respect to the Master Portfolio for a one-year term ending June 30, 2017. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreement with respect to the Master Portfolio and found the Agreement to be satisfactory. In approving the continuation of the Agreement, the Board of the Master Fund considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and the Portfolio; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio and the Portfolio; (d) the Portfolio’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Master Portfolio and the Portfolio; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates, securities lending and cash management, services related to the valuation and pricing of portfolio holdings of the Master Portfolio, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Portfolio. Throughout the year, the Board compared the Portfolio’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the Master Portfolio’s performance and the Master Portfolio’s investment objective(s), strategies and outlook.

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	49


Disclosure of Investment Advisory Agreement (continued)

B. The Investment Performance of the Master Portfolio, the Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio and the Portfolio, as applicable. The Board noted that the Portfolio’s investment results correspond directly to the investment results of the Master Portfolio. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Portfolio’s performance. The Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board received and reviewed information regarding the investment performance of the Portfolio as compared to other funds in its applicable Broadridge category and the performance of the Portfolio as compared with its benchmark. The Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. The Board was provided with information on the composition of the Broadridge performance universes and expense universes. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of the Master Portfolio and the Portfolio, as applicable, throughout the year.

The Board noted that for the past four one-year periods reported, the Portfolio’s net performance was within the tolerance range of its benchmark for all periods. BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Portfolio.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio and the Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s/Portfolio’s contractual management fee rate compared with the other funds in the Portfolio’s Broadridge category. The contractual management rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Portfolio’s total expense ratio, as well as the Master Portfolio’s/Portfolio’s actual management fee rate, to those of other funds in the Portfolio’s Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio and the Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and the Portfolio, as applicable, and other funds the Board currently oversees for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. The Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.



50	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Disclosure of Investment Advisory Agreement (continued)

In addition, the Board considered the cost of the services provided to the Master Portfolio and the Portfolio by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolio and the Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing the Master Portfolio and the Portfolio, to the Master Portfolio or the Portfolio, as pertinent. The Board may receive and review information from independent third parties as part of its annual evaluation. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Master Portfolio and the Portfolio in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

The Board noted that the Master Portfolio’s/Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and the Portfolio’s total expense ratio each ranked in the first quartile relative to the Portfolio’s Expense Peers. The Board also noted that BlackRock has contractually agreed to a cap on the Portfolio’s total expenses as a percentage of the Portfolio’s average daily net assets on a class-by-class basis. The Board noted that BlackRock proposed, and the Board agreed to, a lower contractual expense cap on the Portfolio on a class-by-class basis. This expense cap reduction was implemented on April 30, 2015. The Board also noted that BlackRock proposed, and the Board agreed to a contractual reduction of the Master Portfolio’s advisory fee and the Portfolio’s administration fee. These reductions were implemented on April 30, 2015.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio and the Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolio and the Portfolio benefit from such economies in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolio and the Portfolio to more fully participate in these economies of scale. The Board considered the Master Portfolio’s asset levels and whether the current fee schedule was appropriate. In their consideration, the Board Members took into account the existence of any expense caps and further considered the continuation and/or implementation, as applicable, of such caps.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Master Portfolio and the Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolio and the Portfolio, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.

Conclusion



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	51


Disclosure of Investment Advisory Agreement (concluded)

to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.


Officers and Trustees

Rodney D. Johnson, Chair of the Board and Trustee

David O. Beim, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Dr. Matina S. Horner, Trustee

Cynthia A. Montgomery, Trustee

Barbara G. Novick, Trustee

Joseph P. Platt, Trustee

Robert C. Robb, Jr., Trustee

Mark Stalnecker, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Frederick W. Winter, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Richard Hoerner, CFA, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Fernanda Piedra, Anti-Money Laundering Compliance Officer

Benjamin Archibald, Secretary

Effective February 5, 2016, Frank J. Fabozzi resigned as a Trustee of the Trust/MIP.

Effective February 8, 2016, Susan J. Carter, Neil A. Cotty and Claire A. Walton were elected to serve as Trustees of the Trust/MIP.



52	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Additional Information

Proxy Results

BlackRock Funds III

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of the Trust.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		61,938,311,360		43,835,788
Susan J. Carter		61,780,259,925		201,887,223
Collette Chilton		61,948,124,716		34,022,432
Neil A. Cotty		61,775,834,676		206,312,472
Matina S. Horner		61,940,727,663		41,419,485
Rodney D. Johnson		61,941,649,924		40,497,224
Cynthia A. Montgomery		61,943,332,673		38,814,475
Joseph P. Platt		61,944,232,208		37,914,940
Robert C. Robb, Jr.		61,944,234,953		37,912,195
Mark Stalnecker		61,943,725,951		38,421,197
Kenneth L. Urish		61,944,152,210		37,994,938
Claire A. Walton		61,784,560,644		197,586,504
Frederick W. Winter		61,939,767,717		42,379,431
Barbara G. Novick		61,947,782,498		34,364,650
John M. Perlowski		61,944,381,941		37,765,207

Denotes Trust-wide proposal and voting results.

Master Investment Portfolio

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of MIP.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		93,744,625,170		102,294,210
Susan J. Carter		93,564,604,497		282,314,883
Collette Chilton		93,778,667,881		68,251,499
Neil A. Cotty		93,524,182,594		322,736,786
Matina S. Horner		93,744,748,738		102,170,642
Rodney D. Johnson		93,743,366,844		103,552,536
Cynthia A. Montgomery		93,738,956,489		107,962,891
Joseph P. Platt		93,750,384,350		96,535,030
Robert C. Robb, Jr.		93,749,078,613		97,840,767
Mark Stalnecker		93,668,711,867		178,207,513
Kenneth L. Urish		93,694,700,012		152,219,368
Claire A. Walton		93,569,519,963		277,399,417
Frederick W. Winter		93,699,601,190		147,318,190
Barbara G. Novick		93,778,480,450		68,438,930
John M. Perlowski		93,744,975,345		101,944,035

Denotes Trust-wide proposal and voting results.



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	53


Additional Information (continued)


General Information

Householding

Availability of Quarterly Schedule of Investments

The Fund/Master Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s/Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s/ Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

Availability of Proxy Voting Record

Information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund’s/Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 441-7762; and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family


Shareholder Privileges

Account 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.



54	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016


Additional Information (concluded)

BlackRock Privacy Principles



BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	JUNE 30, 2016	55

LOGO


TIEXUS-6/16-SAR

JUNE 30, 2016

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock U.S. Total Bond Index Fund | of BlackRock Funds III

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


	Page
The Markets in Review		3
Semi-Annual Report:
Fund Summary		4
About Fund Performance		6
Disclosure of Expenses		6
Fund Financial Statements:
Statement of Assets and Liabilities		7
Statement of Operations		8
Statements of Changes in Net Assets		9
Fund Financial Highlights		10
Fund Notes to Financial Statements		13
Master Portfolio Information		16
Master Portfolio Financial Statements:
Schedule of Investments		17
Statement of Assets and Liabilities		44
Statement of Operations		45
Statements of Changes in Net Assets		46
Master Portfolio Financial Highlights		47
Master Portfolio Notes to Financial Statements		48
Disclosure of Investment Advisory Agreement		55
Officers and Trustees		59
Additional Information		60

LOGO



2	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016

The Markets in Review

Dear Shareholder,

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of June 30, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		3.84	%		3.99	%
U.S. small cap equities (Russell 2000^® Index)		2.22			(6.73	)
International equities (MSCI Europe, Australasia, Far East Index)		(4.42	)		(10.16	)
Emerging market equities (MSCI Emerging Markets Index)		6.41			(12.05	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.15			0.19
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		7.95			9.49
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)		5.31			6.00
Tax-exempt municipal bonds (S&P Municipal Bond Index)		4.35			7.80
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		9.06			1.65
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



		THIS PAGE NOT PART OF YOUR FUND REPORT				3


Fund Summary as of June 30, 2016

Investment Objective

BlackRock U.S. Total Bond Index Fund’s (the “Fund”) investment objective is to seek to provide investment results that correspond to the total return performance of fixed-income securities in the aggregate, as represented by the Barclays U.S. Aggregate Bond Index (the “Index”).

Portfolio Management Commentary

How did the Fund perform?

•

For the six-month period ended June 30, 2016, the Fund’s Institutional Shares returned 5.29%, Investor A Shares returned 5.17% and Class K Shares returned 5.32%. For the same period, the Index returned 5.31%.

•

Returns for the Fund’s respective share classes differ from the Index based on individual share-class expenses. The Fund invests all of its assets in U.S. Total Bond Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.

Describe the market environment.

•

The first quarter of 2016 proved to be an uncertain and volatile period for the global economy and markets, as fears ranged from slowing in China’s growth and attendant trouble in commodity-exporting emerging markets, to concern over the United States’ own growth prospects and questions over the future path of the Fed’s monetary policy. Yet by the end of the quarter, much of the fear had abated and financial conditions appeared more stable. The rapid shift toward negative market sentiment was particularly remarkable considering that at the end of 2015 the Fed felt that economic conditions warranted an end to seven years of near-zero short-term rates. Thus, while many U.S. economic measures disappointed early in the quarter, by the end of March the same measurements appeared to be on a stronger footing and markets reversed losses from earlier in the quarter.

•

The monetary policy statement released in March by the Federal Open Market Committee (“FOMC”) represented a continuation of the “wait-and-see” trend anticipated by the market. The Fed continues to keep the door open to interest rate policy normalization, which it began in December, with the pace of change dictated by economic data and financial conditions. Additionally, the FOMC’s changes to its Statement of Economic Projections also highlighted the likely slower path of interest rate change this year, and some continued uncertainty over U.S. growth prospects in a world of slowing economic growth. Markets continued to attempt to time the next U.S. rate hike, without great conviction, but were rocked in late June after the United Kingdom voted unexpectedly to leave the European Union. Markets had been positioned for a “Remain” outcome to the referendum and reacted neg-

atively and turbulently to the decisive 52% to 48% vote for “Brexit.” Risk assets were routed in the immediate aftermath while the British pound plunged more than 10%, a record one-day drop that took the currency to levels not seen since 1985.

•

A flight to safety following the Brexit result saw sovereign bond yields decline sharply. This came on top of downward moves that had already pushed 10-year yields to record lows in Japan, Germany and the United Kingdom ahead of the Brexit vote, as uncertainty over the outcome heightened. The momentous moves in bond markets saw 10-year yields turn negative in Germany ahead of the referendum and plunge below 1% in the United Kingdom following the result. Following Brexit, the yield of the 10-year U.S. Treasury fell to its lowest level since mid-2012. The aftermath left 10-year yields 29 basis points lower over the second quarter at 1.49% in the United States, 18 basis points lower at (0.23)% in Japan, 29 basis points lower at (0.13)% in Germany and 55 basis points lower at 0.87% in the United Kingdom.

•

The U.K. vote also weighed heavily on oil and industrial commodities, while gold rallied by 5%. The yen, another safe haven, strengthened to 102 per dollar. The yen had not seen such levels since August 2014, which prompted Tokyo officials — who are battling deflation — to reaffirm their intention to intervene in order to stem excessive currency strength.

Describe recent portfolio activity.

•

During the period, the Master Portfolio maintained its objective of seeking to provide investment results that correspond to the total return performance of fixed-income securities in the aggregate as represented by the Index by selecting securities in accordance with their relative proportion within the Index. Other factors considered in security selection included credit quality, industry, maturity structure, coupon rates and call features among other factors.

•

The Master Portfolio held cash committed for pending transactions. The cash balance did not have a material impact on performance.

Describe portfolio positioning at period end.

•

The Master Portfolio remains positioned to attempt to match the risk characteristics of the Index, irrespective of the market’s future direction.



4	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016

Total Return Based on a $10,000 Investment

LOGO

Assuming transaction costs and other operating expenses, including administration fees, if any.

The Fund invests all of its assets in the Master Portfolio. The Master Portfolio invests primarily in investment-grade U.S. Government securities and corporate bonds, as well as investment-grade mortgage-backed, asset-backed and commercial mortgage-backed securities.

A widely recognized unmanaged market-capitalization 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.

Performance Summary for the Period Ended June 30, 2016


	Standardized 30-Day Yields			Unsubsidized 30-Day Yields			6-Month Total Returns			Average Annual Total Returns
	Standardized 30-Day Yields			Unsubsidized 30-Day Yields			6-Month Total Returns			1 Year			5 Years			10 Years
Institutional		1.76	%		1.75	%		5.29	%		5.83	%		3.53	%		5.05	%
Investor A		1.51			1.50			5.17			5.58			3.28			4.80
Class K		1.81			1.80			5.32			5.88			3.57			5.11
Barclays U.S. Aggregate Bond Index		—			—			5.31			6.00			3.76			5.13

See “About Fund Performance” on page 6 for further information on how performance was calculated.

Past performance is not indicative of future results.

Expense Example


	Actual						Hypothetical⁵
	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period⁴		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period⁴		Annualized Expense Ratio
Institutional	$	1,000.00	$	1,052.90	$	0.51	$	1,000.00	$	1,024.37	$	0.50		0.10	%
Investor A	$	1,000.00	$	1,051.70	$	1.79	$	1,000.00	$	1,023.12	$	1.76		0.35	%
Class K	$	1,000.00	$	1,053.20	$	0.26	$	1,000.00	$	1,024.61	$	0.25		0.05	%

⁴

For each class of the Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). Because the Fund invests all of its assets in the Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio.

⁵

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.

See “Disclosure of Expenses” on page 6 for further information on how expenses were calculated.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	5


About Fund Performance

•

Institutional and Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors. Prior to March 31, 2011, Institutional Shares’ performance results are those of Class K Shares restated to reflect Institutional Shares’ fees.

•

Investor A Shares are not subject to any sales charge and bear no ongoing distribution fee. These shares are subject to an ongoing service fee of 0.25% per year. These shares are generally available through financial intermediaries. Prior to March 31, 2011, Investor A Shares’ performance results are those of Class K Shares restated to reflect Investor A Shares’ fees.

in the performance table on the previous page assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of the different levels of services, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (the “Administrator”), the Fund’s administrator, has contractually agreed to waive a portion of the Fund’s expenses. Without such waiver, the Fund’s performance would have been lower. The Administrator is under no obligation to continue waiving its fees after the applicable termination date of such agreement. See Note 4 of the Notes to Financial Statements for additional information on waivers. The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements.

Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including administration fees, service and/or distribution fees, including 12b-1 fees, and other Fund expenses. The expense example shown on the previous page (which is based on a hypothetical investment of $1,000 invested on January 1, 2016 and held through June 30, 2016) 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.



6	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Statement of Assets and Liabilities		BlackRock U.S. Total Bond Index Fund


June 30, 2016 (Unaudited)

Assets
Investments at value — Master Portfolio (cost — $494,254,446)	$	513,032,809
Receivable for capital shares sold		2,803,350

Total assets		515,836,159


Liabilities
Payables:
Capital shares redeemed		301,249
Contributions payable to the Master Portfolio		2,502,101
Administration fees		13,644
Service fees		7,831
Income dividends		99,112
Other accrued expenses		10,745

Total liabilities		2,934,682

Net Assets	$	512,901,477


Net Assets Consist of
Paid-in capital	$	495,688,263
Distributions in excess of net investment income		(1,025,251	)
Accumulated net realized loss		(539,898	)
Net unrealized appreciation (depreciation)		18,778,363

Net Assets	$	512,901,477


Net Asset Value
Institutional — Based on net assets of $102,808,237 and 9,875,099 shares outstanding, unlimited shares authorized, no par value	$	10.41

Investor A — Based on net assets of $41,924,940 and 4,028,130 shares outstanding, unlimited shares authorized, no par value	$	10.41

Class K — Based on net assets of $368,168,300 and 35,357,097 shares outstanding, unlimited shares authorized, no par value	$	10.41


Statement of Operations		BlackRock U.S. Total Bond Index Fund


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Net investment income allocated from the Master Portfolio:
Interest — unaffiliated	$	4,057,723
Interest — affiliated		6,675
Dividend — affiliated		116,665
Securities lending — affiliated — net		2,594
Expenses		(85,847	)
Fees waived		24,647

Total income		4,122,457


Fund Expenses
Administration — class specific		65,329
Service — class specific		36,793
Professional		7,026
Miscellaneous		395

Total expenses		109,543
Less fees waived by the Administrator		(7,026	)

Total expenses after fees waived		102,517

Net investment income		4,019,940


Realized and Unrealized Loss Allocation from the Master Portfolio
Net realized gain from investments		692,084

Net change in unrealized appreciation (depreciation) on investments		15,153,260

Net realized and unrealized gain		15,845,344

Net Increase in Net Assets Resulting from Operations	$	19,865,284


Statements of Changes in Net Assets		BlackRock U.S. Total Bond Index Fund


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	4,019,940		$	4,060,761
Net realized gain (loss)		692,084			(76,251	)
Net change in unrealized appreciation (depreciation)		15,153,260			(3,379,947	)

Net increase in net assets resulting from operations		19,865,284			604,563


Distributions to Shareholders¹
From net investment income:
Institutional		(858,754	)		(857,237	)
Investor A		(291,238	)		(260,313	)
Class K		(3,114,531	)		(3,138,838	)
From net realized gain:
Institutional		—			(82,778	)
Investor A		—			(28,069	)
Class K		—			(302,505	)

Decrease in net assets resulting from distributions to shareholders		(4,264,523	)		(4,669,740	)


Capital Share Transactions
Net increase in net assets derived from capital share transactions		253,910,387			42,736,554


Net Assets
Total increase in net assets		269,511,148			38,671,377
Beginning of period		243,390,329			204,718,952

End of period	$	512,901,477		$	243,390,329

Distributions in excess of net investment income, end of period	$	(1,025,251	)	$	(780,668	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Financial Highlights		BlackRock U.S. Total Bond Index Fund


	Institutional
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period March 31, 2011¹to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period March 31, 2011¹to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	9.99		$	10.17		$	9.85		$	10.65		$	10.57		$	10.11

Net investment income²		0.10			0.19			0.17			0.15			0.19			0.25
Net realized and unrealized gain (loss)		0.43			(0.16	)		0.41			(0.40	)		0.22			0.46

Net increase (decrease) from investment operations		0.53			0.03			0.58			(0.25	)		0.41			0.71

Distributions:³
From net investment income		(0.11	)		(0.19	)		(0.17	)		(0.18	)		(0.22	)		(0.25	)
From net realized gain		—			(0.02	)		(0.09	)		(0.37	)		(0.11	)		(0.00	)⁴

Total distributions		(0.11	)		(0.21	)		(0.26	)		(0.55	)		(0.33	)		(0.25	)

Net asset value, end of period	$	10.41		$	9.99		$	10.17		$	9.85		$	10.65		$	10.57


Total Return⁵
Based on net asset value		5.29%	⁶		0.33%			5.88%			(2.39)%			3.91%			7.18%	⁶


Ratios to Average Net Assets⁷
Total expenses		0.11%	^8,9,10		0.12%	^11,12		0.17%	^11,12		0.26%	¹³		0.26%	¹³		0.27%	^8,14

Total expenses after fees waived		0.10%	^8,9,10		0.11%	^11,12		0.16%	^11,12		0.25%	¹³		0.25%	¹³		0.25%	^8,14

Net investment income		2.06%	^8,9,10		1.85%	^11,12		1.67%	^11,12		1.48%	¹³		1.71%	¹³		2.98%	^8,14


Supplemental Data
Net assets, end of period (000)	$	102,808		$	58,043		$	34,538		$	22,939		$	11,534		$	53

Portfolio turnover rate of the Master Portfolio¹⁵		128%			356%			476%			417%			436%			122%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸

Annualized.

⁹

Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

¹⁰

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

¹¹

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.02%.

¹²

Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.02%.

¹³

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

¹⁴

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.05%.

¹⁵

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

Six Months Ended
June 30, 2016
(Unaudited)

Year Ended December 31,

Period
March 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Portfolio turnover rate (excluding MDRs)

122%

300%

244%

214%

231%

121%


Financial Highlights (continued)		BlackRock U.S. Total Bond Index Fund


	Investor A
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,												Period March 31, 2011¹ to December 31, 2011
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			Period March 31, 2011¹ to December 31, 2011

Per Share Operating Performance
Net asset value, beginning of period	$	9.99		$	10.17		$	9.85		$	10.65		$	10.57		$	10.11

Net investment income²		0.09			0.16			0.15			0.11			0.16			0.22
Net realized and unrealized gain (loss)		0.42			(0.15	)		0.41			(0.39	)		0.22			0.48

Net increase (decrease) from investment operations		0.51			0.01			0.56			(0.28	)		0.38			0.70

Distributions:³
From net investment income		(0.09	)		(0.17	)		(0.15	)		(0.15	)		(0.19	)		(0.24	)
From net realized gain		—			(0.02	)		(0.09	)		(0.37	)		(0.11	)		(0.00	)⁴

Total distributions		(0.09	)		(0.19	)		(0.24	)		(0.52	)		(0.30	)		(0.24	)

Net asset value, end of period	$	10.41		$	9.99		$	10.17		$	9.85		$	10.65		$	10.57


Total Return⁵
Based on net asset value		5.17%	⁶		0.08%			5.63%			(2.63)%			3.66%			7.01%	⁶


Ratios to Average Net Assets⁷
Total expenses		0.36%	^8,9,10		0.37%	^11,12		0.41%	^11,12		0.51%	¹³		0.51%	¹³		0.53%	^8,14

Total expenses after fees waived		0.35%	^8,9,10		0.36%	^11,12		0.40%	^11,12		0.50%	¹³		0.50%	¹³		0.50%	^8,14

Net investment income		1.82%	^8,9,10		1.61%	^11,12		1.44%	^11,12		1.10%	¹³		1.45%	¹³		2.65%	^8,14


Supplemental Data
Net assets, end of period (000)	$	41,925		$	19,145		$	10,732		$	3,735		$	1,805		$	202

Portfolio turnover of rate of the Master Portfolio¹⁵		128%			356%			476%			417%			436%			122%

Commencement of operations.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

Amount is greater than $(0.005) per share.

⁵

Where applicable, assumes the reinvestment of distributions.

⁶

Aggregate total return.

⁷

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸

Annualized.

⁹

Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

¹⁰

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

¹¹

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.02%.

¹²

Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.02%.

¹³

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

¹⁴

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.05%.

¹⁵

Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

Six Months Ended
June 30, 2016
(Unaudited)

Year Ended December 31,

Period
March 31, 2011¹
to December 31,
2011

2015

2014

2013

2012

Portfolio turnover rate (excluding MDRs)

122%

300%

244%

214%

231%

121%


Financial Highlights (concluded)		BlackRock U.S. Total Bond Index Fund


	Class K
	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	9.99		$	10.17		$	9.85		$	10.65		$	10.57		$	10.17

Net investment income¹		0.11			0.19			0.17			0.16			0.22			0.35
Net realized and unrealized gain (loss)		0.42			(0.15	)		0.41			(0.41	)		0.19			0.40

Net increase (decrease) from investment operations		0.53			0.04			0.58			(0.25	)		0.41			0.75

Distributions:²
From net investment income		(0.11	)		(0.20	)		(0.17	)		(0.18	)		(0.22	)		(0.35	)
From net realized gain		—			(0.02	)		(0.09	)		(0.37	)		(0.11	)		(0.00	)³

Total distributions		(0.11	)		(0.22	)		(0.26	)		(0.55	)		(0.33	)		(0.35	)

Net asset value, end of period	$	10.41		$	9.99		$	10.17		$	9.85		$	10.65		$	10.57


Total Return⁴
Based on net asset value		5.32%	⁵		0.38%			5.94%			(2.35)%			3.94%			7.55%


Ratios to Average Net Assets⁶
Total expenses		0.06%	^7,8,9		0.07%	^10,11		0.12%	^10,11		0.21%	¹²		0.21%	¹⁰		0.23%	¹³

Total expenses after fees waived		0.05%	^7,8,9		0.06%	^10,11		0.10%	^10,11		0.20%	¹²		0.20%	¹⁰		0.20%	¹³

Net investment income		2.11%	^7,8,9		1.89%	^10,11		1.72%	^10,11		1.52%	¹²		1.96%	¹⁰		3.19%	¹³


Supplemental Data
Net assets, end of period (000)	$	368,168		$	166,203		$	159,449		$	96,193		$	115,516		$	122,015

Portfolio turnover rate of the Master Portfolio¹⁴		128%			356%			476%			417%			436%			122%

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Amount is greater than $(0.005) per share.

⁴

Where applicable, assumes the reinvestment of distributions.

⁵

Aggregate total return.

⁶

Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷

Annualized.

⁸

Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

⁹

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

¹⁰

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.02%.

¹¹

Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.02%.

¹²

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

¹³

Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.05%.

¹⁴

Includes MDRs. Additional information regarding portfolio turnover rate is as follows:


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Portfolio turnover rate (excluding MDRs)		122%		300%		244%		214%		231%		121%


Notes to Financial Statements (Unaudited)

1. Organization:

BlackRock Funds III (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. BlackRock U.S. Total Bond Index Fund (the “Fund”) is a series of the Trust. The Fund is classified as diversified. The Trust is organized as a Delaware statutory trust. The Fund seeks to achieve its investment objective by investing all of its assets in U.S. Total Bond Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”), an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At June 30, 2016, the percentage of the Master Portfolio owned by the Fund was 23.5%. 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.

Share Class

Initial Sales Charge

CDSC

Conversion Privilege

Institutional Shares

None

Investor A Shares

None

Class K Shares

None

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

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 Investment Income: 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. 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.

Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Other operating expenses shared by several funds, including other funds administered by BAL, are prorated among those funds on the basis of relative net assets or other appropriate methods. 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.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	13


Notes to Financial Statements (continued)

3. Investment Valuation and Fair Value Measurements:

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Administration

The Trust, on behalf of the Fund, entered into an Administration Agreement with BAL, which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the Fund’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Fund. BAL is entitled to receive for these administration services an annual fee of 0.02% based on the average daily net assets of Class K Shares and 0.07% of the average daily net assets of Institutional and Investor A Shares.

For the six months ended June 30, 2016, the following table shows the class specific administration fees borne directly by each class of the Fund:


Institutional	Investor A		Class K		Total
$27,516	$	10,212	$	27,601	$	65,329

Service and Distribution Fees

The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Administrator. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates of 0.25% based upon the average daily net assets of the Investor A Shares.

For the six months ended June 30, 2016, the Investor A service fee was $36,793.

Expense Waivers

Officers and Trustees

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.

5. Income Tax Information:



14	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (concluded)

As of December 31, 2015, the Fund had a capital loss carryforward, with no expiration date, available to offset future realized capital gains of $24,583.

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
	Shares			Amount			Shares			Amount
Institutional
Shares sold		5,028,301		$	51,363,044			3,494,789		$	35,345,100
Shares issued to shareholders in reinvestment of distributions		83,677			858,754			92,751			940,015
Shares redeemed		(1,045,569	)		(10,713,344	)		(1,175,402	)		(11,908,283	)

Net increase		4,066,409		$	41,508,454			2,412,138		$	24,376,832


Investor A
Shares sold		2,544,872		$	26,022,809			1,692,928		$	17,181,316
Shares issued to shareholders in reinvestment of distributions		28,386			291,235			28,480			288,368
Shares redeemed		(461,521	)		(4,726,130	)		(860,554	)		(8,749,332	)

Net increase		2,111,737		$	21,587,914			860,854		$	8,720,352


Class K
Shares sold		21,119,579		$	215,290,364			6,441,775		$	65,411,564
Shares issued to shareholders in reinvestment of distributions		303,296			3,111,634			336,986			3,418,699
Shares redeemed		(2,697,061	)		(27,587,979	)		(5,827,054	)		(59,190,893	)

Net increase		18,725,814		$	190,814,019			951,707		$	9,639,370

Total Net Increase		24,903,960		$	253,910,387			4,224,699		$	42,736,554

7. Subsequent Events:



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	15


Master Portfolio Information		U.S. Total Bond Index Master Portfolio


As of June 30, 2016


Portfolio Composition		Percent of Total Investments


U.S. Treasury Obligations	33	%
U.S. Government Sponsored Agency Securities	28
Corporate Bonds	24
Foreign Agency Obligations	3
Non-Agency Mortgage-Backed Securities	1
Municipal Bonds	1
Short-Term Securities	11
TBA Sale Commitments	(1	)

Credit Quality Allocation¹

Percent of

Total Investments


AAA/Aaa²	65	%
AA/Aa	4
A	9
BBB/Baa	11
NR	11

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s Ratings Services or Moody’s Investors Service, Inc. 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.

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



16	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016

Schedule of Investments June 30, 2016 (Unaudited)

U.S. Total Bond Index Master Portfolio

(Percentages shown are based on Net Assets)


Asset-Backed Securities	Par (000)		Value
BMW Vehicle Owner Trust, Series 2014-A, Class A4, 1.50%, 2/25/21	$	200	$	201,269
Capital One Multi-Asset Execution Trust:
Series 2007-A7, Class A7, 5.75%, 7/15/20		1,500		1,587,588
Series 2014-A5, Class A, 1.48%, 7/15/20		400		402,606
Citibank Credit Card Issuance Trust, Series 2008-A1, Class A1, 5.35%, 2/07/20		170		181,679
GE Capital Credit Card Master Note Trust, Series 2013-1, Class A, 1.35%, 3/15/21		750		751,610
Honda Auto Receivables Owner Trust, Series 2015-3, Class A4, 1.56%, 10/18/21		2,000		2,019,860
Hyundai Auto Receivables Trust, Series 2015-B, Class A3, 1.12%, 11/15/19		1,000		1,001,131
Synchrony Credit Card Master Note Trust, Series 2015-1, Class A, 2.37%, 3/15/23		3,000		3,089,188
Toyota Auto Receivables Owner Trust, Series 2014-C, Class A4, 1.44%, 4/15/20		200		201,073
Total Asset-Backed Securities — 0.4%				9,436,004



Corporate Bonds
Aerospace & Defense — 0.5%
Boeing Co.:
2.35%, 10/30/21		75		77,707
6.13%, 2/15/33		100		135,327
3.30%, 3/01/35		65		66,097
3.38%, 6/15/46		250		250,927
Crane Co., 4.45%, 12/15/23		125		132,811
Dover Corp., 3.15%, 11/15/25		250		263,613
Eaton Corp.:
2.75%, 11/02/22		250		256,293
4.00%, 11/02/32		200		213,427
General Dynamics Corp.:
3.88%, 7/15/21		50		55,047
2.25%, 11/15/22		500		511,121
Harris Corp.:
3.83%, 4/27/25		250		265,069
4.85%, 4/27/35		65		71,356
Honeywell International, Inc., 5.30%, 3/01/18		100		107,104
L-3 Communications Corp., 4.95%, 2/15/21		250		273,398
Lockheed Martin Corp.:
2.50%, 11/23/20		1,000		1,031,867
3.55%, 1/15/26		250		271,563
3.60%, 3/01/35		65		65,894
4.07%, 12/15/42		100		106,458
3.80%, 3/01/45		500		511,301
4.70%, 5/15/46		250		294,693
Northrop Grumman Corp.:
1.75%, 6/01/18		250		252,392
3.25%, 8/01/23		500		536,542
4.75%, 6/01/43		375		447,354
Parker-Hannifin Corp., 4.20%, 11/21/34		250		280,562
Precision Castparts Corp.:
1.25%, 1/15/18		75		75,338
2.50%, 1/15/23		150		155,140


Corporate Bonds	Par (000)		Value
Aerospace & Defense (continued)
Precision Castparts Corp. (continued):
4.20%, 6/15/35	$	250	$	281,752
Raytheon Co.:
4.88%, 10/15/40		250		306,545
4.70%, 12/15/41		100		119,032
Textron, Inc., 3.65%, 3/01/21		350		367,240
Tyco Electronics Group SA, 3.45%, 8/01/24		75		78,719
Tyco International Finance SA, 5.13%, 9/14/45		250		286,653
United Technologies Corp.:
1.78%, 5/04/18 (a)		500		504,492
3.10%, 6/01/22		600		639,562
5.70%, 4/15/40		50		66,079
4.50%, 6/01/42		700		801,718
4.15%, 5/15/45		250		274,593

				10,434,786
Air Freight & Logistics — 0.1%
FedEx Corp.:
4.00%, 1/15/24		250		273,170
3.25%, 4/01/26		545		570,090
3.90%, 2/01/35		190		193,144
3.88%, 8/01/42		50		49,204
4.75%, 11/15/45		160		178,307
4.55%, 4/01/46		250		271,274
United Parcel Service, Inc.:
5.13%, 4/01/19		50		55,367
2.45%, 10/01/22		500		519,818
6.20%, 1/15/38		100		143,433

				2,253,807
Airlines — 0.1%
American Airlines Pass Through Trust:
Series 2013-2, Class A, 4.95%, 7/15/24		168		182,734
Series 2016-2, Class AA, 3.20%, 12/15/29		500		516,960
Continental Airlines Pass-Through Trust, Series 2012-1, Class A, 4.15%, 10/11/25		43		45,068
Delta Air Lines Pass-Through Trust, Series 2012-1, Class A, 4.75%, 11/07/21		73		77,615
Southwest Airlines Co., 2.75%, 11/06/19		75		77,533
United Airlines Pass-Through Trust:
Series 2013-1, Class A, 4.30%, 2/15/27		185		200,016
Series 2016-1, Class AA, 3.10%, 1/07/30		500		508,750

				1,608,676
Auto Components — 0.0%
BorgWarner, Inc., 3.38%, 3/15/25		70		71,576
Delphi Corp., 5.00%, 2/15/23		250		265,000
Johnson Controls, Inc.:
3.63%, 7/02/24		80		84,549
4.95%, 7/02/64		250		249,221

				670,346
Automobiles — 0.1%
Ford Motor Co.:
7.45%, 7/16/31		150		201,129


Portfolio Abbreviations


ARB	Airport Revenue Bonds	EDA	Economic Development Authority	NPFGC	National Public Finance Guarantee Corp.
COP	Certificates of Participation	GO	General Obligation Bonds	RB	Revenue Bonds

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	17


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Automobiles (continued)
Ford Motor Co. (continued):
4.75%, 1/15/43	$	350	$	370,469
General Motors Co.:
4.88%, 10/02/23		100		106,454
6.60%, 4/01/36		250		286,677
5.20%, 4/01/45		250		247,682
6.75%, 4/01/46		25		29,655

				1,242,066
Banks — 3.2%
Asian Development Bank:
1.75%, 9/11/18		500		510,188
1.88%, 4/12/19		500		513,187
1.63%, 3/16/21		250		254,718
Australia & New Zealand Banking Group Ltd.:
1.50%, 1/16/18		250		251,169
2.25%, 6/13/19		250		255,351
Bancolombia SA, 5.95%, 6/03/21		100		109,350
Bank of Montreal, 1.40%, 4/10/18		230		231,016
Bank of New York Mellon Corp.:
1.35%, 3/06/18		250		251,469
2.20%, 5/15/19		250		255,768
2.30%, 9/11/19		500		510,195
2.45%, 11/27/20		190		195,484
2.50%, 4/15/21		250		259,055
2.05%, 5/03/21		500		507,860
3.55%, 9/23/21		50		54,134
3.00%, 2/24/25		105		110,081
2.80%, 5/04/26		70		72,608
Bank of Nova Scotia:
1.30%, 7/21/17		250		250,454
1.38%, 12/18/17		100		100,317
2.05%, 10/30/18		250		254,024
1.95%, 1/15/19		250		253,704
2.45%, 3/22/21		500		513,754
4.50%, 12/16/25		250		259,742
Barclays PLC:
2.00%, 3/16/18		500		496,150
3.25%, 1/12/21		500		498,248
4.38%, 9/11/24		500		483,385
3.65%, 3/16/25		450		432,706
5.20%, 5/12/26		250		252,591
BB&T Corp.:
5.25%, 11/01/19		100		110,807
2.45%, 1/15/20		250		256,967
2.63%, 6/29/20		250		258,246
BNP Paribas SA:
2.38%, 9/14/17		250		253,600
5.00%, 1/15/21		100		112,314
3.25%, 3/03/23		250		259,985
4.25%, 10/15/24		250		257,088
BPCE SA:
2.50%, 12/10/18		250		256,357
4.00%, 4/15/24		250		272,468
Branch Banking & Trust Co.:
2.30%, 10/15/18		250		256,254
1.45%, 5/10/19		1,000		1,004,010
3.80%, 10/30/26		250		275,332
Citizens Bank NA/Providence:
1.60%, 12/04/17		250		250,105


Corporate Bonds	Par (000)		Value
Banks (continued)
Citizens Bank NA/Providence (continued):
2.50%, 3/14/19	$	500	$	507,119
Commonwealth Bank of Australia, New York:
1.63%, 3/12/18		500		503,472
2.25%, 3/13/19		250		255,097
2.30%, 3/12/20		250		254,761
Compass Bank:
2.75%, 9/29/19		250		246,890
3.88%, 4/10/25		250		239,907
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA:
1.70%, 3/19/18		250		252,198
2.25%, 1/14/19		250		254,814
4.63%, 12/01/23		500		527,248
3.38%, 5/21/25		500		522,391
5.25%, 5/24/41		25		31,103
5.25%, 8/04/45		250		277,913
Cooperatieve Rabobank UA:
2.50%, 1/19/21		1,000		1,025,016
3.88%, 2/08/22		150		162,960
Credit Suisse, New York:
1.75%, 1/29/18		500		500,416
2.30%, 5/28/19		600		608,032
5.40%, 1/14/20		150		162,837
3.00%, 10/29/21		250		256,075
Discover Bank/Greenwood Delaware, 7.00%, 4/15/20		500		569,451
Fifth Third Bancorp:
3.50%, 3/15/22		100		105,902
4.30%, 1/16/24		250		266,266
Fifth Third Bank:
1.45%, 2/28/18		200		200,992
2.88%, 10/01/21		200		206,578
3.85%, 3/15/26		500		525,081
HSBC Bank USA NA, 4.88%, 8/24/20		500		543,199
HSBC Finance Corp., 6.68%, 1/15/21		161		180,401
HSBC Holdings PLC:
3.40%, 3/08/21		500		515,212
4.88%, 1/14/22		150		164,597
3.60%, 5/25/23		750		766,477
4.25%, 3/14/24		500		505,892
4.25%, 8/18/25		500		504,562
4.30%, 3/08/26		1,000		1,057,574
6.50%, 5/02/36		200		240,130
6.80%, 6/01/38		250		311,406
5.25%, 3/14/44		250		264,130
HSBC USA, Inc.:
2.25%, 6/23/19		250		251,180
2.35%, 3/05/20		1,000		999,670
2.75%, 8/07/20		250		251,966
Huntington Bancshares, Inc., 3.15%, 3/14/21		250		258,980
International Bank for Reconstruction & Development, 1.38%, 3/30/20		750		757,868
Intesa Sanpaolo SpA:
3.88%, 1/16/18		200		205,200
5.25%, 1/12/24		250		266,084
KeyCorp:
2.30%, 12/13/18		340		345,541
2.90%, 9/15/20		500		517,143
5.10%, 3/24/21		100		112,492

See Notes to Financial Statements.



18	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Banks (continued)
KFW:
0.88%, 12/15/17	$	1,000	$	1,001,711
1.00%, 1/26/18		500		501,585
0.88%, 4/19/18		2,000		2,003,100
1.13%, 8/06/18		1,500		1,509,087
1.13%, 11/16/18		1,500		1,509,237
1.88%, 4/01/19		500		513,363
1.88%, 6/30/20		750		771,626
1.63%, 3/15/21		1,250		1,273,640
1.50%, 6/15/21		500		506,263
2.13%, 1/17/23		200		208,062
Korea Development Bank:
1.50%, 1/22/18		200		200,362
3.00%, 3/17/19		350		363,791
Landwirtschaftliche Rentenbank:
0.88%, 9/12/17		750		751,089
2.25%, 10/01/21		500		522,417
Lloyds Bank PLC:
2.35%, 9/05/19		350		352,107
2.40%, 3/17/20		750		756,475
2.70%, 8/17/20		250		254,360
Lloyds Banking Group PLC:
4.65%, 3/24/26		250		253,153
4.58%, 12/10/25 (b)		250		251,315
Manufacturers & Traders Trust Co.:
1.40%, 7/25/17		250		250,261
1.45%, 3/07/18		250		250,567
2.10%, 2/06/20		250		252,933
MUFG Union Bank NA, 2.63%, 9/26/18		250		255,474
National Australia Bank Ltd., 2.00%, 1/14/19		500		506,926
Oesterreichische Kontrollbank AG, 1.63%, 3/12/19		500		508,151
PNC Bank NA (c):
2.20%, 1/28/19		500		510,169
2.25%, 7/02/19		350		357,520
2.30%, 6/01/20		500		512,187
2.45%, 11/05/20		250		256,870
2.95%, 1/30/23		250		254,571
2.95%, 2/23/25		250		258,193
PNC Funding Corp., 3.30%, 3/08/22 (c)		150		159,526
Regions Financial Corp., 2.00%, 5/15/18		250		250,437
Royal Bank of Canada:
1.40%, 10/13/17		225		225,680
2.20%, 7/27/18		250		254,910
1.80%, 7/30/18		250		252,722
2.00%, 12/10/18		250		254,643
2.15%, 3/06/20		250		254,312
2.50%, 1/19/21		250		258,315
4.65%, 1/27/26		200		213,990
Santander Holdings USA, Inc.:
3.45%, 8/27/18		250		255,180
2.70%, 5/24/19		500		502,406
2.65%, 4/17/20		150		148,121
Santander Issuances SAU, 5.18%, 11/19/25		200		199,807
Santander UK Group Holdings PLC:
2.88%, 10/16/20		65		64,498
3.13%, 1/08/21		75		75,163
Santander UK PLC:
1.65%, 9/29/17		250		249,949
2.00%, 8/24/18		195		195,291


Corporate Bonds	Par (000)		Value
Banks (continued)
Santander UK PLC (continued):
2.50%, 3/14/19	$	500	$	505,101
2.38%, 3/16/20		250		250,497
Sumitomo Mitsui Banking Corp.:
1.35%, 7/11/17		250		250,013
1.80%, 7/18/17		250		251,405
2.45%, 1/10/19		250		255,332
2.45%, 1/16/20		250		255,478
2.45%, 10/20/20		500		511,929
Sumitomo Mitsui Financial Group, Inc.:
2.93%, 3/09/21		500		521,136
3.78%, 3/09/26		500		544,492
SunTrust Banks, Inc.:
2.35%, 11/01/18		250		253,895
2.90%, 3/03/21		500		517,690
Svenska Handelsbanken AB:
1.63%, 3/21/18		250		251,594
2.45%, 3/30/21		500		513,650
Toronto-Dominion Bank:
1.63%, 3/13/18		500		504,663
1.40%, 4/30/18		250		250,932
2.25%, 11/05/19		300		307,854
2.13%, 4/07/21		500		508,839
US Bancorp:
1.95%, 11/15/18		225		229,725
4.13%, 5/24/21		50		55,684
US Bank NA:
1.35%, 1/26/18		500		501,869
1.40%, 4/26/19		750		754,351
2.13%, 10/28/19		250		256,258
2.80%, 1/27/25		500		520,668
Wells Fargo & Co.:
5.63%, 12/11/17		250		265,770
1.50%, 1/16/18		250		251,400
2.15%, 1/15/19		250		255,229
2.13%, 4/22/19		350		357,536
1.75%, 5/24/19		500		506,764
2.15%, 1/30/20		460		467,803
2.60%, 7/22/20		500		513,858
3.00%, 1/22/21		250		261,226
2.50%, 3/04/21		740		758,823
3.45%, 2/13/23		450		465,628
4.48%, 1/16/24		250		274,036
3.00%, 2/19/25		350		358,479
3.55%, 9/29/25		1,000		1,065,740
3.00%, 4/22/26		250		254,838
4.10%, 6/03/26		520		556,198
4.30%, 7/22/27		500		539,865
5.38%, 11/02/43		400		465,989
5.61%, 1/15/44		306		366,052
4.65%, 11/04/44		345		363,857
3.90%, 5/01/45		150		157,443
4.90%, 11/17/45		250		273,576
4.40%, 6/14/46		250		254,704
Westpac Banking Corp.:
1.50%, 12/01/17		250		251,224
1.60%, 1/12/18		250		251,383
2.25%, 1/17/19		350		357,379
4.88%, 11/19/19		50		55,317

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	19


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Banks (continued)
Westpac Banking Corp. (continued):
2.60%, 11/23/20	$	500	$	516,812
2.85%, 5/13/26		500		507,645

				70,681,608
Beverages — 0.7%
Anheuser-Busch Cos. LLC, 6.45%, 9/01/37		100		133,307
Anheuser-Busch InBev Finance, Inc.:
2.15%, 2/01/19		500		510,676
2.65%, 2/01/21		1,160		1,202,937
2.63%, 1/17/23		500		505,846
3.30%, 2/01/23		750		790,252
3.65%, 2/01/26		1,500		1,606,869
4.70%, 2/01/36		500		561,864
4.63%, 2/01/44		400		448,945
4.90%, 2/01/46		1,470		1,722,608
Anheuser-Busch InBev Worldwide, Inc.:
1.38%, 7/15/17		500		501,381
7.75%, 1/15/19		250		289,226
2.50%, 7/15/22		200		203,472
8.20%, 1/15/39		150		239,062
3.75%, 7/15/42		50		50,029
Coca-Cola Co.:
1.15%, 4/01/18		250		251,736
1.65%, 11/01/18		500		507,526
1.88%, 10/27/20		500		511,020
2.45%, 11/01/20		350		365,085
2.88%, 10/27/25		125		132,395
Coca-Cola Femsa SAB de CV, 2.38%, 11/26/18		250		254,809
Diageo Capital PLC:
5.75%, 10/23/17		100		105,966
3.88%, 4/29/43		125		131,098
Diageo Investment Corp.:
2.88%, 5/11/22		100		105,079
4.25%, 5/11/42		250		276,876
Dr Pepper Snapple Group, Inc.:
3.20%, 11/15/21		25		26,475
2.70%, 11/15/22		100		101,252
7.45%, 5/01/38		250		365,354
Molson Coors Brewing Co.:
3.50%, 5/01/22		75		79,578
3.00%, 7/15/26 (d)		95		94,906
5.00%, 5/01/42		250		280,187
Pepsi Bottling Group, Inc., Series B, 7.00%, 3/01/29		200		286,959
PepsiCo, Inc.:
1.25%, 8/13/17		500		502,299
2.25%, 1/07/19		250		256,869
2.75%, 3/05/22		250		261,915
3.10%, 7/17/22		500		532,314
2.75%, 3/01/23		300		314,005
3.60%, 3/01/24		250		274,704
3.50%, 7/17/25		250		273,420
2.85%, 2/24/26		500		523,592
4.88%, 11/01/40		100		119,173
3.60%, 8/13/42		100		102,043
4.45%, 4/14/46		250		291,745

				16,094,854


Corporate Bonds	Par (000)		Value
Biotechnology — 0.4%
Amgen, Inc.:
2.20%, 5/22/19	$	250	$	256,422
3.45%, 10/01/20		100		106,940
2.70%, 5/01/22		500		514,567
3.13%, 5/01/25		500		521,615
4.40%, 5/01/45		175		181,801
4.66%, 6/15/51 (b)		904		944,511
Biogen, Inc.:
4.05%, 9/15/25		95		102,263
5.20%, 9/15/45		250		281,136
Celgene Corp.:
2.88%, 8/15/20		500		517,065
3.25%, 8/15/22		150		154,927
3.55%, 8/15/22		750		785,755
3.88%, 8/15/25		500		533,332
5.25%, 8/15/43		145		162,987
Gilead Sciences, Inc.:
2.55%, 9/01/20		500		519,545
3.70%, 4/01/24		500		541,433
3.50%, 2/01/25		170		181,234
3.65%, 3/01/26		325		353,658
4.60%, 9/01/35		350		389,163
5.65%, 12/01/41		50		62,575
4.50%, 2/01/45		150		163,502
4.75%, 3/01/46		500		568,551

				7,842,982
Building Products — 0.0%
Owens Corning:
4.20%, 12/15/22		150		159,950
4.20%, 12/01/24		250		261,595

				421,545
Capital Markets — 1.1%
Ameriprise Financial, Inc., 4.00%, 10/15/23		150		162,364
Ares Capital Corp., 3.88%, 1/15/20		300		310,301
Brookfield Asset Management, Inc., 4.00%, 1/15/25		250		253,953
Charles Schwab Corp.:
2.20%, 7/25/18		75		76,271
4.45%, 7/22/20		100		110,897
3.00%, 3/10/25		80		83,531
CME Group, Inc.:
3.00%, 3/15/25		250		261,148
5.30%, 9/15/43		100		127,762
Franklin Resources, Inc., 2.80%, 9/15/22		150		155,331
Goldman Sachs Capital I, 6.35%, 2/15/34		250		293,991
Goldman Sachs Group, Inc.:
5.95%, 1/18/18		300		319,586
2.38%, 1/22/18		250		253,360
2.90%, 7/19/18		500		513,085
2.63%, 1/31/19		500		511,734
7.50%, 2/15/19		150		171,542
2.55%, 10/23/19		755		772,482
2.60%, 4/23/20		600		609,986
2.88%, 2/25/21		1,000		1,025,217
2.63%, 4/25/21		500		507,064
5.75%, 1/24/22		350		406,336
3.63%, 1/22/23		150		157,344
4.00%, 3/03/24		425		454,355

See Notes to Financial Statements.



20	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Capital Markets (continued)
Goldman Sachs Group, Inc. (continued):
3.85%, 7/08/24	$	500	$	530,155
3.50%, 1/23/25		500		513,754
3.75%, 5/22/25		250		261,093
4.25%, 10/21/25		1,050		1,085,373
3.75%, 2/25/26		380		399,950
6.13%, 2/15/33		400		498,762
6.75%, 10/01/37		650		801,797
5.15%, 5/22/45		250		260,815
Invesco Finance PLC, 4.00%, 1/30/24		250		273,514
Jefferies Group LLC, 5.13%, 4/13/18		500		522,975
Lazard Group LLC, 4.25%, 11/14/20		150		159,661
Legg Mason, Inc., 5.63%, 1/15/44		125		128,426
Morgan Stanley:
3.88%, 1/27/26		500		530,794
1.88%, 1/05/18		250		251,414
6.63%, 4/01/18		500		541,886
2.45%, 2/01/19		925		942,367
7.30%, 5/13/19		500		574,480
2.38%, 7/23/19		500		508,250
5.63%, 9/23/19		250		277,377
2.65%, 1/27/20		500		508,244
2.50%, 4/21/21		500		505,230
5.50%, 7/28/21		100		114,188
4.88%, 11/01/22		500		547,528
3.75%, 2/25/23		500		529,587
4.10%, 5/22/23		250		259,216
3.88%, 4/29/24		250		267,604
3.70%, 10/23/24		500		523,187
4.00%, 7/23/25		505		540,748
5.00%, 11/24/25		250		273,698
4.35%, 9/08/26		500		523,059
3.95%, 4/23/27		250		252,825
7.25%, 4/01/32		50		69,310
6.38%, 7/24/42		50		67,711
4.30%, 1/27/45		250		263,137
NASDAQ OMX Group, Inc., 4.25%, 6/01/24		250		263,649
Nomura Holdings, Inc., 2.75%, 3/19/19		250		255,835
State Street Corp.:
3.10%, 5/15/23		250		258,629
3.30%, 12/16/24		405		433,058
TD Ameritrade Holding Corp., 2.95%, 4/01/22		250		260,479

				23,317,405
Chemicals — 0.5%
Agrium, Inc.:
3.15%, 10/01/22		50		50,928
3.50%, 6/01/23		250		259,515
3.38%, 3/15/25		645		656,098
Airgas, Inc., 2.38%, 2/15/20		250		255,143
Albemarle Corp., 4.15%, 12/01/24		250		261,779
CF Industries, Inc.:
6.88%, 5/01/18		200		217,297
5.15%, 3/15/34		250		244,085
5.38%, 3/15/44		250		235,764
Cytec Industries, Inc., 3.50%, 4/01/23		250		248,807
Dow Chemical Co.:
8.55%, 5/15/19		100		118,704
4.25%, 11/15/20		186		203,284
4.13%, 11/15/21		50		54,854


Corporate Bonds	Par (000)		Value
Chemicals (continued)
Dow Chemical Co. (continued):
3.00%, 11/15/22	$	250	$	256,851
4.25%, 10/01/34		250		258,043
5.25%, 11/15/41		100		111,073
4.38%, 11/15/42		250		255,283
E.I. du Pont de Nemours & Co.:
6.00%, 7/15/18		325		356,055
4.25%, 4/01/21		500		556,006
2.80%, 2/15/23		250		256,571
Eastman Chemical Co.:
2.70%, 1/15/20		500		514,233
3.60%, 8/15/22		200		210,097
3.80%, 3/15/25		300		317,064
Ecolab, Inc.:
2.25%, 1/12/20		135		137,426
4.35%, 12/08/21		150		169,809
3.25%, 1/14/23		250		262,482
LYB International Finance BV:
4.00%, 7/15/23		200		214,136
5.25%, 7/15/43		75		82,011
4.88%, 3/15/44		350		370,074
LyondellBasell Industries NV, 4.63%, 2/26/55		100		97,596
Methanex Corp., 3.25%, 12/15/19		250		242,808
Monsanto Co.:
4.20%, 7/15/34		300		300,488
4.40%, 7/15/44		150		147,083
3.95%, 4/15/45		120		111,093
Mosaic Co.:
3.75%, 11/15/21		50		53,102
5.45%, 11/15/33		250		276,483
Potash Corp. of Saskatchewan, Inc.:
3.25%, 12/01/17		250		256,298
3.63%, 3/15/24		250		263,573
3.00%, 4/01/25		250		253,332
PPG Industries, Inc., 2.30%, 11/15/19		350		352,921
Praxair, Inc.:
1.25%, 11/07/18		250		250,756
2.65%, 2/05/25		165		170,835
3.20%, 1/30/26		250		270,245
Rohm & Haas Co., 7.85%, 7/15/29		250		344,169
Sherwin-Williams Co., 1.35%, 12/15/17		200		200,373
Valspar Corp., 3.95%, 1/15/26		500		526,518

				11,251,145
Commercial Services & Supplies — 0.1%
3M Co.:
1.63%, 6/15/19		350		356,713
3.00%, 8/07/25		250		272,512
Northwestern University, 3.87%, 12/01/48		100		113,709
Republic Services, Inc.:
5.25%, 11/15/21		50		57,788
3.55%, 6/01/22		250		269,973
3.20%, 3/15/25		250		261,141
2.90%, 7/01/26 (d)		85		86,204
Waste Management, Inc.:
4.60%, 3/01/21		100		111,171
2.90%, 9/15/22		200		209,388
3.90%, 3/01/35		315		330,082

				2,068,681

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	21


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Communications Equipment — 0.1%
Cisco Systems, Inc.:
2.13%, 3/01/19	$	500	$	513,531
2.45%, 6/15/20		500		520,627
2.90%, 3/04/21		125		132,757
2.95%, 2/28/26		500		532,158
5.50%, 1/15/40		350		458,906
Juniper Networks, Inc., 4.35%, 6/15/25		250		258,450
Motorola Solutions, Inc.:
3.75%, 5/15/22		150		149,934
3.50%, 3/01/23		250		241,343

				2,807,706
Construction & Engineering — 0.0%
ABB Finance USA, Inc., 2.88%, 5/08/22		100		104,181
Fluor Corp., 3.50%, 12/15/24		250		267,103

				371,284
Construction Materials — 0.0%
WW Grainger, Inc., 4.60%, 6/15/45		250		296,649
Consumer Finance — 0.4%
American Express Co.:
1.55%, 5/22/18		250		251,237
3.63%, 12/05/24		300		307,683
4.05%, 12/03/42		67		70,143
Automatic Data Processing, Inc., 2.25%, 9/15/20		500		519,486
Block Financial LLC, 4.13%, 10/01/20		500		515,035
Capital One Bank USA NA:
2.25%, 2/13/19		250		253,196
3.38%, 2/15/23		350		357,490
Capital One Financial Corp.:
2.45%, 4/24/19		250		253,840
3.50%, 6/15/23		110		113,507
4.20%, 10/29/25		340		349,534
Caterpillar Financial Services Corp.:
1.70%, 6/16/18		250		253,186
1.35%, 5/18/19		1,000		1,004,665
3.30%, 6/09/24		250		266,834
Discover Financial Services:
3.95%, 11/06/24		350		358,727
3.75%, 3/04/25		75		75,557
Equifax, Inc., 3.25%, 6/01/26		250		257,591
MasterCard, Inc., 3.38%, 4/01/24		250		270,902
Synchrony Financial:
3.75%, 8/15/21		500		517,969
4.50%, 7/23/25		190		197,011
Total System Services, Inc., 4.80%, 4/01/26		500		542,192
Visa, Inc.:
3.15%, 12/14/25		945		1,010,310
4.30%, 12/14/45		500		578,872

				8,324,967
Containers & Packaging — 0.0%
Packaging Corp. of America, 4.50%, 11/01/23		250		271,548
Diversified Financial Services — 2.8%
Air Lease Corp.:
2.13%, 1/15/18		175		174,125
3.38%, 1/15/19		250		255,000
3.88%, 4/01/21		175		180,250


Corporate Bonds	Par (000)		Value
Diversified Financial Services (continued)
American Express Credit Corp.:
1.55%, 9/22/17	$	105	$	105,466
2.13%, 3/18/19		400		408,343
2.25%, 8/15/19		250		255,205
2.60%, 9/14/20		145		149,801
2.25%, 5/05/21		500		508,870
American Honda Finance Corp.:
1.55%, 12/11/17		250		252,072
2.15%, 3/13/20		250		257,633
Bank of America Corp.:
1.70%, 8/25/17		250		250,936
2.00%, 1/11/18		1,050		1,056,713
6.88%, 4/25/18		400		436,699
5.63%, 7/01/20		150		168,756
2.63%, 10/19/20		750		761,953
2.63%, 4/19/21		1,000		1,015,337
5.00%, 5/13/21		100		111,968
5.70%, 1/24/22		100		115,782
4.00%, 4/01/24		500		533,646
4.20%, 8/26/24		500		516,859
4.00%, 1/22/25		250		254,828
3.88%, 8/01/25		250		265,203
4.45%, 3/03/26		590		617,102
3.50%, 4/19/26		145		149,841
4.25%, 10/22/26		290		300,756
6.11%, 1/29/37		350		415,432
7.75%, 5/14/38		200		281,619
5.88%, 2/07/42		100		126,226
5.00%, 1/21/44		250		289,169
4.88%, 4/01/44		175		199,429
Series L, 2.60%, 1/15/19		500		511,634
Series L, 2.65%, 4/01/19		500		512,237
Series L, 3.95%, 4/21/25		655		667,016
Bank of America NA:
1.65%, 3/26/18		750		754,498
1.75%, 6/05/18		1,000		1,006,669
Boeing Capital Corp., 4.70%, 10/27/19		250		278,695
Citigroup, Inc.:
1.80%, 2/05/18		480		481,968
2.50%, 9/26/18		350		356,937
2.05%, 12/07/18		750		755,960
2.50%, 7/29/19		250		254,658
2.40%, 2/18/20		695		702,115
2.70%, 3/30/21		250		254,448
4.05%, 7/30/22		250		263,398
3.50%, 5/15/23		250		255,129
3.88%, 3/26/25		500		505,055
3.30%, 4/27/25		155		158,767
4.40%, 6/10/25		500		522,804
4.60%, 3/09/26		250		265,045
3.40%, 5/01/26		500		512,674
4.30%, 11/20/26		150		154,539
4.45%, 9/29/27		500		515,055
6.63%, 6/15/32		100		122,457
6.13%, 8/25/36		184		219,649
8.13%, 7/15/39		75		116,972
6.68%, 9/13/43		250		320,959
5.30%, 5/06/44		500		539,874
4.65%, 7/30/45		250		274,732

See Notes to Financial Statements.



22	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Diversified Financial Services (continued)
Credit Suisse Group Funding Guernsey Ltd.:
3.13%, 12/10/20 (b)	$	250	$	249,620
3.80%, 9/15/22		500		502,161
3.80%, 6/09/23 (b)		250		249,359
3.75%, 3/26/25		500		489,377
4.55%, 4/17/26 (b)		250		259,345
4.88%, 5/15/45		250		248,954
Daimler Finance North America LLC, 8.50%, 1/18/31		100		162,457
Deutsche Bank AG:
2.50%, 2/13/19		250		250,503
2.85%, 5/10/19		1,000		1,000,700
3.13%, 1/13/21		200		199,748
3.70%, 5/30/24		215		213,721
4.10%, 1/13/26		350		347,589
Ford Motor Credit Co. LLC:
1.72%, 12/06/17		250		250,532
2.38%, 1/16/18		250		253,075
2.24%, 6/15/18		250		252,521
2.38%, 3/12/19		500		507,013
2.02%, 5/03/19		1,000		1,008,509
2.60%, 11/04/19		250		255,770
2.46%, 3/27/20		250		252,063
5.75%, 2/01/21		250		284,181
3.34%, 3/18/21		500		518,563
3.10%, 5/04/23		500		506,984
4.38%, 8/06/23		220		239,105
4.13%, 8/04/25		500		536,075
4.39%, 1/08/26		250		272,912
GE Capital International Funding Co. (b):
2.34%, 11/15/20		770		793,224
3.37%, 11/15/25		227		246,347
4.42%, 11/15/35		1,185		1,329,079
General Electric Capital Corp.:
6.00%, 8/07/19		100		114,552
4.38%, 9/16/20		50		55,687
4.63%, 1/07/21		72		81,645
4.65%, 10/17/21		201		230,180
3.45%, 5/15/24		86		93,637
6.75%, 3/15/32		144		202,097
5.88%, 1/14/38		215		290,781
6.88%, 1/10/39		72		108,680
General Motors Financial Co., Inc.:
2.40%, 4/10/18		155		156,218
3.20%, 7/13/20		1,000		1,013,071
3.70%, 11/24/20		250		256,852
4.20%, 3/01/21		750		784,614
3.45%, 4/10/22		150		149,894
4.00%, 1/15/25		250		252,953
5.25%, 3/01/26		405		440,269
Intercontinental Exchange, Inc.:
2.50%, 10/15/18		250		255,750
3.75%, 12/01/25		115		124,039
Jefferies Group LLC:
8.50%, 7/15/19		125		142,855
5.13%, 1/20/23		150		157,577
John Deere Capital Corp.:
1.95%, 12/13/18		500		510,462
2.25%, 4/17/19		100		102,765


Corporate Bonds	Par (000)		Value
Diversified Financial Services (continued)
John Deere Capital Corp. (continued):
2.05%, 3/10/20	$	1,000	$	1,021,393
2.80%, 3/04/21		250		262,461
3.90%, 7/12/21		50		55,271
2.80%, 3/06/23		500		525,640
JPMorgan Chase & Co.:
2.00%, 8/15/17		250		252,329
6.00%, 1/15/18		500		534,736
1.80%, 1/25/18		1,000		1,007,902
1.63%, 5/15/18		500		501,954
2.35%, 1/28/19		500		512,328
1.85%, 3/22/19		1,000		1,010,361
2.20%, 10/22/19		500		508,229
2.55%, 10/29/20		500		510,845
2.55%, 3/01/21		500		508,191
4.35%, 8/15/21		500		550,067
4.50%, 1/24/22		300		333,854
3.25%, 9/23/22		200		209,085
3.20%, 1/25/23		150		155,479
3.38%, 5/01/23		250		254,882
2.70%, 5/18/23		500		505,085
3.88%, 9/10/24		300		310,601
3.13%, 1/23/25		250		255,583
3.90%, 7/15/25		250		269,640
3.30%, 4/01/26		500		517,412
4.13%, 12/15/26		250		264,879
4.25%, 10/01/27		500		529,016
6.40%, 5/15/38		100		136,953
5.50%, 10/15/40		125		156,470
5.60%, 7/15/41		550		697,408
5.63%, 8/16/43		500		583,767
4.85%, 2/01/44		100		119,972
4.95%, 6/01/45		250		274,495
JPMorgan Chase Bank NA, 6.00%, 10/01/17		250		264,053
Leucadia National Corp., 5.50%, 10/18/23		150		152,683
Mitsubishi UFJ Financial Group, Inc., 3.85%, 3/01/26		500		545,493
Moody’s Corp.:
2.75%, 7/15/19		40		41,253
4.50%, 9/01/22		550		611,469
MUFG Americas Holdings Corp., 3.00%, 2/10/25		250		254,294
National Rural Utilities Cooperative Finance Corp.:
2.30%, 11/15/19		250		257,728
3.40%, 11/15/23		350		378,014
2.85%, 1/27/25		250		261,480
NCUA Guaranteed Notes, 3.00%, 6/12/19		1,000		1,062,550
PACCAR Financial Corp., 2.20%, 9/15/19		250		256,822
Royal Bank of Scotland Group PLC, 4.80%, 4/05/26		500		508,535
S&P Global, Inc., 4.40%, 2/15/26		250		280,588
Toyota Motor Credit Corp.:
1.38%, 1/10/18		200		201,402
2.00%, 10/24/18		500		509,713
2.10%, 1/17/19		250		255,768
2.13%, 7/18/19		350		359,360
2.15%, 3/12/20		500		513,948
1.90%, 4/08/21		500		507,826
UBS AG/Stamford CT:
2.38%, 8/14/19		800		818,168

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	23


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Diversified Financial Services (continued)
UBS AG/Stamford CT (continued):
2.35%, 3/26/20	$	500	$	512,150

				60,792,613
Diversified Telecommunication Services — 1.0%
AT&T, Inc.:
1.75%, 1/15/18		500		502,721
2.38%, 11/27/18		500		510,269
2.45%, 6/30/20		1,500		1,531,438
5.00%, 3/01/21		500		559,875
3.80%, 3/15/22		250		265,581
3.60%, 2/17/23		500		521,590
4.45%, 4/01/24		500		549,304
3.95%, 1/15/25		500		531,472
3.40%, 5/15/25		500		511,454
4.13%, 2/17/26		750		805,675
4.50%, 5/15/35		310		317,128
6.30%, 1/15/38		200		240,484
6.00%, 8/15/40		250		291,969
5.35%, 9/01/40		463		506,472
5.55%, 8/15/41		200		224,073
5.15%, 3/15/42		150		161,844
4.30%, 12/15/42		151		146,200
4.80%, 6/15/44		250		256,653
4.35%, 6/15/45		759		735,445
4.75%, 5/15/46		350		358,706
5.65%, 2/15/47		250		286,303
British Telecommunications PLC:
2.35%, 2/14/19		250		255,372
9.63%, 12/15/30		150		231,102
CC Holdings GS V LLC/Crown Castle GS III Corp., 2.38%, 12/15/17		325		329,218
Deutsche Telekom International Finance BV, 8.75%, 6/15/30		400		602,356
Orange SA:
9.00%, 3/01/31		250		387,180
5.38%, 1/13/42		225		280,393
Qwest Corp.:
6.75%, 12/01/21		50		54,095
6.88%, 9/15/33		212		209,053
Telefonaktiebolaget LM Ericsson, 4.13%, 5/15/22		100		108,190
Telefonica Emisiones SAU:
3.19%, 4/27/18		250		256,695
5.46%, 2/16/21		50		57,045
4.57%, 4/27/23		200		221,409
7.05%, 6/20/36		75		95,819
Telefonica Europe BV, 8.25%, 9/15/30		300		428,947
Verizon Communications, Inc.:
1.10%, 11/01/17		250		249,944
3.65%, 9/14/18		500		525,398
2.55%, 6/17/19		500		518,019
2.63%, 2/21/20		250		258,716
3.50%, 11/01/21		400		431,020
5.15%, 9/15/23		1,000		1,164,626
4.15%, 3/15/24		250		275,791
3.50%, 11/01/24		500		531,766
7.75%, 12/01/30		50		70,095
6.40%, 9/15/33		500		638,201
5.05%, 3/15/34		500		554,947
4.40%, 11/01/34		500		515,574


Corporate Bonds	Par (000)		Value
Diversified Telecommunication Services (continued)
Verizon Communications, Inc. (continued):
4.27%, 1/15/36	$	250	$	255,853
6.40%, 2/15/38		200		250,955
6.00%, 4/01/41		250		311,070
3.85%, 11/01/42		250		235,115
6.55%, 9/15/43		750		1,010,539
4.52%, 9/15/48		500		520,650
5.01%, 8/21/54		650		687,409
4.67%, 3/15/55		500		505,720

				22,842,938
Electric Utilities — 1.6%
Alabama Power Co.:
5.50%, 10/15/17		100		105,177
3.75%, 3/01/45		250		259,980
4.30%, 1/02/46		250		280,517
Ameren Illinois Co.:
2.70%, 9/01/22		100		103,796
4.30%, 7/01/44		250		283,372
American Electric Power Co., Inc.:
1.65%, 12/15/17		200		200,576
Series F, 2.95%, 12/15/22		500		520,501
Appalachian Power Co., 4.40%, 5/15/44		250		268,406
Arizona Public Service Co.:
3.15%, 5/15/25		250		266,686
5.05%, 9/01/41		250		308,582
Berkshire Hathaway Energy Co.:
2.00%, 11/15/18		500		508,272
3.75%, 11/15/23		500		546,368
3.50%, 2/01/25		110		118,637
6.13%, 4/01/36		250		331,508
5.15%, 11/15/43		250		303,007
4.50%, 2/01/45		400		449,017
Black Hills Corp., 3.95%, 1/15/26		200		212,230
CenterPoint Energy Houston Electric LLC:
1.85%, 6/01/21		500		505,105
3.55%, 8/01/42		100		101,373
Cleco Corporate Holdings LLC, 3.74%, 5/01/26 (b)		500		513,861
Commonwealth Edison Co.:
2.15%, 1/15/19		500		509,979
3.10%, 11/01/24		250		266,082
2.55%, 6/15/26		250		254,174
5.90%, 3/15/36		50		66,594
Connecticut Light & Power Co., 2.50%, 1/15/23		150		152,262
DTE Electric Co.:
4.00%, 4/01/43		150		165,434
3.70%, 3/15/45		145		153,700
3.70%, 6/01/46		250		263,935
Duke Energy Carolinas LLC, 6.05%, 4/15/38		100		136,271
Duke Energy Corp.:
1.63%, 8/15/17		250		251,264
3.95%, 10/15/23		250		270,851
3.75%, 4/15/24		500		536,894
4.80%, 12/15/45		250		289,448
Duke Energy Indiana, Inc.:
4.20%, 3/15/42		150		164,087
4.90%, 7/15/43		250		299,949
Duke Energy Ohio, Inc., 3.70%, 6/15/46		250		254,830
Duke Energy Progress, Inc.:
4.10%, 5/15/42		150		164,159

See Notes to Financial Statements.



24	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Electric Utilities (continued)
Duke Energy Progress, Inc. (continued):
4.10%, 3/15/43	$	250	$	273,221
4.38%, 3/30/44		100		114,458
4.20%, 8/15/45		250		281,160
Entergy Arkansas, Inc., 3.50%, 4/01/26		65		71,239
Entergy Corp., 4.00%, 7/15/22		200		214,617
Entergy Louisiana LLC, 4.05%, 9/01/23		250		278,521
Entergy Mississippi, Inc., 2.85%, 6/01/28		500		507,913
Eversource Energy:
2.50%, 3/15/21		500		514,341
Series H, 3.15%, 1/15/25		125		130,363
Exelon Corp.:
3.95%, 6/15/25		250		267,268
3.40%, 4/15/26		750		783,845
5.10%, 6/15/45		250		287,286
4.45%, 4/15/46		250		266,901
Exelon Generation Co. LLC, 6.25%, 10/01/39		150		164,768
Florida Power & Light Co.:
2.75%, 6/01/23		250		263,195
3.13%, 12/01/25		500		536,409
5.95%, 2/01/38		50		68,602
Georgia Power Co., 4.30%, 3/15/42		200		219,104
Great Plains Energy, Inc., 5.29%, 6/15/22 (a)		150		167,772
Indiana Michigan Power Co.:
6.05%, 3/15/37		175		216,764
4.55%, 3/15/46		150		166,705
Interstate Power & Light Co., 3.25%, 12/01/24		250		267,348
Kansas City Power & Light Co., 3.65%, 8/15/25		150		158,718
LG&E and KU Energy LLC, 3.75%, 11/15/20		50		53,697
Louisville Gas & Electric Co., 4.65%, 11/15/43		250		297,530
Nevada Power Co., 5.45%, 5/15/41		50		63,433
NextEra Energy Capital Holdings, Inc., 3.63%, 6/15/23		1,250		1,317,552
NiSource Finance Corp.:
6.13%, 3/01/22		500		594,986
5.95%, 6/15/41		50		62,179
5.25%, 2/15/43		75		90,100
4.80%, 2/15/44		250		286,723
Northeast Utilities, 1.45%, 5/01/18		250		250,349
Northern States Power Co.:
3.40%, 8/15/42		200		202,984
4.00%, 8/15/45		85		96,257
Oglethorpe Power Corp., 4.55%, 6/01/44		250		264,503
Oncor Electric Delivery Co. LLC:
7.00%, 9/01/22		100		127,344
5.30%, 6/01/42		75		93,462
3.75%, 4/01/45		250		256,299
Pacific Gas & Electric Co.:
3.25%, 6/15/23		500		533,211
2.95%, 3/01/26		250		260,343
6.05%, 3/01/34		250		333,089
5.13%, 11/15/43		250		301,433
4.75%, 2/15/44		250		295,341
4.25%, 3/15/46		250		277,791
PacifiCorp:
2.95%, 2/01/22		100		105,965
2.95%, 6/01/23		300		316,093
Pennsylvania Electric Co., 6.15%, 10/01/38		250		286,950
Potomac Electric Power Co., 3.60%, 3/15/24		250		271,603


Corporate Bonds	Par (000)		Value
Electric Utilities (continued)
PPL Capital Funding, Inc.:
1.90%, 6/01/18	$	250	$	250,889
3.40%, 6/01/23		250		260,876
PPL Electric Utilities Corp., 4.75%, 7/15/43		250		302,949
Progress Energy, Inc.:
4.40%, 1/15/21		100		109,399
7.75%, 3/01/31		50		70,008
Public Service Co. of Colorado:
3.95%, 3/15/43		200		217,624
4.30%, 3/15/44		75		85,085
Public Service Electric & Gas Co.:
1.80%, 6/01/19		250		254,116
3.50%, 8/15/20		50		53,736
2.38%, 5/15/23		250		255,475
3.05%, 11/15/24		250		265,828
3.95%, 5/01/42		50		55,095
3.65%, 9/01/42		50		52,763
3.80%, 3/01/46		250		271,214
Series K, 4.05%, 5/01/45		150		169,250
Puget Energy, Inc.:
5.63%, 7/15/22		500		570,855
3.65%, 5/15/25		250		256,694
Sierra Pacific Power Co., 2.60%, 5/01/26 (b)		750		766,456
South Carolina Electric & Gas Co.:
4.60%, 6/15/43		250		282,937
4.10%, 6/15/46		350		370,341
Southern California Edison Co.:
2.40%, 2/01/22		250		259,171
5.50%, 3/15/40		50		64,635
4.65%, 10/01/43		350		423,946
Series C, 3.60%, 2/01/45		250		259,666
Southern Co.:
2.35%, 7/01/21		1,000		1,019,854
3.25%, 7/01/26		500		519,361
Tampa Electric Co., 4.10%, 6/15/42		250		266,526
Toledo Edison Co., 6.15%, 5/15/37		100		122,928
TransAlta Corp., 4.50%, 11/15/22		500		455,578
Virginia Electric & Power Co.:
2.95%, 1/15/22		400		421,393
4.00%, 1/15/43		250		263,364
4.45%, 2/15/44		150		172,409
Series A, 3.15%, 1/15/26		555		585,953
WEC Energy Group, Inc.:
2.45%, 6/15/20		750		769,218
3.55%, 6/15/25		350		375,564
Westar Energy, Inc., 2.55%, 7/01/26		350		350,260
Xcel Energy, Inc.:
2.40%, 3/15/21		1,000		1,028,050
3.30%, 6/01/25		42		44,299

				35,970,384
Electrical Equipment — 0.1%
Amphenol Corp., 2.55%, 1/30/19		350		356,053
Emerson Electric Co.:
5.00%, 4/15/19		100		110,137
2.63%, 2/15/23		350		362,858
Pentair Finance SA, 1.88%, 9/15/17		250		249,546
Roper Industries, Inc., 3.13%, 11/15/22		150		153,509

				1,232,103

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	25


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Electronic Equipment, Instruments & Components — 0.1%
Arrow Electronics, Inc., 3.00%, 3/01/18	$	750	$	757,685
Corning, Inc.:
3.70%, 11/15/23		250		265,795
4.75%, 3/15/42		50		52,163
Ingram Micro, Inc., 4.95%, 12/15/24		200		199,204
Jabil Circuit, Inc., 4.70%, 9/15/22		250		251,250
Tyco Electronics Group SA:
6.55%, 10/01/17		50		53,154
3.50%, 2/03/22		100		105,673

				1,684,924
Energy Equipment & Services — 0.1%
Baker Hughes, Inc., 5.13%, 9/15/40		100		112,779
FMC Technologies, Inc., 3.45%, 10/01/22		100		95,362
Halliburton Co.:
6.15%, 9/15/19		100		113,609
3.80%, 11/15/25		800		835,559
4.85%, 11/15/35		250		270,713
4.50%, 11/15/41		50		48,914
4.75%, 8/01/43		250		261,674
5.00%, 11/15/45		175		192,480
National Oilwell Varco, Inc., 3.95%, 12/01/42		150		119,109

				2,050,199
Food & Staples Retailing — 0.5%
Costco Wholesale Corp.:
1.13%, 12/15/17		150		150,895
2.25%, 2/15/22		85		87,701
CVS Health Corp.:
2.25%, 8/12/19		500		513,489
4.00%, 12/05/23		500		552,927
3.88%, 7/20/25		443		487,290
2.88%, 6/01/26		750		766,442
4.88%, 7/20/35		1,000		1,193,906
Kraft Heinz Foods Co. (b):
Kroger Co.:
6.15%, 1/15/20		100		115,113
3.30%, 1/15/21		500		531,401
3.40%, 4/15/22		100		106,971
3.50%, 2/01/26		495		533,400
5.15%, 8/01/43		125		149,178
Lowe’s Cos., Inc., 3.38%, 9/15/25		500		546,771
NIKE, Inc., 3.88%, 11/01/45		500		554,280
Target Corp., 2.50%, 4/15/26		250		256,318
Wal-Mart Stores, Inc.:
1.13%, 4/11/18		250		251,266
1.95%, 12/15/18		750		770,446
3.63%, 7/08/20		150		164,039
6.20%, 4/15/38		250		353,806
5.63%, 4/01/40		500		673,194
5.63%, 4/15/41		500		672,950
4.00%, 4/11/43		150		166,501
4.75%, 10/02/43		250		307,840
4.30%, 4/22/44		250		291,727
Walgreen Co., 3.10%, 9/15/22		200		206,020
Walgreens Boots Alliance, Inc.:
3.80%, 11/18/24		500		529,741
3.45%, 6/01/26		305		313,095
4.50%, 11/18/34		155		162,680


Corporate Bonds	Par (000)		Value
Food & Staples Retailing (continued)
Walgreens Boots Alliance, Inc. (continued):
4.80%, 11/18/44	$	150	$	161,370

				11,570,757
Food Products — 0.4%
Archer-Daniels-Midland Co., 4.54%, 3/26/42		75		85,881
ConAgra Foods, Inc.:
3.25%, 9/15/22		200		206,931
3.20%, 1/25/23		500		515,834
General Mills, Inc.:
2.20%, 10/21/19		300		307,196
3.15%, 12/15/21		150		159,865
JM Smucker Co.:
3.50%, 10/15/21		50		53,766
4.25%, 3/15/35		250		271,413
Kellogg Co.:
3.25%, 4/01/26		65		66,815
4.50%, 4/01/46		350		374,824
Kraft Heinz Foods Co.:
2.00%, 7/02/18 (b)		1,000		1,012,568
5.38%, 2/10/20		52		58,584
3.00%, 6/01/26 (b)		310		312,535
5.00%, 7/15/35 (b)		500		573,460
6.50%, 2/09/40		250		330,549
5.00%, 6/04/42		200		229,942
4.38%, 6/01/46 (b)		350		370,133
Mead Johnson Nutrition Co., 4.60%, 6/01/44		250		265,140
Mondelez International, Inc.:
2.25%, 2/01/19		250		255,451
4.00%, 2/01/24		250		273,417
Sysco Corp.:
3.75%, 10/01/25		100		106,996
3.30%, 7/15/26		130		134,871
4.85%, 10/01/45		150		167,753
4.50%, 4/01/46		250		266,682
Tyson Foods, Inc.:
2.65%, 8/15/19		500		513,672
4.50%, 6/15/22		150		167,113
4.88%, 8/15/34		70		78,093
Unilever Capital Corp.:
2.20%, 3/06/19		200		205,664
4.25%, 2/10/21		200		223,379
3.10%, 7/30/25		250		272,056

				7,860,583
Gas Utilities — 0.0%
AGL Capital Corp., 3.50%, 9/15/21		50		53,073
Atmos Energy Corp., 4.15%, 1/15/43		100		106,327
National Fuel Gas Co., 3.75%, 3/01/23		300		291,364

				450,764
Health Care Equipment & Supplies — 0.3%
Becton Dickinson & Co.:
1.80%, 12/15/17		250		252,044
2.68%, 12/15/19		500		514,266
3.30%, 3/01/23 (b)		200		210,190
6.00%, 5/15/39		250		320,174
Boston Scientific Corp.:
6.00%, 1/15/20		100		113,838

See Notes to Financial Statements.



26	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Health Care Equipment & Supplies (continued)
Boston Scientific Corp. (continued):
4.13%, 10/01/23	$	500	$	541,818
3.85%, 5/15/25		250		264,439
Medtronic, Inc.:
1.38%, 4/01/18		300		301,899
4.13%, 3/15/21		50		55,173
3.15%, 3/15/22		350		373,509
3.63%, 3/15/24		400		440,250
4.38%, 3/15/35		350		395,899
4.63%, 3/15/45		1,000		1,175,891
St. Jude Medical, Inc.:
3.25%, 4/15/23		150		154,601
3.88%, 9/15/25		45		47,933
Stryker Corp.:
1.30%, 4/01/18		200		200,048
3.38%, 11/01/25		580		608,658
3.50%, 3/15/26		500		530,440
Zimmer Holdings, Inc.:
3.15%, 4/01/22		500		512,500
4.25%, 8/15/35		295		295,726

				7,309,296
Health Care Providers & Services — 0.7%
Aetna, Inc.:
1.50%, 11/15/17		250		251,127
3.95%, 9/01/20		500		536,650
4.13%, 6/01/21		250		273,171
2.75%, 11/15/22		250		254,888
3.50%, 11/15/24		320		337,602
3.20%, 6/15/26		630		648,159
4.25%, 6/15/36		250		258,294
6.75%, 12/15/37		50		67,816
4.75%, 3/15/44		25		27,468
AmerisourceBergen Corp., 4.25%, 3/01/45		250		264,149
Anthem, Inc.:
1.88%, 1/15/18		950		955,378
2.25%, 8/15/19		225		227,005
3.13%, 5/15/22		200		206,914
3.30%, 1/15/23		100		103,293
4.63%, 5/15/42		50		52,448
5.10%, 1/15/44		150		168,614
4.65%, 8/15/44		350		372,731
4.85%, 8/15/54		150		157,980
Cardinal Health, Inc.:
3.20%, 6/15/22		50		52,835
3.50%, 11/15/24		250		266,603
4.60%, 3/15/43		50		53,278
4.90%, 9/15/45		250		278,632
Cigna Corp.:
4.00%, 2/15/22		525		565,491
3.25%, 4/15/25		300		304,708
5.38%, 2/15/42		50		59,177
Dignity Health:
2.64%, 11/01/19		100		103,082
5.27%, 11/01/64		100		119,162
Express Scripts Holding Co.:
2.25%, 6/15/19		350		355,690
4.75%, 11/15/21		300		336,498
3.50%, 6/15/24		250		258,089
4.50%, 2/25/26		250		274,661


Corporate Bonds	Par (000)		Value
Health Care Providers & Services (continued)
Humana, Inc.:
3.85%, 10/01/24	$	500	$	534,002
4.95%, 10/01/44		250		274,076
Kaiser Foundation Hospitals, 3.50%, 4/01/22		100		107,555
Laboratory Corp. of America Holdings:
3.75%, 8/23/22		100		105,294
4.00%, 11/01/23		100		107,082
3.60%, 2/01/25		75		77,846
McKesson Corp.:
2.85%, 3/15/23		150		153,003
4.88%, 3/15/44		250		285,098
New York and Presbyterian Hospital, 4.02%, 8/01/45		150		163,428
Quest Diagnostics, Inc.:
4.70%, 4/01/21		100		110,033
4.25%, 4/01/24		250		271,055
3.50%, 3/30/25		370		382,056
UnitedHealth Group, Inc.:
1.40%, 10/15/17		250		251,297
1.63%, 3/15/19		550		555,626
2.30%, 12/15/19		250		258,146
3.35%, 7/15/22		750		802,366
2.88%, 3/15/23		250		260,267
4.63%, 7/15/35		555		644,575
6.88%, 2/15/38		100		145,926
5.95%, 2/15/41		100		130,972
3.95%, 10/15/42		150		156,937
4.75%, 7/15/45		250		301,176
WellPoint, Inc., 3.50%, 8/15/24		250		258,831

				14,528,240
Hotels, Restaurants & Leisure — 0.2%
Carnival Corp., 3.95%, 10/15/20		250		269,683
Hyatt Hotels Corp., 3.38%, 7/15/23		190		192,220
Marriott International, Inc.:
3.00%, 3/01/19		100		103,199
3.25%, 9/15/22		100		103,871
McDonald’s Corp.:
1.88%, 5/29/19		100		101,186
3.50%, 7/15/20		50		53,244
3.25%, 6/10/24		400		430,493
3.38%, 5/26/25		500		528,238
3.70%, 1/30/26		250		270,111
4.70%, 12/09/35		315		355,334
3.70%, 2/15/42		100		98,221
4.88%, 12/09/45		250		292,320
Starbucks Corp., 3.85%, 10/01/23		250		280,737
Starwood Hotels & Resorts Worldwide, Inc., 4.50%, 10/01/34		250		255,044
Wyndham Worldwide Corp., 4.25%, 3/01/22		50		53,040

				3,386,941
Household Durables — 0.1%
Leggett & Platt, Inc., 3.80%, 11/15/24		200		210,708
Mohawk Industries, Inc., 3.85%, 2/01/23		125		131,721
Newell Brands, Inc.:
4.00%, 12/01/24		250		261,249
4.20%, 4/01/26		550		596,228
5.38%, 4/01/36		350		404,710
Whirlpool Corp., 5.15%, 3/01/43		200		225,105

				1,829,721

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	27


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Household Products — 0.1%
Clorox Co.:
3.05%, 9/15/22	$	50	$	52,249
3.50%, 12/15/24		250		267,681
Kimberly-Clark Corp.:
1.90%, 5/22/19		500		512,936
3.63%, 8/01/20		50		54,748
2.65%, 3/01/25		85		89,331
2.75%, 2/15/26		500		524,877
Procter & Gamble Co.:
2.30%, 2/06/22		250		259,998
3.10%, 8/15/23		500		541,968
5.55%, 3/05/37		250		346,427

				2,650,215
Independent Power and Renewable Electricity Producers — 0.1%
Exelon Generation Co. LLC:
4.25%, 6/15/22		500		533,280
5.60%, 6/15/42		50		52,279
Southern Power Co., 5.25%, 7/15/43		500		545,637

				1,131,196
Industrial Conglomerates — 0.2%
General Electric Co.:
5.25%, 12/06/17		750		794,581
2.20%, 1/09/20		500		515,352
2.70%, 10/09/22		1,000		1,049,503
4.13%, 10/09/42		250		274,982
4.50%, 3/11/44		750		865,484
Koninklijke Philips NV:
3.75%, 3/15/22		250		268,506
5.00%, 3/15/42		250		276,759

				4,045,167
Insurance — 1.0%
ACE INA Holdings, Inc.:
3.35%, 5/03/26		795		847,390
4.15%, 3/13/43		150		167,183
Aflac, Inc.:
3.63%, 6/15/23		250		267,508
3.63%, 11/15/24		250		267,756
Alleghany Corp., 4.95%, 6/27/22		550		612,472
Allstate Corp.:
3.15%, 6/15/23		250		265,853
4.50%, 6/15/43		150		174,389
American International Group, Inc.:
2.30%, 7/16/19		500		508,767
3.38%, 8/15/20		250		262,293
4.88%, 6/01/22		250		278,507
4.13%, 2/15/24		250		263,733
3.75%, 7/10/25		250		254,801
4.70%, 7/10/35		500		516,952
4.50%, 7/16/44		250		241,861
Aon PLC:
2.80%, 3/15/21		250		256,782
3.88%, 12/15/25		600		632,842
4.45%, 5/24/43		200		199,960
Arch Capital Group US, Inc., 5.14%, 11/01/43		125		135,565
Assurant, Inc., 2.50%, 3/15/18		250		253,025
Assured Guaranty US Holdings, Inc., 5.00%, 7/01/24		110		119,482


Corporate Bonds	Par (000)		Value
Insurance (continued)
AXA SA, 8.60%, 12/15/30	$	50	$	68,500
Berkshire Hathaway Finance Corp., 4.40%, 5/15/42		100		112,252
Berkshire Hathaway, Inc.:
1.55%, 2/09/18		500		505,803
2.10%, 8/14/19		500		515,164
2.20%, 3/15/21		500		515,795
2.75%, 3/15/23		500		516,616
3.13%, 3/15/26		400		419,418
4.50%, 2/11/43		100		114,272
Chubb Corp.:
6.00%, 5/11/37		50		67,874
Series 1, 6.50%, 5/15/38		100		143,323
CNA Financial Corp.:
5.75%, 8/15/21		100		115,136
4.50%, 3/01/26		350		372,542
First American Financial Corp., 4.60%, 11/15/24		200		209,430
Hartford Financial Services Group, Inc.:
6.30%, 3/15/18		250		268,150
6.63%, 3/30/40		100		129,084
6.10%, 10/01/41		100		123,411
Lincoln National Corp.:
4.85%, 6/24/21		300		331,726
4.20%, 3/15/22		600		643,540
4.00%, 9/01/23		200		207,927
3.35%, 3/09/25		65		64,556
Loews Corp., 2.63%, 5/15/23		250		252,060
Manulife Financial Corp., 4.15%, 3/04/26		500		536,303
Markel Corp., 3.63%, 3/30/23		250		258,385
Marsh & McLennan Cos., Inc.:
2.35%, 9/10/19		235		240,085
2.35%, 3/06/20		190		193,854
4.80%, 7/15/21		50		55,445
3.30%, 3/14/23		500		521,972
MetLife, Inc.:
4.75%, 2/08/21		200		223,334
3.00%, 3/01/25		650		658,104
3.60%, 11/13/25		500		524,662
4.13%, 8/13/42		300		298,658
4.88%, 11/13/43		250		276,345
4.05%, 3/01/45		250		246,277
Old Republic International Corp., 4.88%, 10/01/24		250		267,032
Principal Financial Group, Inc.:
1.85%, 11/15/17		250		251,365
3.40%, 5/15/25		250		255,984
4.63%, 9/15/42		50		52,887
Progressive Corp.:
3.75%, 8/23/21		50		55,008
4.35%, 4/25/44		100		114,289
3.70%, 1/26/45		200		205,852
Prudential Financial, Inc.:
2.35%, 8/15/19		350		356,523
5.38%, 6/21/20		350		394,581
5.10%, 8/15/43		250		275,511
5.20%, 3/15/44 (e)		100		98,050
5.38%, 5/15/45 (e)		500		504,375
8.88%, 6/15/68 (e)		100		110,000
Travelers Cos., Inc.:
3.90%, 11/01/20		250		274,338
4.60%, 8/01/43		100		119,527

See Notes to Financial Statements.



28	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Insurance (continued)
Travelers Cos., Inc. (continued):
4.30%, 8/25/45	$	250	$	284,660
Travelers Property Casualty Corp., 6.38%, 3/15/33		100		135,412
Trinity Acquisition PLC, 4.40%, 3/15/26		500		522,062
Voya Financial, Inc.:
2.90%, 2/15/18		572		582,705
3.65%, 6/15/26		350		351,649
WR Berkley Corp., 4.63%, 3/15/22		200		218,498
XLIT Ltd.:
2.30%, 12/15/18		250		252,575
5.75%, 10/01/21		100		114,370

				22,054,377
Internet & Catalog Retail — 0.1%
Amazon.com, Inc.:
1.20%, 11/29/17		250		250,886
2.60%, 12/05/19		350		365,071
4.80%, 12/05/34		600		705,725

				1,321,682
Internet Software & Services — 0.1%
Alphabet, Inc., 3.63%, 5/19/21		25		27,627
Baidu, Inc.:
3.25%, 8/06/18		205		210,254
2.75%, 6/09/19		350		354,781
eBay, Inc.:
2.20%, 8/01/19		500		507,613
3.25%, 10/15/20		50		52,268
3.80%, 3/09/22		140		148,761
2.60%, 7/15/22		50		49,510
Expedia, Inc., 4.50%, 8/15/24		250		256,827

				1,607,641
IT Services — 0.3%
Alibaba Group Holding Ltd.:
3.13%, 11/28/21		225		230,098
4.50%, 11/28/34		250		259,897
Broadridge Financial Solutions, Inc., 3.40%, 6/27/26		270		272,916
Fidelity National Information Services, Inc.:
2.00%, 4/15/18		250		251,244
3.50%, 4/15/23		25		25,957
5.00%, 10/15/25		500		567,614
Fiserv, Inc., 2.70%, 6/01/20		500		517,640
International Business Machines Corp.:
1.25%, 2/08/18		500		503,097
1.95%, 2/12/19		250		256,147
1.88%, 5/15/19		250		254,765
2.25%, 2/19/21		1,000		1,031,154
2.90%, 11/01/21		100		106,486
3.63%, 2/12/24		275		299,888
3.45%, 2/19/26		250		271,900
4.00%, 6/20/42		350		370,672
4.70%, 2/19/46		250		287,503
Total System Services, Inc., 2.38%, 6/01/18		250		251,925
Verisk Analytics, Inc., 4.00%, 6/15/25		250		262,580
Western Union Co.:
2.88%, 12/10/17		250		254,201
6.20%, 11/17/36		25		26,711


Corporate Bonds	Par (000)		Value
IT Services (continued)
Xerox Corp.:
5.63%, 12/15/19	$	100	$	107,197
2.80%, 5/15/20		500		481,440
3.80%, 5/15/24		350		316,958

				7,207,990
Leisure Products — 0.0%
Hasbro, Inc., 5.10%, 5/15/44		60		63,701
Mattel, Inc., 1.70%, 3/15/18		200		200,381

				264,082
Life Sciences Tools & Services — 0.1%
Agilent Technologies, Inc., 3.88%, 7/15/23		200		211,714
Life Technologies Corp., 6.00%, 3/01/20		100		112,853
Thermo Fisher Scientific, Inc.:
2.40%, 2/01/19		500		508,696
3.30%, 2/15/22		55		57,062
3.15%, 1/15/23		250		255,448
3.65%, 12/15/25		500		524,959

				1,670,732
Machinery — 0.1%
Caterpillar, Inc.:
3.90%, 5/27/21		50		55,019
3.40%, 5/15/24		500		537,352
5.20%, 5/27/41		100		120,454
3.80%, 8/15/42		250		254,745
Danaher Corp., 3.90%, 6/23/21		50		54,912
Deere & Co., 3.90%, 6/09/42		50		53,382
Flowserve Corp., 3.50%, 9/15/22		100		103,069
Illinois Tool Works, Inc.:
1.95%, 3/01/19		250		255,878
4.88%, 9/15/41		50		60,820
3.90%, 9/01/42		75		80,632
Ingersoll-Rand Global Holding Co. Ltd.:
6.88%, 8/15/18		50		55,521
2.88%, 1/15/19		500		517,801
Ingersoll-Rand Luxembourg Finance SA, 4.65%, 11/01/44		30		32,166
Stanley Black & Decker, Inc., 2.90%, 11/01/22		150		158,358
Trinity Industries, Inc., 4.55%, 10/01/24		250		235,994
Valmont Industries, Inc., 5.00%, 10/01/44		250		232,387

				2,808,490
Media — 1.2%
21st Century Fox America, Inc.:
4.50%, 2/15/21		100		111,650
3.00%, 9/15/22		150		156,227
4.00%, 10/01/23		500		549,728
3.70%, 9/15/24		500		539,858
3.70%, 10/15/25		830		899,053
6.20%, 12/15/34		100		125,383
6.15%, 2/15/41		150		187,317
4.75%, 9/15/44		500		553,943
CBS Corp.:
4.00%, 1/15/26		500		533,683
4.85%, 7/01/42		325		326,552
Charter Communications Operating LLC/Charter Communications Operating Capital (b):
3.58%, 7/23/20		500		522,722

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	29


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Media (continued)
Charter Communications Operating LLC/Charter Communications Operating Capital (b) (continued):
4.46%, 7/23/22	$	250	$	268,684
4.91%, 7/23/25		430		470,120
6.38%, 10/23/35		250		296,046
6.48%, 10/23/45		500		597,010
Cintas Corp. No 2, 4.30%, 6/01/21		25		27,635
Comcast Corp.:
5.15%, 3/01/20		350		395,518
2.75%, 3/01/23		750		785,443
3.60%, 3/01/24		250		274,189
3.38%, 8/15/25		500		540,267
3.15%, 3/01/26		750		798,291
4.25%, 1/15/33		650		717,187
4.20%, 8/15/34		235		258,749
4.40%, 8/15/35		250		281,999
6.45%, 3/15/37		200		275,195
4.65%, 7/15/42		150		172,127
4.60%, 8/15/45		250		287,841
Discovery Communications LLC:
4.38%, 6/15/21		50		53,688
3.25%, 4/01/23		50		49,233
4.90%, 3/11/26		330		349,956
4.95%, 5/15/42		50		43,408
4.88%, 4/01/43		150		135,322
Grupo Televisa SAB:
5.00%, 5/13/45		200		191,968
6.13%, 1/31/46		250		276,068
Interpublic Group of Cos., Inc., 4.20%, 4/15/24		250		267,892
NBCUniversal Media LLC:
4.38%, 4/01/21		600		672,341
2.88%, 1/15/23		250		263,084
6.40%, 4/30/40		200		278,874
5.95%, 4/01/41		250		336,379
Omnicom Group, Inc.:
3.63%, 5/01/22		125		132,813
3.65%, 11/01/24		70		73,798
3.60%, 4/15/26		500		526,615
Scripps Networks Interactive, Inc., 3.90%, 11/15/24		250		262,848
Thomson Reuters Corp.:
6.50%, 7/15/18		250		274,112
4.30%, 11/23/23		250		272,716
3.35%, 5/15/26		140		143,107
4.50%, 5/23/43		250		247,801
Time Warner Cable, Inc.:
8.25%, 4/01/19		300		348,360
5.00%, 2/01/20		500		543,472
4.13%, 2/15/21		100		105,864
6.55%, 5/01/37		150		174,782
6.75%, 6/15/39		50		58,745
5.88%, 11/15/40		250		272,247
5.50%, 9/01/41		250		262,596
4.50%, 9/15/42		475		442,437
Time Warner, Inc.:
4.88%, 3/15/20		250		277,701
3.60%, 7/15/25		250		264,536
7.63%, 4/15/31		250		342,908
7.70%, 5/01/32		250		349,032
6.25%, 3/29/41		150		188,769


Corporate Bonds	Par (000)		Value
Media (continued)
Time Warner, Inc. (continued):
4.90%, 6/15/42	$	350	$	375,954
5.35%, 12/15/43		250		286,405
4.65%, 6/01/44		250		262,782
Viacom, Inc.:
2.50%, 9/01/18		500		506,947
5.63%, 9/15/19		250		275,581
3.13%, 6/15/22		150		149,768
3.25%, 3/15/23		200		196,761
4.25%, 9/01/23		250		259,731
6.88%, 4/30/36		250		274,445
4.38%, 3/15/43		70		56,544
5.85%, 9/01/43		100		100,264
5.25%, 4/01/44		250		234,271
Walt Disney Co.:
1.85%, 5/30/19		500		511,559
2.15%, 9/17/20		500		517,494
2.30%, 2/12/21		500		520,223
3.75%, 6/01/21		50		55,416
2.35%, 12/01/22		300		310,154
3.15%, 9/17/25		165		182,423
3.00%, 2/13/26		200		215,159
WPP Finance 2010:
4.75%, 11/21/21		100		110,931
3.75%, 9/19/24		250		264,209

				25,102,910
Metals & Mining — 0.3%
Barrick Gold Corp.:
4.10%, 5/01/23		157		165,614
5.25%, 4/01/42		200		204,140
Barrick North America Finance LLC:
5.70%, 5/30/41		250		258,212
5.75%, 5/01/43		250		271,471
BHP Billiton Finance USA Ltd.:
2.05%, 9/30/18		175		177,292
2.88%, 2/24/22		250		259,538
3.85%, 9/30/23		250		272,041
5.00%, 9/30/43		350		406,690
Goldcorp, Inc.:
2.13%, 3/15/18		150		150,220
3.63%, 6/09/21		250		257,522
Newmont Mining Corp.:
3.50%, 3/15/22		950		986,462
4.88%, 3/15/42		50		49,440
Nucor Corp., 5.20%, 8/01/43		250		270,330
Reliance Steel & Aluminum Co., 4.50%, 4/15/23		25		25,558
Rio Tinto Finance USA Ltd.:
2.88%, 8/21/22		97		98,482
3.75%, 6/15/25		500		523,061
5.20%, 11/02/40		350		388,459
4.75%, 3/22/42		100		105,974
Southern Copper Corp.:
6.75%, 4/16/40		100		103,113
5.88%, 4/23/45		365		343,857
Vale Overseas Ltd.:
5.88%, 6/10/21		750		750,937
4.38%, 1/11/22 (f)		750		702,900
6.88%, 11/21/36		200		182,000

See Notes to Financial Statements.



30	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Metals & Mining (continued)
Vale SA, 5.63%, 9/11/42	$	250	$	203,750

				7,157,063
Multi-Utilities — 0.2%
CMS Energy Corp., 4.70%, 3/31/43		200		225,861
Consolidated Edison Co. of New York, Inc.:
6.65%, 4/01/19		100		114,159
3.30%, 12/01/24		250		269,623
4.20%, 3/15/42		400		431,444
3.95%, 3/01/43		150		157,542
4.45%, 3/15/44		250		281,650
Dominion Gas Holdings LLC:
2.80%, 11/15/20		500		516,668
3.60%, 12/15/24		250		264,289
Dominion Resources, Inc.:
1.40%, 9/15/17		250		249,661
3.63%, 12/01/24		250		262,949
7.00%, 6/15/38		250		336,251
4.90%, 8/01/41		50		54,904
ONE Gas, Inc., 4.66%, 2/01/44		250		282,124
San Diego Gas & Electric Co.:
3.60%, 9/01/23		250		276,256
4.30%, 4/01/42		100		115,219
SCANA Corp., 4.13%, 2/01/22		100		103,896
Sempra Energy:
2.40%, 3/15/20		250		255,202
4.05%, 12/01/23		250		270,466
3.55%, 6/15/24		250		262,031
3.75%, 11/15/25		250		267,048

				4,997,243
Multiline Retail — 0.1%
Dollar General Corp., 1.88%, 4/15/18		250		252,665
Kohl’s Corp.:
4.00%, 11/01/21		50		52,300
5.55%, 7/17/45		100		93,135
Nordstrom, Inc., 4.00%, 10/15/21		100		106,922
Target Corp.:
6.00%, 1/15/18		500		538,269
2.30%, 6/26/19		750		775,279
2.90%, 1/15/22		150		159,276
4.00%, 7/01/42		350		378,314

				2,356,160
Oil, Gas & Consumable Fuels — 2.7%
Alberta Energy Co. Ltd., 7.38%, 11/01/31		250		264,218
Anadarko Petroleum Corp.:
5.55%, 3/15/26		590		651,525
6.45%, 9/15/36		350		403,240
4.50%, 7/15/44		250		229,608
Apache Corp.:
3.25%, 4/15/22		645		660,741
6.00%, 1/15/37		100		114,101
4.75%, 4/15/43		250		257,017
4.25%, 1/15/44		100		96,804
Boardwalk Pipelines LP, 3.38%, 2/01/23		200		183,364
BP Capital Markets PLC:
1.38%, 5/10/18		250		250,368
2.24%, 9/26/18		300		306,313
2.24%, 5/10/19		500		513,448


Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
BP Capital Markets PLC (continued):
2.52%, 1/15/20	$	115	$	118,638
2.32%, 2/13/20		250		255,895
4.74%, 3/11/21		50		56,164
3.06%, 3/17/22		210		216,985
3.25%, 5/06/22		100		104,947
2.75%, 5/10/23		350		352,671
3.99%, 9/26/23		250		271,454
3.12%, 5/04/26		350		357,513
Buckeye Partners LP, 4.15%, 7/01/23		250		251,597
Canadian Natural Resources Ltd.:
3.45%, 11/15/21		600		599,816
3.80%, 4/15/24		250		246,706
3.90%, 2/01/25		250		247,582
6.25%, 3/15/38		50		54,353
Chevron Corp.:
1.72%, 6/24/18		500		505,841
2.19%, 11/15/19		555		570,577
2.43%, 6/24/20		550		567,539
2.41%, 3/03/22		145		147,940
3.33%, 11/17/25		500		534,380
2.95%, 5/16/26		250		258,363
CNOOC Finance 2013 Ltd., 3.00%, 5/09/23		300		297,995
CNOOC Finance 2015 Australia Pty Ltd., 2.63%, 5/05/20		500		504,609
CNOOC Finance 2015 USA LLC, 3.50%, 5/05/25		500		506,522
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24		500		529,889
Columbia Pipeline Group, Inc., 4.50%, 6/01/25		250		268,730
ConocoPhillips Co.:
1.05%, 12/15/17		1,000		993,830
2.40%, 12/15/22		500		494,238
4.95%, 3/15/26		500		566,961
4.15%, 11/15/34		395		399,038
6.50%, 2/01/39		400		516,120
5.95%, 3/15/46		250		311,060
ConocoPhillips Holding Co., 6.95%, 4/15/29		100		124,807
Devon Energy Corp.:
2.25%, 12/15/18		500		496,474
4.00%, 7/15/21		150		151,808
5.00%, 6/15/45		500		466,436
Ecopetrol SA:
7.63%, 7/23/19		100		115,000
5.88%, 9/18/23		350		360,500
5.38%, 6/26/26		250		243,125
5.88%, 5/28/45		250		217,250
Enable Midstream Partners LP, 2.40%, 5/15/19		350		328,647
Enbridge Energy Partners LP:
4.20%, 9/15/21		100		102,555
5.88%, 10/15/25		500		552,958
Enbridge, Inc., 3.50%, 6/10/24		65		62,200
Encana Corp., 3.90%, 11/15/21		250		242,438
Energy Transfer Partners LP:
9.70%, 3/15/19		44		49,816
5.20%, 2/01/22		250		263,387
3.60%, 2/01/23		150		143,736
4.90%, 2/01/24		250		255,594
4.75%, 1/15/26		500		514,202
4.90%, 3/15/35		250		220,867
5.95%, 10/01/43		150		144,952
6.13%, 12/15/45		250		259,230

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	31


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
EnLink Midstream Partners LP, 5.05%, 4/01/45	$	150	$	122,567
Enterprise Products Operating LLC:
2.55%, 10/15/19		500		513,798
3.90%, 2/15/24		125		132,295
3.75%, 2/15/25		40		41,719
3.70%, 2/15/26		210		218,538
5.95%, 2/01/41		150		176,023
4.45%, 2/15/43		325		322,256
4.85%, 3/15/44		200		212,439
5.10%, 2/15/45		250		273,604
4.90%, 5/15/46		350		377,064
EOG Resources, Inc.:
5.63%, 6/01/19		150		165,733
3.15%, 4/01/25		80		81,186
5.10%, 1/15/36		250		285,278
EQT Corp., 4.88%, 11/15/21		50		53,166
Exxon Mobil Corp.:
2.22%, 3/01/21		500		515,523
2.40%, 3/06/22		500		512,798
3.18%, 3/15/24		250		268,646
2.71%, 3/06/25		250		261,035
3.04%, 3/01/26		620		658,138
4.11%, 3/01/46		250		281,955
Hess Corp.:
8.13%, 2/15/19		200		222,882
5.60%, 2/15/41		550		554,596
Husky Energy, Inc.:
3.95%, 4/15/22		150		155,142
4.00%, 4/15/24		500		507,929
Kinder Morgan Energy Partners LP:
2.65%, 2/01/19		245		244,894
5.80%, 3/01/21		250		271,548
5.00%, 10/01/21		200		211,799
3.95%, 9/01/22		225		228,985
4.25%, 9/01/24		155		156,942
6.50%, 2/01/37		100		104,921
6.95%, 1/15/38		250		275,894
5.00%, 8/15/42		75		70,709
5.50%, 3/01/44		250		250,119
5.40%, 9/01/44		250		246,681
Kinder Morgan, Inc.:
3.05%, 12/01/19		250		252,611
4.30%, 6/01/25		410		419,807
5.30%, 12/01/34		250		244,350
5.55%, 6/01/45		250		254,020
5.05%, 2/15/46		250		237,630
Magellan Midstream Partners LP, 3.20%, 3/15/25		500		496,173
Marathon Oil Corp.:
5.90%, 3/15/18		100		103,734
2.80%, 11/01/22		400		362,770
3.85%, 6/01/25		250		229,683
Marathon Petroleum Corp.:
5.13%, 3/01/21		150		165,872
3.63%, 9/15/24		115		112,930
4.75%, 9/15/44		250		213,182
MPLX LP (b):
4.50%, 7/15/23		250		242,308
4.88%, 6/01/25		250		244,331


Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Nabors Industries, Inc.:
5.00%, 9/15/20	$	50	$	47,046
4.63%, 9/15/21		250		229,408
Nexen Energy ULC, 6.40%, 5/15/37		100		123,858
Noble Energy, Inc.:
5.63%, 5/01/21		250		260,423
4.15%, 12/15/21		150		157,721
5.25%, 11/15/43		500		508,365
Occidental Petroleum Corp.:
4.10%, 2/01/21		50		54,731
3.50%, 6/15/25		250		264,181
3.40%, 4/15/26		390		411,330
4.40%, 4/15/46		250		276,247
ONEOK Partners LP:
2.00%, 10/01/17		250		249,655
3.38%, 10/01/22		500		489,201
6.13%, 2/01/41		50		52,504
Petroleos Mexicanos:
3.50%, 7/18/18		350		352,275
3.13%, 1/23/19		250		249,375
3.50%, 7/23/20		500		499,555
4.88%, 1/24/22		400		408,956
3.50%, 1/30/23		400		376,640
4.50%, 1/23/26		1,000		962,400
6.88%, 8/04/26 (b)		250		279,500
6.50%, 6/02/41		300		303,750
6.38%, 1/23/45		750		753,750
5.63%, 1/23/46		550		501,325
Phillips 66:
4.65%, 11/15/34		355		378,428
5.88%, 5/01/42		100		120,080
4.88%, 11/15/44		250		272,891
Pioneer Natural Resources Co., 3.95%, 7/15/22		150		156,940
Plains All American Pipeline LP/PAA Finance Corp.:
3.65%, 6/01/22		500		490,339
2.85%, 1/31/23		250		230,111
5.15%, 6/01/42		50		44,430
4.70%, 6/15/44		250		213,532
Shell International Finance BV:
1.25%, 11/10/17		500		501,369
1.38%, 5/10/19		250		250,869
4.38%, 3/25/20		100		109,906
2.13%, 5/11/20		750		765,469
2.25%, 11/10/20		120		123,166
1.88%, 5/10/21		250		251,325
3.25%, 5/11/25		250		262,272
2.88%, 5/10/26		500		507,990
4.13%, 5/11/35		500		539,192
6.38%, 12/15/38		300		407,536
5.50%, 3/25/40		300		371,565
4.55%, 8/12/43		200		222,444
4.00%, 5/10/46		250		254,977
Spectra Energy Capital LLC, 3.30%, 3/15/23		150		144,159
Spectra Energy Partners LP:
4.75%, 3/15/24		250		274,761
3.50%, 3/15/25		250		255,756
Statoil ASA:
1.95%, 11/08/18		250		253,397
2.75%, 11/10/21		500		522,785

See Notes to Financial Statements.



32	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Statoil ASA (continued):
2.65%, 1/15/24	$	500	$	504,638
3.70%, 3/01/24		250		270,040
3.25%, 11/10/24		500		528,025
5.10%, 8/17/40		100		119,774
Suncor Energy, Inc.:
6.10%, 6/01/18		200		216,271
3.60%, 12/01/24		165		173,527
6.50%, 6/15/38		500		644,320
Sunoco Logistics Partners Operations LP:
4.95%, 1/15/43		250		231,165
5.30%, 4/01/44		100		98,389
TC PipeLines LP, 4.38%, 3/13/25		250		246,129
Total Capital Canada Ltd., 2.75%, 7/15/23		150		154,167
Total Capital International SA:
2.13%, 1/10/19		350		357,347
2.75%, 6/19/21		250		259,880
2.70%, 1/25/23		500		514,251
Total Capital SA, 2.13%, 8/10/18		500		510,083
TransCanada PipeLines Ltd.:
1.88%, 1/12/18		500		502,398
4.88%, 1/15/26		600		685,198
4.63%, 3/01/34		250		262,853
6.20%, 10/15/37		200		244,852
7.63%, 1/15/39		250		351,745
5.00%, 10/16/43		150		167,934
Transcontinental Gas Pipe Line Co. LLC:
7.85%, 2/01/26 (b)		250		311,126
4.45%, 8/01/42		250		227,324
Valero Energy Corp.:
6.13%, 2/01/20		150		169,292
6.63%, 6/15/37		300		329,152
Western Gas Partners LP, 4.00%, 7/01/22		250		243,593
Williams Partners LP:
5.25%, 3/15/20		500		514,433
4.00%, 11/15/21		250		243,844
4.30%, 3/04/24		250		235,187
3.90%, 1/15/25		250		227,237
4.00%, 9/15/25		250		229,306
6.30%, 4/15/40		250		237,142

				58,659,392
Paper & Forest Products — 0.1%
Celulosa Arauco y Constitucion SA, 4.75%, 1/11/22		50		53,258
Georgia-Pacific LLC, 8.88%, 5/15/31		25		40,045
International Paper Co.:
3.65%, 6/15/24		500		528,727
5.00%, 9/15/35		250		270,784
4.80%, 6/15/44		250		254,164
Westvaco Corp., 8.20%, 1/15/30		100		134,241

				1,281,219
Personal Products — 0.0%
Colgate-Palmolive Co.:
1.75%, 3/15/19		250		255,789
3.25%, 3/15/24		250		277,471

				533,260


Corporate Bonds	Par (000)		Value
Pharmaceuticals — 1.1%
Abbott Laboratories:
2.00%, 3/15/20	$	500	$	506,987
2.55%, 3/15/22		1,000		1,022,810
AbbVie, Inc.:
1.75%, 11/06/17		300		301,772
2.00%, 11/06/18		150		151,531
2.50%, 5/14/20		500		499,899
2.30%, 5/14/21		750		759,115
3.20%, 5/14/26		185		187,401
4.50%, 5/14/35		450		470,323
4.30%, 5/14/36		200		203,989
4.40%, 11/06/42		400		407,587
4.70%, 5/14/45		250		264,388
4.45%, 5/14/46		250		253,510
Actavis Funding SCS:
2.35%, 3/12/18		750		760,222
3.00%, 3/12/20		500		515,664
3.45%, 3/15/22		155		160,977
4.55%, 3/15/35		380		390,534
4.85%, 6/15/44		250		263,283
4.75%, 3/15/45		500		525,036
Actavis, Inc., 3.25%, 10/01/22		150		153,253
Allergan, Inc., 1.35%, 3/15/18		250		248,416
AstraZeneca PLC:
5.90%, 9/15/17		100		105,665
1.95%, 9/18/19		500		508,298
2.38%, 11/16/20		1,000		1,026,019
3.38%, 11/16/25		700		733,841
6.45%, 9/15/37		100		136,492
4.38%, 11/16/45		150		163,596
Baxalta, Inc.:
2.88%, 6/23/20		500		508,140
4.00%, 6/23/25		100		104,349
5.25%, 6/23/45		350		379,619
Bristol-Myers Squibb Co.:
1.75%, 3/01/19		250		254,730
2.00%, 8/01/22		250		253,797
4.50%, 3/01/44		250		308,742
Eli Lilly & Co.:
1.95%, 3/15/19		250		255,865
2.75%, 6/01/25		45		47,658
3.70%, 3/01/45		250		266,268
GlaxoSmithKline Capital PLC, 2.85%, 5/08/22		150		157,839
GlaxoSmithKline Capital, Inc.:
5.65%, 5/15/18		100		108,518
2.80%, 3/18/23		500		524,680
6.38%, 5/15/38		300		429,271
Johnson & Johnson:
2.45%, 12/05/21		450		475,873
2.45%, 3/01/26		120		124,183
4.38%, 12/05/33		250		301,176
3.55%, 3/01/36		750		828,601
4.50%, 9/01/40		100		123,429
Merck & Co., Inc.:
3.88%, 1/15/21		250		274,157
2.75%, 2/10/25		570		596,003
4.15%, 5/18/43		250		280,049
3.70%, 2/10/45		400		423,866
Merck Sharp & Dohme Corp., 5.00%, 6/30/19		500		555,473

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	33


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Pharmaceuticals (continued)
Mylan NV, 3.95%, 6/15/26 (b)	$	750	$	758,991
Mylan, Inc., 4.20%, 11/29/23		250		264,037
Novartis Capital Corp.:
4.40%, 4/24/20		100		111,406
3.40%, 5/06/24		650		710,503
3.00%, 11/20/25		350		371,771
4.40%, 5/06/44		250		301,309
Perrigo Co. PLC, 2.30%, 11/08/18		250		252,152
Perrigo Finance PLC:
3.90%, 12/15/24		250		253,463
4.38%, 3/15/26		250		260,376
Pfizer, Inc.:
1.50%, 6/15/18		500		504,991
5.80%, 8/12/23		500		614,428
2.75%, 6/03/26		115		118,589
7.20%, 3/15/39		250		380,381
4.30%, 6/15/43		500		561,945
4.40%, 5/15/44		250		284,965
Sanofi, 1.25%, 4/10/18		250		251,543
Teva Pharmaceutical Finance Co. BV:
3.65%, 11/10/21		113		119,749
2.95%, 12/18/22		309		314,289
Zoetis, Inc., 4.70%, 2/01/43		150		148,629

				24,886,411
Real Estate — 0.2%
AvalonBay Communities, Inc.:
2.95%, 9/15/22		100		102,916
3.45%, 6/01/25		100		104,797
Boston Properties LP:
3.70%, 11/15/18		200		209,389
3.13%, 9/01/23		250		256,978
3.65%, 2/01/26		190		202,486
Brandywine Operating Partnership LP, 3.95%, 2/15/23		250		252,616
Duke Realty LP, 3.63%, 4/15/23		250		260,835
Host Hotels & Resorts LP:
5.25%, 3/15/22		250		274,846
Series E, 4.00%, 6/15/25		190		193,198
Liberty Property LP, 4.40%, 2/15/24		250		269,342
National Retail Properties, Inc., 3.30%, 4/15/23		500		507,413
Prologis LP, 3.75%, 11/01/25		45		47,963
Simon Property Group LP:
2.15%, 9/15/17		250		252,615
4.13%, 12/01/21		100		110,863
3.38%, 3/15/22		100		107,041
3.38%, 10/01/24		500		536,315
4.25%, 10/01/44		250		269,765
Ventas Realty LP/Ventas Capital Corp.:
2.70%, 4/01/20		250		255,142
4.25%, 3/01/22		100		107,937

				4,322,457
Real Estate Investment Trusts (REITs) — 0.4%
Alexandria Real Estate Equities, Inc., 4.30%, 1/15/26		250		265,178
American Tower Corp.:
3.40%, 2/15/19		250		260,333
2.80%, 6/01/20		250		255,832
5.05%, 9/01/20		25		27,798


Corporate Bonds	Par (000)		Value
Real Estate Investment Trusts (REITs) (continued)
American Tower Corp. (continued):
5.90%, 11/01/21	$	500	$	581,788
4.70%, 3/15/22		100		110,353
3.50%, 1/31/23		150		155,213
4.40%, 2/15/26		30		32,571
DDR Corp.:
4.63%, 7/15/22		100		108,135
4.25%, 2/01/26		250		262,094
Digital Realty Trust LP, 4.75%, 10/01/25		500		536,997
ERP Operating LP:
4.75%, 7/15/20		100		110,873
4.50%, 7/01/44		150		166,471
Essex Portfolio LP, 3.88%, 5/01/24		100		106,364
HCP, Inc.:
2.63%, 2/01/20		250		252,004
5.38%, 2/01/21		250		277,918
3.15%, 8/01/22		100		99,109
4.00%, 12/01/22		250		259,551
4.00%, 6/01/25		500		503,859
Healthcare Realty Trust, Inc., 3.75%, 4/15/23		150		150,505
Hospitality Properties Trust, 5.00%, 8/15/22		200		214,938
Kilroy Realty LP, 6.63%, 6/01/20		250		288,082
Kimco Realty Corp., 3.20%, 5/01/21		250		259,691
Mid-America Apartments LP, 4.30%, 10/15/23		200		215,103
Omega Healthcare Investors, Inc.:
5.88%, 3/15/24		250		261,877
4.50%, 4/01/27		250		249,004
Realty Income Corp., 4.65%, 8/01/23		250		275,576
Simon Property Group LP, 4.75%, 3/15/42		100		115,171
Ventas Realty LP, 4.13%, 1/15/26		250		268,659
Welltower, Inc.:
4.13%, 4/01/19		200		211,604
5.25%, 1/15/22		50		56,168
4.00%, 6/01/25		250		262,752
4.25%, 4/01/26		350		376,260
Weyerhaeuser Co., 7.38%, 3/15/32		350		463,050

				8,040,881
Real Estate Management & Development — 0.0%
CBRE Services, Inc., 4.88%, 3/01/26		250		255,595
Road & Rail — 0.4%
Burlington Northern Santa Fe LLC:
4.70%, 10/01/19		750		829,297
3.75%, 4/01/24		50		55,246
3.65%, 9/01/25		750		833,238
5.40%, 6/01/41		50		61,995
4.40%, 3/15/42		150		166,569
4.38%, 9/01/42		250		277,954
4.45%, 3/15/43		200		223,694
5.15%, 9/01/43		250		305,118
4.55%, 9/01/44		250		287,542
Canadian National Railway Co.:
2.95%, 11/21/24		305		323,539
2.75%, 3/01/26		60		62,666
3.50%, 11/15/42		100		99,200
Canadian Pacific Railway Co.:
4.45%, 3/15/23		500		551,687
2.90%, 2/01/25		250		253,868
5.75%, 1/15/42		25		30,554
4.80%, 8/01/45		110		126,820

See Notes to Financial Statements.



34	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Road & Rail (continued)
CSX Corp.:
3.70%, 10/30/20	$	100	$	107,411
3.35%, 11/01/25		250		265,686
4.75%, 5/30/42		100		115,757
3.95%, 5/01/50		200		200,193
4.50%, 8/01/54		250		267,730
Kansas City Southern, 3.13%, 6/01/26		250		255,506
Norfolk Southern Corp.:
3.00%, 4/01/22		750		782,897
3.85%, 1/15/24		250		273,902
3.95%, 10/01/42		100		103,175
4.80%, 8/15/43		350		408,338
4.45%, 6/15/45		250		275,497
Union Pacific Corp.:
4.16%, 7/15/22		100		112,539
3.25%, 8/15/25		250		272,648
4.30%, 6/15/42		50		55,295
4.75%, 12/15/43		250		294,811
4.05%, 11/15/45		250		270,745
4.05%, 3/01/46		140		153,808

				8,704,925
Semiconductors & Semiconductor Equipment — 0.2%
Altera Corp., 4.10%, 11/15/23		250		284,199
Applied Materials, Inc.:
3.90%, 10/01/25		160		177,404
5.85%, 6/15/41		50		61,112
Intel Corp.:
1.35%, 12/15/17		300		301,778
1.70%, 5/19/21		1,000		1,009,349
4.80%, 10/01/41		300		340,723
4.90%, 7/29/45		500		582,435
KLA-Tencor Corp., 4.65%, 11/01/24		305		332,717
Lam Research Corp., 3.80%, 3/15/25		230		237,769
Maxim Integrated Products, Inc., 3.38%, 3/15/23		100		103,487
QUALCOMM, Inc.:
3.45%, 5/20/25		250		265,680
4.65%, 5/20/35		250		271,513
4.80%, 5/20/45		250		262,242
Seagate HDD Cayman:
3.75%, 11/15/18		125		125,079
4.75%, 6/01/23		500		422,620
Texas Instruments, Inc., 1.75%, 5/01/20		250		253,802
Xilinx, Inc., 3.00%, 3/15/21		75		78,423

				5,110,332
Software — 0.4%
Autodesk, Inc., 1.95%, 12/15/17		75		75,180
CA, Inc., 4.50%, 8/15/23		170		185,802
HP Enterprise Co., 4.40%, 10/15/22 (b)		500		535,083
Microsoft Corp.:
1.63%, 12/06/18		250		254,356
1.85%, 2/12/20		500		511,019
3.00%, 10/01/20		50		53,417
2.00%, 11/03/20		500		512,761
2.65%, 11/03/22		500		522,571
3.13%, 11/03/25		250		267,757
3.50%, 2/12/35		165		170,720
5.30%, 2/08/41		100		125,183
3.75%, 5/01/43		150		151,762


Corporate Bonds	Par (000)		Value
Software (continued)
Microsoft Corp. (continued):
4.45%, 11/03/45	$	500	$	563,825
4.00%, 2/12/55		500		504,218
4.75%, 11/03/55		250		282,860
Oracle Corp.:
1.20%, 10/15/17		750		752,656
5.75%, 4/15/18		150		162,382
2.25%, 10/08/19		500		515,459
3.88%, 7/15/20		100		109,485
2.95%, 5/15/25		500		519,645
2.65%, 7/15/26 (d)		245		244,079
3.25%, 5/15/30		250		258,458
4.30%, 7/08/34		250		265,881
3.90%, 5/15/35		500		510,205
5.38%, 7/15/40		150		181,368
4.50%, 7/08/44		250		281,305
4.13%, 5/15/45		250		257,698
4.38%, 5/15/55		250		262,598

				9,037,733
Specialty Retail — 0.3%
Advance Auto Parts, Inc., 4.50%, 12/01/23		250		268,523
AutoZone, Inc.:
3.70%, 4/15/22		50		53,352
3.13%, 7/15/23		250		259,208
3.25%, 4/15/25		165		171,047
Bed Bath & Beyond, Inc., 5.17%, 8/01/44		250		220,272
Home Depot, Inc.:
2.00%, 6/15/19		350		359,821
2.00%, 4/01/21		500		513,537
4.40%, 4/01/21		150		169,119
2.63%, 6/01/22		750		784,904
3.35%, 9/15/25		500		544,900
3.00%, 4/01/26		500		531,386
5.88%, 12/16/36		100		136,580
4.20%, 4/01/43		250		280,580
4.40%, 3/15/45		250		289,696
Lowe’s Cos., Inc.:
4.63%, 4/15/20		100		110,248
3.12%, 4/15/22		100		106,900
2.50%, 4/15/26		955		972,671
5.00%, 9/15/43		150		184,511
4.25%, 9/15/44		250		278,119
Macy’s Retail Holdings, Inc.:
3.88%, 1/15/22		300		308,430
4.38%, 9/01/23		200		207,756
3.63%, 6/01/24		250		246,358
5.13%, 1/15/42		250		222,325
QVC, Inc., 5.45%, 8/15/34		200		185,186
Staples, Inc., 2.75%, 1/12/18		150		150,658

				7,556,087
Technology Hardware, Storage & Peripherals — 0.5%
Adobe Systems, Inc., 3.25%, 2/01/25		70		73,715
Apple, Inc.:
1.30%, 2/23/18		1,000		1,006,795
1.00%, 5/03/18		500		501,231
2.00%, 5/06/20		500		513,284
2.25%, 2/23/21		500		514,439
2.85%, 2/23/23		250		262,704

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	35


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Corporate Bonds	Par (000)		Value
Technology Hardware, Storage & Peripherals (continued)
Apple, Inc. (continued):
2.50%, 2/09/25	$	140	$	142,200
3.20%, 5/13/25		750		795,166
3.25%, 2/23/26		660		700,640
4.50%, 2/23/36		250		281,375
3.85%, 5/04/43		250		251,005
4.45%, 5/06/44		250		273,112
3.45%, 2/09/45		350		328,878
4.65%, 2/23/46		480		542,197
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (b):
4.42%, 6/15/21		500		514,635
5.45%, 6/15/23		500		518,786
6.02%, 6/15/26		490		510,819
8.35%, 7/15/46		350		376,288
EMC Corp.:
1.88%, 6/01/18		250		245,018
2.65%, 6/01/20		250		238,636
Hewlett Packard Enterprise Co., 4.90%, 10/15/25 (b)		750		783,616
Hewlett-Packard Co.:
4.65%, 12/09/21		600		648,821
6.00%, 9/15/41		150		143,718
HP, Inc., 4.38%, 9/15/21		250		269,287
NetApp, Inc.:
2.00%, 12/15/17		350		351,587
3.38%, 6/15/21		105		106,700

				10,894,652
Textiles, Apparel & Luxury Goods — 0.0%
VF Corp., 3.50%, 9/01/21		100		107,659
Tobacco — 0.3%
Altria Group, Inc.:
9.25%, 8/06/19		45		55,477
2.63%, 1/14/20		250		259,886
2.85%, 8/09/22		750		785,571
10.20%, 2/06/39		33		61,155
4.50%, 5/02/43		400		451,502
5.38%, 1/31/44		70		89,747
Philip Morris International, Inc.:
1.13%, 8/21/17		250		250,504
1.88%, 1/15/19		250		255,004
4.13%, 5/17/21		50		55,711
2.63%, 3/06/23		250		258,900
2.13%, 5/10/23		500		501,862
3.38%, 8/11/25		750		811,084
2.75%, 2/25/26		165		170,158
4.50%, 3/20/42		50		56,277
3.88%, 8/21/42		100		102,459
4.13%, 3/04/43		200		214,521
4.25%, 11/10/44		115		126,312
Reynolds American, Inc.:
6.88%, 5/01/20		250		294,978
3.25%, 6/12/20		135		142,706
5.70%, 8/15/35		325		395,793
6.15%, 9/15/43		150		195,929
5.85%, 8/15/45		250		319,433

				5,854,969
Trading Companies & Distributors — 0.0%
GATX Corp., 2.38%, 7/30/18		150		151,635


Corporate Bonds	Par (000)		Value
Transportation Infrastructure — 0.0%
Ryder System, Inc., 2.35%, 2/26/19	$	500	$	505,301
Utilities — 0.0%
Emera US Finance LP (b):
3.55%, 6/15/26		75		76,743
4.75%, 6/15/46		350		355,223

				431,966
Water Utilities — 0.0%
American Water Capital Corp.:
3.40%, 3/01/25		250		271,071
4.30%, 9/01/45		250		284,704
United Utilities PLC, 5.38%, 2/01/19		50		53,626

				609,401
Wireless Telecommunication Services — 0.2%
America Movil SAB de CV:
5.00%, 3/30/20		200		221,605
3.13%, 7/16/22		500		513,009
6.13%, 3/30/40		250		306,526
4.38%, 7/16/42		350		353,711
Crown Castle International Corp.:
3.40%, 2/15/21		750		782,951
3.70%, 6/15/26		280		288,873
Rogers Communications, Inc.:
3.00%, 3/15/23		150		156,516
3.63%, 12/15/25		65		69,444
5.00%, 3/15/44		250		283,981
Vodafone Group PLC:
1.50%, 2/19/18		500		499,737
7.88%, 2/15/30		100		128,807
4.38%, 2/19/43		450		424,276

				4,029,436
Total Corporate Bonds — 25.9%				566,817,777



Foreign Agency Obligations
African Development Bank, Series GDIF, 0.75%, 11/03/17		500		499,987
Asian Development Bank:
0.75%, 7/28/17		750		750,354
0.88%, 4/26/18		500		500,966
1.50%, 9/28/18		1,000		1,015,004
Canada Government International Bond, 1.63%, 2/27/19		500		510,855
Chile Government International Bond, 3.63%, 10/30/42		350		355,250
Colombia Government International Bond:
4.38%, 7/12/21		250		268,375
2.63%, 3/15/23		250		241,625
4.00%, 2/26/24		750		783,375
4.50%, 1/28/26		750		798,750
7.38%, 9/18/37		100		129,875
5.63%, 2/26/44		200		221,500
5.00%, 6/15/45		250		259,375
Corporacion Andina de Fomento, 1.50%, 8/08/17		143		143,522
Council of Europe Development Bank:
1.00%, 3/07/18		250		250,694
1.63%, 3/10/20		250		254,515

See Notes to Financial Statements.



36	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Foreign Agency Obligations	Par (000)		Value
European Investment Bank:
1.00%, 8/17/17	$	1,500	$	1,504,482
1.00%, 3/15/18		250		250,784
1.25%, 5/15/18		500		503,699
1.00%, 6/15/18		250		250,606
1.13%, 8/15/18		1,000		1,004,665
1.88%, 3/15/19		500		512,059
1.25%, 5/15/19		1,000		1,006,632
1.75%, 6/17/19		500		510,605
1.38%, 6/15/20		1,000		1,008,339
1.63%, 12/15/20		1,000		1,014,252
2.00%, 3/15/21		500		516,662
1.63%, 6/15/21		2,000		2,033,006
Export Development Canada:
1.75%, 8/19/19		500		513,067
1.75%, 7/21/20		500		513,354
Export-Import Bank of Korea:
1.75%, 2/27/18		500		502,105
3.25%, 11/10/25		500		535,464
FMS Wertmanagement AoeR, 1.63%, 11/20/18		500		508,547
Inter-American Development Bank:
1.25%, 1/16/18		1,000		1,008,102
0.88%, 3/15/18		1,000		1,002,834
1.75%, 10/15/19		500		511,056
1.88%, 3/15/21		500		513,759
1.75%, 4/14/22		750		763,626
Series GDP, 1.25%, 10/15/19		500		502,873
International Bank for Reconstruction & Development:
0.88%, 7/19/18		1,000		1,002,603
1.00%, 10/05/18		1,500		1,506,627
1.00%, 11/15/17		1,000		1,004,163
1.38%, 4/10/18		1,000		1,009,984
1.00%, 6/15/18		1,500		1,506,790
1.25%, 7/26/19		1,000		1,011,850
1.38%, 5/24/21		500		503,125
International Finance Corp., 1.75%, 9/16/19		1,500		1,536,006
Israel Government International Bond, 4.50%, 1/30/43		200		223,968
Italian Government International Bond:
6.88%, 9/27/23		100		125,400
5.38%, 6/15/33		250		296,756
Japan Bank for International Cooperation:
2.13%, 2/07/19		200		204,747
1.88%, 4/20/21		2,000		2,030,642
KFW:
1.50%, 4/20/20		500		507,661
2.75%, 10/01/20		500		532,616
Korea International Bond, 4.13%, 6/10/44		250		330,853
Mexico Government International Bond:
8.13%, 12/30/19		100		122,875
5.13%, 1/15/20		100		111,000
3.63%, 3/15/22		500		527,000
4.00%, 10/02/23		250		269,138
3.60%, 1/30/25		500		522,500
4.13%, 1/21/26		1,500		1,626,000
6.75%, 9/27/34		150		202,875
6.05%, 1/11/40		300		377,250
4.75%, 3/08/44		450		484,875
5.55%, 1/21/45		775		928,062


Foreign Agency Obligations	Par (000)		Value
Nordic Investment Bank, 1.13%, 3/19/18	$	500	$	503,022
Panama Government International Bond:
5.20%, 1/30/20		350		387,625
3.75%, 3/16/25		500		527,500
3.88%, 3/17/28		250		264,375
6.70%, 1/26/36		350		464,625
Peruvian Government International Bond:
7.35%, 7/21/25		400		544,000
8.75%, 11/21/33		191		299,631
5.63%, 11/18/50		300		372,000
Philippine Government International Bond:
4.00%, 1/15/21		500		546,976
4.20%, 1/21/24		500		571,960
7.75%, 1/14/31		500		776,011
6.38%, 10/23/34		250		363,561
3.95%, 1/20/40		250		287,937
3.70%, 3/01/41		350		390,033
Poland Government International Bond:
6.38%, 7/15/19		250		283,250
5.00%, 3/23/22		300		337,410
3.00%, 3/17/23		200		203,420
4.00%, 1/22/24		250		270,000
3.25%, 4/06/26		250		254,859
Province of Manitoba Canada:
1.13%, 6/01/18		500		502,783
2.05%, 11/30/20		500		513,712
Province of Ontario Canada:
1.20%, 2/14/18		750		753,985
2.00%, 9/27/18		500		510,872
2.00%, 1/30/19		500		511,635
4.40%, 4/14/20		200		222,691
1.88%, 5/21/20		500		510,602
Province of Quebec Canada:
3.50%, 7/29/20		500		542,317
2.75%, 8/25/21		500		529,489
2.63%, 2/13/23		250		262,330
South Africa Government International Bond:
4.67%, 1/17/24		200		206,568
5.88%, 9/16/25		500		556,750
5.38%, 7/24/44		200		209,288
Svensk Exportkredit AB, 1.88%, 6/17/19		500		511,701
Turkey Government International Bond:
7.50%, 11/07/19		500		571,045
5.63%, 3/30/21		500		545,000
3.25%, 3/23/23		750		726,562
5.75%, 3/22/24		700		780,577
4.25%, 4/14/26		500		507,575
4.88%, 10/09/26		1,000		1,053,040
6.88%, 3/17/36		250		304,770
6.00%, 1/14/41		500		559,243
4.88%, 4/16/43		250		244,063
6.63%, 2/17/45		250		303,605
Uruguay Government International Bond:
8.00%, 11/18/22		150		189,750
4.50%, 8/14/24		250		272,188
4.38%, 10/27/27		500		527,500
5.10%, 6/18/50		250		248,750
Total Foreign Agency Obligations — 2.9%				63,306,552

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	37


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Municipal Bonds	Par (000)		Value
American Municipal Power, Inc., RB, Build America Bonds, Combined Hydroelectric Projects, Series B, 7.83%, 2/15/41	$	150	$	228,960
Bay Area Toll Authority, RB, Build America Bonds, San Francisco Toll Bridge:
Series S-1, 6.92%, 4/01/40		100		146,294
Series S-1, 7.04%, 4/01/50		100		157,138
Series S-3, 6.91%, 10/01/50		200		314,648
Chicago Transit Authority, RB, Pension Funding, Series A, 6.90%, 12/01/40		100		130,263
City & County of Denver Colorado School District No. 1, COP, Refunding, Series B, 4.24%, 12/15/37		50		55,515
City & County of San Francisco California Public Utilities Commission Water Revenue, RB, Build America Bonds, Sub-Series G, 6.95%, 11/01/50		100		151,886
City of Los Angeles California Department of Water & Power, RB, Build America Bonds:
5.72%, 7/01/39		100		132,320
6.60%, 7/01/50		90		139,849
City of New York New York, GO, 5.97%, 3/01/36		100		136,221
City of New York New York Transitional Finance Authority, RB, Build America Bonds, Future Tax Secured, Sub-Series B-1, 5.57%, 11/01/38		100		130,965
City Public Service Board of San Antonio Texas, RB, 4.43%, 2/01/42		170		203,864
Commonwealth of Massachusetts, GO, Build America Bonds, 5.46%, 12/01/39		100		135,735
Commonwealth of Pennsylvania, GO, Build America Bonds, 4.65%, 2/15/26		100		111,374
County of Los Angeles California Metropolitan Transportation Authority, RB, Build America Bonds, 5.74%, 6/01/39		100		132,277
County of San Diego California Water Authority, RB, Build America Bonds, Series B, 6.14%, 5/01/49		100		144,328
County of Sonoma California, Refunding RB, Pension Obligation, Series A, 6.00%, 12/01/29		100		124,023
Dallas Area Rapid Transit, RB, Build America Bonds, Senior Lien, Series B, 5.02%, 12/01/48		160		211,384
District of Columbia, RB, Series E, 5.59%, 12/01/34		200		262,094
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40		100		137,799
Florida Hurricane Catastrophe Fund Finance Corp., RB, Series A, 3.00%, 7/01/20		100		104,557
Illinois State Toll Highway Authority, RB, Build America Bonds, 5.85%, 12/01/34		100		133,673
JobsOhio Beverage System, Refunding RB, Series B, 4.53%, 1/01/35		100		116,950
Los Angeles California Community College District, GO, 6.75%, 8/01/49		100		159,231
Los Angeles California Unified School District, GO, 6.76%, 7/01/34		150		216,210
Massachusetts Institute of Technology, 4.68%, 7/01/14		300		357,454
Massachusetts School Building Authority, RB, 5.72%, 8/15/39		100		131,637
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, 4.05%, 7/01/26		100		108,712


Municipal Bonds	Par (000)		Value
Metropolitan Transportation Authority, RB, Build America Bonds, Series C-1, 6.69%, 11/15/40	$	305	$	439,682
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, ARB, Build America Bonds, 7.46%, 10/01/46		100		154,636
Metropolitan Water Reclamation District of Greater Chicago, GO, Build America Bonds, 5.72%, 12/01/38		150		186,334
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, Series A, 6.64%, 4/01/57		125		164,603
New Jersey EDA, RB, Series A (NPFGC), 7.43%, 2/15/29		200		247,306
New Jersey State Turnpike Authority, RB, Build America Bonds:
Series A, 7.10%, 1/01/41		100		152,065
Series F, 7.41%, 1/01/40		400		626,136
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, Future Tax Secured, Build America Bonds, 5.77%, 8/01/36		100		131,040
New York City Water & Sewer System, RB, Build America Bonds, 2nd General Resolution, Fiscal 2020, Series DD, 5.95%, 6/15/42		115		164,428
New York City Water & Sewer System, Refunding RB, 5.44%, 6/15/43		200		271,536
New York State Dormitory Authority, RB, Build America Bonds, Series H, 5.43%, 3/15/39		135		176,480
New York State Urban Development Corp., RB, 5.77%, 3/15/39		200		256,428
North Texas Tollway Authority, RB, Build America Bonds, Series B, 6.72%, 1/01/49		100		153,190
Ohio State University, RB:
Build America Bonds, Series C, 4.91%, 6/01/40		100		126,678
Series A, 4.05%, 12/01/56		150		166,764
Ohio State Water Development Authority, RB, Build America Bonds, Series B-2, 4.88%, 12/01/34		100		120,640
Port Authority of New York & New Jersey, ARB, Consolidated, Series 192, 4.81%, 10/15/65		100		120,955
Port Authority of New York & New Jersey, RB:
158th Series, 5.86%, 12/01/24		100		127,912
159th Series, 6.04%, 12/01/29		200		261,824
182nd Series, 5.31%, 8/01/46		100		109,687
Port Authority of New York & New Jersey, Refunding RB, 174th Series, 4.46%, 10/01/62		100		114,407
Regents of the University of California Medical Center Pooled Revenue, Refunding RB, Series F, 6.58%, 5/15/49		100		144,416
Salt River Project Agricultural Improvement & Power District, RB, Build America Bonds, Series A, 4.84%, 1/01/41		75		96,441
Santa Clara Valley Transportation Authority, RB, Build America Bonds, Series A, 5.88%, 4/01/32		100		129,218
State Board of Administration Finance Corp. RB, RB, Series A:
2.16%, 7/01/19		150		153,980
2.64%, 7/01/21		200		208,476
State of California, GO, Build America Bonds:
5.70%, 11/01/21		200		238,944
Various Purpose, 7.50%, 4/01/34		145		219,942

See Notes to Financial Statements.



38	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


Municipal Bonds	Par (000)		Value
State of California, GO, Build America Bonds (continued):
Various Purpose, 7.35%, 11/01/39	$	200	$	304,136
Various Purposes, 7.55%, 4/01/39		675		1,068,052
Various Purposes, 7.60%, 11/01/40		200		323,520
State of Connecticut, GO:
Build America Bonds, Series D, 5.09%, 10/01/30		150		179,011
Series A, 5.85%, 3/15/32		100		128,975
State of Illinois, GO:
5.67%, 3/01/18		200		211,088
5.88%, 3/01/19		500		541,030
Pension, 5.10%, 6/01/33		900		863,955
State of Oregon, GO, Pension, 5.76%, 6/01/23		100		117,434
State of Texas, GO, Build America Bonds, Series A, 5.52%, 4/01/39		100		139,278
State of Washington, GO, Build America Bonds, Series D, 5.48%, 8/01/39		175		236,017
State of Wisconsin, RB, Series A, 5.70%, 5/01/26		100		122,835
Texas Transportation Commission, RB, 1st Tier, Build America Bonds, Series B, 5.18%, 4/01/30		200		256,974
University of California, RB:
General, Taxable, Series AD, 4.86%, 5/15/12		300		334,455
Regents of the University of California Medical Center Pooled Revenue, Build America Bonds, Series H, 6.55%, 5/15/48		50		72,169
University of California, Refunding RB, General, Taxable, Series AJ, 4.60%, 5/15/31		150		176,025
University of North Carolina at Chapel Hill, Refunding RB, 3.85%, 12/01/34		400		453,216
University of Virginia, RB, Build America Bonds, 6.20%, 9/01/39		140		208,342
Virginia Commonwealth Transportation Board, RB, Build America Bonds, Series A-2, 5.35%, 5/15/35		75		93,411
Total Municipal Bonds — 0.7%				15,809,432



Non-Agency Mortgage-Backed Securities
Commercial Mortgage-Backed Securities — 1.1%
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T28, Class A4, 5.74%, 9/11/42 (e)		936		974,155
Citigroup Commercial Mortgage Trust:
Series 2013-GC17, Class A4, 4.13%, 11/10/46		750		845,511
Series 2014-GC25, Class A4, 3.64%, 10/10/47		500		543,083
Series 2014-GC25, Class AS, 4.02%, 10/10/47		1,500		1,638,079
Commercial Mortgage Trust:
Series 2013-CR09, Class A4, 4.38%, 7/10/45 (e)		2,700		3,057,798
Series 2013-CR12, Class A4, 4.05%, 10/10/46		300		334,920
Series 2013-CR8, Class A5, 3.61%, 6/10/46 (e)		1,900		2,066,923
Series 2014-UBS2, Class A5, 3.96%, 3/10/47		500		550,818
Series 2015-PC1, Class A5, 3.90%, 7/10/50		1,500		1,648,246
Series 2016-CR28, Class A4, 3.76%, 2/10/49		750		821,168


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
CSAIL Commercial Mortgage Securities Trust, 3.72%, 8/15/48	$	1,000	$	1,092,712
Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.74%, 12/10/49		278		288,629
GS Mortgage Securities Corp. II:
Series 2012-GCJ9, Class A3, 2.77%, 11/10/45		250		261,292
Series 2015-GC30, Class A4, 3.38%, 5/10/50		600		642,117
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C18, Class A5, 4.08%, 2/15/47		250		279,683
Series 2014-C22, Class A4, 3.80%, 9/15/47		300		329,115
Series 2015-C29, Class A2, 2.92%, 5/15/48		1,000		1,047,690
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2011-C5, Class A3, 4.17%, 8/15/46		650		709,833
Series 2012-LC9, Class A3, 2.48%, 12/15/47		300		307,766
Series 2013-C16, Class A2, 3.07%, 12/15/46		634		655,147
Series 2014-C19, Class A2, 3.05%, 4/15/47		300		313,018
Series 2014-C20, Class A5, 3.80%, 7/15/47		1,400		1,536,863
LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.87%, 9/15/45 (e)		255		266,815
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, 5.86%, 9/12/49 (e)		675		700,533
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4, 3.73%, 5/15/48		750		822,275
Wells Fargo Commercial Mortgage Trust:
Series 2013-LC12, Class A4, 4.22%, 7/15/46 (e)		200		225,658
Series 2015-C27, Class A5, 3.45%, 2/15/48		1,500		1,609,722
WFRBS Commercial Mortgage Trust, Series 2013-C11, Class A5, 3.07%, 3/15/45		500		527,962

				24,097,531
Total Non-Agency Mortgage-Backed Securities — 1.1%				24,097,531



Preferred Securities

Capital Trusts
Insurance — 0.0%
MetLife, Inc., 6.40%		100		106,752
Prudential Financial, Inc., 5.63% (e)		100		104,282
XLIT Ltd., 5.50%		250		246,951
Total Preferred Securities — 0.0%				457,985



U.S. Government Sponsored Agency Securities
Agency Obligations — 1.9%
Fannie Mae:
0.88%, 12/20/17 - 5/21/18		4,828		4,846,045
1.13%, 7/20/18		3,000		3,026,397
1.63%, 1/21/20		500		511,810
6.25%, 5/15/29		2,850		4,150,597
6.63%, 11/15/30		149		228,289
7.25%, 5/15/30		550		874,884
Federal Home Loan Bank:
1.00%, 12/19/17		5,000		5,025,835
5.50%, 7/15/36		1,100		1,587,042

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	39


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


U.S. Government Sponsored Agency Securities	Par (000)		Value
Agency Obligations (continued)
Federal Home Loan Mortgage Corp.:
0.75%, 1/12/18	$	2,000	$	2,003,428
1.20%, 10/29/18		2,200		2,200,728
1.38%, 5/01/20		4,000		4,060,304
Financing Corp., 8.60%, 9/26/19		200		247,883
Freddie Mac:
0.88%, 3/07/18		1,500		1,502,765
1.75%, 5/30/19		420		431,549
2.38%, 1/13/22		7,430		7,869,507
4.88%, 6/13/18		250		270,197
6.25%, 7/15/32		1,300		1,966,789
Tennessee Valley Authority:
3.50%, 12/15/42		140		151,374
6.25%, 12/15/17		400		431,497

				41,386,920
Commercial Mortgage-Backed Securities — 0.5%
Fannie Mae, Class A2:
Series 2012-M9, 2.48%, 4/25/22		2,000		2,088,706
Series 2014-M6, 2.68%, 5/25/21 (e)		150		158,213
Series 2014-M13, 3.02%, 8/25/24 (e)		500		536,029
Freddie Mac:
Series K713, Class A2, 2.31%, 3/25/20		300		310,432
Series K026, Class A2, 2.51%, 11/25/22		200		209,507
Series K038, Class A1, 2.60%, 10/25/23		222		231,204
Series K014, Class A1, 2.79%, 10/25/20		86		88,794
Series K017, Class A2, 2.87%, 12/25/21		500		530,026
Series K033, Class A2, 3.06%, 7/25/23 (e)		100		108,172
Series K052, Class A2, 3.15%, 11/25/25		750		814,848
Series K031, Class A2, 3.30%, 4/25/23 (e)		100		109,644
Series K006, Class A1, 3.40%, 7/25/19		361		372,220
Series K004, Class A1, 3.41%, 5/25/19		376		389,582
Series K037, Class A2, 3.49%, 1/25/24		200		222,118
Series K034, Class A2, 3.53%, 7/25/23 (e)		3,900		4,330,779
Series K013, Class A2, 3.97%, 1/25/21		500		550,179
Series K003, Class A5, 5.09%, 3/25/19		300		327,472

				11,377,925
Mortgage-Backed Securities — 28.4%
Fannie Mae Mortgage-Backed Securities:
1.90%, 4/01/43 (e)		316		323,860
1.93%, 5/01/43 (e)		754		774,495
2.05%, 6/01/43 (e)		681		697,909
2.47%, 8/01/42 (e)		225		231,711
2.50%, 9/01/28 - 7/01/46 (g)		20,008		20,686,992
2.83%, 8/01/41 (e)		61		64,323
3.00%, 1/01/27 - 7/01/46 (g)		57,164		65,502,359
3.15%, 11/01/40 (e)		33		35,078
3.50%, 2/01/26 - 7/14/46 (d)(g)		76,495		80,972,037
4.00%, 10/01/25 - 8/01/46 (g)		49,051		52,724,526
4.50%, 5/01/24 - 8/16/46 (d)(g)		21,952		23,888,434
5.00%, 1/01/19 - 8/16/46 (d)(g)		12,647		14,011,522
5.50%, 4/01/36 - 7/01/46 (g)		6,335		7,125,120
6.00%, 3/01/34 - 7/01/46 (g)		8,001		9,154,315
6.50%, 7/01/32		173		205,717
7.00%, 2/01/32		28		29,602
Freddie Mac Mortgage-Backed Securities:
1.79%, 6/01/43 (e)		141		143,032
2.50%, 7/01/28 - 7/01/31 (g)		13,821		14,298,294
2.80%, 9/01/40 (e)		63		66,143


U.S. Government Sponsored Agency Securities	Par (000)		Value
Mortgage-Backed Securities (continued)
Freddie Mac Mortgage-Backed Securities (continued):
2.93%, 8/01/41 (e)	$	41	$	43,170
3.00%, 3/01/27 - 7/01/46 (g)		44,961		46,872,646
3.00%, 6/01/31 (d)		811		851,098
3.50%, 6/16/31 - 7/01/46 (d)(g)		49,569		52,376,303
4.00%, 5/01/19 - 7/01/46 (d)(g)		32,185		34,407,226
4.50%, 4/01/46 (d)		177		193,717
4.50%, 4/01/18 - 7/01/46 (g)		12,190		13,257,360
5.00%, 10/01/18 - 7/01/46 (g)		8,095		8,930,302
5.50%, 6/01/35 - 7/01/46 (g)		3,403		3,794,807
6.50%, 6/01/31		89		102,197
8.00%, 12/01/24		179		198,630
Ginnie Mae Mortgage-Backed Securities:
2.50%, 5/20/45		1,190		1,215,658
3.00%, 5/15/43 - 7/01/46 (g)		32,699		34,192,020
3.50%, 9/20/42 - 7/20/46 (d)(g)		64,883		68,961,327
4.00%, 3/15/41 - 7/01/46 (g)		37,598		31,955,355
4.00%, 6/20/46 (d)		1,251		1,344,146
4.50%, 7/15/39 - 7/01/46 (g)		16,284		17,614,019
5.00%, 11/15/39 - 7/01/46 (g)		8,809		9,719,676
5.50%, 12/15/32 - 7/20/40		549		607,295
6.00%, 3/15/35 - 10/20/38		337		390,053
6.50%, 9/15/36		172		210,535
7.50%, 12/15/23		174		200,170

				618,373,179
Total U.S. Government Sponsored Agency Securities — 30.8%				671,138,024



U.S. Treasury Obligations
U.S. Treasury Bonds:
8.88%, 2/15/19		8,000		9,719,376
8.75%, 8/15/20		400		527,375
7.63%, 11/15/22		3,400		4,745,921
1.50%, 3/31/23		18,500		18,766,659
6.25%, 8/15/23		4,050		5,428,426
7.63%, 2/15/25		375		565,649
6.00%, 2/15/26		500		704,160
6.75%, 8/15/26		3,000		4,492,968
6.50%, 11/15/26		400		592,406
6.13%, 11/15/27		2,080		3,070,438
5.25%, 2/15/29		2,000		2,827,968
6.13%, 8/15/29		2,500		3,824,707
5.38%, 2/15/31		4,500		6,674,238
4.75%, 2/15/37		1,700		2,528,883
5.00%, 5/15/37		1,000		1,537,188
4.38%, 2/15/38		2,500		3,563,867
4.50%, 5/15/38		1,000		1,450,664
3.50%, 2/15/39		1,300		1,640,640
4.25%, 5/15/39		2,775		3,878,495
4.50%, 8/15/39		1,700		2,457,563
4.38%, 11/15/39		1,800		2,558,531
4.63%, 2/15/40		1,230		1,808,148
4.38%, 5/15/40		1,650		2,347,511
3.88%, 8/15/40		860		1,141,415
4.25%, 11/15/40		3,028		4,239,909
4.75%, 2/15/41		11,000		16,504,730
4.38%, 5/15/41		4,110		5,868,632
3.75%, 8/15/41		1,550		2,021,842

See Notes to Financial Statements.



40	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


U.S. Treasury Obligations	Par (000)		Value
U.S. Treasury Bonds (continued):
3.13%, 11/15/41	$	400	$	472,359
3.13%, 2/15/42		4,850		5,730,959
3.00%, 5/15/42		480		554,437
2.75%, 8/15/42		750		826,348
2.75%, 11/15/42		4,200		4,620,328
3.13%, 2/15/43		3,050		3,595,306
2.88%, 5/15/43		250		281,123
3.63%, 8/15/43		2,500		3,225,487
3.75%, 11/15/43		1,700		2,242,938
3.63%, 2/15/44		1,000		1,289,375
3.38%, 5/15/44		1,600		1,971,938
3.13%, 8/15/44		2,500		2,942,772
3.00%, 11/15/44		6,300		7,243,526
2.50%, 2/15/45		4,500		4,685,098
3.00%, 5/15/45		7,800		8,965,429
2.88%, 8/15/45		3,000		3,368,673
3.00%, 11/15/45		9,400		10,808,534
2.50%, 2/15/46		7,000		7,289,023
U.S. Treasury Notes:
0.88%, 7/15/17		4,000		4,014,376
0.50%, 7/31/17		900		899,719
2.38%, 7/31/17		3,000		3,059,298
4.75%, 8/15/17		3,800		3,977,384
0.63%, 8/31/17		521		521,468
1.88%, 8/31/17		1,870		1,898,781
1.00%, 9/15/17		3,000		3,015,819
0.88%, 10/15/17		4,710		4,728,581
1.88%, 10/31/17		5,000		5,085,740
0.88%, 11/15/17		14,000		14,057,974
0.63%, 11/30/17		5,000		5,004,100
2.25%, 11/30/17		7,000		7,164,612
1.00%, 12/15/17		8,344		8,395,499
2.75%, 12/31/17		15,000		15,482,220
0.88%, 1/31/18		2,000		2,009,296
2.63%, 1/31/18		2,000		2,064,140
1.00%, 2/15/18		4,500		4,529,529
0.75%, 2/28/18		4,500		4,512,303
2.75%, 2/28/18		1,300		1,346,465
1.00%, 3/15/18		5,000		5,034,375
2.88%, 3/31/18		8,000		8,315,936
0.75%, 4/15/18		9,000		9,024,255
0.63%, 4/30/18		1,500		1,500,996
2.63%, 4/30/18		15,000		15,554,295
1.00%, 5/15/18		7,000		7,052,500
1.00%, 5/31/18		10,000		10,077,340
1.13%, 6/15/18		8,000		8,080,312
2.25%, 7/31/18		3,000		3,101,601
4.00%, 8/15/18		500		536,426
0.88%, 10/15/18		4,000		4,021,408
1.25%, 10/31/18		7,700		7,806,776
1.75%, 10/31/18		2,250		2,307,305
1.38%, 12/31/18		4,030		4,101,311
1.50%, 12/31/18		31,315		31,960,872
1.25%, 1/31/19		11,400		11,568,332
1.50%, 2/28/19		10,000		10,214,060
1.00%, 3/15/19		5,000		5,042,385
1.50%, 3/31/19		10,000		10,224,610
1.63%, 3/31/19		1,500		1,537,617
1.25%, 4/30/19		4,300		4,367,691


U.S. Treasury Obligations	Par (000)		Value
U.S. Treasury Notes (continued):
1.63%, 4/30/19	$	17,000	$	17,434,299
1.13%, 5/31/19		1,880		1,903,060
1.50%, 5/31/19		14,000		14,316,092
1.00%, 6/30/19		2,000		2,016,954
1.63%, 6/30/19		2,000		2,053,360
0.88%, 7/31/19		1,500		1,506,153
1.00%, 8/31/19		2,300		2,317,699
1.63%, 8/31/19		2,000		2,054,296
3.38%, 11/15/19		3,100		3,368,466
1.50%, 11/30/19		6,500		6,651,326
1.13%, 12/31/19		4,750		4,801,024
1.63%, 12/31/19		12,500		12,845,212
1.38%, 1/31/20		750		764,297
3.63%, 2/15/20		2,500		2,750,978
1.25%, 2/29/20		6,200		6,292,516
1.38%, 2/29/20		5,700		5,807,542
1.13%, 3/31/20		1,500		1,515,234
1.13%, 4/30/20		2,700		2,726,474
1.38%, 4/30/20		6,200		6,316,734
1.38%, 5/31/20		4,400		4,480,780
1.88%, 6/30/20		2,000		2,076,562
2.00%, 7/31/20		6,500		6,783,614
2.63%, 8/15/20		4,140		4,425,917
2.13%, 8/31/20		7,000		7,341,796
1.38%, 10/31/20		10,000		10,180,860
1.75%, 10/31/20		500		516,817
2.63%, 11/15/20		1,000		1,071,406
1.63%, 11/30/20		6,000		6,175,782
2.00%, 11/30/20		5,300		5,538,293
1.75%, 12/31/20		3,800		3,930,773
2.38%, 12/31/20		900		955,406
2.13%, 1/31/21		9,800		10,304,543
3.63%, 2/15/21		2,310		2,585,126
1.13%, 2/28/21		2,000		2,014,062
2.00%, 2/28/21		12,700		13,285,394
1.25%, 3/31/21		9,000		9,104,769
2.25%, 3/31/21		11,500		12,168,886
1.38%, 4/30/21		5,000		5,086,330
3.13%, 5/15/21		3,000		3,300,585
2.00%, 5/31/21		5,000		5,235,940
1.13%, 6/30/21		4,500		4,522,324
2.00%, 8/31/21		4,500		4,712,697
2.13%, 9/30/21		2,900		3,056,101
2.00%, 11/15/21		3,700		3,878,495
1.88%, 11/30/21		11,000		11,454,608
2.13%, 12/31/21		7,000		7,379,806
1.50%, 1/31/22		6,000		6,121,404
2.00%, 2/15/22		1,500		1,571,133
1.75%, 3/31/22		9,100		9,402,502
1.75%, 4/30/22		3,000		3,099,609
2.13%, 6/30/22		8,000		8,435,000
1.88%, 8/31/22		4,958		5,153,028
1.63%, 11/15/22		3,000		3,070,782
2.00%, 11/30/22		11,000		11,512,622
2.13%, 12/31/22		5,000		5,271,680
1.75%, 1/31/23		3,600		3,710,531
1.50%, 2/28/23		3,200		3,246,499
1.63%, 4/30/23		4,000		4,089,844
1.75%, 5/15/23		1,000		1,031,602

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	41


Schedule of Investments (continued)		U.S. Total Bond Index Master Portfolio


U.S. Treasury Obligations	Par (000)		Value
U.S. Treasury Notes (continued):
1.63%, 5/31/23	$	4,000	$	4,090,312
1.38%, 6/30/23		3,500		3,518,046
2.50%, 8/15/23		2,000		2,166,640
2.50%, 5/15/24		2,300		2,498,106
2.38%, 8/15/24		7,500		8,073,045
2.25%, 11/15/24		8,980		9,579,137
2.00%, 2/15/25		6,984		7,307,010
2.13%, 5/15/25		2,000		2,112,578
2.25%, 11/15/25		1,600		1,707,000
1.63%, 2/15/26		3,700		3,741,625
1.63%, 5/15/26		2,500		2,530,568
4.50%, 2/15/36		4,666		6,720,864
2.50%, 5/15/46		1,500		1,563,105
Total U.S. Treasury Obligations — 37.1%				809,133,329
Total Long-Term Investments (Cost — $2,096,106,721) — 98.9%				2,160,196,634



Short-Term Securities	Shares
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.52% (c)(h)		275,397,667		275,397,667
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (c)(h)(i)		727,500		727,500
Total Short-Term Securities (Cost — $276,125,167) — 12.7%				276,125,167
Total Investments Before TBA Sale Commitments (Cost — $2,372,231,888) — 111.6%				2,436,321,801


TBA Sale Commitments	Par (000)		Value
Fannie Mae Mortgage-Backed Securities (g):
3.50%, 7/01/46	$	1,031	$	(1,088,188	)
4.00%, 7/01/46		232		(248,874	)
4.50%, 7/01/46		1,263		(1,378,263	)
5.00%, 7/01/46		332		(368,624	)
Freddie Mac Mortgage-Backed Securities (g):
3.00%, 7/01/31		811		(851,296	)
3.50%, 7/01/36		3,330		(3,512,109	)
4.00%, 7/01/46		3,583		(3,836,609	)
4.50%, 7/01/46		177		(193,041	)
3.00%, 7/01/46		4,766		(5,052,595	)
4.00%, 7/01/46		1,251		(1,337,593	)
Total TBA Sale Commitments (Proceeds — $17,824,109) — 0.7%				(17,867,192	)
Total Investments, Net of TBA Sale Commitments (Cost — $2,354,407,779) — 110.9%				2,418,454,609
Liabilities in Excess of Other Assets — (10.9)%				(237,672,413	)

Net Assets — 100.0%			$	2,180,782,196

Notes to Schedule of Investments

(a)

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.

(b)

(c)


Affiliate	Shares/Par Held at December 31, 2015		Shares/Par Purchased			Shares/Par Sold			Shares/Par Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain
BlackRock Cash Funds: Institutional, SL Agency Shares		190,311,931		85,085,736	¹		—			275,397,667	$	275,397,667	$	550,628			—
BlackRock Cash Funds: Prime, SL Agency Shares		258,161		469,339	¹		—			727,500		727,500		12,252	²		—
PNC Bank NA, 2.20%, 1/28/19	$	500,000		—			—		$	500,000		510,169		5,500			—
PNC Bank NA, 2.25%, 7/02/19	$	350,000		—			—		$	350,000		357,520		3,938			—
PNC Bank NA, 2.30%, 6/01/20	$	500,000		—			—		$	500,000		512,187		5,750			—
PNC Bank NA, 2.45%, 11/5/20	$	250,000		—			—		$	250,000		256,870		3,062			—
PNC Bank NA, 2.95%, 1/30/23	$	250,000		—			—		$	250,000		254,571		3,688			—
PNC Bank NA, 2.95%, 2/23/25		—	$	250,000			—		$	250,000		258,193		2,499			—
PNC Funding Corp., 3.30%, 3/08/22	$	150,000		—			—		$	150,000		159,526		2,475			—
PNC Funding Corp., 5.63%, 2/01/17³	$	150,000		—		$	(150,000	)		—		—		1,453		$	6,450
Total											$	278,434,203	$	591,245		$	6,450

¹Represents net shares purchased.
²Represents all or a portion of securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees, and other payments to and from borrowers of securities, and less the collateral investment expenses.
³ No longer held by the Master Portfolio as of report date.

See Notes to Financial Statements.



42	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Schedule of Investments (concluded)		U.S. Total Bond Index Master Portfolio

(d)

When-issued security.

(e)

Variable rate security. Rate as of period end.

(f)

Security, or a portion of security, is on loan.

(g)

Represents or includes a TBA transaction. As of period end, unsettled TBA transactions were as follows:


Counterparty	Value			Unrealized Appreciation (Depreciation)
Bank of America Securities LLC	$	7,737,876		$	24,856
BNP Paribas SA	$	10,090,535		$	5,117
Bank of New York Melon Corp.	$	1,231,875		$	3,473
Citigroup Global Markets, Inc.	$	14,135,647		$	39,918
Credit Suisse Securities (USA) LLC	$	63,628,823		$	292,432
Goldman Sachs & Co.	$	46,785,642		$	308,386
J.P. Morgan Securities LLC	$	17,332,810		$	42,246
Morgan Stanley & Co. LLC	$	25,430,876		$	167,712
Nomura Securities International, Inc.	$	2,107,405		$	15,368
RBC Capital Markets, LLC	$	(900,501	)	$	(1,432	)
Wells Fargo Securities, LLC	$	2,920,854		$	1,482

(h)

Current yield as of period end.

(i)

All or a portion of security was purchased with the cash collateral from loaned securities.

Fair Value Hierarchy as of Period End

The following table summarizes the Master Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	9,436,004			—	$	9,436,004
Corporate Bonds		—		566,817,777			—		566,817,777
Foreign Agency Obligations		—		63,306,552			—		63,306,552
Municipal Bonds		—		15,809,432			—		15,809,432
Non-Agency Mortgage-Backed Securities		—		24,097,531			—		24,097,531
Preferred Securities		—		457,985			—		457,985
U.S. Government Sponsored Agency Securities		—		671,138,024			—		671,138,024
U.S. Treasury Obligations		—		809,133,329			—		809,133,329
Short-Term Securities	$	276,125,167		—			—		276,125,167
Liabilities:
Investments:
TBA Sale Commitments		—		(17,867,192	)		—		(17,867,192	)

Total	$	276,125,167	$	2,142,329,442				$	2,418,454,609

The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	1,195,488		—			—	$	1,195,488
Liabilities:
Cash received as collateral for TBA commitments		—	$	(21,000	)		—		(21,000	)
Collateral on securities loaned at value		—		(727,500	)		—		(727,500	)

Total	$	1,195,488	$	(748,500	)		—	$	446,988

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	43


Statement of Assets and Liabilities		U.S. Total Bond Index Master Portfolio


June 30, 2016 (Unaudited)

Assets
Investments at value — unaffiliated (including securities loaned at value of $702,900) (cost — $2,093,856,856)	$	2,157,887,598
Investments at value — affiliated (cost — $278,375,032)		278,434,203
Cash		1,195,488
Receivables:
Contributions from investors		2,502,100
Interest		11,202,523
Investments sold		29,251,035
Principal paydowns		3,049
Dividend — affiliated		117,119
TBA sale commitments		17,824,109
Securities lending income — affiliated		2,210

Total assets		2,498,419,434


Liabilities
TBA sale commitments at value (proceeds — $17,824,109)		17,867,192
Collateral on securities loaned at value		727,500
Payables:
Investment advisory fees		47,274
Investments purchased		295,754,289
Trustees’ fees		6,939
Other accrued expenses		21,383
Withdrawals to investors		3,191,661
Cash received as collateral for TBA commitments		21,000

Total liabilities		317,637,238

Net Assets	$	2,180,782,196


Net Assets Consist of
Investors’ capital	$	2,116,735,366
Net unrealized appreciation (depreciation)		64,046,830

Net Assets	$	2,180,782,196


Statement of Operations		U.S. Total Bond Index Master Portfolio


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Interest — unaffiliated	$	19,299,502
Interest — affiliated		28,365
Dividend — affiliated		550,628
Securities lending — affiliated — net		12,252

Total income		19,890,747


Expenses
Investment advisory		366,175
Trustees		26,108
Professional		16,008

Total expenses		408,291
Less fees waived by the Manager		(117,490	)

Total expenses after fees waived		290,801

Net investment income		19,599,946


Realized and Unrealized Gain (Loss)
Net realized gain from:
Investments — unaffiliated		3,184,519
Investments — affiliated		6,450

		3,190,969

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		72,853,113
Investments — affiliated		60,662

		72,913,775

Net realized and unrealized gain		76,104,744

Net Increase in Net Assets Resulting from Operations	$	95,704,690


Statements of Changes in Net Assets		U.S. Total Bond Index Master Portfolio


Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	19,599,946		$	27,215,573
Net realized gain		3,190,969			2,186,271
Net change in unrealized appreciation (depreciation)		72,913,775			(25,913,499	)

Net increase in net assets resulting from operations		95,704,690			3,488,345


Capital Transactions
Proceeds from contributions		639,509,134			653,907,369
Value of withdrawals		(142,805,646	)		(261,514,633	)

Net increase in net assets derived from capital transactions		496,703,488			392,392,736


Net Assets
Total increase in net assets		592,408,178			395,881,081
Beginning of period		1,588,374,018			1,192,492,937

End of period	$	2,180,782,196		$	1,588,374,018


Financial Highlights		U.S. Total Bond Index Master Portfolio


	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015		2014		2013		2012		2011

Total Return
Total return		5.33%	¹		0.40%		5.98%		(2.23)%		4.06%		7.67%


Ratios to Average Net Assets
Total expenses		0.04%	²		0.06%		0.09%		0.09%		0.09%		0.13%

Total expenses after fees waived		0.03%	²		0.04%		0.07%		0.08%		0.08%		0.08%

Net investment income		2.14%	²		1.93%		1.76%		1.63%		1.86%		3.36%


Supplemental Data
Net assets, end of period (000)	$	2,180,782		$	1,588,374	$	1,192,493	$	933,770	$	481,572	$	127,484

Portfolio turnover rate^3,4		128%			356%		476%		417%		436%		122%

Aggregate total return.

Annualized.

Portfolio turnover rate includes TBA transactions, if any.

⁴

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


	Six Months Ended June 30, 2016 (Unaudited)		Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)		2015		2014		2013		2012		2011

Portfolio turnover rate (excluding MDRs)		122%		300%		244%		214%		231%		121%


Notes to Financial Statements (Unaudited)

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. U.S. Total Bond Index Master Portfolio (the “Master Portfolio”) is a series of MIP. The Master Portfolio is classified as diversified. MIP is organized as a Delaware statutory trust.

2. Significant Accounting Policies:

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

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

3. Investment Valuation and Fair Value Measurements:

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:

•



48	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)

the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Master Portfolio’s net assets.

•

TBA commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services.

•

Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

•

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments has been included in the Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s’ policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	49


Notes to Financial Statements (continued)

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.



50	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)

In order to better define contractual rights and to secure rights that will help the Master Portfolio mitigate its counterparty risk, TBA commitments may be entered into by the Master Portfolio under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by the Master Portfolio and the counterparty. Cash collateral that has been pledged to cover the obligations of the Master Portfolio and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by the Master Portfolio, if any, is noted in the Schedule of Investments. Typically, the Master Portfolio is permitted to sell, repledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to the Master Portfolio are not fully collateralized, contractually or otherwise, the Master Portfolio bears the risk of loss from counterparty non-performance.

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 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. 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, the following table is a summary of the Master Portfolio’s securities lending agreements by counterparty which are subject to offset under an MSLA:

Counterparty

Securities
Loaned
at Value

Cash
Collateral
Received¹

Net

Amount

CitiGroup Global Markets, Inc.

702,900

—

Collateral with a value of $727,500 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	51


Notes to Financial Statements (continued)

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

Investment Advisory

Administration

MIP entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the Master Portfolio’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolio. BAL may delegate certain of its administration duties to sub-administrators.

Expense Waivers

The Manager, with respect to the Master Portfolio, contractually agreed to waive its management fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. This amount is included in fees waived by the Manager in the Statement of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investments in other affiliated investment companies, if any. For the six months ended June 30, 2016, the amount waived was $75,374.

Securities Lending

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated — net in the Statement of Operations. For the six months ended June 30, 2016, the Master Portfolio paid BTC $3,063 in total for securities lending agent services and collateral investment fees.



52	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Notes to Financial Statements (continued)

Officers and Trustees

The fees and expenses of the MIP’s trustees who are not “interested persons” of the MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. The Manager has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the administration fees paid by the Master Portfolio in an amount equal to the independent expenses through April 30, 2017. If the Master Portfolio does not pay administration fees, the Manager agrees to cap the expenses of the Master Portfolio at the rate at which it pays an investment advisory fee to the Manager. For the six months ended June 30, 2016, the amount waived was $42,116.

Certain officers and/or trustees of the MIP are officers and/or directors of BlackRock or its affiliates.

Other Transactions


Purchases	Sales		Net Realized Loss
$2,264,136	$	188,846	$	(80,436	)

6. Purchases and Sales:

For the six months ended June 30, 2016, purchases and sales of investments, including mortgage dollar rolls and excluding short-term securities, were as follows:


	Purchases		Sales
Non-U.S. Government Securities	$	2,464,441,139	$	2,148,791,478	*
U.S. Government Securities		354,216,858		169,496,990

Total Purchases	$	2,818,657,997	$	2,318,288,468

Includes paydowns

For the six months ended June 30, 2016, purchases and sale related to mortgage dollar rolls were $100,368,820 and $100,514,468, respectively.

7. Income Tax Information:

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 each of the four years ended December 31, 2015. 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 June 30, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.

Tax Cost

As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


Tax cost	$	2,372,362,083

Gross unrealized appreciation	$	66,144,784
Gross unrealized depreciation		(2,185,066	)

Net unrealized appreciation	$	63,959,718



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	53


Notes to Financial Statements (concluded)

8. Bank Borrowings:

9. Principal Risks:

10. Subsequent Events:



54	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Disclosure of Investment Advisory Agreement

Activities and Composition of the Board

The Agreement

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreement on an annual basis. The Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement, and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Board assessed, among other things, the nature, extent and quality of the services provided to the Master Portfolio and the Portfolio by BlackRock, BlackRock’s personnel and affiliates, including (as applicable) investment management; administrative and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Master Portfolio, the Portfolio and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreement.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolio and/or the Portfolio for services; (c) the Master Portfolio’s and/or the Portfolio’s operating expenses and how BlackRock allocates expenses to the Master Portfolio and the Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Master Portfolio’s and the Portfolio’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Master Fund’s and the Fund’s compliance with its respective compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master Fund’s and/or the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Master Portfolio and/or the Portfolio; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreement



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	55


Disclosure of Investment Advisory Agreement (continued)

At the May Meeting, the Board of the Master Fund, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master Fund with respect to the Master Portfolio for a one-year term ending June 30, 2017. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreement with respect to the Master Portfolio and found the Agreement to be satisfactory. In approving the continuation of the Agreement, the Board of the Master Fund considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and the Portfolio; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio and the Portfolio; (d) the Portfolio’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Master Portfolio and the Portfolio; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates, securities lending and cash management, services related to the valuation and pricing of portfolio holdings of the Master Portfolio, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Portfolio. Throughout the year, the Board compared the Portfolio’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the Master Portfolio’s performance and the Master Portfolio’s investment objective(s), strategies and outlook.

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.



56	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Disclosure of Investment Advisory Agreement (continued)

B. The Investment Performance of the Master Portfolio, the Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio and the Portfolio, as applicable. The Board noted that the Portfolio’s investment results correspond directly to the investment results of the Master Portfolio. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Portfolio’s performance. The Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board received and reviewed information regarding the investment performance of the Portfolio as compared to other funds in its applicable Broadridge category and the performance of the Portfolio as compared with its benchmark. The Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. The Board was provided with information on the composition of the Broadridge performance universes and expense universes. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of the Master Portfolio and the Portfolio, as applicable, throughout the year.

The Board noted that for the past five one-year periods reported, the Portfolio’s net performance was within the tolerance range of its benchmark for all periods. BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Portfolio.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio and the Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s contractual advisory fee rate compared with the other funds in the Portfolio’s Broadridge category. The contractual advisory rate is shown before taking into account any reimbursements or fee waivers. The Board also compared the Portfolio’s total expense ratio, as well as the Master Portfolio’s actual advisory fee rate, to those of other funds in the Portfolio’s Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual advisory fee rate gives effect to any advisory fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio and the Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and the Portfolio, as applicable, and other funds the Board currently oversees for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. The Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	57


Disclosure of Investment Advisory Agreement (concluded)

In addition, the Board considered the cost of the services provided to the Master Portfolio and the Portfolio by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolio and the Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing the Master Portfolio and the Portfolio, to the Master Portfolio or the Portfolio, as pertinent. The Board may receive and review information from independent third parties as part of its annual evaluation. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Master Portfolio and the Portfolio in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

The Board noted that the Master Portfolio’s contractual advisory fee rate ranked in the first quartile, and that the actual advisory fee rate and the Portfolio’s total expense ratio ranked in the second and first quartiles, respectively, relative to the Portfolio’s Expense Peers. The Board noted that BlackRock proposed, and the Board agreed to, a contractual reduction of the Master Portfolio’s advisory fee. This advisory fee reduction was implemented on April 30, 2015. The Board also noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate the Master Portfolio/Portfolio for the fees and expenses of the Independent Board Members, counsel to the Independent Board Members and the Master Portfolio’s/Portfolio’s independent registered public accounting firm.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio and the Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolio and the Portfolio benefit from such economies in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolio and the Portfolio to more fully participate in these economies of scale. The Board considered the Master Portfolio’s asset levels and whether the current fee schedule was appropriate.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Master Portfolio and the Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolio and the Portfolio, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.

Conclusion



58	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Officers and Trustees

Rodney D. Johnson, Chair of the Board and Trustee

David O. Beim, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Dr. Matina S. Horner, Trustee

Cynthia A. Montgomery, Trustee

Barbara G. Novick, Trustee

Joseph P. Platt, Trustee

Robert C. Robb, Jr., Trustee

Mark Stalnecker, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Frederick W. Winter, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Richard Hoerner, CFA, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Fernanda Piedra, Anti-Money Laundering Compliance Officer

Benjamin Archibald, Secretary

Effective February 5, 2016, Frank J. Fabozzi resigned as a Trustee of the Trust/MIP.

Effective February 8, 2016, Susan J. Carter, Neil A. Cotty and Claire A. Walton were elected to serve as Trustees of the Trust/MIP.



BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	59


Additional Information

Proxy Results

BlackRock Funds III

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of the Trust.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		61,938,311,360		43,835,788
Susan J. Carter		61,780,259,925		201,887,223
Collette Chilton		61,948,124,716		34,022,432
Neil A. Cotty		61,775,834,676		206,312,472
Matina S. Horner		61,940,727,663		41,419,485
Rodney D. Johnson		61,941,649,924		40,497,224
Cynthia A. Montgomery		61,943,332,673		38,814,475
Joseph P. Platt		61,944,232,208		37,914,940
Robert C. Robb, Jr.		61,944,234,953		37,912,195
Mark Stalnecker		61,943,725,951		38,421,197
Kenneth L. Urish		61,944,152,210		37,994,938
Claire A. Walton		61,784,560,644		197,586,504
Frederick W. Winter		61,939,767,717		42,379,431
Barbara G. Novick		61,947,782,498		34,364,650
John M. Perlowski		61,944,381,941		37,765,207

Denotes Trust-wide proposal and voting results.

Master Investment Portfolio

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of the MIP.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		93,744,625,170		102,294,210
Susan J. Carter		93,564,604,497		282,314,883
Collette Chilton		93,778,667,881		68,251,499
Neil A. Cotty		93,524,182,594		322,736,786
Matina S. Horner		93,744,748,738		102,170,642
Rodney D. Johnson		93,743,366,844		103,552,536
Cynthia A. Montgomery		93,738,956,489		107,962,891
Joseph P. Platt		93,750,384,350		96,535,030
Robert C. Robb, Jr.		93,749,078,613		97,840,767
Mark Stalnecker		93,668,711,867		178,207,513
Kenneth L. Urish		93,694,700,012		152,219,368
Claire A. Walton		93,569,519,963		277,399,417
Frederick W. Winter		93,699,601,190		147,318,190
Barbara G. Novick		93,778,480,450		68,438,930
John M. Perlowski		93,744,975,345		101,944,035

Denotes MIP-wide proposal and voting results.



60	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016


Additional Information (continued)

General Information

Householding

Availability of Quarterly Schedule of Investments

The Fund/Master Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s/Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s/Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

Availability of Proxy Voting Record

Information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund’s/Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family


Shareholder Privileges

Account 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 U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016	61


Additional Information (concluded)


BlackRock Privacy Principles



62	BLACKROCK U.S. TOTAL BOND INDEX FUND	JUNE 30, 2016

LOGO


USTB-6/16-SAR


Portfolio Information as of June 30, 2016


Ten Largest Holdings	Percent of Net Assets
Apple, Inc.		4	%
Microsoft Corp.		2
Cisco Systems, Inc.		2
Comcast Corp., Class A		2
JPMorgan Chase & Co.		2
Altria Group, Inc.		2
Amgen, Inc.		2
Gilead Sciences, Inc.		1
Alphabet, Inc., Class A		1
Alphabet, Inc., Class C		1


Sector Allocation	Percent of Net Assets
Information Technology		22	%
Health Care		16
Financials		16
Consumer Discretionary		14
Industrials		8
Consumer Staples		8
Energy		7
Materials		3
Utilities		3
Telecommunication Services		2
Short-Term Securities		12
Liabilities in Excess of Other Assets		(11	)

Derivative Financial Instruments



ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016	1


Schedule of Investments June 30, 2016 (Unaudited)		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Aerospace & Defense — 1.5%
B/E Aerospace, Inc.		13,912	$	642,387
Boeing Co.		5,490		712,986
General Dynamics Corp.		19,893		2,769,901
Honeywell International, Inc.		2,433		283,007
Huntington Ingalls Industries, Inc.		2,380		399,911
Northrop Grumman Corp. (a)		380		84,466
Raytheon Co. (a)		9,732		1,323,066
Vectrus, Inc. (b)		6,647		189,373

				6,405,097
Air Freight & Logistics — 0.2%
C.H. Robinson Worldwide, Inc.		4,951		367,612
FedEx Corp.		2,325		352,888

				720,500
Airlines — 1.5%
American Airlines Group, Inc.		16,019		453,498
Delta Air Lines, Inc.		36,217		1,319,385
JetBlue Airways Corp. (b)		20,373		337,377
Southwest Airlines Co.		98,252		3,852,461
United Continental Holdings, Inc. (b)		16,581		680,484

				6,643,205
Auto Components — 1.1%
Goodyear Tire & Rubber Co.		28,487		730,977
Johnson Controls, Inc. (a)		6,892		305,040
Lear Corp.		37,183		3,783,742
Magna International, Inc. (a)		2,460		86,272

				4,906,031
Automobiles — 0.4%
Ford Motor Co.		68,466		860,618
General Motors Co.		27,120		767,496
Thor Industries, Inc.		2,945		190,659

				1,818,773
Banks — 6.0%
Bank of America Corp.		84,182		1,117,095
Citigroup, Inc.		98,998		4,196,525
Citizens Financial Group, Inc.		88,808		1,774,384
First Republic Bank		1,336		93,507
JPMorgan Chase & Co.		139,094		8,643,301
KeyCorp (a)		104,935		1,159,532
Regions Financial Corp. (a)		153,710		1,308,072
SunTrust Banks, Inc. (a)		8,554		351,398
TCF Financial Corp.		24,119		305,105
Umpqua Holdings Corp.		18,734		289,815
US Bancorp		58,151		2,345,230
Wells Fargo & Co.		86,130		4,076,533

				25,660,497
Beverages — 1.2%
Dr Pepper Snapple Group, Inc.		53,378		5,157,916
Biotechnology — 3.7%
AbbVie, Inc.		16,603		1,027,892
Amgen, Inc. (a)		43,342		6,594,485
Biogen, Inc. (b)		3,991		965,104
Celgene Corp. (b)		6,231		614,563
Gilead Sciences, Inc.		77,147		6,435,603
United Therapeutics Corp. (b)		2,569		272,108

				15,909,755


Common Stocks	Shares		Value
Building Products — 0.5%
Masco Corp.		73,327	$	2,268,737
Capital Markets — 1.0%
Ameriprise Financial, Inc.		17,212		1,546,498
Charles Schwab Corp.		50,851		1,287,039
Goldman Sachs Group, Inc. (a)		6,138		911,984
KKR & Co. LP		725		8,946
Morgan Stanley		24,316		631,730

				4,386,197
Chemicals — 1.6%
Air Products & Chemicals, Inc.		3,326		472,425
Akzo Nobel NV — ADR (a)		13,805		290,457
Ashland, Inc. (a)		1,180		135,429
Celanese Corp., Series A		6,285		411,353
Dow Chemical Co.		20,023		995,343
E.I. du Pont de Nemours & Co.		4,191		271,577
Eastman Chemical Co.		20,712		1,406,345
GCP Applied Technologies, Inc. (b)		6,953		181,056
LyondellBasell Industries NV, Class A		23,190		1,725,800
Monsanto Co.		1,703		176,107
Praxair, Inc.		783		88,001
Sherwin-Williams Co.		1,733		508,930
Valspar Corp.		831		89,773
Westlake Chemical Corp.		818		35,109

				6,787,705
Commercial Services & Supplies — 0.1%
Rollins, Inc. (a)		9,853		288,397
Waste Management, Inc.		4,237		280,786

				569,183
Communications Equipment — 3.5%
Cisco Systems, Inc.		342,908		9,838,030
Nokia OYJ — ADR (a)		79,978		455,075
QUALCOMM, Inc.		82,591		4,424,400
Telefonaktiebolaget LM Ericsson — ADR (a)		54,350		417,408

				15,134,913
Construction & Engineering — 0.3%
AECOM (b)		36,840		1,170,407
Consumer Finance — 1.9%
Capital One Financial Corp.		37,088		2,355,459
Discover Financial Services		62,643		3,357,038
SLM Corp. (b)		297,459		1,838,297
Synchrony Financial (b)		16,263		411,129

				7,961,923
Containers & Packaging — 1.2%
Avery Dennison Corp.		23,468		1,754,233
Bemis Co., Inc.		5,849		301,165
Crown Holdings, Inc. (b)		3,554		180,081
Packaging Corp. of America		22,148		1,482,366
Sonoco Products Co.		28,284		1,404,583

				5,122,428
Diversified Financial Services — 1.4%
Berkshire Hathaway, Inc., Class B (b)		8,209		1,188,581
CME Group, Inc.		17,233		1,678,494
Intercontinental Exchange, Inc.		4,416		1,130,319
Moody’s Corp.		10,877		1,019,284
NASDAQ, Inc.		16,511		1,067,767
S&P Global, Inc.		520		55,775

				6,140,220


Portfolio Abbreviations


ADR		American Depositary Receipts
S&P		Standard and Poor’s

See Notes to Financial Statements.



2	ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016


Schedule of Investments (continued)


Common Stocks	Shares		Value
Diversified Telecommunication Services — 1.4%
AT&T, Inc.		10,456	$	451,804
Level 3 Communications, Inc. (b)		30,612		1,576,212
Verizon Communications, Inc.		72,647		4,056,608

				6,084,624
Electric Utilities — 1.2%
Avangrid, Inc. (a)		565		26,024
Exelon Corp.		82,172		2,987,774
ITC Holdings Corp.		1,629		76,270
NextEra Energy, Inc.		15,004		1,956,521

				5,046,589
Electrical Equipment — 0.1%
Babcock & Wilcox Enterprises, Inc. (b)		17,710		260,160
Eaton Corp. PLC		4,870		290,885
Hubbell, Inc.		328		34,594

				585,639
Electronic Equipment, Instruments & Components — 0.8%
CDW Corp.		46,071		1,846,526
Fitbit, Inc., Series A (a)(b)		16,480		201,385
Flextronics International Ltd. (b)		57,383		677,119
FLIR Systems, Inc.		22,827		706,496

				3,431,526
Energy Equipment & Services — 0.8%
Baker Hughes, Inc.		5,288		238,647
Diamond Offshore Drilling, Inc.		2,038		49,585
Dril-Quip, Inc. (b)		6,157		359,754
FMC Technologies, Inc. (b)		942		25,123
Schlumberger Ltd. (a)		23,021		1,820,501
Superior Energy Services, Inc. (a)		51,811		953,840
Transocean Ltd. (a)		10,175		120,981

				3,568,431
Food & Staples Retailing — 2.1%
CVS Health Corp.		58,690		5,618,981
Kroger Co. (a)		48,903		1,799,141
Rite Aid Corp. (b)		10,916		81,761
US Foods Holding Corp. (b)		1,461		35,415
Walgreens Boots Alliance, Inc.		16,241		1,352,388

				8,887,686
Food Products — 1.7%
Blue Buffalo Pet Products, Inc. (b)		5,270		123,002
Bunge Ltd.		396		23,423
Cal-Maine Foods, Inc. (a)		12,700		562,864
General Mills, Inc. (a)		42,020		2,996,867
Ingredion, Inc.		1,771		229,185
McCormick & Co., Inc. (a)		10,133		1,080,887
Mondelez International, Inc., Class A		6,120		278,521
Pilgrim’s Pride Corp. (a)		2,697		68,720
Tyson Foods, Inc., Class A		29,151		1,946,995
Unilever NV — NY Shares		1,980		92,941

				7,403,405
Gas Utilities — 0.0%
AGL Resources, Inc.		1,262		83,254
Questar Corp.		1,848		46,884

				130,138
Health Care Equipment & Supplies — 2.6%
Alere, Inc. (b)		900		37,512
Align Technology, Inc. (b)		2,264		182,365
Baxter International, Inc.		80,056		3,620,132
C.R. Bard, Inc.		10,871		2,556,424
Hologic, Inc. (b)		4,944		171,063
IDEXX Laboratories, Inc. (b)		10,576		982,087


Common Stocks	Shares		Value
Health Care Equipment & Supplies (continued)
Medtronic PLC		13,415	$	1,164,020
St. Jude Medical, Inc.		9,292		724,776
Zimmer Biomet Holdings, Inc.		14,279		1,718,906

				11,157,285
Health Care Providers & Services — 4.3%
Aetna, Inc. (a)		21,919		2,676,968
AmerisourceBergen Corp.		7,426		589,030
Anthem, Inc.		5,557		729,856
Cardinal Health, Inc.		7,985		622,910
Centene Corp. (b)		26,251		1,873,534
Cigna Corp.		9,154		1,171,621
Laboratory Corp. of America Holdings (b)		11,435		1,489,637
McKesson Corp.		7,905		1,475,468
UnitedHealth Group, Inc.		37,350		5,273,820
Universal Health Services, Inc., Class B		9,119		1,222,858
VCA, Inc. (b)		21,740		1,469,841

				18,595,543
Hotels, Restaurants & Leisure — 1.0%
Carnival Corp.		5,251		232,094
Extended Stay America, Inc.		62,171		929,457
International Game Technology PLC		1,731		32,439
J Alexander’s Holdings, Inc. (b)		12,180		120,947
Marriott International, Inc., Class A (a)		6,314		419,629
Starbucks Corp. (a)		39,510		2,256,811
Starwood Hotels & Resorts Worldwide, Inc.		1,792		132,518
Vail Resorts, Inc.		2,610		360,780
Wyndham Worldwide Corp.		129		9,189

				4,493,864
Household Durables — 0.9%
D.R. Horton, Inc.		41,421		1,303,933
Lennar Corp., Class A (a)		13,950		643,095
Newell Brands, Inc.		21,618		1,049,986
NVR, Inc. (b)		364		648,044
Tupperware Brands Corp. (a)		1,808		101,754

				3,746,812
Household Products — 1.1%
Church & Dwight Co., Inc.		1,336		137,461
Clorox Co.		18,710		2,589,277
Kimberly-Clark Corp.		13,721		1,886,363

				4,613,101
Independent Power and Renewable Electricity Producers — 1.0%
AES Corp.		220,379		2,750,330
Dynegy, Inc. (b)		80,068		1,380,372

				4,130,702
Industrial Conglomerates — 1.3%
3M Co. (a)		19,442		3,404,683
Carlisle Cos., Inc.		16,904		1,786,415
General Electric Co.		19,532		614,867

				5,805,965
Insurance — 2.6%
Aflac, Inc.		473		34,132
Aon PLC		9,214		1,006,445
Aspen Insurance Holdings Ltd.		4,101		190,204
Assured Guaranty Ltd.		9,803		248,702
CNA Financial Corp. (a)		28,433		893,365
FNF Group (a)		3,126		117,225
Genworth Financial, Inc., Class A (b)		80,970		208,903
Hartford Financial Services Group, Inc.		30,469		1,352,214
Lincoln National Corp.		17,340		672,272
MetLife, Inc.		19,764		787,200
Prudential Financial, Inc.		35,818		2,555,256

See Notes to Financial Statements.



ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016	3


Schedule of Investments (continued)


Common Stocks	Shares		Value
Insurance (continued)
Reinsurance Group of America, Inc.		2,549	$	247,228
Travelers Cos., Inc.		18,187		2,164,980
XL Group PLC		18,964		631,691

				11,109,817
Internet & Catalog Retail — 1.3%
Amazon.com, Inc. (b)		3,151		2,254,919
Expedia, Inc.		1,954		207,710
Priceline Group, Inc. (b)		2,426		3,028,643

				5,491,272
Internet Software & Services — 4.5%
Alphabet, Inc., Class A (b)		8,934		6,285,337
Alphabet, Inc., Class C (b)		8,630		5,972,823
Facebook, Inc., Class A (b)		44,752		5,114,258
VeriSign, Inc. (b)		21,778		1,882,926

				19,255,344
IT Services — 3.1%
Accenture PLC, Class A		20,829		2,359,717
Amdocs Ltd.		30,668		1,770,157
Booz Allen Hamilton Holding Corp.		11,214		332,383
Cognizant Technology Solutions Corp., Class A (a)(b)		49,708		2,845,286
Fidelity National Information Services, Inc.		1,310		96,521
First Data Corp., Class A (a)(b)		10,268		113,667
Mastercard, Inc., Class A (a)		17,219		1,516,305
Paychex, Inc.		15,937		948,251
Sabre Corp.		3,288		88,086
Total System Services, Inc.		21,533		1,143,618
Visa, Inc., Class A (a)		28,907		2,144,032

				13,358,023
Leisure Products — 0.4%
Hasbro, Inc.		22,152		1,860,547
Life Sciences Tools & Services — 0.3%
Charles River Laboratories International, Inc. (b)		2,653		218,713
VWR Corp. (b)		20,020		578,578
Waters Corp. (b)		4,772		671,182

				1,468,473
Machinery — 1.2%
Illinois Tool Works, Inc.		12,259		1,276,897
Ingersoll-Rand PLC		11,147		709,841
PACCAR, Inc.		37,356		1,937,656
Snap-on, Inc.		3,731		588,826
WABCO Holdings, Inc. (b)		5,475		501,346

				5,014,566
Media — 3.9%
Comcast Corp., Class A		142,585		9,295,116
Discovery Communications, Inc., Class C (b)		2,494		59,482
Interpublic Group of Cos., Inc.		80,202		1,852,666
Omnicom Group, Inc.		36,394		2,965,747
Scripps Networks Interactive, Inc., Class A (a)		20,214		1,258,726
Time Warner, Inc. (a)		20,253		1,489,406

				16,921,143
Metals & Mining — 0.7%
Allegheny Technologies, Inc. (a)		4,217		53,767
Newmont Mining Corp.		26,541		1,038,284
Reliance Steel & Aluminum Co.		19,301		1,484,247
Steel Dynamics, Inc.		9,898		242,501

				2,818,799
Multi-Utilities — 0.6%
CenterPoint Energy, Inc. (a)		61,935		1,486,440
CMS Energy Corp.		18,989		870,835


Common Stocks	Shares		Value
Multi-Utilities (continued)
DTE Energy Co.		3,080	$	305,290
TECO Energy, Inc.		2,473		68,354

				2,730,919
Multiline Retail — 0.3%
Dollar General Corp.		490		46,060
Target Corp.		14,974		1,045,485

				1,091,545
Oil, Gas & Consumable Fuels — 6.0%
Anadarko Petroleum Corp.		9,513		506,567
Antero Resources Corp. (a)(b)		21,214		551,140
Apache Corp. (a)		75,735		4,216,167
California Resources Corp. (a)		71		866
Chesapeake Energy Corp. (a)(b)		35,553		152,167
Chevron Corp. (a)		5,939		622,585
Columbia Pipeline Group, Inc.		2,463		62,782
Continental Resources, Inc. (b)		8,498		384,705
Devon Energy Corp. (a)		76,141		2,760,111
EnLink Midstream LLC (a)		16,199		257,726
EOG Resources, Inc. (a)		12,542		1,046,254
EP Energy Corp., Class A (a)(b)		17,532		90,816
Exxon Mobil Corp.		40,622		3,807,906
Gulfport Energy Corp. (b)		61,869		1,934,025
Hess Corp.		2,330		140,033
Laredo Petroleum, Inc. (b)		58,007		607,913
Marathon Oil Corp. (a)		169,848		2,549,419
Marathon Petroleum Corp.		25,949		985,024
Memorial Resource Development Corp. (b)		6,382		101,346
Newfield Exploration Co. (b)		26,622		1,176,160
Noble Energy, Inc. (a)		8,135		291,802
Parsley Energy, Inc., Class A (b)		17,850		483,021
Pioneer Natural Resources Co.		3,543		535,737
Plains GP Holdings LP, Class A		10,145		105,812
QEP Resources, Inc.		5,096		89,843
Range Resources Corp.		3,315		143,009
Spectra Energy Corp.		6,653		243,699
Suncor Energy, Inc. (a)		3,500		97,055
Teekay Corp.		3,005		21,426
Tesoro Corp.		828		62,034
Valero Energy Corp.		29,807		1,520,157
Whiting Petroleum Corp. (b)		4,342		40,207
Williams Cos., Inc.		7,962		172,218
World Fuel Services Corp.		2,293		108,895
WPX Energy, Inc. (b)		4,914		45,749

				25,914,376
Personal Products — 0.0%
Herbalife Ltd. (b)		779		45,595
Pharmaceuticals — 4.9%
Bristol-Myers Squibb Co.		20,234		1,488,211
Eli Lilly & Co.		20,608		1,622,880
Johnson & Johnson		44,111		5,350,664
Merck & Co., Inc.		96,516		5,560,287
Pfizer, Inc.		141,343		4,976,687
Prestige Brands Holdings, Inc. (b)		2,259		125,149
Shire PLC, ADR		2,827		520,394
Teva Pharmaceutical Industries Ltd. — ADR (a)		31,563		1,585,409

				21,229,681
Professional Services — 0.9%
Dun & Bradstreet Corp. (a)		1,190		144,990
Equifax, Inc.		6,453		828,565
ManpowerGroup, Inc.		10,243		659,035
Nielsen Holdings PLC (a)		43,317		2,251,184
Robert Half International, Inc.		3,024		115,396

				3,999,170

See Notes to Financial Statements.



4	ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016


Schedule of Investments (continued)


Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) — 2.4%
Brixmor Property Group, Inc.		10,349	$	273,834
Essex Property Trust, Inc.		5,835		1,330,905
First Industrial Realty Trust, Inc.		6,421		178,632
Host Hotels & Resorts, Inc. (a)		22,075		357,836
Lamar Advertising Co., Class A		2,376		157,529
Mid-America Apartment Communities, Inc.		12,864		1,368,729
Prologis, Inc. (a)		9,943		487,605
Public Storage (a)		730		186,581
RLJ Lodging Trust		8,348		179,065
Simon Property Group, Inc. (a)		14,200		3,079,980
Starwood Property Trust, Inc.		37,921		785,723
Weingarten Realty Investors		45,124		1,841,962

				10,228,381
Real Estate Management & Development — 0.2%
Jones Lang LaSalle, Inc.		6,390		622,705
Realogy Holdings Corp. (b)		3,586		104,066

				726,771
Road & Rail — 0.3%
JB Hunt Transport Services, Inc. (a)		3,551		287,383
Landstar System, Inc. (a)		13,496		926,635
Norfolk Southern Corp.		3,136		266,968

				1,480,986
Semiconductors & Semiconductor Equipment — 2.1%
Analog Devices, Inc.		20,412		1,156,136
Applied Materials, Inc.		30,546		732,188
Intel Corp.		4,447		145,861
Lam Research Corp. (a)		25,421		2,136,889
Linear Technology Corp.		4,038		187,888
Maxim Integrated Products, Inc.		22,251		794,138
NVIDIA Corp. (a)		35,195		1,654,517
Teradyne, Inc. (a)		16,227		319,510
Texas Instruments, Inc.		3,333		208,812
Xilinx, Inc.		32,452		1,497,011

				8,832,950
Software — 3.8%
Activision Blizzard, Inc.		62,762		2,487,258
Adobe Systems, Inc. (b)		13,568		1,299,679
Check Point Software Technologies Ltd. (b)		3,888		309,796
Citrix Systems, Inc. (b)		4,258		341,023
Electronic Arts, Inc. (b)		8,909		674,946
Intuit, Inc.		7,549		842,544
Microsoft Corp.		197,914		10,127,259
Oracle Corp.		1,150		47,070
Synopsys, Inc. (b)		477		25,796

				16,155,371
Specialty Retail — 3.9%
Aaron’s, Inc.		18,396		402,688
GNC Holdings, Inc., Class A (a)		42,332		1,028,244
Home Depot, Inc.		40,988		5,233,758
Lowe’s Cos., Inc.		73,380		5,809,495
Office Depot, Inc. (b)		21,646		71,648
Penske Automotive Group, Inc.		22,309		701,841
Ross Stores, Inc.		39,543		2,241,693
Sears Hometown and Outlet Stores, Inc. (b)		5,854		39,456
TJX Cos., Inc.		18,685		1,443,043

				16,971,866
Technology Hardware, Storage & Peripherals — 4.2%
Apple, Inc.		167,531		16,015,964
EMC Corp.		51,361		1,395,478
Hewlett Packard Enterprise Co.		21,913		400,350
HP, Inc.		5,109		64,118


Common Stocks	Shares		Value
Technology Hardware, Storage & Peripherals (continued)
NetApp, Inc. (a)		8,325	$	204,712

				18,080,622
Textiles, Apparel & Luxury Goods — 0.5%
NIKE, Inc., Class B		35,394		1,953,749
Thrifts & Mortgage Finance — 0.1%
New York Community Bancorp, Inc. (a)		32,090		481,029
Tobacco — 1.9%
Altria Group, Inc.		117,206		8,082,525
Reynolds American, Inc.		1,431		77,174
Vector Group Ltd. (a)		3,452		77,394

				8,237,093
Trading Companies & Distributors — 0.1%
AerCap Holdings NV (b)		810		27,208
Air Lease Corp.		1,440		38,563
Watsco, Inc.		2,491		350,459

				416,230
Water Utilities — 0.5%
American Water Works Co., Inc.		25,867		2,186,020
Wireless Telecommunication Services — 0.7%
SBA Communications Corp., Class A (b)		7,065		762,596
T-Mobile U.S., Inc. (b)		1,723		74,554
Telephone & Data Systems, Inc.		71,442		2,118,970
United States Cellular Corp. (b)		6,288		246,930

				3,203,050
Total Common Stocks — 98.8%				425,708,185



Preferred Stocks
Food Products — 0.1%
Tyson Foods, Inc., 4.75% (c)		5,768		426,140
Machinery — 0.0%
Stanley Black & Decker, Inc., 6.25% (a)(c)		777		90,210
Total Preferred Securities — 0.1%				516,350
Total Long-Term Investments (Cost — $403,464,439) — 98.9%				426,224,535



Short-Term Securities
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.31% (d)(e)(f)		39,700,651		39,700,651
BlackRock Cash Funds: Prime, SL Agency Shares, 0.48% (d)(e)(f)		14,171,932		14,171,932

				53,872,583
Total Short-Term Securities (Cost — $53,872,583) — 12.5%				53,872,583
Total Investments (Cost — $457,337,022) — 111.4%				480,097,118
Liabilities in Excess of Other Assets — (11.4)%				(49,206,207	)

Net Assets — 100.0%			$	430,890,911

See Notes to Financial Statements.



ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016	5


Schedule of Investments (continued)


Notes to Schedule of Investments

(a)

Security, or a portion of security, is on loan.

(b)

Non-income producing security.

(c)

Convertible security.

(d)


Affiliate	Shares Held at December 31, 2015		Net Activity			Shares Held at June 30, 2016		Value at June 30, 2016		Income
BlackRock Cash Funds: Institutional, SL Agency Shares		21,712,891		17,987,760			39,700,651	$	39,700,651	$	76,052	¹
BlackRock Cash Funds: Prime, SL Agency Shares		14,799,184		(627,252	)		14,171,932		14,171,932		26,165	¹
Total								$	53,872,583	$	102,217

¹ Represents all or a portion of 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.

(e)

Current yield as of period end.

(f)

All or a portion of security was purchased with the cash collateral from loaned securities.


Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Contracts
Long

Issue

Expiration

Notional Value

Unrealized
Appreciation

S&P 500 E-Mini Index

September 2016

USD 3,448,830

31,070


Derivative Financial Instruments Categorized by Risk Exposure

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


Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Futures contracts	Net unrealized appreciation¹		—		—	$	31,070		—		—		—	$	31,070
¹ Includes cumulative appreciation on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statement of Operation was as follows:


Net Realized Gain (Loss) from:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Futures contracts		—		—	$	106,354		—		—		—	$	106,354
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts		—		—	$	31,431		—		—		—	$	31,431


Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts:
Average notional value of contracts — long	$	3,416,903

For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

See Notes to Financial Statements.



6	ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016


Schedule of Investments (concluded)


Fair Value Hierarchy as of Period End

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks¹	$	425,708,185		—			—	$	425,708,185
Preferred Stocks¹		516,350		—			—		516,350
Short-Term Securities		53,872,583		—			—		53,872,583

Total	$	480,097,118		—			—	$	480,097,118


Derivative Financial Instruments²
Assets:
Equity contracts	$	31,070		—			—	$	31,070

¹ See above Schedule of Investments for values in each industry.
² Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
	Level 1		Level 2			Level 3		Total
Assets:
Cash pledged for financial futures contracts	$	102,000		—			—	$	102,000
Liabilities:
Collateral on securities loaned at value		—	$	(49,017,188	)		—		(49,017,188	)

Total	$	102,000	$	(49,017,188	)		—	$	(48,915,188	)

During the six months ended June 30, 2016, there were no transfers between levels.

See Notes to Financial Statements.



ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016	7


Statement of Assets and Liabilities


June 30, 2016 (Unaudited)

Assets
Investments at value — unaffiliated (including securities loaned of $47,972,511 , cost — $403,464,439)	$	426,224,535
Investments at value — affiliated (cost — $53,872,583)		53,872,583
Cash pledged for futures contracts		102,000
Receivables:
Dividends receivable		397,810
Investments sold		12,716,521
Variation margin on futures contracts		27,150
Income — affiliated		2,053
Securities lending income — affiliated		12,795

Total assets		493,355,447


Liabilities
Collateral on securities loaned at value		49,017,188
Payables:
Investment advisory fees		54,925
Investments purchased		11,220,574
Trustees’ fees		13,802
Other accrued expenses		27,402
Withdrawals to investors		2,130,645

Total liabilities		62,464,536

Net Assets	$	430,890,911


Net Assets Consist of
Investors’ capital	$	408,099,745
Net unrealized appreciation (depreciation)		22,791,166

Net Assets	$	430,890,911


Statement of Operations


Six Months Ended June 30, 2016 (Unaudited)

Investment Income
Dividends — unaffiliated	$	3,858,799
Securities lending — affiliated — net		90,497
Dividends — affiliated		11,720
Foreign taxes withheld		(39,149	)

Total income		3,921,867


Expenses
Investment advisory		531,728
Administration		212,691
Professional		16,956
Trustees		12,585

Total expenses		773,960
Less:
Fees waived by the Manager		(233,215	)
Fees waived by the Administrator		(212,691	)

Total expenses after fees waived		328,054

Net investment income		3,593,813


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		(13,230,907	)
Futures contracts		106,354
Foreign currency transactions		586

		(13,123,967	)

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		18,531,723
Futures contracts		31,431
Foreign currency translations		(41	)

		18,563,113

Net realized and unrealized gain		5,439,146

Net Increase in Net Assets Resulting from Operations	$	9,032,959


Statements of Changes in Net Assets


	Six Months Ended June 30, 2016			Year Ended December 31, 2015
Increase (Decrease) in Net Assets:	(Unaudited)			Year Ended December 31, 2015

Operations
Net investment income	$	3,593,813		$	30,042,097
Net realized gain (loss)		(13,123,967	)		308,795,739
Net change in unrealized appreciation (depreciation)		18,563,113			(312,013,356	)

Net increase in net assets resulting from operations		9,032,959			26,824,480


Capital Transactions
Proceeds from contributions		36,877,667			233,706,507
Value of withdrawals		(61,015,223	)		(2,248,961,465	)

Net decrease in net assets derived from capital transactions		(24,137,556	)		(2,015,254,958	)


Net Assets
Total decrease in net assets		(15,104,597	)		(1,988,430,478	)
Beginning of period		445,995,508			2,434,425,986

End of period	$	430,890,911		$	445,995,508


Financial Highlights		Active Stock Master Portfolio


	Six Months Ended June 30, 2016 (Unaudited)			Year Ended December 31,
	Six Months Ended June 30, 2016 (Unaudited)			2015		2014		2013		2012		2011

Total Return
Total Return		2.15%	¹		(1.20)%		11.74%		34.02%		15.55%		2.20%


Ratios to Average Net Assets
Total expenses		0.36%	²		0.35%		0.35%		0.35%		0.35%		0.35%

Total expenses after fees waived		0.15%	²		0.15%		0.17%		0.23%		0.26%		0.27%

Net investment income		1.69%	²		1.65%		1.56%		1.55%		2.03%		1.70%


Supplemental Data
Net assets, end of period (000)	$	430,891		$	445,996	$	2,434,426	$	2,940,543	$	2,792,818	$	2,717,250

Portfolio turnover rate		58%			132%		119%		153%		120%		275%

Aggregate total return.

Annualized.


Notes to Financial Statements (Unaudited)

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Active Stock Master Portfolio (the “Master Portfolio”), is a series of MIP. The Master Portfolio is classified as diversified. MIP is organized as a Delaware statutory trust.

2. Significant Accounting Policies:

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

3. Investment Valuation and Fair Value Measurements:



12	ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016


Notes to Financial Statements (continued)

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:

•

Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.

•

Futures contracts traded on exchanges are valued at their last sale price.

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

•

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments has been included in the Schedule of Investments.

4. Securities and Other Investments:



ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016	13


Notes to Financial Statements (continued)

inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Securities Lending: The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to Master Portfolio, or excess collateral returned by 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. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as common stocks in the Master Portfolio’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments.

As of period end, the following table is a summary of the Master Portfolio’s securities lending agreements by counterparty which are subject to offset under an MSLA:


Counterparty	Securities Loaned at Value		Cash Collateral Received¹			Net Amount²
Barclays Capital Inc.	$	4,108	$	(4,108	)		—
BNP Paribas S.A.		23,345,535		(23,345,535	)		—
Citigroup Global Markets, Inc.		1,285,966		(1,283,901	)	$	2,065
Credit Suisse Securities (USA) LLC		5,724,205		(5,724,205	)		—
Deutsche Bank Securities, Inc.		1,165,256		(1,165,256	)		—
Goldman Sachs & Co		1,760,279		(1,760,279	)		—
HSBC Bank PLC		3,063,818		(3,063,818	)		—
Jefferies LLC		1,661,801		(1,661,801	)		—
JP Morgan Securities LLC		3,535,871		(3,535,871	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		4,161,890		(4,161,890	)		—
Morgan Stanley		1,362,933		(1,362,933	)		—
State Street Bank and Trust Co.		748,682		(744,872	)		3,810
Wells Fargo Securities, LLC		152,167		(152,167	)		—

Total	$	47,972,511	$	(47,966,636	)	$	5,875

Collateral with a value of $49,017,188 has been received in connection with securities lending agreements. Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.



14	ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016


Notes to Financial Statements (continued)

borrower default. The Master Portfolio could suffer 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.

5. Derivative Financial Instruments:

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over the counter.

Futures Contracts: The Master Portfolio invests in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to changes in changes in the value of equity securities (equity risk).

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

Investment Advisory


Average Daily Net Assets	Investment Advisory Fee
First $1 Billion		0.25%
$1 Billion — $3 Billion		0.24%
$3 Billion — $5 Billion		0.23%
$5 Billion — $10 Billion		0.22%
Greater than $10 Billion		0.21%

Administration

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. BAL may delegate certain of its administration duties to sub-administrators. BAL has voluntarily agreed to waive 0.10% of its administration fee payable. This amount is shown as “Fees waived by the Administrator” in the Statement of Operations. This voluntary waiver may be terminated at any time.

Expense Waivers

The Manager has voluntarily agreed to waive 0.095% of its investment advisory fees payable by the Master Portfolio. This voluntary waiver may be terminated at any time. This amount is included in fees waived by the Manager in the Statement of Operations. For the six months ended June 30, 2016, the Manager waived $202,057 pursuant to this agreement.



ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016	15


Notes to Financial Statements (continued)

Securities Lending

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated — net in the Statement of Operations. For the six months ended June 30, 2016, the Master Portfolio paid BTC $35,207 in total for securities lending agent services and collateral investment fees.

Officers and Trustees

The fees and expenses of MIP trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by MIP. BAL has contractually agreed to reimburse MIP or provide an offsetting credit against the administration fees paid by the MIP in an amount equal to these independent expenses through April 30, 2017. The amount of the waiver, if any, is shown as fees waived in the Statement of Operations. For the six months ended June 30, 2016, the manager waived $29,541 pursuant to this agreement.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

Other Transactions


	Purchases		Sales		Net Realized Gain (Loss)
Active Stock Master Portfolio	$	—	$	1,214,639	$	(91,434	)

7. Purchases and Sales:

For the six months ended June 30, 2016, purchases and sales of investments excluding short-term securities were $249,687,148 and $268,989,484, respectively.

8. Income Tax Information:



16	ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016


Notes to Financial Statements (concluded)

As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


Tax cost	$	469,998,059

Gross unrealized appreciation	$	35,876,413
Gross unrealized depreciation		(25,777,354	)

Net unrealized appreciation	$	10,099,059

9. Bank Borrowings:

10. Principal Risks:

With exchange-traded futures there is less counterparty credit risk to the Master Portfolio since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Master Portfolio does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Master Portfolio.

11. Subsequent Events:



ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016	17


Disclosure of Investment Advisory Agreement

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of Master Investment Portfolio (the “Master Fund”) met in person on April 21, 2016 (the “April Meeting”) and May 18-20, 2016 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Agreement”) between the Master Fund, on behalf of Active Stock Master Portfolio (the “Portfolio”), a series of the Master Fund, and BlackRock Fund Advisors (the “Manager” or “BlackRock”), the Master Fund’s investment advisor.

Activities and Composition of the Board

On the date of the May Meeting, the Board consisted of fifteen individuals, thirteen of whom were not “interested persons” of the Master Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Master Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Board Member. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight and Contract Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreement

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreement on an annual basis. The Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Board assessed, among other things, the nature, extent and quality of the services provided to the Portfolio by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management; administrative and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Portfolio and its interest holders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreement.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Portfolio for services; (c) Portfolio operating expenses and how BlackRock allocates expenses to the Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Portfolio’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Master Fund’s compliance with its compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Portfolio; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreement

The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreement. The Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on Portfolio fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Portfolio as compared with a peer group of funds as determined by Broadridge¹; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by the Portfolio to BlackRock; and (g) sales and redemption data regarding the Portfolio’s interests.

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.



18	ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016


Disclosure of Investment Advisory Agreement (continued)

At the May Meeting, the Board, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master Fund with respect to the Portfolio for a one-year term ending June 30, 2017. In approving the continuation of the Agreement, the Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Portfolio; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Portfolio; (d) the Portfolio’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Portfolio; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates, securities lending and cash management, services related to the valuation and pricing of portfolio holdings of the Portfolio, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Portfolio. Throughout the year, the Board compared Portfolio performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Portfolio’s portfolio management team discussing the Portfolio’s performance and the Portfolio’s investment objective(s), strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and the Portfolio’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board engaged in a review of BlackRock’s compensation structure with respect to the Portfolio’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, the Board considered the quality of the administrative and other non-investment advisory services provided to the Portfolio. BlackRock and its affiliates provide the Portfolio with certain administrative, shareholder and other services (in addition to any such services provided to the Portfolio by third parties) and officers and other personnel as are necessary for the operations of the Portfolio. In particular, BlackRock and its affiliates provide the Portfolio with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) preparing periodic filings with regulators; (iv) overseeing and coordinating the activities of other service providers; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing other administrative functions necessary for the operation of the Portfolio, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Portfolio. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Portfolio’s performance. The Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board received and reviewed information regarding the investment performance of the Portfolio as compared to other funds in its applicable Broadridge category. The Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. The Board was provided with information on the composition of the Broadridge performance universes and expense universes. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Portfolio management to discuss, the performance of the Portfolio throughout the year.

The Board noted that for the one-, three- and five-year periods reported, the Portfolio ranked in the third, third, and second quartiles, respectively, against its Broadridge Performance Universe. The Board and BlackRock reviewed and discussed the reasons for the Portfolio’s underperformance during the one- and three year periods. The Board was informed that, among other things, poor stock selection in the consumer discretionary, financials and utilities sectors was the primary detractor from performance.



ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016	19


Disclosure of Investment Advisory Agreement (continued)

The Board and BlackRock discussed BlackRock’s strategy for improving the Portfolio’s investment performance. Discussions covered topics such as: investment risks undertaken by the Portfolio; performance attribution; the Portfolio’s investment personnel; and the resources appropriate to support the Fund’s investment processes. The Board and BlackRock also discussed BlackRock’s active equity platform, and it was noted that BlackRock has recruited a Head of Global Active Equity, and has appointed a Chief Performance Officer to provide analysis of investment performance to senior management and the Board.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Portfolio: The Board, including the Independent Board Members, reviewed the Portfolio’s contractual advisory fee rate compared with the other funds in its Broadridge category. The contractual advisory fee rate is shown before taking into account any reimbursements or fee waivers. The Board also compared the Portfolio’s total expense ratio, as well as its actual advisory fee rate, to those of other funds in its Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual advisory fee rate gives effect to any advisory fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Portfolio. The Board reviewed BlackRock’s profitability with respect to the Portfolio and other funds the Board currently oversees for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. The Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund level is difficult.

In addition, the Board considered the cost of the services provided to the Portfolio by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing the Portfolio, to the Portfolio. The Board may receive and review information from independent third parties as part of its annual evaluation. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing the Portfolio in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

The Board noted that the Portfolio’s contractual advisory fee rate ranked in the first quartile, and that the actual advisory fee rate and total expense ratio each ranked in the first quartile, relative to the Portfolio’s Expense Peers. The Board also noted that the Portfolio has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the Portfolio increases above certain contractually specified levels. The Board further noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate the Portfolio for the fees and expenses of the Independent Board Members, counsel to the Independent Board Members and the Portfolio’s independent registered public accounting firm. The Board additionally noted that BlackRock has voluntarily agreed to waive a portion of its administration and advisory fees payable by the Portfolio in an amount sufficient to maintain the advisory fee payable by each of the LifePath Master Portfolios at a specified annual rate.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Portfolio benefits from such economies in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Portfolio to more fully participate in these economies of scale. The Board considered the Portfolio’s asset levels and whether the current fee schedule was appropriate.



20	ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016


Disclosure of Investment Advisory Agreement (concluded)

scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.

Conclusion

The Board, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master Fund with respect to the Portfolio for a one-year term ending June 30, 2017. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of the Portfolio and its interest holders. In arriving at its decision to approve the Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.



ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016	21


Officers and Trustees

Rodney D. Johnson, Chair of the Board and Trustee

David O. Beim, Trustee

Susan J. Carter, Trustee

Collette Chilton, Trustee

Neil A. Cotty, Trustee

Dr. Matina S. Horner, Trustee

Cynthia A. Montgomery, Trustee

Barbara G. Novick, Trustee

Joseph P. Platt, Trustee

Robert C. Robb, Jr., Trustee

Mark Stalnecker, Trustee

Kenneth L. Urish, Trustee

Claire A. Walton, Trustee

Frederick W. Winter, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Richard Hoerner, CFA, Vice President

Jennifer McGovern, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Fernanda Piedra, Anti-Money Laundering Compliance Officer

Benjamin Archibald, Secretary

Effective February 5, 2016, Frank J. Fabozzi resigned as a Trustee of MIP.

Effective February 8, 2016, Susan J. Carter, Neil A. Cotty and Claire A. Walton were elected to serve as Trustee of MIP.



Investment Advisor BlackRock Fund Advisors San Francisco, CA 94105	Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02210	Legal Counsel Sidley Austin LLP New York, NY 10019

Administrator BlackRock Advisors, LLC Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of MIP 400 Howard Street San Francisco, CA 94105



22	ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016


Additional Information

Availability of Quarterly Schedule of Investments

Proxy Results

A Special Meeting of Shareholders was held on February 8, 2016 for shareholders of record on December 11, 2015, to elect a Board of Trustees of MIP.

Approved the Trustees* as follows:


	Votes For		Votes Withheld
David O. Beim		93,744,625,170		102,294,210
Susan J. Carter		93,564,604,497		282,314,883
Collette Chilton		93,778,667,881		68,251,499
Neil A. Cotty		93,524,182,594		322,736,786
Matina S. Horner		93,744,748,738		102,170,642
Rodney D. Johnson		93,743,366,844		103,552,536
Cynthia A. Montgomery		93,738,956,489		107,962,891
Joseph P. Platt		93,750,384,350		96,535,030
Robert C. Robb, Jr.		93,749,078,613		97,840,767
Mark Stalnecker		93,668,711,867		178,207,513
Kenneth L. Urish		93,694,700,012		152,219,368
Claire A. Walton		93,569,519,963		277,399,417
Frederick W. Winter		93,699,601,190		147,318,190
Barbara G. Novick		93,778,480,450		68,438,930
John M. Perlowski		93,744,975,345		101,944,035

Denotes Trust-wide proposal and voting results.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Master Portfolio uses to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Master Portfolio voted proxies relating to securities held in the Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.



ACTIVE STOCK MASTER PORTFOLIO	JUNE 30, 2016	23

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’ Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 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 second fiscal quarter of 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 –

Exhibits attached hereto

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) – Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Funds III and Master Investment Portfolio


By:		/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Funds III and Master Investment Portfolio

Date: September 2, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of each registrant and in the capacities and on the dates indicated.

By:		/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Funds III and Master Investment Portfolio

Date: September 2, 2016

By:		/s/ Neal J. Andrews
		Neal J. Andrews
		Chief Financial Officer (principal financial officer) of
		BlackRock Funds III and Master Investment Portfolio

Date: September 2, 2016