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 Bond Index Fund	LifePath® 2050 Portfolio
BlackRock S&P 500 Stock Fund	BlackRock Cash Funds: Institutional
LifePath® Retirement Portfolio	BlackRock Cash Funds: Prime
LifePath 2020 Portfolio®	BlackRock Cash Funds: Government
LifePath 2030 Portfolio®	BlackRock Cash Funds: Treasury
LifePath 2040 Portfolio®

Master Investment Portfolio

Bond Index Master Portfolio	Active Stock Master Portfolio
S&P 500 Stock Master Portfolio	CoreAlpha Bond Master Portfolio
LifePath® Retirement Master Portfolio	Money Market Master Portfolio
LifePath 2020 Master Portfolio®	Prime Money Market Master Portfolio
LifePath 2030 Master Portfolio®	Government Money Market Master Portfolio
LifePath 2040 Master Portfolio®	Treasury Money Market Master Portfolio
LifePath® 2050 Master Portfolio

Fund Address: One Freedom Valley Drive, Oaks, PA 19456

Names and addresses of agent for service:

BlackRock Funds III

The Corporation Trust Company, 1209 Orange Street, Wilmington, DE 19801

Master Investment Portfolio

RL&F Service Corp., One Rodney Square, 10^th Floor, Tenth and King Streets, Wilmington, DE 19801

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

Date of fiscal year end: 12/31/2009

Date of reporting period: 12/31/2009

Item 1 – Report to Stockholders

EQUITIES    FIXED INCOME    REAL ESTATE    LIQUIDITY    ALTERNATIVES    BLACKROCK SOLUTIONS

BlackRock Funds III
ANNUAL REPORT  |   DECEMBER 31, 2009

BlackRock Bond Index Fund

BlackRock S&P 500 Stock Fund

NOT FDIC INSURED

MAY LOSE VALUE

NO BANK GUARANTEE

Table of Contents

	Page
Dear Shareholder	3
Annual Report:
Fund Summaries	4
About Fund Performance	8
Disclosure of Expenses	8
Fund Financial Statements:
Statements of Assets and Liabilities	9
Statements of Operations	10
Statements of Changes in Net Assets	11
Fund Financial Highlights	12
Fund Notes to Financial Statements	14
Fund Report of Independent Registered Public Accounting Firm	17
Important Tax Information (Unaudited)	17
Proxy Results	18
Master Portfolio Information	19
Derivative Financial Instruments	20
Master Portfolio Financial Statements:
Schedules of Investments	21
Statements of Assets and Liabilities	34
Statements of Operations	35
Statements of Changes in Net Assets	36
Master Portfolio Financial Highlights	37
Master Portfolio Notes to Financial Statements	38
Master Portfolio Report of Independent Registered Public Accounting Firm	43
Proxy Results	44
Disclosure of Investment Advisory Agreement	45
Officers and Trustees	48
Additional Information	52

2 ANNUAL REPORT DECEMBER 31, 2009

Dear Shareholder

In 2009, investors worldwide witnessed a seismic shift in market sentiment as the fear and pessimism that characterized 2008 were replaced by guarded optimism. The single most important reason for this change was the swing from a deep global recession to the beginnings of a global recovery.

At the outset of the year, markets were still reeling from 2008’s nearly unprecedented global financial and economic meltdown. The looming threat of further collapse in global markets prompted stimulus packages and central bank interventions on an extraordinary scale worldwide. Ultimately, these actions helped stabilize the financial system, and the economic contraction began to abate.

Stocks fell sharply to start 2009 as investor confidence remained low on fears of an economic depression. After touching their lows in March, stocks galloped higher as massive, coordinated global monetary and fiscal stimulus began to reflate world economies. Sidelined cash poured into the markets, triggering a dramatic and steep upward rerating of stocks and other risk assets. The financial sector and low-quality securities that had been battered most in the downturn enjoyed the sharpest recovery. The experience in international markets was similar to that seen in the United States. European stocks slightly edged out other developed markets for the year, but emerging markets were the clear winners in 2009. To some extent, this outperformance reflected the stronger recoveries in emerging economies and corporate earnings, but emerging market stocks also saw significant expansion in valuations.

The improvement in the economic backdrop was reflected in fixed income markets as well, where non-Treasury assets made a robust recovery. One of the major themes for 2009 was the reversal of the flight-to-quality trade seen in 2008. As investors grew more comfortable with risk, high yield finished the year as the strongest-performing fixed income sector in both the taxable and tax-exempt space. Overall, the municipal market made a strong showing, outpacing most taxable sectors. Despite fundamental challenges, the technical picture remained supportive of the asset class. Municipal fund inflows had a record-setting year; investor expectations of higher taxes boosted demand; and the Build America Bonds program was deemed a success, adding $65 billion of taxable supply to the municipal marketplace in 2009. Notably, the program has alleviated tax-exempt supply pressure and attracted the attention of a global audience.

All told, the rebound in sentiment and global market conditions propelled virtually every major benchmark index into positive territory for both the 6- and 12-month periods, with the notable exception of Treasury bonds, which were negatively affected by rising long-term rates.

Total Returns as of December 31, 2009	6-month		12-month
US equities (S&P 500 Index)	22.59	%	26.46	%
Small cap US equities (Russell 2000 Index)	23.90		27.17
International equities (MSCI Europe, Australasia, Far East Index)	22.07		31.78
US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index)	(1.06	)	(9.71	)
Taxable fixed income (Barclays Capital US Aggregate Bond Index)	3.95		5.93
Tax-exempt fixed income (Barclays Capital Municipal Bond Index)	6.10		12.91
High yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index)	21.27		58.76

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

The market environment improved dramatically in the past year, but uncertainty and risk remain. Through periods of market turbulence, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. For additional market perspective and investment insight, visit the most recent issue of our award-winning Shareholder^® magazine at www.blackrock.com/shareholdermagazine. As always, we thank you for entrusting BlackRock with your investments, and we look forward to continuing to serve you in the new year and beyond.

Sincerely,

Rob Kapito

President, BlackRock Advisors, LLC

Announcement to Shareholders

On December 1, 2009, BlackRock, Inc. and Barclays Global Investors, N.A. combined to form one of the world’s preeminent investment management firms. The new company, operating under the BlackRock name, manages $3.346 trillion in assets* and offers clients a full complement of worldwide active management, enhanced and index investment strategies and products, including individual and institutional separate accounts, mutual funds and other pooled investment vehicles, and the industry-leading iShares^® platform of exchange-traded funds.

* Data is as of December 31, 2009.

THIS PAGE NOT PART OF YOUR FUND REPORT

3

Fund Summary as of December 31, 2009	BlackRock Bond Index Fund
Portfolio Management Commentary

How did the Fund perform?

• For the 12 months ended December 31, 2009, the Fund generated total returns, through its investment in the Bond Index Master Portfolio (the “Master Portfolio”), that underperformed that of the benchmark Barclays Capital U.S. Aggregate Bond Index (the “Index”). The Index is comprised of U.S. government securities and investment-grade corporate bonds, as well as mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities. For the 12 months ended December 31, 2009, the total return for the Fund was 5.21%, while the total return for the Index was 5.93% .

Describe the market environment.

• The U.S. bond market gained ground in 2009 in a rapidly changing economic environment. The year began with the U.S. economy in the midst of the worst economic downturn since the Great Depression. The economy contracted sharply during the last half of 2008 and continued to decline in the first half of 2009 as the government reported negative economic growth in the first two quarters of the year. The economic malaise was exacerbated by a liquidity crisis in the credit markets, which led to hundreds of billions of dollars in losses on mortgage-related securities and other credit instruments across the financial sector. As a result, lending standards tightened considerably, making it difficult for many financial companies to access the capital they needed to shore up their deteriorating balance sheets.

• With the economy under pressure and the financial system facing severe difficulties, the U.S. government took unprecedented actions to stimulate economic activity, shore up the financial sector, and improve liquidity in the credit markets. The Federal Reserve, which had cut short-term interest rates to a historically low range of 0% to 0.25% in late 2008, began purchasing Treasury bonds and mortgage-backed securities in an effort to boost liquidity in the fixed-income markets and keep mortgage rates low as a boost to the slumping housing sector. Meanwhile, the federal government passed a massive economic stimulus package in early 2009 and provided additional support to the struggling financial sector.

• The government’s efforts began to pay off in the spring as early signs of economic stabilization began to materialize. Steep declines in consumer spending, manufacturing, and housing slowly began to ease and then gradually reverse. By the third quarter of the year, the U.S. economy produced its first quarter of positive economic growth in more than a year, expanding at a 2.2% annual rate, and economic growth in the fourth quarter of 2009 was expected to exceed the rate of growth in the third quarter. In addition, the financial sector showed signs of life after nearly collapsing in late 2008.

• Despite the increasingly positive economic news, some segments of the economy continued to struggle. The unemployment rate surged to a 26-year high of 10.2% in October before falling back modestly to 10.0% by year-end, construction spending continued to decline steadily throughout the year, and the financial sector continued to face sizable losses and damaged balance sheets. Nonetheless, by the end of 2009, it appeared that the worst of the downturn had passed and that the economy was slowly emerging from recession.

• In this environment, U.S. bonds advanced overall in 2009, though there was a wide disparity in sector performance. The improving economic environment provided a strong boost to corporate bonds, which were among the best performers in the bond market in 2009. Mortgage-backed securities performed in line with the broad bond market as the positive impact of the Federal Reserve’s purchases was offset somewhat by an increase in mortgage refinancing activity. Treasury bonds were the only segment of the bond market to decline in 2009; the improving economic environment weighed on the Treasury market, as did increased issuance of Treasury securities by the government to fund a widening federal budget deficit.

Describe recent portfolio activity.

• Throughout the 12-month period, the Master Portfolio selected securities for investment in accordance with their relative proportion within the Index as well as based on credit quality, issuer sector, maturity structure, coupon rates and callability, among other factors, in order to maintain its objective of matching the total return performance of the Index.

Describe portfolio positioning at period-end.

• In keeping with its investment objective, the Master Portfolio continues to seek to match the risk characteristics of its benchmark, 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 ANNUAL REPORT DECEMBER 31, 2009

	BlackRock Bond Index Fund
Total Return Based on a $10,000 Investment

1 The Fund invests all of its assets in the Bond Index Master Portfolio. The Master Portfolio invests primarily in long-term, fixed income securities that are rated in the four highest categories of the recognized rating agencies (Baa or better by Moody’s Investors Service, Inc., or BBB or better by Standard & Poor’s).

2 The unmanaged market-weighted index is composed of investment grade corporate bonds (rated BBB or better), mortgages and U.S. Treasury and government agency issues with at least one year to maturity.

Performance Summary for the Year Ended December 31, 2009

	Standardized 30-Day Yields		6-Month Total Returns		Average Annual Total Returns
					1 Year		5 Years		10 Years
BlackRock Bond Index Fund	2.99	%	3.55	%	5.21	%	5.02	%	6.32	%
Barclays Capital U.S. Aggregate Bond Index	—		3.95	%	5.93	%	4.97	%	6.33	%

See “About Fund Performance” on page 8 for further information on how performance was calculated.

Past performance is not indicative of future results.

Expense Example

Actual						Hypothetical4
Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period3		Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period4
$	1,000	$	1,035.50	$	1.18	$	1,000	$	1,024.00	$	1.17

3 Expenses are equal to the annualized expense ratio of 0.23% for the Fund, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Fund invests significantly in a Master Portfolio, the expense table example reflects the net expenses of both the Fund and the Master Portfolio in which it invests.

4 Hypothetical 5% return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 8 for further information on how expenses were calculated.

ANNUAL REPORT DECEMBER 31, 2009 5

Fund Summary as of December 31, 2009	BlackRock S&P 500 Stock Fund
Portfolio Management Commentary

How did the Fund perform?

• For the 12 months ended December 31, 2009, the Fund generated total returns, through its investment in the S&P 500 Stock Master Portfolio (the “Master Portfolio”), that generally tracked that of the benchmark Standard & Poor’s (S&P) 500® Index (the “Index”). The Index is a capitalization-weighted index representing a broad range of industries chosen for market size, liquidity and industry group representation, and is composed of 500 selected common stocks, most of which are listed on the New York Stock Exchange. For the 12 months ended December 31, 2009, the total return for the Fund was 26.48%, while the total return for the Index was 26.46% .

Describe the market environment.

• Following a very difficult 2008 which saw a global financial and economic meltdown, stocks entered 2009 by falling another 35% in the United States as fears of depression and financial system nationalization gripped investors. From March 2009 lows, stocks galloped higher as those fears dissipated and as global monetary and fiscal stimuli began to reflate economic activity. While deleveraging and other deflationary forces have not left the scene, consistent and aggressive government policy ignited the reflationary process. 2009 produced negative real economic growth, weak nominal growth and significant earnings declines. Despite that backdrop, “risky” assets outperformed “safe” assets as sidelined cash (which was producing near-zero returns) moved back into the markets. Emerging markets outperformed developed markets. Inflation fell in most countries, but widespread deflation was avoided. Treasury rates moved modestly higher as the yield curve steepened. Quality spreads narrowed, while equity markets remained volatile, but ended the year with sharp gains. Financial stocks and other low-quality securities led these gains, and information technology was the standout sector performer. Government spending reached record proportions, and the year ended with cyclical stimulus leading the way and masking structural problems that remain.

• On a total return basis, the Dow Jones Industrial Average gained 22.68% to close the year; the Nasdaq Composite advanced 45.32% (helped in large part by the exceptional performance of the technology sector); and the S&P 500 rose 26.46% .

• Within the Index, all 10 sectors recorded positive returns for the period. Information technology (+61.72%), materials (+48.59%) and consumer discretionary (+41.30%) were the best performers for the period, while telecommunication services (+8.93%) and utilities (+11.91%) posted comparatively smaller gains.

Describe recent portfolio activity.

• Throughout the 12-month period, as changes were made to the composition of the Index, the Master Portfolio purchased and sold securities to maintain its objective of providing investment results that corresponded to the total return performance of the Index.

Describe portfolio positioning at period-end.

• In keeping with its investment objective, the Master Portfolio remains positioned to match the risk characteristics of its benchmark, irrespective of the market’s future direction.

6 ANNUAL REPORT DECEMBER 31, 2009

	BlackRock S&P 500 Stock Fund
Total Return Based on a $10,000 Investment

1 The Fund invests all of its assets in the S&P 500 Stock Master Portfolio. The Master Portfolio invests primarily in a diversified portfolio of equity securities of large companies located in the United States.

2 The unmanaged broad-based index measures the performance of the 500 companies in the S&P 500 Index, most of which are listed on the New York Stock Exchange.

Performance Summary for the Year Ended December 31, 2009

	6-Month Total Returns		Average Annual Total Returns
			1 Year		5 Years		10 Years
BlackRock S&P 500 Stock Fund	22.53	%	26.48	%	0.32	%	(1.11	)%
S&P 500 Index	22.59	%	26.46	%	0.42	%	(0.95	)%

See “About Fund Performance” on page 8 for further information on how performance was calculated.

Past performance is not indicative of future results.

Expense Example

Actual						Hypothetical4
Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period3		Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period4
$	1,000	$	1,225.30	$	1.12	$	1,000	$	1,024.20	$	1.02

3 Expenses are equal to the annualized expense ratio of 0.20% for the Fund, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Fund invests significantly in a Master Portfolio, the expense table example reflects the expenses of both the Fund and the Master Portfolio in which it invests.

4 Hypothetical 5% return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 8 for further information on how expenses were calculated.

ANNUAL REPORT DECEMBER 31, 2009 7

About Fund Performance

None of the past results shown should be considered a representation of future performance. Current performance data may be lower or higher than the performance data quoted. Call toll free, (800) 441-7762, to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Figures shown in the performance tables on the preceding pages assume reinvestment of all dividends and capital gain distributions, if any, at net asset value on the payable date for BlackRock Bond Index Fund and on ex-dividend date for BlackRock S&P 500 Stock Fund. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The Funds’ administrator provided an offsetting credit against its fees. Without such waiver/credit, the Funds’ performance would have been lower.

Disclosure of Expenses

Shareholders of each Fund may incur operating expenses, including advisory fees and other fund expenses. The expense examples on the preceeding pages (which are based on a hypothetical investment of $1,000 invested on July 1, 2009 and held through December 31, 2009) are 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 tables on the preceeding pages 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 under the heading entitled “Expenses Paid During the Period.”

The tables also provide 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 these Funds and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in other funds’ shareholder reports.

The expenses shown in the tables are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as sales charges, redemption fees or exchange fees. Therefore, the hypothetical 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.

8 ANNUAL REPORT DECEMBER 31, 2009

Statements of Assets and Liabilities BlackRock Funds III

December 31, 2009	BlackRock Bond Index Fund			BlackRock S&P 500 Stock Fund
Assets
Investments at value - Master Portfolio	$	156,464,488		$	215,646,994
Capital shares sold receivable		271,772			269,813
Total assets		156,736,260			215,916,807
Liabilities
Administration fees payable		19,064			26,537
Capital shares redeemed payable		17,917			546,069
Professional fees payable		10,988			11,002
Total liabilities		47,969			583,608
Net Assets	$	156,688,291		$	215,333,199
Net Assets Consist of
Paid-in capital	$	154,174,287		$	577,442,891
Undistributed net investment income		—			171,315
Accumulated net realized loss		(1,460,472	)		(302,340,682	)
Net unrealized appreciation/depreciation		3,974,476			(59,940,325	)
Net Assets	$	156,688,291		$	215,333,199
Net Asset Value
Net assets	$	156,688,291		$	215,333,199
Shares outstanding, unlimited number of shares authorized, no par value		15,821,354			1,613,106
Net asset value	$	9.90		$	133.49

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 9

Statements of Operations BlackRock Funds III

Year Ended December 31, 2009	BlackRock Bond Index Fund			BlackRock S&P 500 Stock Fund
Investment Income
Net investment income allocated from the Master Portfolios:
Interest	$	6,076,909		$	1,049
Securities lending - affiliated		54,289			142,784
Income - affiliated		39,713			9,702
Dividends		—			4,377,877
Expenses1		(115,341	)		(94,487	)
Total income		6,055,570			4,436,925
Expenses
Administration		216,183			283,338
Professional		11,354			11,502
Independent Trustees		1,301			1,617
Total expenses		228,838			296,457
Less expense reductions		(12,655	)		(13,119	)
Total expenses after expense reductions		216,183			283,338
Net investment income		5,839,387			4,153,587
Realized and Unrealized Gain (Loss) Allocated from the Master Portfolios
Net realized gain (loss) from investments and financial futures contracts		955,336			(17,715,002	)
Net change in unrealized appreciation/depreciation on investments and financial futures contracts		622,654			61,318,749
Total realized and unrealized gain		1,577,990			43,603,747
Net Increase in Net Assets Resulting from Operations	$	7,417,377		$	47,757,334

1 Net of investment advisory fee reductions in the amount of $21,135 and $4,424, respectively.

See Notes to Financial Statements.

10 ANNUAL REPORT DECEMBER 31, 2009

Statements of Changes in Net Assets BlackRock Funds III

	BlackRock Bond Index Fund						BlackRock S&P 500 Stock Fund
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2009			2008			2009			2008
Operations
Net investment income	$	5,839,387		$	6,124,797		$	4,153,587		$	5,687,881
Net realized gain (loss)		955,336			(423,558	)		(17,715,002	)		(67,466,296	)
Net change in unrealized appreciation/depreciation		622,654			1,434,052			61,318,749			(49,212,387	)
Net increase (decrease) in net assets resulting from operations		7,417,377			7,135,291			47,757,334			(110,990,802	)
Dividends and Distributions to Shareholders From
Net investment income		(6,181,175	)		(6,225,133	)		(4,040,945	)		(5,676,918	)
Return of capital		—			(19,155	)		—			(53,143	)
Decrease in net assets resulting from dividends and distributions to shareholders		(6,181,175	)		(6,244,288	)		(4,040,945	)		(5,730,061	)
Capital Share Transactions
Net increase (decrease) in net assets derived from capital share transactions		22,455,344			20,258,775			2,191,526			(44,745,392	)
Net Assets
Total increase (decrease) in net assets		23,691,546			21,149,778			45,907,915			(161,466,255	)
Beginning of year		132,996,745			111,846,967			169,425,284			330,891,539
End of year	$	156,688,291		$	132,996,745		$	215,333,199		$	169,425,284
Undistributed net investment income		—			—		$	171,315		$	62,534

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 11

Financial Highlights BlackRock Bond Index Fund

	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	9.82		$	9.74		$	9.59		$	9.64		$	9.93
Net investment income		0.40	1		0.47			0.48			0.46			0.44
Net realized and unrealized gain (loss)		0.10			0.09			0.19			(0.02	)		(0.23	)
Net increase from investment operations		0.50			0.56			0.67			0.44			0.21
Dividends and distributions from:
Net investment income		(0.42	)		(0.48	)		(0.52	)		(0.49	)		(0.50	)
Return of capital		—			(0.00	)2		—			—			—
Total dividends and distributions		(0.42	)		(0.48	)		(0.52	)		(0.49	)		(0.50	)
Net asset value, end of year	$	9.90		$	9.82		$	9.74		$	9.59		$	9.64
Total Investment Return3
Based on net asset value		5.21	%		5.91	%		7.16	%		4.76	%		2.12	%
Ratios to Average Net Assets4
Total expenses		0.25	%		0.26	%		0.28	%		0.26	%		0.23	%
Total expenses after expense reductions		0.23	%		0.23	%		0.23	%		0.23	%		n/a
Net investment income		4.05	%		4.84	%		5.00	%		4.83	%		4.42	%
Supplemental Data
Net assets, end of year (000)	$	156,688		$	132,997		$	111,847		$	103,592		$	203,771
Portfolio turnover of the Master Portfolio5		103	%6		89	%		61	%		57	%		76	%

1 Based on average shares outstanding.

2 Rounds to less than $0.01.

3 Includes the reinvestment of dividends and distributions.

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

5 Includes TBA transactions.

6 Excluding TBA transactions, the portfolio turnover rate would have been 87%.

See Notes to Financial Statements.

12 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (concluded) BlackRock S&P 500 Stock Fund

	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	107.85		$	175.47		$	169.53		$	150.07		$	145.95
Net investment income		2.50	1		3.28			3.14			3.04			2.66
Net realized and unrealized gain (loss)		25.60			(67.60	)		5.94			20.11			4.07
Net increase (decrease) from investment operations		28.10			(64.32	)		9.08			23.15			6.73
Dividends and distributions from:
Net investment income		(2.46	)		(3.27	)		(3.14	)		(3.68	)		(2.61	)
Return of capital		—			(0.03	)		—			(0.01	)		—
Total dividends and distributions		(2.46	)		(3.30	)		(3.14	)		(3.69	)		(2.61	)
Net asset value, end of year	$	133.49		$	107.85		$	175.47		$	169.53		$	150.07
Total Investment Return2
Based on net asset value		26.48	%		(37.01	)%		5.39	%		15.60	%		4.72	%
Ratios to Average Net Assets3
Total expenses		0.21	%		0.21	%		0.21	%		0.21	%		0.20	%
Total expenses after expense reductions		0.20	%		0.20	%		0.20	%		0.20	%		n/a
Net investment income		2.20	%		2.16	%		1.83	%		1.78	%		1.69	%
Supplemental Data
Net assets, end of year (000)	$	215,333		$	169,425		$	330,892		$	270,407		$	308,836
Portfolio turnover of the Master Portfolio		5	%		8	%		7	%		14	%		10	%

1 Based on average shares outstanding.

2 Includes the reinvestment of dividends and distributions.

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 13

Notes to Financial Statements BlackRock Funds III

1. Organization and Significant Accounting Policies:

BlackRock Funds III (the “Trust”) is a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust, formerly known as Barclays Global Investors Funds, Inc. (“BGIF”), was redomiciled from a Maryland corporation to a Delaware statutory trust effective January 11, 2002. The financial statements and these accompanying notes relate to two series of the Trust: BlackRock Bond Index Fund (formerly Bond Index Fund under BGIF) and BlackRock S&P 500 Stock Fund (formerly S&P 500 Stock Fund under BGIF) (each, a “Fund” and collectively, the “Funds”). Each Fund seeks to achieve its investment objective by investing substantially all of its assets in a separate series of Master Investment Portfolio (“MIP”): Bond Index Master Portfolio and S&P 500 Stock Master Portfolio (formerly S&P 500 Index Master Portfolio) (each, a “Master Portfolio” and collectively, the “Master Portfolios”). Each Master Portfolio has the same or substantially similar investment objective as its corresponding Fund. The performance of a Fund is directly affected by the performance of its corresponding Master Portfolio.

The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (99.99% and 10.52% for the BlackRock Bond Index Fund and BlackRock S&P 500 Stock Fund, respectively, as of December 31, 2009).

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. The Funds’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require management to make certain accruals and estimates. Actual results may differ from these estimates.

The following is a summary of significant accounting policies followed by the Funds:

Valuation: Each Fund records its investment in its corresponding Master Portfolio at fair value.

Fair Value Measurements: Various inputs are used in determining the fair value of investments, which are as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

• 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)

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

As of December 31, 2009, each Fund’s investment in its corresponding Master Portfolio was classified as Level 2. More relevant disclosure regarding fair value measurements relates to the Master Portfolios, which is disclosed in Note 1 of the Master Portfolios’ Notes to Financial Statements included elsewhere in this report.

Investment Transactions and Net Investment Income: For financial reporting purposes, investment transactions in the Master Portfolios are accounted for on a trade date basis. Each Fund records daily its proportionate share of its Master Portfolio’s income, expenses and realized and unrealized gains and losses. In addition, each Fund accrues its own expenses.

Dividends and Distributions to Shareholders: Distributions to shareholders from net investment income of the BlackRock Bond Index Fund are declared and distributed monthly. Distributions to shareholders from net investment income of the BlackRock S&P 500 Stock Fund, if any, are declared and distributed quarterly. For each Fund, distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually.

Income Taxes: It is each Fund’s policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Management has evaluated the tax positions of each Fund as of December 31, 2009 and has determined that no provision for income tax is required in the Funds’ financial statements.

Each Fund files U.S. federal and state tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax return remains open for the years ended December 31, 2006 through December 31, 2009.

Recent Accounting Standards: In June 2009, amended guidance was issued by the Financial Accounting Standards Board (“FASB”) for transfers of financial assets. This guidance is intended to improve the relevance, representational faithfulness and comparability of the information that a reporting entity provides in its financial statements about a transfer of financial assets; the effects of a transfer on its financial position, financial performance, and cash flows; and a transferor’s continuing involvement, if any, in transferred financial

14 ANNUAL REPORT DECEMBER 31, 2009

Notes to Financial Statements (continued) BlackRock Funds III

assets. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after November 15, 2009. Earlier application is prohibited. The recognition and measurement provisions of this guidance must be applied to transfers occurring on or after the effective date. Additionally, the enhanced disclosure provisions of the amended guidance should be applied to transfers that occurred both before and after the effective date of this guidance. The impact of this guidance on the Funds’ financial statements and disclosures, if any, is currently being assessed.

In January 2010, the FASB issued amended guidance for improving disclosure about fair value measurements that adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. The impact of this guidance on the Funds’ financial statements and disclosures, if any, is currently being assessed.

Other: Expenses directly related to each Fund are charged to that Fund. Other operating expenses shared by several funds are pro-rated among those funds on the basis of relative net assets or other appropriate methods.

2. Transactions with Affiliates:

On December 1, 2009, Barclays PLC (“Barclays”) completed the sale of its interest in Barclays Global Investors, N.A. (“BGI”) and affiliated companies to BlackRock, Inc. (“BlackRock”). BGI was renamed Black-Rock Institutional Trust Company, N.A. (“BTC”) and is a wholly-owned subsidiary of BlackRock.

The PNC Financial Services Group (“PNC”), Bank of America Corporation (“BAC”) and Barclays are the largest stockholders of BlackRock. Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but BAC and Barclays are not.

The Trust has entered into an administration services arrangement with BTC, which has agreed to provide general administration services (other than investment advice and related portfolio activities). BTC, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Funds. BTC is entitled to receive for these administration services an annual fee of 0.15% of the average daily net assets of each Fund. BTC may delegate certain of its administration duties to sub-administrators.

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. BTC has contractually agreed to provide an offsetting credit against the administration fees paid by the Funds in an amount equal to the independent expenses, which is included in expense reductions in the Statements of Operations.

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

3. Income Tax Information:

Reclassifications: Accounting principles generally accepted in the United States of America require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of December 31, 2009 attributable to amortization methods on fixed income securities, foreign currency transactions, accounting for pay-downs, basis adjustments on equity securities and over distributions were reclassified to the following accounts:

	BlackRock Bond Index Fund			BlackRock S&P 500 Stock Fund
Paid-in capital	$	(8,110	)	$	(197,043	)
Undistributed net investment income	$	341,788		$	(3,861	)
Accumulated net realized gain (loss)	$	(333,678	)	$	200,904

The tax character of distributions paid during the years ended December 31, 2009 and December 31, 2008 were as follows:

	BlackRock Bond Index Fund		BlackRock S&P 500 Stock Fund
Ordinary Income
12/31/2009	$	6,181,175	$	4,040,945
12/31/2008	$	6,225,133	$	5,676,918
Return of capital
12/31/2009		—		—
12/31/2008	$	19,155	$	53,143
Total distributions
12/31/2009	$	6,181,175	$	4,040,945
12/31/2008	$	6,244,288	$	5,730,061

ANNUAL REPORT DECEMBER 31, 2009 15

Notes to Financial Statements (concluded) BlackRock Funds III

As of December 31, 2009, the tax components of net distributable earnings (accumulated losses) were as follows:

	BlackRock Bond Index Fund			BlackRock S&P 500 Stock Fund
Undistributed ordinary income		—		$	112,642
Capital loss carryforwards	$	(4,559,160	)		(221,487,426	)
Net unrealized gains (losses)*		7,073,164			(140,734,908	)
Total	$	2,514,004		$	(362,109,692	)

* The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales, amortization methods for premium and discount on fixed income securities, the realization for tax purposes of unrealized gains (losses) on certain futures contracts, the deferral of post-October capital losses for tax purposes, and the timing and recognition of partnership income.

As of December 31, 2009, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:

Expiring December 31,	BlackRock Bond Index Fund1		BlackRock S&P 500 Stock Fund
2010		—	$	72,553,461
2011	$	36,738		—
2012		—		1,601,227
2013		1,501,172		21,068,838
2014		2,280,081		31,394,394
2015		450,134		18,209,354
2016		291,035		55,579,531
2017		—		21,080,621
Total	$	4,559,160	$	221,487,426

1 The capital loss carryforwards utilized for the year ended December 31, 2009 amounted to $123,185.

4. Capital Share Transactions:

Transactions in capital shares for each Fund were as follows:

	Year Ended December 31, 2009					Year Ended December 31, 2008
BlackRock Bond Index Fund	Shares		Amount			Shares		Amount
Shares sold	3,818,269		$	37,558,069		4,687,599		$	45,576,898
Shares issued to shareholders in reinvestment of dividends	569,219			5,609,931		574,728			5,545,468
Total issued	4,387,488			43,168,000		5,262,327			51,122,366
Shares redeemed	(2,111,236	)		(20,712,656	)	(3,202,205	)		(30,863,591	)
Net increase	2,276,252		$	22,455,344		2,060,122		$	20,258,775
	Year Ended December 31, 2009					Year Ended December 31, 2008
BlackRock S&P 500 Stock Fund	Shares		Amount			Shares		Amount
Shares sold	965,419		$	104,610,527		611,732		$	89,789,606
Shares issued to shareholders in reinvestment of dividends	30,158			3,418,853		35,172			4,789,119
Total issued	995,577			108,029,380		646,904			94,578,725
Shares redeemed	(953,450	)		(105,837,854	)	(961,620	)		(139,324,117	)
Net increase (decrease)	42,127		$	2,191,526		(314,716	)	$	(44,745,392	)

5. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Funds through February 24, 2010, the date the financial statements were issued, and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

16 ANNUAL REPORT DECEMBER 31, 2009

Report of Independent Registered Public Accounting Firm BlackRock Funds III

To the Shareholders and Board of Trustees of BlackRock Funds III:

In our opinion, the accompanying statements of assets and liabilities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the BlackRock Bond Index Fund and BlackRock S&P 500 Stock Fund, each a series of BlackRock Funds III (the “Trust”), at December 31, 2009, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 24, 2010

Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions paid by the BlackRock S&P 500 Stock Fund during the taxable year ended December 31, 2009:

	Payable Date
Qualified Dividend Income for Individuals1,2	04/01/09	90.74	%
	07/01/09	90.74	%
	10/01/09	90.74	%
	12/15/09	90.74	%
Dividends Qualifying for the Dividend Received Deduction for Corporations1	04/01/09	87.16	%
	07/01/09	87.16	%
	10/01/09	87.16	%
	12/15/09	87.16	%

1 Expressed as a percentage of the ordinary income distributions.

2 Under Section 854(b)(2) of the Internal Revenue Code (the “Code”), the Fund hereby designates the percentage indicated above or the maximum amount allowable under Section 1(h)(11) of the Code as qualified dividend income.

The following information is provided with respect to the ordinary income distributions paid by the BlackRock Bond Index Fund during the taxable year ended December 31, 2009:

Interest Related Dividends for Non-U.S. Residents3
Month(s) Paid:	January 2009	81.19	%
	February 2009	82.90	%
	March 2009	70.24	%
	April 2009	100.00	%
	May 2009	51.68	%
	June 2009	78.66	%
	July 2009	100.00	%
	August 2009	29.77	%
	September 2009	100.00	%
	October 2009	100.00	%
	November 2009	76.40	%
	December 2009	88.34	%

3 Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations designated pursuant to Section 871(k)(1)(C) of the Code.

ANNUAL REPORT DECEMBER 31, 2009 17

Proxy Results

A Special Meeting of Shareholders was held on November 20, 2009 for shareholders of record on September 30, 2009 to elect a Board of Trustees of the Trust and to approve a new investment advisory agreement between BlackRock Fund Advisors and MIP, on behalf of the Master Portfolio in which each Fund invests. Each vote represents one dollar of value of shares outstanding on the record date.

Approved the Trustees* as follows:

	Votes For	Votes Withheld
David O. Beim	33,396,814,991	18,546,278
Richard S. Davis	33,397,355,298	18,005,970
Ronald W. Forbes	33,396,599,262	18,762,007
Henry Gabbay	33,396,394,550	18,966,718
Dr. Matina Horner	33,397,040,975	18,320,294
Rodney D. Johnson	33,397,333,667	18,027,602
Herbert I. London	33,396,447,692	18,913,577
Cynthia A. Montgomery	33,394,049,102	21,312,167
Joseph P. Platt, Jr.	33,396,449,764	18,911,505
Robert C. Robb, Jr.	33,397,383,385	17,977,884
Toby Rosenblatt	33,397,497,474	17,863,795
Kenneth L. Urish	33,397,436,722	17,924,547
Frederick W. Winter	33,396,449,774	18,911,495

Approved the new investment advisory agreement as follows:

	Votes For	Votes Against	Votes Abstaining	Broker Non-Votes**
BlackRock Bond Index Fund	79,699,659	195,063	24,165	16,114,493
BlackRock S&P 500 Stock Fund	97,095,717	—	416,894	20,764,410

* Denotes Trust-wide proposal and voting results.

** Broker non-votes are proxies received by the Fund from brokers or nominees who did not receive instructions from the beneficial owner or other persons entitled to vote and who have no discretionary power to vote on a particular matter. Broker non-votes have the effect of a vote against the proposal.

18 ANNUAL REPORT DECEMBER 31, 2009

Master Portfolio Information as of December 31, 2009 Master Investment Portfolio

Bond Index Master Portfolio

Portfolio Composition	Percent of Long-Term Investments
U.S. Government Sponsored Agency Securities	44	%
U.S. Treasury Obligations	28
Corporate Bonds	21
Foreign Agency Obligations	3
Non-Agency Mortgage-Backed Securities	3
Taxable Municipal Bonds	1
Asset-Backed Securities	0	1
Preferred Securities	0	1

1 Amount is less than 1%.

Credit Quality Allocation1	Percent of Long-Term Investments
AAA/Aaa2	78	%
AA/Aa	5
A/A	11
BBB/Baa	6
NR	0	3

1 Using the higher of Standard & Poor’s or Moody’s Investors Service.

2 Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment advisor.

3 Amount is less than 1%.

S&P 500 Stock Master Portfolio

Sector Allocation	Percent of Long-Term Investments
Information Technology	20	%
Financials	14
Health Care	13
Energy	11
Consumer Discretionary	11
Industrials	10
Consumer Staples	10
Utilities	4
Materials	4
Telecommunication Services	3

Ten Largest Holdings	Percent of Long-Term Investments
Exxon Mobil Corp.	3	%
Microsoft Corp.	2
Apple, Inc.	2
Johnson & Johnson	2
Procter & Gamble Co.	2
International Business Machines Corp.	2
AT&T, Inc.	2
JPMorgan Chase & Co.	2
General Electric Co.	2
Chevron Corp.	2

ANNUAL REPORT DECEMBER 31, 2009 19

Derivative Financial Instruments

The Master Portfolios may invest in various derivative instruments, including financial futures contracts and swaps, as specified in Note 2 of the Notes to Financial Statements, which constitute forms of economic leverage. Such instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, credit, interest rate and/or foreign currency exchange rate risks. Such derivative instruments involve risks, including the imperfect correlation between the value of a derivative instrument and the underlying asset, possible default of the other party to the transaction or illiquidity of the derivative instrument. The Master Portfolios’ ability to successfully use a derivative instrument depends on the investment advisor’s ability to accurately predict pertinent market movements, which cannot be assured. The use of derivative instruments may result in losses greater than if they had not been used, may require the Master Portfolios to sell or purchase portfolio securities at inopportune times or distressed values, may limit the amount of appreciation the Master Portfolios can realize on an investment or may cause the Master Portfolios to hold a security that it might otherwise sell. The Master Portfolios’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

20 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments December 31, 2009	Bond Index Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
Asset-Backed Securities
Citibank Credit Card Issuance Trust, Series 2008-A1 Class A1,
5.35%, 2/07/20	$	170	$	180,132
Connecticut RRB Special Purpose Trust CL&P, Series 2001-1 Class A5,
6.21%, 12/30/11		517		533,467
Total Asset-Backed Securities — 0.4%				713,599
Preferred Securities
Capital Trusts
Diversified Financial Services — 0.1%
JP Morgan Chase Capital XVIII,
6.95%, 8/17/36		100		97,153
Total Preferred Securities — 0.1%				97,153
Corporate Bonds
Aerospace & Defense — 0.3%
The Boeing Co.,
6.13%, 2/15/33 (a)		100		103,841
Honeywell International, Inc.,
5.30%, 3/01/18		100		105,473
Lockheed Martin Corp.,
6.15%, 9/01/36		100		105,836
United Technologies Corp.:
6.10%, 5/15/12		100		109,355
6.05%, 6/01/36		100		106,303
				530,808
Air Freight & Logistics — 0.1%
United Parcel Service, Inc.,
5.13%, 4/01/19		100		105,525
Beverages — 0.3%
Anheuser-Busch Cos., Inc.,
6.45%, 9/01/37		100		105,747
Bottling Group, LLC,
4.63%, 11/15/12		100		107,198
Coca-Cola Enterprises, Inc.,
8.50%, 2/01/22		100		128,362
Diageo Capital Plc,
5.20%, 1/30/13		150		160,583
				501,890
Biotechnology — 0.2%
Amgen, Inc.,
5.70%, 2/01/19		250		268,088
Capital Markets — 1.7%
The Bank of New York Mellon Corp.,
4.95%, 11/01/12 (a)		250		269,245
The Bear Stearns Cos., Inc./JPMorgan Chase & Co.,
5.70%, 11/15/14		200		220,067
Credit Suisse First Boston USA:
6.13%, 11/15/11		250		269,596
6.50%, 1/15/12		100		108,819
Deutsche Bank AG,
5.38%, 10/12/12		100		107,956
The Goldman Sachs Group, Inc.:
6.88%, 1/15/11		150		159,064
5.95%, 1/18/18		300		316,792
6.13%, 2/15/33		200		200,846
International Bank for Reconstruction & Development,
2.00%, 4/02/12		250		252,926
Morgan Stanley:
5.30%, 3/01/13		250		263,499
4.75%, 4/01/14		200		201,149
5.75%, 10/18/16		225		233,451
				2,603,410
Chemicals — 0.3%
The Dow Chemical Co.:
6.00%, 10/01/12		100		107,571
8.55%, 5/15/19		100		119,315
EI du Pont de Nemours & Co.,
6.00%, 7/15/18		125		136,396
Praxair, Inc.,
4.63%, 3/30/15		100		106,355
				469,637
Commercial Banks — 1.8%
Abbey National Plc,
7.95%, 10/26/29		100		111,917
Bank of Tokyo-Mitsubishi UFJ, Ltd. New York,
7.40%, 6/15/11 (a)		200		215,666
BB&T Corp.,
5.25%, 11/01/19		100		96,376
European Investment Bank:
4.88%, 2/16/16		250		268,770
5.13%, 9/13/16		225		244,952
HSBC Holdings Plc:
5.25%, 12/12/12		300		318,566
6.80%, 6/01/38		100		108,527
PNC Funding Corp.,
5.63%, 2/01/17 (b)		150		148,639
Royal Bank of Scotland Group Plc,
5.00%, 10/01/14		75		66,282
Swiss Bank Corp.,
7.00%, 10/15/15		150		159,434
US Bank NA,
6.38%, 8/01/11		250		268,746
Wachovia Bank NA/Wells Fargo & Co.,
6.60%, 1/15/38		50		52,774
Wachovia Corp./Wells Fargo & Co.,
5.50%, 8/01/35		150		132,399
Wells Fargo & Co.:
4.88%, 1/12/11		200		207,220
5.63%, 12/11/17		300		312,047
Westpac Banking Corp.,
4.88%, 11/19/19		125		123,376
				2,835,691
Commercial Services & Supplies — 0.3%
International Lease Finance Corp.,
5.45%, 3/24/11		250		230,408
Vanderbilt University,
5.25%, 4/01/19		100		104,227
Waste Management, Inc.,
7.00%, 7/15/28		100		107,701
				442,336
Communications Equipment — 0.2%
Cisco Systems, Inc.,
4.95%, 2/15/19		250		256,252
Computers & Peripherals — 0.3%
Dell, Inc.,
5.65%, 4/15/18		75		78,575
Hewlett-Packard Co.,
4.75%, 6/02/14		150		160,178
International Business Machines Corp.,
4.75%, 11/29/12		250		268,586
				507,339
Consumer Finance — 0.2%
American Express Credit Corp.,
7.30%, 8/20/13		100		112,388
Capital One Financial Corp.,
6.75%, 9/15/17		100		107,607
HSBC Finance Corp.,
5.50%, 1/19/16		100		104,908
				324,903
Diversified Financial Services — 2.7%
Bank of America Corp.:
3.13%, 6/15/12		1,000		1,036,197
7.75%, 8/15/15		250		274,276
5.49%, 3/15/19		200		188,962
Citigroup, Inc.:
5.30%, 10/17/12		250		260,436
6.50%, 8/19/13		150		159,779
5.00%, 9/15/14		177		170,632

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 21

Schedule of Investments (continued)	Bond Index Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
Corporate Bonds
Diversified Financial Services (concluded)
6.63%, 6/15/32	$	100	$	90,936
6.88%, 3/05/38		100		99,802
General Electric Capital Corp.:
6.13%, 2/22/11		250		264,175
5.63%, 5/01/18		300		307,422
6.75%, 3/15/32		250		254,891
5.88%, 1/14/38		100		92,588
JPMorgan Chase & Co.:
5.13%, 9/15/14		250		263,691
6.40%, 5/15/38		100		110,078
Merrill Lynch & Co., Inc.:
6.05%, 8/15/12		200		214,246
6.15%, 4/25/13		300		321,047
6.11%, 1/29/37		100		92,192
				4,201,350
Diversified Telecommunication Services — 1.1%
AT&T Corp.,
8.00%, 11/15/31		100		122,052
AT&T, Inc.,
5.10%, 9/15/14		300		322,698
BellSouth Corp.,
6.88%, 10/15/31		150		157,545
Deutsche Telekom International Finance BV,
8.75%, 6/15/30		100		128,611
Embarq Corp.,
7.08%, 6/01/16		100		110,458
France Telecom SA,
7.75%, 3/01/11		150		160,765
Telecom Italia Capital SA,
5.25%, 11/15/13		150		157,769
Telefonica Europe BV,
8.25%, 9/15/30		50		62,252
Verizon Global Funding Corp.,
7.75%, 12/01/30		250		293,694
Verizon Pennsylvania, Inc.,
5.65%, 11/15/11		150		158,953
				1,674,797
Electric Utilities — 1.7%
Alabama Power Co.,
5.50%, 10/15/17		100		106,539
Arizona Public Service Co.,
6.50%, 3/01/12		100		107,488
Commonwealth Edison Co.,
5.90%, 3/15/36		50		49,724
Consolidated Edison Co. of New York, Inc.,
6.65%, 4/01/19		100		113,319
Consumers Energy Co.,
5.00%, 2/15/12		150		157,540
Duke Energy Carolinas LLC,
6.05%, 4/15/38		100		106,473
Florida Power & Light Co./Progress Energy,
5.95%, 2/01/38		100		105,050
Florida Power Corp./Progress Energy,
6.40%, 6/15/38		100		109,179
Hydro Quebec,
6.30%, 5/11/11		150		160,217
Indiana Michigan Power Co.,
6.05%, 3/15/37		100		99,448
National Rural Utilities Cooperative Finance Corp.,
7.25%, 3/01/12		200		219,848
Northern States Power Co,
8.00%, 8/28/12		100		114,728
Oncor Electric Delivery Co. LLC,
6.38%, 5/01/12		150		162,007
Pepco Holdings, Inc.,
6.45%, 8/15/12		100		107,327
Progress Energy, Inc.,
7.10%, 3/01/11		175		185,224
Public Service Electric & Gas Co.,
5.13%, 9/01/12		100		107,267
Southern California Edison Co.,
5.00%, 1/15/16		200		208,513
The Toledo Edison Co.,
6.15%, 5/15/37		100		98,804
Union Electric Co.,
6.70%, 2/01/19		150		165,608
Virginia Electric & Power Co.,
4.75%, 3/01/13		200		209,262
				2,693,565
Electrical Equipment — 0.1%
Emerson Electric Co.,
5.00%, 4/15/19		100		103,062
Energy Equipment & Services — 0.1%
Halliburton Co.,
6.15%, 9/15/19		100		111,671
Transocean, Inc.,
5.25%, 3/15/13		100		107,164
				218,835
Food & Staples Retailing — 0.1%
CVS Caremark Corp.,
6.60%, 3/15/19		100		109,429
The Kroger Co.,
6.15%, 1/15/20		100		107,025
				216,454
Food Products — 0.5%
Archer Daniels Midland Co.,
8.38%, 4/15/17		150		182,647
Kellogg Co.,
6.60%, 4/01/11 (a)		250		266,619
Kraft Foods, Inc.:
5.63%, 11/01/11		150		159,310
6.13%, 8/23/18		150		158,153
				766,729
Health Care Equipment & Supplies — 0.1%
Covidien International Finance SA,
6.55%, 10/15/37		125		139,883
Health Care Providers & Services — 0.3%
Aetna, Inc.,
6.75%, 12/15/37		50		52,136
Medco Health Solutions, Inc.,
7.13%, 3/15/18		125		140,517
UnitedHealth Group, Inc.,
6.88%, 2/15/38		100		103,355
WellPoint, Inc.,
5.25%, 1/15/16		250		252,356
				548,364
Hotels, Restaurants & Leisure — 0.1%
McDonald’s Corp.,
5.35%, 3/01/18		100		107,222
Household Durables — 0.1%
Whirlpool Corp.,
8.60%, 5/01/14		100		113,226
Household Products — 0.3%
Kimberly-Clark Corp.,
6.13%, 8/01/17		200		221,714
The Procter & Gamble Co.,
5.55%, 3/05/37		250		258,192
				479,906
Industrial Conglomerates — 0.3%
General Electric Co.:
5.00%, 2/01/13		100		105,796
5.25%, 12/06/17		100		102,187
Tyco International Finance SA,
6.38%, 10/15/11		200		214,460
				422,443
Insurance — 0.6%
The Allstate Corp.,
7.45%, 5/16/19 (a)		150		174,273
American International Group, Inc.,
8.25%, 8/15/18		100		93,885
Berkshire Hathaway Finance Corp.,
5.10%, 7/15/14		100		107,178
Hartford Financial Services Group, Inc.,
6.10%, 10/01/41		100		79,918
MetLife, Inc.:
5.38%, 12/15/12		200		212,557
5.70%, 6/15/35		100		98,758
Prudential Financial, Inc.,
6.63%, 12/01/37		50		51,253
Travelers Property Casualty Corp.,
6.38%, 3/15/33		100		105,142
				922,964
Machinery — 0.4%
Caterpillar, Inc.,
5.70%, 8/15/16 (a)		250		270,453

See Notes to Financial Statements.

22 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments (continued)	Bond Index Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
Corporate Bonds
Machinery (concluded)
Ingersoll-Rand Global Holding Co. Ltd.,
6.88%, 8/15/18	$	150	$	166,259
John Deere Capital Corp.,
7.00%, 3/15/12		150		166,401
				603,113
Media — 1.1%
CBS Corp.,
5.63%, 8/15/12 (a)		200		209,053
Comcast Corp.,
6.45%, 3/15/37		100		103,107
COX Communications, Inc.,
5.50%, 10/01/15		100		106,128
News America, Inc.,
6.20%, 12/15/34		100		100,501
TCI Communications, Inc.,
8.75%, 8/01/15		200		236,958
Time Warner Cable, Inc.:
7.50%, 4/01/14		200		230,436
6.55%, 5/01/37		100		101,900
Time Warner, Inc.,
6.88%, 5/01/12		350		383,160
Viacom, Inc.,
6.88%, 4/30/36		100		108,131
The Walt Disney Co.,
6.38%, 3/01/12		100		109,231
				1,688,605
Metals & Mining — 0.4%
Alcoa, Inc.,
5.90%, 2/01/27		150		135,220
BHP Billiton Finance USA Ltd.,
4.80%, 4/15/13		100		106,441
Rio Tinto Alcan, Inc.,
4.88%, 9/15/12		150		158,104
Rio Tinto Finance USA Ltd.,
6.50%, 7/15/18		150		164,772
Vale Overseas Ltd.,
6.88%, 11/21/36		100		99,916
				664,453
Multi-Utilities — 0.2%
Duke Energy Ohio, Inc.,
5.70%, 9/15/12		100		108,453
Pacific Gas & Electric Co.,
6.05%, 3/01/34		100		104,403
San Diego Gas & Electric Co.,
6.13%, 9/15/37		100		108,960
				321,816
Multiline Retail — 0.2%
Target Corp.,
6.50%, 10/15/37		100		109,654
Wal-Mart Stores, Inc.:
5.25%, 9/01/35		100		98,332
6.20%, 4/15/38		100		110,279
				318,265
Oil, Gas & Consumable Fuels — 1.8%
Alberta Energy Co. Ltd.,
7.38%, 11/01/31		100		113,145
Anadarko Petroleum Corp.,
6.45%, 9/15/36		100		104,437
Apache Corp.,
6.00%, 1/15/37		100		106,405
BP Capital Markets Plc,
3.63%, 5/08/14		200		204,601
Burlington Resources Finance Co.,
7.20%, 8/15/31		100		114,549
Canadian Natural Resources Ltd.,
5.70%, 5/15/17		250		267,099
ConocoPhillips,
4.60%, 1/15/15		200		212,398
Devon Financing Corp. ULC,
6.88%, 9/30/11		250		271,579
Energy Transfer Partners LP,
9.70%, 3/15/19		150		185,265
Enterprise Products Operating LLC,
5.60%, 10/15/14		200		212,966
Kinder Morgan Energy Partners LP,
6.50%, 2/01/37		100		100,758
Marathon Oil Corp.,
6.13%, 3/15/12		150		161,235
MidAmerican Energy Holdings Co.,
6.13%, 4/01/36		100		102,419
Shell International Finance BV,
4.00%, 3/21/14		150		156,530
Suncor Energy, Inc.,
6.50%, 6/15/38		100		105,072
Tennessee Gas Pipeline Co.,
7.50%, 4/01/17		100		110,895
TransCanada PipeLines Ltd.,
6.20%, 10/15/37		50		52,803
The Williams Cos., Inc.,
7.63%, 7/15/19		100		112,098
XTO Energy, Inc.,
6.25%, 4/15/13		100		110,136
				2,804,390
Paper & Forest Products — 0.1%
International Paper Co.,
7.95%, 6/15/18		175		201,847
Pharmaceuticals — 0.7%
Abbott Laboratories,
5.60%, 11/30/17		150		162,901
AstraZeneca Plc,
5.90%, 9/15/17		200		222,234
Eli Lilly & Co.,
5.50%, 3/15/27		50		50,306
GlaxoSmithKline Capital, Inc.,
6.38%, 5/15/38		150		166,181
Johnson & Johnson,
5.15%, 8/15/12		125		135,859
Merck & Co., Inc.,
5.95%, 12/01/28		100		105,382
Pharmacia Corp.,
6.50%, 12/01/18		150		168,753
Wyeth,
5.50%, 3/15/13		150		163,093
				1,174,709
Real Estate Investment Trusts (REITs) — 0.3%
Boston Properties LP,
6.25%, 1/15/13 (a)		200		213,149
HCP, Inc.,
6.00%, 1/30/17		100		94,110
Simon Property Group LP,
5.63%, 8/15/14		200		205,989
				513,248
Road & Rail — 0.2%
CSX Corp.,
6.15%, 5/01/37		100		101,318
Norfolk Southern Corp.,
7.70%, 5/15/17		150		175,594
Union Pacific Corp.,
6.15%, 5/01/37		50		51,612
				328,524
Software — 0.1%
Oracle Corp.,
5.75%, 4/15/18		150		162,178
Specialty Retail — 0.1%
The Home Depot, Inc.,
5.88%, 12/16/36		100		96,526
Tobacco — 0.4%
Altria Group, Inc.,
9.25%, 8/06/19		250		304,657
Philip Morris International, Inc.,
5.65%, 5/16/18		250		262,895
				567,552
Wireless Telecommunication Services — 0.4%
Cellco Partnership / Verizon Wireless Capital LLC,
5.55%, 2/01/14		250		271,319
New Cingular Wireless Services, Inc.,
7.88%, 3/01/11		250		268,599
Vodafone Group Plc,
7.88%, 2/15/30		100		119,859
				659,777
Total Corporate Bonds — 20.2%				31,559,682

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 23

Schedule of Investments (continued)	Bond Index Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
Foreign Agency Obligations
Asian Development Bank,
2.75%, 5/21/14	$	200	$	199,645
Brazilian Government International Bond:
8.00%, 1/15/18		236		269,403
7.13%, 1/20/37		200		229,500
Export Development Canada,
3.75%, 7/15/11		250		259,616
Finland Government International Bond,
6.95%, 2/15/26		100		117,230
Inter-American Development Bank,
3.00%, 4/22/14		250		252,167
Israel Government International Bond,
4.63%, 6/15/13		100		105,970
Italian Republic,
6.88%, 9/27/23		200		226,378
KFW:
3.25%, 2/15/11 (a)		400		414,400
3.25%, 3/15/13		250		257,380
4.50%, 7/16/18 (a)		250		258,169
5.48%, 4/18/36 (c)		250		65,341
Mexico Government International Bond:
8.13%, 12/30/19 (a)		250		302,839
6.75%, 9/27/34		100		105,500
Ontario Electricity Financial Corp.,
7.45%, 3/31/13		150		171,194
Peruvian Government International Bond,
8.38%, 5/03/16		100		120,750
Poland Government International Bond,
6.38%, 7/15/19		100		108,768
Province of British Columbia Canada,
6.50%, 1/15/26		100		113,535
Province of Nova Scotia Canada,
5.75%, 2/27/12		150		160,759
Province of Ontario Canada,
5.00%, 10/18/11		500		531,336
Province of Quebec Canada:
6.13%, 1/22/11 (a)		150		158,563
5.00%, 3/01/16		250		267,172
Total Foreign Agency Obligations — 3.0%				4,695,615
Non-Agency Mortgage-Backed Securities
Commercial Mortgage-Backed Securities — 2.7%
CS First Boston Mortgage Securities Corp., Series 2004-C2 Class A2,
5.42%, 5/15/36 (d)		1,000		990,333
Greenwich Capital Commercial Funding Corp., Series 2007-GG9 Class A4,
5.44%, 3/10/39		700		618,481
JPMorgan Chase Commercial Mortgage Finance Corp., Series 2000-C10 Class A2,
7.37%, 8/15/32 (d)		171		171,160
JPMorgan Chase Commercial Mortgage Securities Corp.:
Series 2004-C3 Class A5,
4.88%, 1/15/42		500		481,590
Series 2005-CB11 Class A2,
5.02%, 8/12/37		29		29,432
LB-UBS Commercial Mortgage Trust:
Series 2004-C2 Class A4,
4.37%, 3/15/36		500		486,919
Series 2006-C4 Class AM,
5.90%, 6/15/38 (d)		600		481,158
Morgan Stanley Capital I, Series 2006-HQ8 Class A4,
5.39%, 3/12/44 (d)		1,000		964,357
Total Non-Agency Mortgage-Backed Securities — 2.7%				4,223,430
Taxable Municipal Bonds
Massachusetts School Building Authority,
5.72%, 8/15/39		100		98,280
New Jersey State Turnpike Authority, RB,
4.25%, 1/01/16		190		188,180
State of California, GO, Unlimited,
5.45%, 4/01/15		200		201,230
State of California, GO, Build America Bonds,
7.55%, 4/01/39		150		145,360
State of Illinois, GO, Unlimited,
5.10%, 6/01/33		200		166,580
State of Texas, GO, Build America Bonds,
5.52%, 4/01/39		100		97,628
Total Taxable Municipal Bonds — 0.6%				897,258
U.S. Government Sponsored Agency Securities
Agency Obligations — 6.4%
Fannie Mae:
2.75%, 2/05/14		300		303,390
4.38%, 3/15/13		850		913,473
4.63%, 10/15/13		1,750		1,896,333
5.00%, 3/15/16 (a)		750		815,227
5.00%, 6/18/24		250		244,686
5.38%, 11/15/11 (a)		500		538,994
6.25%, 2/01/11		500		525,285
Federal Home Loan Banks:
1.00%, 12/28/11		500		497,901
1.25%, 10/19/11		600		600,262
Financing Corp.,
8.60%, 9/26/19		200		258,394
Freddie Mac:
2.35%, 8/27/12		1,000		1,006,774
3.75%, 3/27/19 (a)		275		269,616
4.63%, 10/25/12 (a)		990		1,066,277
6.25%, 7/15/32		345		400,558
Tennessee Valley Authority:
6.25%, 12/15/17		400		456,239
7.13%, 5/01/30		200		245,313
				10,038,722
Federal Deposit Insurance Corporation Guaranteed — 0.5%
Citigroup Funding, Inc.,
2.25%, 12/10/12		250		251,963
General Electric Capital Corp.,
2.20%, 6/08/12		500		507,012
				758,975
Mortgage-Backed Securities — 36.5%
Fannie Mae Mortgage Backed Securities:
3.52%, 10/01/36 (d)		2,180		2,221,203
4.00%, 5/01/24 — 8/01/39		2,459		2,395,877
4.50%, 5/01/24 — 1/01/40 (e)		3,455		3,465,854
5.00%, 1/01/19 — 11/01/33		6,230		6,463,767
5.50%, 6/01/25 — 3/01/34		7,136		7,505,362
5.84%, 11/01/36 (d)		481		509,165
6.00%, 7/01/37 — 1/01/40 (e)		4,532		4,805,474
6.50%, 7/01/32		968		1,045,811
7.00%, 2/01/32		136		150,529
Freddie Mac Mortgage Backed Securities:
4.00%, 5/01/19 — 12/01/39 (e)		1,482		1,456,119
4.50%, 4/01/18 — 10/01/39		5,847		5,919,619
5.00%, 10/01/18 — 8/01/35		4,626		4,781,256
5.50%, 9/01/22 — 10/01/35 (f)		5,647		5,942,858
6.00%, 1/01/40 (e)		2,000		2,120,625

See Notes to Financial Statements.

24 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments (continued)	Bond Index Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
U.S. Government Sponsored Agency Securities
Mortgage-Backed Securities (concluded)
6.50%, 6/01/31	$	163	$	176,724
8.00%, 12/01/24		500		571,526
Ginnie Mae Mortgage Backed Securities:
4.50%, 7/15/39		989		991,899
5.00%, 8/15/38 — 11/15/39		1,872		1,928,451
5.50%, 12/15/32 — 1/01/40 (e)		1,509		1,584,364
6.00%, 3/15/35 — 1/01/40 (e)		1,501		1,587,788
6.50%, 9/15/36		686		730,559
7.50%, 12/15/23		691		776,973
				57,131,803
Total U.S. Government Sponsored Agency Securities — 43.4%				67,929,500
U.S. Treasury Obligations
U.S. Treasury Bonds — 5.1%
U.S. Treasury Bonds:
7.25%, 5/15/16 (a)		1,000		1,237,891
8.75%, 5/15/17		500		675,821
8.75%, 5/15/20		500		705,312
8.13%, 5/15/21 (a)		500		683,985
8.00%, 11/15/21		400		544,688
6.25%, 8/15/23 (a)		625		746,484
7.63%, 2/15/25 (a)		350		472,883
6.13%, 11/15/27 (a)		600		714,750
5.38%, 2/15/31 (a)		150		165,750
4.50%, 2/15/36 (a)		300		295,500
4.38%, 2/15/38 (a)		300		288,000
4.50%, 5/15/38 (a)		525		514,090
3.50%, 2/15/39 (a)		600		491,437
4.25%, 5/15/39		175		164,172
4.38%, 11/15/39		300		287,156
				7,987,919
U.S. Treasury Notes — 22.6%
U.S. Treasury Notes:
4.50%, 2/28/11 (a)		250		260,947
1.13%, 6/30/11		1,500		1,506,093
1.00%, 7/31/11		750		751,142
1.00%, 8/31/11 (a)		3,500		3,501,778
4.63%, 10/31/11		700		745,418
1.00%, 12/31/11		500		498,594
4.88%, 6/30/12		650		704,945
1.75%, 8/15/12 (a)		400		402,594
4.38%, 8/15/12 (a)		500		537,930
1.38%, 9/15/12		1,000		995,312
1.38%, 11/15/12		500		496,406
1.13%, 12/15/12		500		491,990
3.38%, 6/30/13		4,620		4,849,194
3.38%, 7/31/13 (a)		3,400		3,568,939
1.75%, 1/31/14 (a)		2,700		2,648,743
4.75%, 5/15/14 (a)		175		192,555
2.63%, 7/31/14		450		452,250
2.38%, 8/31/14		1,250		1,240,820
2.38%, 9/30/14 (a)		1,450		1,437,762
4.25%, 11/15/14 (a)		900		969,469
4.00%, 2/15/15 (a)		400		425,125
4.25%, 8/15/15 (a)		1,150		1,230,859
4.50%, 2/15/16		500		539,336
5.13%, 5/15/16 (a)		250		278,828
4.88%, 8/15/16 (a)		1,000		1,099,688
4.63%, 11/15/16		250		270,488
2.75%, 11/30/16 (a)		750		722,050
4.50%, 5/15/17 (a)		1,750		1,870,722
4.75%, 8/15/17		375		406,904
4.25%, 11/15/17 (a)		275		288,234
3.88%, 5/15/18 (a)		500		507,696
4.00%, 8/15/18		500		510,664
2.75%, 2/15/19		750		690,469
3.63%, 8/15/19 (a)		250		245,781
				35,339,725
Total U.S. Treasury Obligations — 27.7%				43,327,644
Total Long-Term Investments (Cost — $149,469,411) — 98.1%				153,443,881
	Shares
Short-Term Securities
Money Market Funds — 26.5%
BlackRock Cash Funds: Institutional, SL Agency Shares,
0.19% (b)(g)(h)		37,190,435		37,190,435
BlackRock Cash Funds: Prime, SL Agency Shares,
0.17% (b)(g)(h)		4,310,609		4,310,609
Total Short-Term Securities (Cost — $41,501,044) — 26.5%				41,501,044
Total Investments (Cost — $190,970,455*) — 124.6%				194,944,925
Liabilities in Excess of Other Assets — (24.6)%				(38,480,173	)
Net Assets — 100.0%			$	156,464,752

* The cost and unrealized appreciation (depreciation) of investments as of December 31, 2009, as computed for federal income tax purposes, were as follows:

Aggregate cost	$	191,206,901
Gross unrealized appreciation	$	4,929,064
Gross unrealized depreciation		(1,191,040	)
Net unrealized appreciation	$	3,738,024

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

(b) Investments in companies considered to be an affiliate of the Master Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

Affiliate	Purchase Cost			Sale Cost	Realized Gain (Loss)	Income
BlackRock Cash Funds:
Institutional	$	5,081,045	1	—	—	$	83,004
BlackRock Cash Funds:
Prime	$	224,612	1	—	—	$	7,600
PNC Funding Corp., 5.63%, 2/01/17	$	148,539		—	—	$	3,398

1 Represents net activity.

(c) Represents a zero-coupon bond. Rate shown reflects the seven-day yield as of report date.

(d) Variable rate security. Rate shown is as of report date.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 25

Schedule of Investments (concluded) Bond Index Master Portfolio

(e) Represents or includes a “to-be-announced” (“TBA”) transaction. Unsettled TBA transactions as of report date were as follows:

Counterparty	Market Value		Unrealized Depreciation
BNP Paribas	$	1,058,906	$	(313	)
Credit Suisse Securities LLC	$	3,168,125	$	(20,000	)
Goldman Sachs & Co.	$	964,219	$	(16,094	)
JPMorgan Securities, Ltd.	$	2,054,688	$	(19,375	)

(f) All or a portion of this security is valued in accordance with the Fund’s fair valuation policy.

(g) All or a portion of this security was purchased with the cash collateral from securities loaned.

(h) Represents the seven-day yield as of report date.

• For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Master Portfolio management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

• Portfolio Abbreviations:

GO General Obligations

RB Revenue Bond

• Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

• 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)

• 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)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Investments in Securities
	Assets
Level 1
Short-Term Investments	$	41,501,044
Level 2
Long-Term Investments:
Asset-Backed Securities		713,599
Preferred Securities		97,153
Corporate Bonds		31,559,682
Foreign Agency Obligations		4,695,615
Non-Agency Mortgage-Backed Securities		4,223,430
Taxable Municipal Bonds		897,258
U.S. Government Sponsored Agency Securities		66,854,458
U.S. Treasury Obligations		43,327,644
Total Level 2		152,368,839
Level 3
Long-Term Investments:
U.S. Government Sponsored Agency Securities		1,075,042
Total	$	194,944,925

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

	U.S. Government Sponsored Agency Securities
Balance, as of December 31, 2008		—
Accrued discounts/premiums		—
Realized gain (loss)	$	(983	)
Change in unrealized appreciation (depreciation)1		(2,397	)
Net purchases (sales)		1,078,422
Net transfers in/out of Level 3		—
Balance, as of December 31, 2009	$	1,075,042

1 Included in the related net change of unrealized appreciation/depreciation on the Statements of Operations. The change in unrealized appreciation/depreciation on securities still held at December 31, 2009 was $(2,397).

See Notes to Financial Statements.

26 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments December 31, 2009	S&P 500 Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Common Stocks
Consumer Discretionary — 10.5%
Auto Components — 0.2%
The Goodyear Tire & Rubber Co. (a)	48,235	$	680,114
Johnson Controls, Inc.	134,925		3,675,357
			4,355,471
Automobiles — 0.4%
Ford Motor Co. (a)	666,371		6,663,710
Harley-Davidson, Inc. (b)	47,092		1,186,718
			7,850,428
Distributors — 0.1%
Genuine Parts Co.	32,607		1,237,762
Diversified Consumer Services — 0.2%
Apollo Group, Inc. Class A (a)	25,934		1,571,082
DeVry, Inc.	12,640		717,067
H&R Block, Inc.	66,797		1,510,948
			3,799,097
Hotels, Restaurants & Leisure — 1.5%
Carnival Corp. (a)	88,592		2,807,481
Darden Restaurants, Inc. (b)	28,429		997,005
International Game Technology	59,686		1,120,306
Marriott International, Inc. Class A (b)	50,560		1,377,760
McDonald’s Corp.	218,280		13,629,403
Starbucks Corp. (a)	150,723		3,475,672
Starwood Hotels & Resorts Worldwide, Inc. (b)	37,947		1,387,722
Wyndham Worldwide Corp. (b)	35,154		709,056
Wynn Resorts, Ltd.	13,971		813,531
Yum! Brands, Inc.	94,775		3,314,282
			29,632,218
Household Durables — 0.3%
The Black & Decker Corp.	12,384		802,855
D.R. Horton, Inc.	54,843		596,143
Fortune Brands, Inc. (b)	30,227		1,305,806
Harman International Industries, Inc.	13,923		491,204
Leggett & Platt, Inc. (b)	30,830		628,932
Lennar Corp. Class A	31,059		396,624
Newell Rubbermaid, Inc. (b)	55,415		831,779
Pulte Homes, Inc. (a)	61,674		616,740
Whirlpool Corp. (b)	14,840		1,196,994
			6,867,077
Internet & Catalog Retail — 0.6%
Amazon.com, Inc. (a)	67,459		9,074,585
Expedia, Inc.(a) (b)	42,183		1,084,525
priceline.com, Inc.(a) (b)	8,793		1,921,270
			12,080,380
Leisure Equipment & Products — 0.1%
Eastman Kodak Co. (a)(b)	53,284		224,858
Hasbro, Inc. (b)	25,455		816,087
Mattel, Inc.	72,074		1,440,039
			2,480,984
Media — 2.8%
CBS Corp. Class B	136,762		1,921,506
Comcast Corp. Class A	577,537		9,737,274
DIRECTV Class A (a)	192,810		6,430,213
Gannett Co., Inc. (b)	48,072		713,869
Interpublic Group of Cos., Inc. (a)(b)	99,201		732,103
The McGraw-Hill Cos., Inc.	63,078		2,113,744
Meredith Corp.	6,969		214,994
The New York Times Co. Class A (a)	24,016		296,838
News Corp. Class A	456,111		6,244,160
Omnicom Group, Inc. (b)	62,915		2,463,122
Scripps Networks Interactive, Inc. Class A	17,681		733,762
Time Warner Cable, Inc.	71,444		2,957,067
Time Warner, Inc.	236,303		6,885,869
Viacom, Inc. Class B (a)	122,834		3,651,855
The Walt Disney Co. (b)	388,743		12,536,962
The Washington Post Co. Class B	1,264		555,654
			58,188,992
Multiline Retail — 1.9%
Big Lots, Inc. (a)	17,175		497,732
Family Dollar Stores, Inc.	28,451		791,791
J.C. Penney Co., Inc. (b)	47,931		1,275,444
Kohl’s Corp. (a)(b)	61,604		3,322,304
Macy’s, Inc. (b)	84,900		1,422,924
Nordstrom, Inc. (b)	33,577		1,261,824
Sears Holdings Corp. (a)(b)	9,927		828,408
Target Corp. (b)	152,252		7,364,429
Wal-Mart Stores, Inc.	431,456		23,061,323
			39,826,179
Specialty Retail — 1.9%
Abercrombie & Fitch Co. Class A	17,986		626,812
AutoNation, Inc. (a)(b)	19,167		367,048
AutoZone, Inc. (a)(b)	6,104		964,859
Bed Bath & Beyond, Inc. (a)(b)	53,402		2,062,919
Best Buy Co., Inc.	68,559		2,705,338
GameStop Corp. Class A (a)(b)	33,806		741,704
The Gap, Inc.	96,646		2,024,734
The Home Depot, Inc.	344,013		9,952,296
Limited Brands, Inc.	54,571		1,049,946
Lowe’s Cos., Inc.	297,916		6,968,255
O’Reilly Automotive, Inc. (a)(b)	27,733		1,057,182
Office Depot, Inc. (a)(b)	56,955		367,360
RadioShack Corp. (b)	24,694		481,533
Ross Stores, Inc. (b)	24,846		1,061,173
The Sherwin-Williams Co. (b)	18,925		1,166,726
Staples, Inc.	145,520		3,578,337
The TJX Cos., Inc.	85,076		3,109,528
Tiffany & Co.	25,327		1,089,061
			39,374,811
Textiles, Apparel & Luxury Goods — 0.5%
Coach, Inc.	64,329		2,349,938
NIKE, Inc. Class B	78,843		5,209,157
Polo Ralph Lauren Corp.	11,591		938,639
VF Corp. (b)	18,052		1,322,129
			9,819,863
Total Consumer Discretionary			215,513,262
Consumer Staples — 10.0%
Beverages — 2.6%
Brown-Forman Corp. Class B (b)	22,343		1,196,915
The Coca-Cola Co.	468,532		26,706,324
Coca-Cola Enterprises, Inc.	64,362		1,364,474
Constellation Brands, Inc. (a)	40,667		647,825
Dr Pepper Snapple Group, Inc.	50,652		1,433,452

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 27

Schedule of Investments (continued)	S&P 500 Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Common Stocks
Consumer Staples (concluded)
Beverages (concluded)
Molson Coors Brewing Co. Class B (b)	31,860	$	1,438,798
Pepsi Bottling Group, Inc.	29,210		1,095,375
PepsiCo, Inc.	315,563		19,186,230
			53,069,393
Food & Staples Retailing — 1.5%
CVS Caremark Corp.	285,398		9,192,670
Costco Wholesale Corp.	88,279		5,223,468
The Kroger Co.	131,983		2,709,611
SUPERVALU, Inc. (b)	43,040		547,038
Safeway, Inc.	82,562		1,757,745
Sysco Corp.	119,857		3,348,805
Walgreen Co. (b)	200,109		7,348,002
Whole Foods Market, Inc. (a)(b)	27,988		768,271
			30,895,610
Food Products — 1.6%
Archer Daniels Midland Co. (b)	130,127		4,074,276
Campbell Soup Co.	38,652		1,306,438
ConAgra Foods, Inc.	89,353		2,059,587
Dean Foods Co. (a)	36,292		654,708
General Mills, Inc.	66,140		4,683,373
H.J. Heinz Co.	63,337		2,708,290
The Hershey Co.	33,349		1,193,561
Hormel Foods Corp.	14,312		550,296
The J.M. Smucker Co.	23,730		1,465,328
Kellogg Co. (b)	51,553		2,742,620
Kraft Foods, Inc. Class A (a)	298,908		8,124,319
McCormick & Co., Inc. (b)	26,655		963,045
Sara Lee Corp. (b)	140,064		1,705,980
Tyson Foods, Inc. Class A	62,224		763,488
			32,995,309
Household Products — 2.5%
Colgate-Palmolive Co.	100,604		8,264,619
The Clorox Co.	28,426		1,733,986
Kimberly-Clark Corp.	84,098		5,357,883
The Procter & Gamble Co.	590,720		35,815,354
			51,171,842
Personal Products — 0.3%
Avon Products, Inc.	86,698		2,730,987
The Estee Lauder Cos., Inc. Class A	24,028		1,161,994
Mead Johnson Nutrition Co.	40,873		1,786,150
			5,679,131
Tobacco — 1.5%
Altria Group, Inc.	419,309		8,231,036
Lorillard, Inc.	32,582		2,614,054
Philip Morris International, Inc.	385,177		18,561,679
Reynolds American, Inc. (b)	34,302		1,816,977
			31,223,746
Total Consumer Staples			205,035,031
Energy — 11.3%
Energy Equipment & Services — 1.8%
BJ Services Co.	59,107		1,099,390
Baker Hughes, Inc. (b)	62,760		2,540,525
Cameron International Corp. (a)(b)	48,905		2,044,229
Diamond Offshore Drilling, Inc. (b)	14,037		1,381,521
FMC Technologies, Inc. (a)(b)	24,849		1,437,266
Halliburton Co.	182,600		5,494,434
Nabors Industries Ltd. (a)	57,028		1,248,343
National Oilwell Varco, Inc.	84,757		3,736,936
Rowan Cos., Inc. (a)	23,256		526,516
Schlumberger Ltd.	242,854		15,807,367
Smith International, Inc. (b)	49,283		1,339,019
			36,655,546
Oil, Gas & Consumable Fuels — 9.5%
Anadarko Petroleum Corp. (b)	99,492		6,210,291
Apache Corp.	68,039		7,019,584
Cabot Oil & Gas Corp. (b)	20,684		901,616
Chesapeake Energy Corp. (b)	130,699		3,382,490
Chevron Corp.	405,646		31,230,685
ConocoPhillips	300,077		15,324,932
CONSOL Energy, Inc.	36,462		1,815,808
Denbury Resources, Inc. (a)(b)	51,007		754,904
Devon Energy Corp.	89,895		6,607,282
EOG Resources, Inc. (b)	51,103		4,972,322
El Paso Corp.	139,730		1,373,546
Exxon Mobil Corp.	959,709		65,442,557
Hess Corp.	58,490		3,538,645
Marathon Oil Corp.	143,362		4,475,762
Massey Energy Co. (b)	17,498		735,091
Murphy Oil Corp.	38,677		2,096,293
Noble Energy, Inc.	34,789		2,477,673
Occidental Petroleum Corp.	164,176		13,355,718
Peabody Energy Corp.	54,337		2,456,576
Pioneer Natural Resources Co. (b)	22,944		1,105,212
Range Resources Corp. (b)	31,786		1,584,532
Southwestern Energy Co. (a)	69,361		3,343,200
Spectra Energy Corp. (b)	131,402		2,695,055
Sunoco, Inc. (b)	23,728		619,301
Tesoro Corp. (b)	28,979		392,665
Valero Energy Corp.	114,054		1,910,404
The Williams Cos., Inc.	118,051		2,488,515
XTO Energy, Inc.	117,493		5,466,949
			193,777,608
Total Energy			230,433,154
Financials — 14.1%
Capital Markets — 2.7%
Ameriprise Financial, Inc.	51,023		1,980,713
The Bank of New York Mellon Corp.	243,747		6,817,604
The Charles Schwab Corp.	191,517		3,604,350
E*TRADE Financial Corp. (a)	300,715		526,251
Federated Investors, Inc. Class B	18,116		498,190
Franklin Resources, Inc.	30,205		3,182,097
The Goldman Sachs Group, Inc.	103,967		17,553,788
Invesco Ltd.	85,763		2,014,573
Janus Capital Group, Inc.	36,685		493,413
Legg Mason, Inc.	32,929		993,139
Morgan Stanley (b)	275,087		8,142,575
Northern Trust Corp.	48,967		2,565,871
State Street Corp.	100,209		4,363,100
T Rowe Price Group, Inc.	51,669		2,751,374
			55,487,038

See Notes to Financial Statements.

28 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investment (continued)	S&P 500 Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Common Stocks
Financials (concluded)
Commercial Banks — 2.7%
BB&T Corp.	139,348	$	3,535,259
Comerica, Inc.	30,769		909,839
Fifth Third Bancorp	161,628		1,575,873
First Horizon National Corp.(a)	43,391		581,433
Huntington Bancshares, Inc.	145,740		531,951
KeyCorp	178,242		989,243
M&T Bank Corp.(b)	16,746		1,120,140
Marshall & Ilsley Corp.	102,859		560,582
PNC Financial Services Group, Inc.(c)	93,431		4,932,222
Regions Financial Corp.	241,386		1,276,932
SunTrust Banks, Inc.	101,510		2,059,638
U.S. Bancorp	386,966		8,710,605
Wells Fargo & Co.	1,032,356		27,863,288
Zions BanCorp.(b)	26,383		338,494
			54,985,499
Consumer Finance — 0.8%
American Express Co.	240,587		9,748,585
Capital One Financial Corp.	91,172		3,495,535
Discover Financial Services	108,882		1,601,654
SLM Corp.(a)	95,835		1,080,060
			15,925,834
Diversified Financial Services — 4.2%
Bank of America Corp.	2,009,133		30,257,543
CME Group, Inc.	13,460		4,521,887
Citigroup, Inc.	3,935,405		13,026,191
IntercontinentalExchange, Inc.(a)	14,838		1,666,307
JPMorgan Chase & Co.	796,752		33,200,656
Leucadia National Corp.(a)	38,525		916,510
Moody’s Corp. (b)	39,532		1,059,458
The NASDAQ OMX Group, Inc.(a)	28,872		572,243
NYSE Euronext	51,778		1,309,983
			86,530,778
Insurance — 2.4%
Aon Corp.	54,848		2,102,872
Aflac, Inc.(b)	94,768		4,383,020
The Allstate Corp.(b)	107,743		3,236,600
American International Group, Inc.(a)(b)	27,346		819,833
Assurant, Inc.	22,944		676,389
Chubb Corp.(b)	69,225		3,404,485
Cincinnati Financial Corp.(b)	32,753		859,439
Genworth Financial, Inc. Class A(a)	97,673		1,108,588
Hartford Financial Services Group, Inc.	77,795		1,809,512
Lincoln National Corp.	61,225		1,523,278
Loews Corp.	73,192		2,660,529
Marsh & McLennan Cos., Inc.	106,611		2,353,971
MetLife, Inc.	165,750		5,859,262
Principal Financial Group, Inc.	64,851		1,559,018
The Progressive Corp.(a)(b)	135,129		2,430,971
Prudential Financial, Inc.	93,389		4,647,037
Torchmark Corp.	16,467		723,725
The Travelers Cos., Inc.	110,621		5,515,563
Unum Group	67,469		1,316,995
XL Capital Ltd. Class A	68,064		1,247,613
			48,238,700
Real Estate Investment Trusts (REITs) — 1.2%
Apartment Investment & Management Co.	24,068		383,162
AvalonBay Communities, Inc.	16,301		1,338,475
Boston Properties, Inc.	27,755		1,861,528
Equity Residential(b)	55,502		1,874,857
HCP, Inc.(b)	59,581		1,819,604
Health Care REIT, Inc.(b)	24,531		1,087,214
Host Hotels & Resorts, Inc.(a)(b)	128,396		1,498,381
Kimco Realty Corp.	79,617		1,077,218
Plum Creek Timber Co., Inc.(b)	32,626		1,231,958
ProLogis	94,194		1,289,516
Public Storage	27,586		2,246,880
Simon Property Group, Inc.	58,106		4,636,859
Ventas, Inc.(b)	31,855		1,393,338
Vornado Realty Trust	31,820		2,225,491
			23,964,481
Real Estate Management & Development — 0.0%
CB Richard Ellis Group, Inc. Class A(a)	52,965		718,735
Thrifts & Mortgage Finance — 0.1%
Hudson City Bancorp, Inc.	94,054		1,291,361
People’s United Financial, Inc.(b)	69,207		1,155,757
			2,447,118
Total Financials			288,298,183
Health Care — 12.4%
Biotechnology — 1.5%
Amgen, Inc.(a)	204,747		11,582,538
Biogen Idec, Inc.(a)	58,567		3,133,335
Celgene Corp.(a)	93,033		5,180,077
Cephalon, Inc.(a)(b)	15,137		944,700
Genzyme Corp.(a)(b)	53,824		2,637,914
Gilead Sciences, Inc.(a)	182,107		7,881,591
			31,360,155
Health Care Equipment & Supplies — 2.0%
Baxter International, Inc.	122,009		7,159,488
Becton Dickinson & Co.(b)	48,046		3,788,907
Boston Scientific Corp.(a)	306,299		2,756,691
C.R. Bard, Inc.	19,564		1,524,036
CareFusion Corp.(a)	34,979		874,825
DENTSPLY International, Inc.(b)	30,794		1,083,025
Hospira, Inc.(a)(b)	32,908		1,678,308
Intuitive Surgical, Inc.(a)	7,664		2,324,644
Medtronic, Inc.(b)	223,926		9,848,265
St. Jude Medical, Inc.(a)	67,802		2,493,758
Stryker Corp.	57,254		2,883,884
Varian Medical Systems, Inc.(a)(b)	24,715		1,157,898
Zimmer Holdings, Inc.(a)	43,199		2,553,493
			40,127,222
Health Care Providers & Services — 2.1%
Aetna, Inc.	87,892		2,786,176
AmerisourceBergen Corp.(b)	58,570		1,526,920
CIGNA Corp.	55,622		1,961,788
Cardinal Health, Inc.	73,639		2,374,121
Coventry Health Care, Inc.(a)(b)	30,271		735,283
DaVita, Inc.(a)	20,804		1,222,027
Express Scripts, Inc.(a)	55,633		4,809,473
Humana, Inc.(a)	33,875		1,486,774
Laboratory Corp. of America Holdings(a)(b)	21,584		1,615,347
McKesson Corp.(b)	54,306		3,394,125
Medco Health Solutions, Inc.(a)	96,509		6,167,890

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 29

Schedule of Investments (continued)	S&P 500 Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Common Stocks
Health Care (concluded)
Health Care Providers & Services (concluded)
Patterson Cos., Inc.(a)(b)	18,873	$	528,066
Quest Diagnostics, Inc.(b)	31,071		1,876,067
Tenet Healthcare Corp.(a)	89,297		481,311
UnitedHealth Group, Inc.	235,157		7,167,585
WellPoint, Inc.(a)	92,795		5,409,021
			43,541,974
Health Care Technology — 0.1%
IMS Health, Inc.	35,916		756,391
Life Sciences Tools & Services — 0.4%
Life Technologies Corp.(a)	35,755		1,867,484
Millipore Corp.(a)(b)	11,124		804,821
PerkinElmer, Inc.	22,859		470,667
Thermo Fisher Scientific, Inc.(a)	82,714		3,944,631
Waters Corp.(a)	19,285		1,194,898
			8,282,501
Pharmaceuticals — 6.3%
Abbott Laboratories	312,810		16,888,612
Allergan, Inc.	62,303		3,925,712
Bristol-Myers Squibb Co.	346,235		8,742,434
Eli Lilly & Co.	204,631		7,307,373
Forest Laboratories, Inc.(a)	60,372		1,938,545
Johnson & Johnson	557,840		35,930,474
King Pharmaceuticals, Inc.(a)	50,653		621,512
Merck & Co., Inc.	617,644		22,568,712
Mylan, Inc.(a)(b)	61,932		1,141,407
Pfizer, Inc.	1,631,597		29,678,749
Watson Pharmaceuticals, Inc.(a)	21,716		860,171
			129,603,701
Total Health Care			253,671,944
Industrials — 10.0%
Aerospace & Defense — 2.7%
The Boeing Co.	147,030		7,958,734
General Dynamics Corp.	78,111		5,324,827
Goodrich Corp.(b)	25,169		1,617,108
Honeywell International, Inc.	153,737		6,026,490
ITT Corp.(b)	36,867		1,833,765
L-3 Communications Holdings, Inc.	23,555		2,048,107
Lockheed Martin Corp.	64,769		4,880,344
Northrop Grumman Corp.(b)	63,578		3,550,831
Precision Castparts Corp.	28,524		3,147,623
Raytheon Co.	77,628		3,999,395
Rockwell Collins, Inc.	31,429		1,739,909
United Technologies Corp.	189,633		13,162,427
			55,289,560
Air Freight & Logistics — 1.0%
C.H. Robinson Worldwide, Inc.	34,058		2,000,226
Expeditors International of Washington, Inc.	43,037		1,494,675
FedEx Corp.(b)	63,274		5,280,215
United Parcel Service, Inc. Class B(b)	200,829		11,521,560
			20,296,676
Airlines — 0.1%
Southwest Airlines Co.(b)	150,333		1,718,306
Building Products — 0.0%
Masco Corp.	71,148		982,554
Commercial Services & Supplies — 0.5%
Avery Dennison Corp.	23,083		842,299
Cintas Corp.(b)	25,888		674,382
Iron Mountain, Inc.(a)	36,926		840,436
Pitney Bowes, Inc.	42,240		961,383
R.R. Donnelley & Sons Co.	40,990		912,847
Republic Services, Inc.	65,120		1,843,547
Stericycle, Inc.(a)(b)	17,183		947,986
Waste Management, Inc.(b)	99,243		3,355,406
			10,378,286
Construction & Engineering — 0.2%
Fluor Corp.	36,383		1,638,690
Jacobs Engineering Group, Inc.(a)(b)	25,372		954,241
Quanta Services, Inc.(a)	41,459		864,006
			3,456,937
Electrical Equipment — 0.5%
Emerson Electric Co.(b)	152,245		6,485,637
First Solar, Inc.(a)(b)	9,839		1,332,201
Rockwell Automation, Inc.(b)	28,643		1,345,648
Roper Industries, Inc.	18,408		964,027
			10,127,513
Industrial Conglomerates — 2.2%
3M Co.(b)	142,857		11,809,988
General Electric Co.	2,152,761		32,571,274
Textron, Inc.(b)	54,796		1,030,713
			45,411,975
Machinery — 1.6%
Caterpillar, Inc.(b)	126,026		7,182,222
Cummins, Inc.	40,365		1,851,139
Danaher Corp.	52,761		3,967,627
Deere & Co.	85,653		4,632,971
Dover Corp.	37,889		1,576,561
Eaton Corp.	33,705		2,144,312
Flowserve Corp.	11,217		1,060,343
Illinois Tool Works, Inc.	78,159		3,750,851
PACCAR, Inc.(b)	72,921		2,644,845
Pall Corp.	23,982		868,148
Parker Hannifin Corp.	32,117		1,730,464
Snap-On, Inc.(b)	11,836		500,189
The Stanley Works(b)	16,479		848,833
			32,758,505
Professional Services — 0.1%
Dun & Bradstreet Corp.(b)	10,510		886,729
Equifax, Inc.	24,910		769,470
Monster Worldwide, Inc.(a)(b)	26,159		455,166
Robert Half International, Inc.(b)	30,282		809,438
			2,920,803
Road & Rail — 1.0%
Burlington Northern Santa Fe Corp.	53,075		5,234,256
CSX Corp.	79,577		3,858,689
Norfolk Southern Corp.	74,613		3,911,213
Ryder System, Inc.(b)	11,550		475,514
Union Pacific Corp.(b)	102,124		6,525,724
			20,005,396

See Notes to Financial Statements.

30 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments (continued)	S&P 500 Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Common Stocks
Industrials (concluded)
Trading Companies & Distributors — 0.1%
Fastenal Co.(b)	26,957	$	1,122,489
W.W. Grainger, Inc.(b)	12,661		1,225,965
			2,348,454
Total Industrials			205,694,965
Information Technology — 19.5%
Communications Equipment — 2.5%
Cisco Systems, Inc.(a)	1,163,163		27,846,122
Harris Corp.	26,220		1,246,761
JDS Uniphase Corp.(a)	43,679		360,352
Juniper Networks, Inc.(a)	106,277		2,834,407
Motorola, Inc.(a)(b)	467,653		3,628,987
QUALCOMM, Inc.	337,823		15,627,692
Tellabs, Inc.(a)	74,485		423,075
			51,967,396
Computers & Peripherals — 5.8%
Apple, Inc.(a)	182,102		38,398,028
Dell, Inc.(a)	348,681		5,007,059
EMC Corp.(a)	411,514		7,189,150
Hewlett-Packard Co.	479,443		24,696,109
International Business Machines Corp.	265,591		34,765,862
Lexmark International, Inc. Class A(a)(b)	15,437		401,053
NetApp, Inc.(a)	68,857		2,367,992
QLogic Corp.(a)(b)	23,644		446,162
SanDisk Corp.(a)(b)	45,450		1,317,595
Sun Microsystems, Inc.(a)	153,364		1,437,021
Teradata Corp.(a)	34,341		1,079,338
Western Digital Corp.(a)	45,619		2,014,079
			119,119,448
Electronic Equipment, Instruments & Components — 0.6%
Agilent Technologies, Inc.(a)(b)	69,754		2,167,257
Amphenol Corp. Class A(b)	34,499		1,593,164
Corning, Inc.(b)	313,469		6,053,086
FLIR Systems, Inc.(a)	30,495		997,796
Jabil Circuit, Inc.	39,243		681,651
Molex, Inc.(b)	28,010		603,616
			12,096,570
IT Services — 1.6%
Affiliated Computer Services, Inc. Class A(a)	19,885		1,186,936
Automatic Data Processing, Inc.	101,987		4,367,083
Cognizant Technology Solutions Corp. Class A(a)	59,772		2,707,672
Computer Sciences Corp.(a)	31,043		1,785,904
Fidelity National Information Services, Inc.	65,404		1,533,070
Fiserv, Inc.(a)	31,116		1,508,504
MasterCard, Inc. Class A	19,443		4,977,019
Paychex, Inc.(b)	65,259		1,999,536
SAIC, Inc.(a)	60,876		1,152,991
Total System Services, Inc.(b)	39,638		684,548
Visa, Inc. Class A(b)	90,315		7,898,950
The Western Union Co.	140,358		2,645,748
			32,447,961
Internet Software & Services — 2.0%
Akamai Technologies, Inc.(a)(b)	34,970		885,790
eBay, Inc.(a)	227,759		5,361,447
Google, Inc. Class A(a)	48,754		30,226,505
VeriSign, Inc.(a)	37,990		920,877
Yahoo!, Inc.(a)	241,273		4,048,561
			41,443,180
Office Electronics — 0.1%
Xerox Corp.	175,551		1,485,161
Semiconductors & Semiconductor Equipment — 2.6%
Advanced Micro Devices, Inc.(a)	114,752		1,110,799
Altera Corp.	58,815		1,330,984
Analog Devices, Inc.	58,347		1,842,598
Applied Materials, Inc.	269,951		3,763,117
Broadcom Corp. Class A(a)	87,311		2,745,931
Intel Corp.	1,116,636		22,779,375
KLA-Tencor Corp.	34,633		1,252,329
LSI Corp.(a)	133,993		805,298
Linear Technology Corp.	45,408		1,386,760
MEMC Electronic Materials, Inc.(a)(b)	44,573		607,084
Microchip Technology, Inc.(b)	36,416		1,058,249
Micron Technology, Inc.(a)	172,449		1,821,062
NVIDIA Corp.(a)(b)	111,702		2,086,593
National Semiconductor Corp.(b)	47,302		726,559
Novellus Systems, Inc.(a)(b)	19,918		464,886
Teradyne, Inc.(a)	35,964		385,894
Texas Instruments, Inc.	253,596		6,608,712
Xilinx, Inc.(b)	55,940		1,401,856
			52,178,086
Software — 4.3%
Adobe Systems, Inc.(a)	105,336		3,874,258
Autodesk, Inc.(a)	46,621		1,184,640
BMC Software, Inc.(a)	37,049		1,485,665
CA, Inc.	79,267		1,780,337
Citrix Systems, Inc.(a)(b)	37,151		1,545,853
Compuware Corp.(a)	45,978		332,421
Electronic Arts, Inc.(a)(b)	66,073		1,172,796
Intuit, Inc.(a)	64,319		1,975,236
McAfee, Inc.(a)	31,920		1,294,994
Microsoft Corp.	1,561,737		47,617,361
Novell, Inc.(a)	71,638		297,298
Oracle Corp.	790,776		19,405,643
Red Hat, Inc.(a)	37,274		1,151,767
Salesforce.com, Inc.(a)(b)	22,290		1,644,333
Symantec Corp.(a)	164,344		2,940,114
			87,702,716
Total Information Technology			398,440,518
Materials — 3.5%
Chemicals — 1.9%
Air Products & Chemicals, Inc.(b)	42,946		3,481,203
Airgas, Inc.	16,738		796,729
CF Industries Holdings, Inc.	9,918		900,356
The Dow Chemical Co.	231,515		6,396,759
EI du Pont de Nemours & Co.	182,947		6,159,825
Eastman Chemical Co.	14,579		878,239
Ecolab, Inc.(b)	48,186		2,148,132
FMC Corp.(b)	14,707		820,062
International Flavors & Fragrances, Inc.	16,256		668,772

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 31

Schedule of Investments (continued)	S&P 500 Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Common Stocks
Materials (concluded)
Chemicals (concluded)
Monsanto Co.	110,282	$	9,015,554
PPG Industries, Inc.(b)	33,965		1,988,311
Praxair, Inc.	62,125		4,989,259
Sigma-Aldrich Corp.(b)	24,499		1,237,934
			39,481,135
Construction Materials — 0.1%
Vulcan Materials Co.	25,402		1,337,923
Containers & Packaging — 0.2%
Ball Corp.(b)	19,117		988,349
Bemis Co., Inc.	21,885		648,890
Owens-Illinois, Inc.(a)	33,440		1,099,173
Pactiv Corp.(a)	27,082		653,760
Sealed Air Corp.(b)	32,383		707,892
			4,098,064
Metals & Mining — 1.1%
AK Steel Holding Corp.(b)	21,502		459,068
Alcoa, Inc.	197,558		3,184,635
Allegheny Technologies, Inc.	20,120		900,772
Cliffs Natural Resources, Inc.	26,041		1,200,230
Freeport-McMoRan Copper & Gold, Inc.(a)	86,633		6,955,764
Newmont Mining Corp.	99,263		4,696,132
Nucor Corp.	63,838		2,978,043
Titanium Metals Corp.(a)	17,881		223,870
United States Steel Corp.(b)	29,217		1,610,441
			22,208,955
Paper & Forest Products — 0.2%
International Paper Co.(b)	86,789		2,324,210
MeadWestvaco Corp.	34,856		997,927
Weyerhaeuser Co.(b)	42,636		1,839,317
			5,161,454
Total Materials			72,287,531
Telecommunication Services — 3.1%
Diversified Telecommunication Services — 2.8%
AT&T, Inc.	1,193,106		33,442,761
CenturyTel, Inc.	60,486		2,190,198
Frontier Communications Corp.(b)	63,960		499,528
Qwest Communications International, Inc.	299,089		1,259,165
Verizon Communications, Inc.	574,455		19,031,694
Windstream Corp.(b)	89,095		979,154
			57,402,500
Wireless Telecommunication Services — 0.3%
American Tower Corp. Class A(a)(b)	80,673		3,485,880
MetroPCS Communications, Inc.(a)(b)	51,907		396,051
Sprint Nextel Corp.(a)	594,890		2,177,297
			6,059,228
Total Telecommunication Services			63,461,728
Utilities — 3.6%
Electric Utilities — 2.0%
Allegheny Energy, Inc.	34,178		802,499
American Electric Power Co., Inc.	96,796		3,367,533
Duke Energy Corp.	264,194		4,546,779
Edison International	65,300		2,271,134
Entergy Corp.	38,295		3,134,063
Exelon Corp.(b)	133,458		6,522,093
FPL Group, Inc.	83,757		4,424,045
FirstEnergy Corp.	61,805		2,870,842
Northeast Utilities(b)	35,903		925,938
PPL Corp.	76,359		2,467,159
Pepco Holdings, Inc.	44,898		756,531
Pinnacle West Capital Corp.(b)	19,942		729,478
Progress Energy, Inc.	56,711		2,325,718
Southern Co.(b)	161,940		5,395,841
			40,539,653
Gas Utilities — 0.1%
EQT Corp.(b)	26,666		1,171,171
Nicor, Inc.	9,098		383,026
Questar Corp.(b)	35,495		1,475,527
			3,029,724
Independent Power Producers & Energy Traders — 0.2%
The AES Corp.(a)	133,507		1,776,978
Constellation Energy Group, Inc.(b)	40,351		1,419,145
			3,196,123
Multi-Utilities — 1.3%
Ameren Corp.	47,362		1,323,768
CMS Energy Corp.	46,731		731,808
CenterPoint Energy, Inc.	78,306		1,136,220
Consolidated Edison, Inc.(b)	56,285		2,557,028
DTE Energy Co.	33,526		1,461,398
Dominion Resources, Inc.(b)	120,216		4,678,807
Integrys Energy Group, Inc.(b)	14,978		628,926
NiSource, Inc.	54,771		842,378
PG&E Corp.	74,545		3,328,434
Public Service Enterprise Group, Inc.	102,537		3,409,355
SCANA Corp.(b)	21,871		824,099
Sempra Energy	49,926		2,794,858
TECO Energy, Inc.(b)	43,695		708,733
Wisconsin Energy Corp.	23,221		1,157,102
Xcel Energy, Inc.	91,377		1,939,020
			27,521,934
Total Utilities			74,287,434
Total Long-Term Investments (Cost — $2,027,153,574) — 98.0%			2,007,123,750
Short-Term Securities
Money Market Funds — 10.8%
BlackRock Cash Funds: Institutional, SL Agency Shares,
0.19%(c)(d)(e)	195,914,609		195,914,609
BlackRock Cash Funds: Prime, SL Agency Shares,
0.17%(c)(d)(e)	26,419,811		26,419,811
			222,334,420

See Notes to Financial Statements.

32 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments (concluded)	S&P 500 Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
Short-Term Securities
U.S. Treasury Obligations — 0.3%
U.S. Treasury Bill,
0.05%, 3/18/10(f)(g)	$	6,600	$	6,599,334
Total Short-Term Securities (Cost — $228,933,932) — 11.1%				228,933,754
Total Investments (Cost — $2,256,087,506*) — 109.1%				2,236,057,504
Liabilities in Excess of Other Assets — (9.1)%				(186,995,517	)
Net Assets — 100.0%			$	2,049,061,987

* The cost and unrealized appreciation (depreciation) of investments as of December 31, 2009, as computed for federal income tax purposes, were as follows:

Aggregate cost	$	2,310,792,546
Gross unrealized appreciation	$	385,421,597
Gross unrealized depreciation		(460,156,639	)
Net unrealized depreciation	$	(74,735,042	)

(a) Non-income producing security.

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

(c) Investments in companies considered to be an affiliate of the Master Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

Affiliate	Purchase Cost		Sale Cost			Realized Loss			Income
BlackRock Cash Funds: Institutional		—	$	84,791,589	1		—		$	1,187,179
BlackRock Cash Funds: Prime		—	$	20,208,165	1		—		$	213,248
PNC Financial Services Group, Inc.	$	5,608,784	$	2,408,907		$	(2,324,322	)	$	86,644

1 Represents net activity.

(d) Represents the seven-day yield as of report date.

(e) All or a portion of this security was purchased with the cash collateral from securities loaned.

(f) All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

(g) Rate shown is the yield to maturity as of the date of purchase.

• For Master Portfolio compliance purposes, the Master Portfolio’s sector and industry classifications refer to any one or more of the sector and industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Master Portfolio management. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

• Financial futures contracts purchased as of December 31, 2009 were as follows:

Contracts	Issue	Exchange	Expiration Date	Face Value		Unrealized Appreciation
745	S&P 500 Index	Chicago	March 2010	$	41,373,575	$	371,447

• Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

• 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)

• 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)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Investments in Securities
	Assets
Level 1
Long-Term Investments1	$	2,007,123,750
Short-Term Investments		222,334,420
Total Level 1		2,229,458,170
Level 2
Short-Term Investments		6,599,334
Level 3		—
Total	$	2,236,057,504

1 See above Schedule of Investments for values in each sector and industry.

Valuation Inputs	Other Financial Instruments2
	Assets
Level 1	$	371,447
Level 2		—
Level 3		—
Total	$	371,447

2 Other financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the financial instruments.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 33

Statements of Assets and Liabilities Master Investment Portfolio

December 31, 2009	Bond Index Master Portfolio		S&P 500 Stock Master Portfolio
Assets
Investments at value - unaffiliated1,2	$	153,295,242	$	2,008,790,862
Investments at value - affiliated3		41,649,683		227,266,642
Investments sold receivable		534,315		—
Dividends receivable		—		2,711,447
Securities lending income receivable - affiliated		5,729		50,960
Interest receivable		1,219,974		185
Total assets		196,704,943		2,238,820,096
Liabilities
Collateral at value - securities loaned		30,813,342		188,855,594
Investments purchased payable		9,398,041		370,549
Margin variation payable		—		428,585
Investment advisory fees payable		9,320		82,338
Professional fees payable		19,488		21,043
Total liabilities		40,240,191		189,758,109
Net Assets	$	156,464,752	$	2,049,061,987
Net Assets Consist of
Investors’ capital	$	152,490,282	$	2,068,720,542
Net unrealized appreciation/depreciation		3,974,470		(19,658,555	)
Net Assets	$	156,464,752	$	2,049,061,987
1       Investments at cost - unaffiliated	$	149,320,808	$	2,026,395,032
2       Securities loaned at value	$	29,859,103	$	182,315,889
3       Investments at cost - affiliated	$	41,649,647	$	229,692,474

See Notes to Financial Statements.

34 ANNUAL REPORT DECEMBER 31, 2009

Statements of Operations Master Investment Portfolio

Year Ended December 31, 2009	Bond Index Master Portfolio			S&P 500 Stock Master Portfolio
Investment Income
Interest	$	6,076,920		$	9,618
Securities lending - affiliated		54,289			1,311,105
Income - affiliated		39,713			175,966
Dividends - unaffiliated		—			40,159,784
Total income		6,170,922			41,656,473
Expenses
Investment advisory		115,341			867,730
Professional		19,834			25,783
Independent Trustees		1,301			14,998
Total expenses		136,476			908,511
Less expense reductions		(21,135	)		(40,781	)
Total expenses after expense reductions		115,341			867,730
Net investment income		6,055,581			40,788,743
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		955,337			(74,411,726	)
Financial futures contracts		—			11,258,599
		955,337			(63,153,127	)
Net change in unrealized appreciation/depreciation on:
Investments		622,656			451,897,142
Financial futures contracts		—			40,020
		622,656			451,937,162
Total realized and unrealized gain		1,577,993			388,784,035
Net Increase in Net Assets Resulting from Operations	$	7,633,574		$	429,572,778

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 35

Statements of Changes in Net Assets Master Investment Portfolio

	Bond Index Master Portfolio						S&P 500 Stock Master Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2009			2008			2009			2008
Operations
Net investment income	$	6,055,581		$	6,314,472		$	40,788,743		$	55,448,050
Net realized gain (loss)		955,337			(423,541	)		(63,153,127	)		(142,694,921	)
Net change in unrealized appreciation/depreciation		622,656			1,434,040			451,937,162			(937,962,325	)
Net increase (decrease) in net assets resulting from operations		7,633,574			7,324,971			429,572,778			(1,025,209,196	)
Capital Transactions
Proceeds from contributions		35,373,318			45,530,591			451,069,480			600,316,999
Value of withdrawals		(20,020,025	)		(39,285,080	)		(522,559,993	)		(804,875,751	)
Net increase (decrease) in net assets derived from capital transactions		15,353,293			6,245,511			(71,490,513	)		(204,558,752	)
Net Assets
Total increase (decrease) in net assets		22,986,867			13,570,482			358,082,265			(1,229,767,948	)
Beginning of year		133,477,885			119,907,403			1,690,979,722			2,920,747,670
End of year	$	156,464,752		$	133,477,885		$	2,049,061,987		$	1,690,979,722

See Notes to Financial Statements.

36 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights Master Investment Portfolio

	Bond Index Master Portfolio
	Year Ended December 31,
	2009			2008			2007			2006			2005
Total Investment Return
Total investment return		5.36	%		6.06	%		7.31	%		4.91	%		2.27	%
Ratios to Average Net Assets
Total expenses		0.09	%		0.10	%		0.11	%		0.10	%		0.08	%
Total expenses after expense reductions		0.08	%		0.08	%		0.08	%		0.08	%		0.08	%
Net investment income		4.20	%		4.99	%		5.15	%		4.97	%		4.56	%
Supplemental Data
Net assets, end of year (000)	$	156,465		$	133,478		$	119,907		$	103,696		$	203,647
Portfolio turnover1 2		103	%3		89	%		61	%		57	%		76	%
	S&P 500 Stock Master Portfolio
	Year Ended December 31,
	2009			2008			2007			2006			2005
Total Investment Return
Total investment return		26.63	%		(36.86	)%		5.54	%		15.75	%		4.87	%
Ratios to Average Net Assets
Total expenses		0.05	%		0.05	%		0.05	%		0.05	%		0.05	%
Total expenses after expense reductions		0.05	%		0.05	%		0.05	%		0.05	%		0.05	%
Net investment income		2.35	%		2.32	%		1.98	%		1.93	%		1.84	%
Supplemental Data
Net assets, end of year (000)	$	2,049,062		$	1,690,980		$	2,920,748		$	2,727,449		$	2,408,526
Portfolio turnover1		5	%		8	%		7	%		14	%		10	%

1 Portfolio turnover rates include in-kind transactions, if any.

2 Includes TBA transactions.

3 Excluding TBA transactions, the portfolio turnover rate would have been 87%.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 37

Notes to Financial Statements Master Investment Portfolio

1. Organization and Significant Accounting Policies:

Master Investment Portfolio (“MIP”) is a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The financial statements and these accompanying notes relate to two series of MIP: Bond Index Master Portfolio and S&P 500 Stock Master Portfolio (formerly the S&P 500 Index Master Portfolio) (each, a “Master Portfolio” and collectively, the “Master Portfolios”). The Master Portfolios’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require the use of management accruals and estimates. Actual results may differ from these estimates.

The following is a summary of significant accounting policies followed by the Master Portfolios:

Valuation of Investments: Equity securities traded on a recognized securities exchange (e.g., NYSE), separate trading boards of a securities exchange or through a market system that provides transactional pricing information are valued via independent pricing services generally at the exchange closing price. If an exchange closing price is not available, the last traded price for that day is used. If an equity security is traded on more than one exchange, the current market value of the security where it is primarily traded will be used. In the event there are no sales on the day of valuation, the last bid price, if available, will be used as the value of the security.

Fixed income securities for which market quotations are readily available are generally valued using such securities’ most recent bid prices provided directly from one or more broker-dealers, market makers, or independent third-party pricing services which may use matrix pricing and valuation models to derive values, each in accordance with valuation procedures approved by the MIP Board of Trustees (the “Board”). Certain fixed income investments including asset-backed and mortgage-related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of such security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Fixed income securities for which market quotations are not readily available may be valued by third-party pricing services that make a valuation determination by securing transaction data, credit quality information, perceived market movements, news and other relevant information and by other methods. Short-term securities with 60 days or less remaining to maturity may be valued at amortized cost, which approximates fair value.

Financial futures contracts traded on exchanges are valued at their last sale price or settle price as of the close of such exchanges. Swap agreements and other derivatives are generally valued daily based upon quotations from market makers or by a pricing service.

Shares of open-end investment companies are valued at net asset value. Shares of exchange-traded funds are valued at their most recent closing price on the exchange on which they are primarily traded.

When market quotations are not readily available or are believed by the investment advisor to be unreliable, an investment is fair valued (“Fair Value Asset”) in accordance with the procedures approved by the Board. When determining the price for a Fair Value Asset, the investment advisor seeks to determine the price that the Master Portfolio might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations are based upon all available factors that the investment advisor deems relevant at the time of determination. The pricing of Fair Value Assets is subsequently reported to the Board.

Asset-Backed and Mortgage-Backed Securities: The Bond Index Master Portfolio may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally 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 of interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increase prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If the Bond Index Master Portfolio has purchased such an asset-backed security at a premium, a faster than anticipated pre-payment rate could result in a loss of principal to the extent of the premium paid.

The Bond Index Master Portfolio may purchase in the secondary market certain mortgage pass-through securities. 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 the Government National Mortgage Association (“GNMA”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by the Federal Home Loan Mortgage Corporation (“FHLMC”) and Federal National Mortgage Association (“FNMA”), including FNMA guaranteed Mortgage Pass-Through Certificates which are solely the obligations of the FNMA, are not backed by or entitled to the full faith and credit of

38 ANNUAL REPORT DECEMBER 31, 2009

Notes to Financial Statements (continued) Master Investment Portfolio

the United States and are supported by the right of the issued to borrow from the Treasury.

The Bond Index 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. Please see the Schedule of Investments for these securities. 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.

Multiple Class Pass-Through Securities: The Bond Index Master Portfolio may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMO”) and commercial mortgage-backed securities. These multiple class securities may be issued by GNMA, 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, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”). 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 received 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 pre-payments on the underlying mortgages rise since this increases the rate at which the investment 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 may not fully recoup its initial investment in IOs.

Capital Trusts: These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Interest 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 sell of these securities in the open market. These securities can have a rating that is slightly below that of the issuing company’s senior debt securities.

TBA Dollar Rolls: The Bond Index Master Portfolio may purchase mortgage pass-through securities on a to-be-announced (“TBA”) basis, with payment and delivery scheduled for a future date. The Master Portfolio may enter into a TBA agreement, sell the obligation to purchase the pools stipulated in the TBA agreement prior to the stipulated settlement date and enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities (a “TBA roll”). The Master Portfolio accounts for TBA rolls as purchases and sales and realized gains and losses on these transactions. The Master Portfolio’s use of TBA rolls may cause the Master Portfolio to experience higher portfolio turnover and higher transaction costs. TBA 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.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Master Portfolios segregate assets in connection with certain investments (e.g., dollar rolls, TBAs beyond normal settlement and financial futures contracts) or certain borrowings (e.g., reverse repurchase agreements), the Master Portfolios will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, aggregate collateral or designate on their books and records cash or other liquid debt securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver or deposit securities as collateral for certain investments.

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 dates. Interest income is recognized on the accrual basis. The Master Portfolios amortize all premiums and discounts on debt securities.

Securities Lending: The Master Portfolios may lend securities to financial institutions that provide cash as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined daily and any additional required collateral is delivered to the Master Portfolios. The Master Portfolios typically receive income on loaned securities but do not receive income on the collateral. The Master Portfolios may invest the cash collateral and retain the income earned from the investment of the cash collateral, net of any amount rebated to the borrower and fees paid to the securities lending agent. 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

ANNUAL REPORT DECEMBER 31, 2009 39

Notes to Financial Statements (continued) Master Investment Portfolio

securities transactions. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Master Portfolios could experience delays and costs in gaining access to the collateral. The Master Portfolios also could suffer a loss if the value of an investment purchased with the cash collateral falls below the value of the original cash collateral received.

Income Taxes: Each Master Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Master Portfolio is treated as owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no federal income tax provision is required. However, each interestholder in such a Master Portfolio will be taxed on its distributive share of the Master Portfolio’s taxable income in determining its federal income tax liability. It is intended that each 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. Under any applicable foreign tax laws, a withholding tax may be imposed on the interest, dividends and capital gains at various rates.

Each Master Portfolio files U.S. federal and state tax returns. No income tax returns are currently under examination. The statute of limitations on each Master Portfolio’s U.S. federal tax returns remains open for the years ended December 31, 2006 through December 31, 2009.

Recent Accounting Standards: In June 2009, amended guidance was issued by the Financial Accounting Standards Board (“FASB”) for transfers of financial assets. This guidance is intended to improve the relevance, representational faithfulness and comparability of the information that a reporting entity provides in its financial statements about a transfer of financial assets; the effects of a transfer on its financial position, financial performance, and cash flows; and a transferor’s continuing involvement, if any, in transferred financial assets. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after November 15, 2009. Earlier application is prohibited. The recognition and measurement provisions of this guidance must be applied to transfers occurring on or after the effective date. Additionally, the enhanced disclosure provisions of the amended guidance should be applied to transfers that occurred both before and after the effective date of this guidance. The impact of this guidance on the Master Portfolios’ financial statements and disclosures, if any, is currently being assessed.

In January 2010, the FASB issued amended guidance for improving disclosure about fair value measurements that adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. The impact of this guidance on the Master Portfolios’ financial statements and disclosures, if any, is currently being assessed.

Other: Expenses directly related to a Master Portfolio are charged to that Master Portfolio. Other operating expenses shared by several master portfolios are pro-rated among those master portfolios on the basis of relative net assets or other appropriate methods.

2. Derivative Financial Instruments:

The Master Portfolios may engage in various portfolio investment strategies both to increase the return of the Master Portfolios and to hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying securities, or if the counterparty does not perform under the contract.

Financial Futures Contracts: The Master Portfolios may purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to changes in the value of interest rates (interest rate risk). Financial futures contracts are contracts for delayed delivery of securities at a specific future date and at a specific price or yield. Pursuant to the contract, the Master Portfolios agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recognized by the Master Portfolio as unrealized gains or losses. When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened versus the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts, interest rates and the underlying assets.

Derivative Instruments categorized by Risk Exposure:

Value of Derivative Instruments as of December 31, 2009*
	Liability Derivatives
S&P 500 Stock Master Portfolio	Statement of Assets and Liabilities Location	Value
Equity Contracts**	Variation margin payable	$	428,585

* For the year ended December 31, 2009, the average number and notional amount of open futures contracts, which is indicative of the year’s activity, was 876 and $41,617,155, respectively.

** Includes cumulative appreciation/depreciation of financial futures contracts as reported in Schedule of Investments. Only current day’s margin variation is reported within the Statement of Assets and Liabilities.

40 ANNUAL REPORT DECEMBER 31, 2009

Notes to Financial Statements (continued) Master Investment Portfolio

The Effect of Derivative Instruments on the Statement of Operations Year Ended December 31, 2009
S&P 500 Stock Master Portfolio	Net Realized Gain From Financial Futures Contracts		Net Change in Unrealized Appreciation on Financial Futures Contracts
Equity Contracts	$	11,258,599	$	40,020

3. Investment Advisory Agreement and Other Transactions with Affiliates:

On December 1, 2009, Barclays PLC (“Barclays”) completed the sale of its interest in Barclays Global Investors, N.A. (“BGI”) and affiliated companies to BlackRock, Inc. (“BlackRock”) (the “Transaction”). The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays are the largest stockholders of BlackRock. Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but BAC and Barclays are not. BGI was renamed BlackRock Institutional Trust Company, N.A. (“BTC”) and is a wholly-owned subsidiary of BlackRock.

Under the 1940 Act and upon completion of the Transaction on December 1, 2009, MIP’s investment advisory agreement with Barclays Global Fund Advisors (“BGFA”) was automatically terminated. The Board and investors of the Master Portfolios approved a new investment advisory agreement with BlackRock Fund Advisors (formerly BGFA) (“BFA”). The investment advisory fee rate for each Master Portfolio remained the same after the Transaction.

Pursuant to the investment advisory agreement with MIP, BFA is responsible for the management of each Master Portfolio’s investments and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Master Portfolio. BFA is entitled to receive an annual investment advisory fee of 0.08% and 0.05% of the average daily net assets of the Bond Index Master Portfolio and S&P 500 Stock Master Portfolio, respectively, as compensation for investment advisory services. From time to time, BFA may waive a portion of its investment advisory fees. Any such waivers will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance.

The fees and expenses of the Master Portfolios’ 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 (the “independent expenses”) are paid directly by the Master Portfolios. BFA has contractually agreed to cap the expenses of the Master Portfolios whereby BFA reduces the investment advisory fee by an amount equal to the independent expenses, which is included in expense reductions in the Statement of Operations.

MIP has entered into an administration services arrangement with BTC, which has agreed to provide general administration services. BTC is not entitled to compensation for providing administration services to the Master Portfolios so long as BTC is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolios, or so long as BTC (or an affiliate) receives investment advisory fees from the Master Portfolios. BTC may delegate certain of its administration duties to sub-administrators.

Pursuant to an exemptive order issued by the SEC, each Master Portfolio has retained BTC as the securities lending agent for a fee based on a share of the net returns on investment of cash collateral. BFA may, on behalf of a Master Portfolio, invest cash collateral received by the Master Portfolio for such loan, among other things, in a private investment company managed by BTC or its registered money market funds advised by BTC or its affiliates. The securities lending agent has voluntarily agreed to waive its fees for the period from December 1, 2009 through June 1, 2010. For the period from December 1, 2009 to December 31, 2009, the securities lending agent’s share of the income was earned by the Master Portfolios. The share of the income earned by the Master Portfolios on such investments is shown as securities lending — affiliated on the Statements of Operations. For the year ended December 31, 2009, BTC received securities lending income of $48,483 and $1,231,460 from the Bond Index Master Portfolio and S&P 500 Stock Master Portfolio, respectively.

Each Master Portfolio may invest its positive cash balances in certain money market funds managed by BFA or an affiliate. The income earned on these temporary cash investments is included in income — affiliated in the Statements of Operations.

Cross trades for the year ended December 31, 2009, if any, were executed by the Master Portfolios pursuant to Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds to which BFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter for compliance with the requirements and restrictions set forth by Rule 17a-7.

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

ANNUAL REPORT DECEMBER 31, 2009 41

Notes to Financial Statements (concluded) Master Investment Portfolio

4. Investments:

For the year ended December 31, 2009, purchases and sales of investments including paydowns and TBA transactions and excluding short-term securities and U.S. government securities, were as follows:

	Purchases		Sales
Bond Index Master Portfolio	$	9,785,084	$	4,868,436
S&P 500 Stock Master Portfolio	$	90,743,269	$	79,251,434

For the year ended December 31, 2009, purchases and sales of U.S. government securities for the Bond Index Master Portfolio were $158,530,357 and $139,542,412, respectively.

5. Market and Credit Risk:

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 of a security to meet all of its obligations (credit risk). The value of securities held by the Master Portfolios may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Master Portfolios; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency, interest rate and price fluctuations. Similar to credit risk, the Master Portfolios may be exposed to counterparty risk, or the risk that an entity with which the Master Portfolios have unsettled or open transactions may default. Financial assets, which potentially expose the Master Portfolios to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Master Portfolios’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their value recorded in the Master Portfolios’ Statements of Assets and Liabilities.

6. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Master Portfolios through February 24, 2010, the date the financial statements were issued, and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

42 ANNUAL REPORT DECEMBER 31, 2009

Report of Independent Registered Public Accounting Firm Master Investment Portfolio

To the Interestholders and Board of Trustees of Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Bond Index Master Portfolio and S&P 500 Stock Master Portfolio, each a portfolio of Master Investment Portfolio (collectively, the “Master Portfolios”), at December 31, 2009, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and their financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2009 by correspondence with the custodian, brokers and transfer agent, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 24, 2010

ANNUAL REPORT DECEMBER 31, 2009 43

Proxy Results

A Special Meeting of Interestholders was held on November 20, 2009 for investors of record on September 30, 2009 to elect a Board of Trustees of MIP and to approve a new investment advisory agreement between BFA and MIP, on behalf of each Master Portfolio. Each vote represents one dollar of value of interests outstanding on the record date.

Approved the Trustees* as follows:

	Votes For	Votes Withheld
David O. Beim	38,494,117,194	21,217,012
Richard S. Davis	38,494,578,433	20,755,773
Ronald W. Forbes	38,493,655,954	21,678,251
Henry Gabbay	38,493,655,954	21,678,251
Dr. Matina Horner	38,494,117,194	21,217,012
Rodney D. Johnson	38,494,578,433	20,755,773
Herbert I. London	38,493,655,954	21,678,251
Cynthia A. Montgomery	38,490,888,518	24,445,688
Joseph P. Platt, Jr.	38,493,655,954	21,678,251
Robert C. Robb, Jr.	38,494,578,433	20,755,773
Toby Rosenblatt	38,495,039,672	20,294,533
Kenneth L. Urish	38,494,578,433	20,755,773
Frederick W. Winter	38,493,655,954	21,678,251

Approved the new investment advisory agreement as follows:

	Votes For	Votes Against	Votes Abstaining	Broker Non-Votes**
Bond Index Master Portfolio	79,699,659	195,063	24,165	16,114,493
S&P 500 Stock Master Portfolio	872,647,472	—	3,746,831	186,620,074

* Denotes Trust-wide proposal and voting results.

** Broker non-votes are proxies received by the Master Portfolio from brokers or nominees who did not receive instructions from the beneficial owner or other persons entitled to vote and who have no discretionary power to vote on a particular matter. Broker non-votes have the effect of a vote against the proposal.

44 ANNUAL REPORT DECEMBER 31, 2009

Disclosure of Investment Advisory Agreement

On December 1, 2009, BlackRock, Inc. (“BlackRock”) completed a transaction whereby it acquired from Barclays Bank PLC (“Barclays”) the interests in BlackRock Fund Advisors (“BFA”), formerly known as Barclays Global Fund Advisors, and certain affiliated companies, including BlackRock Institutional Trust Company, N.A. (“BTC”), formerly known as Barclays Global Investors, N.A. (the “Transaction”).

Prior to the Transaction, BFA served as the investment advisor to each Master Portfolio pursuant to an investment advisory agreement with MIP (the “Previous Advisory Agreement”). Under the 1940 Act, the Transaction resulted in the automatic termination of the Previous Advisory Agreement. In order for the management of each Master Portfolio to continue uninterrupted, the Board of Trustees of MIP (the “Board”) approved interim and new investment advisory agreements (the “New Advisory Agreement”) with MIP, the latter of which was subsequently approved by each Master Portfolio’s investors.

Board Considerations In Approving the New Advisory Agreement

At the in-person meeting held on September 3, 2009, after consideration of the factors discussed below, the Board of Trustees of MIP, including a majority of the Independent Trustees, unanimously approved the New Advisory Agreement between BFA and MIP, on behalf of the Master Portfolios after consideration of all factors determined to be relevant to the Board’s deliberations, including those discussed below.

The Approval Process — At in-person meetings held on July 30, August 11 and September 3, 2009, the Board, including the Independent Trustees, discussed the Transaction and the New Advisory Agreement for MIP.

In preparation for their consideration of the New Advisory Agreement, the Trustees received, in response to a written due diligence request prepared by the Board and its independent legal counsel and provided to BlackRock, BTC and BFA, comprehensive written information covering a range of issues and received, in response to their additional requests, further information in advance of and at the September 3, 2009 in-person Board meeting. To assist the Board in its consideration of the New Advisory Agreement, BlackRock provided materials and information about itself, including its history, management, investment, risk management and compliance capabilities and processes, and financial condition and BFA provided materials and information about the Transaction. In addition, the Independent Trustees consulted with their independent legal counsel and fund counsel on numerous occasions, discussing, among other things, the legal standards and certain other considerations relevant to the Board’s deliberations.

In considering the New Advisory Agreement, the Board, including the Independent Trustees, took into account, as it deemed relevant, the fact that on March 18-19, 2009, it had performed a full annual review of the Previous Advisory Agreement. At that time, the Board unanimously approved the selection of BFA and the continuance of the Previous Advisory Agreement based on its review of qualitative and quantitative information provided by BFA. In selecting BFA and approving the Previous Advisory Agreement for the Master Portfolios, the Board, including the Independent Trustees, advised by their independent legal counsel, considered the nature, extent and quality of services provided by BFA, the Master Portfolios’ expenses and performance, costs of services provided to the Master Portfolios and profits realized by BFA and its affiliates, economies of scale, fees and services provided for other comparable funds or accounts by BFA and its affiliates and other benefits to BFA and/or its affiliates.

At the July, August and September 2009 Board meetings, the Trustees discussed with representatives of BTC, BFA and/or BlackRock the management, investment, risk management and compliance capabilities and processes, and financial condition of BlackRock, the Transaction and its rationale, and BlackRock’s general plans and intentions regarding BFA and the Master Portfolios. At these Board meetings, representatives of BTC, BFA and/or BlackRock made various presentations to, and responded to questions from, the Board. The Board also inquired about the plans for, and anticipated roles and responsibilities of, the employees and officers of BFA in connection with the Transaction, including the anticipated senior management structure of BFA and portfolio management personnel for the Master Portfolios following the completion of the Transaction. The Independent Trustees also conferred separately and with their independent legal counsel about the Transaction and other matters related to the Transaction on a number of occasions. After the presentations and after reviewing the written materials provided, the Independent Trustees met in executive sessions with their independent legal counsel at the July, August and September 2009 Board meetings to consider the Transaction, its expected impact on BFA, the Master Portfolios and their investors, and the New Advisory Agreement.

In connection with the Board’s review of the New Advisory Agreement, BTC, BFA and/or BlackRock, as applicable, provided the Board with information about a variety of matters. The Board considered, among other things, the following information:

• that BFA and BlackRock have no present intention to alter the advisory fee rates and expense arrangements currently in effect for the Master Portfolios for a period of two years from the date of the closing of the Transaction;

• the reputation, financial strength and resources of BlackRock and its investment advisory subsidiaries and the anticipated financial strength and resources of the combined company;

• that the Master Portfolios may benefit from having direct access to BlackRock’s technology and risk management analytic tools, including investment tools, provided under the BlackRock Solutions^® brand name;

ANNUAL REPORT DECEMBER 31, 2009 45

Disclosure of Investment Advisory Agreement (continued)

• that the Master Portfolios will have access to greater distribution resources through BlackRock’s relationships with third party brokers and retirement plan platforms;

• that there is not expected to be any diminution in the nature, quality and extent of services provided to the Master Portfolios and their investors by BFA, including portfolio management and compliance services;

• that it is expected that substantially all of the current employees of BFA will remain employees of BFA and will continue to provide services to the Master Portfolios following the Transaction;

• that BlackRock has agreed to conduct its business after the closing of the Transaction in compliance with the conditions of Section 15(f) of the 1940 Act in relation to the Master Portfolios which, among other requirements, requires that no “unfair burden” be imposed for a period of two years following the closing;

• that Barclays or one of its affiliates has agreed to pay: (i) all costs of the Master Portfolios in connection with the consideration by the Board of the New Advisory Agreement; and (ii) all costs of seeking approval of the New Advisory Agreement by Master Portfolio investors; and

• that Barclays and BlackRock would derive benefits from the Transaction and that, as a result, they may have a different financial interest in the matters that were being considered than do Master Portfolio investors.

In approving BFA as adviser, approving the New Advisory Agreement for the Master Portfolios and recommending that investors approve the New Advisory Agreement, the Board, including the Independent Trustees, advised by its independent legal counsel, considered the information provided and the factors described below and reached the conclusions described herein. The Board did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors discussed below.

The Nature, Extent and Quality of Services to be Provided by BFA and Its Affiliates — The Board noted that the terms of the New Advisory Agreement will be substantially identical to the Previous Advisory Agreement and considered representations by BFA, BTC and BlackRock that there would be no diminution in the scope of services provided by BFA under the New Advisory Agreement as compared to the scope of services provided by BFA under the Previous Advisory Agreement. The Board took into account the breadth of Barclays’ and BlackRock’s combined asset management experience and the range of their asset management services. The Board also noted the depth and investment experience of the portfolio management staff and considered further representations by BFA, BTC and BlackRock that members of the previous portfolio management teams for the Master Portfolios (or BlackRock professionals with similar experience) are expected to be involved with the daily management of the Master Portfolios after the Transaction. The Board also considered BFA’s and BlackRock’s compliance programs and their compliance resources. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board and has made appropriate officers available as needed to provide further assistance with these matters, and that it is expected that these reports and discussions will continue following the consummation of the Transaction.

The Board noted the representations of BFA, BTC and BlackRock that the Transaction was not expected to have any adverse effect on the resources and strengths of BFA in managing the Master Portfolios. The Board also considered that the Master Portfolios and their investors may benefit from having direct access to BlackRock’s technology and risk management analytic tools, including the investment tools provided under the BlackRock Solutions^® brand name. The Board discussed BlackRock’s current financial condition, its anticipated financial condition following the completion of the Transaction, its lines of business and its liquidity and credit resources. The Board discussed BlackRock’s current ownership structure and expected ownership structure following the completion of the Transaction. The Board was advised that BlackRock operates as an independent firm, with a Board of Directors, a majority of whom are independent, and no majority shareholder. The Board was also advised that while BlackRock’s largest shareholders, Merrill Lynch, a wholly owned subsidiary of Bank of America, and PNC are important clients and strategic partners of BlackRock, they are not involved in the firm’s day-to-day management or operations.

Based on the discussions held and the materials presented at the July, August and September 2009 Board meetings, the Board determined that the Transaction would not likely cause an adverse change in the nature, extent and quality of the services to be provided by BFA under the New Advisory Agreement compared with the services provided by BFA under the Previous Advisory Agreement and that the Board expected that the quality of such services will continue to be appropriate.

Master Portfolios’ Expenses and Performance of the Portfolios — The Board took into account that the fee rates for each Master Portfolio under the New Advisory Agreement are identical to the fee rates under the respective Previous Investment Advisory Agreement. Further, the Board noted that representatives of BFA and BlackRock had confirmed that there is no present intention to alter the advisory fee rates, expense waivers or expense reimbursement arrangements currently in effect for the Master Portfolios for a period of two years. BFA advised that, in connection with the Transaction, it will enter into contractual

46 ANNUAL REPORT DECEMBER 31, 2009

Disclosure of Investment Advisory Agreement (concluded)

advisory fee waivers for each Master Portfolio previously subject to such a waiver on the same terms as the previous contractual advisory fee waivers, all of which would otherwise terminate at the closing of the Transaction. In addition, the rates at which the administration fees are to be paid by the Master Portfolios will not change as a result of the Transaction, nor will there be any other change in the expense structures.

The Board considered BFA’s substantial investment advisory experience and capabilities, as well as the possibility of additional resources and support from BlackRock following the completion of the Transaction, but noted that the effect, if any, the consummation of the Transaction would have on the future performance of the Master Portfolios could not be predicted.

Costs of Services Provided to the Master Portfolios and Profits Realized by BFA and Its Affiliates — In evaluating the costs of the services to be provided by BFA under the New Advisory Agreement, the Board considered, among other things, whether advisory fee rates or other expenses would change as a result of the Transaction. The Board noted that the New Advisory Agreement is substantially identical to the Previous Advisory Agreement, including the fact that the fee rates under the agreements are identical and that representatives of BFA and BlackRock represented that there is no present intention due to the Transaction to alter the advisory fee rates, expense waivers or expense reimbursement arrangements currently in effect as described above. It was noted that it was not possible to predict how the Transaction would affect BFA’s profitability from its relationship with the Master Portfolios. BFA, BlackRock and the Board discussed how profitability is expected to be calculated and presented to the Board following the Transaction, and the Board reviewed BlackRock’s 2008 profitability methodology with respect to its registered investment companies. The Board also received a presentation from BlackRock comparing the methodologies currently used by BlackRock and BFA to calculate investment company profitability and a comparison of each Master Portfolio’s 2007 and 2008 profitability to BFA to the profitability to BlackRock in 2007 and 2008 of similarly managed investment companies.

Economies of Scale — The Board noted that the Previous Advisory Agreement and the New Advisory Agreement do not provide any breakpoints in the investment advisory fee rates as a result of any increases in the asset levels of the Master Portfolios. However, the Board noted that the investment advisory fee rates for the Master Portfolios had been set initially at the lower end of the marketplace so as to afford the Master Portfolios’ investors the opportunity to share in anticipated economies of scale from inception.

The Board noted representations from BlackRock that it will continue to make significant investments in the infrastructure supporting the Master Portfolios. The Board determined that changes to the fee structure were not currently necessary. It was noted that it was not possible to evaluate how the Transaction would create opportunities for additional economies of scale.

Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and Its Affiliates — In March 2009, the Board had considered the Master Portfolios’ advisory fee rates under the Previous Advisory Agreement (which are the same as the advisory fees rates under the New Advisory Agreement) in comparison to the investment advisory/management fee rates for other accounts. The Board noted that any differences between the investment advisory fee rates for the Master Portfolios and the investment advisory/management fee rates for the other accounts appeared to be attributable to, among other things, the type and level of services provided and/or the asset levels of the other accounts and determined that the investment advisory fee rates do not constitute fees that are so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded that the advisory fee rates are fair and reasonable.

Other Benefits to BFA and/or Its Affiliates — In March 2009, the Board had reviewed any ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Master Portfolios by BFA and concluded that any ancillary benefits would not be disadvantageous to the Master Portfolios’ investors. Any fall-out or ancillary benefits as a result of the Transaction were difficult to quantify with certainty, and the Board expected that they will continue to be evaluated going forward.

Conclusions — The Board examined the totality of the information it was provided at the July, August and September 2009 Board meetings, and information it received at other meetings held during the past year, and did not identify any single factor discussed previously as controlling. Based on this analysis, the Board determined that the New Advisory Agreement, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Master Portfolios and their investors to unanimously approve the New Advisory Agreement.

ANNUAL REPORT DECEMBER 31, 2009 47

Officers and Trustees

Name, Address and Year of Birth	Position(s) Held with Trust/ MIP	Length of Time Served as a Trustee2	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Non-Interested Trustees1
Ronald W. Forbes 55 East 52 nd Street New York, NY 10055 1940	Co-Chair of the Board and Trustee	Since 2009	Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000.	36 RICs consisting of 106 Portfolios	None
Rodney D. Johnson 55 East 52 nd Street New York, NY 10055 1941	Co-Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. since 1987; Director, Fox Chase Cancer Center since 2004; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006.	36 RICs consisting of 106 Portfolios	None
David O. Beim 55 East 52nd Street New York, NY 10055 1940	Trustee	Since 2009	Professor of Finance and Economics at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	36 RICs consisting of 106 Portfolios	None
Dr. Matina Horner 55 East 52nd Street New York, NY 10055 1939	Trustee	Since 2009	Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	36 RICs consisting of 106 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 55 East 52 nd Street New York, NY 10055 1939	Trustee and Member of the Audit Committee	Since 2009	Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005.	36 RICs consisting of 106 Portfolios	AIMS Worldwide, Inc. (marketing)
Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, Harvard Business School Publishing since 2005; Director, McLean Hospital since 2005.	36 RICs consisting of 106 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt, Jr. 55 East 52nd Street New York, NY 10055 1947	Trustee	Since 2009	Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	36 RICs consisting of 106 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 55 East 52 nd Street New York, NY 10055 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	36 RICs consisting of 106 Portfolios	None
Toby Rosenblatt 55 East 52 nd Street New York, NY 10055 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	36 RICs consisting of 106 Portfolios	A.P. Pharma, Inc. (specialty pharmaceuticals)

48 ANNUAL REPORT DECEMBER 31, 2009

Officers and Trustees (continued)

Name, Address and Year of Birth	Position(s) Held with Trust/ MIP	Length of Time Served as a Trustee2	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Non-Interested Trustees1
Kenneth L. Urish 55 East 52 nd Street New York, NY 10055 1951	Chair of the Audit Committee and Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation since 2001; Committee Member, Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants from 2007 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007.	36 RICs consisting of 106 Portfolios	None
Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945	Trustee and Member of the Audit Committee	Since 2009	Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005; Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008.	36 RICs consisting of 106 Portfolios	None

1 Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved one-year extensions in terms of Trustees who turn 72 prior to December 31, 2013.

2 Date shown is the earliest date a person has served as a trustee for the Trust/MIP covered by this annual report.

Interested Trustees3
Richard S. Davis 55 East 52 nd Street New York, NY 10055 1945	Trustee	Since 2009	Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Chairman of the Board of Directors, State Street Research Mutual Funds from 2000 to 2005; Chairman, SSR Realty from 2000 to 2004.	173 RICs consisting of 304 Portfolios	None
Henry Gabbay 55 East 52nd Street New York, NY 10055 1947	Trustee	Since 2009	Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.	173 RICs consisting of 304 Portfolios	None

3 Mr. Davis is an “interested person” as defined in the Investment Company Act of 1940, of the Trust/MIP based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Trust/MIP based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and PNC securities. Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved one-year extensions in terms of Trustees who turn 72 prior to December 31, 2013.

ANNUAL REPORT DECEMBER 31, 2009 49

Officers and Trustees (continued)

Name, Address and Year of Birth	Position(s) Held with the Trust/ MIP	Length of Time Served	Principal Occupation(s) During Past Five Years
Trust/MIP Officers4
Anne F. Ackerley 55 East 52 nd Street New York, NY 10055 1962	President and Chief Executive Officer	Since 2009	Managing Director of BlackRock, Inc. since 2000; Vice President of the BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of BlackRock’s Global Client Group since 2009; Chief Operating Officer of BlackRock’s U.S. Retail Group from 2006 to 2009; Head of BlackRock’s Mutual Fund Group from 2000 to 2006.
Richard Hoerner, CFA 55 East 52nd Street New York, NY 10055 1958	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2000; Co-head of BlackRock’s Cash Management Portfolio Management Group since 2002; Member of the Cash Management Group Executive Committee since 2005.
Jeffrey Holland, CFA 55 East 52nd Street New York, NY 10055 1971	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2006 to 2009; Chief Operating Officer of BlackRock’s U.S. Retail Group since 2009; Co-head of Product Development and Management for BlackRock’s U.S. Retail Group from 2007 to 2009; Product Manager of Raymond James & Associates from 2003 to 2006.
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009, Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008.
Simon Mendelson 55 East 52 nd Street New York, NY 10055 1964	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2005; Chief Operating Officer and head of the Global Client Group for BlackRock’s Global Cash Management Business since 2007; Head of BlackRock’s Strategy and Development Group from 2005 to 2007; Partner of McKinsey & Co. from 1997 to 2005.
Brian Schmidt 55 East 52nd Street New York, NY 10055 1958	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2004; Various positions with U.S. Trust Company from 1991 to 2003 including Director from 2001 to 2003 and Senior Vice President from 1998 to 2003; Vice President, Chief Financial Officer and Treasurer of Excelsior Funds, Inc., Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust from 2001 to 2003.
Christopher Stavrakos, CFA 55 East 52nd Street New York, NY 10055 1959	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2006; Co-head of BlackRock’s Cash Management Portfolio Management Group since 2006; Senior Vice President, CIO, and Director of Liability Management for the Securities Lending Group at Mellon Bank from 1999 to 2006.
Neal J. Andrews 55 East 52 nd Street New York, NY 10055 1966	Chief Financial Officer	Since 2009	Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay M. Fife 55 East 52nd Street New York, NY 10055 1970	Treasurer	Since 2009	Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant Treasurer of the Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Brian P. Kindelan 55 East 52 nd Street New York, NY 10055 1959	Chief Compliance Officer	Since 2009	Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005.
Howard B. Surloff 55 East 52 nd Street New York, NY 10055 1965	Secretary	Since 2009	Managing Director and General Counsel of U.S. Funds at BlackRock, Inc. since 2006; General Counsel (U.S.) of Goldman Sachs Asset Management, L.P. from 1993 to 2006.

4 Officers of the Trust/MIP serve at the pleasure of the Board.

Further information about the Trust/MIP Officers and Trustees is available in the Trust/MIP Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

50 ANNUAL REPORT DECEMBER 31, 2009

Officers and Trustees (concluded)

Investment Advisor

BlackRock Fund Advisors

San Francisco, CA 94105

Custodian

State Street Bank and Trust Company

Boston, MA 02101

Transfer Agent

State Street Bank and Trust Company

Boston, MA 02101

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

San Francisco, CA 94111

Accounting Agent

State Street Bank and Trust Company

Boston, MA 02101

Legal Counsel

Sidley Austin LLP

New York, NY 10019

Distributor

SEI Investments Distribution Co.

Oaks, PA 19456

Address of the Funds

c/o the Distributor

One Freedom Valley Drive

Oaks, PA 19456

ANNUAL REPORT DECEMBER 31, 2009 51

Additional Information

General Information

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 (1) without charge, upon request, by calling toll-free (800) 441-7762; (2) at www.blackrock.com; and (3) on the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Fund/Master Portfolio votes proxies relating to securities held in the Fund’s/Master Portfolio’s portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Quarterly Portfolio Schedule

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. 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 may be obtained by calling (202) 551-8090. The Fund’s/Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

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 www.blackrock.com/funds.

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.

52 ANNUAL REPORT DECEMBER 31, 2009

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This report is transmitted to shareholders only. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless accompanied or preceded by that 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.

#BDSP-12/09

EQUITIES    FIXED INCOME    REAL ESTATE    LIQUIDITY    ALTERNATIVES    BLACKROCK SOLUTIONS

LifePath^® Portfolios OF BLACKROCK FUNDS III ANNUAL REPORT  |  DECEMBER 31, 2009

LifePath^® Retirement Portfolio

LifePath 2020 Portfolio^®

LifePath 2030 Portfolio^®

LifePath 2040 Portfolio^®

LifePath^® 2050 Portfolio

NOT FDIC INSURED

MAY LOSE VALUE

NO BANK GUARANTEE

Table of Contents

	Page
Dear Shareholder	3
Annual Report:
Portfolio Summaries	4
About Fund Performance	10
Disclosure of Expenses	10
Portfolio Financial Statements:
Statements of Assets and Liabilities	11
Statements of Operations	12
Statements of Changes in Net Assets	13
Portfolio Financial Highlights	16
Portfolio Notes to Financial Statements	31
Portfolio Report of Independent Registered Public Accounting Firm	37
Important Tax Information (Unaudited)	37
Proxy Results	39
Master Portfolio Information	40
The Benefits and Risks of Leveraging	41
Derivative Financial Instruments	41
Master Portfolio Financial Statements:
Schedules of Investments	42
Statements of Assets and Liabilities	63
Statements of Operations	65
Statements of Changes in Net Assets	67
Master Portfolio Financial Highlights	69
Master Portfolio Notes to Financial Statements	73
Master Portfolio Report of Independent Registered Public Accounting Firm	80
Proxy Results	81
Disclosure of Investment Advisory Agreement	82
Officers and Trustees	85
Additional Information	89

2 ANNUAL REPORT DECEMBER 31, 2009

Dear Shareholder

In 2009, investors worldwide witnessed a seismic shift in market sentiment as the fear and pessimism that characterized 2008 were replaced by guarded optimism. The single most important reason for this change was the swing from a deep global recession to the beginnings of a global recovery.

At the outset of the year, markets were still reeling from 2008’s nearly unprecedented global financial and economic meltdown. The looming threat of further collapse in global markets prompted stimulus packages and central bank interventions on an extraordinary scale worldwide. Ultimately, these actions helped stabilize the financial system, and the economic contraction began to abate.

Stocks fell sharply to start 2009 as investor confidence remained low on fears of an economic depression. After touching their lows in March, stocks galloped higher as massive, coordinated global monetary and fiscal stimulus began to reflate world economies. Sidelined cash poured into the markets, triggering a dramatic and steep upward rerating of stocks and other risk assets. The financial sector and low-quality securities that had been battered most in the downturn enjoyed the sharpest recovery. The experience in international markets was similar to that seen in the United States. European stocks slightly edged out other developed markets for the year, but emerging markets were the clear winners in 2009. To some extent, this outperformance reflected the stronger recoveries in emerging economies and corporate earnings, but emerging market stocks also saw significant expansion in valuations.

The improvement in the economic backdrop was reflected in fixed income markets as well, where non-Treasury assets made a robust recovery. One of the major themes for 2009 was the reversal of the flight-to-quality trade seen in 2008. As investors grew more comfortable with risk, high yield finished the year as the strongest-performing fixed income sector in both the taxable and tax-exempt space. Overall, the municipal market made a strong showing, outpacing most taxable sectors. Despite fundamental challenges, the technical picture remained supportive of the asset class. Municipal fund inflows had a record-setting year; investor expectations of higher taxes boosted demand; and the Build America Bonds program was deemed a success, adding $65 billion of taxable supply to the municipal marketplace in 2009. Notably, the program has alleviated tax-exempt supply pressure and attracted the attention of a global audience.

All told, the rebound in sentiment and global market conditions propelled virtually every major benchmark index into positive territory for both the 6- and 12-month periods, with the notable exception of Treasury bonds, which were negatively affected by rising long-term rates.

Total Returns as of December 31, 2009	6-month		12-month
US equities (S&P 500 Index)	22.59	%	26.46	%
Small cap US equities (Russell 2000 Index)	23.90		27.17
International equities (MSCI Europe, Australasia, Far East Index)	22.07		31.78
US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index)	(1.06	)	(9.71	)
Taxable fixed income (Barclays Capital US Aggregate Bond Index)	3.95		5.93
Tax-exempt fixed income (Barclays Capital Municipal Bond Index)	6.10		12.91
High yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index)	21.27		58.76

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

The market environment improved dramatically in the past year, but uncertainty and risk remain. Through periods of market turbulence, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. For additional market perspective and investment insight, visit the most recent issue of our award-winning Shareholder^® magazine at www.blackrock.com/shareholdermagazine. As always, we thank you for entrusting BlackRock with your investments, and we look forward to continuing to serve you in the new year and beyond.

Sincerely,

Rob Kapito

President, BlackRock Advisors, LLC

Announcement to Shareholders

On December 1, 2009, BlackRock, Inc. and Barclays Global Investors, N.A. combined to form one of the world’s preeminent investment management firms. The new company, operating under the BlackRock name, manages $3.346 trillion in assets* and offers clients a full complement of worldwide active management, enhanced and index investment strategies and products, including individual and institutional separate accounts, mutual funds and other pooled investment vehicles, and the industry-leading iShares^® platform of exchange traded funds.

* Data is as of December 31, 2009.

THIS PAGE NOT PART OF YOUR FUND REPORT

3

Portfolio Summary as of December 31, 2009 LifePath Portfolios

Portfolio Management Commentary

What are the Investment Objectives and Approach of the LifePath Portfolios?

• Each LifePath Portfolio seeks to maximize assets for retirement or other purposes consistent with the quantitatively measured risk that investors on average may be willing to accept given their investment time horizon. An investor’s time horizon marks the point when the investors plan to start making net withdrawals. Each LifePath Portfolio has its own time horizon, which affects the acceptable risk level of the LifePath Portfolio and, in turn, its asset allocation.

• The LifePath Portfolios are invested in a combination of equity and bond funds for which BlackRock Fund Advisors (“BFA”) is the investment adviser. Each LifePath Portfolio generally invests in the same underlying funds but in differing proportions, with some exceptions, depending upon the acceptable risk level of the LifePath Portfolio. In Q4 2009, the LifePath 2010 Portfolio reached its maturity. At that point the asset allocation of the LifePath 2010 Portfolio and the LifePath Retirement Portfolio became identical. Thus, on November 20, 2009, the LifePath 2010 Portfolio merged into the LifePath Retirement Portfolio. Investors in the LifePath 2010 Portfolio received shares of the LifePath Retirement Portfolio of equivalent market value.

Describe the market environment.

• Perhaps the only constant theme during 2009 was that markets remained highly volatile. After losing between 30% and 40% in 2008, stocks sank further still in early 2009, with the S&P 500^® Index reaching a low of 666 on March 6. From that point, however, equity markets rebounded sharply and appreciated by over 65% by the time the year drew to a close. For the year as a whole, the S&P 1500 Index rose 27.25%. Outside of the United States, the news was generally even better. While these markets were hit the hardest during the downturn, they posted the strongest gains on the way back up. The MSCI ACWI ex US IMI Index was up 43.60% for the full year.

• As occurred in the equity markets, credit-related areas of the fixed income markets staged a strong rebound in 2009 as investors returned to the mortgage, investment-grade corporate and high yield areas of the market, all of which posted especially strong gains. Treasury markets, however, suffered as the “flight to safety” that dominated 2008 shifted course. For 2009 as a whole, the Barclays Capital U.S. Aggregate Bond Index gained 5.93%. Inflation concerns were largely responsible for pushing the Barclays Capital U.S. Treasury TIPS Index higher, returning 11.41% for the same period.

• The beleaguered housing sector showed signs of improvement. The global real estate markets as represented by the FTSE EPRA/NAREIT Developed Real Estate Index rose by 38.25% after a dismal 2008. Cash, as represented by the Citigroup 3-Month Treasury Bill Index, returned 0.16% for the reporting period, highlighting the continued low interest rate environment.

What factors influenced performance?

• The asset allocation of the LifePath Portfolios is the primary driver of performance. With markets staging a strong recovery in 2009, the LifePath Portfolios delivered double-digit returns. As equity markets posted stronger returns than bonds, the longer-dated funds with larger equity exposures (LifePath 2040, LifePath 2050) posted higher returns than the shorter-dated funds (LifePath Retirement, LifePath 2020). A secondary source of performance is security selection, via enhanced index strategies, within U.S. large cap equities (Active Stock Master Portfolio) and U.S. bonds (CoreAlpha Bond Master Portfolio). These strategies have the objective to add extra return above the index while maintaining broad diversification. During the reporting period, the Active Stock Master Portfolio detracted from overall performance while the CoreAlpha Bond Master Portfolio added extra return to the portfolios. As a result, the more conservative LifePath Portfolios, such as the LifePath Retirement Portfolio, which invest a greater share of their assets in the CoreAlpha Bond Master Portfolio, matched or exceeded their custom benchmark, while the longer-dated funds, such as the LifePath 2040 Portfolio, which invest a greater share of their assets in the Active Stock Master Portfolio, somewhat lagged their custom benchmark.

• The LifePath Portfolios invest a significant amount of their assets in the Active Stock and CoreAlpha Bond Master Portfolios. Both of these Master Portfolios seek to outperform their respective benchmark indices by employing quantitative models that attempt to identify attractive securities. The Active Stock Master Portfolio lagged its benchmark, the S&P 500 Index, for the reporting period, as some of the factors within the quantitative model, such as relative value and sentiment insights, failed to add value. The CoreAlpha Bond Master Portfolio ended the year well ahead of its benchmark, the Barclays Capital U.S. Aggregate Bond Index, as credit spreads tightened and liquidity returned to the market.

• During 2009, each LifePath Portfolio invested a portion of its assets in various iShares Funds. The iShares Funds performed generally in line with their respective benchmark indices, with the exception of the iShares MSCI Emerging Markets Index Fund, which underperformed its index by nearly 7%.

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.

The LifePath Portfolios are organized as “feeder” funds in a “master-feeder” structure. Instead of investing directly in individual securities, the feeder fund, which is offered to the public, holds interests in the net assets of its corresponding Master Portfolio. It is the Master Portfolio that actually invests in individual securities. References to “the LifePath Portfolios” are to the feeder funds or the Master Portfolios, as the context requires.

4 ANNUAL REPORT DECEMBER 31, 2009

LifePath^® Retirement Portfolio

Total Return Based on a $10,000 Investment

See “About Portfolio Performance” on page 10 for descriptions of the indexes.

Performance Summary for the Year Ended December 31, 2009

	6-Month Total Returns		Average Annual Total Returns
			1 Year		5 Years		10 Years		Since Inception
Class I	12.57	%	18.25	%	3.57	%	4.12	%	5.56	%1
Class R	12.40	%	17.96	%	3.30	%	—		5.75	%2
Class S	12.54	%	18.53	%	—		—		0.08	%3
Citigroup 3-Month Treasury Bill Index	0.06	%	0.16	%	2.88	%	2.84	%	—
Barclays Capital U.S. Aggregate Bond Index	3.95	%	5.93	%	4.97	%	6.33	%	—
LifePath Retirement Custom Benchmark	6.47	%	16.75	%	4.06	%	5.09	%	—
S&P 1500 Index	22.98	%	27.25	%	0.69	%	(0.20	)%	—
MSCI All Country World Index (“ACWI”) ex US IMI Index	8.29	%	43.60	%	6.04	%	2.69	%	—

1 Total return is calculated from an inception date of March 1, 1994. The Class I shares are successors to the assets of the Institutional class of shares of the Stagecoach Trust LifePath 2000 Fund (the “predecessor fund”), that began operations on March 1, 1994. Performance information for the period before March 26, 1996, the date the Portfolio began operations, reflects the performance of the predecessor fund.

2 Total return is calculated from an inception date of April 11, 2003. This inception date represents the date investors began investing in the Class R shares of the Portfolio. To establish the new share class, the Portfolio’s distributor privately seeded Class R shares on April 30, 2001. The class had no activity from April 30, 2001 until investment began on the Class R inception date. The since inception return calculated from April 30, 2001 for the Portfolio was 3.77%.

3 Total return is calculated from an inception date of May 30, 2008.

Past performance is not indicative of future results.

Expense Example

	Actual						Hypothetical5
	Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period4		Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period4
Class I	$	1,000	$	1,125.70	$	4.07	$	1,000	$	1,021.40	$	3.87
Class R	$	1,000	$	1,124.00	$	5.35	$	1,000	$	1,020.20	$	5.09
Class S	$	1,000	$	1,125.40	$	2.04	$	1,000	$	1,023.30	$	1.94

4 For each class of the Portfolio, expenses are equal to the annualized expense ratio for the class (0.76% for Class I, 1.00% for Class R and 0.38% for Class S), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Portfolio invests significantly in a Master Portfolio, the expense table example reflects the net expenses of both the Portfolio and the Master Portfolio in which it invests.

5 Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 10 for further information on how expenses were calculated.

ANNUAL REPORT DECEMBER 31, 2009 5

LifePath 2020 Portfolio^®

Total Return Based on a $10,000 Investment

See “About Portfolio Performance” on page 10 for descriptions of the indexes.

Performance Summary for the Year Ended December 31, 2009

	6-Month Total Returns		Average Annual Total Returns
			1 Year		5 Years		10 Years		Since Inception
Class I	16.32	%	22.71	%	2.63	%	1.68	%	6.73	%1
Class R	16.27	%	22.42	%	2.39	%	—		3.10	%2
Class S	16.53	%	23.15	%	—		—		(5.10	)%3
Citigroup 3-Month Treasury Bill Index	0.06	%	0.16	%	2.88	%	2.84	%	—
Barclays Capital U.S. Aggregate Bond Index	3.95	%	5.93	%	4.97	%	6.33	%	—
LifePath 2020 Custom Benchmark	7.75	%	22.84	%	3.27	%	2.78	%	—
S&P 1500 Index	22.98	%	27.25	%	0.69	%	(0.20	)%	—
MSCI All Country World Index (“ACWI”) ex US IMI Index	8.29	%	43.60	%	6.04	%	2.69	%	—

1 Total return is calculated from an inception date of March 1, 1994. The Class I shares are successors to the assets of the Institutional class of shares of the Stagecoach Trust LifePath 2020 Fund (the “predecessor fund”), that began operations on March 1, 1994. Performance information for the period before March 26, 1996, the date the Portfolio began operations, reflects the performance of the predecessor fund.

2 Total return is calculated from an inception date of March 7, 2002. This inception date represents the date investors began investing in the Class R shares of the Portfolio. To establish the new share class, the Portfolio’s distributor privately seeded Class R shares on April 30, 2001. The class had no activity from April 30, 2001 until investment began on the Class R inception date. The since inception return calculated from April 30, 2001 for the Portfolio was 2.31%.

3 Total return is calculated from an inception date of May 30, 2008.

Past performance is not indicative of future results.

Expense Example

	Actual						Hypothetical5
	Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period4		Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period4
Class I	$	1,000	$	1,163.20	$	3.93	$	1,000	$	1,021.60	$	3.67
Class R	$	1,000	$	1,162.70	$	5.29	$	1,000	$	1,020.30	$	4.94
Class S	$	1,000	$	1,165.30	$	1.09	$	1,000	$	1,024.20	$	1.02

4 For each class of the Portfolio, expenses are equal to the annualized expense ratio for the class (0.72% for Class I, 0.97% for Class R and 0.20% for Class S), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Portfolio invests significantly in a Master Portfolio, the expense table example reflects the net expenses of both the Portfolio and the Master Portfolio in which it invests.

5 Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 10 for further information on how expenses were calculated.

6 ANNUAL REPORT DECEMBER 31, 2009

LifePath 2030 Portfolio^®

Total Return Based on a $10,000 Investment

See “About Portfolio Performance” on page 10 for descriptions of the indexes.

Performance Summary for the Year Ended December 31, 2009

	6-Month Total Returns		Average Annual Total Returns
			1 Year		5 Years		10 Years		Since Inception
Class I	19.07	%	25.77	%	1.98	%	0.81	%	6.93	%1
Class R	18.87	%	25.42	%	1.73	%	—		6.11	%2
Class S	19.20	%	26.23	%	—		—		(8.02	)%3
Citigroup 3-Month Treasury Bill Index	0.06	%	0.16	%	2.88	%	2.84	%	—
Barclays Capital U.S. Aggregate Bond Index	3.95	%	5.93	%	4.97	%	6.33	%	—
LifePath 2030 Custom Benchmark	8.58	%	27.05	%	2.70	%	1.82	%	—
S&P 1500 Index	22.98	%	27.25	%	0.69	%	(0.20	)%	—
MSCI All Country World Index (“ACWI”) ex US IMI Index	8.29	%	43.60	%	6.04	%	2.69	%	—

1 Total return is calculated from an inception date of March 1, 1994. The Class I shares are successors to the assets of the Institutional class of shares of the Stagecoach Trust LifePath 2030 Fund (the “predecessor fund”), that began operations on March 1, 1994. Performance information for the period before March 26, 1996, the date the Portfolio began operations, reflects the performance of the predecessor fund.

2 Total return is calculated from an inception date of April 8, 2003. This inception date represents the date investors began investing in the Class R shares. To establish the new share class, the Portfolio’s distributor privately seeded Class R shares on April 30, 2001. The class had no activity from April 30, 2001 until investment began on the Class R inception date. The since inception return calculated from April 30, 2001 for the Portfolio was 1.73%.

3 Total return is calculated from an inception date of May 30, 2008.

Past performance is not indicative of future results.

Expense Example

	Actual						Hypothetical5
	Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period4		Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period4
Class I	$	1,000	$	1,190.70	$	3.87	$	1,000	$	1,021.70	$	3.57
Class R	$	1,000	$	1,188.70	$	5.24	$	1,000	$	1,020.40	$	4.84
Class S	$	1,000	$	1,192.00	$	1.93	$	1,000	$	1,023.40	$	1.79

4 For each class of the Portfolio, expenses are equal to the annualized expense ratio for the class (0.70% for Class I, 0.95% for Class R and 0.35% for Class S), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Portfolio invests significantly in a Master Portfolio, the expense table example reflects the net expenses of both the Portfolio and the Master Portfolio in which it invests.

5 Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 10 for further information on how expenses were calculated.

ANNUAL REPORT DECEMBER 31, 2009 7

LifePath 2040 Portfolio^®

Total Return Based on a $10,000 Investment

See “About Portfolio Performance” on page 10 for descriptions of the indexes.

Performance Summary for the Year Ended December 31, 2009

	6-Month Total Returns		Average Annual Total Returns
			1 Year		5 Years		10 Years		Since Inception
Class I	21.31	%	28.08	%	1.34	%	(0.35	)%	7.01	%1
Class R	21.14	%	27.85	%	1.10	%	—		6.18	%2
Class S	21.54	%	28.52	%	—		—		(10.47	)%3
Citigroup 3-Month Treasury Bill Index	0.06	%	0.16	%	2.88	%	2.84	%	—
Barclays Capital U.S. Aggregate Bond Index	3.95	%	5.93	%	4.97	%	6.33	%	—
LifePath 2040 Custom Benchmark	9.25	%	30.52	%	2.15	%	0.87	%	—
S&P 1500 Index	22.98	%	27.25	%	0.69	%	(0.20	)%	—
MSCI All Country World Index (“ACWI”) ex US IMI Index	8.29	%	43.60	%	6.04	%	2.69	%	—

1 Total return is calculated from an inception date of March 1, 1994. The Class I shares are successors to the assets of the Institutional class of shares of the Stagecoach Trust LifePath 2040 Fund (the “predecessor fund”), that began operations on March 1, 1994. Performance information for the period before March 26, 1996, the date the Portfolio began operations, reflects the performance of the predecessor fund.

2 Total return is calculated from an inception date of April 8, 2003. This inception date represents the date investors began investing in the Class R shares. To establish the new share class, the Portfolio’s distributor privately seeded Class R shares on April 30, 2001. The class had no activity from April 30, 2001 until investment began on the Class R inception date. The since inception return calculated from April 30, 2001 for the Portfolio was 1.26%.

3 Total return is calculated from an inception date of May 30, 2008.

Past performance is not indicative of future results.

Expense Example

	Actual						Hypothetical5
	Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period4		Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period4
Class I	$	1,000	$	1,213.10	$	3.85	$	1,000	$	1,021.70	$	3.52
Class R	$	1,000	$	1,211.40	$	5.24	$	1,000	$	1,020.50	$	4.79
Class S	$	1,000	$	1,215.40	$	1.95	$	1,000	$	1,023.40	$	1.79

4 For each class of the Portfolio, expenses are equal to the annualized expense ratio for the class (0.69% for Class I, 0.94% for Class R and 0.35% for Class S), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Portfolio invests significantly in a Master Portfolio, the expense table example reflects the net expenses of both the Portfolio and the Master Portfolio in which it invests.

5 Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 10 for further information on how expenses were calculated.

8 ANNUAL REPORT DECEMBER 31, 2009

LifePath^® 2050 Portfolio

Total Return Based on a $10,000 Investment

1 Commencement of operations.

See “About Portfolio Performance” on page 10 for descriptions of the indexes.

Performance Summary for the Year Ended December 31, 2009

	6-Month		Average Annual Total Returns
	Total Returns		1 Year		Since Inception2
Class I	23.42	%	30.35	%	(7.86	)%
Class R	23.34	%	30.08	%	(8.07	)%
Class S	23.63	%	30.82	%	(7.56	)%
Citigroup 3-Month Treasury Bill Index	0.06	%	0.16	%	—
Barclays Capital U.S. Aggregate Bond Index	3.95	%	5.93	%	—
LifePath 2050 Custom Benchmark	9.86	%	34.11	%	—
S&P 1500 Index	22.98	%	27.25	%	—
MSCI All Country World Index (“ACWI”) ex US IMI Index	8.29	%	43.60	%	—

2 Total returns are calculated from an inception date of June 30, 2008.

Past performance is not indicative of future results.

Expense Example

	Actual						Hypothetical4
	Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period3		Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period3
Class I	$	1,000	$	1,234.20	$	3.77	$	1,000	$	1,021.80	$	3.41
Class R	$	1,000	$	1,233.40	$	5.12	$	1,000	$	1,020.60	$	4.63
Class S	$	1,000	$	1,236.30	$	1.52	$	1,000	$	1,023.80	$	1.38

3 For each class of the Portfolio, expenses are equal to the annualized expense ratio for the class (0.67% for Class I, 0.91% for Class R and 0.27% for Class S), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Portfolio invests significantly in a Master Portfolio, the expense table example reflects the net expenses of both the Portfolio and the Master Portfolio in which it invests.

4 Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 10 for further information on how expenses were calculated.

ANNUAL REPORT DECEMBER 31, 2009 9

About Portfolio Performance

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Performance results do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Figures shown in each of the performance tables on the previous pages assume reinvestment of all dividends and distributions, if any, at net asset value 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.

The LifePath Portfolios’ administrator waived/credited a portion of each LifePath Portfolio’s expenses. Without such waiver or credit, each LifePath Portfolio’s performance would have been lower. Dividends 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.

The S&P 1500 Index is a market weighted index comprised of the S&P 500, S&P MidCap 400 and S&P SmallCap 600 Indexes, which together represent approximately 90% of the total U.S. equity market. The Barclays Capital U.S. Aggregate Bond Index is an unmanaged market weighted index comprised of investment grade corporate bonds (rated BBB or better), mortgages and U.S. Treasury and government agencies with at least one year to maturity. The MSCI ACWI ex US 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 Citigroup 3-Month Treasury Bill Index is a market value weighted index of public obligations of the U.S. Treasury with maturities of three months.

The LifePath custom benchmarks are hypothetical representations of the performance of the respective LifePath Portfolio’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 Portfolios’ custom benchmarks are adjusted quarterly to reflect the LifePath Portfolios’ changing asset allocations over time. As of December 31, 2009, the following indexes are used to calculate the LifePath Portfolios’ custom benchmarks: S&P 500 Index, S&P 400 Index, S&P 600 Index, Barclays Capital U.S. Aggregate Bond Index, Citigroup 3-Month Treasury Bill Index, Barclays Capital U.S. Treasury TIPS Index, MSCI ACWI ex US IMI Index and FTSE EPRA/NAREIT Developed Real Estate Index.

Disclosure of Expenses

Shareholders of each LifePath Portfolio may incur operating expenses, including advisory fees, distribution or 12b-1 fees, and other portfolio expenses. The expense example (which is based on a hypothetical investment of $1,000 invested on July 1, 2009 and held through December 31, 2009) is intended to assist shareholders both in calculating expenses based on an investment in a LifePath Portfolio and in comparing these expenses with similar costs of investing in other mutual funds.

The tables on the preceding pages 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 share class under the heading entitled “Expenses Paid During the Period.”

The tables also provide information about hypothetical account values and hypothetical expenses based on each LifePath Portfolio’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 Portfolio and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in other funds’ shareholder reports.

The expenses shown in the tables are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as sales charges, redemption fees or exchange fees. Therefore, the hypothetical 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.

10 ANNUAL REPORT DECEMBER 31, 2009

Statements of Assets and Liabilities BlackRock Funds III

December 31, 2009	LifePath Retirement Portfolio			LifePath 2020 Portfolio			LifePath 2030 Portfolio			LifePath 2040 Portfolio			LifePath 2050 Portfolio
Assets
Investments at value - Master Portfolio	$	585,499,884		$	934,369,924		$	728,554,542		$	592,254,716		$	16,996,015
Capital shares sold receivable		2,748,016			1,377,132			1,312,448			1,011,359			126,205
Total assets		588,247,900			935,747,056			729,866,990			593,266,075			17,122,220
Liabilities
Capital shares redeemed payable		754,106			1,629,846			680,238			889,540			861
Administration fees payable		246,600			389,336			302,948			246,122			6,182
Income dividends payable		127,281			185,918			160,953			133,743			—
Distribution fees payable - Class R		88,369			159,935			126,721			94,063			1,545
Professional fees payable		11,501			11,131			11,118			11,091			10,962
Total liabilities		1,227,857			2,376,166			1,281,978			1,374,559			19,550
Net Assets	$	587,020,043		$	933,370,890		$	728,585,012		$	591,891,516		$	17,102,670
Net Assets Consist of
Paid-in capital	$	581,983,911		$	934,265,513		$	777,834,601		$	610,328,564		$	15,760,055
Undistributed (distributions in excess of) net investment income		(400,815	)		(1,076,317	)		(363,742	)		(135,688	)		39,674
Accumulated net realized loss		(38,378,489	)		(101,033,109	)		(106,389,929	)		(92,699,257	)		(249,294	)
Net unrealized appreciation/depreciation		43,815,436			101,214,803			57,504,082			74,397,897			1,552,235
Net Assets	$	587,020,043		$	933,370,890		$	728,585,012		$	591,891,516		$	17,102,670
Net Asset Value
Class I:
Net assets	$	438,986,872		$	663,895,133		$	517,818,219		$	435,318,094		$	13,992,323
Shares outstanding, unlimited number of shares authorized, no par value		40,665,099			45,401,312			38,898,574			27,136,989			832,177
Net asset value	$	10.80		$	14.62		$	13.31		$	16.04		$	16.81
Class R:
Net assets	$	147,741,202		$	268,507,231		$	210,369,531		$	156,562,373		$	3,055,628
Shares outstanding, unlimited number of shares authorized, no par value		14,732,476			19,281,916			16,126,514			10,215,843			181,699
Net asset value	$	10.03		$	13.93		$	13.04		$	15.33		$	16.82
Class S:
Net assets	$	291,969		$	968,526		$	397,262		$	11,049		$	54,719
Shares outstanding, unlimited number of shares authorized, no par value		27,080			66,207			29,799			689			3,248
Net asset value	$	10.78		$	14.63		$	13.33		$	16.04		$	16.84	1

1 The net asset value is calculated based on net assets of $54,719.28 and shares outstanding of 3,248.449.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 11

Statements of Operations BlackRock Funds III

Year Ended December 31, 2009	LifePath Retirement Portfolio			LifePath 2020 Portfolio			LifePath 2030 Portfolio			LifePath 2040 Portfolio			LifePath 2050 Portfolio
Investment Income
Net investment income allocated from the Master Portfolios:
Interest	$	4,408,307		$	11,552,235		$	5,569,601		$	2,293,563		$	3,996
Dividends		2,685,467			12,847,986			11,998,644			10,971,978			182,862
Securities lending - affiliated		37,834			168,181			148,399			135,782			1,532
Income - affiliated		2,213			7,900			6,507			5,624			182
Expenses1		(484,717	)		(1,647,353	)		(1,123,630	)		(806,572	)		(9,903	)
Total income		6,649,104			22,928,949			16,599,521			12,600,375			178,669
Expenses
Administration		919,419			3,634,361			2,788,664			2,228,516			30,334
Distribution - Class R		101,847			511,559			397,581			288,410			1,697
Professional		11,887			13,145			12,634			12,275			10,981
Independent Trustees		1,218			5,982			4,496			3,534			—
Total expenses		1,034,371			4,165,047			3,203,375			2,532,735			43,012
Less expense reductions		(13,105	)		(19,127	)		(17,130	)		(15,809	)		(10,981	)
Total expenses after expense reductions		1,021,266			4,145,920			3,186,245			2,516,926			32,031
Net investment income		5,627,838			18,783,029			13,413,276			10,083,449			146,638
Realized and Unrealized Gain (Loss) Allocated from the Master Portfolios
Net realized gain (loss) from investments, financial futures contracts and swaps		(4,545,046	)		(58,045,241	)		(56,951,517	)		(49,341,942	)		289,239
Net change in unrealized appreciation/depreciation on investments, financial futures contracts and swaps		57,906,234			196,056,873			182,485,014			161,847,250			1,627,074
Total realized and unrealized gain		53,361,188			138,011,632			125,533,497			112,505,308			1,916,313
Net Increase in Net Assets Resulting from Operations	$	58,989,026		$	156,794,661		$	138,946,773		$	122,588,757		$	2,062,951
1 Net of fee reductions	$	609,663		$	2,432,793		$	1,885,529		$	1,521,056		$	23,591

See Notes to Financial Statements.

12 ANNUAL REPORT DECEMBER 31, 2009

Statements of Changes in Net Assets BlackRock Funds III

	LifePath Retirement Portfolio						LifePath 2020 Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2009			2008			2009			2008
Operations
Net investment income	$	5,627,838		$	4,644,492		$	18,783,029		$	21,205,355
Net realized loss		(4,545,046	)		(6,531,737	)		(58,045,241	)		(48,745,627	)
Net change in unrealized appreciation/depreciation		57,906,234			(20,123,766	)		196,056,873			(189,360,737	)
Net increase (decrease) in net assets resulting from operations		58,989,026			(22,011,011	)		156,794,661			(216,901,009	)
Dividends and Distributions to Shareholders From
Net investment income:
Class I		(4,739,995	)		(3,162,927	)		(17,223,974	)		(11,474,253	)
Class R		(1,359,146	)		(820,114	)		(6,672,470	)		(4,166,884	)
Class S		(2,101	)		(870	)1		(20,977	)		(2,474	)1
Net realized gain:
Class I		(38,511	)		(404,249	)		—			(4,015,828	)
Class R		(10,904	)		(123,205	)		—			(1,742,585	)
Class S		(15	)		(165	)1		—			(1,023	)1
Return of capital:
Class I		—			—			(91,672	)		—
Class R		—			—			(36,106	)		—
Class S		—			—			(97	)		—
Decrease in net assets resulting from dividends and distributions to shareholders		(6,150,672	)		(4,511,530	)		(24,045,296	)		(21,403,047	)
Capital Share Transactions
Net increase (decrease) in net assets derived from capital share transactions		416,400,035			(14,803,123	)		188,098,878			(111,432,392	)
Net Assets
Total increase (decrease) in net assets		469,238,389			(41,325,664	)		320,848,243			(349,736,448	)
Beginning of year		117,781,654			159,107,318			612,522,647			962,259,095
End of year	$	587,020,043		$	117,781,654		$	933,370,890		$	612,522,647
Undistributed (distributions in excess of) net investment income	$	(400,815	)	$	72,601		$	(1,076,317	)	$	4,058,134

1 For the period from May 30, 2008 (commencement of operations) to December 31, 2008.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 13

Statements of Changes in Net Assets (continued) BlackRock Funds III

	LifePath 2030 Portfolio						LifePath 2040 Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2009			2008			2009			2008
Operations
Net investment income	$	13,413,276		$	13,402,881		$	10,083,449		$	8,524,627
Net realized loss		(56,951,517	)		(47,541,666	)		(49,341,942	)		(43,469,884	)
Net change in unrealized appreciation/depreciation		182,485,014			(169,034,539	)		161,847,250			(144,081,280	)
Net increase (decrease) in net assets resulting from operations		138,946,773			(203,173,324	)		122,588,757			(179,026,537	)
Dividends and Distributions to Shareholders From
Net investment income:
Class I		(12,375,362	)		(7,165,522	)		(9,283,916	)		(4,664,390	)
Class R		(4,626,595	)		(2,591,243	)		(3,074,278	)		(1,668,748	)
Class S		(6,313	)		(965	)1		(237	)		(130	)1
Net realized gain:
Class I		—			(2,175,943	)		—			(1,286,530	)
Class R		—			(945,972	)		—			(570,781	)
Class S		—			(312	)1		—			(38	)1
Return of capital:
Class I		(27,465	)		—			—			—
Class R		(11,001	)		—			—			—
Class S		(12	)		—			—			—
Decrease in net assets resulting from dividends and distributions to shareholders		(17,046,748	)		(12,879,957	)		(12,358,431	)		(8,190,617	)
Capital Share Transactions
Net increase (decrease) in net assets derived from capital share transactions		158,362,699			(35,656,698	)		136,290,162			38,669,269
Net Assets
Total increase (decrease) in net assets		280,262,724			(251,709,979	)		246,520,488			(148,547,885	)
Beginning of year		448,322,288			700,032,267			345,371,028			493,918,913
End of year	$	728,585,012		$	448,322,288		$	591,891,516		$	345,371,028
Undistributed (distributions in excess of) net investment income	$	(363,742	)	$	3,231,268		$	(135,688	)	$	2,139,318

1 For the period from May 30, 2008 (commencement of operations) to December 31, 2008.

See Notes to Financial Statements.

14 ANNUAL REPORT DECEMBER 31, 2009

Statements of Changes in Net Assets (concluded) BlackRock Funds III

	LifePath 2050 Portfolio
Increase (Decrease) in Net Assets:	Year Ended December 31, 2009			Period June 30, 20081 to December 31, 2008
Operations
Net investment income	$	146,638		$	2,267
Net realized gain		289,239			704
Net change in unrealized appreciation/depreciation		1,627,074			(74,839	)
Net increase (decrease) in net assets resulting from operations		2,062,951			(71,868	)
Dividends and Distributions to Shareholders From
Net investment income:
Class I		(92,580	)		(1,924	)
Class R		(13,913	)		(154	)
Class S		(488	)		(114	)
Net realized gain:
Class I		(440,756	)		(70	)
Class R		(96,288	)		(5	)
Class S		(1,732	)		(4	)
Return of capital:
Class I		—			(614	)
Class R		—			(49	)
Class S		—			(37	)
Decrease in net assets resulting from dividends and distributions to shareholders		(645,757	)		(2,971	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		15,183,580			576,735
Net Assets
Total increase in net assets		16,600,774			501,896
Beginning of period		501,896			—
End of period	$	17,102,670		$	501,896
Undistributed net investment income	$	39,674		$	75

1 Commencement of operations.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 15

Financial Highlights LifePath Retirement Portfolio

	Class I
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	9.42		$	11.46		$	11.59		$	11.22		$	11.18
Net investment income		0.32	1		0.37			0.39			0.39			0.30
Net realized and unrealized gain (loss)		1.37			(2.06	)		0.12			0.58			0.17
Net increase (decrease) from investment operations		1.69			(1.69	)		0.51			0.97			0.47
Dividends and distributions from:
Net investment income		(0.31	)		(0.31	)		(0.37	)		(0.39	)		(0.33	)
Net realized gain		(0.00	)2		(0.04	)		(0.27	)		(0.21	)		(0.10	)
Total dividends and distributions		(0.31	)		(0.35	)		(0.64	)		(0.60	)		(0.43	)
Net asset value, end of year	$	10.80		$	9.42		$	11.46		$	11.59		$	11.22
Total Investment Return3
Based on net asset value		18.25	%		(15.04	)%		4.50	%		8.80	%		4.32	%
Ratios to Average Net Assets4
Total expenses		1.10	%		1.11	%		1.12	%		1.13	%		1.15	%
Total expenses after expense reductions		0.76	%		0.76	%		0.77	%		0.78	%		0.81	%
Net investment income		3.13	%		3.29	%		3.43	%		3.28	%		2.72	%
Supplemental Data
Net assets, end of year (000)	$	438,987		$	92,717		$	136,923		$	91,518		$	99,349
Portfolio turnover of the Master Portfolio		6	%		11	%		6	%		10	%		11	%

1 Based on average shares outstanding.

2 Amount is less than $0.01 per share.

3 Includes the reinvestment of dividends and distributions.

4 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

See Notes to Financial Statements.

16 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) LifePath Retirement Portfolio

	Class R
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	8.77		$	10.70		$	10.87		$	10.56		$	10.55
Net investment income		0.27	1		0.32			0.36			0.35			0.28
Net realized and unrealized gain (loss)		1.28			(1.92	)		0.09			0.53			0.14
Net increase (decrease) from investment operations		1.55			(1.60	)		0.45			0.88			0.42
Dividends and distributions from:
Net investment income		(0.29	)		(0.29	)		(0.35	)		(0.36	)		(0.31	)
Net realized gain		(0.00	)2		(0.04	)		(0.27	)		(0.21	)		(0.10	)
Total dividends and distributions		(0.29	)		(0.33	)		(0.62	)		(0.57	)		(0.41	)
Net asset value, end of year	$	10.03		$	8.77		$	10.70		$	10.87		$	10.56
Total Investment Return3
Based on net asset value		17.96	%		(15.24	)%		4.17	%		8.52	%		4.05	%
Ratios to Average Net Assets4
Total expenses		1.34	%		1.36	%		1.37	%		1.38	%		1.40	%
Total expenses after expense reductions		1.00	%		1.01	%		1.02	%		1.03	%		1.06	%
Net investment income		2.83	%		3.11	%		3.06	%		3.18	%		2.51	%
Supplemental Data
Net assets, end of year (000)	$	147,741		$	25,030		$	22,185		$	13,460		$	9,567
Portfolio turnover of the Master Portfolio		6	%		11	%		6	%		10	%		11	%

1 Based on average shares outstanding.

2 Amount is less than $0.01 per share.

3 Includes the reinvestment of dividends and distributions.

4 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 17

Financial Highlights (continued) LifePath Retirement Portfolio

	Class S
	Year Ended December 31, 2009			Period May 30, 20081 to December 31, 2008
Per Share Operating Performance
Net asset value, beginning of period	$	9.44		$	11.46
Net investment income		0.35	2		0.25
Net realized and unrealized gain (loss)		1.33			(1.97	)
Net increase (decrease) from investment operations		1.68			(1.72	)
Dividends and distributions from:
Net investment income		(0.34	)		(0.26	)
Net realized gain		(0.00	)3		(0.04	)
Total dividends and distributions		(0.34	)		(0.30	)
Net asset value, end of period	$	10.78		$	9.44
Total Investment Return4
Based on net asset value		18.53	%		(15.53	)%5
Ratios to Average Net Assets6
Total expenses		0.74	%		0.79	%7
Total expenses after expense reductions		0.40	%		0.44	%7
Net investment income		3.43	%		4.08	%7
Supplemental Data
Net assets, end of period (000)	$	292		$	35
Portfolio turnover of the Master Portfolio		6	%		11	%

1 Commencement of operations.

2 Based on average shares outstanding.

3 Amount is less than $0.01 per share.

4 Includes the reinvestment of dividends and distributions.

5 Not annualized.

6 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

7 Annualized.

See Notes to Financial Statements.

18 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) LifePath 2020 Portfolio

	Class I
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	12.32		$	16.98		$	17.48		$	15.85		$	15.19
Net investment income		0.35	1		0.44			0.45			0.40			0.30
Net realized and unrealized gain (loss)		2.38			(4.67	)		0.14			1.64			0.68
Net increase (decrease) from investment operations		2.73			(4.23	)		0.59			2.04			0.98
Dividends and distributions from:
Net investment income		(0.43	)		(0.31	)		(0.44	)		(0.41	)		(0.32	)
Net realized gain		—			(0.12	)		(0.65	)		—			—
Return of capital		(0.00	)2		—			—			—			—
Total dividends and distributions		(0.43	)		(0.43	)		(1.09	)		(0.41	)		(0.32	)
Net asset value, end of year	$	14.62		$	12.32		$	16.98		$	17.48		$	15.85
Total Investment Return3
Based on net asset value		22.71	%		(25.42	)%		3.34	%		13.01	%		6.54	%
Ratios to Average Net Assets4
Total expenses		1.08	%		1.07	%		1.08	%		1.08	%		1.12	%
Total expenses after expense reductions		0.72	%		0.73	%		0.74	%		0.75	%		0.78	%
Net investment income		2.65	%		2.65	%		2.52	%		2.37	%		2.01	%
Supplemental Data
Net assets, end of year (000)	$	663,895		$	432,717		$	781,519		$	598,633		$	578,497
Portfolio turnover of the Master Portfolio		6	%		13	%		7	%		16	%		17	%

1 Based on average shares outstanding.

2 Amount is less than $0.01 per share.

3 Includes the reinvestment of dividends and distributions.

4 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 19

Financial Highlights (continued) LifePath 2020 Portfolio

	Class R
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	11.75		$	16.24		$	16.77		$	15.22		$	14.60
Net investment income		0.30	1		0.37			0.38			0.37			0.27
Net realized and unrealized gain (loss)		2.28			(4.45	)		0.13			1.56			0.64
Net increase (decrease) from investment operations		2.58			(4.08	)		0.51			1.93			0.91
Dividends and distributions from:
Net investment income		(0.40	)		(0.29	)		(0.39	)		(0.38	)		(0.29	)
Net realized gain		—			(0.12	)		(0.65	)		—			—
Return of capital		(0.00	)2		—			—			—			—
Total dividends and distributions		(0.40	)		(0.41	)		(1.04	)		(0.38	)		(0.29	)
Net asset value, end of year	$	13.93		$	11.75		$	16.24		$	16.77		$	15.22
Total Investment Return3
Based on net asset value		22.42	%		(25.57	)%		3.06	%		12.77	%		6.28	%
Ratios to Average Net Assets4
Total expenses		1.33	%		1.32	%		1.33	%		1.33	%		1.37	%
Total expenses after expense reductions		0.97	%		0.98	%		0.99	%		1.00	%		1.03	%
Net investment income		2.42	%		2.51	%		2.26	%		2.31	%		1.82	%
Supplemental Data
Net assets, end of year (000)	$	268,507		$	179,389		$	180,740		$	118,364		$	57,525
Portfolio turnover of the Master Portfolio		6	%		13	%		7	%		16	%		17	%

1 Based on average shares outstanding.

2 Amount is less than $0.01 per share.

3 Includes the reinvestment of dividends and distributions.

4 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

See Notes to Financial Statements.

20 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) LifePath 2020 Portfolio

	Class S
	Year Ended December 31, 2009			Period May 30, 20081 to December 31, 2008
Per Share Operating Performance
Net asset value, beginning of period	$	12.33		$	16.90
Net investment income		0.40	2		0.30
Net realized and unrealized gain (loss)		2.37			(4.48	)
Net increase (decrease) from investment operations		2.77			(4.18	)
Dividends and distributions from:
Net investment income		(0.47	)		(0.27	)
Net realized gain		—			(0.12	)
Return of capital		(0.00	)3		—
Total dividends and distributions		(0.47	)		(0.39	)
Net asset value, end of period	$	14.63		$	12.33
Total Investment Return4
Based on net asset value		23.15	%		(25.28	)%5
Ratios to Average Net Assets6
Total expenses		0.73	%		0.76	%7
Total expenses after expense reductions		0.37	%		0.42	%7
Net investment income		3.05	%		4.27	%7
Supplemental Data
Net assets, end of period (000)	$	969		$	416
Portfolio turnover of the Master Portfolio		6	%		13	%

1 Commencement of operations.

2 Based on average shares outstanding.

3 Amount is less than $0.01 per share.

4 Includes the reinvestment of dividends and distributions.

5 Not annualized.

6 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

7 Annualized.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 21

Financial Highlights (continued) LifePath 2030 Portfolio

	Class I
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	10.92		$	16.19		$	16.90		$	15.39		$	14.87
Net investment income		0.29	1		0.35			0.34			0.32			0.24
Net realized and unrealized gain (loss)		2.46			(5.29	)		0.11			1.99			0.88
Net increase (decrease) from investment operations		2.75			(4.94	)		0.45			2.31			1.12
Dividends and distributions from:
Net investment income		(0.36	)		(0.25	)		(0.35	)		(0.36	)		(0.26	)
Net realized gain		—			(0.08	)		(0.81	)		(0.44	)		(0.34	)
Return of capital		(0.00	)2		—			—			—			—
Total dividends and distributions		(0.36	)		(0.33	)		(1.16	)		(0.80	)		(0.60	)
Net asset value, end of year	$	13.31		$	10.92		$	16.19		$	16.90		$	15.39
Total Investment Return3
Based on net asset value		25.77	%		(31.03	)%		2.64	%		15.12	%		7.63	%
Ratios to Average Net Assets4
Total expenses		1.06	%		1.06	%		1.07	%		1.08	%		1.10	%
Total expenses after expense reductions		0.70	%		0.72	%		0.73	%		0.74	%		0.76	%
Net investment income		2.47	%		2.29	%		2.10	%		1.95	%		1.69	%
Supplemental Data
Net assets, end of year (000)	$	517,818		$	315,028		$	564,348		$	408,564		$	352,800
Portfolio turnover of the Master Portfolio		7	%		13	%		7	%		22	%		24	%

1 Based on average shares outstanding.

2 Amount is less than $0.01 per share.

3 Includes the reinvestment of dividends and distributions.

4 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

See Notes to Financial Statements.

22 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) LifePath 2030 Portfolio

	Class R
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	10.71		$	15.90		$	16.62		$	15.15		$	14.65
Net investment income		0.26	1		0.29			0.31			0.28			0.22
Net realized and unrealized gain (loss)		2.40			(5.17	)		0.09			1.95			0.85
Net increase (decrease) from investment operations		2.66			(4.88	)		0.40			2.23			1.07
Dividends and distributions from:
Net investment income		(0.33	)		(0.23	)		(0.31	)		(0.32	)		(0.23	)
Net realized gain		—			(0.08	)		(0.81	)		(0.44	)		(0.34	)
Return of capital		(0.00	)2		—			—			—			—
Total dividends and distributions		(0.33	)		(0.31	)		(1.12	)		(0.76	)		(0.57	)
Net asset value, end of year	$	13.04		$	10.71		$	15.90		$	16.62		$	15.15
Total Investment Return3
Based on net asset value		25.42	%		(31.19	)%		2.38	%		14.83	%		7.37	%
Ratios to Average Net Assets4
Total expenses		1.31	%		1.31	%		1.32	%		1.33	%		1.35	%
Total expenses after expense reductions		0.95	%		0.97	%		0.98	%		0.99	%		1.01	%
Net investment income		2.23	%		2.13	%		1.85	%		1.84	%		1.52	%
Supplemental Data
Net assets, end of year (000)	$	210,370		$	133,199		$	135,684		$	77,890		$	39,134
Portfolio turnover of the Master Portfolio		7	%		13	%		7	%		22	%		24	%

1 Based on average shares outstanding.

2 Amount is less than $0.01 per share.

3 Includes the reinvestment of dividends and distributions.

4 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 23

Financial Highlights (continued) LifePath 2030 Portfolio

	Class S
	Year Ended December 31, 2009			Period May 30, 20081 to December 31, 2008
Per Share Operating Performance
Net asset value, beginning of period	$	10.92		$	16.07
Net investment income		0.38	2		0.25
Net realized and unrealized gain (loss)		2.43			(5.09	)
Net increase (decrease) from investment operations		2.81			(4.84	)
Dividends and distributions from:
Net investment income		(0.40	)		(0.23	)
Net realized gain		—			(0.08	)
Return of capital		(0.00	)3		—
Total dividends and distributions		(0.40	)		(0.31	)
Net asset value, end of period	$	13.33		$	10.92
Total Investment Return4
Based on net asset value		26.23	%		(30.65	)%5
Ratios to Average Net Assets6
Total expenses		0.71	%		0.73	%7
Total expenses after expense reductions		0.35	%		0.39	%7
Net investment income		3.19	%		3.44	%7
Supplemental Data
Net assets, end of period (000)	$	397		$	95
Portfolio turnover of the Master Portfolio		7	%		13	%

1 Commencement of operations.

2 Based on average shares outstanding.

3 Amount is less than $0.01 per share.

4 Includes the reinvestment of dividends and distributions.

5 Not annualized.

6 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

7 Annualized.

See Notes to Financial Statements.

24 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) LifePath 2040 Portfolio

	Class I
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	12.88		$	20.32		$	20.90		$	18.18		$	17.03
Net investment income		0.32	1		0.35			0.34			0.31			0.21
Net realized and unrealized gain (loss)		3.22			(7.45	)		0.08			2.76			1.18
Net increase (decrease) from investment operations		3.54			(7.10	)		0.42			3.07			1.39
Dividends and distributions from:
Net investment income		(0.38	)		(0.26	)		(0.35	)		(0.35	)		(0.24	)
Net realized gain		—			(0.08	)		(0.65	)		—			—
Total dividends and distributions		(0.38	)		(0.34	)		(1.00	)		(0.35	)		(0.24	)
Net asset value, end of year	$	16.04		$	12.88		$	20.32		$	20.90		$	18.18
Total Investment Return2
Based on net asset value		28.08	%		(35.40	)%		2.03	%		16.97	%		8.24	%
Ratios to Average Net Assets3
Total expenses		1.05	%		1.04	%		1.06	%		1.07	%		1.09	%
Total expenses after expense reductions		0.69	%		0.69	%		0.72	%		0.73	%		0.76	%
Net investment income		2.33	%		2.02	%		1.71	%		1.62	%		1.45	%
Supplemental Data
Net assets, end of year (000)	$	435,318		$	248,491		$	383,391		$	278,716		$	221,359
Portfolio turnover of the Master Portfolio		6	%		14	%		8	%		29	%		38	%

1 Based on average shares outstanding.

2 Includes the reinvestment of dividends and distributions.

3 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 25

Financial Highlights (continued) LifePath 2040 Portfolio

	Class R
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	12.32		$	19.46		$	20.06		$	17.47		$	16.37
Net investment income		0.28	1		0.29			0.30			0.25			0.19
Net realized and unrealized gain (loss)		3.08			(7.13	)		0.06			2.64			1.11
Net increase (decrease) from investment operations		3.36			(6.84	)		0.36			2.89			1.30
Dividends and distributions from:
Net investment income		(0.35	)		(0.22	)		(0.31	)		(0.30	)		(0.20	)
Net realized gain		—			(0.08	)		(0.65	)		—			—
Total dividends and distributions		(0.35	)		(0.30	)		(0.96	)		(0.30	)		(0.20	)
Net asset value, end of year	$	15.33		$	12.32		$	19.46		$	20.06		$	17.47
Total Investment Return2
Based on net asset value		27.85	%		(35.56	)%		1.78	%		16.64	%		8.01	%
Ratios to Average Net Assets3
Total expenses		1.30	%		1.29	%		1.31	%		1.32	%		1.34	%
Total expenses after expense reductions		0.94	%		0.94	%		0.97	%		0.98	%		1.01	%
Net investment income		2.08	%		1.80	%		1.49	%		1.46	%		1.20	%
Supplemental Data
Net assets, end of year (000)	$	156,562		$	96,873		$	110,528		$	65,203		$	34,710
Portfolio turnover of the Master Portfolio		6	%		14	%		8	%		29	%		38	%

1 Based on average shares outstanding.

2 Includes the reinvestment of dividends and distributions.

3 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

See Notes to Financial Statements.

26 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) LifePath 2040 Portfolio

	Class S
	Year Ended December 31, 2009			Period May 30, 20081 to December 31, 2008
Per Share Operating Performance
Net asset value, beginning of period	$	12.87		$	20.11
Net investment income		0.38	2		0.31
Net realized and unrealized gain (loss)		3.22			(7.21	)
Net increase (decrease) from investment operations		3.60			(6.90	)
Dividends and distributions from:
Net investment income		(0.43	)		(0.26	)
Net realized gain		—			(0.08	)
Total dividends and distributions		(0.43	)		(0.34	)
Net asset value, end of period	$	16.04		$	12.87
Total Investment Return3
Based on net asset value		28.52	%		(34.75	)%4
Ratios to Average Net Assets5
Total expenses		0.70	%		0.69	%6
Total expenses after expense reductions		0.34	%		0.36	%6
Net investment income		2.73	%		3.31	%6
Supplemental Data
Net assets, end of period (000)	$	11		$	6
Portfolio turnover of the Master Portfolio		6	%		14	%

1 Commencement of operations.

2 Based on average shares outstanding.

3 Includes the reinvestment of dividends and distributions.

4 Not annualized.

5 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

6 Annualized.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 27

Financial Highlights (continued) LifePath 2050 Portfolio

	Class I
	Year Ended December 31, 2009			Period June 30, 20081 to December 31, 2008
Per Share Operating Performance
Net asset value, beginning of period	$	13.46		$	20.00
Net investment income		0.38	2		0.10
Net realized and unrealized gain (loss)		3.68			(6.52	)
Net increase (decrease) from investment operations		4.06			(6.42	)
Dividends and distributions from:
Net investment income		(0.16	)		(0.09	)
Net realized gain		(0.55	)		(0.00	)3
Return of capital		—			(0.03	)
Total dividends and distributions		(0.71	)		(0.12	)
Net asset value, end of period	$	16.81		$	13.46
Total Investment Return4
Based on net asset value		30.35	%		(32.18	)%5
Ratios to Average Net Assets6
Total expenses		1.27	%		12.80	%7
Total expenses after expense reductions		0.67	%		0.68	%7
Net investment income		2.39	%		2.14	%7
Supplemental Data
Net assets, end of period (000)	$	13,992		$	444
Portfolio turnover of the Master Portfolio		12	%		0	%8

1 Commencement of operations.

2 Based on average shares outstanding.

3 Amount is less than $0.01 per share.

4 Includes the reinvestment of dividends and distributions.

5 Not annualized.

6 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

7 Annualized.

8 Rounds to less than 1%.

See Notes to Financial Statements.

28 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) LifePath 2050 Portfolio

	Class R
	Year Ended December 31, 2009			Period June 30, 20081 to December 31, 2008
Per Share Operating Performance
Net asset value, beginning of period	$	13.47		$	20.00
Net investment income		0.41	2		0.14
Net realized and unrealized gain (loss)		3.63			(6.59	)
Net increase (decrease) from investment operations		4.04			(6.45	)
Dividends and distributions from:
Net investment income		(0.14	)		(0.06	)
Net realized gain		(0.55	)		(0.00	)3
Return of capital		—			(0.02	)
Total dividends and distributions		(0.69	)		(0.08	)
Net asset value, end of period	$	16.82		$	13.47
Total Investment Return4
Based on net asset value		30.08	%		(32.28	)%5
Ratios to Average Net Assets6
Total expenses		1.35	%		13.04	%7
Total expenses after expense reductions		0.84	%		0.91	%7
Net investment income		2.45	%		1.68	%7
Supplemental Data
Net assets, end of period (000)	$	3,056		$	34
Portfolio turnover of the Master Portfolio		12	%		0	%8

1 Commencement of operations.

2 Based on average shares outstanding.

3 Amount is less than $0.01 per share.

4 Includes the reinvestment of dividends and distributions.

5 Not annualized.

6 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

7 Annualized.

8 Rounds to less than 1%.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 29

Financial Highlights (concluded) LifePath 2050 Portfolio

	Class S
	Year Ended December 31, 2009			Period June 30, 20081 to December 31, 2008
Per Share Operating Performance
Net asset value, beginning of period	$	13.46		$	20.00
Net investment income		0.64	2		0.17
Net realized and unrealized gain (loss)		3.48			(6.57	)
Net increase (decrease) from investment operations		4.12			(6.40	)
Dividends and distributions from:
Net investment income		(0.19	)		(0.11	)
Net realized gain		(0.55	)		(0.00	)3
Return of capital		—			(0.03	)
Total dividends and distributions		(0.74	)		(0.14	)
Net asset value, end of period	$	16.84		$	13.46
Total Investment Return4
Based on net asset value		30.82	%		(32.10	)%5
Ratios to Average Net Assets6
Total expenses		1.37	%		12.41	%7
Total expenses after expense reductions		0.58	%		0.29	%7
Net investment income		4.34	%		3.94	%7
Supplemental Data
Net assets, end of period (000)	$	55		$	24
Portfolio turnover of the Master Portfolio		12	%		0	%8

1 Commencement of operations.

2 Based on average shares outstanding.

3 Amount is less than $0.01 per share.

4 Includes the reinvestment of dividends and distributions.

5 Not annualized.

6 Includes the LifePath Portfolio’s share of the Master Portfolio’s allocated net expenses and/or net investment income (loss).

7 Annualized.

8 Rounds to less than 1%.

See Notes to Financial Statements.

30 ANNUAL REPORT DECEMBER 31, 2009

Notes to Financial Statements BlackRock Funds III

1. Organization and Significant Accounting Policies:

BlackRock Funds III (the “Trust”) is a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The Trust, formerly known as Barclays Global Investors Funds, Inc., was redomiciled from a Maryland corporation to a Delaware statutory trust effective January 11, 2002. The financial statements and these accompanying notes relate to five series of the Trust: LifePath Retirement Portfolio, LifePath 2020 Portfolio, LifePath 2030 Portfolio, LifePath 2040 Portfolio and LifePath 2050 Portfolio (each, a “LifePath Portfolio” and collectively, the “LifePath Portfolios”). Each LifePath Portfolio seeks to achieve its investment objective by investing substantially all of its assets in a separate 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 “Master Portfolio” and collectively, the “Master Portfolios”). Each Master Portfolio has the same or substantially similar investment objective as its corresponding LifePath Portfolio. The performance of a LifePath Portfolio is directly affected by the performance of its corresponding Master Portfolio.

The value of each LifePath Portfolio’s investment in its corresponding Master Portfolio reflects that LifePath Portfolio’s interest in the net assets of that Master Portfolio (50.24%, 52.50%, 50.83%, 52.24% and 42.32% for the LifePath Retirement Portfolio, LifePath 2020 Portfolio, LifePath 2030 Portfolio, LifePath 2040 Portfolio and LifePath 2050 Portfolio, respectively, as of December 31, 2009).

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 LifePath Portfolios’ financial statements. The LifePath Portfolios’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require management to make certain accruals and estimates. Actual results may differ from these estimates.

Each LifePath Portfolio offers multiple classes of shares although certain share classes may not be outstanding at report date. Each LifePath Portfolio offers the following classes of shares: Class I, Class R, Class S and Class R-1.

All classes of shares have identical voting, dividend, liquidation and other rights and the same terms and conditions and differ principally in administration and distribution fees. Class R has exclusive voting rights with respect to matters relating to its shareholder servicing expenditures.

LifePath Portfolio Reorganization: The Board of Trustees of the Trust approved a reorganization, pursuant to which the LifePath Retirement Portfolio acquired substantially all of the assets and assumed substantially all of the liabilities of the LifePath 2010 Portfolio. The reorganization was a tax-free event and took place on November 20, 2009. The acquisition was accomplished by a tax-free exchange of 23,620,188 Class I Shares, 8,225,927 Class R Shares and 13,947 Class S Shares of LifePath 2010 Portfolio for 26,374,283 Class I Shares, 9,701,782 Class R Shares and 15,549 Class S Shares, respectively, of LifePath Retirement Portfolio. The conversion ratios for Class I Shares, Class R Shares and Class S Shares were 1.11659922, 1.17941499 and 1.11485097, respectively. For financial reporting purposes, assets received and shares issued by the LifePath Retirement Portfolio were recorded at fair value; however, the cost basis of the investments received from the LifePath 2010 Portfolio was carried forward to align ongoing reporting of LifePath Retirement Portfolio’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. LifePath 2010 Portfolio’s net assets on that date of $381,324,704, including $32,612,777 of net unrealized appreciation, were combined with those of LifePath Retirement Portfolio. The aggregate net assets of LifePath Retirement Portfolio immediately after the acquisition amounted to $580,327,369. In connection with the acquisition, the LifePath 2010 Portfolio was terminated as a series of the Trust.

Assuming the acquisition had been completed on January 1, 2009, the beginning of the annual reporting period of the LifePath Retirement Portfolio, the pro forma results of operations for the year ended December 31, 2009, are as follows:

• Net investment income: $6,046,641

• Net loss on investments: $(17,991,026)

• Net decrease in the assets resulting from operations: $(11,944,385)

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of LifePath 2010 Portfolio that have been included in LifePath Retirement Portfolio’s Statement of Operations since November 20, 2009.

The following is a summary of significant accounting policies followed by the LifePath Portfolios:

Valuation: Each LifePath Portfolio records its investments in its corresponding Master Portfolio at fair value.

Fair Value Measurements: Various inputs are used in determining the fair value of investments, which are as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

• 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

ANNUAL REPORT DECEMBER 31, 2009 31

Notes to Financial Statements (continued) BlackRock Funds III

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)

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

As of December 31, 2009, each LifePath Portfolio’s investment in its corresponding Master Portfolio was classified as Level 2. More relevant disclosure regarding fair value measurements relates to the Master Portfolios, which is disclosed in Note 1 of the Master Portfolios’ Notes to Financial Statements included elsewhere in this report.

Investment Transactions and Net Investment Income: For financial reporting purposes, investment transactions in the Master Portfolios are accounted for on a trade date basis. Each LifePath Portfolio records daily its proportionate share of its Master Portfolio’s income, expenses and realized and unrealized gains and losses. In addition, each LifePath Portfolio accrues its own expenses. Income and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Dividends and Distributions to Shareholders: Distributions to shareholders from net investment income, if any, are declared and distributed quarterly. Distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually. Dividends are determined separately for each class based on income and expenses allocable to each class.

Income Taxes: It is each LifePath Portfolio’s policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Management has evaluated the tax positions of each LifePath Portfolio as of December 31, 2009 and has determined that no provision for income tax is required in the LifePath Portfolios’ financial statements.

Each LifePath Portfolio files U.S. federal and state tax returns. No income tax returns are currently under examination. The statute of limitations on each LifePath Portfolio’s U.S. federal tax return remains open for the years ended December 31, 2006 through December 31, 2009.

Recent Accounting Standards: In June 2009, amended guidance was issued by the Financial Accounting Standards Board (“FASB”) for transfers of financial assets. This guidance is intended to improve the relevance, representational faithfulness and comparability of the information that a reporting entity provides in its financial statements about a transfer of financial assets; the effects of a transfer on its financial position, financial performance, and cash flows; and a transferor’s continuing involvement, if any, in transferred financial assets. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after November 15, 2009. Earlier application is prohibited. The recognition and measurement provisions of this guidance must be applied to transfers occurring on or after the effective date. Additionally, the enhanced disclosure provisions of the amended guidance should be applied to transfers that occurred both before and after the effective date of this guidance. The impact of this guidance on the LifePath Portfolios’ financial statements and disclosures, if any, is currently being assessed.

In January 2010, the FASB issued amended guidance for improving disclosure about fair value measurements that adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. The impact of this guidance on the LifePath Portfolios’ financial statements and disclosures, if any, is currently being assessed.

Other: Expenses directly related to each LifePath Portfolio or its classes are charged to that LifePath Portfolio or class. Other operating expenses shared by several funds are pro-rated among those funds on the basis of relative net assets or other appropriate methods. Other expenses of each LifePath Portfolio are allocated daily to each class based on its relative net assets.

2. Transactions with Affiliates:

On December 1, 2009, Barclays PLC (“Barclays”) completed the sale of its interest in Barclays Global Investors, N.A. (“BGI”) and affiliated companies to BlackRock, Inc. (“BlackRock”). BGI was renamed Black-Rock Institutional Trust Company, N.A. (“BTC”) and is a wholly-owned subsidiary of BlackRock.

The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays are the largest stockholders of BlackRock. Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but BAC and Barclays are not.

32 ANNUAL REPORT DECEMBER 31, 2009

Notes to Financial Statements (continued) BlackRock Funds III

The Trust has entered into an administration services arrangement with BTC, which has agreed to provide general administration services (other than investment advice and related portfolio activities). BTC, in consideration thereof, has agreed to bear all of the LifePath 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. BTC is entitled to receive for these administration services an annual fee of 0.50% of the average daily net assets of each LifePath Portfolio’s Class I and Class R Shares, 0.15% of average daily net assets of the Class S Shares and 0.75% of average daily net assets of the Class R-1 Shares. BTC may delegate certain of its administration duties to sub-administrators.

The fees and expenses of the LifePath Portfolios’ 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 Portfolios. BTC has contractually agreed to provide an offsetting credit against the administration fees paid by the LifePath Portfolios in an amount equal to the independent expenses, through December 1, 2011, which is included in expense reductions in the Statements of Operations.

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

3. Distribution Plan:

SEI Investment Distribution Company (“SEI”) is the distributor for the LifePath Portfolios. The LifePath Portfolios have adopted a plan pursuant to Rule 12b-1 under the 1940 Act, which authorizes Class R of the LifePath Portfolios to pay expenses relating to the distribution of its shares. Under the plan, SEI is entitled to receive an annual fee for these services of 0.25% of the average daily net assets of each LifePath Portfolio’s Class R. Class I and Class S shareholders do not pay any fees for distribution services. The fees paid to SEI by each LifePath Portfolio’s Class R are shown as distribution — Class R in the Statements of Operations.

4. Income Tax Information:

Reclassifications: Accounting principles generally accepted in the United States of America require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of December 31, 2009 attributable to portfolio merger, dividend redesignation and return of capital distributions were reclassified to the following accounts:

	LifePath Retirement Portfolio			LifePath 2020 Portfolio			LifePath 2030 Portfolio			LifePath 2040 Portfolio			LifePath 2050 Portfolio
Paid-in capital	$	27,969,571		$	(124,195	)	$	(18,411	)	$	6,835		$	440
Undistributed net investment income	$	49,418		$	127,816		$	38,462		$	(24	)	$	(58	)
Accumulated net realized gain (loss)	$	(28,018,989	)	$	(3,621	)	$	(20,051	)	$	(6,811	)	$	(382	)

The tax character of distributions paid during the years ended December 31, 2009 and December 31, 2008 were as follows:

	LifePath Retirement Portfolio		LifePath 2020 Portfolio		LifePath 2030 Portfolio		LifePath 2040 Portfolio		LifePath 2050 Portfolio
Ordinary income
12/31/2009	$	6,150,672	$	23,917,421	$	17,008,270	$	12,358,431	$	561,729
12/31/2008	$	4,126,640	$	15,753,674	$	9,757,730	$	6,333,268	$	2,192
Net long-term capital gains
12/31/2009		—		—		—		—	$	84,028
12/31/2008	$	384,890	$	5,649,373	$	3,122,227	$	1,857,349	$	79
Return of capital
12/31/2009		—	$	127,875	$	38,478		—		—
12/31/2008		—		—		—		—	$	700
Total distributions
12/31/2009	$	6,150,672	$	24,045,296	$	17,046,748	$	12,358,431	$	645,757
12/31/2008	$	4,511,530	$	21,403,047	$	12,879,957	$	8,190,617	$	2,971

ANNUAL REPORT DECEMBER 31, 2009 33

Notes to Financial Statements (continued) BlackRock Funds III

As of December 31, 2009, the tax components of net distributable earnings (accumulated losses) were as follows:

	LifePath Retirement Portfolio			LifePath 2020 Portfolio			LifePath 2030 Portfolio			LifePath 2040 Portfolio			LifePath 2050 Portfolio
Undistributed ordinary income	$	1,428,045			—			—		$	40,198		$	154,340
Capital loss carryforwards		(35,437,455	)	$	(62,674,211	)	$	(59,063,810	)		(48,375,634	)		—
Net unrealized gains*		39,045,541			61,779,588			9,814,221			29,898,388			1,188,275
Total	$	5,036,131		$	(894,623	)	$	(49,249,589	)	$	(18,437,048	)	$	1,342,615

* The differences between book-basis and tax-basis net unrealized gains were attributable primarily to the realization for tax purposes of unrealized gains (losses) on certain futures contracts and the timing and recognition of partnership income.

As of December 31, 2009, the LifePath Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:

Expiring December 31,	LifePath Retirement Portfolio			LifePath 2020 Portfolio		LifePath 2030 Portfolio		LifePath 2040 Portfolio
2016	$	28,826,523	*	$	6,147,998	$	12,392,101	$	11,264,177
2017		6,610,932			56,526,213		46,671,709		37,111,457
Total	$	35,437,455		$	62,674,211	$	59,063,810	$	48,375,634

* The LifePath Retirement Portfolio had a capital loss carryforward of $27,945,792 that it acquired from the LifePath 2010 Portfolio which will expire on December 31, 2016. The capital loss carryforward of LifePath Retirement Portfolio may be subject to loss limitations.

5. Capital Share Transactions:

Transactions in capital shares for each LifePath Portfolio were as follows:

	Year Ended December 31, 2009					Year Ended December 31, 2008
LifePath Retirement Portfolio	Shares		Amount			Shares		Amount
Class I
Shares sold	9,138,463		$	93,482,873		5,286,016		$	56,734,927
Shares issued resulting from reorganization	26,374,283			252,998,280		—			—
Shares issued to shareholders in reinvestment of dividends and distributions	437,066			4,454,791		310,022			3,296,112
Total issued	35,949,812			350,935,944		5,596,038			60,031,039
Shares redeemed	(5,128,509	)		(51,929,051	)	(7,704,499	)		(83,406,569	)
Net increase (decrease)	30,821,303		$	299,006,893		(2,108,461	)	$	(23,375,530	)
Class R
Shares sold	3,440,963		$	33,560,467		1,946,364		$	19,887,871
Shares issued resulting from reorganization	9,701,782			95,558,672		—			—
Shares issued to shareholders in reinvestment of dividends and distributions	138,473			1,317,402		92,299			912,975
Total issued	13,281,218			130,436,541		2,038,663			20,800,846
Shares redeemed	(1,402,029	)		(13,283,240	)	(1,258,139	)		(12,269,877	)
Net increase	11,879,189		$	117,153,301		780,524		$	8,530,969
Class S
Shares sold	8,828		$	95,294		6,930		$	72,157
Shares issued resulting from reorganization	15,549			154,987		—			—
Shares issued to shareholders in reinvestment of dividends and distributions	206			2,116		85			894
Total issued	24,583			252,397		7,015			73,051
Shares redeemed	(1,162	)		(12,556	)	(3,356	)		(31,613	)
Net increase	23,421		$	239,841		3,659		$	41,438

34 ANNUAL REPORT DECEMBER 31, 2009

Notes to Financial Statements (continued) BlackRock Funds III

	Year Ended December 31, 2009					Year Ended December 31, 2008
LifePath 2020 Portfolio	Shares		Amount			Shares		Amount
Class I
Shares sold	18,614,497		$	241,716,589		12,042,398		$	182,884,023
Shares issued to shareholders in reinvestment of dividends and distributions	1,300,396			16,761,533		964,343			15,007,323
Total issued	19,914,893			258,478,122		13,006,741			197,891,346
Shares redeemed	(9,640,115	)		(124,202,736	)	(23,909,297	)		(374,048,848	)
Net increase (decrease)	10,274,778		$	134,275,386		(10,902,556	)	$	(176,157,502	)
Class R
Shares sold	6,214,521		$	79,296,989		7,670,966		$	114,244,824
Shares issued to shareholders in reinvestment of dividends and distributions	534,686			6,557,206		392,633			5,822,853
Total issued	6,749,207			85,854,195		8,063,599			120,067,677
Shares redeemed	(2,728,159	)		(32,481,113	)	(3,932,191	)		(55,779,928	)
Net increase	4,021,048		$	53,373,082		4,131,408		$	64,287,749
Class S
Shares sold	31,786		$	442,383		33,514		$	434,038
Shares issued to shareholders in reinvestment of dividends and distributions	1,610			21,074		217			3,323
Total issued	33,396			463,457		33,731			437,361
Shares redeemed	(920	)		(13,047	)	—			—
Net increase	32,476		$	450,410		33,731		$	437,361

	Year Ended December 31, 2009					Year Ended December 31, 2008
LifePath 2030 Portfolio	Shares		Amount			Shares		Amount
Class I
Shares sold	16,613,062		$	190,516,204		10,962,421		$	154,334,357
Shares issued to shareholders in reinvestment of dividends and distributions	1,037,074			11,903,907		614,461			8,966,919
Total issued	17,650,136			202,420,111		11,576,882			163,301,276
Shares redeemed	(7,595,697	)		(88,332,267	)	(17,585,876	)		(256,009,230	)
Net increase (decrease)	10,054,439		$	114,087,844		(6,008,994	)	$	(92,707,954	)
Class R
Shares sold	5,150,748		$	59,542,811		5,614,466		$	79,968,860
Shares issued to shareholders in reinvestment of dividends and distributions	408,463			4,583,915		244,409			3,497,419
Total issued	5,559,211			64,126,726		5,858,875			83,466,279
Shares redeemed	(1,867,079	)		(20,125,351	)	(1,957,789	)		(26,528,903	)
Net increase	3,692,132		$	44,001,375		3,901,086		$	56,937,376
Class S
Shares sold	28,592		$	365,213		8,663		$	112,749
Shares issued to shareholders in reinvestment of dividends and distributions	525			6,325		80			1,131
Total issued	29,117			371,538		8,743			113,880
Shares redeemed	(8,061	)		(98,058	)	—			—
Net increase	21,056		$	273,480		8,743		$	113,880

ANNUAL REPORT DECEMBER 31, 2009 35

Notes to Financial Statements (concluded) BlackRock Funds III

	Year Ended December 31, 2009					Year Ended December 31, 2008
LifePath 2040 Portfolio	Shares		Amount			Shares		Amount
Class I
Shares sold	12,545,999		$	166,714,838		8,897,629		$	151,520,998
Shares issued to shareholders in reinvestment of dividends and distributions	651,307			8,881,522		321,902			5,700,878
Total issued	13,197,306			175,596,360		9,219,531			157,221,876
Shares redeemed	(5,354,883	)		(73,158,299	)	(8,792,640	)		(156,315,163	)
Net increase	7,842,423		$	102,438,061		426,891		$	906,713
Class R
Shares sold	3,760,427		$	50,141,955		3,469,177		$	58,789,781
Shares issued to shareholders in reinvestment of dividends and distributions	234,350			3,056,456		129,985			2,226,207
Total issued	3,994,777			53,198,411		3,599,162			61,015,988
Shares redeemed	(1,639,755	)		(19,349,285	)	(1,418,049	)		(23,263,480	)
Net increase	2,355,022		$	33,849,126		2,181,113		$	37,752,508
Class S
Shares sold	172		$	2,738		497		$	10,000
Shares issued to shareholders in reinvestment of dividends and distributions	17			237		3			48
Total issued	189			2,975		500			10,048
Net increase	189		$	2,975		500		$	10,048
	Year Ended December 31, 2009					Year Ended December 31, 2008
LifePath 2050 Portfolio	Shares		Amount			Shares		Amount
Class I
Shares sold	906,804		$	13,905,255		32,806		$	497,366
Shares issued to shareholders in reinvestment of dividends and distributions	31,828			533,336		185			2,609
Total issued	938,632			14,438,591		32,991			499,975
Shares redeemed	(139,446	)		(2,244,122	)	—			—
Net increase	799,186		$	12,194,469		32,991		$	499,975
Class R
Shares sold	197,803		$	3,284,326		2,500		$	50,000
Shares issued to shareholders in reinvestment of dividends and distributions	6,555			110,201		14			208
Total issued	204,358			3,394,527		2,514			50,208
Shares redeemed	(25,173	)		(429,138	)	—			—
Net increase	179,185		$	2,965,389		2,514		$	50,208
Class S
Shares sold	1,327		$	21,502		1,776		$	26,400
Shares issued to shareholders in reinvestment of dividends and distributions	134			2,220		11			152
Total issued	1,461			23,722		1,787			26,552
Net increase	1,461		$	23,722		1,787		$	26,552

6. Subsequent Events:

Management has evaluated the impact of all subsequent events on the LifePath Portfolios through February 24, 2010, the date the financial statements were issued, and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

36 ANNUAL REPORT DECEMBER 31, 2009

Report of Independent Registered Public Accounting Firm BlackRock Funds III

To the Shareholders and Board of Trustees of BlackRock Funds III:

In our opinion, the accompanying statements of assets and liabilities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the LifePath Retirement Portfolio, LifePath 2020 Portfolio, LifePath 2030 Portfolio, LifePath 2040 Portfolio and LifePath 2050 Portfolio, each a series of BlackRock Funds III (the “Trust”), at December 31, 2009, the results of each of their operations and the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 24, 2010

Important Tax Information (Unaudited)

Pursuant to Section 852(b)(3)(C) of the Internal Revenue Code (the “Code”), the LifePath 2050 Portfolio designates $84,028 as long-term capital gains distributions for the tax year ended December 31, 2009.

Under Section 871(k)(2)(C) of the Code, the LifePath Retirement Portfolio and LifePath 2050 Portfolio hereby designate $49,430 and $454,748, respectively, as short-term capital gains distributions for the tax year ended December 31, 2009.

The following information is provided with respect to the ordinary income distributions paid during the tax year ended December 31, 2009.

	Payable Date	LifePath Retirement Portfolio		LifePath 2020 Portfolio		LifePath 2030 Portfolio		LifePath 2040 Portfolio		LifePath 2050 Portfolio
Qualified Dividend Income for Individuals (pursuant to Section 854(b)(2) of the Code)†	4/1/2009	15.15	%	26.93	%	36.12	%	49.83	%	15.73	%
	7/1/2009	15.15	%	26.93	%	36.12	%	49.83	%	15.73	%
	10/1/2009	15.15	%	26.93	%	36.12	%	49.83	%	15.73	%
	12/15/2009	15.15	%	26.93	%	36.12	%	49.83	%	15.73	%
Dividends Qualifying for the Dividend Received Deduction for Corporations†	4/1/2009	11.12	%	18.84	%	25.14	%	32.25	%	10.36	%
	7/1/2009	11.12	%	18.84	%	25.14	%	32.25	%	10.36	%
	10/1/2009	11.12	%	18.84	%	25.14	%	32.25	%	10.36	%
	12/15/2009	11.12	%	18.84	%	25.14	%	32.25	%	10.36	%

† Expressed as a percentage of the ordinary income distributions. The LifePath Portfolios hereby designate the percentages indicated above or the maximum amount allowable by law.

ANNUAL REPORT DECEMBER 31, 2009 37

Important Tax Information (Unaudited) (concluded)

Interest Related Dividends for Non-U.S. Residents*

Month Paid	LifePath Retirement Portfolio		LifePath 2020 Portfolio		LifePath 2030 Portfolio		LifePath 2040 Portfolio		LifePath 2050 Portfolio
March 2009	33.21	%	19.71	%	18.51	%	19.00	%	47.30	%
June 2009	33.56	%	26.69	%	22.12	%	18.42	%	100.00	%
September 2009	47.10	%	50.51	%	54.82	%	61.28	%	67.73	%
November 2009	71.53	%	—		—		—		—
December 2009	22.49	%	35.33	%	23.22	%	42.53	%	79.63	%

* Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations designated pursuant to Section 871(k)(1)(C) of the Code.

38 ANNUAL REPORT DECEMBER 31, 2009

Proxy Results

A Special Meeting of Shareholders was held on November 20, 2009 for shareholders of record on September 30, 2009, to elect a Board of Trustees of the Trust and to approve a new investment advisory agreement between BlackRock Fund Advisors and MIP, on behalf of the Master Portfolio in which each LifePath Portfolio invests. Each vote represents one dollar of value of shares outstanding on the record date.

Approved the Trustees* as follows:

	Votes For	Votes Withheld
David O. Beim	33,396,814,991	18,546,278
Richard S. Davis	33,397,355,298	18,005,970
Ronald W. Forbes	33,396,599,262	18,762,007
Henry Gabbay	33,396,394,550	18,966,718
Dr. Matina Horner	33,397,040,975	18,320,294
Rodney D. Johnson	33,397,333,667	18,027,602
Herbert I. London	33,396,447,692	18,913,577
Cynthia A. Montgomery	33,394,049,102	21,312,167
Joseph P. Platt, Jr.	33,396,449,764	18,911,505
Robert C. Robb, Jr.	33,397,383,385	17,977,884
Toby Rosenblatt	33,397,497,474	17,863,795
Kenneth L. Urish	33,397,436,722	17,924,547
Frederick W. Winter	33,396,449,774	18,911,495

Approved the new investment advisory agreement as follows:

	Votes For	Votes Against	Votes Abstaining	Broker Non-Votes**
LifePath Retirement Portfolio	64,041,872	181,667	1,766,667	11,547,794
LifePath 2010 Portfolio	192,990,547	535,897	3,122,069	25,973,734
LifePath 2020 Portfolio	360,597,806	1,407,529	16,790,613	47,814,107
LifePath 2030 Portfolio	302,489,917	1,548,417	4,409,278	14,137,311
LifePath 2040 Portfolio	236,989,785	998,634	2,604,974	26,008,837
LifePath 2050 Portfolio	5,778,351	—	42,990	323,896

* Denotes Trust-wide proposal and voting results.

** Broker non-votes are proxies received by the LifePath Portfolio from brokers or nominees who did not receive instructions from the beneficial owner or other persons entitled to vote and who have no discretionary power to vote on a particular matter. Broker non-votes have the effect of a vote against the proposal.

ANNUAL REPORT DECEMBER 31, 2009 39

Master Portfolio Information as of December 31, 2009 Master Investment Portfolio

Portfolio Composition

LifePath Retirement Master Portfolio	Percent of Long-Term Investments
Domestic Fixed Income	61	%
Domestic Equity	27
Foreign Equity	12

LifePath 2020 Master Portfolio	Percent of Long-Term Investments
Domestic Equity	41	%
Domestic Fixed Income	40
Foreign Equity	19

LifePath 2030 Master Portfolio	Percent of Long-Term Investments
Domestic Equity	51	%
Foreign Equity	25
Domestic Fixed Income	24

LifePath 2040 Master Portfolio	Percent of Long-Term Investments
Domestic Equity	59	%
Foreign Equity	29
Domestic Fixed Income	12

LifePath 2050 Master Portfolio	Percent of Long-Term Investments
Domestic Equity	65	%
Foreign Equity	34
Domestic Fixed Income	1

Sector Allocation

Active Stock Master Portfolio	Percent of Long-Term Investments
Information Technology	22	%
Health Care	15
Financials	13
Consumer Discretionary	11
Energy	11
Consumer Staples	10
Industrials	8
Materials	5
Utilities	3
Telecommunication Services	2

Ten Largest Holdings

Active Stock Master Portfolio	Percent of Long-Term Investments
Exxon Mobil Corp.	4	%
Microsoft Corp.	3
Apple, Inc.	3
JPMorgan Chase & Co.	3
Google, Inc. Class A	3
Hewlett-Packard Co.	2
Procter & Gamble Co.	2
Intel Corp.	2
Goldman Sachs Group, Inc.	2
General Electric Co.	2

Portfolio Composition

CoreAlpha Bond Master Portfolio	Percent of Long-Term Investments
U.S. Government Sponsored Agency Securities	41	%
Corporate Bonds	33
Asset-Backed Securities	10
Non-Agency Mortgage-Backed Securities	7
U.S. Treasury Obligations	6
Foreign Agency Obligations	2
Capital Trusts	1

Credit Quality Allocation¹

CoreAlpha Bond Master Portfolio	Percent of Long-Term Investments
AAA/Aaa2	60	%
AA/Aa	5
A/A	13
BBB/Baa	18
BB/Ba	3
B/B	1
CCC/Caa	0
NR	0

1 Using the higher of Standard & Poor’s or Moody’s Investors Service.

2 Includes U.S. Government Sponsored Agency Securities which are deemed AAA/ Aaa by the investment advisor.

40 ANNUAL REPORT DECEMBER 31, 2009

The Benefits and Risks of Leveraging

The CoreAlpha Bond Master Portfolio may utilize leverage to seek to enhance its yield. However, these objectives cannot be achieved in all interest rate environments.

The Master Portfolio may utilize leverage through borrowings, including dollar rolls. In general, the concept of leveraging is based on the premise that the cost of assets to be obtained from leverage will be based on short-term interest rates, which normally will be lower than the income earned by the Master Portfolio on its longer-term portfolio investments. To the extent that the total assets of the Master Portfolio (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Master Portfolio’s investors will benefit from the incremental net income.

Furthermore, the value of the Master Portfolio’s investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. Changes in interest rates can influence the Master Portfolio’s NAV positively or negatively in addition to the impact on the Master Portfolio’s performance from leverage.

The use of leverage may enhance opportunities for increased income to the Master Portfolio, but as described above, it also creates risks as short- or long-term interest rates fluctuate. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Master Portfolio’s net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, the Master Portfolio’s net income will be less than if leverage had not been used. The Master Portfolio may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments which may cause the Master Portfolio to incur losses. The use of leverage may limit the Master Portfolio’s ability to invest in certain types of securities or use certain types of hedging strategies. The Master Portfolio will incur expenses in connection with the use of leverage, all of which are borne by Master Portfolio investors and may reduce income.

Derivative Financial Instruments

The Active Stock and CoreAlpha Bond Master Portfolios may invest in various derivative instruments, including financial futures contracts and swaps, as specified in Note 2 of the Notes to Financial Statements, which constitute forms of economic leverage. Such instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, credit, interest rate and/or foreign currency exchange rate risks. Such derivative instruments involve risks, including the imperfect correlation between the value of a derivative instrument and the underlying asset, possible default of the other party to the transaction or illiquidity of the derivative instrument. The Master Portfolios’ ability to successfully use a derivative instrument depends on the investment advisor’s ability to accurately predict pertinent market movements, which cannot be assured. The use of derivative instruments may result in losses greater than if they had not been used, may require the Master Portfolios to sell or purchase portfolio securities at inopportune times or distressed values, may limit the amount of appreciation the Master Portfolios can realize on an investment or may cause the Master Portfolios to hold a security that it might otherwise sell. The Master Portfolios’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 41

Schedule of Investments December 31, 2009	LifePath Retirement Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Affiliated Investment Companies
Master Portfolios — 71.1%
Active Stock Master Portfolio		$	220,959,894
CoreAlpha Bond Master Portfolio			607,695,766
Total Master Portfolios			828,655,660
Exchange-Traded Funds — 28.4%
iShares Barclays TIPS Bond Fund(a)(b)	1,018,001		105,770,304
iShares Cohen & Steers Realty Majors Index Fund(a)(b)	137,046		7,197,656
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund(a)(b)	431,794		12,487,482
iShares MSCI Canada Index Fund(a)(b)	352,758		9,288,118
iShares MSCI EAFE Index Fund(a)(b)	1,402,649		77,566,490
iShares MSCI EAFE Small Cap Index Fund(a)(b)	273,404		9,790,597
iShares MSCI Emerging Markets Index Fund(a)(b)	680,505		28,240,958
iShares S&P MidCap 400 Index Fund(a)(b)	776,111		56,198,198
iShares S&P SmallCap 600 Index Fund(a)(b)	452,660		24,769,555
Total Exchange-Traded Funds (Cost — $300,513,414*)			331,309,358
Money Market Funds — 8.8%
BlackRock Cash Funds: Institutional, SL Agency Shares,
0.19%(b)(c)(d)	88,781,172		88,781,172
BlackRock Cash Funds: Prime, SL Agency Shares,
0.17%(b)(c)(d)	13,810,279		13,810,279
Total Money Market Funds (Cost — $102,591,451*)			102,591,451
Total Affiliated Investment Companies — 108.3%			1,262,556,469
Liabilities in Excess of Other Assets — (8.3)%			(97,249,629	)
Net Assets — 100.0%		$	1,165,306,840

* The cost and unrealized appreciation (depreciation) of investments (excluding investments in the underlying Master Portfolios) as of December 31, 2009, as computed for federal income tax purposes, were as follows:

Aggregate cost	$	411,517,353
Gross unrealized appreciation	$	22,383,456
Gross unrealized depreciation		—
Net unrealized appreciation	$	22,383,456

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

(b) Investments in companies considered to be an affiliate of the Master Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940 (excluding investments in the underlying Master Portfolios), were as follows:

Affiliate	Purchase Cost			Sales Cost		Realized Loss			Income
BlackRock Cash Funds: Institutional	$	65,879,695	1		—		—		$	70,433
BlackRock Cash Funds: Prime	$	10,883,645	1		—		—		$	10,716
iShares Barclays TIPS Bond Fund	$	83,329,796		$	3,434,363	$	(174,131	)	$	1,129,163
iShares Cohen & Steers Realty Majors Index Fund	$	2,838,470		$	1,180,528	$	(523,780	)	$	126,926
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund	$	9,734,721		$	1,639,922	$	(499,261	)	$	609,177
iShares MSCI Canada Index Fund	$	7,450,640		$	485,913	$	(184,229	)	$	93,599
iShares MSCI EAFE Index Fund	$	51,368,814		$	11,740,271	$	(3,962,559	)	$	1,047,344
iShares MSCI EAFE Small Cap Index Fund	$	7,848,338		$	1,154,804	$	(359,913	)	$	151,439
iShares MSCI Emerging Markets Index Fund	$	19,395,431		$	2,685,175	$	(1,107,869	)	$	269,511
iShares S&P MidCap 400 Index Fund	$	39,449,673		$	7,246,901	$	(1,277,365	)	$	396,611
iShares S&P SmallCap 600 Index Fund	$	18,557,707		$	4,691,827	$	(903,318	)	$	135,035

1 Represents net activity.

(c) Represents the seven-day yield as of report date.

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

• Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

• 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)

• 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)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Investments in Securities
	Assets
Level 1
Exchange-Traded Funds	$	331,309,358
Money Market Funds		102,591,451
Total Level 1		433,900,809
Level 2
Master Portfolios		828,655,660
Level 3		—
Total	$	1,262,556,469

See Notes to Financial Statements.

42 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments December 31, 2009	LifePath 2020 Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Affiliated Investment Companies
Master Portfolios — 64.4%
Active Stock Master Portfolio		$	543,484,878
CoreAlpha Bond Master Portfolio			602,515,320
Total Master Portfolios			1,146,000,198
Exchange-Traded Funds — 35.4%
iShares Barclays TIPS Bond Fund(a)(b)	966,860		100,456,754
iShares Cohen & Steers Realty Majors Index Fund(a)(b)	601,886		31,611,053
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund(a)(b)	1,834,145		53,043,473
iShares MSCI Canada Index Fund(a)(b)	815,491		21,471,878
iShares MSCI EAFE Index Fund(a)(b)	3,290,386		181,958,346
iShares MSCI EAFE Small Cap Index Fund(b)	613,941		21,985,227
iShares MSCI Emerging Markets Index Fund(a)(b)	1,608,611		66,757,357
iShares S&P MidCap 400 Index Fund(a)(b)	1,446,958		104,774,229
iShares S&P SmallCap 600 Index Fund(a)(b)	860,207		47,070,527
Total Exchange-Traded Funds (Cost — $587,501,524*)			629,128,844
Money Market Funds — 14.7%
BlackRock Cash Funds: Institutional, SL Agency Shares,
0.19%(b)(c)(d)	226,175,226		226,175,226
BlackRock Cash Funds: Prime, SL Agency Shares,
0.17%(b)(c)(d)	35,603,666		35,603,666
Total Money Market Funds (Cost — $261,778,892*)			261,778,892
Total Affiliated Investment Companies — 114.5%			2,036,907,934
Liabilities in Excess of Other Assets — (14.5)%			(257,235,113	)
Net Assets — 100.0%		$	1,779,672,821

* The cost and unrealized appreciation (depreciation) of investments (excluding investments in the underlying Master Portfolios) as of December 31, 2009, as computed for federal income tax purposes, were as follows:

Aggregate cost	$	873,573,528
Gross unrealized appreciation	$	17,334,208
Gross unrealized depreciation		—
Net unrealized appreciation	$	17,334,208

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

(b) Investments in companies considered to be an affiliate of the Master Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940 (excluding investments in the underlying Master Portfolios), were as follows:

Affiliate	Purchase Cost			Sales Cost			Realized Loss			Income
BlackRock Cash Funds: Institutional	$	136,325,573	1		—			—		$	298,672
BlackRock Cash Funds: Prime		—		$	1,681,954	1		—		$	46,043
iShares Barclays TIPS Bond Fund	$	38,558,193		$	6,680,253		$	(523,844	)	$	2,636,392
iShares Cohen & Steers Realty Majors Index Fund	$	5,742,361		$	5,175,821		$	(2,411,146	)	$	1,225,027
iShares FTSE EPRA/NAREIT Developed Real Estate ex- U.S. Index Fund	$	15,296,857		$	14,456,555		$	(4,409,871	)	$	3,755,203
iShares MSCI Canada Index Fund	$	1,608,148		$	3,689,783		$	(1,479,214	)	$	253,934
iShares MSCI EAFE Index Fund	$	27,598,717		$	64,998,071		$	(26,923,253	)	$	4,496,561
iShares MSCI EAFE Small Cap Index Fund	$	1,031,238		$	5,082,138		$	(1,820,472	)	$	494,116
iShares MSCI Emerging Markets Index Fund	$	9,909,874		$	16,655,090		$	(7,141,830	)	$	880,396
iShares S&P MidCap 400 Index Fund	$	13,347,628		$	16,060,542		$	(5,075,462	)	$	1,297,532
iShares S&P SmallCap 600 Index Fund	$	8,297,333		$	9,258,080		$	(2,592,866	)	$	469,729

1 Represents net activity.

(c) Represents the seven-day yield as of report date.

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

• Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

• 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)

• 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)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Investments in Securities
	Assets
Level 1
Exchange-Traded Funds	$	629,128,844
Money Market Funds		261,778,892
Total Level 1		890,907,736
Level 2
Master Portfolios		1,146,000,198
Level 3		—
Total	$	2,036,907,934

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 43

Schedule of Investments December 31, 2009	LifePath 2030 Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Affiliated Investment Companies
Master Portfolios — 59.3%
Active Stock Master Portfolio		$	547,310,809
CoreAlpha Bond Master Portfolio			302,817,753
Total Master Portfolios			850,128,562
Exchange-Traded Funds — 40.4%
iShares Barclays TIPS Bond Fund(a)(b)	432,362		44,922,413
iShares Cohen & Steers Realty Majors Index Fund(a)(b)	736,816		38,697,576
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund(a)	2,218,125		64,148,175
iShares MSCI Canada Index Fund(a)(b)	822,796		21,664,219
iShares MSCI EAFE Index Fund(a)(b)	3,306,532		182,851,219
iShares MSCI EAFE Small Cap Index Fund(a)(b)	615,291		22,033,571
iShares MSCI Emerging Markets Index Fund(a)(b)	1,614,028		66,982,162
iShares S&P MidCap 400 Index Fund(a)(b)	1,306,771		94,623,288
iShares S&P SmallCap 600 Index Fund(a)(b)	773,189		42,308,902
Total Exchange-Traded Funds (Cost — $544,573,429*)			578,231,525
Money Market Funds — 17.5%
BlackRock Cash Funds: Institutional, SL Agency Shares,
0.19%(a)(c)(d)	217,065,536		217,065,536
BlackRock Cash Funds: Prime, SL Agency Shares,
0.17%(a)(c)(d)	34,450,272		34,450,272
Total Money Market Funds (Cost — $251,515,808*)			251,515,808
Total Affiliated Investment Companies — 117.2%			1,679,875,895
Liabilities in Excess of Other Assets — (17.2)%			(246,619,576	)
Net Assets — 100.0%		$	1,433,256,319

* The cost and unrealized appreciation (depreciation) of investments (excluding investments in the underlying Master Portfolios) as of December 31, 2009, as computed for federal income tax purposes, were as follows:

Aggregate cost	$	825,807,052
Gross unrealized appreciation	$	3,940,281
Gross unrealized depreciation		—
Net unrealized appreciation	$	3,940,281

(a) Investments in companies considered to be an affiliate of the Master Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940 (excluding investments in the underlying Master Portfolios), were as follows:

Affiliate	Purchase Cost			Sales Cost		Realized Loss			Income
BlackRock Cash Funds: Institutional	$	120,602,140	1		—		—		$	270,867
BlackRock Cash Funds: Prime	$	11,014,841	1		—		—		$	41,898
iShares Barclays TIPS Bond Fund	$	18,456,792		$	4,130,789	$	(323,739	)	$	1,216,021
iShares Cohen & Steers Realty Majors Index Fund	$	10,750,616		$	8,619,720	$	(4,394,114	)	$	1,426,086
iShares Developed FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund	$	22,626,694		$	14,121,574	$	(4,255,633	)	$	4,419,635
iShares MSCI Canada Index Fund	$	2,889,873		$	3,420,264	$	(1,415,632	)	$	254,162
iShares MSCI EAFE Index Fund	$	32,214,415		$	57,899,237	$	(25,107,319	)	$	4,448,070
iShares MSCI EAFE Small Cap Index Fund	$	2,023,392		$	4,592,431	$	(2,094,773	)	$	488,278
iShares MSCI Emerging Markets Index Fund	$	10,391,856		$	11,811,669	$	(5,584,932	)	$	871,714
iShares S&P MidCap 400 Index Fund	$	12,477,114		$	11,633,880	$	(4,219,453	)	$	1,165,713
iShares S&P SmallCap 600 Index Fund	$	6,540,151		$	7,163,441	$	(1,952,143	)	$	419,769

1 Represents net activity.

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

(c) Represents the seven-day yield as of report date.

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

• Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

• 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)

• 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)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Investments in Securities
	Assets
Level 1
Exchange-Traded Funds	$	578,231,525
Money Market Funds		251,515,808
Total Level 1		829,747,333
Level 2
Master Portfolios		850,128,562
Level 3		—
Total	$	1,679,875,895

See Notes to Financial Statements.

44 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments December 31, 2009	LifePath 2040 Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Affiliated Investment Companies
Master Portfolios — 55.3%
Active Stock Master Portfolio		$	506,743,898
CoreAlpha Bond Master Portfolio			120,538,275
Total Master Portfolios			627,282,173
Exchange-Traded Funds — 44.6%
iShares Barclays TIPS Bond Fund(a)(b)	118,873		12,350,905
iShares Cohen & Steers Realty Majors Index Fund(a)(b)	739,619		38,844,790
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund(a)(b)	2,251,865		65,123,936
iShares MSCI Canada Index Fund(a)(b)	757,346		19,940,920
iShares MSCI EAFE Index Fund(a)(b)	3,044,063		168,336,684
iShares MSCI EAFE Small Cap Index Fund(a)(b)	558,635		20,004,719
iShares MSCI Emerging Markets Index Fund(a)(b)	1,492,236		61,927,794
iShares S&P MidCap 400 Index Fund(a)(b)	1,128,250		81,696,583
iShares S&P SmallCap 600 Index Fund(a)(b)	669,577		36,639,253
Total Exchange-Traded Funds (Cost — $487,371,354*)			504,865,584
Money Market Funds — 20.4%
BlackRock Cash Funds: Institutional, SL Agency Shares,
0.19%(b)(c)(d)	199,984,725		199,984,725
BlackRock Cash Funds: Prime, SL Agency Shares,
0.17%(b)(c)(d)	31,755,867		31,755,867
Total Money Market Funds (Cost — $231,740,592*)			231,740,592
Total Affiliated Investment Companies — 120.3%			1,363,888,349
Liabilities in Excess of Other Assets — (20.3)%			(230,213,663	)
Net Assets — 100.0%		$	1,133,674,686

* The cost and unrealized appreciation (depreciation) of investments (excluding investments in the underlying Master Portfolios) as of December 31, 2009, as computed for federal income tax purposes, were as follows:

Aggregate cost	$	749,523,526
Gross unrealized appreciation		—
Gross unrealized depreciation	$	(12,917,350	)
Net unrealized depreciation	$	(12,917,350	)

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

(b) Investments in companies considered to be an affiliate of the Master Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940 (excluding investments in the underlying Master Portfolios), were as follows:

Affiliate	Purchase Cost			Sales Cost		Realized Loss			Income
BlackRock Cash Funds: Institutional	$	96,165,004	1		—		—		$	242,071
BlackRock Cash Funds: Prime	$	12,193,038	1		—		—		$	37,542
iShares Barclays TIPS Bond Fund	$	5,540,651		$	1,827,599	$	(122,873	)	$	352,964
iShares Cohen & Steers Realty Majors Index Fund	$	9,694,700		$	3,370,920	$	(1,899,829	)	$	1,398,901
iShares FTSE EPRA/NAREIT Developed Real Estate ex- U.S. Index Fund	$	21,666,608		$	6,558,161	$	(2,132,667	)	$	4,351,151
iShares MSCI Canada Index Fund	$	3,289,658		$	3,217,128	$	(1,423,817	)	$	229,477
iShares MSCI EAFE Index Fund	$	29,112,248		$	42,812,610	$	(19,632,404	)	$	4,047,181
iShares MSCI EAFE Small Cap Index Fund	$	1,614,044		$	2,660,429	$	(1,159,663	)	$	442,661
iShares MSCI Emerging Markets Index Fund	$	11,413,079		$	9,849,590	$	(4,614,107	)	$	800,767
iShares S&P MidCap 400 Index Fund	$	12,288,308		$	8,076,310	$	(2,781,676	)	$	995,838
iShares S&P SmallCap 600 Index Fund	$	5,920,427		$	5,294,758	$	(1,726,520	)	$	361,746

1 Represents net activity.

(c) Represents the seven-day yield as of report date.

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

• Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

• 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)

• 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)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Investments in Securities
	Assets
Level 1
Exchange-Traded Funds	$	504,865,584
Money Market Funds		231,740,592
Total Level 1		736,606,176
Level 2
Master Portfolios		627,282,173
Level 3		—
Total	$	1,363,888,349

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 45

Schedule of Investments December 31, 2009	LifePath 2050 Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Affiliated Investment Companies
Master Portfolios — 50.7%
Active Stock Master Portfolio		$	19,953,635
CoreAlpha Bond Master Portfolio			392,996
Total Master Portfolios			20,346,631
Exchange-Traded Funds — 49.8%
iShares Cohen & Steers Realty Majors Index Fund(a)	29,950		1,572,974
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund(a)	97,846		2,829,706
iShares MSCI Canada Index Fund(a)(b)	29,411		774,392
iShares MSCI EAFE Index Fund(a)(b)	122,044		6,749,033
iShares MSCI EAFE Small Cap Index Fund(a)	23,107		827,462
iShares MSCI Emerging Markets Index Fund(a)(b)	58,964		2,447,006
iShares S&P MidCap 400 Index Fund(a)(b)	45,948		3,327,095
iShares S&P SmallCap 600 Index Fund(a)(b)	26,860		1,469,779
Total Exchange-Traded Funds (Cost — $16,613,683*)			19,997,447
Money Market Funds — 24.1%
BlackRock Cash Funds: Institutional, SL Agency Shares,
0.19%(a)(c)(d)	8,389,466		8,389,466
BlackRock Cash Funds: Prime, SL Agency Shares,
0.17%(a)(c)(d)	1,300,980		1,300,980
Total Money Market Funds (Cost — $9,690,446*)			9,690,446
Total Affiliated Investment Companies — 124.6%			50,034,524
Liabilities in Excess of Other Assets — (24.6)%			(9,870,079	)
Net Assets — 100.0%		$	40,164,445

* The cost and unrealized appreciation (depreciation) of investments (excluding investments in the underlying Master Portfolios) as of December 31, 2009, as computed for federal income tax purposes, were as follows:

Aggregate cost	$	27,023,702
Gross unrealized appreciation	$	2,664,191
Gross unrealized depreciation		—
Net unrealized appreciation	$	2,664,191

(a) Investments in companies considered to be an affiliate of the Master Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940 (excluding investments in the underlying Master Portfolios), were as follows:

Affiliate	Purchase Cost			Sales Cost		Realized Loss			Income
BlackRock Cash Funds: Institutional	$	7,897,580	1		—		—		$	4,650
BlackRock Cash Funds: Prime	$	1,220,479	1		—		—		$	623
iShares Cohen & Steers Realty Majors Index Fund	$	1,104,917		$	114,941	$	(34,831	)	$	34,100
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund	$	2,323,393		$	103,945	$	(33,591	)	$	143,232
iShares MSCI Canada Index Fund	$	505,982		$	47,238	$	(22,482	)	$	8,084
iShares MSCI EAFE Index Fund	$	4,954,703		$	933,441	$	(303,553	)	$	111,739
iShares MSCI EAFE Small Cap Index Fund	$	562,004		$	44,692	$	(19,901	)	$	13,842
iShares MSCI Emerging Markets Index Fund	$	1,663,768		$	232,315	$	(72,505	)	$	25,751
iShares S&P MidCap 400 Index Fund	$	2,719,649		$	947,704	$	(150,446	)	$	30,683
iShares S&P SmallCap 600 Index Fund	$	1,390,440		$	635,348	$	(64,113	)	$	10,948

1 Represents net activity.

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

(c) Represents the seven-day yield as of report date.

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

• Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

• 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)

• 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)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Investments in Securities
	Assets
Level 1
Exchange-Traded Funds	$	19,997,447
Money Market Funds		9,690,446
Total Level 1		29,687,893
Level 2
Master Portfolios		20,346,631
Level 3		—
Total	$	50,034,524

See Notes to Financial Statements.

46 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments December 31, 2009	Active Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Common Stocks
Consumer Discretionary — 10.4%
Auto Components — 0.5%
Autoliv, Inc.(a)	115,783	$	5,020,351
The Goodyear Tire & Rubber Co.(a)(b)	206,222		2,907,730
Johnson Controls, Inc.	805		21,928
TRW Automotive Holdings Corp.(a)(b)	5,727		136,761
WABCO Holdings, Inc.	4,229		109,066
			8,195,836
Automobiles — 0.3%
Ford Motor Co.(b)	558,387		5,583,870
Thor Industries, Inc.	2,768		86,915
			5,670,785
Diversified Consumer Services — 0.5%
Apollo Group, Inc. Class A(a)(b)	65,229		3,951,573
Corinthian Colleges, Inc.(b)	32,622		449,205
ITT Educational Services, Inc.(a)(b)	38,197		3,665,384
			8,066,162
Hotels, Restaurants & Leisure — 1.7%
Carnival Corp.(b)	79,842		2,530,193
Choice Hotels International, Inc.(a)	2,352		74,464
International Game Technology	2,808		52,706
Las Vegas Sands Corp.(a)(b)	2,383		35,602
Marriott International, Inc. Class A(a)	228		6,213
McDonald’s Corp.	353,736		22,087,276
Panera Bread Co. Class A(a)(b)	8,235		551,498
Penn National Gaming, Inc.(a)(b)	1,742		47,348
Royal Caribbean Cruises Ltd.(a)(b)	19,607		495,665
Starbucks Corp.(a)(b)	148,373		3,421,481
WMS Industries, Inc.(b)	394		15,760
Wendy’s/Arby’s Group, Inc.	331,204		1,553,347
Wyndham Worldwide Corp.(a)	32,393		653,367
			31,524,920
Household Durables — 0.6%
Blyth, Inc.	1,291		43,532
Garmin Ltd.(a)	15,586		478,490
Jarden Corp.	31,161		963,186
KB Home(a)	30,450		416,556
Leggett & Platt, Inc.(a)	4,554		92,902
Lennar Corp. Class A	19,441		248,262
NVR, Inc.(b)	11,820		8,400,592
Pulte Homes, Inc.(b)	2,268		22,680
Tupperware Brands Corp.	1,882		87,645
Whirlpool Corp.(a)	219		17,665
			10,771,510
Internet & Catalog Retail — 0.4%
Amazon.com, Inc.(b)	35,612		4,790,526
Liberty Media Corp. — Interactive Series A(b)	12,667		137,311
NetFlix, Inc.(a)(b)	54,465		3,003,200
			7,931,037
Leisure Equipment & Products — 0.0%
Callaway Golf Co.	6,235		47,012
Hasbro, Inc.(a)	881		28,245
			75,257
Media — 1.9%
CBS Corp. Class B(a)	305,991		4,299,173
Cablevision Systems Corp.	29,174		753,273
Central European Media Enterprises Ltd.(a)(b)	2,347		55,413
Comcast Corp. Class A(a)	571,173		9,629,977
DirecTV Class A(b)	73,854		2,463,031
DISH Network Corp.	4,212		87,483
Discovery Communications, Inc.(b)	5,910		181,260
Interactive Data Corp.	8,419		213,001
News Corp. Class A	240,941		3,298,482
Scholastic Corp.(a)	5,891		175,728
Scripps Networks Interactive, Inc. Class A	35,662		1,479,973
Time Warner Cable, Inc.	724		29,966
Time Warner, Inc.	354,270		10,323,428
Viacom, Inc. Class B(b)	27,992		832,202
The Walt Disney Co.	26,546		856,108
The Washington Post Co. Class B(a)	431		189,468
			34,867,966
Multiline Retail — 1.5%
Big Lots, Inc.(b)	55,278		1,601,956
Dollar Tree, Inc.(b)	10,196		492,467
Family Dollar Stores, Inc.(a)	12,499		347,847
Macy’s, Inc.	3,126		52,392
Saks, Inc.(b)	848		5,563
Sears Holdings Corp.(a)(b)	6,572		548,433
Wal-Mart Stores, Inc.	467,230		24,973,444
			28,022,102
Specialty Retail — 1.8%
Aaron’s, Inc.(a)	31,263		866,923
Aeropostale, Inc.(b)	252,772		8,606,887
AutoNation, Inc.(a)(b)	5,659		108,370
Foot Locker, Inc.(a)	85,907		957,004
The Gap, Inc.(a)	837,204		17,539,424
Guess?, Inc.	1,764		74,617
Office Depot, Inc.(b)	4,939		31,856
Penske Auto Group, Inc.(a)(b)	69,654		1,057,348
Rent-A-Center, Inc.(a)(b)	74,759		1,324,729
Ross Stores, Inc.(a)	2,928		125,055
Signet Jewelers Ltd.(b)	8,275		221,108
The TJX Cos., Inc.	16,801		614,076
Tiffany & Co.	515		22,145
Urban Outfitters, Inc.(a)(b)	32,728		1,145,153
			32,694,695
Textiles, Apparel & Luxury Goods — 1.2%
Fossil, Inc.(b)	7,006		235,121
NIKE, Inc. Class B	326,133		21,547,607
Phillips-Van Heusen Corp.	12,464		507,036
			22,289,764
Total Consumer Discretionary			190,110,034
Consumer Staples — 10.0%
Beverages — 2.3%
Central European Distribution Corp.(b)	9,829		279,242
The Coca-Cola Co.	515,222		29,367,654
Coca-Cola Enterprises, Inc.(a)	490,905		10,407,186
Dr Pepper Snapple Group, Inc.	17,056		482,685
Hansen Natural Corp.(a)(b)	8,105		311,232
Pepsi Bottling Group, Inc.	24,354		913,275
PepsiCo, Inc.	2,839		172,611
			41,933,885

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 47

Schedule of Investments (continued)	Active Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Common Stocks
Consumer Staples (concluded)
Food & Staples Retailing — 0.6%
CVS Caremark Corp.(a)	95,497	$	3,075,958
Costco Wholesale Corp.(a)	41,507		2,455,969
The Kroger Co.(a)	215,900		4,432,427
Sysco Corp.	6,573		183,650
Walgreen Co.	3,144		115,448
			10,263,452
Food Products — 2.4%
Archer Daniels Midland Co.	7,543		236,171
ConAgra Foods, Inc.(a)	103,908		2,395,079
Del Monte Foods Co.	7,504		85,095
Flowers Foods, Inc.(a)	490		11,642
General Mills, Inc.(a)	297,961		21,098,618
The Hershey Co.	66,796		2,390,629
The J.M. Smucker Co.	156,098		9,639,052
Kraft Foods, Inc. Class A(b)	144,047		3,915,198
Ralcorp Holdings, Inc.(a)(b)	12,965		774,140
Sara Lee Corp.	3,681		44,835
Tyson Foods, Inc. Class A(a)	249,546		3,061,930
			43,652,389
Household Products — 3.0%
Colgate-Palmolive Co.	213,626		17,549,376
The Clorox Co.	227		13,847
The Procter & Gamble Co.	635,012		38,500,777
			56,064,000
Personal Products — 0.6%
Alberto-Culver Co.(a)	1,911		55,973
Avon Products, Inc.	1,363		42,935
Mead Johnson Nutrition Co.	247,023		10,794,905
			10,893,813
Tobacco — 1.1%
Lorillard, Inc.(a)	190,175		15,257,740
Philip Morris International, Inc.	120,284		5,796,486
			21,054,226
Total Consumer Staples			183,861,765
Energy — 10.7%
Energy Equipment & Services — 2.0%
Diamond Offshore Drilling, Inc.(a)	39,689		3,906,191
Dresser-Rand Group, Inc.(a)(b)	196,927		6,224,863
Ensco International Plc	5,537		221,148
Exterran Holdings, Inc.(a)(b)	1,073		23,016
FMC Technologies, Inc.(b)	8,166		472,321
Halliburton Co.(a)	59,971		1,804,527
Helix Energy Solutions Group, Inc.(b)	3,076		36,143
National Oilwell Varco, Inc.(a)	138,062		6,087,154
Noble Corp.(a)	318,737		12,972,596
Oceaneering International, Inc.(b)	19,302		1,129,553
Rowan Cos., Inc.(b)	14,220		321,941
SEACOR Holdings, Inc.(a)(b)	1,594		121,543
Schlumberger Ltd.	3,616		235,365
Smith International, Inc.	1,688		45,863
Superior Energy Services, Inc.(a)(b)	95,945		2,330,504
Tidewater, Inc.	572		27,427
Weatherford International Ltd.(b)	66,298		1,187,397
			37,147,552
Oil, Gas & Consumable Fuels — 8.7%
Alpha Natural Resources, Inc.(b)	3,719		161,330
Anadarko Petroleum Corp.	34,598		2,159,607
Apache Corp.	6,176		637,178
Arch Coal, Inc.	638		14,196
CNX Gas Corp.(b)	11,750		346,860
CVR Energy, Inc.(b)	4,630		31,762
Chesapeake Energy Corp.(a)	1,621		41,951
Chevron Corp.	299,268		23,040,643
Concho Resources, Inc.(b)	243		10,911
ConocoPhillips	438,312		22,384,594
Denbury Resources, Inc.(a)(b)	1,399		20,705
Devon Energy Corp.	4,171		306,569
EOG Resources, Inc.	473		46,023
Exxon Mobil Corp.(a)	1,045,961		71,324,081
Hess Corp.	794		48,037
Holly Corp.	1,768		45,314
Marathon Oil Corp.(a)	115,224		3,597,293
Newfield Exploration Co.(a)(b)	59,697		2,879,186
Patriot Coal Corp.(b)	20,118		311,024
Peabody Energy Corp.	457		20,661
Pioneer Natural Resources Co.	91,233		4,394,694
Plains Exploration & Production Co.(a)(b)	158		4,370
Range Resources Corp.(a)	17,104		852,634
Southwestern Energy Co.(a)(b)	210,286		10,135,785
Ultra Petroleum Corp.(a)(b)	107,056		5,337,812
Valero Energy Corp.(a)	79,008		1,323,384
The Williams Cos., Inc.(a)	232,951		4,910,607
XTO Energy, Inc.	103,003		4,792,730
			159,179,941
Total Energy			196,327,493
Financials — 12.3%
Capital Markets — 3.2%
Affiliated Managers Group, Inc.(b)	1,595		107,423
Ameriprise Financial, Inc.	171,819		6,670,013
Eaton Vance Corp.	1,036		31,505
Franklin Resources, Inc.	588		61,946
GLG Partners, Inc.(b)	18,863		60,739
The Goldman Sachs Group, Inc.	199,190		33,631,239
Greenhill & Co., Inc.	492		39,478
Invesco Ltd.	335,325		7,876,784
Legg Mason, Inc.	146,118		4,406,919
Morgan Stanley	1,846		54,642
State Street Corp.	33,613		1,463,510
TD Ameritrade Holding Corp.(b)	196,781		3,813,616
Waddell & Reed Financial, Inc.(a)	2,890		88,261
			58,306,075
Commercial Banks — 0.7%
Associated Banc-Corp	32,421		356,955
BB&T Corp.	1,598		40,541
Bank of Hawaii Corp.	3,264		153,604
CapitalSource, Inc.	41,268		163,834
Comerica, Inc.	13,449		397,687
Commerce Bancshares, Inc.	2,349		90,953
Cullen/Frost Bankers, Inc.(a)	1,428		71,400
Huntington Bancshares, Inc.	230,152		840,055
KeyCorp	7,258		40,282
M&T Bank Corp.	1,341		89,699
Marshall & Ilsley Corp.	3,139		17,108

See Notes to Financial Statements.

48 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments (continued)	Active Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Common Stocks
Financials (continued)
Commercial Banks (concluded)
Regions Financial Corp.	103,720	$	548,679
SVB Financial Group(a)(b)	6,297		262,522
SunTrust Banks, Inc.	73,776		1,496,915
U.S. Bancorp	1,405		31,626
Wells Fargo & Co.	266,695		7,198,098
Whitney Holding Corp.	42,051		383,085
Zions BanCorp.(a)	117,633		1,509,231
			13,692,274
Consumer Finance — 0.4%
American Express Co.	50,124		2,031,025
Capital One Financial Corp.	1,205		46,200
Discover Financial Services(a)	343,751		5,056,577
SLM Corp.(b)	19,346		218,029
The Student Loan Corp.	147		6,846
			7,358,677
Diversified Financial Services — 5.8%
Bank of America Corp.	1,709,448		25,744,287
CME Group, Inc.	17,454		5,863,671
Citigroup, Inc.	8,846,726		29,282,663
IntercontinentalExchange, Inc.(b)	254		28,524
JPMorgan Chase & Co.	1,092,778		45,536,059
Moody’s Corp.	858		22,995
The NASDAQ OMX Group, Inc.(b)	41,503		822,590
NYSE Euronext(a)	2,861		72,383
			107,373,172
Insurance — 1.6%
Allied World Assurance Co. Holdings Ltd.	15,966		735,554
The Allstate Corp.	3,242		97,390
American International Group, Inc.(b)	1,209		36,246
Arch Capital Group Ltd.(b)	231		16,528
Aspen Insurance Holdings Ltd.	141,185		3,593,158
Assurant, Inc.	5,162		152,176
Axis Capital Holdings Ltd.	171,560		4,874,020
Berkshire Hathaway, Inc. Class A(b)	3		297,600
Berkshire Hathaway, Inc. Class B(b)	190		624,340
CNA Financial Corp.(a)(b)	2,414		57,936
Chubb Corp.(a)	17,365		854,011
Genworth Financial, Inc. Class A(b)	132,927		1,508,721
Hartford Financial Services Group, Inc.	166,759		3,878,814
Lincoln National Corp.	33,866		842,586
MBIA, Inc.(a)(b)	13,596		54,112
MetLife, Inc.	88,369		3,123,844
PartnerRe Ltd.	55,049		4,109,958
Protective Life Corp.	2,246		37,171
Prudential Financial, Inc.	4,071		202,573
The Hanover Insurance Group, Inc.	2,429		107,920
Transatlantic Holdings, Inc.	1,622		84,522
The Travelers Cos., Inc.	3,289		163,990
Unitrin, Inc.	9,173		202,265
Unum Group	131,785		2,572,443
Willis Group Holdings Ltd.(a)	1,858		49,014
XL Capital Ltd. Class A	48,390		886,989
			29,163,881
Real Estate Investment Trusts (REITs) — 0.3%
Annaly Capital Management, Inc.(a)	206,330		3,579,826
Brandywine Realty Trust	9,861		112,415
Camden Property Trust	745		31,566
Corporate Office Properties Trust	690		25,275
Health Care REIT, Inc.(a)	2,750		121,880
Host Hotels & Resorts, Inc.(a)(b)	3,342		39,001
Mack-Cali Realty Corp.	2,192		75,777
Nationwide Health Properties, Inc.	795		27,968
Potlatch Corp.	1,099		35,036
ProLogis	4,939		67,615
Rayonier, Inc.(a)	15,600		657,696
Realty Income Corp.(a)	2,821		73,092
The Macerich Co.(a)	203		7,298
			4,854,445
Real Estate Management & Development — 0.0%
CB Richard Ellis Group, Inc. Class A(b)	4,013		54,456
Forest City Enterprises, Inc. Class A(a)(b)	5,807		68,407
			122,863
Thrifts & Mortgage Finance — 0.3%
First Niagara Financial Group, Inc.	8,372		116,455
Hudson City Bancorp, Inc.(a)	403,369		5,538,256
People’s United Financial, Inc.	1,516		25,317
			5,680,028
Total Financials			226,551,415
Health Care — 14.3%
Biotechnology — 2.4%
Alexion Pharmaceuticals, Inc.(b)	1,275		62,246
Amgen, Inc.(b)	170,313		9,634,606
Biogen Idec, Inc.(a)(b)	345,785		18,499,497
Cephalon, Inc.(a)(b)	222,085		13,860,325
Gilead Sciences, Inc.(b)	47,920		2,073,978
Myriad Genetics, Inc.(b)	18,408		480,449
United Therapeutics Corp.(b)	1,345		70,814
			44,681,915
Health Care Equipment & Supplies — 2.1%
Alcon, Inc.(a)	100,477		16,513,395
Baxter International, Inc.(a)	9,699		569,137
Beckman Coulter, Inc.	2,220		145,277
Boston Scientific Corp.(b)	101,623		914,607
Edwards Lifesciences Corp.(b)	1,601		139,047
Hologic, Inc.(b)	1,542		22,359
Hospira, Inc.(b)	21,675		1,105,425
Intuitive Surgical, Inc.(a)(b)	55,156		16,729,918
Medtronic, Inc.	6,189		272,192
ResMed, Inc.(a)(b)	394		20,595
St. Jude Medical, Inc.(b)	3,364		123,728
Varian Medical Systems, Inc.(a)(b)	1,015		47,553
Zimmer Holdings, Inc.(a)(b)	26,830		1,585,921
			38,189,154
Health Care Providers & Services — 3.2%
Aetna, Inc.	671		21,271
AmerisourceBergen Corp.	1,973		51,436
Brookdale Senior Living, Inc.(b)	6,059		110,213
Cardinal Health, Inc.	5,342		172,226
Coventry Health Care, Inc.(b)	1,805		43,843
Express Scripts, Inc.(a)(b)	181,384		15,680,647
Humana, Inc.(b)	1,235		54,204
Kindred Healthcare, Inc.(a)(b)	5,010		92,485
McKesson Corp.	14,332		895,750

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 49

Schedule of Investments (continued)	Active Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Common Stocks
Health Care (concluded)
Health Care Providers & Services (concluded)
Medco Health Solutions, Inc.(b)	289,017	$	18,471,077
Omnicare, Inc.	1,295		31,313
UnitedHealth Group, Inc.	1,286		39,197
Universal Health Services, Inc.	2,384		72,712
WellCare Health Plans, Inc.(b)	7,588		278,935
WellPoint, Inc.(a)(b)	383,967		22,381,436
			58,396,745
Health Care Technology — 0.0%
IMS Health, Inc.(a)	29,756		626,661
Life Sciences Tools & Services — 1.1%
Bio-Rad Laboratories, Inc. Class A(b)	3,771		363,751
Life Technologies Corp.(b)	14,911		778,801
Mettler-Toledo International, Inc.(b)	1,633		171,449
Thermo Fisher Scientific, Inc.(a)(b)	187,625		8,947,836
Waters Corp.(a)(b)	156,172		9,676,417
			19,938,254
Pharmaceuticals — 5.5%
Abbott Laboratories	434,830		23,476,472
Allergan, Inc.	197,748		12,460,102
Bristol-Myers Squibb Co.(a)	617,283		15,586,396
Eli Lilly & Co.(a)	115,240		4,115,220
Endo Pharmaceuticals Holdings, Inc.(b)	5,285		108,395
Forest Laboratories, Inc.(a)(b)	91,576		2,940,505
Johnson & Johnson	217,039		13,979,482
King Pharmaceuticals, Inc.(a)(b)	282,704		3,468,778
Medicis Pharmaceutical Corp. Class A(a)	91,419		2,472,884
Merck & Co., Inc.	71,070		2,596,898
Pfizer, Inc.	1,047,743		19,058,445
Valeant Pharmaceuticals International(b)	1,196		38,021
			100,301,598
Total Health Care			262,134,327
Industrials — 7.6%
Aerospace & Defense — 2.2%
Alliant Techsystems, Inc.(b)	51,361		4,533,635
General Dynamics Corp.	48,001		3,272,228
Honeywell International, Inc.	19,584		767,693
Lockheed Martin Corp.	234,642		17,680,275
Northrop Grumman Corp.	4,207		234,961
Raytheon Co.(a)	97,238		5,009,702
United Technologies Corp.(a)	124,965		8,673,820
			40,172,314
Air Freight & Logistics — 0.3%
C.H. Robinson Worldwide, Inc.(a)	81,317		4,775,747
UTi Worldwide, Inc.	82,334		1,179,023
			5,954,770
Airlines — 0.2%
AMR Corp.(a)(b)	7,114		54,991
Continental Airlines, Inc. Class B(b)	155,299		2,782,958
Copa Holdings SA	1,309		71,301
JetBlue Airways Corp.(b)	7,802		42,521
Southwest Airlines Co.	4,368		49,927
			3,001,698
Building Products — 0.1%
Armstrong World Industries, Inc.(b)	13,405		521,857
Lennox International, Inc.	20,716		808,753
Masco Corp.	1,613		22,275
			1,352,885
Commercial Services & Supplies — 0.2%
Avery Dennison Corp.(a)	64,929		2,369,259
Deluxe Corp. (a)	6,419		94,937
R.R. Donnelley & Sons Co.	1,755		39,084
Republic Services, Inc.	20,112		569,371
The Brink’s Co.	3,135		76,306
			3,148,957
Construction & Engineering — 0.0%
The Shaw Group, Inc.(a)(b)	1,969		56,609
URS Corp.(b)	1,814		80,759
			137,368
Electrical Equipment — 0.3%
Cooper Industries Plc Class A	495		21,107
First Solar, Inc.(a)(b)	39,941		5,408,011
General Cable Corp.(b)	1,259		37,040
Hubbell, Inc. Class B(a)	2,429		114,892
			5,581,050
Industrial Conglomerates — 1.9%
3M Co.	6,539		540,579
Carlisle Cos., Inc.(a)	760		26,038
General Electric Co.	2,064,964		31,242,905
Textron, Inc.(a)	36,977		695,537
Tyco International Ltd.(b)	96,284		3,435,413
			35,940,472
Machinery — 1.4%
AGCO Corp.(a)(b)	82,755		2,676,297
Bucyrus International, Inc.	1,870		105,412
Caterpillar, Inc.(a)	35,428		2,019,042
Cummins, Inc.(a)	160,575		7,363,969
Danaher Corp.	391		29,403
Donaldson Co., Inc.	3,576		152,123
Dover Corp.	1,176		48,933
Flowserve Corp.(a)	47,297		4,470,985
Gardner Denver, Inc.	459		19,530
Graco, Inc.	1,238		35,370
Harsco Corp.	8,985		289,586
Joy Global, Inc.	46,885		2,418,797
Navistar International Corp.(b)	87,184		3,369,662
Pall Corp.	5,484		198,521
Parker Hannifin Corp.	628		33,837
SPX Corp.(a)	657		35,938
Snap-On, Inc.(a)	2,784		117,652
Terex Corp.(a)(b)	65,680		1,301,121
The Manitowoc Co., Inc.	102,300		1,019,931
Timken Co.	28,693		680,311
Toro Co.(a)	512		21,407
Trinity Industries, Inc.(a)	19,672		343,080
			26,750,907
Marine — 0.0%
Kirby Corp.(a)(b)	1,225		42,667
Professional Services — 0.2%
Dun & Bradstreet Corp.	419		35,351
FTI Consulting, Inc.(a)(b)	17,315		816,575

See Notes to Financial Statements.

50 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments (continued)	Active Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Common Stocks
Industrials (continued)
Professional Services (concluded)
Manpower, Inc.(a)	36,491	$	1,991,679
Monster Worldwide, Inc.(b)	5,249		91,333
Watson Wyatt Worldwide, Inc.	1,621		77,030
			3,011,968
Road & Rail — 0.7%
Burlington Northern Santa Fe Corp.	44,553		4,393,817
CSX Corp.(a)	32,350		1,568,651
Con-way, Inc.(a)	611		21,330
Kansas City Southern(a)(b)	19,159		637,803
Landstar System, Inc.	10,684		414,219
Norfolk Southern Corp.(a)	35,332		1,852,103
Union Pacific Corp.	60,537		3,868,314
Werner Enterprises, Inc.	3,211		63,546
			12,819,783
Trading Companies & Distributors — 0.1%
United Rentals, Inc.(b)	31,251		306,572
W.W. Grainger, Inc.(a)	20,344		1,969,910
			2,276,482
Total Industrials			140,191,321
Information Technology — 21.2%
Communications Equipment — 1.6%
Brocade Communications Systems, Inc.(a)(b)	247,566		1,888,929
Cisco Systems, Inc.(b)	288,659		6,910,496
CommScope, Inc.(a)(b)	1,115		29,581
EchoStar Corp.(b)	4,502		90,670
F5 Networks, Inc.(b)	42,058		2,228,233
Harris Corp.	156,473		7,440,291
JDS Uniphase Corp.(b)	6,114		50,441
Juniper Networks, Inc.(b)	817		21,789
Motorola, Inc.(a)(b)	438,217		3,400,564
Polycom, Inc.(a)(b)	37,672		940,670
QUALCOMM, Inc.(a)	60,291		2,789,062
Tellabs, Inc.(b)	606,933		3,447,379
			29,238,105
Computers & Peripherals — 6.5%
Apple, Inc.(a)(b)	227,750		48,023,365
Dell, Inc.(a)(b)	882,065		12,666,454
Hewlett-Packard Co.	751,008		38,684,422
International Business Machines Corp.	106,335		13,919,252
Lexmark International, Inc. Class A(a)(b)	38,648		1,004,075
NCR Corp.(b)	6,579		73,224
NetApp, Inc.(b)	113,518		3,903,884
Seagate Technology(a)	37,086		674,594
Sun Microsystems, Inc.(a)(b)	132,242		1,239,108
Teradata Corp.(b)	3,073		96,584
			120,284,962
Electronic Equipment, Instruments & Components — 1.1%
Agilent Technologies, Inc.(a)(b)	122,236		3,797,873
Corning, Inc.	160,784		3,104,739
FLIR Systems, Inc.(b)	86,381		2,826,386
Flextronics International Ltd.(b)	716,412		5,236,972
Jabil Circuit, Inc.(a)	240,239		4,172,951
Vishay Intertechnology, Inc.(a)(b)	159,037		1,327,959
			20,466,880
IT Services — 0.8%
Accenture Plc Class A	26,186		1,086,719
Affiliated Computer Services, Inc. Class A(b)	17,042		1,017,237
Broadridge Financial Solutions, Inc.	1,268		28,606
Cognizant Technology Solutions Corp. Class A(b)	22,094		1,000,858
Computer Sciences Corp.(a)(b)	33,543		1,929,729
Convergys Corp.(a)(b)	15,338		164,883
Fiserv, Inc.(b)	1,873		90,803
Global Payments, Inc.(a)	86,465		4,657,005
Lender Processing Services, Inc.(a)	91,765		3,731,165
Total System Services, Inc.(a)	3,028		52,294
Visa, Inc. Class A	184		16,093
The Western Union Co.	81,473		1,535,766
			15,311,158
Internet Software & Services — 2.9%
AOL, Inc.(b)	10,049		233,941
Akamai Technologies, Inc.(a)(b)	824		20,872
eBay, Inc.(b)	779		18,338
Google, Inc. Class A(b)	71,750		44,483,565
Sohu.com, Inc.(b)	1,223		70,053
ValueClick, Inc.(b)	2,601		26,322
Yahoo!, Inc.(a)(b)	520,316		8,730,902
			53,583,993
Office Electronics — 0.1%
Xerox Corp.(a)	233,415		1,974,691
Semiconductors & Semiconductor Equipment — 3.4%
Altera Corp.(a)	9,579		216,773
Applied Materials, Inc.	37,507		522,848
Atmel Corp.(b)	29,509		136,036
Integrated Device Technology, Inc.(b)	26,672		172,568
Intel Corp.	1,863,240		38,010,096
LSI Corp.(b)	564,169		3,390,656
MEMC Electronic Materials, Inc.(b)	32,553		443,372
Marvell Technology Group Ltd.(b)	218,609		4,536,137
NVIDIA Corp.(a)(b)	658,819		12,306,739
Silicon Laboratories, Inc.(a)(b)	28,295		1,367,780
Texas Instruments, Inc.(a)	16,541		431,058
Xilinx, Inc.	1,738		43,554
			61,577,617
Software — 4.8%
Activision Blizzard, Inc.(a)(b)	70,281		780,822
Adobe Systems, Inc.(b)	23,980		881,984
BMC Software, Inc.(a)(b)	33,880		1,358,588
CA, Inc.	1,577		35,419
Cadence Design Systems, Inc.(a)(b)	10,317		61,799
Check Point Software Technologies(a)(b)	21,557		730,351
Citrix Systems, Inc.(b)	1,176		48,933
Electronic Arts, Inc.(a)(b)	2,029		36,015
Factset Research Systems, Inc.	775		51,049
McAfee, Inc.(a)(b)	256,250		10,396,063
Microsoft Corp.	1,799,403		54,863,797
Oracle Corp.	403,698		9,906,749
Quest Software, Inc.(b)	1,577		29,017
Red Hat, Inc.(b)	9,124		281,932
Salesforce.com, Inc.(a)(b)	91,718		6,766,037
Symantec Corp.(b)	93,628		1,675,005
Synopsys, Inc.(a)(b)	3,091		68,868

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 51

Schedule of Investments (continued)	Active Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Shares	Value
Common Stocks
Information Technology (concluded)
Software (concluded)
Taleo Corp. Class A(b)	418	$	9,831
			87,982,259
Total Information Technology			390,419,665
Materials — 5.1%
Chemicals — 2.7%
Air Products & Chemicals, Inc.	595		48,231
Airgas, Inc.	442		21,039
Ashland, Inc.(a)	64,175		2,542,613
CF Industries Holdings, Inc.	21,052		1,911,101
Cabot Corp.(a)	2,986		78,323
Celanese Corp.(a)	64,275		2,063,227
Cytec Industries, Inc.	3,565		129,837
EI du Pont de Nemours & Co.	4,994		168,148
Huntsman Corp.	48,487		547,418
Lubrizol Corp.(a)	75,209		5,486,497
Minerals Technologies, Inc.(a)	17,493		952,844
Monsanto Co.	181,818		14,863,621
Nalco Holding Co.	4,570		116,581
Praxair, Inc.(a)	40,704		3,268,938
RPM International, Inc.	5,134		104,374
Sensient Technologies Corp.(a)	2,829		74,403
Sigma-Aldrich Corp.(a)	592		29,914
Terra Industries, Inc.	1,132		36,439
The Mosaic Co.(a)	278,408		16,629,310
The Scotts Miracle-Gro Co. Class A	431		16,943
			49,089,801
Containers & Packaging — 0.1%
Bemis Co., Inc.	14,867		440,806
Crown Holdings, Inc.(b)	1,104		28,240
Owens-Illinois, Inc.(a)(b)	46,064		1,514,124
Sealed Air Corp.	12,357		270,124
Sonoco Products Co.(a)	8,539		249,766
			2,503,060
Metals & Mining — 1.8%
Alcoa, Inc.(a)	1,023,339		16,496,225
Commercial Metals Co.	9,748		152,556
Freeport-McMoRan Copper & Gold, Inc.(a)(b)	72,977		5,859,323
Newmont Mining Corp.	913		43,194
Nucor Corp.(a)	176,263		8,222,669
Reliance Steel & Aluminum Co.(a)	32,066		1,385,893
Schnitzer Steel Industries, Inc.	5,140		245,178
			32,405,038
Paper & Forest Products — 0.5%
International Paper Co.	1,501		40,197
Louisiana-Pacific Corp.(a)(b)	39,327		274,502
MeadWestvaco Corp.(a)	331,565		9,492,706
			9,807,405
Total Materials			93,805,304
Telecommunication Services — 2.2%
Diversified Telecommunication Services — 1.8%
AT&T, Inc.(a)	1,060,934		29,737,980
CenturyTel, Inc.	71,241		2,579,637
Qwest Communications International, Inc.	232,180		977,478
Verizon Communications, Inc.	12,662		419,492
			33,714,587
Wireless Telecommunication Services — 0.4%
Leap Wireless International, Inc.(a)(b)	66,975		1,175,411
MetroPCS Communications, Inc.(a)(b)	102,210		779,862
Millicom International Cellular SA	9,069		669,020
NII Holdings, Inc.(a)(b)	38,058		1,277,988
Sprint Nextel Corp.(b)	847,757		3,102,791
Syniverse Holdings, Inc.(b)	2,200		38,456
United States Cellular Corp.(b)	6,484		274,986
			7,318,514
Total Telecommunication Services			41,033,101
Utilities — 2.7%
Electric Utilities — 0.5%
American Electric Power Co., Inc.	159		5,532
Edison International	66,835		2,324,521
FPL Group, Inc.	9,790		517,108
FirstEnergy Corp.(a)	58,164		2,701,718
N.V. Energy, Inc.	2,149		26,605
PPL Corp.	3,934		127,107
Pepco Holdings, Inc.(a)	181,026		3,050,288
			8,752,879
Gas Utilities — 0.8%
Atmos Energy Corp.(a)	119,368		3,509,419
Energen Corp.	6,321		295,823
Oneok, Inc.(a)	176,289		7,857,201
Questar Corp.	498		20,702
UGI Corp.	110,308		2,668,350
			14,351,495
Independent Power Producers & Energy Traders — 0.3%
The AES Corp.(b)	12,732		169,463
Calpine Corp.(b)	19,771		217,481
Constellation Energy Group, Inc.	495		17,409
NRG Energy, Inc.(b)	210,861		4,978,428
RRI Energy, Inc.(b)	33,194		189,870
			5,572,651
Multi-Utilities — 1.1%
DTE Energy Co.(a)	46,472		2,025,714
NiSource, Inc.(a)	100,794		1,550,212
Public Service Enterprise Group, Inc.	6,771		225,136
Sempra Energy(a)	257,567		14,418,601
Wisconsin Energy Corp.	42,022		2,093,956
Xcel Energy, Inc.	2,398		50,885
			20,364,504
Water Utilities — 0.0%
American Water Works Co., Inc.	2,102		47,106
Total Utilities			49,088,635
Total Long-Term Investments (Cost — $1,576,045,012) — 96.5 %			1,773,523,060
Short-Term Securities
Money Market Funds — 13.2%
BlackRock Cash Funds: Institutional, SL Agency Shares,
0.19% (c)(d)(e)	214,125,678		214,125,678
BlackRock Cash Funds: Prime, SL Agency Shares,
0.17% (c)(d)(e)	28,279,563		28,279,563
			242,405,241

See Notes to Financial Statements.

52 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments (concluded)	Active Stock Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
Short-Term Securities (concluded)
U.S. Treasury Obligations — 0.2%
U.S. Treasury Bill,
0.05%, 3/18/10 (f)(g)	$	3,950	$	3,949,601
Total Short-Term Securities (Cost — $246,354,949) — 13.4%				246,354,842
Total Investments (Cost — $1,822,399,961*) — 109.9%				2,019,877,902
Liabilities in Excess of Other Assets — (9.9)%				(181,424,788	)
Net Assets — 100.0%			$	1,838,453,114

* The cost and unrealized appreciation (depreciation) of investments as of December 31, 2009, as computed for federal income tax purposes, were as follows:

Aggregate cost	$	1,986,678,447
Gross unrealized appreciation	$	33,199,455
Gross unrealized depreciation		—
Net unrealized appreciation	$	33,199,455

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

(b) Non-income producing security.

(c) Investments in companies considered to be an affiliate of the Master Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

Affiliate	Net Activity		Income
BlackRock Cash Funds: Institutional	$	2,368,043	$	1,072,793
BlackRock Cash Funds: Prime	$	7,657,994	$	155,160

(d) Represents the seven-day yield as of report date.

(e) All or a portion of this security was purchased with the cash collateral from securities loaned.

(f) Rate shown is the yield to maturity as of the date of purchase.

(g) All or a portion of this security has been pledged as collateral in connection with open financial futures contracts.

• For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Master Portfolio management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

• Financial futures contracts purchased as of December 31, 2009 were as follows:

Contracts	Issue	Exchange	Expiration Date	Face Value		Unrealized Appreciation
688	S&P 500 Index	Chicago	March 2010	$	38,208,080	$	233,088

• Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

• 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)

• 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)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Investments in Securities
	Assets
Level 1
Long-Term Investments1	$	1,773,523,060
Short-Term Securities		242,405,241
Total Level 1		2,015,928,301
Level 2
Short-Term Securities		3,949,601
Level 3		—
Total	$	2,019,877,902
Valuation Inputs	Other Financial Instruments2
	Assets
Level 1	$	233,088
Level 2		—
Level 3		—
Total	$	233,088

1 See above Schedule of Investments for values in each sector and industry.

2 Other financial instruments are financial futures contracts, which are shown at the unrealized appreciation/depreciation on the financial instrument.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 53

Schedule of Investments December 31, 2009	CoreAlpha Bond Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
Asset-Backed Securities
AmeriCredit Automobile Receivables Trust:
Series 2005-AX Class A4,
3.93%, 10/06/11	$	1,954	$	1,975,896
Series 2006-RM Class A2,
5.42%, 8/08/11		6,081		6,177,400
Series 2007-BF Class A3B,
0.25%, 4/06/12(a)		674		673,448
Series 2007-CM Class A3A,
5.42%, 5/07/12		3,436		3,489,121
Series 2008-AF Class A2B,
1.98%, 1/12/12(a)		1,043		1,044,456
Americredit Prime Automobile Receivable, Series 2007-2M Class A3,
5.22%, 6/08/12		3,826		3,884,038
Asset Backed Funding Corp. Certificates:
Series 2005-HE2 Class M1,
0.71%, 6/25/35(a)		1,000		940,209
Series 2005-OPT1 Class A1SS,
0.48%, 7/25/35(a)		1,832		1,725,908
Series 2006-OPT2 Class A3B,
0.34%, 10/25/36(a)		2,403		2,184,961
BA Credit Card Trust, Series 2007-B1 Class B1,
0.31%, 6/15/12(a)		3,480		3,477,874
Capital Auto Receivables Asset Trust, Series 2007-SN2 Class A4,
1.26%, 5/16/11(a)(b)(c)		6,500		6,518,200
Capital One Auto Finance Trust:
Series 2005-C Class A4B,
0.27%, 6/15/12(a)		5,779		5,769,854
Series 2006-A Class A4,
0.24%, 12/15/12(a)		4,051		4,014,498
Series 2007-B Class A3A,
5.03%, 4/15/12		1,449		1,463,994
Series 2007-C Class A3A,
5.13%, 4/16/12		1,709		1,742,443
Series 2007-C Class A3B,
0.74%, 4/16/12(a)		7,485		7,470,764
Capital One Multi-Asset Execution Trust, Series 2005-A3 Class A3,
4.05%, 3/15/13		5,500		5,565,086
Carrington Mortgage Loan Trust, Series 2007-FRE1 Class A1,
0.35%, 2/25/37(a)		2,949		2,605,578
Countrywide Asset-Backed Certificates:
Series 2004-AB2 Class A3,
0.64%, 5/25/36(a)		2,619		2,363,036
Series 2006-20 Class 2A1,
0.28%, 4/25/47(a)		1,406		1,363,660
Series 2006-22 Class 2A1,
0.28%, 5/25/47(a)		290		279,223
Series 2006-25 Class 2A1,
0.30%, 6/25/47(a)		3,476		3,274,783
Series 2007-10 Class 2A1,
0.28%, 6/25/47(a)		3,205		2,992,780
Series 2007-5 Class 2A1,
0.33%, 9/25/47(a)		3,391		3,149,416
Series 2007-6 Class 2A1,
0.33%, 9/25/37(a)		563		524,416
Series 2007-7 Class 2A1,
0.31%, 10/25/47(a)		484		440,678
Series 2007-8 Class 2A1,
0.29%, 11/25/37(a)		4,488		4,188,966
GMAC Mortgage Corp. Loan Trust, Series 2006-HLTV Class A3,
5.59%, 10/25/29		1,664		1,570,185
GSAMP Trust:
Series 2005-SEA1 Class A,
0.57%, 1/25/35(a)(b)		3,371		2,933,021
Series 2007-HE2 Class A2A,
0.36%, 3/25/47(a)(c)		2,612		2,313,246
GSRPM Mortgage Loan Trust, Series 2006-2 Class A1A,
0.37%, 9/25/36(a)(b)		1,919		1,854,316
Holmes Master Issuer Plc, Series 2007-1 Class 2A,
0.33%, 7/15/21(a)		5,000		4,991,130
Home Equity Asset Trust, Series 2006-4 Class 2A3,
0.40%, 8/25/36(a)		5,392		4,016,078
JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1 Class A3,
0.42%, 5/25/35(a)		3,253		2,841,571
Lehman XS Trust, Series 2005-4 Class 1A2,
0.50%, 10/25/35(a)		1,192		1,152,195
Long Beach Auto Receivables Trust, Series 2004-C Class A4,
3.78%, 7/15/11		1,408		1,408,940
Long Beach Mortgage Loan Trust, Series 2005-WL2 Class 3A1,
0.41%, 8/25/35(a)		48		47,363
MASTR Asset Backed Securities Trust:
Series 2005-AB1 Class A3B,
5.23%, 11/25/35(d)		2,712		2,388,603
Series 2006-AM1 Class A2,
0.36%, 1/25/36(a)		1,085		1,044,253
Morgan Stanley Home Equity Loan Trust, Series 2006-1 Class A2B,
0.43%, 12/25/35(a)		2,295		2,143,015
Park Place Securities, Inc., Series 2005-WCW3 Class A2C,
0.61%,8/25/35(a)		8,100		6,908,351
Permanent Financing Plc, Series 8 Class 3A,
0.38%, 9/10/32(a)		3,800		3,788,585
Permanent Master Issuer Plc, Series 2007-1 Class 2A2,
0.33%, 10/15/33(a)		7,600		7,596,382
Residential Asset Mortgage Products, Inc.:
Series 2006 Class A2,
0.42%, 2/25/36(a)		2,091		1,576,065
Series 2007-RZ1 Class A1,
0.30%, 2/25/37(a)		91		88,438
Residential Asset Securities Corp.:
Series 2005-KS12 Class A2,
0.48%, 1/25/36(a)		4,066		3,699,267
Series 2006-KS7 Class A2,
0.33%, 9/25/36(a)		1,245		1,196,452
Series 2007-KS1 Class A1,
0.29%, 1/25/37(a)		1,274		1,231,189
Series 2007-KS4 Class A1,
0.33%, 5/25/37(a)		370		342,761
Saxon Asset Securities Trust, Series 2005-4 Class A1A,
0.46%, 11/25/37(a)		3,453		3,020,584
Securitized Asset Backed Receivables LLC Trust:
Series 2005-FR5 Class A1A,
0.52%, 8/25/35(a)		2,772		2,606,802
Series 2006-FR3 Class A2,
0.37%, 5/25/36(a)		3,143		2,484,287
Series 2006-OP1 Class A2C,
0.53%, 10/25/35(a)		5,338		4,398,677

See Notes to Financial Statements.

54 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments (continued)	CoreAlpha Bond Master Portfolio
	(Percentages shown are based on Net Assets	)

	Par (000)		Value
Asset-Backed Securities
SG Mortgage Securities Trust, Series 2006-OPT2 Class A3A,
0.28%, 10/25/36(a)	$	2,909	$	2,837,075
Soundview Home Equity Loan Trust:
Series 2006-EQ1 Class A2,
0.34%, 10/25/36(a)		2,232		2,081,639
Series 2007-OPT5 Class 2A1,
1.03%, 10/25/37(a)		345		336,711
Structured Asset Investment Loan Trust, Series 2005-11 Class A6,
0.45%, 1/25/36(a)		3,560		2,967,839
Washington Mutual Master Note Trust, Series 2007-A2 Class A2,
0.26%, 5/15/14(a)(b)		3,500		3,493,197
Total Asset-Backed Securities — 9.7%				158,658,903
Preferred Securities
Capital Trusts
Diversified Financial Services — 0.3%
General Electric Capital Corp.,
6.38%, 11/15/17(a)		2,000		1,735,000
JPMorgan Chase Capital XXVII,
7.00%, 11/01/39(e)		3,500		3,529,796
				5,264,796
Insurance — 0.6%
AON Corp.,
8.21%, 1/01/27		1,700		1,725,500
Chubb Corp.:
6.38%, 4/15/17(a)		2,550		2,371,500
6.00%, 5/11/37		800		822,851
The Progressive Corp.,
6.70%, 6/15/17(a)		2,900		2,566,120
The Travelers Cos., Inc.:
6.25%, 3/15/17(a)		500		455,495
6.25%, 6/15/37		1,000		1,057,102
				8,998,568
Total Preferred Securities — 0.9%				14,263,364
Corporate Bonds
Aerospace & Defense — 0.3%
L-3 Communications Corp.:
5.88%, 1/15/15		281		280,649
5.20%, 10/15/19(b)		700		692,395
Series B, 6.38%, 10/15/15		3,813		3,827,299
				4,800,343
Air Freight & Logistics — 0.0%
FedEx Corp.,
8.00%, 1/15/19		600		722,665
Automobiles — 0.1%
DaimlerChrysler North America Holding Corp.,
8.50%, 1/18/31		1,000		1,228,843
Beverages — 0.6%
Anheuser-Busch InBev Worldwide, Inc.,
5.38%, 1/15/20(b)		6,400		6,529,657
Bottling Group LLC,
5.13%, 1/15/19		1,100		1,143,073
Diageo Finance BV,
3.25%, 1/15/15		2,000		1,986,692
Dr Pepper Snapple Group, Inc.,
2.35%, 12/21/12		1,000		1,001,065
				10,660,487
Biotechnology — 0.2%
Amgen, Inc.:
5.70%, 2/01/19		1,300		1,394,058
6.40%, 2/01/39		900		987,539
Genentech, Inc.,
4.75%, 7/15/15		625		668,921
				3,050,518
Building Products — 0.1%
CRH America, Inc.,
6.00%, 9/30/16		800		835,569
Capital Markets — 2.2%
The Bear Stearns Cos., Inc.:
6.40%, 10/02/17		4,500		4,905,364
7.25%, 2/01/18		1,000		1,147,853
The Bear Stearns Cos., Inc./JPMorgan Chase & Co.,
5.70%, 11/15/14		3,600		3,961,199
Credit Suisse First Boston USA, Inc.:
5.13%, 1/15/14(e)		1,400		1,494,583
4.88%, 1/15/15		900		942,404
The Goldman Sachs Group, Inc.:
5.45%, 11/01/12		1,800		1,935,322
5.95%, 1/18/18		3,100		3,273,516
6.15%, 4/01/18		1,500		1,605,748
7.50%, 2/15/19(e)		1,200		1,398,964
6.75%, 10/01/37		1,650		1,696,014
Merrill Lynch & Co., Inc.,
6.88%, 4/25/18		4,350		4,686,855
Morgan Stanley:
6.00%, 4/28/15		1,400		1,491,311
6.25%, 8/28/17		1,500		1,565,375
5.63%, 9/23/19		4,500		4,532,895
Series F, 5.95%, 12/28/17		850		876,724
				35,514,127
Chemicals — 0.7%
Ashland, Inc.,
9.13%, 6/01/17(b)		3,100		3,402,250
Eastman Chemical Co.,
5.50%, 11/15/19		1,200		1,196,254
Nalco Co.,
8.25%, 5/15/17(b)		1,800		1,912,500
Potash Corp. of Saskatchewan, Inc.,
4.88%, 3/30/20		3,100		3,058,528
Yara International ASA,
7.88%, 6/11/19(b)		1,900		2,169,367
				11,738,899
Commercial Banks — 2.5%
Abbey National Treasury Services Plc,
3.88%, 11/10/14(b)		3,300		3,311,745
American Express Bank FSB,
5.55%, 10/17/12		1,800		1,924,972
BNP Paribas/BNP Paribas LLC,
2.13%, 12/21/12		4,000		3,979,352
Credit Suisse New York,
5.30%, 8/13/19		2,400		2,464,740
Enterprise Products Operating LLC,
5.25%, 1/31/20(e)		2,000		1,978,444
HSBC Bank USA NA,
5.88%, 11/01/34		1,700		1,653,352
HSBC Holdings Plc:
5.25%, 12/12/12		3,000		3,185,658
6.50%, 9/15/37		2,400		2,507,501
JPMorgan Chase Bank NA, Series BKNT,
6.00%, 10/01/17		2,300		2,462,550

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 55

Schedule of Investments (continued)	CoreAlpha Bond Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
Corporate Bonds
Commercial Banks (concluded)
Wachovia Bank NA,
6.00%, 11/15/17	$	8,500	$	8,897,324
Wachovia Corp.,
5.30%, 10/15/11		2,750		2,919,180
Wells Fargo & Co.,
5.25%, 10/23/12		5,000		5,337,870
				40,622,688
Commercial Services & Supplies — 0.4%
Iron Mountain, Inc.:
8.00%, 6/15/20		1,900		1,928,500
8.38%, 8/15/21		1,500		1,548,750
R.R. Donnelley & Sons Co.,
8.60%, 8/15/16		2,200		2,394,940
				5,872,190
Communications Equipment — 0.3%
Motorola, Inc.,
8.00%, 11/01/11		4,600		4,919,645
Computers & Peripherals — 0.1%
International Business Machines Corp.,
7.63%, 10/15/18		2,050		2,503,345
Consumer Finance — 0.5%
American Express Co.,
8.13%, 5/20/19		4,800		5,688,293
Capital One Financial Corp.,
7.38%, 5/23/14		1,600		1,811,571
				7,499,864
Containers & Packaging — 0.8%
Ball Corp.:
6.63%, 3/15/18		2,050		2,029,500
7.38%, 9/01/19(e)		400		411,000
Crown Americas LLC,
7.63%, 5/15/17(b)		2,900		3,008,750
Crown Americas LLC and Crown Americas Capital Corp.,
7.63%, 11/15/13		500		516,250
Owens-Brockway Glass Container, Inc.,
6.75%, 12/01/14(e)		3,600		3,681,000
Sealed Air Corp.:
7.88%, 6/15/17(b)		840		894,736
6.88%, 7/15/33(b)		2,000		1,881,614
				12,422,850
Diversified Financial Services — 2.1%
Associates Corp. of North America,
6.95%, 11/01/18		1,500		1,516,654
Bank of America Corp.:
5.65%, 5/01/18		1,500		1,523,418
5.49%, 3/15/19		3,500		3,306,835
BP AMI Leasing, Inc.,
5.52%, 5/08/19(b)		5,000		5,271,480
Citigroup, Inc.:
6.50%, 8/19/13		1,400		1,491,270
6.38%, 8/12/14		1,400		1,465,670
6.13%, 11/21/17		1,000		1,007,975
8.50%, 5/22/19		1,600		1,847,605
8.13%, 7/15/39		600		677,188
General Electric Capital Corp.:
6.75%, 3/15/32		2,000		2,039,130
6.88%, 1/10/39		1,000		1,032,685
Series G, 6.00%, 8/07/19		4,700		4,878,699
Genworth Global Funding Trusts,
5.75%, 5/15/13		1,000		993,854
International Lease Finance Corp.,
6.63%, 11/15/13(e)		4,200		3,380,937
JPMorgan Chase & Co.,
4.75%, 5/01/13		3,100		3,272,118
				33,705,518
Diversified Telecommunication Services — 2.8%
AT&T, Inc.,
4.95%, 1/15/13		1,500		1,600,320
BellSouth Corp.,
6.55%, 6/15/34		2,400		2,461,776
CenturyTel, Inc.,
6.15%, 9/15/19		100		102,237
Deutsche Telekom International Finance BV:
8.50%, 6/15/10		3,250		3,358,634
8.75%, 6/15/30		2,900		3,729,719
France Telecom SA,
7.75%, 3/01/11		3,300		3,536,841
New Cingular Wireless Services, Inc.,
8.75%, 3/01/31(e)		1,000		1,292,309
Qwest Corp.,
8.38%, 5/01/16		4,800		5,148,000
SBA Telecommunications, Inc.,
8.25%, 8/15/19(b)(e)		1,700		1,802,000
Telecom Italia Capital SA:
4.00%, 1/15/10		1,680		1,681,294
5.25%, 10/01/15(e)		2,500		2,613,867
7.00%, 6/04/18		3,300		3,630,960
Telefonica Emisiones SAU:
5.86%, 2/04/13		3,600		3,889,678
6.22%, 7/03/17(e)		2,100		2,314,639
5.88%, 7/15/19		2,200		2,358,026
Verizon Communications, Inc.:
8.75%, 11/01/18		2,000		2,498,038
8.95%, 3/01/39		500		676,527
Windstream Corp.,
7.88%, 11/01/17(b)		4,000		3,950,000
				46,644,865
Electric Utilities — 2.5%
Commonwealth Edison Co.:
4.70%, 4/15/15		1,000		1,035,680
5.88%, 2/01/33		3,500		3,471,009
Duke Energy Corp.:
6.25%, 6/15/18		2,500		2,669,855
5.05%, 9/15/19(e)		5,500		5,481,674
EDP Finance BV,
4.90%, 10/01/19(b)		2,200		2,180,867
Enel Finance International SA,
5.13%, 10/07/19(b)		3,000		3,018,528
FirstEnergy Solutions Corp.,
6.05%, 8/15/21		2,500		2,522,015
MidAmerican Energy Holdings Co.,
5.75%, 4/01/18		6,950		7,325,112
Northern States Power Co,
5.25%, 7/15/35		2,500		2,384,798
Oncor Electric Delivery Co. LLC,
5.95%, 9/01/13		2,750		2,950,403
Pacific Gas & Electric Co.,
5.63%, 11/30/17		1,500		1,601,522
PacifiCorp,
5.50%, 1/15/19		1,300		1,376,448
Progress Energy, Inc.,
4.88%, 12/01/19		3,100		3,012,592
Southern California Edison Co.,
5.50%, 8/15/18		1,250		1,334,381
Southern Co.,
4.15%, 5/15/14		900		925,516
				41,290,400
Electronic Equipment, Instruments & Components — 0.1%
Arrow Electronics, Inc.,
6.00%, 4/01/20		1,400		1,385,108
Energy Equipment & Services — 0.3%
Pride International, Inc.,
8.50%, 6/15/19		4,800		5,544,000
Food & Staples Retailing — 0.5%
CVS Caremark Corp.,
0.56%, 6/01/10(a)		4,000		4,001,656

See Notes to Financial Statements.

56 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments (continued)	CoreAlpha Bond Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
Corporate Bonds
Food & Staples Retailing (concluded)
The Kroger Co.:
8.05%, 2/01/10	$	930	$	934,494
7.50%, 1/15/14		1,750		1,997,250
6.40%, 8/15/17		500		546,212
6.90%, 4/15/38		400		445,144
				7,924,756
Food Products — 0.3%
General Mills, Inc.,
5.65%, 2/15/19		1,400		1,484,771
Kellogg Co.:
5.13%, 12/03/12		2,300		2,496,105
4.45%, 5/30/16		100		102,977
Series B, 7.45%, 4/01/31		1,000		1,212,410
				5,296,263
Gas Utilities — 0.1%
EQT Corp.,
8.13%, 6/01/19		1,800		2,079,672
Pacific Energy Partners LP/PAA Finance Corp.,
6.25%, 9/15/15		250		257,204
				2,336,876
Health Care Equipment & Supplies — 0.2%
Beckman Coulter, Inc.,
7.00%, 6/01/19		1,100		1,246,588
Zimmer Holdings, Inc.,
4.63%, 11/30/19		1,450		1,436,837
				2,683,425
Health Care Providers & Services — 0.9%
Aetna, Inc.,
6.75%, 12/15/37		1,200		1,251,275
AmerisourceBergen Corp.,
4.88%, 11/15/19		900		888,527
DaVita, Inc.:
6.63%, 3/15/13		2,890		2,897,225
7.25%, 3/15/15		2,710		2,716,775
Express Scripts, Inc.,
6.25%, 6/15/14		2,200		2,400,486
Quest Diagnostics, Inc.,
4.75%, 1/30/20		1,600		1,563,358
UnitedHealth Group, Inc.,
0.43%, 6/21/10(a)		2,320		2,316,330
				14,033,976
Hotels, Restaurants & Leisure — 0.9%
International Game Technology,
7.50%, 6/15/19		1,900		2,058,897
McDonald’s Corp.:
6.30%, 10/15/37		1,000		1,084,531
5.70%, 2/01/39		1,100		1,122,022
Penn National Gaming, Inc.,
8.75%, 8/15/19(b)(e)		2,100		2,147,250
Wyndham Worldwide Corp.,
6.00%, 12/01/16		2,350		2,189,246
Yum! Brands, Inc.:
4.25%, 9/15/15		2,000		2,006,004
6.25%, 3/15/18(e)		2,500		2,727,020
6.88%, 11/15/37		2,100		2,269,037
				15,604,007
Household Products — 0.1%
Kimberly-Clark Corp.,
7.50%, 11/01/18		750		907,368
Independent Power Producers & Energy Traders — 0.0%
Mirant Americas Generation LLC,
9.13%, 5/01/31(e)		250		225,000
Industrial Conglomerates — 0.2%
Tyco International Finance SA,
8.50%, 1/15/19		2,400		2,898,595
Insurance — 0.7%
Allstate Life Global Funding Trusts,
5.38%, 4/30/13		5,250		5,604,238
Marsh & McLennan Cos., Inc.:
5.75%, 9/15/15		400		417,308
9.25%, 4/15/19		2,300		2,790,641
Prudential Financial, Inc.:
5.15%, 1/15/13		1,750		1,840,965
7.38%, 6/15/19		1,000		1,121,167
				11,774,319
Life Sciences Tools & Services — 0.1%
Thermo Fisher Scientific, Inc.,
3.25%, 11/18/14(b)		1,600		1,568,643
Machinery — 0.1%
Navistar International Corp.,
8.25%, 11/01/21		1,400		1,435,000
Media — 2.8%
British Sky Broadcasting Group Plc,
9.50%, 11/15/18(b)		1,500		1,923,051
CBS Corp.,
8.88%, 5/15/19(e)		3,500		4,187,134
Comcast Corp.,
5.70%, 5/15/18		7,050		7,411,312
CSC Holdings, Inc.,
7.63%, 7/15/18		5,000		5,150,000
DirecTV Holdings LLC/DirecTV Financing Co., Inc.:
7.63%, 5/15/16		4,800		5,244,000
5.88%, 10/01/19(b)		1,500		1,525,644
DISH DBS Corp.:
6.38%, 10/01/11(e)		500		516,250
7.13%, 2/01/16		4,000		4,085,000
7.88%, 9/01/19		1,000		1,048,750
News America, Inc.,
5.65%, 8/15/20(b)(e)		1,400		1,457,756
TCM Mobile LLC,
3.55%, 1/15/15(b)		1,600		1,567,290
Time Warner, Inc.:
7.63%, 4/15/31		1,000		1,161,628
7.70%, 5/01/32		3,000		3,523,005
Viacom, Inc.:
4.38%, 9/15/14		1,300		1,340,639
5.63%, 9/15/19(e)		800		835,283
6.88%, 4/30/36		2,700		2,919,526
WPP Finance (UK),
8.00%, 9/15/14		1,800		2,047,068
				45,943,336
Metals & Mining — 1.4%
ArcelorMittal USA Partnership,
9.75%, 4/01/14		4,238		4,449,900
Barrick Australian Finance Pty Ltd.,
5.95%, 10/15/39		1,200		1,171,151
Freeport-McMoRan Copper & Gold, Inc.,
8.38%, 4/01/17		2,200		2,409,000
Newmont Mining Corp.,
5.13%, 10/01/19		3,800		3,801,775
Rio Tinto Finance USA Ltd.,
9.00%, 5/01/19		5,300		6,707,616
Vale Overseas Ltd.:
6.88%, 11/21/36		1,000		999,161
6.88%, 11/10/39		2,100		2,114,120
Xstrata Canada Corp.,
6.20%, 6/15/35		1,000		946,142
				22,598,865
Multi-Utilities — 0.5%
Dominion Resources, Inc.,
6.40%, 6/15/18		5,250		5,734,680
PSEG Power LLC,
6.95%, 6/01/12		2,300		2,512,647
				8,247,327

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 57

Schedule of Investments (continued)	CoreAlpha Bond Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
Corporate Bonds
Oil, Gas & Consumable Fuels — 3.1%
Burlington Resources Finance Co.,
7.20%, 8/15/31	$	800	$	916,389
ConocoPhillips Canada Funding Co. I,
5.63%, 10/15/16		500		542,401
Devon Energy Corp.:
6.30%, 1/15/19		2,300		2,560,951
7.95%, 4/15/32		654		831,406
Devon Financing Corp. ULC,
7.88%, 9/30/31		1,250		1,566,140
El Paso Corp.,
7.80%, 8/01/31		250		235,358
EnCana Corp.,
6.50%, 5/15/19		400		447,455
Energy Transfer Partners LP:
9.70%, 3/15/19		1,900		2,346,696
9.00%, 4/15/19		800		953,583
Enterprise Products Operating LLC:
7.50%, 2/01/11		3,600		3,814,452
5.75%, 3/01/35		1,500		1,392,858
EOG Resources, Inc.,
5.63%, 6/01/19		1,300		1,381,037
Hess Corp.,
8.13%, 2/15/19		1,000		1,205,957
Marathon Oil Corp.:
7.50%, 2/15/19		500		577,059
6.80%, 3/15/32		1,500		1,590,663
6.60%, 10/01/37		1,000		1,060,795
Newfield Exploration Co.,
7.13%, 5/15/18		4,250		4,292,500
Peabody Energy Corp., Series B,
6.88%, 3/15/13		755		763,494
Petrobras International Finance Co.:
5.75%, 1/20/20		3,000		3,051,861
6.88%, 1/20/40		1,500		1,541,398
Petronas Capital Ltd.,
5.25%, 8/12/19		2,200		2,210,435
Pioneer Natural Resources Co.,
7.50%, 1/15/20		2,000		2,000,908
Plains All American Pipeline LP/PAA Finance Corp.:
8.75%, 5/01/19		600		707,456
5.75%, 1/15/20		3,000		3,002,238
6.70%, 5/15/36		1,000		1,019,870
Spectra Energy Capital LLC,
5.65%, 3/01/20		1,600		1,614,643
TransCanada PipeLines Ltd.:
6.50%, 8/15/18(e)		6,250		6,971,575
7.13%, 1/15/19		800		935,375
7.63%, 1/15/39		600		738,964
Weatherford International Ltd.,
9.63%, 3/01/19		400		498,681
				50,772,598
Paper & Forest Products — 0.2%
International Paper Co.:
9.38%, 5/15/19		1,600		1,966,674
7.50%, 8/15/21		1,000		1,120,471
				3,087,145
Personal Products — 0.1%
Mead Johnson Nutrition Co.,
4.90%, 11/01/19(b)		2,400		2,379,574
Pharmaceuticals — 0.1%
Pfizer, Inc.,
6.20%, 3/15/19		1,500		1,667,433
Real Estate Investment Trusts (REITs) — 0.6%
ProLogis,
7.38%, 10/30/19		1,700		1,676,889
Simon Property Group LP:
5.75%, 5/01/12		3,000		3,151,488
5.30%, 5/30/13		2,500		2,579,512
6.75%, 5/15/14		2,200		2,344,496
				9,752,385
Road & Rail — 0.7%
Burlington Northern Santa Fe Corp.,
4.70%, 10/01/19		3,800		3,764,591
CSX Corp.:
5.75%, 3/15/13(e)		2,600		2,812,696
6.15%, 5/01/37(e)		1,750		1,773,063
Norfolk Southern Corp.,
5.75%, 1/15/16		1,100		1,170,254
Union Pacific Corp.,
6.13%, 2/15/20		1,300		1,407,227
				10,927,831
Software — 0.5%
CA, Inc.,
5.38%, 12/01/19(e)		2,000		2,011,220
Oracle Corp.:
5.25%, 1/15/16		1,500		1,619,793
5.75%, 4/15/18		2,150		2,324,550
5.00%, 7/08/19		2,800		2,887,626
				8,843,189
Specialty Retail — 0.2%
The Sherwin-Williams Co.,
3.13%, 12/15/14		3,300		3,259,215
Thrifts & Mortgage Finance — 0.1%
Countrywide Home Loans, Inc.,
4.00%, 3/22/11		800		817,033
Tobacco — 1.0%
Altria Group, Inc.:
9.70%, 11/10/18		2,750		3,399,459
9.25%, 8/06/19		1,100		1,340,491
9.95%, 11/10/38		1,200		1,564,212
Philip Morris International, Inc.:
4.88%, 5/16/13		2,200		2,322,443
5.65%, 5/16/18		1,300		1,367,054
6.38%, 5/16/38		1,500		1,621,389
Reynolds American, Inc.,
0.95%, 6/15/11(a)		5,060		5,012,851
				16,627,899
Transportation Infrastructure — 0.1%
Con-way, Inc.,
6.70%, 5/01/34		2,500		1,962,070
Wireless Telecommunication Services — 0.2%
Vodafone Group Plc:
5.63%, 2/27/17		950		1,009,060
5.45%, 6/10/19		700		724,859
7.88%, 2/15/30(e)		1,250		1,498,236
				3,232,155
Total Corporate Bonds — 32.3%				527,768,207
Foreign Agency Obligations
Brazilian Government International Bond:
5.88%, 1/15/19		7,600		8,094,000
5.63%, 1/07/41		1,500		1,413,750
Colombia Government International Bond,
7.38%, 3/18/19		1,900		2,151,750
Export-Import Bank of Korea,
8.13%, 1/21/14		1,800		2,089,598

See Notes to Financial Statements.

58 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments (continued)	CoreAlpha Bond Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
Foreign Agency Obligations
Peruvian Government International Bond,
7.13%, 3/30/19	$	1,900	$	2,185,000
Poland Government International Bond,
6.38%, 7/15/19		5,300		5,764,720
Republic of Korea,
7.13%, 4/16/19(e)		3,800		4,355,560
Republic of Turkey,
7.50%, 11/07/19		2,000		2,255,000
Russian Foreign Bond — Eurobond,
7.50%, 3/31/30(d)		1,692		1,909,845
South Africa Government International Bond,
6.88%, 5/27/19		2,100		2,357,250
Total Foreign Agency Obligations — 2.0%				32,576,473
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 1.4%
Citicorp Mortgage Securities, Inc.:
Series 2006-1 Class 2A1,
5.00%, 2/25/21(c)		2,648		2,595,153
Series 2007-4 Class 2A1,
5.50%, 5/25/22		1,768		1,604,851
Countrywide Home Loan Mortgage Pass Through Trust:
Series 2004-13 Class 1A1,
5.50%, 8/25/34		4,956		4,954,618
Series 2005-HYB8 Class 4A1,
5.49%, 12/20/35(a)		7,522		5,696,432
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR3 Class A3,
0.32%, 8/25/36(a)		931		914,575
Residential Asset Securitization Trust, Series 2004-A6 Class A1,
5.00%, 8/25/19		1,959		1,851,517
WaMu Mortgage Pass Through Certificates, Series 2005-AR17 Class A1B1,
0.48%, 12/25/45(a)		2,548		2,484,878
Wells Fargo Mortgage Backed Securities Trust, Series 2006-1 Class A3,
5.00%, 3/25/21		3,362		3,177,024
				23,279,048
Commercial Mortgage-Backed Securities — 5.9%
Banc of America Commercial Mortgage, Inc.:
Series 2004-5 Class A2,
4.18%, 11/10/41		70		70,253
Series 2006-2 Class A4,
5.74%, 5/10/45(a)		3,245		3,188,949
Citigroup Commercial Mortgage Trust, Series 2008-C7 Class A4,
6.09%, 12/10/49(a)		2,500		2,244,858
Citigroup Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2 Class A1,
5.30%, 1/15/46		2,993		3,035,039
Credit Suisse First Boston Mortgage Securities Corp.:
Series 2001-CF2 Class A4,
6.51%, 2/15/34		4,862		5,013,016
Series 2001-CK3 Class A4,
6.53%, 6/15/34		4,920		5,112,470
CW Capital Cobalt Ltd., Series 2006-C1 Class A4,
5.22%, 8/15/48		6,000		5,232,332
First Union National Bank Commercial Mortgage, Series 2000-C2 Class A2,
7.20%, 10/15/32		2,589		2,645,979
GE Capital Commercial Mortgage Corp., Series 2007-C1 Class A2,
5.42%, 12/10/49		1,945		1,958,029
GMAC Commercial Mortgage Securities, Inc., Series 2000-C3 Class A2,
6.96%, 9/15/35		5,698		5,862,533
Greenwich Capital Commercial Funding Corp., Series 2005-GG5 Class A5,
5.22%, 4/10/37(a)		1,000		947,210
GS Mortgage Securities Corp. II, Series 2006-GG6 Class A1,
5.42%, 4/10/38		2,230		2,250,431
JPMorgan Chase Commercial Mortgage Securities Corp.:
Series 2001-CIB3 Class A2,
6.04%, 11/15/35		1,799		1,840,763
Series 2004-CBX Class A3,
4.18%, 1/12/37		2,306		2,303,773
Series 2005-CB12 Class A3A1,
4.82%, 9/12/37		6,500		6,525,340
Series 2007-CB19 Class A3,
5.75%, 2/12/49(a)		4,300		4,039,136
Series 2007-LDPX Class A1S,
4.93%, 1/15/49		9,863		9,964,578
LB-UBS Commercial Mortgage Trust:
Series 2006-C1 Class A4,
5.16%, 2/15/31		2,800		2,710,602
Series 2006-C7 Class A2,
5.30%, 11/15/38		6,600		6,710,516
Series 2007-C6 Class A4,
5.86%, 7/15/40(a)		5,700		4,813,040
Merrill Lynch Countrywide Commercial Mortgage Trust:
Series 2006-1 Class A2,
5.44%, 2/12/39(a)		5,000		5,074,359
Series 2006-3 Class A1,
4.71%, 7/12/46(a)		1,400		1,421,938
Merrill Lynch Mortgage Trust:
Series 2006-C1 Class A1,
5.53%, 5/12/39(a)		3,056		3,103,183
Series 2006-C2 Class A1,
5.60%, 8/12/43		1,504		1,529,206
PNC Mortgage Acceptance Corp., Series 2000-C2 Class A2,
7.30%, 10/12/33		3,554		3,628,656
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23 Class A5,
5.42%, 1/15/45(a)		5,700		5,445,629
				96,671,818
Total Non-Agency Mortgage-Backed Securities — 7.3%				119,950,866
U.S. Government Sponsored Agency Securities
Agency Obligations — 2.7%
Fannie Mae:
1.75%, 8/10/12(e)		19,000		18,996,181
4.38%, 10/15/15		5,000		5,319,210
Freddie Mac,
2.13%, 9/21/12(e)		18,900		19,101,020
				43,416,411

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 59

Schedule of Investments (continued)	CoreAlpha Bond Master Portfolio
	(Percentages shown are based on Net Assets)

	Par (000)		Value
U.S. Government Sponsored Agency Securities
Interest Only Collateralized Mortgage Obligations — 0.0%
Freddie Mac Mortgage-Backed Securities:
Series 2949 Class BI, 5.50%, 3/15/25	$	335	$	2,604
Series 2960 Class IO, 5.50%, 5/15/24		157		28
Series 2989 Class WI, 5.50%, 5/15/29		1,494		86,729
Series 3003 Class BI, 5.00%, 12/15/34		995		51,523
Series 3016 Class PI, 5.50%, 5/15/29		554		21,899
				162,783
Mortgage-Backed Securities — 38.2%
Fannie Mae Mortgage-Backed Securities:
2.87%, 8/01/33		3,807		3,919,132
2.92%, 5/01/33(a)		5,822		5,980,309
4.00%, 1/01/25 – 1/01/40(f)		25,000		24,512,031
4.01%, 1/01/35(a)		2,734		2,808,596
4.50%, 1/01/25 – 1/01/40(f)		44,000		44,190,313
5.00%, 1/01/18 – 3/01/34		69,270		71,675,484
5.08%, 4/01/37(a)		1,391		1,452,554
5.11%, 1/01/36(a)		2,967		3,107,225
5.50%, 9/01/19 – 12/01/36		73,982		77,882,292
6.00%, 11/01/22 – 1/01/40(c)(f)		48,374		51,338,613
6.50%, 7/01/32 – 1/01/40(f)		27,283		29,439,567
Freddie Mac Mortgage-Backed Securities:
2.59%, 10/01/33(a)		2,239		2,294,473
4.00%, 1/01/25 – 1/01/40(f)		15,000		14,756,406
4.50%, 8/01/20 – 1/01/40(f)		53,369		53,813,990
4.61%, 4/01/38(a)		14,228		14,787,800
5.00%, 10/01/20 – 1/01/40(f)		49,168		50,681,706
5.50%, 12/01/27 – 1/01/40(c)(f)		44,794		47,044,755
6.00%, 12/01/28 – 1/01/40(f)		27,212		28,963,708
6.33%, 11/01/36(a)		7,907		8,385,215
6.50%, 5/01/21 – 1/01/36		5,459		5,890,425
Ginnie Mae Mortgage-Backed Securities:
4.50%, 7/15/39 – 1/01/40(f)		18,842		18,880,980
5.00%, 9/15/39 – 1/01/40(f)		22,937		23,611,953
5.50%, 6/15/34 – 1/01/40(f)		21,223		22,239,420
6.00%, 1/01/40(f)		16,000		16,905,000
				624,561,947
Total U.S. Government Sponsored Agency Securities — 40.9%				668,141,141
U.S. Treasury Obligations
U.S. Treasury Bond,
6.13%, 8/15/29(g)		700		840,438
U.S. Treasury Inflation Indexed Note,
1.25%, 4/15/14		94,994		98,177,736
U.S. Treasury Note,
4.00%, 2/15/14(g)		1,350		1,443,551
Total U.S. Treasury Obligations — 6.2%				100,461,725
Total Long-Term Investments (Cost — $1,577,581,724) — 99.3%				1,621,820,679
	Shares		Value
Money Market Funds
BlackRock Cash Funds: Institutional, SL Agency Shares,		337,863,503		337,863,503
0.19%(h)(i)(j)
BlackRock Cash Funds: Prime, SL Agency Shares,
0.17% (h)(i)(j)		9,006,982		9,006,982
Total Money Market Funds (Cost — $346,870,485) — 21.2%				346,870,485
Total Investments (Cost — $1,924,452,209*) — 120.5 %				1,968,691,164
Liabilities in Excess of Other Assets — (20.5)%				(334,731,054	)
Net Assets — 100.0%			$	1,633,960,110

* The cost and unrealized appreciation (depreciation) of investments as of December 31, 2009, as computed for federal income tax purposes, were as follows:

Aggregate cost	$	1,924,509,065
Gross unrealized appreciation	$	44,182,099
Gross unrealized depreciation		—
Net unrealized appreciation	$	44,182,099

See Notes to Financial Statements.

60 ANNUAL REPORT DECEMBER 31, 2009

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

(a) Variable rate security. Rate shown is as of report date.

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(c) All or a portion of this security is valued in accordance with the Master Portfolio’s fair valuation policy.

(d) Represents 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 shown reflects the effective yield at the time of purchase.

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

(f) Represents or includes a “to-be-announced” (“TBA”) transaction. Unsettled TBA transactions as of report date were as follows:

Counterparty	Market Value		Unrealized Depreciation
BNP Paribas	$	34,912,500	$	(481,250	)
Credit Suisse Securities LLC	$	22,100,000	$	(162,891	)
Deutsche Bank Securities, Inc.	$	31,837,500	$	(172,734	)
Goldman Sachs & Co.	$	29,929,531	$	(274,050	)
JPMorgan Securities, Ltd.	$	73,353,906	$	(705,453	)
Morgan Stanley Capital Services, Inc.	$	34,670,313	$	(359,950	)
UBS Securities LLC	$	29,877,188	$	(291,797	)

(g) All or a portion of this security has been pledged as collateral in connection with open financial futures contracts.

(h) Represents the seven-day yield as of report date.

(i) Investments in companies considered to be an affiliate of the Master Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

Affiliate	Net Activity		Income
BlackRock Cash Funds: Institutional	$	167,930,106	$	798,035
BlackRock Cash Funds: Prime	$	2,563,665	$	13,947

(j) All or a portion of this security was purchased with the cash collateral from securities loaned.

• For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Master Portfolio management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

• Financial futures contracts purchased as of December 31, 2009 were as follows:

Contracts	Issue	Exchange	Expiration Date	Face Value		Unrealized Depreciation
1,409	5-Year U.S. Treasury Notes	Chicago	March 2010	$	161,165,384	$	(2,488,108	)
53	10-Year U.S. Treasury Notes	Chicago	March 2010	$	6,119,016		(112	)
637	30-Year U.S. Treasury Bond	Chicago	March 2010	$	73,493,875		(2,929,007	)
Total						$	(5,417,227	)

• Financial futures contracts sold as of December 31, 2009 were as follows:

Contracts	Issue	Exchange	Expiration Date	Face Value			Unrealized Appreciation
1,268	2-Year U.S. Treasury Notes	Chicago	March 2010	$	(274,224,814	)	$	1,601,450

• Credit default swaps on single-name issues — buy protection outstanding as of December 31, 2009 were as follows:

Issuer	Pay Rate	Counterparty	Expiration	Notional Amount (000)		Unrealized Appreciation (Depreciation)
General Electric Capital Corp.	3.25%	Deutsche Bank AG	December 2013	$	4,000	$	244,571
SLM Corp.	5.00%	JPMorgan Chase Bank NA	December 2013	$	900		(2,910	)
Total						$	241,661

• Credit default swaps on single-name issues — sold protection outstanding as of December 31, 2009 were as follows:

Issuer	Received Fixed Rate	Counterparty	Expiration	Credit Rating1	Notional Amount (000)2		Unrealized Appreciation (Depreciation)
Con-Way Inc.	0.65%	JPMorgan Chase Bank NA	January 2010	BBB-	$	2,500	$	39,178
Con-Way Inc.	0.71%	JPMorgan Chase Bank NA	January 2010	BBB-	$	1,250		19,550
Bank of America Corp.	6.80%	Deutsche Bank AG	June 2014	A-	$	1,500		(328,138	)
Total							$	(269,410	)

1 Using Standard & Poor’s ratings.

2 The maximum potential amount the Master Portfolio may be required to pay should a negative credit event take place as defined under the terms of the agreement. See Note 2 of the Notes to Financial Statements.

• Credit default swaps on traded indexes — buy protection outstanding as of December 31, 2009 were as follows:

Issuer	Pay Fixed Rate	Counterparty	Expiration	Notional Amount (000)		Unrealized Appreciation
Dow Jones CDX North America Investment Grade	1.00%	JPMorgan Chase Bank NA	January 2010	$	32,000	$	232,845

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 61

Schedule of Investments (concluded) CoreAlpha Bond Master Portfolio

• Credit default swaps on traded indexes — sold protection outstanding as of December 31, 2009 were as follows:

Issuer	Received Fixed Rate	Counterparty	Expiration	Credit Rating3	Notional Amount (000)4		Unrealized Depreciation
Dow Jones CDX North America Investment Grade	1.00%	JPMorgan Chase Bank NA	June 2014	BBB+	$	29,760	$	(235,819	)
Dow Jones CDX North America Investment Grade	1.00%	Morgan Stanley Capital Services, Inc.	December 2014	BBB+	$	23,500		(170,995	)
Total							$	(406,814	)

3 Using Standard & Poor’s weighted average rating of the underlying securities in the index.

4 The maximum potential amount the Master Portfolio may be required to pay should a negative credit event take place as defined under the terms of the agreement. See Note 2 of the Notes to Financial Statements.

• Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

• 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)

• 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)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Master Portfolio’s investments:

Valuation Inputs	Investments in Securities
	Assets
Level 1
Money Market Funds	$	346,870,485
Level 2
Long-Term Investments:
Asset-Backed Securities		149,827,458
Capital Trusts		14,263,364
Corporate Bonds		527,768,207
Foreign Agency Obligations		32,576,473
Non-Agency Mortgage-Backed Securities		117,355,713
U.S. Government Sponsored Agency Securities		646,499,496
U.S. Treasury Obligations		100,461,725
Total Level 2		1,588,752,436
Level 3
Long-Term Investments:
Asset-Backed Securities		8,831,446
Non-Agency Mortgage-Backed Securities		2,595,153
U.S. Government Sponsored Agency Securities		21,641,644
Total Level 3		33,068,243
Total	$	1,968,691,164

Valuation Inputs	Other Financial Instruments1
	Assets		Liabilities
Level 1	$	1,601,450	$	(5,417,227	)
Level 2		536,144		(737,862	)
Level 3		—		—
Total	$	2,137,594	$	(6,155,089	)

1 Other financial instruments are swaps and financial futures contracts which are shown at the unrealized appreciation/depreciation on the financial instrument.

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Mortgage- Backed Securities			Total
Balance, as of December 31, 2008	$	2,668,170		$	21,774,832		$	2,531,250			—		$	26,974,252
Accrued discounts/premiums		—			30			—			—			30
Realized gain (loss)		47,648			1,616,567			114,375		$	(40,576	)		1,738,014
Change in unrealized appreciation (depreciation)2		11,603			16,551			—			12,889			41,043
Net purchases (sales)		8,772,195			(9,293,623	)		(2,441,875	)		21,669,331			18,706,028
Net transfers in/out of Level 3		(2,668,170	)		(11,519,204	)		(203,750	)		—			(14,391,124	)
Balance, as of December 31, 2009	$	8,831,446		$	2,595,153			—		$	21,641,644		$	33,068,243

2 Included in the related net change of unrealized appreciation/depreciation on the Statement of Operations. The change in unrealized appreciation/depreciation on securities still held at December 31, 2009 was $41,043.

See Notes to Financial Statements.

62 ANNUAL REPORT DECEMBER 31, 2009

Statements of Assets and Liabilities Master Investment Portfolio

December 31, 2009	LifePath Retirement Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio		LifePath 2050 Master Portfolio
Assets
Investments at value - affiliated1,2	$	433,900,809	$	890,907,736	$	829,747,333	$	736,606,176	$	29,687,893
Investments at value - affiliated Master Portfolios		828,655,660		1,146,000,198		850,128,562		627,282,173		20,346,631
Contributions receivable from investors		7,886,584		15,000,000		7,393,987		3,044,006		40,057
Investments sold receivable		5,856,680		16,567,895		7,173,901		4,877,532		322,154
Dividends receivable		249,581		242,696		119,551		46,057		682
Securities lending income receivable		31,711		65,174		60,501		48,788		1,719
Interest receivable		21		40		29		26		2
Receivable from investment advisor		—		—		—		—		271
Total assets		1,276,581,046		2,068,783,739		1,694,623,864		1,371,904,758		50,399,409
Liabilities
Collateral at value - securities loaned		98,719,418		254,504,146		246,259,392		226,999,086		9,299,740
Investments purchased payable		9,617,884		20,564,924		9,876,047		7,805,140		630,434
Withdrawals payable to investors		2,900,000		14,000,378		5,200,022		3,400,000		292,000
Investment advisory fees payable		23,128		28,312		19,015		12,804		—
Professional fees payable		13,776		13,158		13,069		13,042		12,790
Total liabilities		111,274,206		289,110,918		261,367,545		238,230,072		10,234,964
Net Assets	$	1,165,306,840	$	1,779,672,821	$	1,433,256,319	$	1,133,674,686	$	40,164,445
Net Assets Consist of
Investors’ capital	$	1,092,352,239	$	1,665,477,029	$	1,334,299,098	$	1,060,003,958	$	35,049,829
Net unrealized appreciation/depreciation		72,954,601		114,195,792		98,957,221		73,670,728		5,114,616
Net Assets	$	1,165,306,840	$	1,779,672,821	$	1,433,256,319	$	1,133,674,686	$	40,164,445
1 Investments at cost - affiliated	$	403,104,865	$	849,280,416	$	796,089,237	$	719,111,946	$	26,304,129
2 Securities loaned at value	$	95,839,312	$	247,469,142	$	239,247,272	$	220,442,794	$	9,042,142

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 63

Statements of Assets and Liabilities (concluded) Master Investment Portfolio

December 31, 2009	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
Assets
Investments at value - unaffiliated1,2	$	1,777,472,661	$	1,621,820,679
Investments at value - affiliated3		242,405,241		346,870,485
Investments sold receivable		117,473,945		774,892
Dividends receivable		1,626,170		—
Securities lending income receivable		46,387		54,912
Interest receivable.		222		11,431,282
Due from broker - swaps collateral		—		230,000
Collateral for open futures contracts		—		2,203,000
Total assets		2,139,024,626		1,983,385,250
Liabilities
Collateral at value - securities loaned		202,149,573		64,384,216
Investments purchased payable		97,543,943		283,713,753
Due to broker - swaps collateral		—		200,026
Credit default swaps at fair value4		—		201,718
Investment advisory fees payable		307,427		345,527
Administration fees payable		150,439		132,368
Professional fees payable		21,026		28,147
Margin variation payable		397,999		419,385
Foreign taxes payable		1,105		—
Total liabilities		300,571,512		349,425,140
Net Assets	$	1,838,453,114	$	1,633,960,110
Net Assets Consist of
Investors’ capital	$	1,640,742,085	$	1,593,764,685
Net unrealized appreciation/depreciation		197,711,029		40,195,425
Net Assets	$	1,838,453,114	$	1,633,960,110
1 Investments at cost - unaffiliated	$	1,579,994,720	$	1,577,581,724
2 Securities loaned at value	$	194,727,374	$	62,439,202
3 Investments at cost - affiliated	$	242,405,241	$	346,870,485
4 Includes premiums paid and received in the amount of $532,215 and $492,424, respectively, for the CoreAlpha Bond Master Portfolio.

See Notes to Financial Statements.

64 ANNUAL REPORT DECEMBER 31, 2009

Statements of Operations Master Investment Portfolio

Year Ended December 31, 2009	LifePath Retirement Master Portfolio			LifePath 2020 Master Portfolio			LifePath 2030 Master Portfolio			LifePath 2040 Master Portfolio			LifePath 2050 Master Portfolio
Investment Income
Dividends - affiliated	$	3,958,805		$	15,508,890		$	14,709,448		$	12,980,686		$	378,379
Securities lending - affiliated		76,604			329,129			299,495			268,359			4,454
Income - affiliated		4,545			15,586			13,270			11,254			819
Dividends - miscellaneous		(1,782	)		(5,617	)		(2,781	)		(4,375	)		—
Net investment income allocated from the Master Portfolios:
Dividends		1,456,758			9,560,595			9,426,031			8,565,971			197,693
Interest		8,904,338			22,553,882			11,216,954			4,515,512			15,107
Expenses1		(890,538	)		(2,957,638	)		(2,096,595	)		(1,483,462	)		(29,456	)
Total income		13,508,730			45,004,827			33,565,822			24,853,945			566,996
Expenses
Investment advisory		1,299,728			4,968,962			3,929,877			3,068,744			69,551
Professional		14,599			17,148			16,193			15,429			12,786
Independent Trustees		2,530			11,894			9,230			7,104			—
Total expenses		1,316,857			4,998,004			3,955,300			3,091,277			82,337
Less expense reductions		(1,229,875	)		(4,745,891	)		(3,792,442	)		(2,989,667	)		(79,916	)
Total expenses after expense reductions		86,982			252,113			162,858			101,610			2,421
Net investment income		13,421,748			44,752,714			33,402,964			24,752,335			564,575
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments - unaffiliated		26,036			246,793			79,315			71,791			—
Investments - affiliated		(8,992,425	)		(52,377,958	)		(49,347,738	)		(35,493,556	)		(701,422	)
Allocations from the Master Portfolios from investments, financial futures contracts and swaps		(1,777,143	)		(67,433,164	)		(72,058,209	)		(67,495,111	)		546,833
		(10,743,532	)		(119,564,329	)		(121,326,632	)		(102,916,876	)		(154,589	)
Net change in unrealized appreciation/depreciation on:
Investments - affiliated		48,010,619			188,303,507			183,941,740			157,623,901			4,218,014
Allocated from the Master Portfolios		56,456,067			196,720,090			185,426,729			162,428,519			2,259,726
		104,466,686			385,023,597			369,368,469			320,052,420			6,477,740
Total realized and unrealized gain		93,723,154			265,459,268			248,041,837			217,135,544			6,323,151
Net Increase in Net Assets Resulting from Operations	$	107,144,902		$	310,211,982		$	281,444,801		$	241,887,879		$	6,887,726
1 Net of fee reductions	$	42,960		$	242,685		$	232,503		$	207,838		$	5,045

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 65

Statements of Operations (concluded) Master Investment Portfolio

Year Ended December 31, 2009	Active Stock Master Portfolio			CoreAlpha Bond Master Portfolio
Investment Income
Dividends	$	32,168,660			—
Securities lending - affiliated		1,109,127		$	99,696
Income - affiliated		118,826			712,286
Interest		6,796			60,786,669
Total income		33,403,409			61,598,651
Expenses
Investment advisory		3,644,578			3,291,363
Administration		1,457,831			1,316,545
Professional		25,109			31,864
Independent Trustees		12,103			11,088
Total expenses excluding interest expense		5,139,621			4,650,860
Interest expense		—			6,213
Total expenses		5,139,621			4,657,073
Less expense reductions		(766,138	)		(42,952	)
Total expenses after expense reductions		4,373,483			4,614,121
Net investment income		29,029,926			56,984,530
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		(271,303,798	)		18,074,272
Financial futures contracts and swaps		8,773,230			14,053,409
		(262,530,568	)		32,127,681
Net change in unrealized appreciation/depreciation on:
Investments		594,467,337			72,533,289
Financial futures contracts and swaps		(146,225	)		(17,393,509	)
		594,321,112			55,139,780
Total realized and unrealized gain		331,790,544			87,267,461
Net Increase in Net Assets Resulting from Operations	$	360,820,470		$	144,251,991

See Notes to Financial Statements.

66 ANNUAL REPORT DECEMBER 31, 2009

Statements of Changes in Net Assets Master Investment Portfolio

	LifePath Retirement Master Portfolio						LifePath 2020 Master Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2009			2008			2009			2008
Operations
Net investment income	$	13,421,748		$	11,626,514		$	44,752,714		$	50,433,715
Net realized loss		(10,743,532	)		(14,187,053	)		(119,564,329	)		(98,148,224	)
Net change in unrealized appreciation/depreciation		104,466,686			(44,596,915	)		385,023,597			(381,110,283	)
Net increase (decrease) in net assets resulting from operations		107,144,902			(47,157,454	)		310,211,982			(428,824,792	)
Capital Transactions
Proceeds from contributions		155,214,316			123,355,314			450,201,397			466,911,021
Proceeds from contributions in connection with the acquisition		746,169,381			—			—			—
Value of withdrawals		(96,825,377	)		(154,327,624	)		(226,411,370	)		(620,303,397	)
Net increase (decrease) in net assets derived from capital transactions		804,558,320			(30,972,310	)		223,790,027			(153,392,376	)
Net Assets
Total increase (decrease) in net assets		911,703,222			(78,129,764	)		534,002,009			(582,217,168	)
Beginning of year		253,603,618			331,733,382			1,245,670,812			1,827,887,980
End of year	$	1,165,306,840		$	253,603,618		$	1,779,672,821		$	1,245,670,812
	LifePath 2030 Master Portfolio						LifePath 2040 Master Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2009			2008			2009			2008
Operations
Net investment income	$	33,402,964		$	34,121,231		$	24,752,335		$	22,769,576
Net realized loss		(121,326,632	)		(98,691,682	)		(102,916,876	)		(90,735,051	)
Net change in unrealized appreciation/depreciation		369,368,469			(353,104,158	)		320,052,420			(302,802,465	)
Net increase (decrease) in net assets resulting from operations		281,444,801			(417,674,609	)		241,887,879			(370,767,940	)
Capital Transactions
Proceeds from contributions		367,341,745			401,789,907			303,439,581			353,484,261
Value of withdrawals		(167,711,261	)		(425,112,568	)		(132,192,111	)		(285,117,887	)
Net increase (decrease) in net assets derived from capital transactions		199,630,484			(23,322,661	)		171,247,470			68,366,374
Net Assets
Total increase (decrease) in net assets		481,075,285			(440,997,270	)		413,135,349			(302,401,566	)
Beginning of year		952,181,034			1,393,178,304			720,539,337			1,022,940,903
End of year	$	1,433,256,319		$	952,181,034		$	1,133,674,686		$	720,539,337

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 67

Statements of Changes in Net Assets (concluded) Master Investment Portfolio

	LifePath 2050 Master Portfolio
Increase (Decrease) in Net Assets:	Year Ended December 31, 2009			Period June 30, 20081 to December 31, 2008
Operations
Net investment income	$	564,575		$	66,878
Net realized loss		(154,589	)		(235,891	)
Net change in unrealized appreciation/depreciation		6,477,740			(1,363,124	)
Net increase (decrease) in net assets resulting from operations		6,887,726			(1,532,137	)
Capital Transactions
Proceeds from contributions		29,450,394			8,619,796
Value of withdrawals		(3,068,975	)		(192,359	)
Net increase in net assets derived from capital transactions		26,381,419			8,427,437
Net Assets
Total increase in net assets		33,269,145			6,895,300
Beginning of period		6,895,300			—
End of period	$	40,164,445		$	6,895,300

1 Commencement of operations.

	Active Stock Master Portfolio						CoreAlpha Bond Master Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2009			2008			2009			2008
Operations
Net investment income	$	29,029,926		$	32,369,505		$	56,984,530		$	62,784,467
Net realized gain (loss)		(262,530,568	)		(256,059,676	)		32,127,681			(4,838,876	)
Net change in unrealized appreciation/depreciation		594,321,112			(471,381,523	)		55,139,780			(18,428,398	)
Net increase (decrease) in net assets resulting from operations		360,820,470			(695,071,694	)		144,251,991			39,517,193
Capital Transactions
Proceeds from contributions		545,050,021			459,317,337			1,003,192,608			383,150,603
Value of withdrawals		(318,404,191	)		(598,773,276	)		(629,387,020	)		(786,653,367	)
Net increase (decrease) in net assets derived from capital transactions		226,645,830			(139,455,939	)		373,805,588			(403,502,764	)
Net Assets
Total increase (decrease) in net assets		587,466,300			(834,527,633	)		518,057,579			(363,985,571	)
Beginning of year		1,250,986,814			2,085,514,447			1,115,902,531			1,479,888,102
End of year	$	1,838,453,114		$	1,250,986,814		$	1,633,960,110		$	1,115,902,531

See Notes to Financial Statements.

68 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights Master Investment Portfolio

	LifePath Retirement Master Portfolio
	Year Ended December 31,
	2009			2008			2007			2006			2005
Total Investment Return
Total investment return		18.75	%		(14.54	)%		5.00	%		9.30	%		4.82	%
Ratios to Average Net Assets
Total expenses1		0.59	%		0.61	%		0.61	%		0.61	%		0.65	%
Total expenses after expense reductions1		0.26	%		0.27	%		0.27	%		0.28	%		0.31	%
Net investment income2		3.61	%		3.81	%		3.87	%		3.80	%		3.24	%
Supplemental Data
Net assets, end of year (000)	$	1,165,307		$	253,604		$	331,733		$	260,279		$	230,665
Portfolio turnover		6	%3		11	%		6	%		10	%		11	%
	LifePath 2020 Master Portfolio
	Year Ended December 31,
	2009			2008			2007			2006			2005
Total Investment Return
Total investment return		23.21	%		(24.92	)%		3.84	%		13.51	%		7.04	%
Ratios to Average Net Assets
Total expenses1		0.58	%		0.57	%		0.58	%		0.58	%		0.62	%
Total expenses after expense reductions1		0.23	%		0.23	%		0.25	%		0.25	%		0.28	%
Net investment income2		3.15	%		3.18	%		3.01	%		2.91	%		2.53	%
Supplemental Data
Net assets, end of year (000)	$	1,779,673		$	1,245,671		$	1,827,888		$	1,391,153		$	1,065,090
Portfolio turnover		6	%		13	%		7	%		16	%		17	%

1 Includes the LifePath Master Portfolio’s pro rata portion of net advisory and net administration fees from the Active Stock and CoreAlpha Bond Master Portfolios only and does not reflect any expenses incurred indirectly as a result of investments in the BlackRock Cash Funds: Institutional and iShares exchange-traded funds.

2 Includes the LifePath Master Portfolio’s share of the allocated net investment income (loss) from the Active Stock and CoreAlpha Bond Master Portfolios.

3 Excludes in-kind contribution of portfolio securities received in a tax-free reorganization on November 20, 2009.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 69

Financial Highlights (continued) Master Investment Portfolio

	LifePath 2030 Master Portfolio
	Year Ended December 31,
	2009			2008			2007			2006			2005
Total Investment Return
Total investment return		26.27	%		(30.53	)%		3.14	%		15.62	%		8.13	%
Ratios to Average Net Assets
Total expenses1		0.56	%		0.55	%		0.57	%		0.57	%		0.60	%
Total expenses after expense reductions1		0.20	%		0.21	%		0.23	%		0.24	%		0.26	%
Net investment income2		2.97	%		2.82	%		2.57	%		2.49	%		2.22	%
Supplemental Data
Net assets, end of year (000)	$	1,433,256		$	952,181		$	1,393,178		$	988,640		$	676,745
Portfolio turnover		7	%		13	%		7	%		22	%		24	%
	LifePath 2040 Master Portfolio
	Year Ended December 31,
	2009			2008			2007			2006			2005
Total Investment Return
Total investment return		28.58	%		(34.90	)%		2.53	%		17.47	%		8.74	%
Ratios to Average Net Assets
Total expenses1		0.55	%		0.53	%		0.56	%		0.56	%		0.59	%
Total expenses after expense reductions1		0.18	%		0.19	%		0.22	%		0.23	%		0.26	%
Net investment income2		2.82	%		2.52	%		2.20	%		2.17	%		1.96	%
Supplemental Data
Net assets, end of year (000)	$	1,133,675		$	720,539		$	1,022,941		$	708,267		$	435,930
Portfolio turnover		6	%		14	%		8	%		29	%		38	%

1 Includes the LifePath Master Portfolio’s pro rata portion of net advisory and net administration fees from the Active Stock and CoreAlpha Bond Master Portfolios only and does not reflect any expenses incurred indirectly as a result of investments in the BlackRock Cash Funds: Institutional and iShares exchange-traded funds.

2 Includes the LifePath Master Portfolio’s share of the allocated net investment income (loss) from the Active Stock and CoreAlpha Bond Master Portfolios.

See Notes to Financial Statements.

70 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) Master Investment Portfolio

	LifePath 2050 Master Portfolio
	Year Ended December 31, 2009			Period June 30, 20081 to December 31, 2008
Total Investment Return
Total investment return		30.85	%		(31.93	)%2
Ratios to Average Net Assets
Total expenses3		0.59	%		1.11	%4
Total expenses after expense reductions3		0.16	%		0.17	%4
Net investment income5		2.84	%		3.05	%4
Supplemental Data
Net assets, end of period (000)	$	40,164		$	6,895
Portfolio turnover		12	%		0	%6

1 Commencement of operations.

2 Not annualized.

3 Includes the LifePath Master Portfolio’s pro rata portion of net advisory and net administration fees from the Active Stock and CoreAlpha Bond Master Portfolios only and does not reflect any expenses incurred indirectly as a result of investments in the BlackRock Cash Funds: Institutional and iShares exchange-traded funds.

4 Annualized.

5 Includes the LifePath Master Portfolio’s share of the allocated net investment income (loss) from the Active Stock and CoreAlpha Bond Master Portfolios.

6 Rounds to less than 1%.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 71

Financial Highlights (concluded) Master Investment Portfolio

	Active Stock Master Portfolio
	Year Ended December 31,
	2009			2008			2007			2006			2005
Total Investment Return
Total investment return		24.86	%		(36.65	)%		0.58	%		15.65	%		8.79	%
Ratios to Average Net Assets
Total expenses		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%
Total expenses after expense reductions		0.30	%		0.32	%		0.34	%		0.35	%		0.35	%
Net investment income		1.99	%		1.96	%		1.70	%		1.64	%		1.50	%
Supplemental Data
Net assets, end of year (000)	$	1,838,453		$	1,250,987		$	2,085,214		$	1,561,940		$	1,188,212
Portfolio turnover		149	%		98	%		80	%		65	%		54	%
	CoreAlpha Bond Master Portfolio
	Year Ended December 31,
	2009			2008			2007			2006			2005
Total Investment Return
Total investment return		11.67	%		3.62	%		5.10	%		4.36	%		1.98	%
Ratios to Average Net Assets
Total expenses		0.35	%		0.36	%		0.36	%		0.36	%		0.35	%
Total expenses after expense reductions		0.35	%		0.36	%		0.35	%		0.35	%		0.35	%
Net investment income		4.33	%		4.47	%		5.18	%		5.11	%		4.19	%
Supplemental Data
Net assets, end of year (000)	$	1,633,960		$	1,115,903		$	1,479,888		$	1,082,468		$	1,085,582
Portfolio turnover1		278	%2		351	%		466	%		301	%		270	%

1 Includes TBA transactions.

2 Excluding TBA transactions, the portfolio turnover rate would have been 199%.

See Notes to Financial Statements.

72 ANNUAL REPORT DECEMBER 31, 2009

Notes to Financial Statements Master Investment Portfolio

1. Organization and Significant Accounting Policies:

Master Investment Portfolio (“MIP”) is a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The financial statements and these accompanying notes relate to seven series of MIP: LifePath Retirement Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio, LifePath 2050 Master Portfolio, Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio (each, a “Master Portfolio” and collectively, The “Master Portfolios”). The Master Portfolios’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require the use of management accruals and estimates. Actual results may differ from these estimates.

Each of the 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 collectively, The “LifePath Master Portfolios”) seeks to achieve its investment objective by investing in a combination of equity securities, bond and money market funds (the “Underlying Funds”) in proportions suggested by its own comprehensive investment strategy. The Underlying Funds are advised by BlackRock Fund Advisors (“BFA”), and include the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio, the BlackRock Cash Funds: Institutional and iShares exchange-traded funds.

LifePath Master Portfolio Reorganization: On November 20, 2009, the LifePath Retirement Master Portfolio acquired all of the assets and liabilities of the LifePath 2010 Master Portfolio. The reorganization was pursuant to an Agreement and Plan of Reorganization, which was approved by the MIP Board of Trustees (the “Board”) on May 20, 2009. As a result of the tax-free reorganization, which included $52,522,637 of net unrealized appreciation, the LifePath Retirement Master Portfolio received an in-kind contribution of portfolio securities.

Assuming the acquisition had been completed on January 1, 2009, the beginning of the annual reporting period of the LifePath Retirement Master Portfolio, the pro forma results of operations for the year ended December 31, 2009, are as follows:

• Net investment income: $17,932,704

• Net loss on investments: $(38,391,835)

• Net decrease in net assets resulting from operations: $(20,459,131)

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of LifePath 2010 Master Portfolio that have been included in LifePath Retirement Master Portfolio’s Statement of Operations since November 20, 2009.

The following is a summary of significant accounting policies followed by the Master Portfolios:

Valuation of Investments: Equity securities traded on a recognized securities exchange (e.g., NYSE), separate trading boards of a securities exchange or through a market system that provides transactional pricing information are valued via independent pricing services generally at the exchange closing price. If an exchange closing price is not available, the last traded price for that day is used. If an equity security is traded on more than one exchange, the current market value of the security where it is primarily traded will be used. In the event there are no sales on the day of valuation, the last bid price, if available, will be used as the value of the security.

Fixed income securities for which market quotations are readily available are generally valued using such securities’ most recent bid prices provided directly from one or more broker-dealers, market makers, or independent third-party pricing services which may use matrix pricing and valuation models to derive values, each in accordance with valuation procedures approved by the Board. Certain fixed income investments including asset-backed and mortgage-related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of such security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Fixed income securities for which market quotations are not readily available may be valued by third-party pricing services that make a valuation determination by securing transaction data, credit quality information, perceived market movements, news and other relevant information and by other methods. Short-term securities with 60 days or less remaining to maturity may be valued at amortized cost, which approximates fair value.

Financial futures contracts traded on exchanges are valued at their last sale price or settle price as of the close of such exchanges. Swap agreements and other derivatives are generally valued daily based upon quotations from market makers or by a pricing service.

Shares of open-end investment companies are valued at net asset value. Shares of exchange-traded funds are valued at their most recent closing price on the exchange on which they are primarily traded.

When market quotations are not readily available or are believed by BFA to be unreliable, an investment is fair valued (“Fair Value Asset”) in accordance with the procedures approved by the Board. When determining the price for a Fair Value Asset, BFA seeks to determine the price that the Master Portfolio might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations are based upon all available factors that the investment advisor deems relevant at the time of determination. The pricing of Fair Value Assets is subsequently reported to the Board.

ANNUAL REPORT DECEMBER 31, 2009 73

Notes to Financial Statements (continued) Master Investment Portfolio

The value of a LifePath Master Portfolio’s investment in each of the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio reflects that LifePath Master Portfolio’s proportionate interest in the net assets of that Master Portfolio. As of December 31, 2009, the interests of the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio held by each LifePath Master Portfolio were as follows:

	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
LifePath Retirement Master Portfolio	12.02	%	37.19	%
LifePath 2020 Master Portfolio	29.56	%	36.88	%
LifePath 2030 Master Portfolio	29.77	%	18.53	%
LifePath 2040 Master Portfolio	27.56	%	7.38	%
LifePath 2050 Master Portfolio	1.09	%	0.02	%

Asset-Backed and Mortgage-Backed Securities: The CoreAlpha Bond Master Portfolio may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interest in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally 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 of 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 subject to such a prepayment feature will have the effect of shortening the maturity of the security. 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.

The CoreAlpha Bond Master Portfolio may purchase in the secondary market certain mortgage pass-through securities. 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 the Government National Mortgage Association (“GNMA”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by the Federal Home Loan Mortgage Corporation (“FHLMC”) and Federal National Mortgage Association (“FNMA”), including FNMA guaranteed Mortgage Pass-Through Certificates which are solely the obligations of the FNMA, are not backed by or entitled to the full faith and credit of the United States and are supported by the right of the issuer to borrow from the Treasury.

The CoreAlpha Bond 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. Please see the Schedule of Investments for these securities. 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.

Multiple Class Pass-Through Securities: The CoreAlpha Bond Master Portfolio may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by GNMA, U.S. government agencies or instrumentalities or by trusts formed by private obligators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”) and principal only (“POs”). IOs and POs are stripped mortgage-back securities representing interests in a pool of mortgages, the cash flow from which have been separated into interest and principal components. 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. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Master Portfolio may not fully recoup its initial investment in IOs.

Capital Trusts: These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Interest can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities can have a rating that is slightly below that of the issuing company’s senior debt securities.

TBA Dollar Rolls: The CoreAlpha Bond Master Portfolio may purchase mortgage pass-through securities on a to-be-announced (“TBA”) basis, with payment and delivery scheduled for a future date. The Master Portfolio may enter into a TBA agreement, sell the obligation to purchase the pools stipulated in the TBA agreement prior to the

74 ANNUAL REPORT DECEMBER 31, 2009

Notes to Financial Statements (continued) Master Investment Portfolio

stipulated settlement date and enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities (a “TBA roll”). The Master Portfolio accounts for TBA rolls as purchases and sales and realized gains and losses on these transactions. The Master Portfolio’s use of TBA rolls may cause the Master Portfolio to experience higher portfolio turnover and higher transaction costs. TBA 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.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Master Portfolios segregate assets in connection with certain investments (e.g., dollar rolls, TBAs beyond normal settlement, swaps and financial futures contracts) or certain borrowings (e.g., reverse repurchase agreements), the Master Portfolios will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or other liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver or deposit securities as collateral for certain investments.

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 dates. Interest income is recognized on the accrual basis. The Master Portfolios amortize all premiums and discounts on debt securities.

Each LifePath Master Portfolio records daily its proportionate share of the Active Stock Master Portfolio’s and CoreAlpha Bond Master Portfolio’s income, expenses and realized and unrealized gains and losses.

Securities Lending: The Master Portfolios may lend securities to financial institutions that provide cash as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined daily and any additional required collateral is delivered to the Master Portfolios. The Master Portfolios typically receive income on loaned securities but do not receive income on the collateral. The Master Portfolios may invest the cash collateral and retain the income earned from the investment of the cash collateral, net of any amount rebated to the borrower and fees paid to the securities lending agent. 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. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Master Portfolios could experience delays and costs in gaining access to the collateral. The Master Portfolios also could suffer a loss if the value of an investment purchased with the cash collateral falls below the value of the original cash collateral received.

Income Taxes: Each Master Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Master Portfolio is treated as owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no federal income tax provision is required. However, each interestholder in such a Master Portfolio will be taxed on its distributive share of the Master Portfolio’s taxable income in determining its federal income tax liability. It is intended that each 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. Under any applicable foreign tax laws, a withholding tax may be imposed on the interest, dividends and capital gains at various rates.

Each Master Portfolio files U.S. federal and state tax returns. No income tax returns are currently under examination. The statute of limitations on each Master Portfolio’s U.S. federal tax returns remains open for the years ended December 31, 2006 through December 31, 2009.

Recent Accounting Standards: In June 2009, amended guidance was issued by the Financial Accounting Standards Board (“FASB”) for transfers of financial assets. This guidance is intended to improve the relevance, representational faithfulness and comparability of the information that a reporting entity provides in its financial statements about a transfer of financial assets; the effects of a transfer on its financial position, financial performance, and cash flows; and a transferor’s continuing involvement, if any, in transferred financial assets. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after November 15, 2009. Earlier application is prohibited. The recognition and measurement provisions of this guidance must be applied to transfers occurring on or after the effective date. Additionally, the enhanced disclosure provisions of the amended guidance should be applied to transfers that occurred both before and after the effective date of this guidance. The impact of this guidance on the Master Portfolios’ financial statements and disclosures, if any, is currently being assessed.

In January 2010, the FASB issued amended guidance for improving disclosure about fair value measurements that adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using

ANNUAL REPORT DECEMBER 31, 2009 75

Notes to Financial Statements (continued) Master Investment Portfolio

significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. The impact of this guidance on the Master Portfolios’ financial statements and disclosures, if any, is currently being assessed.

Other: Expenses directly related to a Master Portfolio are charged to that Master Portfolio. Other operating expenses shared by several master portfolios are pro-rated among those master portfolios on the basis of relative net assets or other appropriate methods.

2. Derivative Financial Instruments:

The Master Portfolios may engage in various portfolio strategies both to increase the returns of the Master Portfolios and to economically hedge, or protect, their exposure to certain risks such as credit risk and interest rate risk. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying instrument or if the counterparty does not perform under the contract. To the extent amounts due to a Master Portfolio from its counterparty are not fully collateralized contractually or otherwise, the Master Portfolio bears the risk of loss from counterparty non-performance. The Master Portfolio’s maximum risk of loss from counterparty credit risk on over-the-counter derivatives is generally the aggregated unrealized gain in excess of any collateral pledge by the counterparty to the Master Portfolio. Counterparty risk related to exchange-traded financial futures contracts is minimal because of protection against defaults provided by the exchange on which they trade.

Financial Futures Contracts: The Master Portfolios may purchase or sell financial futures contracts to gain exposure to, or economically hedge against changes in the value of interest rates (interest rate risk) or equity prices (equity price risk). Financial futures contracts are contracts for delayed delivery of securities at a specific future date and at a specific price or yield. 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 the value of the contract. Such receipts or payments are known as margin variation and are recognized by the Master Portfolio as unrealized gains or losses. When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of the financial futures contracts, interest rates and the underlying assets.

Swaps: The CoreAlpha Bond Master Portfolio may enter into swap agreements, in which the Master Portfolio and a counterparty agree to make periodic net payments on a specified notional amount. These periodic payments received or made by the Master Portfolio are recorded in the Statement of Operations as realized gains or losses, respectively. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Master Portfolio will record a realized gain or loss 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. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized on 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 value associated with these transactions.

• Credit default swaps — The Master Portfolio may enter 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 to which it is not otherwise exposed (credit risk). The Master Portfolio enters into credit default agreements to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Master Portfolio may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign) or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Master Portfolio will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising of an index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the securities or underlying securities comprising of an 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 of an 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 of an index.

76 ANNUAL REPORT DECEMBER 31, 2009

Notes to Financial Statements (continued) Master Investment Portfolio

• Interest rate swaps — The Master Portfolio may enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time.

Derivative Instruments categorized by Risk Exposure:

Value of Derivative Instruments as of December 31, 2009

	Asset Derivatives			Liability Derivatives
	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Active Stock Master Portfolio
Equity contracts*	Margin variation receivable		—	Margin variation payable	$	397,999
CoreAlpha Bond Master Portfolio
Interest rate contracts*	Margin variation receivable		—	Margin variation payable	$	419,385
Credit contracts	Credit default swaps at fair value	$	536,144	Credit default swaps at fair value		737,862
Total		$	536,144		$	1,157,247

* Includes cumulative appreciation/depreciation of financial futures contracts as reported in Schedule of Investments. Only current day’s margin variation is reported within the Statement of Assets and Liabilities.

The Effect of Derivative Instruments on the Statement of Operations

Year Ended December 31, 2009

	Net Realized Gain (Loss) From
	Financial Futures Contracts			Swaps			Total
Active Stock Master Portfolio
Equity contracts	$	8,773,230			—		$	8,773,230
CoreAlpha Bond Master Portfolio
Interest rate contracts	$	(1,665,666	)	$	12,181,675		$	10,516,009
Credit contracts		—			3,537,400			3,537,400
Total	$	(1,665,666	)	$	15,719,075		$	14,053,409
	Net change in Unrealized Appreciation/Depreciation on
	Financial Futures Contracts			Swaps			Total
Active Stock Master Portfolio
Equity contracts	$	(146,225	)		—		$	(146,225	)
CoreAlpha Bond Master Portfolio
Interest rate contracts	$	(3,721,306	)	$	(10,980,249	)	$	(14,701,555	)
Credit contracts		—			(2,691,954	)		(2,691,954	)
Total	$	(3,721,306	)	$	(13,672,203	)	$	(17,393,509	)

ANNUAL REPORT DECEMBER 31, 2009 77

Notes to Financial Statements (continued) Master Investment Portfolio

For the year ended December 31, 2009, the average derivative activity, which is indicative of the year’s activity, was as follows:

	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
Futures:
Average contracts		633		3,230
Average notional value	$	30,705,474	$	420,590,397
Credit default swaps:
Average positions		—		9
Average notional value		—	$	93,992,315
Interest rate swaps:
Average positions		—		2
Average notional value		—	$	50,000,000

3. Investment Advisory Agreement and Other Transactions with Affiliates:

On December 1, 2009, Barclays PLC (“Barclays”) completed the sale of its interest in Barclays Global Investors, N.A. (“BGI”) and affiliated companies to BlackRock, Inc. (“BlackRock”) (the “Transaction”). BGI was renamed BlackRock Institutional Trust Company, N.A. (“BTC”) and is a wholly-owned subsidiary of BlackRock.

The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays are the largest stockholders of BlackRock. Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but BAC and Barclays are not.

Under the 1940 Act and upon completion of the Transaction on December 1, 2009, MIP’s investment advisory agreement with Barclays Global Fund Advisors (“BGFA”) was automatically terminated. The Board and investors of the Master Portfolios approved a new investment advisory agreement with BFA (formerly BGFA). The investment advisory fee rate for each Master Portfolio remained the same after the Transaction.

Pursuant to the investment advisory agreement with MIP, BFA is responsible for the management of each Master Portfolio’s investments and provides the necessary personnel, facilities and equipment to provide such services to the Master Portfolios. BFA is entitled to receive an annual investment advisory fee of 0.35% of the average daily net assets of each of the LifePath Master Portfolios and 0.25% of the average daily net assets of each of the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio, as compensation for investment advisory services.

The fees and expenses of the Master Portfolios’ 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 Master Portfolios.

BFA has contractually agreed to waive investment advisory fees charged to the LifePath Master Portfolios in an amount equal to advisory fees and administration fees, if any, charged to the Underlying Funds in which they invest. BFA has also contractually agreed to cap the expenses of the LifePath Master Portfolios at the rate at which the LifePath Master Portfolios pay an advisory fee to BFA by providing 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/credits are effective through December 1, 2011. The amounts of the waivers and offsetting credits are shown as expense reductions in the Statements of Operations.

MIP has entered into an administration services arrangement with BTC, which has agreed to provide general administration services. BTC may delegate certain of its administration duties to sub-administrators.

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

BTC is entitled to receive a monthly fee for administration services from the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio at an annual rate of 0.10% of their respective average daily net assets. BFA has agreed to bear all costs of each of these Master Portfolios, excluding generally, investment advisory fees, administration fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by each of these Master Portfolios.

With respect to the independent expenses discussed above, BTC has contractually agreed to provide an offsetting credit against the administration fees paid by the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio in an amount equal to the independent expenses, through December 1, 2011. BTC has also voluntarily waived a portion of its administration fees paid by the Active Stock Master Portfolio in an amount sufficient to maintain the advisory fees payable by each of the LifePath Master Portfolios at an annual rate of 0.35% of the average daily net assets. This arrangement is voluntary and may be terminated by BTC at any time. The amounts of the waiver and offsetting credits are shown as expense reductions in the Statements of Operations.

78 ANNUAL REPORT DECEMBER 31, 2009

Notes to Financial Statements (concluded) Master Investment Portfolio

Pursuant to an exemptive order issued by the SEC, each Master Portfolio has retained BTC as the securities lending agent for a fee based on a share of the net returns on the investment of cash collateral. BTC may, on behalf of a Master Portfolio, invest cash collateral received by the Master Portfolio for such loan, among other things, in a private investment company managed by BTC or its registered money market funds advised by BTC or its affiliates. BTC has voluntarily agreed to waive its fees for the period from December 1, 2009 through June 1, 2010. For the period from December 1, 2009 through December 31, 2009, BTC’s share of the securities lending income was earned by the Master Portfolios. The share of the income earned by the Master Portfolios is shown as securities lending — affiliated on the Statements of Operations. For the years ended December 31, 2009 and 2008, BTC received the following amounts in securities lending agent fees:

	LifePath Retirement Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio
2009	$	41,751	$	258,879	$	234,833
2008	$	135,628	$	1,017,245	$	879,025
			LifePath 2040 Master Portfolio		LifePath 2050 Master Portfolio
2009			$	214,443	$	2,793
2008			$	755,421	$	354
			Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
2009			$	1,053,764	$	88,633
2008			$	782,395	$	531,636

Each Master Portfolio may invest its positive cash balances in certain money market funds managed by BFA or an affiliate. The income earned on these temporary cash investments is included in income — affiliated in the Statements of Operations.

Cross trades for the year ended December 31, 2009, if any, were executed by the Master Portfolios pursuant to Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds to which BFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter for compliance with the requirements and restrictions set forth by Rule 17a-7.

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

4. Investments:

For the year ended December 31, 2009, purchases and sales of investments including paydowns, mortgage dollar rolls and TBA transactions and excluding short-term securities and U.S. government securities, were as follows:

	Purchases		Sales
LifePath Retirement Master Portfolio	$	27,316,209	$	25,314,992
LifePath 2020 Master Portfolio	$	121,390,347	$	89,634,833
LifePath 2030 Master Portfolio	$	118,370,903	$	74,001,381
LifePath 2040 Master Portfolio	$	100,539,721	$	48,154,256
LifePath 2050 Master Portfolio	$	15,224,857	$	2,358,203
Active Stock Master Portfolio	$	2,343,168,358	$	2,116,815,256
CoreAlpha Bond Master Portfolio	$	1,840,008,104	$	1,558,754,251

For the year ended December 31, 2009, purchases and sales of U.S. government securities for the CoreAlpha Bond Master Portfolio were $2,029,649,700 and $2,079,154,653, respectively.

5. Market and Credit Risk:

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 of a security to meet all of its obligations (credit risk). The value of securities held by the Master Portfolios may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Master Portfolios; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency, interest rate and price fluctuations. Similar to credit risk, the Master Portfolios may be exposed to counterparty risk, or the risk that an entity with which the Master Portfolios have unsettled or open transactions may default. Financial assets, which potentially expose the Master Portfolios to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Master Portfolios’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their value recorded in the Master Portfolios’ Statements of Assets and Liabilities.

6. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Master Portfolios through February 24, 2010, the date the financial statements were issued, and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

ANNUAL REPORT DECEMBER 31, 2009 79

Report of Independent Registered Public Accounting Firm Master Investment Portfolio

To the Interestholders and Board of Trustees of Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the LifePath Retirement Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio, LifePath 2050 Master Portfolio, Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2009, the results of each of their operations and the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2009 by correspondence with the custodian, brokers and transfer agent, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 24, 2010

80 ANNUAL REPORT DECEMBER 31, 2009

Proxy Results

A Special Meeting of Interestholders was held on November 20, 2009 for investors of record on September 30, 2009, to elect a Board of Trustees of MIP and to approve a new investment advisory agreement between BFA and MIP, on behalf of each Master Portfolio. Each vote represents one dollar of value of interests outstanding on the record date.

Approved the Trustees* as follows:

	Votes For	Votes Withheld
David O. Beim	38,494,117,194	21,217,012
Richard S. Davis	38,494,578,433	20,755,773
Ronald W. Forbes	38,493,655,954	21,678,251
Henry Gabbay	38,493,655,954	21,678,251
Dr. Matina Horner	38,494,117,194	21,217,012
Rodney D. Johnson	38,494,578,433	20,755,773
Herbert I. London	38,493,655,954	21,678,251
Cynthia A. Montgomery	38,490,888,518	24,445,688
Joseph P. Platt, Jr	38,493,655,954	21,678,251
Robert C. Robb, Jr	38,494,578,433	20,755,773
Toby Rosenblatt	38,495,039,672	20,294,533
Kenneth L. Urish	38,494,578,433	20,755,773
Frederick W. Winter	38,493,655,954	21,678,251

Approved the new investment advisory agreement as follows:

	Votes For	Votes Against	Votes Abstaining	Broker Non-Votes**
LifePath Retirement Master Portfolio	127,092,549	361,523	3,505,990	22,916,859
LifePath 2010 Master Portfolio	391,056,518	1,085,887	6,326,245	52,630,546
LifePath 2020 Master Portfolio	697,817,034	2,723,803	32,492,643	92,528,290
LifePath 2030 Master Portfolio	599,901,127	3,070,837	8,744,525	28,037,261
LifePath 2040 Master Portfolio	457,785,756	1,929,031	5,031,947	50,240,457
LifePath 2050 Master Portfolio	15,856,184	—	117,968	88,792
Active Stock Master Portfolio	749,509,247	3,122,938	17,334,678	75,896,788
CoreAlpha Bond Master Portfolio	673,756,798	2,500,901	18,342,098	81,030,904

* Denotes MIP-wide proposal and voting results.

** Broker non-votes are proxies received by the Master Portfolio from brokers or nominees who did not receive instructions from the beneficial owner or other persons entitled to vote and who have no discretionary power to vote on a particular matter. Broker non-votes have the effect of a vote against the proposal.

ANNUAL REPORT DECEMBER 31, 2009 81

Disclosure of Investment Advisory Agreement

On December 1, 2009, BlackRock, Inc. (“BlackRock”) completed a transaction whereby it acquired from Barclays Bank PLC (“Barclays”) the interests in BlackRock Fund Advisors (“BFA”), formerly known as Barclays Global Fund Advisors, and certain affiliated companies, including BlackRock Institutional Trust Company, N.A. (“BTC”), formerly known as Barclays Global Investors, N.A. (the “Transaction”).

Prior to the Transaction, BFA served as the investment advisor to each Master Portfolio pursuant to an investment advisory agreement with MIP (the “Previous Advisory Agreement”). Under the 1940 Act, the Transaction resulted in the automatic termination of the Previous Advisory Agreement. In order for the management of each Master Portfolio to continue uninterrupted, the Board of Trustees of MIP (the “Board”) approved interim and new investment advisory agreements (the “New Advisory Agreement”) with MIP, the latter of which was subsequently approved by each Master Portfolio’s investors.

Board Considerations In Approving the New Advisory Agreement

At the in-person meeting held on September 3, 2009, after consideration of the factors discussed below, the Board of Trustees of MIP, including a majority of the Independent Trustees, unanimously approved the New Advisory Agreement between BFA and MIP, on behalf of the Master Portfolios after consideration of all factors determined to be relevant to the Board’s deliberations, including those discussed below.

The Approval Process At in-person meetings held on July 30, August 11 and September 3, 2009, the Board, including the Independent Trustees, discussed the Transaction and the New Advisory Agreement for MIP.

In preparation for their consideration of the New Advisory Agreement, the Trustees received, in response to a written due diligence request prepared by the Board and its independent legal counsel and provided to BlackRock, BTC and BFA, comprehensive written information covering a range of issues and received, in response to their additional requests, further information in advance of and at the September 3, 2009 in-person Board meeting. To assist the Board in its consideration of the New Advisory Agreement, BlackRock provided materials and information about itself, including its history, management, investment, risk management and compliance capabilities and processes, and financial condition and BFA provided materials and information about the Transaction. In addition, the Independent Trustees consulted with their independent legal counsel and fund counsel on numerous occasions, discussing, among other things, the legal standards and certain other considerations relevant to the Board’s deliberations.

In considering the New Advisory Agreement, the Board, including the Independent Trustees, took into account, as it deemed relevant, the fact that on March 18-19, 2009, it had performed a full annual review of the Previous Advisory Agreement. At that time, the Board unanimously approved the selection of BFA and the continuance of the Previous Advisory Agreement based on its review of qualitative and quantitative information provided by BFA. In selecting BFA and approving the Previous Advisory Agreement for the Master Portfolios, the Board, including the Independent Trustees, advised by their independent legal counsel, considered the nature, extent and quality of services provided by BFA, the Master Portfolios’ expenses and performance, costs of services provided to the Master Portfolios and profits realized by BFA and its affiliates, economies of scale, fees and services provided for other comparable funds or accounts by BFA and its affiliates and other benefits to BFA and/or its affiliates.

At the July, August and September 2009 Board meetings, the Trustees discussed with representatives of BTC, BFA and/or BlackRock the management, investment, risk management and compliance capabilities and processes, and financial condition of BlackRock, the Transaction and its rationale, and BlackRock’s general plans and intentions regarding BFA and the Master Portfolios. At these Board meetings, representatives of BTC, BFA and/or BlackRock made various presentations to, and responded to questions from, the Board. The Board also inquired about the plans for, and anticipated roles and responsibilities of, the employees and officers of BFA in connection with the Transaction, including the anticipated senior management structure of BFA and portfolio management personnel for the Master Portfolios following the completion of the Transaction. The Independent Trustees also conferred separately and with their independent legal counsel about the Transaction and other matters related to the Transaction on a number of occasions. After the presentations and after reviewing the written materials provided, the Independent Trustees met in executive sessions with their independent legal counsel at the July, August and September 2009 Board meetings to consider the Transaction, its expected impact on BFA, the Master Portfolios and their investors, and the New Advisory Agreement.

In connection with the Board’s review of the New Advisory Agreement, BTC, BFA and/or BlackRock, as applicable, provided the Board with information about a variety of matters. The Board considered, among other things, the following information:

• that BFA and BlackRock have no present intention to alter the advisory fee rates and expense arrangements currently in effect for the Master Portfolios for a period of two years from the date of the closing of the Transaction;

• the reputation, financial strength and resources of BlackRock and its investment advisory subsidiaries and the anticipated financial strength and resources of the combined company;

• that the Master Portfolios may benefit from having direct access to BlackRock’s technology and risk management analytic tools, including investment tools, provided under the BlackRock Solutions^® brand name;

82 ANNUAL REPORT DECEMBER 31, 2009

Disclosure of Investment Advisory Agreement (continued)

• that the Master Portfolios will have access to greater distribution resources through BlackRock’s relationships with third party brokers and retirement plan platforms;

• that there is not expected to be any diminution in the nature, quality and extent of services provided to the Master Portfolios and their investors by BFA, including portfolio management and compliance services;

• that it is expected that substantially all of the current employees of BFA will remain employees of BFA and will continue to provide services to the Master Portfolios following the Transaction;

• that BlackRock has agreed to conduct its business after the closing of the Transaction in compliance with the conditions of Section 15(f) of the 1940 Act in relation to the Master Portfolios which, among other requirements, requires that no “unfair burden” be imposed for a period of two years following the closing;

• that Barclays or one of its affiliates has agreed to pay: (i) all costs of the Master Portfolios in connection with the consideration by the Board of the New Advisory Agreement; and (ii) all costs of seeking approval of the New Advisory Agreement by Master Portfolio investors; and

• that Barclays and BlackRock would derive benefits from the Transaction and that, as a result, they may have a different financial interest in the matters that were being considered than do Master Portfolio investors.

In approving BFA as adviser, approving the New Advisory Agreement for the Master Portfolios and recommending that investors approve the New Advisory Agreement, the Board, including the Independent Trustees, advised by its independent legal counsel, considered the information provided and the factors described below and reached the conclusions described herein. The Board did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors discussed below.

The Nature, Extent and Quality of Services to be Provided by BFA and Its Affiliates The Board noted that the terms of the New Advisory Agreement will be substantially identical to the Previous Advisory Agreement and considered representations by BFA, BTC and BlackRock that there would be no diminution in the scope of services provided by BFA under the New Advisory Agreement as compared to the scope of services provided by BFA under the Previous Advisory Agreement. The Board took into account the breadth of Barclays’ and BlackRock’s combined asset management experience and the range of their asset management services. The Board also noted the depth and investment experience of the portfolio management staff and considered further representations by BFA, BTC and BlackRock that members of the previous portfolio management teams for the Master Portfolios (or BlackRock professionals with similar experience) are expected to be involved with the daily management of the Master Portfolios after the Transaction. The Board also considered BFA’s and BlackRock’s compliance programs and their compliance resources. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board and has made appropriate officers available as needed to provide further assistance with these matters, and that it is expected that these reports and discussions will continue following the consummation of the Transaction.

The Board noted the representations of BFA, BTC and BlackRock that the Transaction was not expected to have any adverse effect on the resources and strengths of BFA in managing the Master Portfolios. The Board also considered that the Master Portfolios and their investors may benefit from having direct access to BlackRock’s technology and risk management analytic tools, including the investment tools provided under the BlackRock Solutions» brand name. The Board discussed BlackRock’s current financial condition, its anticipated financial condition following the completion of the Transaction, its lines of business and its liquidity and credit resources. The Board discussed BlackRock’s current ownership structure and expected ownership structure following the completion of the Transaction. The Board was advised that BlackRock operates as an independent firm, with a Board of Directors, a majority of whom are independent, and no majority shareholder. The Board was also advised that while BlackRock’s largest shareholders, Merrill Lynch, a wholly owned subsidiary of Bank of America, and PNC are important clients and strategic partners of BlackRock, they are not involved in the firm’s day-to-day management or operations.

Based on the discussions held and the materials presented at the July, August and September 2009 Board meetings, the Board determined that the Transaction would not likely cause an adverse change in the nature, extent and quality of the services to be provided by BFA under the New Advisory Agreement compared with the services provided by BFA under the Previous Advisory Agreement and that the Board expected that the quality of such services will continue to be appropriate.

Master Portfolios’ Expenses and Performance of the Portfolios The Board took into account that the fee rates for each Master Portfolio under the New Advisory Agreement are identical to the fee rates under the respective Previous Investment Advisory Agreement. Further, the Board noted that representatives of BFA and BlackRock had confirmed that there is no present intention to alter the advisory fee rates, expense waivers or expense reimbursement arrangements currently in effect for the Master Portfolios for a period of two years. BFA advised that, in connection with the Transaction, it will enter into contractual

ANNUAL REPORT DECEMBER 31, 2009 83

Disclosure of Investment Advisory Agreement (concluded)

advisory fee waivers for each Master Portfolio previously subject to such a waiver on the same terms as the previous contractual advisory fee waivers, all of which would otherwise terminate at the closing of the Transaction. In addition, the rates at which the administration fees are to be paid by the Master Portfolios will not change as a result of the Transaction, nor will there be any other change in the expense structures.

The Board considered BFA’s substantial investment advisory experience and capabilities, as well as the possibility of additional resources and support from BlackRock following the completion of the Transaction, but noted that the effect, if any, the consummation of the Transaction would have on the future performance of the Master Portfolios could not be predicted.

Costs of Services Provided to the Master Portfolios and Profits Realized by BFA and Its Affiliates In evaluating the costs of the services to be provided by BFA under the New Advisory Agreement, the Board considered, among other things, whether advisory fee rates or other expenses would change as a result of the Transaction. The Board noted that the New Advisory Agreement is substantially identical to the Previous Advisory Agreement, including the fact that the fee rates under the agreements are identical and that representatives of BFA and BlackRock represented that there is no present intention due to the Transaction to alter the advisory fee rates, expense waivers or expense reimbursement arrangements currently in effect as described above. It was noted that it was not possible to predict how the Transaction would affect BFA’s profitability from its relationship with the Master Portfolios. BFA, BlackRock and the Board discussed how profitability is expected to be calculated and presented to the Board following the Transaction, and the Board reviewed BlackRock’s 2008 profitability methodology with respect to its registered investment companies. The Board also received a presentation from BlackRock comparing the methodologies currently used by BlackRock and BFA to calculate investment company profitability and a comparison of each Master Portfolio’s 2007 and 2008 profitability to BFA to the profitability to BlackRock in 2007 and 2008 of similarly managed investment companies.

Economies of Scale The Board noted that the Previous Advisory Agreement and the New Advisory Agreement do not provide any breakpoints in the investment advisory fee rates as a result of any increases in the asset levels of the Master Portfolios. However, the Board noted that the investment advisory fee rates for the Master Portfolios had been set initially at the lower end of the marketplace so as to afford the Master Portfolios’ investors the opportunity to share in anticipated economies of scale from inception.

The Board noted representations from BlackRock that it will continue to make significant investments in the infrastructure supporting the Master Portfolios. The Board determined that changes to the fee structure were not currently necessary. It was noted that it was not possible to evaluate how the Transaction would create opportunities for additional economies of scale.

Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and Its Affiliates In March 2009, the Board had considered the Master Portfolios’ advisory fee rates under the Previous Advisory Agreement (which are the same as the advisory fees rates under the New Advisory Agreement) in comparison to the investment advisory/management fee rates for other accounts. The Board noted that any differences between the investment advisory fee rates for the Master Portfolios and the investment advisory/management fee rates for the other accounts appeared to be attributable to, among other things, the type and level of services provided and/or the asset levels of the other accounts and determined that the investment advisory fee rates do not constitute fees that are so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded that the advisory fee rates are fair and reasonable.

Other Benefits to BFA and/or Its Affiliates In March 2009, the Board had reviewed any ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Master Portfolios by BFA and concluded that any ancillary benefits would not be disadvantageous to the Master Portfolios’ investors. Any fall-out or ancillary benefits as a result of the Transaction were difficult to quantify with certainty, and the Board expected that they will continue to be evaluated going forward.

Conclusions The Board examined the totality of the information it was provided at the July, August and September 2009 Board meetings, and information it received at other meetings held during the past year, and did not identify any single factor discussed previously as controlling. Based on this analysis, the Board determined that the New Advisory Agreement, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Master Portfolios and their investors to unanimously approve the New Advisory Agreement.

84 ANNUAL REPORT DECEMBER 31, 2009

Officers and Trustees

Name, Address and Year of Birth	Position(s) Held with Trust/MIP	Length of Time Served as a Trustee2	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Non-Interested Trustees1
Ronald W. Forbes 55 East 52nd Street New York, NY 10055 1940	Co-Chair of the Board and Trustee	Since 2009	Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000	36 RICs consisting of 106 Portfolios	None
Rodney D. Johnson 55 East 52nd Street New York, NY 10055 1941	Co-Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. since 1987; Director, Fox Chase Cancer Center since 2004; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006	36 RICs consisting of 106 Portfolios	None
David O. Beim 55 East 52nd Street New York, NY 10055 1940	Trustee	Since 2009	Professor of Finance and Economics at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006	36 RICs consisting of 106 Portfolios	None
Dr. Matina Horner 55 East 52nd Street New York, NY 10055 1939	Trustee	Since 2009	Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003	36 RICs consisting of 106 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 55 East 52nd Street New York, NY 10055 1939	Trustee and Member of the Audit Committee	Since 2009	Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005	36 RICs consisting of 106 Portfolios	AIMS Worldwide, Inc. (marketing)
Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, Harvard Business School Publishing since 2005; Director, McLean Hospital since 2005	36 RICs consisting of 106 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt, Jr. 55 East 52nd Street New York, NY 10055 1947	Trustee	Since 2009	Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008	36 RICs consisting of 106 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 55 East 52nd Street New York, NY 10055 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981	36 RICs consisting of 106 Portfolios	None
Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, College Access, Foundation of California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	36 RICs consisting of 106 Portfolios	A.P. Pharma, Inc. (specialty pharmaceuticals)

ANNUAL REPORT DECEMBER 31, 2009 85

Officers and Trustees (continued)

Name, Address and Year of Birth	Position(s) Held with Trust/MIP	Length of Time Served as a Trustee2	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Non-Interested Trustees1 (concluded)
Kenneth L. Urish 55 East 52nd Street New York, NY 10055 1951	Chair of the Audit Committee and Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation since 2001; Committee Member, Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants from 2007 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007	36 RICs consisting of 106 Portfolios	None
Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945	Trustee and Member of the Audit Committee	Since 2009	Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005; Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008	36 RICs consisting of 106 Portfolios	None

1 Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved one-year extensions in terms of Trustees who turn 72 prior to December 31, 2013.

2 Date shown is the earliest date a person has served as a trustee for the Trust/MIP covered by this annual report.

Interested Trustees3
Richard S. Davis 55 East 52nd Street New York, NY 10055 1945	Trustee	Since 2009	Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Chairman of the Board of Directors, State Street Research Mutual Funds from 2000 to 2005; Chairman, SSR Realty from 2000 to 2004	173 RICs consisting of 304 Portfolios	None
Henry Gabbay 55 East 52nd Street New York, NY 10055 1947	Trustee	Since 2009	Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006	173 RICs consisting of 304 Portfolios	None

3 Mr. Davis is an ‘interested person‘ as defined in the Investment Company Act of 1940, of the Trust/MIP based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an ‘interested person‘ of the Trust/MIP based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and PNC securities. Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved one-year extensions in terms of Trustees who turn 72 prior to December 31, 2013.

86 ANNUAL REPORT DECEMBER 31, 2009

Officers and Trustees (continued)

Name, Address and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served	Principal Occupation(s) During Past Five Years
Trust/MIP Officers1
Anne F. Ackerley 55 East 52nd Street New York, NY 10055 1962	President and Chief Executive Officer	Since 2009	Managing Director of BlackRock, Inc. since 2000; Vice President of the BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of BlackRock’s Global Client Group since 2009; Chief Operating Officer of BlackRock’s U.S. Retail Group from 2006 to 2009; Head of BlackRock’s Mutual Fund Group from 2000 to 2006
Richard Hoerner, CFA 55 East 52nd Street New York, NY 10055 1958	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2000; Co-head of BlackRock’s Cash Management Portfolio Management Group since 2002; Member of the Cash Management Group Executive Committee since 2005
Jeffrey Holland, CFA 55 East 52nd Street New York, NY 10055 1971	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2006 to 2009; Chief Operating Officer of BlackRock’s U.S. Retail Group since 2009; Co-head of Product Development and Management for BlackRock’s U.S. Retail Group from 2007 to 2009; Product Manager of Raymond James & Associates from 2003 to 2006
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009, Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008
Simon Mendelson 55 East 52nd Street New York, NY 10055 1964	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2005; Chief Operating Officer and head of the Global Client Group for BlackRock’s Global Cash Management Business since 2007; Head of BlackRock’s Strategy and Development Group from 2005 to 2007; Partner of McKinsey & Co. from 1997 to 2005
Brian Schmidt 55 East 52nd Street New York, NY 10055 1958	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2004; Various positions with U.S. Trust Company from 1991 to 2003 including Director from 2001 to 2003 and Senior Vice President from 1998 to 2003; Vice President, Chief Financial Officer and Treasurer of Excelsior Funds, Inc., Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust from 2001 to 2003
Christopher Stavrakos, CFA 55 East 52nd Street New York, NY 10055 1959	Vice President	Since 2009	Managing Director of BlackRock, Inc. since 2006; Co-head of BlackRock’s Cash Management Portfolio Management Group since 2006; Senior Vice President, CIO, and Director of Liability Management for the Securities Lending Group at Mellon Bank from 1999 to 2006
Neal J. Andrews 55 East 52nd Street New York, NY 10055 1966	Chief Financial Officer	Since 2009	Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006
Jay M. Fife 55 East 52nd Street New York, NY 10055 1970	Treasurer	Since 2009	Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant Treasurer of the Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006
Brian P. Kindelan 55 East 52nd Street New York, NY 10055 1959	Chief Compliance Officer	Since 2009	Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005
Howard B. Surloff 55 East 52nd Street New York, NY 10055 1965	Secretary	Since 2009	Managing Director and General Counsel of U.S. Funds at BlackRock, Inc. since 2006; General Counsel (U.S.) of Goldman Sachs Asset Management, L.P. from 1993 to 2006

1 Officers of the Trust/MIP serve at the pleasure of the Board.

Further information about the Trust/MIP Officers and Trustees is available in the Trust/MIP Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

ANNUAL REPORT DECEMBER 31, 2009 87

Officers and Trustees (concluded)

Investment Advisor

BlackRock Fund Advisors

San Francisco, CA 94105

Custodian

State Street Bank and Trust Company

Boston, MA 02101

Transfer Agent

State Street Bank and Trust Company

Boston, MA 02101

Accounting Agent

State Street Bank and Trust Company

Boston, MA 02101

Distributor

SEI Investments Distribution Co.

Oaks, PA 19456

Legal Counsel

Sidley Austin LLP

New York, NY 10019

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

San Francisco, CA 94111

Address of the Funds

c/o The Distributor

One Freedom Valley Drive

Oaks, PA 19456

88 ANNUAL REPORT DECEMBER 31, 2009

Additional Information

General Information

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Portfolios/Master Portfolios use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling toll-free (800) 441-7762; (2) at www.blackrock.com; and (3) on the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Portfolios/Master Portfolios vote proxies relating to securities held in the Portfolios’/Master Portfolios’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http//www.sec.gov.

Availability of Quarterly Portfolio Schedule

The Portfolios/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. The 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 may be obtained by calling (202) 551-8090. The Portfolios’/Master Portfolios’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

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 www.blackrock.com/funds.

ANNUAL REPORT DECEMBER 31, 2009 89

Additional Information (concluded)

Section 19(a) Notices

The amounts and sources of distributions reported are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon each Portfolio’s investment experience during the year and may be subject to changes based on the tax regulations. The Portfolios will send you a Form 1099-DIV each calendar year that will tell you how to report distributions for federal income tax purposes.

	Total Cumulative Distributions for the Fiscal Year-to-Date								% Breakdown of the Total Cumulative Distributions for the Fiscal Year-to-Date
	Net Investment Income		Net Realized Capital Gains		Return of Capital		Total Per Share		Net Investment Income		Net Realized Capital Gains		Return of Capital		Total Per Share
LifePath Retirement Portfolio
Class I	$	0.294696		—	$	0.012168	$	0.306864	96	%	0	%	4	%	100	%
Class R	$	0.274581		—	$	0.011335	$	0.285916	96	%	0	%	4	%	100	%
Class S	$	0.325361		—	$	0.013417	$	0.338778	96	%	0	%	4	%	100	%
LifePath 2020 Portfolio
Class I	$	0.402306		—	$	0.027123	$	0.429429	94	%	0	%	6	%	100	%
Class R	$	0.376759		—	$	0.025410	$	0.402169	94	%	0	%	6	%	100	%
Class S	$	0.444452		—	$	0.029915	$	0.474367	94	%	0	%	6	%	100	%
LifePath 2030 Portfolio
Class I	$	0.330008		—	$	0.027033	$	0.357041	92	%	0	%	8	%	100	%
Class R	$	0.304870		—	$	0.024998	$	0.329868	92	%	0	%	8	%	100	%
Class S	$	0.368479		—	$	0.030122	$	0.398601	92	%	0	%	8	%	100	%
LifePath 2040 Portfolio
Class I	$	0.346197		—	$	0.033254	$	0.379451	91	%	0	%	9	%	100	%
Class R	$	0.318478		—	$	0.030619	$	0.349097	91	%	0	%	9	%	100	%
Class S	$	0.388625		—	$	0.037277	$	0.425902	91	%	0	%	9	%	100	%
LifePath 2050 Portfolio
Class I	$	0.129862	$	0.553613	$	0.031782	$	0.715257	19	%	77	%	4	%	100	%
Class R	$	0.106092	$	0.553613	$	0.029804	$	0.689509	16	%	80	%	4	%	100	%
Class S	$	0.158381	$	0.553613	$	0.032924	$	0.744918	22	%	74	%	4	%	100	%

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 nonpublic personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

90 ANNUAL REPORT DECEMBER 31, 2009

This Page Intentionally Left Blank

This report is transmitted to shareholders only. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the LifePath Portfolios unless accompanied or preceded by that LifePath Portfolio’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.

#LIFEPATH-12/09

EQUITIES    FIXED INCOME    REAL ESTATE    LIQUIDITY    ALTERNATIVES    BLACKROCK SOLUTIONS

BlackRock Funds III
ANNUAL REPORT    |    DECEMBER 31, 2009

BlackRock Cash Funds: Government

BlackRock Cash Funds: Institutional

BlackRock Cash Funds: Prime

BlackRock Cash Funds: Treasury

NOT FDIC INSURED

MAY LOSE VALUE

NO BANK GUARANTEE

Table of Contents

	Page
Dear Shareholder	3
Annual Report:
Yield Information	4
Disclosure of Expenses	5
Fund Financial Statements:
Statements of Assets and Liabilities	7
Statements of Operations	8
Statements of Changes in Net Assets	9
Fund Financial Highlights	11
Fund Notes to Financial Statements	34
Fund Report of Independent Registered Public Accounting Firm	40
Important Tax Information (Unaudited)	40
Proxy Results	41
Master Portfolio Information	42
Master Portfolio Financial Statements:
Schedules of Investments	43
Statements of Assets and Liabilities	53
Statements of Operations	54
Statements of Changes in Net Assets	55
Master Portfolio Financial Highlights	56
Master Portfolio Notes to Financial Statements	58
Master Portfolio Report of Independent Registered Public Accounting Firm	60
Proxy Results	61
Disclosure of Investment Advisory Agreement	62
Officers and Trustees	65
Additional Information	69

2 ANNUAL REPORT DECEMBER 31, 2009

Dear Shareholder

In 2009, investors worldwide witnessed a seismic shift in market sentiment as the fear and pessimism that characterized 2008 were replaced by guarded optimism. The single most important reason for this change was the swing from a deep global recession to the beginnings of a global recovery.

At the outset of the year, markets were still reeling from 2008’s nearly unprecedented global financial and economic meltdown. The looming threat of further collapse in global markets prompted stimulus packages and central bank interventions on an extraordinary scale worldwide. Ultimately, these actions helped stabilize the financial system, and the economic contraction began to abate.

Stocks fell sharply to start 2009 as investor confidence remained low on fears of an economic depression. After touching their lows in March, stocks galloped higher as massive, coordinated global monetary and fiscal stimulus began to reflate world economies. Sidelined cash poured into the markets, triggering a dramatic and steep upward rerating of stocks and other risk assets. The financial sector and low-quality securities that had been battered most in the downturn enjoyed the sharpest recovery. The experience in international markets was similar to that seen in the United States. European stocks slightly edged out other developed markets for the year, but emerging markets were the clear winners in 2009. To some extent, this outperformance reflected the stronger recoveries in emerging economies and corporate earnings, but emerging market stocks also saw significant expansion in valuations.

The improvement in the economic backdrop was reflected in fixed income markets as well, where non-Treasury assets made a robust recovery. One of the major themes for 2009 was the reversal of the flight-to-quality trade seen in 2008. As investors grew more comfortable with risk, high yield finished the year as the strongest-performing fixed income sector in both the taxable and tax-exempt space. Overall, the municipal market made a strong showing, outpacing most taxable sectors. Despite fundamental challenges, the technical picture remained supportive of the asset class. Municipal fund inflows had a record-setting year; investor expectations of higher taxes boosted demand; and the Build America Bonds program was deemed a success, adding $65 billion of taxable supply to the municipal marketplace in 2009. Notably, the program has alleviated tax-exempt supply pressure and attracted the attention of a global audience.

All told, the rebound in sentiment and global market conditions propelled virtually every major benchmark index into positive territory for both the 6- and 12-month periods, with the notable exception of Treasury bonds, which were negatively affected by rising long-term rates.

Total Returns as of December 31, 2009	6-month		12-month
US equities (S&P 500 Index)	22.59	%	26.46	%
Small cap US equities (Russell 2000 Index)	23.90		27.17
International equities (MSCI Europe, Australasia, Far East Index)	22.07		31.78
US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index)	(1.06	)	(9.71	)
Taxable fixed income (Barclays Capital US Aggregate Bond Index)	3.95		5.93
Tax-exempt fixed income (Barclays Capital Municipal Bond Index)	6.10		12.91
High yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index)	21.27		58.76
Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.

The market environment improved dramatically in the past year, but uncertainty and risk remain. Through periods of market turbulence, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. For additional market perspective and investment insight, visit the most recent issue of our award-winning Shareholder® magazine at www.blackrock.com/shareholdermagazine. As always, we thank you for entrusting BlackRock with your investments, and we look forward to continuing to serve you in the new year and beyond.

Sincerely,

Rob Kapito

President, BlackRock Advisors, LLC

Announcement to Shareholders

On December 1, 2009, BlackRock, Inc. and Barclays Global Investors, N.A. combined to form one of the world’s preeminent investment management firms. The new company, operating under the BlackRock name, manages $3.346 trillion in assets* and offers clients a full complement of worldwide active management, enhanced and index investment strategies and products, including individual and institutional separate accounts, mutual funds and other pooled investment vehicles, and the industry-leading iShares® platform of exchange traded funds.

* Data is as of December 31, 2009.

THIS PAGE NOT PART OF YOUR FUND REPORT

3

Yield Information as of December 31, 2009 BlackRock Funds III

BlackRock Cash Funds: Government
Yields	7-Day SEC Yield		7-Day Yield
Institutional	0.05	%	0.05	%
Select	0.05	%	0.05	%
SL Agency	0.05	%	0.05	%
Trust	0.05	%	0.05	%
BlackRock Cash Funds: Institutional
Yields	7-Day SEC Yield		7-Day Yield
Aon Captives	0.06	%	0.06	%
Capital	0.14	%	0.14	%
Institutional	0.16	%	0.16	%
Premium	0.11	%	0.11	%
Select	0.08	%	0.08	%
SL Agency	0.19	%	0.19	%
Trust	0.05	%	0.05	%
BlackRock Cash Funds: Prime
Yields	7-Day SEC Yield		7-Day Yield
Capital	0.12	%	0.12	%
Institutional	0.14	%	0.14	%
Premium	0.09	%	0.09	%
Select	0.06	%	0.06	%
SL Agency	0.17	%	0.17	%
Trust	0.05	%	0.05	%
BlackRock Cash Funds: Treasury
Yields	7-Day SEC Yield		7-Day Yield
Capital	0.02	%	0.02	%
Institutional	0.02	%	0.02	%
Premium	0.02	%	0.02	%
Select	0.02	%	0.02	%
SL Agency	0.02	%	0.02	%
Trust	0.02	%	0.02	%

The 7-Day SEC Yields shown above 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.

4 ANNUAL REPORT DECEMBER 31, 2009

Disclosure of Expenses BlackRock Funds III

Shareholders of each Fund may incur operating expenses, including advisory fees, distribution fees, (including 12b-1 fees), and other Fund expenses. The expense examples below (which are based on a hypothetical investment of $1,000 invested on July 1, 2009 and held through December 31, 2009) 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 tables below 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 headings entitled “Expenses Paid During the Period.”

The tables also provide information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratios 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 each Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in other funds’ shareholder reports.

The expenses shown in the tables are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as sales charges, redemption fees or exchange fees. Therefore, the hypothetical tables 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.

BlackRock Cash Funds: Government

	Actual						Hypothetical2
	Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period1		Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period1
Institutional	$	1,000.00	$	1,000.40	$	0.30	$	1,000.00	$	1,024.90	$	0.31
Select	$	1,000.00	$	1,000.40	$	0.25	$	1,000.00	$	1,025.00	$	0.26
SL Agency	$	1,000.00	$	1,000.40	$	0.30	$	1,000.00	$	1,024.90	$	0.31
Trust	$	1,000.00	$	1,000.40	$	0.30	$	1,000.00	$	1,024.90	$	0.31

1 For each class of the Fund, expenses are equal to the annualized expense ratio for the class (0.06% for Institutional, 0.05% for Select, 0.06% for SL Agency and 0.06% for Trust), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Fund is a feeder fund, the expense table example reflects the net expenses of both the feeder fund and the Master Portfolio in which it invests.

2 Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.

BlackRock Cash Funds: Institutional

	Actual						Hypothetical2
	Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period1		Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period1
Aon Captives	$	1,000.00	$	1,000.60	$	1.11	$	1,000.00	$	1,024.10	$	1.12
Capital	$	1,000.00	$	1,001.00	$	0.71	$	1,000.00	$	1,024.50	$	0.71
Institutional	$	1,000.00	$	1,001.10	$	0.61	$	1,000.00	$	1,024.60	$	0.61
Premium	$	1,000.00	$	1,000.80	$	0.86	$	1,000.00	$	1,024.30	$	0.87
Select	$	1,000.00	$	1,000.70	$	1.06	$	1,000.00	$	1,024.10	$	1.07
SL Agency	$	1,000.00	$	1,001.20	$	0.45	$	1,000.00	$	1,024.80	$	0.46
Trust	$	1,000.00	$	1,000.20	$	1.56	$	1,000.00	$	1,023.60	$	1.58

1 For each class of the Fund, expenses are equal to the annualized expense ratio for the class (0.22% for Aon Captives, 0.14% for Capital, 0.12% for Institutional, 0.17% for Premium, 0.21% for Select, 0.09% for SL Agency and 0.31% for Trust), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Fund is a feeder fund, the expense table example reflects the net expenses of both the feeder fund and the Master Portfolio in which it invests.

2 Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.

ANNUAL REPORT DECEMBER 31, 2009 5

Disclosure of Expenses (concluded) BlackRock Funds III

BlackRock Cash Funds: Prime

	Actual						Hypothetical2
	Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period1		Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period1
Capital	$	1,000.00	$	1,000.80	$	0.81	$	1,000.00	$	1,024.40	$	0.82
Institutional	$	1,000.00	$	1,000.90	$	0.71	$	1,000.00	$	1,024.50	$	0.71
Premium	$	1,000.00	$	1,000.60	$	0.96	$	1,000.00	$	1,024.20	$	0.97
Select	$	1,000.00	$	1,000.50	$	1.11	$	1,000.00	$	1,024.10	$	1.12
SL Agency	$	1,000.00	$	1,001.00	$	0.55	$	1,000.00	$	1,024.70	$	0.56
Trust	$	1,000.00	$	1,000.30	$	1.31	$	1,000.00	$	1,023.90	$	1.33

1 For each class of the Fund, expenses are equal to the annualized expense ratio for the class (0.16% for Capital, 0.14% for Institutional, 0.19% for Premium, 0.22% for Select, 0.11% for SL Agency and 0.26% for Trust), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Fund is a feeder fund, the expense table example reflects the net expenses of both the feeder fund and the Master Portfolio in which it invests.

2 Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.

BlackRock Cash Funds: Treasury

	Actual						Hypothetical2
	Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period1		Beginning Account Value July 1, 2009		Ending Account Value December 31, 2009		Expenses Paid During the Period1
Capital	$	1,000.00	$	1,000.30	$	0.40	$	1,000.00	$	1,024.80	$	0.41
Institutional	$	1,000.00	$	1,000.30	$	0.30	$	1,000.00	$	1,024.90	$	0.31
Premium	$	1,000.00	$	1,000.30	$	0.50	$	1,000.00	$	1,024.70	$	0.51
Select	$	1,000.00	$	1,000.30	$	0.45	$	1,000.00	$	1,024.80	$	0.46
SL Agency	$	1,000.00	$	1,000.40	$	0.35	$	1,000.00	$	1,024.90	$	0.36
Trust	$	1,000.00	$	1,000.30	$	0.45	$	1,000.00	$	1,024.80	$	0.46

1 For each class of the Fund, expenses are equal to the annualized expense ratio for the class (0.08% for Capital, 0.06% for Institutional, 0.10% for Premium, 0.09% for Select, 0.07% for SL Agency and 0.09% for Trust), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Fund is a feeder fund, the expense table example reflects the net expenses of both the feeder fund and the Master Portfolio in which it invests.

2 Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.

6 ANNUAL REPORT DECEMBER 31, 2009

Statements of Assets and Liabilities BlackRock Funds III

December 31, 2009	BlackRock Cash Funds: Government		BlackRock Cash Funds: Institutional		BlackRock Cash Funds: Prime			BlackRock Cash Funds: Treasury
Assets
Investment at value - Master Portfolio	$	656,443,632	$	20,298,707,658	$	11,537,829,610		$	4,134,718,191
Total assets		656,443,632		20,298,707,658		11,537,829,610			4,134,718,191
Liabilities
Income dividends payable		41,401		1,823,192		1,352,830			157,531
Professional fees payable		11,120		15,851		12,484			11,795
Administration fees payable		6,909		376,910		371,002			71,473
Distribution fees payable - Aon Captives Shares		—		17,937		—			—
Total liabilities		59,430		2,233,890		1,736,316			240,799
Net Assets	$	656,384,202	$	20,296,473,768	$	11,536,093,294		$	4,134,477,392
Net Assets Consist of
Paid-in capital	$	656,384,202	$	20,295,722,141	$	11,540,403,294		$	4,134,450,790
Accumulated net realized gain (loss)		—		751,627		(4,310,000	)		26,602
Net Assets	$	656,384,202	$	20,296,473,768	$	11,536,093,294		$	4,134,477,392
Net Asset Value
Aon Captives
Net Assets		—	$	72,948,948		—			—
Shares outstanding1		—		72,950,222		—			—
Net asset value		—	$	1.00		—			—
Capital
Net Assets		—	$	277,382,159	$	673,374,665		$	32,418,663
Shares outstanding1		—		277,381,220		673,388,398			32,418,255
Net asset value		—	$	1.00	$	1.00		$	1.00
Institutional
Net Assets	$	10,496,054	$	973,220,590	$	3,014,590,885		$	30,011,043
Shares outstanding1		10,496,054		973,084,831		3,017,886,515			30,011,044
Net asset value	$	1.00	$	1.00	$	1.00		$	1.00
Premium
Net Assets		—	$	97,513,285	$	1,817,088,480		$	2,541,771
Shares outstanding1		—		97,503,077		1,818,553,290			2,541,604
Net asset value		—	$	1.00	$	1.00		$	1.00
Select
Net Assets	$	69,138,889	$	23,204,110	$	73,809,587		$	4,814,697
Shares outstanding1		69,138,889		23,204,995		73,800,351			4,814,574
Net asset value	$	1.00	$	1.00	$	1.00		$	1.00
SL Agency
Net Assets	$	563,287,524	$	18,832,491,772	$	5,860,880,976		$	4,009,073,548
Shares outstanding1		563,287,524		18,833,214,030		5,860,540,845			4,009,048,450
Net asset value	$	1.00	$	1.00	$	1.00		$	1.00
Trust
Net Assets	$	13,461,735	$	19,712,904	$	96,348,701		$	55,617,670
Shares outstanding1		13,461,735		19,714,552		96,342,272			55,616,865
Net asset value	$	1.00	$	1.00	$	1.00		$	1.00

1 No par value, unlimited number of shares authorized.

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 7

Statements of Operations BlackRock Funds III

Year Ended December 31, 2009	BlackRock Cash Funds: Government			BlackRock Cash Funds: Institutional			BlackRock Cash Funds: Prime			BlackRock Cash Funds: Treasury
Investment Income
Net investment income allocated from the Master Portfolios:
Income	$	1,387,567		$	129,378,513		$	68,810,771		$	4,135,884
Expenses1		(387,372	)		(16,626,729	)		(9,955,392	)		(1,259,230	)
Total income		1,000,195			112,751,784			58,855,379			2,876,654
Expenses
Administration		353,222			6,881,866			7,573,582			934,911
Distribution - Aon Captives Shares		—			87,421			—			—
Professional		14,472			103,033			62,196			20,306
Independent Trustees		8,588			219,304			147,138			19,758
Federal insurance		—			769,605			3,344,144			—
Total expenses		376,282			8,061,229			11,127,060			974,975
Less expense reductions		(170,380	)		(369,878	)		(359,289	)		(402,508	)
Total expenses after expense reductions		205,902			7,691,351			10,767,771			572,467
Net investment income		794,293			105,060,433			48,087,608			2,304,187
Realized Gain Allocated from the Master Portfolios
Net realized gain from investments		—			754,970			950,463			26,602
Net Increase In Net Assets Resulting from Operations	$	794,293		$	105,815,403		$	49,038,071		$	2,330,789

1 Net of investment advisory fee reductions in the amounts of $447,582, $7,449,481, $4,481,097, and $1,541,935, respectively.

See Notes to Financial Statements.

8 ANNUAL REPORT DECEMBER 31, 2009

Statements of Changes in Net Assets BlackRock Funds III

	BlackRock Cash Funds: Government						BlackRock Cash Funds: Institutional
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2009			2008			2009			2008
Operations
Net investment income	$	794,293		$	3,980,496		$	105,060,433		$	128,457,384
Net realized gain (loss)		—			—			754,970			(1,266,507	)
Net increase in net assets resulting from operations		794,293			3,980,496			105,815,403			127,190,877
Dividends and Distributions to Shareholders From
Net investment income:
Aon Captives		—			—			(306,830	)		(2,539,471	)
Capital		(537	)		(10,693	)		(613,972	)		(114,889	)
Institutional		(193,664	)		(1,875,352	)		(26,948,452	)		(84,771,625	)
Premium		(8,251	)		(2,037,768	)		(3,835,175	)		(38,343,018	)
Select		(50,455	)		(55,456	)		(330,692	)		(996,848	)
SL Agency		(530,115	)		—			(72,875,346	)		—
Trust		(11,271	)		(1,227	)		(158,479	)		(1,691,532	)
Net realized gain:
Aon Captives		—			—			(217	)		—
Capital		—			—			(456	)		—
Institutional		—			—			(8,626	)		—
Premium		—			—			(1,987	)		—
Select		—			—			(144	)		—
SL Agency		—			—			(52,227	)		—
Trust		—			—			(175	)		—
Decrease in net assets resulting from dividends and distributions to shareholders		(794,293	)		(3,980,496	)		(105,132,778	)		(128,457,383	)
Capital Share Transactions
Net increase (decrease) in net assets derived from capital share transactions		(1,061,321,081	)		1,610,531,388			(1,132,583,000	)		13,848,548,297
Net Assets
Total increase (decrease) in net assets		(1,061,321,081	)		1,610,531,388			(1,131,900,375	)		13,847,281,791
Beginning of year		1,717,705,283			107,173,895			21,428,374,143			7,581,092,352
End of year	$	656,384,202		$	1,717,705,283		$	20,296,473,768		$	21,428,374,143
Undistributed net investment income		—			—			—		$	8,513

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 9

Statements of Changes in Net Assets (concluded) BlackRock Funds III

	BlackRock Cash Funds: Prime						BlackRock Cash Funds: Treasury
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2009			2008			2009			2008
Operations
Net investment income	$	48,087,608		$	364,865,569		$	2,304,187		$	2,688,976
Net realized gain (loss)		950,463			(5,368,840	)		26,602			—
Net increase in net assets resulting from operations		49,038,071			359,496,729			2,330,789			2,688,976
Dividends and Distributions to Shareholders From
Net investment income:
Capital		(974,656	)		(1,763,342	)		(39,674	)		(165,369	)
Institutional		(18,329,064	)		(257,847,006	)		(140,275	)		(1,810,661	)
Premium		(10,708,861	)		(100,932,210	)		(19,056	)		(582,196	)
Select		(474,570	)		(4,317,661	)		(7,807	)		(128,328	)
SL Agency		(17,529,063	)		—			(2,038,221	)		—
Trust		(82,138	)		(5,350	)		(59,154	)		(2,422	)
Decrease in net assets resulting from dividends and distributions to shareholders		(48,098,352	)		(364,865,569	)		(2,304,187	)		(2,688,976	)
Capital Share Transactions
Net increase (decrease) in net assets derived from capital share transactions		(3,955,376,512	)		5,068,229,863			2,599,720,888			1,331,926,383
Net Assets
Total increase (decrease) in net assets		(3,954,436,793	)		5,062,861,023			2,599,747,490			1,331,926,383
Beginning of year		15,490,530,087			10,427,669,064			1,534,729,902			202,803,519
End of year	$	11,536,093,294		$	15,490,530,087		$	4,134,477,392		$	1,534,729,902
Undistributed net investment income		—		$	10,744			—			—

See Notes to Financial Statements.

10 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights BlackRock Cash Funds: Government

	Institutional
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0009			0.0200			0.0500			0.0492			0.0300
Dividends from net investment income		(0.0009	)		(0.0200	)		(0.0500	)		(0.0492	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.09	%		1.96	%		5.15	%		5.04	%		3.28	%
Ratios to Average Net Assets1
Total expenses		0.12	%		0.16	%		0.18	%		0.16	%		0.12	%
Total expenses after expense reductions		0.08	%		0.10	%		0.12	%		0.12	%		0.03	%
Net investment income		0.11	%		0.29	%		4.67	%		4.75	%		3.04	%
Supplemental Data
Net assets, end of year (000)	$	10,496		$	1,594,728		$	3,031		$	395		$	169,200

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 11

Financial Highlights (continued) BlackRock Cash Funds: Government

	Select
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0008			0.0200			0.0500			0.0483			0.0300
Dividends from net investment income		(0.0008	)		(0.0200	)		(0.0500	)		(0.0483	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.08	%		1.89	%		5.06	%		4.94	%		3.18	%
Ratios to Average Net Assets1
Total expenses		0.22	%		0.23	%		0.28	%		0.26	%		0.22	%
Total expenses after expense reductions		0.09	%		0.07	%		0.20	%		0.21	%		0.13	%
Net investment income		0.08	%		0.82	%		5.03	%		4.84	%		3.90	%
Supplemental Data
Net assets, end of year (000)	$	69,139		$	81,424		$	14,269		$	42,683		$	40,712

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

See Notes to Financial Statements.

12 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) BlackRock Cash Funds: Government

	SL Agency
	Period from February 4, 20091 to December 31, 2009
Per Share Operating Performance
Net asset value, beginning of period	$	1.00
Net investment income		0.0009
Dividends from net investment income		(0.0009	)
Net asset value, end of period	$	1.00
Total Investment Return
Based on net asset value		0.09	%2
Ratios to Average Net Assets3,4
Total expenses		0.09	%
Total expenses after expense reductions		0.07	%
Net investment income		0.10	%
Supplemental Data
Net assets, end of period (000)	$	563,288

1 Commencement of operations.

2 Aggregate total investment return.

3 Annualized.

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 13

Financial Highlights (continued) BlackRock Cash Funds: Government

	Trust
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0008			0.0200			0.0500			0.0459			0.0300
Dividends from net investment income		(0.0008	)		(0.0200	)		(0.0500	)		(0.0459	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.08	%		1.69	%		4.80	%		4.69	%		2.94	%
Ratios to Average Net Assets1
Total expenses		0.46	%		0.47	%		0.51	%		0.49	%		0.45	%
Total expenses after expense reductions		0.09	%		0.07	%		0.45	%		0.45	%		0.36	%
Net investment income		0.08	%		0.16	%		4.78	%		4.60	%		2.91	%
Supplemental Data
Net assets, end of year (000)	$	13,462		$	12,380		$	50		$	108		$	103

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

See Notes to Financial Statements.

14 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) BlackRock Cash Funds: Institutional

	Aon Captives
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0033			0.0300			0.0500			0.0500			0.0300
Net realized gain (loss)		0.0000	1		(0.0000	)1		0.0000	1		0.0000	1		0.0000	1
Net increase from investment operations		0.0033			0.0300			0.0500			0.0500			0.0300
Dividends and distributions from:
Net investment income		(0.0033	)		(0.0300	)		(0.0500	)		(0.0500	)		(0.0300	)
Net realized gain		(0.0000	)1		—			—			—			—
Total dividends and distributions		(0.0033	)		(0.0300	)		(0.0500	)		(0.0500	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.33	%		2.74	%		5.26	%		5.00	%		3.19	%
Ratios to Average Net Assets2
Total expenses		0.25	%		0.26	%		0.26	%		0.23	%		0.22	%
Total expenses after expense reductions		0.22	%		0.23	%		0.21	%		0.19	%		0.15	%
Net investment income		0.35	%		2.67	%		5.12	%		4.86	%		3.07	%
Supplemental Data
Net assets, end of year (000)	$	72,949		$	97,273		$	90,192		$	69,083		$	77,899

1 Less than $0.00005 or $(0.00005) per share.

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 15

Financial Highlights (continued) BlackRock Cash Funds: Institutional

	Capital
	Year Ended December 31, 2009			Period from February 28, 20081 to December 31, 2008
Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00
Net investment income		0.0041			0.0200
Net realized gain (loss)		0.0000	2		(0.0000	)2
Net increase from investment operations		0.0041			0.0200
Dividends and distributions from:
Net investment income		(0.0041	)		(0.0200	)
Net realized gain		(0.0000	)2		—
Total dividends and distributions		(0.0041	)		(0.0200	)
Net asset value, end of period	$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.41	%		2.14	%3
Ratios to Average Net Assets4
Total expenses		0.17	%		0.19	%5
Total expenses after expense reductions		0.14	%		0.14	%5
Net investment income		0.33	%		2.57	%5
Supplemental Data
Net assets, end of period (000)	$	277,382		$	101

1 Commencement of operations.

2 Less than $0.00005 or $(0.00005) per share.

3 Aggregate total investment return.

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

5 Annualized.

See Notes to Financial Statements.

16 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) BlackRock Cash Funds: Institutional

	Institutional
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0043			0.0300			0.0500			0.0500			0.0300
Net realized gain (loss)		0.0000	1		(0.0000	)1		0.0000	1		0.0000	1		(0.0000	)1
Net increase from investment operations		0.0043			0.0300			0.0500			0.0500			0.0300
Dividends and distributions from:
Net investment income		(0.0043	)		(0.0300	)		(0.0500	)		(0.0500	)		(0.0300	)
Net realized gain		(0.0000	)1		—			—			—			—
Total dividends and distributions		(0.0043	)		(0.0300	)		(0.0500	)		(0.0500	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.43	%		2.85	%		5.36	%		5.11	%		3.29	%
Ratios to Average Net Assets2
Total expenses		0.15	%		0.15	%		0.16	%		0.14	%		0.12	%
Total expenses after expense reductions		0.12	%		0.12	%		0.11	%		0.10	%		0.05	%
Net investment income		0.78	%		2.65	%		5.25	%		4.97	%		3.26	%
Supplemental Data
Net assets, end of year (000)	$	973,221		$	20,223,437		$	6,653,737		$	4,198,724		$	3,485,876

1 Less than $0.00005 or $(0.00005) per share.

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 17

Financial Highlights (continued) BlackRock Cash Funds: Institutional

	Premium
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0038			0.0300			0.0500			0.0500			0.0300
Net realized gain (loss)		0.0000	1		(0.0000	)1		0.0000	1		0.0000	1		0.0000	1
Net increase from investment operations		0.0038			0.0300			0.0500			0.0500			0.0300
Dividends and distributions from:
Net investment income		(0.0038	)		(0.0300	)		(0.0500	)		(0.0500	)		(0.0300	)
Net realized gain		(0.0000	)1		—			—			—			—
Total dividends and distributions		(0.0038	)		(0.0300	)		(0.0500	)		(0.0500	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.38	%		2.80	%		5.31	%		5.05	%		3.24	%
Ratios to Average Net Assets2
Total expenses		0.20	%		0.21	%		0.21	%		0.19	%		0.17	%
Total expenses after expense reductions		0.17	%		0.18	%		0.16	%		0.15	%		0.10	%
Net investment income		0.48	%		2.79	%		5.21	%		4.93	%		3.24	%
Supplemental Data
Net assets, end of year (000)	$	97,513		$	1,021,216		$	746,582		$	1,321,042		$	1,803,171

1 Less than $0.00005 or $(0.00005) per share.

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

See Notes to Financial Statements.

18 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) BlackRock Cash Funds: Institutional

	Select
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0035			0.0300			0.0500			0.0500			0.0300
Net realized gain (loss)		0.0000	1		(0.0000	)1		0.0000	1		—			0.0000	1
Net increase from investment operations		0.0035			0.0300			0.0500			0.0500			0.0300
Dividends and distributions from:
Net investment income		(0.0035	)		(0.0300	)		(0.0500	)		(0.0500	)		(0.0300	)
Net realized gain		(0.0000	)1		—			—			—			—
Total dividends and distributions		(0.0035	)		(0.0300	)		(0.0500	)		(0.0500	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.35	%		2.76	%		5.26	%		5.00	%		3.19	%
Ratios to Average Net Assets2
Total expenses		0.23	%		0.28	%		0.25	%		0.23	%		0.22	%
Total expenses after expense reductions		0.20	%		0.23	%		0.20	%		0.19	%		0.15	%
Net investment income		0.57	%		2.05	%		5.11	%		4.55	%		3.50	%
Supplemental Data
Net assets, end of year (000)	$	23,204		$	10,014		$	4,807		$	1,229		$	24,940

1 Less than $0.00005 or $(0.00005) per share.

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 19

Financial Highlights (continued) BlackRock Cash Funds: Institutional

	SL Agency
	Period from February 4, 20091 to December 31, 2009
Per Share Operating Performance
Net asset value, beginning of period	$	1.00
Net investment income		0.0035
Net realized gain		0.0000	2
Net increase from investment operations		0.0035
Dividends and distributions from:
Net investment income		(0.0035	)
Net realized gain		(0.0000	)2
Total dividends and distributions		(0.0035	)
Net asset value, end of period	$	1.00
Total Investment Return
Based on net asset value		0.36	%3
Ratios to Average Net Assets4,5
Total expenses		0.12	%
Total expenses after expense reductions		0.09	%
Net investment income		0.38	%
Supplemental Data
Net assets, end of period (000)	$	18,832,492

1 Commencement of operations.

2 Less than $0.00005 or $(0.00005) per share.

3 Aggregate total investment return.

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

5 Annualized.

See Notes to Financial Statements.

20 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) BlackRock Cash Funds: Institutional

	Trust
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0018			0.0200			0.0500			0.0500			0.0300
Net realized gain (loss)		0.0000	1		(0.0000	)1		0.0000	1		0.0000	1		—
Net increase from investment operations		0.0018			0.0200			0.0500			0.0500			0.0300
Dividends and distributions from:
Net investment income		(0.0018	)		(0.0200	)		(0.0500	)		(0.0500	)		(0.0300	)
Net realized gain		(0.0000	)1		—			—			—			—
Total dividends and distributions		(0.0018	)		(0.0200	)		(0.0500	)		(0.0500	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.18	%		2.51	%		5.01	%		4.76	%		2.96	%
Ratios to Average Net Assets2
Total expenses		0.48	%		0.49	%		0.48	%		0.47	%		0.45	%
Total expenses after expense reductions		0.40	%		0.46	%		0.43	%		0.43	%		0.38	%
Net investment income		0.22	%		2.50	%		4.93	%		4.95	%		2.92	%
Supplemental Data
Net assets, end of year (000)	$	19,713		$	76,334		$	85,774		$	197,480		$	103

1 Less than $0.00005 or $(0.00005) per share.

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 21

Financial Highlights (continued) BlackRock Cash Funds: Prime

	Capital
	Year Ended December 31, 2009			Period from February 28, 20081 to December 31, 2008
Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00
Net investment income		0.0030			0.0200
Net realized gain (loss)		0.0000	2		(0.0000	)2
Net increase from investment operations		0.0030			0.0200
Dividends from net investment income		(0.0030	)		(0.0200	)
Net asset value, end of period	$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.30	%		2.13	%3
Ratios to Average Net Assets4
Total expenses		0.19	%		0.21	%5
Total expenses after expense reductions		0.16	%		0.15	%5
Net investment income		0.27	%		2.23	%5
Supplemental Data
Net assets, end of period (000)	$	673,375		$	226,487

1 Commencement of operations.

2 Less than $0.00005 or $(0.00005) per share.

3 Aggregate total investment return.

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

5 Annualized.

See Notes to Financial Statements.

22 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) BlackRock Cash Funds: Prime

	Institutional
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0032			0.0300			0.0500			0.0500			0.0300
Net realized gain (loss)		0.0000	1		(0.0000	)1		0.0000	1		0.0000	1		0.0000	1
Net increase from investment operations		0.0032			0.0300			0.0500			0.0500			0.0300
Dividends from net investment income		(0.0032	)		(0.0300	)		(0.0500	)		(0.0500	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.32	%		2.83	%		5.32	%		5.07	%		3.26	%
Ratios to Average Net Assets2
Total expenses		0.17	%		0.15	%		0.15	%		0.14	%		0.12	%
Total expenses after expense reductions		0.14	%		0.11	%		0.12	%		0.11	%		0.08	%
Net investment income		0.39	%		2.80	%		5.19	%		4.93	%		3.28	%
Supplemental Data
Net assets, end of year (000)	$	3,014,591		$	10,812,890		$	8,363,790		$	5,915,836		$	6,521,818

1 Less than $0.00005 or $(0.00005) per share.

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 23

Financial Highlights (continued) BlackRock Cash Funds: Prime

	Premium
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0027			0.0270			0.0500			0.0500			0.0317
Net realized gain (loss)		0.0000	1		(0.0000	)1		0.0000	1		0.0000	1		0.0000	1
Net increase from investment operations		0.0027			0.0270			0.0500			0.0500			0.0317
Dividends from net investment income		(0.0027	)		(0.0270	)		(0.0500	)		(0.0500	)		(0.0317	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.27	%		2.78	%		5.27	%		5.02	%		3.21	%
Ratios to Average Net Assets2
Total expenses		0.23	%		0.21	%		0.20	%		0.19	%		0.17	%
Total expenses after expense reductions		0.20	%		0.17	%		0.17	%		0.16	%		0.13	%
Net investment income		0.34	%		2.60	%		5.14	%		4.88	%		3.08	%
Supplemental Data
Net assets, end of year (000)	$	1,817,088		$	4,304,633		$	1,795,477		$	1,551,648		$	3,233,738

1 Less than $0.00005 or $(0.00005) per share.

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

See Notes to Financial Statements.

24 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) BlackRock Cash Funds: Prime

	Select
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0024			0.0280			0.0500			0.0500			0.0312
Net realized gain (loss)		0.0000	1		(0.0000	)1		0.0000	1		0.0000	1		0.0000	1
Net increase from investment operations		0.0024			0.0280			0.0500			0.0500			0.0312
Dividends from net investment income		(0.0024	)		(0.0280	)		(0.0500	)		(0.0500	)		(0.0312	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.24	%		2.75	%		5.24	%		4.97	%		3.16	%
Ratios to Average Net Assets2
Total expenses		0.27	%		0.25	%		0.25	%		0.24	%		0.22	%
Total expenses after expense reductions		0.22	%		0.18	%		0.20	%		0.21	%		0.18	%
Net investment income		0.24	%		2.95	%		5.06	%		4.67	%		3.05	%
Supplemental Data
Net assets, end of year (000)	$	73,810		$	143,150		$	268,352		$	21,642		$	81,359

1 Less than $0.00005 or $(0.00005) per share.

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 25

Financial Highlights (continued) BlackRock Cash Funds: Prime

	SL Agency
	Period from February 4, 20091 to December 31, 2009
Per Share Operating Performance
Net asset value, beginning of period	$	1.00
Net investment income		0.0028
Net realized gain		0.0000	2
Net increase from investment operations		0.0028
Dividends from net investment income		(0.0028	)
Net asset value, end of period	$	1.00
Total Investment Return
Based on net asset value		0.28	%3
Ratios to Average Net Assets4,5
Total expenses		0.14	%
Total expenses after expense reductions		0.11	%
Net investment income		0.31	%
Supplemental Data
Net assets, end of period (000)	$	5,860,881

1 Commencement of operations.

2 Less than $0.00005 per share.

3 Aggregate total investment return.

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

5 Annualized.

See Notes to Financial Statements.

26 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) BlackRock Cash Funds: Prime

	Trust
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0011			0.0200			0.0500			0.0500			0.0289
Net realized gain (loss)		0.0000	1		(0.0000	)1		0.0000	1		0.0000	1		0.0000	1
Net increase from investment operations		0.0011			0.0200			0.0500			0.0500			0.0289
Dividends from net investment income		(0.0011	)		(0.0200	)		(0.0500	)		(0.0500	)		(0.0289	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.11	%		2.49	%		4.98	%		4.72	%		2.93	%
Ratios to Average Net Assets2
Total expenses		0.51	%		0.52	%		0.48	%		0.47	%		0.45	%
Total expenses after expense reductions		0.36	%		0.48	%		0.45	%		0.45	%		0.41	%
Net investment income		0.09	%		1.34	%		4.89	%		4.63	%		2.89	%
Supplemental Data
Net assets, end of year (000)	$	96,349		$	3,370		$	50		$	108		$	103

1 Less than $0.00005 or $(0.00005) per share.

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 27

Financial Highlights (continued) BlackRock Cash Funds: Treasury

	Capital
	Year Ended December 31, 2009			Period from February 28, 20081 to December 31, 2008
Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00
Net investment income		0.0008			0.0100
Net realized gain		0.0000	2		—
Net increase from investment operations		0.0008			0.0100
Dividends from net investment income		(0.0008	)		(0.0100	)
Net asset value, end of period	$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.08	%		1.12	%3
Ratios to Average Net Assets4
Total expenses		0.17	%		0.19	%5
Total expenses after expense reductions		0.08	%		0.05	%5
Net investment income		0.07	%		0.37	%5
Supplemental Data
Net assets, end of period (000)	$	32,419		$	44,698

1 Commencement of operations.

2 Less than $0.00005 per share.

3 Aggregate total investment return.

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

5 Annualized.

See Notes to Financial Statements.

28 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) BlackRock Cash Funds: Treasury

	Institutional
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0008			0.0200			0.0500			0.0500			0.0300
Net realized gain		0.0000	1		—			—			—			—
Net increase from investment operations		0.0008			0.0200			0.0500			0.0500			0.0300
Dividends from net investment income		(0.0008	)		(0.0200	)		(0.0500	)		(0.0500	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.08	%		1.61	%		4.95	%		5.04	%		3.20	%
Ratios to Average Net Assets2
Total expenses		0.12	%		0.15	%		0.18	%		0.19	%		0.12	%
Total expenses after expense reductions		0.04	%		0.04	%		0.04	%		0.00	%		0.00	%
Net investment income		0.09	%		0.39	%		4.74	%		5.03	%		4.03	%
Supplemental Data
Net assets, end of year (000)	$	30,011		$	1,305,944		$	131,190		$	126,518		$	100,343

1 Less than $0.00005 per share.

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 29

Financial Highlights (continued) BlackRock Cash Funds: Treasury

	Premium
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0007			0.0200			0.0500			0.0500			0.0300
Net realized gain		0.0000	1		—			—			—			—
Net increase from investment operations		0.0007			0.0200			0.0500			0.0500			0.0300
Dividends from net investment income		(0.0007	)		(0.0200	)		(0.0500	)		(0.0500	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.08	%		1.57	%		4.90	%		4.99	%		3.15	%
Ratios to Average Net Assets2
Total expenses		0.19	%		0.20	%		0.23	%		0.23	%		0.17	%
Total expenses after expense reductions		0.08	%		0.07	%		0.09	%		0.05	%		0.05	%
Net investment income		0.09	%		1.17	%		4.44	%		4.61	%		3.83	%
Supplemental Data
Net assets, end of year (000)	$	2,542		$	65,095		$	61,513		$	2,112		$	2,546

1 Less than $0.00005 per share.

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

See Notes to Financial Statements.

30 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (continued) BlackRock Cash Funds: Treasury

	Select
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0007			0.0200			0.0500			0.0500			0.0300
Net realized gain		0.0000	1		—			—			—			—
Net increase from investment operations		0.0007			0.0200			0.0500			0.0500			0.0300
Dividends from net investment income		(0.0007	)		(0.0200	)		(0.0500	)		(0.0500	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.08	%		1.55	%		4.86	%		4.94	%		3.10	%
Ratios to Average Net Assets2
Total expenses		0.25	%		0.25	%		0.27	%		0.30	%		0.22	%
Total expenses after expense reductions		0.08	%		0.09	%		0.10	%		0.10	%		0.10	%
Net investment income		0.08	%		0.92	%		5.06	%		5.15	%		3.06	%
Supplemental Data
Net assets, end of year (000)	$	4,815		$	24,340		$	10,050		$	55,919		$	103

1 Less than $0.00005 per share.

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 31

Financial Highlights (continued) BlackRock Cash Funds: Treasury

	SL Agency
	Period from February 4, 20091 to December 31, 2009
Per Share Operating Performance
Net asset value, beginning of period	$	1.00
Net investment income		0.0008
Net realized gain		0.0000	2
Net increase from investment operations		0.0008
Dividends from net investment income		(0.0008	)
Net asset value, end of period	$	1.00
Total Investment Return
Based on net asset value		0.09	%3
Ratios to Average Net Assets4,5
Total expenses		0.12	%
Total expenses after expense reductions		0.07	%
Net investment income		0.08	%
Supplemental Data
Net assets, end of period (000)	$	4,009,074

1 Commencement of operations.

2 Less than $0.00005 per share.

3 Aggregate total investment return.

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

5 Annualized.

See Notes to Financial Statements.

32 ANNUAL REPORT DECEMBER 31, 2009

Financial Highlights (concluded) BlackRock Cash Funds: Treasury

	Trust
	Year Ended December 31,
	2009			2008			2007			2006			2005
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0007			0.0100			0.0500			0.0500			0.0300
Net realized gain		0.0000	1		—			—			—			—
Net increase from investment operations		0.0007			0.0100			0.0500			0.0500			0.0300
Dividends from net investment income		(0.0007	)		(0.0100	)		(0.0500	)		(0.0500	)		(0.0300	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Investment Return
Based on net asset value		0.08	%		1.45	%		4.61	%		4.70	%		2.86	%
Ratios to Average Net Assets2
Total expenses		0.47	%		0.47	%		0.51	%		0.52	%		0.45	%
Total expenses after expense reductions		0.08	%		0.01	%		0.36	%		0.33	%		0.33	%
Net investment income		0.08	%		0.05	%		4.65	%		4.60	%		2.83	%
Supplemental Data
Net assets, end of year (000)	$	55,618		$	94,654		$	50		$	108		$	103

1 Less than $0.00005 per share.

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

See Notes to Financial Statements.

ANNUAL REPORT DECEMBER 31, 2009 33

Notes to Financial Statements BlackRock Funds III

1. Organization and Significant Accounting Policies:

BlackRock Funds III (the “Trust”), is a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The Trust, formerly known as Barclays Global Investors Funds, Inc. (“BGIF”), was redomiciled from a Maryland corporation to a Delaware statutory trust effective January 11, 2002. The financial statements and these accompanying notes relate to four series of the Trust: BlackRock Cash Funds: Government (formerly Government Money Market Fund of BGIF), BlackRock Cash Funds: Institutional (formerly Institutional Money Market Fund of BGIF), BlackRock Cash Funds: Prime (formerly Prime Money Market Fund of BGIF) and BlackRock Cash Funds: Treasury (formerly Treasury Money Market Fund of BGIF) (each, a “Fund” and collectively, the “Funds”). Each Fund seeks to achieve its investment objective by investing substantially all of its assets in a separate series of Master Investment Portfolio (“MIP”): Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio (each, a “Master Portfolio” and collectively, the “Master Portfolios”). Each Master Portfolio has the same or substantially similar investment objective as its corresponding Fund. The performance of each Fund is directly affected by the performance of its corresponding Master Portfolio.

The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (100.00%, 96.04%, 94.51% and 96.40% for the BlackRock Cash Funds: Government, BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and BlackRock Cash Funds: Treasury, respectively, as of December 31, 2009).

The financial statements of the Master Portfolios, including the Schedules of Investments, accompanied by an unaudited summarized tabular presentation, are included elsewhere in this report and should be read in conjunction with the Funds’ financial statements. The Funds’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require management to make certain accruals and estimates. Actual results may differ from these estimates.

Each Fund offers multiple classes of shares although certain share classes may not be outstanding at report date. Each Fund offers the following classes of shares: Capital Shares, Institutional Shares, Premium Shares, Select Shares, SL Agency Shares and Trust Shares. BlackRock Cash Funds: Institutional also offers Aon Captives Shares. The SL Agency Shares commenced operations on February 4, 2009.

All classes of shares have identical voting, dividend, liquidation and other rights and the same terms and conditions and differ principally in administration and distribution fees. The Aon Captives shares have exclusive voting rights with respect to matters relating to their shareholder servicing expenditures.

The following is a summary of significant accounting policies followed by the Funds:

Valuation: Each Fund records its investment in its corresponding Master Portfolio at fair value.

Fair Value Measurements: Various inputs are used in determining the fair value of investments, which are as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

• 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)

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

As of December 31, 2009, each Fund’s investment in its corresponding Master Portfolio was classified as Level 2. More relevant disclosure regarding fair value measurements relates to the Master Portfolios, which is disclosed in Note 1 of the Master Portfolios’ Notes to Financial Statements included elsewhere in this report.

Investment Transactions and Net Investment Income: For financial reporting purposes, investment transactions in the Master Portfolios are accounted for on a trade date basis. Each Fund records daily its proportionate share of its corresponding Master Portfolio’s income, expense and realized and unrealized gains and losses. In addition, each Fund accrues its own expenses. Income and realized and unrealized gains and losses are allocated daily to each class based on the relative net assets of each class.

Dividends and Distributions to Shareholders: Distributions to shareholders from net investment income, if any, are declared daily and distributed monthly. Distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually. Dividends are determined separately for each class based on income and expenses allocable to each class.

34 ANNUAL REPORT DECEMBER 31, 2009

Notes to Financial Statements (continued) BlackRock Funds III

Income Taxes: It is each Fund’s policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Management has evaluated the tax positions of each Fund as of December 31, 2009 and has determined that no provision for income tax is required in the Funds’ financial statements. Each Fund files U.S. federal and state tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax return remains open for the years ended December 31, 2006 through December 31, 2009.

Recent Accounting Standards: In June 2009, amended guidance was issued by the Financial Accounting Standards Board (“FASB”) for transfers of financial assets. This guidance is intended to improve the relevance, representational faithfulness and comparability of the information that a reporting entity provides in its financial statements about a transfer of financial assets; the effects of a transfer on its financial position, financial performance, and cash flows; and a transferor’s continuing involvement, if any, in transferred financial assets. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after November 15, 2009. Earlier application is prohibited. The recognition and measurement provisions of this guidance must be applied to transfers occurring on or after the effective date. Additionally, the enhanced disclosure provisions of the amended guidance should be applied to transfers that occurred both before and after the effective date of this guidance. The impact of this guidance on the Funds’ financial statements and disclosures, if any, is currently being assessed.

In January 2010, the FASB issued amended guidance for improving disclosure about fair value measurements that adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. The impact of this guidance on the Funds’ financial statements and disclosures, if any, is currently being assessed.

Other: Expenses directly related to each Fund or its classes are charged to that Fund or class. Other operating expenses shared by several funds are pro-rated among those funds on the basis of relative net assets or other appropriate methods. Other expenses of each Fund are allocated daily to each class based on its relative net assets.

2. Transactions with Affiliates:

On December 1, 2009, Barclays PLC (“Barclays”) completed the sale of its interest in Barclays Global Investors, N.A. (“BGI”) and affiliated companies to BlackRock, Inc. (“BlackRock”). BGI was renamed BlackRock Institutional Trust Company, N.A. (“BTC”) and is a wholly-owned subsidiary of BlackRock.

The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays are the largest stockholders of BlackRock. Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but BAC and Barclays are not.

The Trust has entered into an administration services arrangement with BTC, which has agreed to provide general administration services (other than investment advice and related portfolio activities). BTC, 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. BTC is entitled to receive for these administration services an annual fee based on the average daily net assets of each Fund as follows:

Share Classes
Aon Captives	Capital	Institutional	Premium	Select	SL Agency