Schedule of Investments (unaudited) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
1 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
2 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
3 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
4 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
5 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
6 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
7 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
8 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
9 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
10 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
11 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
12 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
13 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
14 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
15 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
16 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
17 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
18 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
19 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
20 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
21 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
22 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
23 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
24 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
25 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
26 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
27 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
28 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
29 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
30 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
31 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
32 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
33 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
34 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
35 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
36 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
37 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
38 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
39 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
40 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
41 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
42 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
43 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
44 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
45 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
46 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
47 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
48 |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
49 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio |
Affiliates
Investments in issuers considered to be affiliate(s) of the Master Portfolio during the period ended September 30, 2020, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 12/31/19 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 09/30/20 |
Shares Held at 09/30/20 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 2,222,272,575 | $ | 1,224,490,017 | (a) | $ | | $ | 955,404 | $ | 3,133,148 | $ | 3,450,851,144 | 3,447,748,171 | $ | 15,027,854 | (b) | $ | | |||||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
100,000 | | | | | 100,000 | 100,000 | 411 | | |||||||||||||||||||||||||||||
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$ | 955,404 | $ | 3,133,148 | $ | 3,450,951,144 | $ | 15,028,265 | $ | | |||||||||||||||||||||||||||||
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(a) | Represents net amount purchased (sold). |
(b) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| Level 1 Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access |
| Level 2 Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other marketcorroborated inputs) |
| Level 3 Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committees (the Global Valuation Committees) assumptions used in determining the fair value of financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Master Portfolios policy regarding valuation of financial instruments, refer to its most recent financial statements.
The following table summarizes the Master Portfolios investments categorized in the disclosure hierarchy. The breakdown of the Master Portfolios investments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 43,995,719 | $ | | $ | 43,995,719 | ||||||||
Corporate Bonds |
| 3,657,910,051 | | 3,657,910,051 | ||||||||||||
Foreign Agency Obligations |
| 432,659,890 | | 432,659,890 | ||||||||||||
Municipal Bonds |
| 91,079,833 | | 91,079,833 | ||||||||||||
Non-Agency Mortgage-Backed Securities |
| 168,114,674 | | 168,114,674 | ||||||||||||
Preferred Securities |
||||||||||||||||
Capital Trusts |
| 3,036,729 | | 3,036,729 | ||||||||||||
U.S. Government Sponsored Agency Securities |
| 4,099,311,578 | | 4,099,311,578 | ||||||||||||
U.S. Treasury Obligations |
| 4,930,730,355 | | 4,930,730,355 |
50 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
U.S. Total Bond Index Master Portfolio |
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Short-Term Securities |
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Money Market Funds |
$ | 3,450,951,144 | $ | | $ | | $ | 3,450,951,144 | ||||||||
Liabilities |
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Investments |
||||||||||||||||
TBA Sale Commitments |
| (230,041,524 | ) | | (230,041,524 | ) | ||||||||||
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$ | 3,450,951,144 | $ | 13,196,797,305 | $ | | $ | 16,647,748,449 | |||||||||
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Portfolio Abbreviation
AGM | Assured Guaranty Municipal Corp. | |
ARB | Airport Revenue Bonds | |
BAB | Build America Bond | |
CMT | Constant Maturity Treasury | |
DAC | Designated Activity Company | |
GO | General Obligation Bonds | |
LIBOR | London Interbank Offered Rate | |
NPFGC | National Public Finance Guarantee Corp. | |
RB | Revenue Bond | |
SAB | Special Assessment Bonds | |
SCA | Svenska Celluosa Aktiebolaget | |
TBA | To-Be-Announced |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S |
51 |