UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-02405, 811-09739 and 811-21434
Name of Fund: BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC, 55 East 52nd Street, New York, NY 10055
Registrants’ telephone number, including area code: (800) 441-7762
Date of fiscal year end: 09/30/2011
Date of reporting period: 06/30/2011
Item 1 – Schedule of Investments
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Schedule of Investments June 30, 2011 (Unaudited) |
BlackRock Balanced Capital Fund, Inc. |
(Percentages shown are based on Net Assets) |
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Mutual Funds |
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Value |
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Master Large Cap Core Portfolio of Master Large Cap Series LLC |
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$ |
709,916,699 |
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Master Total Return Portfolio of Master Bond LLC |
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469,796,843 |
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Total Mutual Funds (Cost $1,181,592,196) 99.3% |
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1,179,713,542 |
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Short-Term Securities |
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Shares |
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BlackRock Liquidity Funds, TempFund,
Institutional Class, |
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Total Short-Term Securities (Cost - $9,279,243) 0.8% |
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9,279,243 |
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9,279,243 |
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Total Investments (Cost - $1,190,871,439) 100.1% |
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1,188,992,785 |
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Liabilities in Excess of Other Assets (0.1)% |
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(1,591,526) |
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Net Assets 100.0% |
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$ |
1,187,401,259 |
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(a) |
Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, are as follows: |
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Affiliate |
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Shares
Held at |
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Net Activity |
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Shares Held |
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Income |
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BlackRock Liquidity Funds, TempFund, Institutional Class |
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8,606,763 |
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672,480 |
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9,279,243 |
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$ |
5,386 |
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(b) |
Represents the current yield as of report date. |
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BlackRock Balanced Capital Fund, Inc. (the Fund) seeks to achieve its investment objective by investing all of its assets in Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC (collectively the Master Portfolios), which have the same investment objective and strategies as the Fund. As of June 30, 2011, the value of the investment and the percentage owned by the Fund of Master Large Cap Core Portfolio and Master Total Return Portfolio was $709,916,699 and $469,796,843, respectively and 21.1% and 11.3%, respectively. |
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The Fund records its investments in the Master Portfolios at fair value. The Funds investments in the Master Portfolios are valued pursuant to the pricing policies approved by the Board of Directors of the Master Portfolios. |
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Fair Value Measurements - Various inputs are used in determining the fair value of investments. These inputs are categorized in three broad levels for financial reporting purposes as follows: |
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Level 1 price quotations in active markets/exchanges for identical assets and liabilities |
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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) |
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Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds own assumptions used in determining the fair value of investments) |
The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Funds perceived risk of investing in those securities. For information about the Funds policy regarding valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements as contained in its semi-annual report.
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BLACKROCK BALANCED CAPITAL FUND, INC. |
JUNE 30, 2011 |
1 |
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Schedule of Investments (concluded) |
BlackRock Balanced Capital Fund, Inc. |
The following table summarizes the inputs used as of June 30, 2011 in determining the fair valuation of the Funds investments:
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Valuation Inputs |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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Assets: |
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Investments: |
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Long-Term Investments: |
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Mutual Funds |
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$ |
1,179,713,542 |
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$ |
1,179,713,542 |
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Short-Term Securities |
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$ |
9,279,243 |
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9,279,243 |
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Total |
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$ |
9,279,243 |
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$ |
1,179,713,542 |
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$ |
1,188,992,785 |
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2 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
JUNE 30, 2011 |
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Schedule of Investments June 30, 2011 (Unaudited) |
Master Large Cap Core Portfolio |
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Common Stocks |
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Shares |
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Value |
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Consumer Discretionary 14.1% |
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Auto Components 0.4% |
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TRW Automotive Holdings Corp. (a) |
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220,000 |
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$ |
12,986,600 |
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Diversified Consumer Services 3.5% |
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Apollo Group, Inc., Class A (a) |
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760,000 |
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33,196,800 |
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Career Education Corp. (a) |
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820,000 |
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17,343,000 |
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H&R Block, Inc. |
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2,110,000 |
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33,844,400 |
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ITT Educational Services, Inc. (a)(b) |
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440,000 |
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34,425,600 |
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118,809,800 |
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Leisure Equipment & Products 0.1% |
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Polaris Industries, Inc. |
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40,000 |
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4,446,800 |
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Media 6.2% |
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CBS Corp., Class B |
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1,410,000 |
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40,170,900 |
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DIRECTV, Class A (a) |
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850,000 |
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43,197,000 |
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DISH Network Corp. (a) |
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1,200,000 |
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36,804,000 |
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Gannett Co., Inc. |
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580,000 |
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8,305,600 |
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Interpublic Group of Cos., Inc. |
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2,960,000 |
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37,000,000 |
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Liberty Media Holding Corp. - |
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270,000 |
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23,152,500 |
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Sirius XM Radio, Inc. (a)(b) |
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8,400,000 |
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18,396,000 |
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207,026,000 |
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Specialty Retail 3.9% |
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Foot Locker, Inc. |
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1,420,000 |
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33,739,200 |
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Limited Brands, Inc. |
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890,000 |
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34,220,500 |
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PetSmart, Inc. |
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750,000 |
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34,027,500 |
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Williams-Sonoma, Inc. |
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810,000 |
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29,556,900 |
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131,544,100 |
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Total Consumer Discretionary |
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474,813,300 |
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Consumer Staples 7.0% |
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Beverages 2.0% |
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Coca-Cola Enterprises, Inc. |
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470,000 |
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13,714,600 |
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Constellation Brands, Inc., Class A (a) |
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830,000 |
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17,280,600 |
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Dr. Pepper Snapple Group, Inc. |
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850,000 |
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35,640,500 |
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66,635,700 |
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Food & Staples Retailing 1.1% |
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The Kroger Co. |
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1,490,000 |
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36,952,000 |
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Food Products 0.7% |
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Flowers Foods, Inc. |
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100,000 |
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2,204,000 |
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Smithfield Foods, Inc. (a) |
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990,000 |
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21,651,300 |
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23,855,300 |
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Household Products 0.3% |
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The Procter & Gamble Co. |
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150,000 |
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9,535,500 |
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Personal Products 1.1% |
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Herbalife Ltd. |
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640,000 |
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36,889,600 |
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Tobacco 1.8% |
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Philip Morris International, Inc. |
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920,000 |
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61,428,400 |
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Total Consumer Staples |
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235,296,500 |
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Common Stocks |
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Shares |
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Value |
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Energy 10.7% |
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Energy
Equipment & |
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Exterran Holdings, Inc. (a) |
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460,000 |
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$ |
9,121,800 |
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Helmerich & Payne, Inc. |
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130,000 |
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8,595,600 |
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McDermott International, Inc. (a) |
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1,540,000 |
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30,507,400 |
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48,224,800 |
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Oil, Gas
& Consumable |
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Chevron Corp. |
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190,000 |
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19,539,600 |
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Exxon Mobil Corp. |
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870,000 |
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70,800,600 |
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Frontier Oil Corp. |
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1,040,000 |
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|
33,602,400 |
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HollyFrontier Corp. |
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500,000 |
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34,700,000 |
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Marathon Oil Corp. |
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840,000 |
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44,251,200 |
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Murphy Oil Corp. |
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500,000 |
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|
32,830,000 |
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Tesoro Corp. (a) |
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1,590,000 |
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|
36,426,900 |
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Valero Energy Corp. |
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1,530,000 |
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|
39,122,100 |
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311,272,800 |
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Total Energy |
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359,497,600 |
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Financials 5.5% |
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Capital Markets 1.1% |
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SEI Investments Co. |
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160,000 |
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|
3,601,600 |
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TD Ameritrade Holding Corp. |
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|
1,770,000 |
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|
34,532,700 |
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38,134,300 |
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Consumer Finance 1.4% |
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Capital One Financial Corp. |
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140,000 |
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|
7,233,800 |
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Discover Financial Services, Inc. |
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|
1,440,000 |
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|
38,520,000 |
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45,753,800 |
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Diversified
Financial |
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JPMorgan Chase & Co. |
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210,000 |
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|
8,597,400 |
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Leucadia National Corp. |
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|
340,000 |
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|
11,594,000 |
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Moodys Corp. |
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|
280,000 |
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|
10,738,000 |
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The NASDAQ Stock Market, Inc. (a) |
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1,440,000 |
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36,432,000 |
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|
67,361,400 |
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Insurance 1.0% |
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Assurant, Inc. |
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780,000 |
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|
28,290,600 |
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Principal Financial Group, Inc. |
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210,000 |
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|
6,388,200 |
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34,678,800 |
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Total Financials |
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185,928,300 |
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Health Care 21.4% |
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Biotechnology 3.0% |
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Amgen, Inc. (a) |
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790,000 |
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|
46,096,500 |
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Biogen Idec, Inc. (a) |
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|
390,000 |
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|
41,698,800 |
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Myriad Genetics, Inc. (a) |
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|
610,000 |
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|
13,853,100 |
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|
101,648,400 |
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Health Care Equipment & Supplies 0.4% |
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Baxter International, Inc. |
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230,000 |
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|
13,728,700 |
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Health Care Providers & Services 10.3% |
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AMERIGROUP Corp. (a) |
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|
80,000 |
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|
5,637,600 |
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MASTER LARGE CAP SERIES LLC |
JUNE 30, 2011 |
1 |
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Schedule of Investments (continued) |
Master Large Cap Core Portfolio |
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Common Stocks |
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Shares |
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Value |
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Health Care (concluded) |
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Health Care Providers & Services (concluded) |
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Aetna, Inc. |
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820,000 |
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$ |
36,153,800 |
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AmerisourceBergen Corp. |
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|
880,000 |
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|
36,432,000 |
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CIGNA Corp. |
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710,000 |
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36,515,300 |
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Cardinal Health, Inc. |
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820,000 |
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|
37,244,400 |
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Coventry Health Care, Inc. (a) |
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|
840,000 |
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|
30,634,800 |
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Health Management Associates, |
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3,180,000 |
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|
34,280,400 |
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Humana, Inc. |
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170,000 |
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|
13,691,800 |
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Lincare Holdings, Inc. |
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|
510,000 |
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|
14,927,700 |
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McKesson Corp. |
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50,000 |
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|
4,182,500 |
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Tenet Healthcare Corp. (a) |
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1,030,000 |
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|
6,427,200 |
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UnitedHealth Group, Inc. |
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|
920,000 |
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|
47,453,600 |
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WellPoint, Inc. |
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|
530,000 |
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|
41,748,100 |
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345,329,200 |
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Life
Sciences Tools & |
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Illumina, Inc. (a) |
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|
360,000 |
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|
27,054,000 |
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Pharmaceutical Product |
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|
650,000 |
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|
17,446,000 |
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|
44,500,000 |
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Pharmaceuticals 6.4% |
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Bristol-Myers Squibb Co. |
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1,530,000 |
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|
44,308,800 |
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Eli Lilly & Co. |
|
|
1,180,000 |
|
|
44,285,400 |
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Forest Laboratories, Inc. (a) |
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|
970,000 |
|
|
38,159,800 |
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Johnson & Johnson |
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|
200,000 |
|
|
13,304,000 |
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Pfizer, Inc. |
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|
3,600,000 |
|
|
74,160,000 |
|
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|
|
|
|
|
214,218,000 |
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Total Health Care |
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|
719,424,300 |
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Industrials 6.5% |
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Aerospace & Defense 0.9% |
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Raytheon Co. |
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|
590,000 |
|
|
29,411,500 |
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Airlines 1.1% |
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Southwest Airlines Co. |
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3,200,000 |
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|
36,544,000 |
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Commercial Services & Supplies 0.2% |
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|
|
Avery Dennison Corp. |
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|
180,000 |
|
|
6,953,400 |
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Construction
& |
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Chicago Bridge & Iron Co. NV |
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|
310,000 |
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|
12,059,000 |
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Fluor Corp. |
|
|
570,000 |
|
|
36,856,200 |
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KBR, Inc. |
|
|
680,000 |
|
|
25,629,200 |
|
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|
|
|
|
|
74,544,400 |
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Industrial Conglomerates 0.6% |
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General Electric Co. |
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|
1,080,000 |
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|
20,368,800 |
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Machinery 1.5% |
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AGCO Corp. (a) |
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|
210,000 |
|
|
10,365,600 |
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Manitowoc Co. |
|
|
1,630,000 |
|
|
27,449,200 |
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Timken Co. |
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|
250,000 |
|
|
12,600,000 |
|
|
|
|
|
|
|
50,414,800 |
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Total Industrials |
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|
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218,236,900 |
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Common Stocks |
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Shares |
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Value |
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Information Technology 25.1% |
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Communications Equipment 1.1% |
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Motorola Solutions, Inc. (a) |
|
|
810,000 |
|
$ |
37,292,400 |
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Computers & Peripherals 5.2% |
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|
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|
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Apple, Inc. (a) |
|
|
130,000 |
|
|
43,637,100 |
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Dell, Inc. (a)(b) |
|
|
2,470,000 |
|
|
41,174,900 |
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Lexmark International, Inc., |
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Class A (a) |
|
|
850,000 |
|
|
24,871,000 |
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Seagate Technology |
|
|
2,070,000 |
|
|
33,451,200 |
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Western Digital Corp. (a) |
|
|
910,000 |
|
|
33,105,800 |
|
|
|
|
|
|
|
176,240,000 |
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Electronic
Equipment, Instruments |
|
|
|
|
|
|
|
Corning, Inc. |
|
|
1,980,000 |
|
|
35,937,000 |
|
Vishay Intertechnology, Inc. (a) |
|
|
2,050,000 |
|
|
30,832,000 |
|
|
|
|
|
|
|
66,769,000 |
|
Internet Software & Services 0.2% |
|
|
|
|
|
|
|
Rackspace Hosting, Inc. (a) |
|
|
180,000 |
|
|
7,693,200 |
|
IT Services 2.1% |
|
|
|
|
|
|
|
Global Payments, Inc. |
|
|
270,000 |
|
|
13,770,000 |
|
International Business Machines |
|
|
100,000 |
|
|
17,155,000 |
|
SAIC, Inc. (a) |
|
|
200,000 |
|
|
3,364,000 |
|
The Western Union Co. |
|
|
1,860,000 |
|
|
37,255,800 |
|
|
|
|
|
|
|
71,544,800 |
|
Semiconductors
& Semiconductor |
|
|
|
|
|
|
|
Altera Corp. |
|
|
850,000 |
|
|
39,397,500 |
|
Applied Materials, Inc. |
|
|
2,950,000 |
|
|
38,379,500 |
|
Atmel Corp. (a) |
|
|
2,430,000 |
|
|
34,190,100 |
|
Cypress Semiconductor Corp. (a) |
|
|
1,520,000 |
|
|
32,132,800 |
|
Fairchild Semiconductor |
|
|
1,300,000 |
|
|
21,723,000 |
|
Lam Research Corp. (a) |
|
|
800,000 |
|
|
35,424,000 |
|
Maxim Integrated Products, Inc. |
|
|
1,430,000 |
|
|
36,550,800 |
|
Novellus Systems, Inc. (a) |
|
|
1,010,000 |
|
|
36,501,400 |
|
Nvidia Corp. (a) |
|
|
2,030,000 |
|
|
32,348,050 |
|
ON Semiconductor Corp. (a) |
|
|
3,150,000 |
|
|
32,980,500 |
|
Teradyne, Inc. (a) |
|
|
2,380,000 |
|
|
35,224,000 |
|
|
|
|
|
|
|
374,851,650 |
|
Software 3.3% |
|
|
|
|
|
|
|
Autodesk, Inc. (a) |
|
|
770,000 |
|
|
29,722,000 |
|
Cadence Design Systems, Inc. (a) |
|
|
2,250,000 |
|
|
23,760,000 |
|
Microsoft Corp. |
|
|
640,000 |
|
|
16,640,000 |
|
Symantec Corp. (a) |
|
|
2,020,000 |
|
|
39,834,400 |
|
|
|
|
|
|
|
109,956,400 |
|
Total Information Technology |
|
|
|
|
|
844,347,450 |
|
Materials 4.5% |
|
|
|
|
|
|
|
Chemicals 0.8% |
|
|
|
|
|
|
|
Huntsman Corp. |
|
|
1,440,000 |
|
|
27,144,000 |
|
Westlake Chemical Corp. |
|
|
10,000 |
|
|
519,000 |
|
|
|
|
|
|
|
27,663,000 |
|
|
|
|
|
|
|
MASTER LARGE CAP SERIES LLC |
JUNE 30, 2011 |
2 |
|
|
|
|
Schedule of Investments (continued) |
Master Large Cap Core Portfolio |
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
Value |
|
||
Materials (concluded) |
|
|
|
|
|
|
|
Containers & Packaging 0.4% |
|
|
|
|
|
|
|
Ball Corp. |
|
|
170,000 |
|
$ |
6,538,200 |
|
Sealed Air Corp. |
|
|
260,000 |
|
|
6,185,400 |
|
|
|
|
|
|
|
12,723,600 |
|
Metals & Mining 2.2% |
|
|
|
|
|
|
|
Alcoa, Inc. |
|
|
2,270,000 |
|
|
36,002,200 |
|
Cliffs Natural Resources, Inc. |
|
|
420,000 |
|
|
38,829,000 |
|
|
|
|
|
|
|
74,831,200 |
|
Paper & Forest Products 1.1% |
|
|
|
|
|
|
|
Domtar Corp. |
|
|
90,000 |
|
|
8,524,800 |
|
MeadWestvaco Corp. |
|
|
840,000 |
|
|
27,980,400 |
|
|
|
|
|
|
|
36,505,200 |
|
Total Materials |
|
|
|
|
|
151,723,000 |
|
Telecommunication |
|
|
|
|
|
|
|
Diversified Telecommunication Services 0.4% |
|
|
|
|
|
|
|
AT&T, Inc. |
|
|
410,000 |
|
|
12,878,100 |
|
Wireless
Telecommunication |
|
|
|
|
|
|
|
MetroPCS Communications, Inc. (a) |
|
|
2,100,000 |
|
|
36,141,000 |
|
Sprint Nextel Corp. (a) |
|
|
7,210,000 |
|
|
38,861,900 |
|
|
|
|
|
|
|
75,002,900 |
|
Total Telecommunication Services |
|
|
|
|
|
87,881,000 |
|
Utilities 2.6% |
|
|
|
|
|
|
|
Independent
Power Producers & |
|
|
|
|
|
|
|
The AES Corp. (a) |
|
|
2,890,000 |
|
|
36,818,600 |
|
NRG Energy, Inc. (a) |
|
|
1,480,000 |
|
|
36,378,400 |
|
|
|
|
|
|
|
73,197,000 |
|
Multi-Utilities 0.4% |
|
|
|
|
|
|
|
Ameren Corp. |
|
|
490,000 |
|
|
14,131,600 |
|
Total Utilities |
|
|
|
|
|
87,328,600 |
|
Total
Long-Term Investments |
|
|
|
|
|
3,364,476,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
Beneficial |
|
Value |
|
||
BlackRock Liquidity Series, LLC |
|
$ |
37,697 |
|
|
37,697,475 |
|
Total
Short-Term Securities |
|
|
|
|
|
37,697,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value |
|
|
Total
Investments |
|
|
|
|
$ |
3,402,174,425 |
|
Liabilities in Excess of Other Assets (1.1)% |
|
|
|
|
|
(36,744,643 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
3,365,429,782 |
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of June 30, 2011, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
Aggregate cost |
|
$ |
2,853,438,149 |
|
Gross unrealized appreciation |
|
$ |
613,738,269 |
|
Gross unrealized depreciation |
|
|
(65,001,993 |
) |
Net unrealized appreciation |
|
$ |
548,736,276 |
|
|
|
(a) |
Non-income producing security. |
|
|
(b) |
Security, or a portion of security, is on loan. |
|
|
(c) |
Investments in companies considered to be an affiliate of the Master LLC during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Beneficial |
|
Net |
|
Beneficial |
|
Income |
|
||||
BlackRock |
|
|
|
|
|
|
|
|
|
|
$ |
564 |
|
BlackRock |
|
$ |
113,624,600 |
|
$ |
(75,927,125 |
) |
$ |
37,697,475 |
|
$ |
53,505 |
|
|
|
(d) |
Represents the current yield as of report date. |
|
|
(e) |
Security was purchased with the cash collateral from loaned securities. |
|
|
|
For Portfolio compliance purposes, the Portfolios 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 rating group indexes, and/or as defined by Portfolio management. These definitions may not apply for purposes of this report, which may combine such sector and industry sub-classifications for reporting ease. |
|
|
|
|
|
|
MASTER LARGE CAP SERIES LLC |
JUNE 30, 2011 |
3 |
|
|
|
|
Schedule of Investments (concluded) |
Master Large Cap Core Portfolio |
|
|
|
|
|
Fair Value Measurements Various inputs are used in determining the fair value of investments. These inputs are categorized in three broad levels for financial reporting purposes 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 Portfolios own assumptions used in determining the fair value of investments) |
The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Portfolios perceived risk of investing in those securities. For information about the Portfolios policy regarding valuation of investments and other significant accounting policies, please refer to the Portfolios most recent financial statements as contained in its semi-annual report.
The following table summarizes the inputs used as of June 30, 2011 in determining the fair valuation of the Portfolios investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments1 |
|
$ |
3,364,476,950 |
|
|
|
|
|
|
|
$ |
3,364,476,950 |
|
Short-Term Securities |
|
|
|
|
$ |
37,697,475 |
|
|
|
|
|
37,697,475 |
|
Total |
|
$ |
3,364,476,950 |
|
$ |
37,697,475 |
|
|
|
|
$ |
3,402,174,425 |
|
|
|
|
|
1 |
See above Schedule of Investments for values in each sector and industry. |
|
|
|
|
|
|
MASTER LARGE CAP SERIES LLC |
JUNE 30, 2011 |
4 |
|
|
|
|
Schedule of Investments June 30, 2011 (Unaudited) |
Master
Total Return Portfolio of Master Bond LLC |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
321 Henderson Receivables I LLC (a): |
|
|
|
|
|
|
|
Series
2010-1A, Class A, |
|
USD |
9,142 |
|
$ |
9,793,087 |
|
Series
2010-2A, Class A, |
|
|
4,725 |
|
|
4,789,714 |
|
Series
2010-3A, Class A, |
|
|
8,964 |
|
|
8,860,795 |
|
ACE Securities Corp. (b): |
|
|
|
|
|
|
|
Series
2003-OP1, Class A2, |
|
|
581 |
|
|
471,239 |
|
Series
2005-ASP1, Class M1, |
|
|
11,203 |
|
|
3,622,412 |
|
Series
2006-CW1, Class A2C, |
|
|
1,680 |
|
|
942,433 |
|
Bear Stearns Asset-Backed Securities |
|
|
|
|
|
|
|
Series
2005-4, Class A, |
|
|
117 |
|
|
116,228 |
|
Series
2006-HE10, Class |
|
|
3,372 |
|
|
3,163,239 |
|
Capital One Multi-Asset Execution Trust |
|
|
|
|
|
|
|
Series
2006-A5, Class A5, |
|
|
3,310 |
|
|
3,300,239 |
|
Series 4-3C, 6.63%, 4/19/17 |
|
GBP |
3,400 |
|
|
5,671,680 |
|
Capmark Finance, 7.43%, |
|
|
8,843 |
|
|
8,843,184 |
|
Carrington Mortgage Loan Trust, |
|
USD |
61 |
|
|
60,216 |
|
Citibank Omni Master Trust (a): |
|
|
|
|
|
|
|
Series
2009-A8, Class A8, |
|
|
26,370 |
|
|
26,687,397 |
|
Series
2009-A12, Class A12, |
|
|
5,860 |
|
|
5,999,210 |
|
Series
2009-A13, Class A13, |
|
|
9,045 |
|
|
9,889,261 |
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
Countrywide Asset-Backed Certificates (b): |
|
|
|
|
|
|
|
Series
2003-BC3, Class A2, |
|
USD |
868 |
|
$ |
734,123 |
|
Series
2004-5, Class A, |
|
|
1,194 |
|
|
1,001,431 |
|
Series
2006-13, Class 3AV2, |
|
|
2,366 |
|
|
1,652,503 |
|
Series
2006-17, Class 2A2, |
|
|
1,155 |
|
|
739,517 |
|
Series
2006-25, Class 2A1, |
|
|
33 |
|
|
32,972 |
|
Series
2007-1, Class 2A1, |
|
|
143 |
|
|
139,888 |
|
Series
2007-11, Class 2A1, |
|
|
35 |
|
|
34,211 |
|
Series
2007-12, Class 2A1, |
|
|
80 |
|
|
75,915 |
|
DT Auto Owner Trust, Series 2011- |
|
|
3,899 |
|
|
3,875,850 |
|
Fannie Mae Mortgage-Backed |
|
|
14 |
|
|
13,349 |
|
GSAA Home Equity Trust, Series |
|
|
34 |
|
|
16,083 |
|
Globaldrive BV, Series 2008-2, |
|
EUR |
3,647 |
|
|
5,324,951 |
|
Home Equity Asset Trust, Series |
|
USD |
161 |
|
|
156,768 |
|
Lehman XS Trust, Series 2005-5N, |
|
|
8,340 |
|
|
3,205,105 |
|
Morgan Stanley ABS Capital I, |
|
|
820 |
|
|
728,825 |
|
|
Portfolio Abbreviations |
To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:
|
|
AUD |
Australian Dollar |
CAD |
Canadian Dollar |
CHF |
Swiss Franc |
CLP |
Chilean Peso |
CNY |
Chinese Yuan Renminbi |
CZK |
Czech Republic Koruna |
EUR |
Euro |
FKA |
Formerly Known As |
GBP |
British Pound |
GO |
General Obligation Bonds |
HKD |
Hong Kong Dollar |
HUF |
Hungarian Forint |
IDR |
Indonesian Rupiah |
ILS |
Israeli New Shekel |
JPY |
Japanese Yen |
KRW |
South Korean Won |
LIBOR |
London InterBank Offered Rate |
MBIA |
Municipal Bond Investors Assurance |
MXN |
Mexican New Peso |
MYR |
Malaysian Ringgit |
NOK |
Norwegian Krone |
NZD |
New Zealand Dollar |
PLN |
Polish Zloty |
RB |
Revenue Bonds |
RUB |
Russian Ruble |
SEK |
Swedish Krona |
TBA |
To Be Announced |
TRY |
Turkish Lira |
TWD |
Taiwan Dollar |
USD |
US Dollar |
ZAR |
South African Rand |
|
|
|
|
|
|
|
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
1 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
Nelnet Student Loan Trust, Series |
|
USD |
11,905 |
|
$ |
11,268,009 |
|
New Century Home Equity Loan |
|
|
2,543 |
|
|
2,443,725 |
|
Option One Mortgage Loan Trust, |
|
|
1,850 |
|
|
1,508,963 |
|
RAAC, Series 2005-SP2, Class 2A, |
|
|
6,739 |
|
|
4,794,214 |
|
Residential Asset Securities Corp., |
|
|
820 |
|
|
530,858 |
|
Scholar Funding Trust, Series |
|
|
6,461 |
|
|
6,432,920 |
|
SLM Student Loan Trust (b): |
|
|
|
|
|
|
|
Series
2004-A, Class A3, |
|
|
1,905 |
|
|
1,663,650 |
|
Series
2004-B, Class A2, |
|
|
7,066 |
|
|
6,891,819 |
|
Series
2008-5, Class A3, |
|
|
9,520 |
|
|
9,779,896 |
|
Series
2008-5, Class A4, |
|
|
30,815 |
|
|
32,201,062 |
|
Series
2009-B, Class A1, |
|
|
10,036 |
|
|
9,554,470 |
|
Series
2010-C, Class A1, |
|
|
6,792 |
|
|
6,838,700 |
|
Santander Consumer Acquired |
|
|
|
|
|
|
|
Series
2011-S1A, Class B, |
|
|
6,931 |
|
|
6,933,130 |
|
Series
2011-S1A, Class C, |
|
|
6,224 |
|
|
6,223,768 |
|
Series
2011-WO, Class C, |
|
|
6,580 |
|
|
6,649,812 |
|
Santander Drive Auto Receivables Trust: |
|
|
|
|
|
|
|
Series
2010-2, Class B, |
|
|
8,380 |
|
|
8,407,573 |
|
Series
2010-2, Class C, |
|
|
9,885 |
|
|
10,121,663 |
|
Series
2010-B, Class B, |
|
|
7,668 |
|
|
7,734,408 |
|
Series
2010-B, Class C, |
|
|
8,015 |
|
|
8,194,706 |
|
Series
2011-1, Class D, |
|
|
9,755 |
|
|
9,686,657 |
|
Series
2011-S1A, Class B, |
|
|
7,051 |
|
|
7,056,968 |
|
Series
2011-S1A, Class D, |
|
|
5,831 |
|
|
5,837,983 |
|
Small Business Administration: |
|
|
|
|
|
|
|
Series
2002-P10, Class 1, |
|
|
79 |
|
|
82,416 |
|
Series
2003-P10A, Class 1, |
|
|
9 |
|
|
9,343 |
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
Small Business Administration |
|
|
|
|
|
|
|
Series
2004-P10, Class 1, |
|
USD |
214 |
|
$ |
224,702 |
|
Soundview Home Equity Loan |
|
|
253 |
|
|
247,016 |
|
Structured Asset Securities Corp.: |
|
|
|
|
|
|
|
Series
2003-Al2, Class A, |
|
|
455 |
|
|
418,950 |
|
Series
2004-23XS, Class 2A1, |
|
|
2,353 |
|
|
1,652,137 |
|
Series
2005-GEL2, Class A, |
|
|
754 |
|
|
678,413 |
|
Series
2006-BC6, Class A2, |
|
|
2,591 |
|
|
2,548,959 |
|
Series
2007-BC1, Class A2, |
|
|
499 |
|
|
482,980 |
|
Total Asset-Backed Securities 6.9% |
|
|
|
|
|
287,041,695 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
|
|
|
|
Media 0.0% |
|
|
|
|
|
|
|
McClatchy Co., Class A (c) |
|
|
224,455 |
|
|
630,719 |
|
Total Common Stocks 0.0% |
|
|
|
|
|
630,719 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
|
|
|
Aerospace & Defense 0.1% |
|
|
|
|
|
|
|
Finmeccanica Finance SA, 5.25%, |
|
EUR |
2,200 |
|
|
3,181,827 |
|
Air Freight & Logistics 0.1% |
|
|
|
|
|
|
|
PostNL NV, 5.38%, 11/14/17 |
|
|
3,500 |
|
|
5,288,929 |
|
Auto Components 0.1% |
|
|
|
|
|
|
|
BorgWarner, Inc., 4.63%, 9/15/20 |
|
USD |
2,925 |
|
|
2,981,011 |
|
Beverages 0.2% |
|
|
|
|
|
|
|
Anheuser-Busch InBev Worldwide, |
|
|
8,165 |
|
|
8,994,548 |
|
Capital Markets 3.1% |
|
|
|
|
|
|
|
CDP Financial, Inc. (a): |
|
|
|
|
|
|
|
3.00%, 11/25/14 |
|
|
17,845 |
|
|
18,563,101 |
|
4.40%, 11/25/19 |
|
|
10,420 |
|
|
10,670,768 |
|
Credit Suisse AG: |
|
|
|
|
|
|
|
2.60%, 5/27/16 (a) |
|
|
6,330 |
|
|
6,314,934 |
|
5.40%, 1/14/20 |
|
|
2,820 |
|
|
2,854,906 |
|
Credit Suisse Group Finance US, |
|
EUR |
830 |
|
|
1,141,000 |
|
Deutsche Bank AG, 5.00%, |
|
|
4,000 |
|
|
5,695,341 |
|
|
|
|
|
|
|
|
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
2 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Capital Markets (concluded) |
|
|
|
|
|
|
|
The Goldman Sachs Group, Inc.: |
|
|
|
|
|
|
|
5.25%, 10/15/13 |
|
USD |
7,960 |
|
$ |
8,540,594 |
|
3.70%, 8/01/15 |
|
|
15,790 |
|
|
16,078,452 |
|
3.63%, 2/07/16 |
|
|
36,006 |
|
|
36,396,953 |
|
Lehman Brothers Holdings, Inc., |
|
|
7,360 |
|
|
3,680 |
|
Morgan Stanley: |
|
|
|
|
|
|
|
2.76%, 5/14/13 (b) |
|
|
17,250 |
|
|
17,710,920 |
|
4.00%, 7/24/15 |
|
|
4,450 |
|
|
4,528,725 |
|
|
|
|
|
|
|
128,499,374 |
|
Chemicals 0.2% |
|
|
|
|
|
|
|
CF Industries, Inc., 7.13%, |
|
|
6,863 |
|
|
7,986,816 |
|
The Dow Chemical Co., 4.25%, |
|
|
2,145 |
|
|
2,093,422 |
|
|
|
|
|
|
|
10,080,238 |
|
Commercial Banks 7.1% |
|
|
|
|
|
|
|
Banco Espirito Santo SA, 3.88%, |
|
EUR |
1,850 |
|
|
2,090,997 |
|
Bank of India, 6.25%, 2/16/21 |
|
USD |
9,670 |
|
|
9,914,313 |
|
Bank of Scotland Plc, 5.00%, |
|
|
340 |
|
|
344,960 |
|
Barclays Bank Plc: |
|
|
|
|
|
|
|
6.00%, 1/14/21 |
|
EUR |
3,700 |
|
|
5,142,846 |
|
6.63%, 3/30/22 |
|
|
2,200 |
|
|
3,149,187 |
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
7.00%, 5/01/17 |
|
USD |
6,039 |
|
|
6,024,172 |
|
6.63%, 4/01/18 (a)(e) |
|
|
1,912 |
|
|
1,993,260 |
|
Canadian Imperial Bank of |
|
|
18,975 |
|
|
19,414,271 |
|
Commerzbank AG, 6.38%, |
|
EUR |
2,400 |
|
|
3,290,032 |
|
Corporacion Andina de Fomento, |
|
USD |
5,125 |
|
|
5,325,526 |
|
Discover Bank, 7.00%, 4/15/20 |
|
|
10,720 |
|
|
11,906,608 |
|
DnB NOR Boligkreditt (a): |
|
|
|
|
|
|
|
2.10%, 10/14/15 |
|
|
38,815 |
|
|
38,360,593 |
|
2.90%, 3/29/16 |
|
|
29,245 |
|
|
29,767,199 |
|
Eksportfinans ASA: |
|
|
|
|
|
|
|
2.00%, 9/15/15 |
|
|
23,620 |
|
|
23,556,486 |
|
5.50%, 5/25/16 |
|
|
8,025 |
|
|
9,170,480 |
|
5.50%, 6/26/17 |
|
|
275 |
|
|
317,254 |
|
HSBC Bank Brasil SA - Banco |
|
|
15,610 |
|
|
15,766,100 |
|
HSBC Bank Plc, 3.10%, 5/24/16 |
|
|
7,630 |
|
|
7,579,558 |
|
HSBC Holdings Plc: |
|
|
|
|
|
|
|
6.25%, 3/19/18 |
|
EUR |
1,100 |
|
|
1,694,728 |
|
5.10%, 4/05/21 |
|
USD |
6,690 |
|
|
6,855,805 |
|
ICICI Bank Ltd., 4.75%, |
|
|
6,450 |
|
|
6,435,442 |
|
Intesa Sanpaolo SpA, 9.50%, (b)(f) EUR |
|
|
1,450 |
|
|
2,129,001 |
|
LBG Capital No.1 Plc, Series 1, |
|
GBP |
3,200 |
|
|
4,712,136 |
|
Lloyds TSB Bank Plc: |
|
|
|
|
|
|
|
6.38%, 6/17/16 |
|
EUR |
3,650 |
|
|
5,562,012 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Commercial Banks (concluded) |
|
|
|
|
|
|
|
Lloyds TSB Bank Plc (concluded): |
|
|
|
|
|
|
|
6.50%, 3/24/20 |
|
EUR |
2,200 |
|
$ |
2,966,435 |
|
6.50%, 9/17/40 |
|
GBP |
900 |
|
|
1,321,268 |
|
Oversea-Chinese Banking Corp., |
|
USD |
10,000 |
|
|
9,627,660 |
|
Royal Bank of Canada, 3.13%, |
|
|
25,970 |
|
|
26,997,321 |
|
Sparebanken 1 Boligkreditt (a): |
|
|
|
|
|
|
|
1.25%, 10/25/13 |
|
|
17,090 |
|
|
17,072,517 |
|
2.63%, 5/27/16 |
|
|
18,440 |
|
|
18,463,345 |
|
UniCredit SpA, 5.00%, 2/01/16 |
|
GBP |
1,250 |
|
|
1,809,935 |
|
|
|
|
|
|
|
298,761,447 |
|
Construction Materials 0.1% |
|
|
|
|
|
|
|
Inversiones CMPC SA, 4.75%, |
|
USD |
2,590 |
|
|
2,587,503 |
|
Consumer Finance 0.4% |
|
|
|
|
|
|
|
Ford Motor Credit Co. LLC, 6.63%, |
|
|
3,018 |
|
|
3,208,258 |
|
SLM Corp.: |
|
|
|
|
|
|
|
5.40%, 10/25/11 |
|
|
6,000 |
|
|
6,059,826 |
|
6.25%, 1/25/16 |
|
|
7,120 |
|
|
7,387,000 |
|
Series A, 0.57%, 1/27/14 (b) |
|
|
35 |
|
|
33,190 |
|
|
|
|
|
|
|
16,688,274 |
|
Diversified
Financial Services |
|
|
|
|
|
|
|
Ally Financial, Inc., 8.00%, |
|
|
7,490 |
|
|
7,958,125 |
|
Bank of America Corp.: |
|
|
|
|
|
|
|
3.63%, 3/17/16 |
|
|
3,385 |
|
|
3,394,749 |
|
5.63%, 7/01/20 |
|
|
13,595 |
|
|
14,037,001 |
|
5.00%, 5/13/21 |
|
|
4,645 |
|
|
4,588,554 |
|
Barrick North America Finance |
|
|
170 |
|
|
169,212 |
|
Citigroup, Inc.: |
|
|
|
|
|
|
|
5.00%, 9/15/14 |
|
|
1,560 |
|
|
1,634,814 |
|
4.75%, 5/19/15 |
|
|
9,090 |
|
|
9,613,239 |
|
4.59%, 12/15/15 |
|
|
37,720 |
|
|
39,666,691 |
|
3.95%, 6/15/16 |
|
|
16,865 |
|
|
17,264,835 |
|
6.00%, 8/15/17 |
|
|
1,115 |
|
|
1,221,021 |
|
5.38%, 8/09/20 |
|
|
2,235 |
|
|
2,332,363 |
|
General Electric Capital Corp., |
|
|
10,675 |
|
|
11,431,836 |
|
JPMorgan Chase & Co.: |
|
|
|
|
|
|
|
0.91%, 2/26/13 (b) |
|
|
5,410 |
|
|
5,448,276 |
|
3.15%, 7/05/16 |
|
|
12,380 |
|
|
12,455,741 |
|
JPMorgan Chase Bank NA: |
|
|
|
|
|
|
|
6.00%, 7/05/17 |
|
|
13,805 |
|
|
15,264,133 |
|
Series
BKNT, 6.00%, |
|
|
13,350 |
|
|
14,835,481 |
|
Novus USA Trust, 1.51%, |
|
|
9,340 |
|
|
9,282,148 |
|
RCI Banque SA, 3.75%, 7/07/14 |
|
EUR |
2,000 |
|
|
2,886,242 |
|
Reynolds Group Issuer, Inc., |
|
USD |
5,000 |
|
|
4,962,500 |
|
|
|
|
|
|
|
|
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
3 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Diversified Financial Services (concluded) |
|
|
|
|
|
|
|
TMX Finance LLC / TitleMax |
|
USD |
4,000 |
|
$ |
4,490,000 |
|
|
|
|
|
|
|
182,936,961 |
|
Diversified
Telecommunication |
|
|
|
|
|
|
|
AT&T, Inc., 5.35%, 9/01/40 |
|
|
4,235 |
|
|
4,014,213 |
|
GTE Corp., 6.84%, 4/15/18 |
|
|
8,030 |
|
|
9,341,066 |
|
Level 3 Escrow, Inc., 8.13%, |
|
|
680 |
|
|
683,400 |
|
Level 3 Financing, Inc.: |
|
|
|
|
|
|
|
8.75%, 2/15/17 |
|
|
1,009 |
|
|
1,029,180 |
|
10.00%, 2/01/18 |
|
|
2,010 |
|
|
2,158,238 |
|
Qwest Communications International, |
|
|
|
|
|
|
|
8.00%, 10/01/15 |
|
|
6,377 |
|
|
6,934,987 |
|
7.13%, 4/01/18 |
|
|
533 |
|
|
572,309 |
|
Qwest Corp.: |
|
|
|
|
|
|
|
7.63%, 6/15/15 |
|
|
2,142 |
|
|
2,420,460 |
|
8.38%, 5/01/16 |
|
|
4,948 |
|
|
5,838,640 |
|
6.50%, 6/01/17 |
|
|
1,155 |
|
|
1,253,175 |
|
Telefonica Emisiones SAU, 4.95%, |
|
|
9,325 |
|
|
9,923,105 |
|
Verizon Communications, Inc.: |
|
|
|
|
|
|
|
8.75%, 11/01/18 |
|
|
7,832 |
|
|
10,190,254 |
|
6.40%, 2/15/38 |
|
|
6,878 |
|
|
7,454,253 |
|
|
|
|
|
|
|
61,813,280 |
|
Electric Utilities 2.2% |
|
|
|
|
|
|
|
Alabama Power Co., 3.95%, |
|
|
5,015 |
|
|
5,003,461 |
|
Cleveland Electric Illuminating Co., |
|
|
1,199 |
|
|
1,536,709 |
|
Duke Energy Carolinas LLC, 3.90%, |
|
|
4,040 |
|
|
4,037,297 |
|
Enbw International Finance BV, |
|
EUR |
3,200 |
|
|
4,880,095 |
|
Florida Power & Light Co.: |
|
|
|
|
|
|
|
5.63%, 4/01/34 |
|
USD |
150 |
|
|
158,039 |
|
4.95%, 6/01/35 |
|
|
25 |
|
|
24,252 |
|
5.95%, 2/01/38 |
|
|
3,645 |
|
|
4,025,487 |
|
Florida Power Corp., 6.40%, |
|
|
2,646 |
|
|
3,057,109 |
|
Georgia Power Co., 3.00%, |
|
|
8,985 |
|
|
9,199,310 |
|
Hydro-Quebec: |
|
|
|
|
|
|
|
9.40%, 2/01/21 |
|
|
4,365 |
|
|
6,254,766 |
|
8.40%, 1/15/22 |
|
|
8,220 |
|
|
11,338,101 |
|
8.05%, 7/07/24 |
|
|
21,145 |
|
|
29,139,438 |
|
Jersey Central Power & Light Co., |
|
|
2,730 |
|
|
3,314,542 |
|
Southern California Edison Co.: |
|
|
|
|
|
|
|
3.88%, 6/01/21 |
|
|
5,065 |
|
|
5,055,346 |
|
Series 08-A, 5.95%, 2/01/38 |
|
|
2,825 |
|
|
3,119,896 |
|
Trans-Allegheny Interstate Line Co., |
|
|
2,815 |
|
|
2,935,614 |
|
|
|
|
|
|
|
93,079,462 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Electrical Equipment 0.1% |
|
|
|
|
|
|
|
Alstom SA, 4.13%, 2/01/17 |
|
EUR |
3,650 |
|
$ |
5,287,854 |
|
Energy
Equipment & Services |
|
|
|
|
|
|
|
Ensco Plc: |
|
|
|
|
|
|
|
3.25%, 3/15/16 |
|
USD |
1,880 |
|
|
1,908,867 |
|
4.70%, 3/15/21 |
|
|
3,915 |
|
|
3,954,867 |
|
Frac Tech Services LLC, 7.13%, |
|
|
2,407 |
|
|
2,443,105 |
|
Pride International, Inc., 6.88%, |
|
|
2,650 |
|
|
3,081,886 |
|
|
|
|
|
|
|
11,388,725 |
|
Food & Staples Retailing 0.1% |
|
|
|
|
|
|
|
Wal-Mart Stores, Inc., 5.63%, |
|
|
2,343 |
|
|
2,416,160 |
|
Food Products 0.7% |
|
|
|
|
|
|
|
Kraft Foods, Inc.: |
|
|
|
|
|
|
|
6.50%, 8/11/17 |
|
|
6,049 |
|
|
7,111,029 |
|
5.38%, 2/10/20 |
|
|
14,075 |
|
|
15,386,762 |
|
Tyson Foods, Inc., 3.25%, |
|
|
4,000 |
|
|
5,160,000 |
|
|
|
|
|
|
|
27,657,791 |
|
Health
Care Equipment & Supplies |
|
|
|
|
|
|
|
CareFusion Corp., 6.38%, 8/01/19 |
|
|
3,478 |
|
|
3,925,598 |
|
Health
Care Providers & Services |
|
|
|
|
|
|
|
HCA, Inc., 7.25%, 9/15/20 |
|
|
7,975 |
|
|
8,563,156 |
|
Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
9.00%, 5/01/15 |
|
|
2,475 |
|
|
2,654,437 |
|
10.00%, 5/01/18 |
|
|
147 |
|
|
167,029 |
|
8.88%, 7/01/19 |
|
|
5,365 |
|
|
5,921,619 |
|
WellPoint, Inc., 5.25%, 1/15/16 |
|
|
3,700 |
|
|
4,126,381 |
|
|
|
|
|
|
|
21,432,622 |
|
Hotels,
Restaurants & Leisure |
|
|
|
|
|
|
|
Caesars Entertainment Operating |
|
|
2,505 |
|
|
2,260,762 |
|
International Game Technology, |
|
|
11,199 |
|
|
12,803,671 |
|
Punch Taverns Finance Plc, Series |
|
GBP |
760 |
|
|
1,189,269 |
|
Yum! Brands, Inc.: |
|
|
|
|
|
|
|
6.25%, 4/15/16 |
|
USD |
2,956 |
|
|
3,390,612 |
|
5.30%, 9/15/19 |
|
|
1,953 |
|
|
2,099,225 |
|
|
|
|
|
|
|
21,743,539 |
|
IT Services 0.3% |
|
|
|
|
|
|
|
First Data Corp. (a): |
|
|
|
|
|
|
|
7.38%, 6/15/19 |
|
|
6,820 |
|
|
6,871,150 |
|
12.63%, 1/15/21 |
|
|
4,090 |
|
|
4,376,300 |
|
|
|
|
|
|
|
11,247,450 |
|
|
|
|
|
|
|
|
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
4 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Independent
Power Producers & |
|
|
|
|
|
|
|
Energy Future Intermediate |
|
USD |
5,300 |
|
$ |
5,652,238 |
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 0.1% |
|
|
|
|
|
|
|
Sequa Corp., 11.75%, 12/01/15 (a) |
|
|
2,500 |
|
|
2,712,500 |
|
|
|
|
|
|
|
|
|
Insurance 2.9% |
|
|
|
|
|
|
|
Allianz Finance II BV, 5.75%, |
|
EUR |
2,200 |
|
|
3,053,879 |
|
American International Group, Inc.: |
|
|
|
|
|
|
|
5.45%, 5/18/17 |
|
USD |
4,150 |
|
|
4,334,318 |
|
8.18%, 5/15/58 (b) |
|
|
1,280 |
|
|
1,398,528 |
|
CNP Assurances, 6.00%, 9/14/40 |
|
EUR |
3,650 |
|
|
4,959,161 |
|
Fairfax Financial Holdings, Ltd., |
|
USD |
9,450 |
|
|
9,154,300 |
|
Hartford Life Global Funding |
|
|
13,275 |
|
|
12,946,630 |
|
ING Verzekeringen NV, 6.38%, |
|
EUR |
2,200 |
|
|
2,921,161 |
|
Lincoln National Corp., 7.00%, |
|
USD |
2,860 |
|
|
3,225,082 |
|
Manulife Financial Corp., 3.40%, |
|
|
12,215 |
|
|
12,592,517 |
|
Metropolitan Life Global Funding I (a): |
|
|
|
|
|
|
|
2.88%, 9/17/12 |
|
|
8,375 |
|
|
8,558,881 |
|
2.50%, 1/11/13 |
|
|
24,245 |
|
|
24,683,931 |
|
5.13%, 6/10/14 |
|
|
1,600 |
|
|
1,748,096 |
|
Prudential Financial, Inc.: |
|
|
|
|
|
|
|
4.75%, 9/17/15 |
|
|
10,790 |
|
|
11,608,691 |
|
5.38%, 6/21/20 |
|
|
9,165 |
|
|
9,655,346 |
|
Series D, 7.38%, 6/15/19 |
|
|
2,490 |
|
|
2,952,903 |
|
Scottish Widows Plc, 5.13%, (b)(f) |
|
GBP |
1,080 |
|
|
1,482,012 |
|
XL Capital Ltd., Series E, 6.50%, (f) |
|
|
4,290 |
|
|
3,936,075 |
|
|
|
|
|
|
|
119,211,511 |
|
Life
Sciences Tools & Services |
|
|
|
|
|
|
|
Life Technologies Corp., 5.00%, |
|
|
1,140 |
|
|
1,156,548 |
|
Machinery 0.1% |
|
|
|
|
|
|
|
Navistar International Corp., |
|
|
1,920 |
|
|
2,512,800 |
|
Media 3.6% |
|
|
|
|
|
|
|
CBS Corp.: |
|
|
|
|
|
|
|
4.63%, 5/15/18 |
|
|
1,785 |
|
|
1,839,587 |
|
8.88%, 5/15/19 |
|
|
3,440 |
|
|
4,385,178 |
|
5.75%, 4/15/20 |
|
|
2,820 |
|
|
3,056,420 |
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
12,770 |
|
|
15,036,675 |
|
Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
1,854 |
|
|
2,016,225 |
|
Series B, 9.25%, 12/15/17 |
|
|
10,177 |
|
|
11,092,930 |
|
Comcast Cable Communications |
|
|
2,225 |
|
|
3,095,289 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Media (concluded) |
|
|
|
|
|
|
|
Comcast Corp.: |
|
|
|
|
|
|
|
5.88%, 2/15/18 |
|
USD |
6,350 |
|
$ |
7,122,014 |
|
6.45%, 3/15/37 |
|
|
3,686 |
|
|
3,942,380 |
|
Cox Communications, Inc., 8.38%, |
|
|
6,180 |
|
|
8,080,912 |
|
DIRECTV Holdings LLC, 3.13%, |
|
|
15,303 |
|
|
15,524,955 |
|
Discovery Communications LLC, |
|
|
4,410 |
|
|
4,640,167 |
|
NBC Universal Media LLC, 5.15%, |
|
|
9,743 |
|
|
10,287,653 |
|
News America, Inc.: |
|
|
|
|
|
|
|
6.40%, 12/15/35 |
|
|
5,210 |
|
|
5,448,441 |
|
6.15%, 2/15/41 (a) |
|
|
5,415 |
|
|
5,364,294 |
|
The New York Times Co., 6.63%, |
|
|
20,100 |
|
|
20,652,750 |
|
Time Warner Cable, Inc., 5.88%, |
|
|
5,025 |
|
|
4,959,499 |
|
Time Warner, Inc.: |
|
|
|
|
|
|
|
4.70%, 1/15/21 |
|
|
2,080 |
|
|
2,107,406 |
|
6.10%, 7/15/40 |
|
|
1,370 |
|
|
1,392,682 |
|
Unitymedia Hessen GmbH & Co. |
|
|
5,000 |
|
|
5,312,500 |
|
Virgin Media Secured Finance Plc: |
|
|
|
|
|
|
|
6.50%, 1/15/18 |
|
|
3,740 |
|
|
4,099,975 |
|
7.00%, 1/15/18 |
|
GBP |
3,769 |
|
|
6,396,881 |
|
5.25%, 1/15/21 (a) |
|
USD |
4,870 |
|
|
5,186,126 |
|
|
|
|
|
|
|
151,040,939 |
|
Metals & Mining 1.1% |
|
|
|
|
|
|
|
AngloGold Ashanti Holdings Plc, |
|
|
3,610 |
|
|
3,554,449 |
|
Barrick Gold Corp., 2.90%, |
|
|
24,970 |
|
|
24,950,349 |
|
Cliffs Natural Resources, Inc.: |
|
|
|
|
|
|
|
4.88%, 4/01/21 |
|
|
5,730 |
|
|
5,745,821 |
|
6.25%, 10/01/40 |
|
|
1,830 |
|
|
1,805,831 |
|
Corporacion Nacional del Cobre |
|
|
2,800 |
|
|
2,660,204 |
|
Novelis, Inc., 8.75%, 12/15/20 |
|
|
7,305 |
|
|
7,889,400 |
|
|
|
|
|
|
|
46,606,054 |
|
Multiline Retail 0.6% |
|
|
|
|
|
|
|
Dollar General Corp., 11.88%, |
|
|
6,985 |
|
|
7,962,900 |
|
Macys Retail Holdings, Inc., |
|
|
10,950 |
|
|
12,292,065 |
|
Wal-Mart Stores, Inc., 5.63%, |
|
|
5,910 |
|
|
6,097,329 |
|
|
|
|
|
|
|
26,352,294 |
|
Oil, Gas
& Consumable Fuels |
|
|
|
|
|
|
|
Anadarko Petroleum Corp.: |
|
|
|
|
|
|
|
5.95%, 9/15/16 |
|
|
14,541 |
|
|
16,367,161 |
|
6.38%, 9/15/17 |
|
|
8,406 |
|
|
9,636,084 |
|
Arch Coal, Inc., 7.25%, 10/01/20 |
|
|
8,855 |
|
|
9,009,962 |
|
BP Capital Markets Plc: |
|
|
|
|
|
|
|
3.13%, 3/10/12 |
|
|
11,530 |
|
|
11,729,965 |
|
|
|
|
|
|
|
|
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
5 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
BP Capital Markets Plc (concluded): |
|
|
|
|
|
|
|
3.13%, 10/01/15 |
|
USD |
23,849 |
|
$ |
24,485,649 |
|
Chesapeake Energy Corp., 6.63%, |
|
|
5,057 |
|
|
5,322,492 |
|
Consol Energy, Inc.: |
|
|
|
|
|
|
|
8.00%, 4/01/17 |
|
|
2,536 |
|
|
2,764,240 |
|
8.25%, 4/01/20 |
|
|
624 |
|
|
680,160 |
|
El Paso Pipeline Partners |
|
|
6,445 |
|
|
7,214,849 |
|
Enterprise Products Operating LLC: |
|
|
|
|
|
|
|
5.20%, 9/01/20 |
|
|
7,987 |
|
|
8,421,796 |
|
6.13%, 10/15/39 |
|
|
4,600 |
|
|
4,677,938 |
|
KeySpan Gas East Corp., 5.82%, |
|
|
2,780 |
|
|
2,859,630 |
|
Kinder Morgan Energy Partners LP: |
|
|
|
|
|
|
|
5.30%, 9/15/20 |
|
|
2,630 |
|
|
2,766,757 |
|
6.55%, 9/15/40 |
|
|
1,245 |
|
|
1,303,484 |
|
6.38%, 3/01/41 |
|
|
1,760 |
|
|
1,801,620 |
|
Marathon Petroleum Corp., 6.50%, |
|
|
8,300 |
|
|
8,578,316 |
|
MidAmerican Energy Holdings Co.: |
|
|
|
|
|
|
|
5.95%, 5/15/37 |
|
|
7,150 |
|
|
7,520,377 |
|
6.50%, 9/15/37 |
|
|
25 |
|
|
28,185 |
|
Nexen, Inc., 7.50%, 7/30/39 |
|
|
6,395 |
|
|
7,153,166 |
|
Petrobras International Finance Co.: |
|
|
|
|
|
|
|
3.88%, 1/27/16 |
|
|
15,335 |
|
|
15,615,907 |
|
5.88%, 3/01/18 |
|
|
3,775 |
|
|
4,061,787 |
|
5.75%, 1/20/20 |
|
|
15,835 |
|
|
16,892,065 |
|
Plains Exploration & Production |
|
|
2,500 |
|
|
2,812,500 |
|
Rockies Express Pipeline LLC (a): |
|
|
|
|
|
|
|
3.90%, 4/15/15 |
|
|
7,772 |
|
|
7,885,829 |
|
6.85%, 7/15/18 |
|
|
2,288 |
|
|
2,565,386 |
|
Tennessee Gas Pipeline Co., |
|
|
935 |
|
|
1,076,460 |
|
Valero Energy Corp.: |
|
|
|
|
|
|
|
6.13%, 2/01/20 |
|
|
2,820 |
|
|
3,099,000 |
|
6.63%, 6/15/37 |
|
|
705 |
|
|
735,072 |
|
Western Gas Partners LP, 5.38%, |
|
|
7,870 |
|
|
8,104,132 |
|
Williams Partners LP, 4.13%, |
|
|
3,850 |
|
|
3,695,588 |
|
Woodside Finance, Ltd., 4.60%, |
|
|
2,270 |
|
|
2,227,948 |
|
|
|
|
|
|
|
201,093,505 |
|
Paper & Forest Products 0.0% |
|
|
|
|
|
|
|
International Paper Co., 5.30%, |
|
|
471 |
|
|
515,096 |
|
Pharmaceuticals 0.1% |
|
|
|
|
|
|
|
Teva Pharmaceutical Finance LLC, |
|
|
4,610 |
|
|
4,743,722 |
|
Real
Estate Investment Trusts |
|
|
|
|
|
|
|
Mack-Cali Realty LP, 7.75%, |
|
|
1,825 |
|
|
2,195,483 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Real Estate Investment Trusts (REITs) (concluded) |
|
|
|
|
|
|
|
Ventas Realty LP / Ventas Capital |
|
USD |
3,040 |
|
$ |
2,967,511 |
|
|
|
|
|
|
|
5,162,994 |
|
Real
Estate Management & |
|
|
|
|
|
|
|
Franshion Development, Ltd., |
|
|
2,500 |
|
|
2,406,250 |
|
IVG Immobilien AG, 8.00%, (b)(f) |
|
EUR |
600 |
|
|
739,576 |
|
Realogy Corp., 7.88%, 2/15/19 (a) |
|
USD |
8,280 |
|
|
8,197,200 |
|
The Unique Pub Finance Co. Plc, |
|
GBP |
3,500 |
|
|
4,128,736 |
|
WEA Finance LLC, 4.63%, |
|
USD |
3,410 |
|
|
3,309,259 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,781,021 |
|
Road & Rail 0.2% |
|
|
|
|
|
|
|
Burlington Northern Santa Fe LLC, |
|
|
8,660 |
|
|
8,920,787 |
|
Software 0.1% |
|
|
|
|
|
|
|
Oracle Corp., 3.88%, 7/15/20 (a) |
|
|
4,150 |
|
|
4,123,710 |
|
Thrifts & Mortgage Finance 0.7% |
|
|
|
|
|
|
|
Northern Rock Plc, 5.63%, |
|
|
4,145 |
|
|
4,361,498 |
|
The PMI Group, Inc., 6.00%, |
|
|
6,077 |
|
|
3,433,505 |
|
Radian Group, Inc.: |
|
|
|
|
|
|
|
5.63%, 2/15/13 |
|
|
11,350 |
|
|
11,009,500 |
|
5.38%, 6/15/15 |
|
|
13,350 |
|
|
10,846,875 |
|
|
|
|
|
|
|
29,651,378 |
|
Tobacco 0.3% |
|
|
|
|
|
|
|
Philip Morris International, Inc., |
|
|
10,400 |
|
|
10,811,798 |
|
Wireless
Telecommunication |
|
|
|
|
|
|
|
Cricket Communications, Inc., |
|
|
3,869 |
|
|
4,101,140 |
|
Crown Castle Towers LLC, 6.11%, |
|
|
13,730 |
|
|
14,981,064 |
|
Intelsat Jackson Holdings SA, |
|
|
4,072 |
|
|
4,041,460 |
|
Sprint Capital Corp., 6.88%, |
|
|
2,193 |
|
|
2,077,868 |
|
Telefonica Emisiones SAU, 4.75%, |
|
EUR |
3,300 |
|
|
4,790,298 |
|
Vodafone Group Plc, 4.15%, |
|
USD |
13,325 |
|
|
14,296,912 |
|
|
|
|
|
|
|
44,288,742 |
|
Total Corporate Bonds 38.4% |
|
|
|
|
|
1,603,330,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
6 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
Capital Markets 0.1% |
|
|
|
|
|
|
|
Nuveen Investments, Inc., |
|
USD |
3,000 |
|
$ |
2,998,749 |
|
Chemicals 0.1% |
|
|
|
|
|
|
|
Styron Sarl, Term Loan B, 6.00%, |
|
|
6,292 |
|
|
6,283,827 |
|
Commercial
Services & Supplies |
|
|
|
|
|
|
|
KAR Auction Services, Inc., Term |
|
|
4,000 |
|
|
4,007,500 |
|
Consumer Finance 0.1% |
|
|
|
|
|
|
|
Springleaf Financial Funding Co. |
|
|
|
|
|
|
|
(FKA AGFS Funding Co.), Term |
|
|
4,000 |
|
|
3,915,832 |
|
Energy
Equipment & Services |
|
|
|
|
|
|
|
MEG Energy Corp., Term Loan B, |
|
|
3,000 |
|
|
3,000,000 |
|
Food Products 0.3% |
|
|
|
|
|
|
|
Advance Pierre Foods, Term Loan, |
|
|
1,990 |
|
|
1,999,925 |
|
Del Monte Foods Corp., Term |
|
|
10,000 |
|
|
9,967,190 |
|
|
|
|
|
|
|
11,967,115 |
|
Health Care Providers & Services |
|
|
|
|
|
|
|
inVentiv Health, Inc. (FKA Ventive |
|
|
|
|
|
|
|
Delayed
Draw Term Loan B, |
|
|
4,000 |
|
|
3,966,240 |
|
Incremental
Term Loan B1, |
|
|
1,995 |
|
|
1,978,162 |
|
|
|
|
|
|
|
5,944,402 |
|
Hotels,
Restaurants & Leisure |
|
|
|
|
|
|
|
Harrahs Operating Co., Inc.: |
|
|
|
|
|
|
|
Term
Loan B-1, 3.27%, |
|
|
10,000 |
|
|
8,978,130 |
|
Term
Loan B-3, |
|
|
3,977 |
|
|
3,568,445 |
|
SeaWorld Parks & Entertainment, |
|
|
1,776 |
|
|
1,778,711 |
|
|
|
|
|
|
|
14,325,286 |
|
IT Services 0.2% |
|
|
|
|
|
|
|
First Data Corp.: |
|
|
|
|
|
|
|
Extended
Term Loan B, 4.19%, |
|
USD |
5,090 |
|
|
4,663,689 |
|
Initial
Tranche B-2 Term Loan, |
|
|
542 |
|
|
501,104 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
IT Services (concluded) |
|
|
|
|
|
|
|
TransUnion LLC, Term Loan B, |
|
USD |
1,995 |
|
$ |
1,995,625 |
|
|
|
|
|
|
|
7,160,418 |
|
Independent
Power Producers & |
|
|
|
|
|
|
|
AES Corp., Term Loan, 4.25%, |
|
|
2,993 |
|
|
2,995,492 |
|
Calpine Corp., Term Loan , 4.50%, |
|
|
1,995 |
|
|
1,974,302 |
|
|
|
|
|
|
|
4,969,794 |
|
Media 0.5% |
|
|
|
|
|
|
|
Intelsat Jackson Holdings SA (FKA |
|
|
12,675 |
|
|
12,709,324 |
|
Interactive Data Corp., Term Loan B, |
|
|
3,491 |
|
|
3,490,161 |
|
UPC Broadband Holding B.V., |
|
EUR |
3,150 |
|
|
4,479,467 |
|
Weather Channel, Term Loan B, |
|
USD |
2,000 |
|
|
2,005,000 |
|
|
|
|
|
|
|
22,683,952 |
|
Metals & Mining 0.1% |
|
|
|
|
|
|
|
Walter Energy, Inc., Term Loan B, |
|
|
3,000 |
|
|
2,999,364 |
|
Oil, Gas
& Consumable Fuels |
|
|
|
|
|
|
|
Obsidian Natural Gas Trust, Term |
|
|
27,897 |
|
|
28,175,679 |
|
Professional Services 0.0% |
|
|
|
|
|
|
|
Booz Allen Hamilton, Inc., Term |
|
|
1,496 |
|
|
1,500,525 |
|
Real
Estate Investment Trusts |
|
|
|
|
|
|
|
iStar Financial, Inc., Term Loan A, |
|
|
1,673 |
|
|
1,645,518 |
|
Real
Estate Management & |
|
|
|
|
|
|
|
Realogy Corp.: |
|
|
|
|
|
|
|
Extended Synthetic Letter of |
|
|
257 |
|
|
228,092 |
|
Extended Term Loan B, 4.52%, |
|
|
2,742 |
|
|
2,438,263 |
|
|
|
|
|
|
|
2,666,355 |
|
Specialty Retail 0.1% |
|
|
|
|
|
|
|
General Nutrition Centers, Inc., |
|
|
2,250 |
|
|
2,248,312 |
|
Wireless
Telecommunication |
|
|
|
|
|
|
|
MetroPCS Wireless, Inc., New Term |
|
|
3,980 |
|
|
3,965,092 |
|
|
|
|
|
|
|
|
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
7 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
Wireless Telecommunication Services (concluded) |
|
|
|
|
|
|
|
Vodafone Americas Finance 2, |
|
USD |
7,000 |
|
$ |
7,000,000 |
|
|
|
|
|
|
|
10,965,092 |
|
Total Floating Rate Loan Interests 3.3% |
|
|
|
|
|
137,457,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
|
|
|
|
|
|
Belgium Government Bond, |
|
EUR |
7,680 |
|
|
11,019,987 |
|
Bundesrepublik Deutschland: |
|
|
|
|
|
|
|
Series 06, 3.75%, 1/04/17 |
|
|
30,045 |
|
|
46,536,846 |
|
3.25%, 7/04/21 |
|
|
10,925 |
|
|
16,141,523 |
|
Hellenic Republic Government Bond: |
|
|
|
|
|
|
|
4.60%, 5/20/13 |
|
|
1,637 |
|
|
1,677,869 |
|
3.60%, 7/20/16 |
|
|
1,637 |
|
|
1,251,518 |
|
Ireland Government Bond, 4.60%, |
|
|
3,275 |
|
|
3,360,087 |
|
Mexico Government International Bond: |
|
|
|
|
|
|
|
6.38%, 1/16/13 |
|
USD |
2,818 |
|
|
3,036,395 |
|
5.63%, 1/15/17 |
|
|
3,840 |
|
|
4,364,160 |
|
5.13%, 1/15/20 |
|
|
1,645 |
|
|
1,776,600 |
|
Poland Government International |
|
|
7,780 |
|
|
8,042,575 |
|
Portugal Obrigacoes do Tesouro |
|
EUR |
1,820 |
|
|
1,873,883 |
|
Spain Government Bond, 3.25%, |
|
|
20,162 |
|
|
27,440,955 |
|
Total Foreign Agency Obligations 3.0% |
|
|
|
|
|
126,522,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Companies |
|
Shares |
|
|
|
|
|
iShares JPMorgan USD Emerging |
|
|
114,500 |
|
|
12,517,140 |
|
Total Investment Companies 0.3% |
|
|
|
|
|
12,517,140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed |
|
Par |
|
|
|
|
|
Collateralized
Mortgage |
|
|
|
|
|
|
|
Arkle Master Issuer Plc, Series |
|
USD |
13,470 |
|
|
13,448,286 |
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed |
|
Par |
|
Value |
|
||
Collateralized Mortgage Obligations (continued) |
|
|
|
|
|
|
|
BlackRock Capital Finance LP, |
|
USD |
9 |
|
$ |
9,113 |
|
Citigroup Mortgage Loan Trust, |
|
|
521 |
|
|
498,365 |
|
Collateralized Mortgage |
|
|
13 |
|
|
14,735 |
|
Countrywide Alternative Loan Trust: |
|
|
|
|
|
|
|
Series
2005-21B, Class A17, |
|
|
17,180 |
|
|
15,742,543 |
|
Series
2006-01A0, Class 1A1, |
|
|
2,666 |
|
|
1,511,877 |
|
Series
2006-0A21, Class A1, |
|
|
25,426 |
|
|
12,892,948 |
|
Series
2006-43CB, Class |
|
|
7,636 |
|
|
5,485,779 |
|
Series
2006-J4, Class 2A8, |
|
|
14,859 |
|
|
10,362,029 |
|
Countrywide Home Loan Mortgage |
|
|
|
|
|
|
|
Series
2004-29, Class1A1, |
|
|
934 |
|
|
725,700 |
|
Series
2006-0A5, Class 2A1, |
|
|
4,324 |
|
|
2,313,569 |
|
Series
2006-0A5, Class 3A1, |
|
|
6,811 |
|
|
4,275,124 |
|
Credit Suisse Mortgage Capital |
|
|
|
|
|
|
|
Series
2006-8, Class 3A1, |
|
|
3,749 |
|
|
3,086,234 |
|
Series
2010-20R, Class 9A1, |
|
|
9,277 |
|
|
8,581,421 |
|
Series
2011-2R, Class 1A1, |
|
|
7,825 |
|
|
7,487,365 |
|
Series
2011-2R, Class 2A1, |
|
|
18,209 |
|
|
18,043,724 |
|
Series
2011-5R, Class 3A1, |
|
|
8,991 |
|
|
8,631,811 |
|
Deutsche ALT-A Securities, Inc. Alternate |
|
|
|
|
|
|
|
Series
2005-2, Class 1A1, |
|
|
1,560 |
|
|
1,147,233 |
|
Series
2006-0A1, Class A1, |
|
|
8,303 |
|
|
5,387,803 |
|
First Horizon Asset Securities, Inc., |
|
|
2,553 |
|
|
2,262,453 |
|
GSR Mortgage Loan Trust, Series |
|
|
6,717 |
|
|
5,891,188 |
|
Harborview Mortgage Loan Trust (b): |
|
|
|
|
|
|
|
Series 2005-8, Class 1A2A, |
|
|
1,384 |
|
|
920,793 |
|
Series 2005-10, Class 2A1A, |
|
|
8,992 |
|
|
5,855,229 |
|
|
|
|
|
|
|
|
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
8 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed |
|
Par |
|
Value |
|
||
Collateralized Mortgage Obligations (concluded) |
|
|
|
|
|
|
|
Harborview Mortgage Loan Trust, |
|
|
|
|
|
|
|
Series 2006-11, Class A1A, |
|
USD |
833 |
|
$ |
508,992 |
|
Homebanc Mortgage Trust (b): |
|
|
|
|
|
|
|
Series 2005-4, Class A1, |
|
|
26,122 |
|
|
18,777,632 |
|
Series 2006-2, Class A1, |
|
|
7,960 |
|
|
5,542,809 |
|
Impac Secured Assets CMN |
|
|
1,148 |
|
|
1,068,975 |
|
JPMorgan Mortgage Trust: |
|
|
|
|
|
|
|
Series 2006-S2, Class 2A2, |
|
|
6,351 |
|
|
6,173,848 |
|
Series 2007-S1, Class 1A2, |
|
|
1,843 |
|
|
1,800,904 |
|
WaMu Commercial Mortgage |
|
|
4,435 |
|
|
79,226 |
|
WaMu Mortgage Pass-Through |
|
|
4,416 |
|
|
2,945,517 |
|
|
|
|
|
|
|
171,473,225 |
|
Commercial
Mortgage-Backed |
|
|
|
|
|
|
|
Banc of America Commercial |
|
|
|
|
|
|
|
Series 2005-3, Class A3A, |
|
|
850 |
|
|
865,163 |
|
Series 2006-1, Class AM, |
|
|
4,000 |
|
|
4,124,756 |
|
Series 2006-4, Class AM, |
|
|
3,050 |
|
|
3,030,954 |
|
Series 2006-5, Class AM, |
|
|
1,110 |
|
|
1,109,423 |
|
Series 2007-1, Class A4, |
|
|
7,360 |
|
|
7,959,696 |
|
Series 2007-3, Class A4, |
|
|
2,730 |
|
|
2,937,534 |
|
Bear Stearns Commercial Mortgage |
|
|
|
|
|
|
|
Series 2002-TOP6, Class A2, |
|
|
167 |
|
|
170,295 |
|
Series 2004-PWR6, Class A6, |
|
|
440 |
|
|
471,643 |
|
Series 2005-PW10, Class AM, |
|
|
1,350 |
|
|
1,354,642 |
|
Series 2006-PW11, Class A4, |
|
|
175 |
|
|
191,354 |
|
Series 2007-PW17, Class A4, |
|
|
9,880 |
|
|
10,730,420 |
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed |
|
Par |
|
Value |
|
||
Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
|
Citigroup/Deutsche Bank Commercial |
|
|
|
|
|
|
|
Series
2006-CD3, Class A5, |
|
USD |
7,159 |
|
$ |
7,770,593 |
|
Citigroup/Deutsche Bank Commercial |
|
|
|
|
|
|
|
Series
2007-CD4, Class A2B, |
|
|
6,535 |
|
|
6,673,129 |
|
Series
2007-CD5, Class A4, |
|
|
446 |
|
|
486,992 |
|
Commercial Mortgage Pass-Through |
|
|
|
|
|
|
|
Series
2006-C8, Class A4, |
|
|
2,000 |
|
|
2,141,702 |
|
Series
2007-C9, Class AAB, |
|
|
175 |
|
|
189,580 |
|
Credit Suisse Mortgage Capital |
|
|
7,920 |
|
|
8,644,406 |
|
CS First Boston Mortgage Securities |
|
|
|
|
|
|
|
Series
2002-CKN2, Class A3, |
|
|
224 |
|
|
228,595 |
|
Series
2002-CP5, Class A1, |
|
|
2,609 |
|
|
2,627,581 |
|
Series
2003-C3, Class A5, |
|
|
3,550 |
|
|
3,677,977 |
|
Series
2003-CPN1, Class A2, |
|
|
1,000 |
|
|
1,034,234 |
|
DBUBS Mortgage Trust, Series |
|
|
8,600 |
|
|
8,623,917 |
|
Extended Stay America Trust, Series |
|
|
|
|
|
|
|
Class A, 2.95%, 11/05/27 |
|
|
18,790 |
|
|
18,684,133 |
|
Class C, 4.86%, 11/05/27 |
|
|
9,145 |
|
|
9,129,472 |
|
Class D, 5.50%, 11/05/27 |
|
|
7,605 |
|
|
7,592,227 |
|
GE Capital Commercial Mortgage Corp.: |
|
|
|
|
|
|
|
Series
2001-3, Class A2, |
|
|
1,297 |
|
|
1,304,464 |
|
Series
2007-C1, Class A2, |
|
|
38,422 |
|
|
38,905,998 |
|
GMAC Commercial Mortgage |
|
|
|
|
|
|
|
Series
2000-C2, Class A2, |
|
|
2,775 |
|
|
2,982,169 |
|
Series
2006-C1, Class AM, |
|
|
1,980 |
|
|
1,963,411 |
|
GS Mortgage Securities Corp. II: |
|
|
|
|
|
|
|
Series
2004-GG2, Class A4, |
|
|
1,625 |
|
|
1,636,954 |
|
|
|
|
|
|
|
|
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
9 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed |
|
Par |
|
Value |
|
||
Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
|
GS Mortgage Securities Corp. II, |
|
|
|
|
|
|
|
Series
2005-GG4, Class A4, |
|
USD |
13,351 |
|
$ |
14,068,934 |
|
Series
2006-GG6, Class AM, |
|
|
6,300 |
|
|
6,267,428 |
|
Series
2006-GG8, Class A4, |
|
|
5,000 |
|
|
5,418,227 |
|
Greenwich Capital Commercial Funding |
|
|
|
|
|
|
|
Series
2005-GG3, Class A3, |
|
|
2,445 |
|
|
2,473,528 |
|
Series
2005-GG3, Class AAB, |
|
|
669 |
|
|
691,899 |
|
Series
2006-GG7, Class AJ, |
|
|
3,370 |
|
|
3,072,448 |
|
Series
2006-GG7, Class AM, |
|
|
3,509 |
|
|
3,605,456 |
|
JPMorgan Chase Commercial Mortgage |
|
|
|
|
|
|
|
Series
2001-C1, Class A3, |
|
|
305 |
|
|
305,125 |
|
Series
2001-CIB3, Class A3, |
|
|
1,562 |
|
|
1,572,527 |
|
Series
2006-CB14, Class AM, |
|
|
3,735 |
|
|
3,675,165 |
|
Series
2007-CB19, Class AM, |
|
|
4,000 |
|
|
3,877,992 |
|
Series
2007-LD1, Class A2, |
|
|
37,000 |
|
|
38,024,415 |
|
Series
2010-C2, Class A3, |
|
|
3,500 |
|
|
3,383,466 |
|
Series
2010-C2, Class C, |
|
|
3,500 |
|
|
3,403,043 |
|
LB-UBS Commercial Mortgage Trust: |
|
|
|
|
|
|
|
Series
2003-C7, Class A3, |
|
|
195 |
|
|
196,238 |
|
Series
2005-C2, Class A5, |
|
|
7,000 |
|
|
7,560,076 |
|
Series
2006-C4, Class AM, |
|
|
1,402 |
|
|
1,467,507 |
|
Series
2006-C7, Class AM, |
|
|
1,410 |
|
|
1,375,576 |
|
Series
2007-C1, Class A4, |
|
|
4,000 |
|
|
4,311,070 |
|
Series
2007-C6, Class A4, |
|
|
5,255 |
|
|
5,701,391 |
|
Merrill Lynch/Countrywide Commercial |
|
|
|
|
|
|
|
Series
2006-2, Class A2, |
|
|
5,771 |
|
|
5,766,984 |
|
Series
2007-9, Class ASB, |
|
|
25,000 |
|
|
26,447,722 |
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed |
|
Par |
|
Value |
|
||
Commercial Mortgage-Backed Securities (concluded) |
|
|
|
|
|
|
|
Morgan Stanley Capital I: |
|
|
|
|
|
|
|
Series
1998-WF2, Class G, |
|
USD |
5,026 |
|
$ |
5,324,050 |
|
Series
2004-HQ4, Class A7, |
|
|
8,900 |
|
|
9,466,636 |
|
Series
2007-HQ11, Class A2, |
|
|
13,000 |
|
|
13,191,678 |
|
Series
2007-HQ13, Class A1, |
|
|
214 |
|
|
219,863 |
|
Morgan Stanley Reremic Trust (a): |
|
|
|
|
|
|
|
Series
2010-GG10, Class A4A, |
|
|
7,515 |
|
|
8,224,046 |
|
Series
2011-IO, Class A, |
|
|
4,380 |
|
|
4,366,997 |
|
RBSCF Trust, Series 2010-RR3, |
|
|
14,233 |
|
|
15,900,841 |
|
Salomon Brothers Mortgage |
|
|
2,005 |
|
|
2,012,098 |
|
Titan Europe Plc, Series 2006- |
|
GBP |
1,706 |
|
|
2,616,326 |
|
Wachovia Bank Commercial Mortgage |
|
|
|
|
|
|
|
Series
2006-C28, Class A2, |
|
|
7,188 |
|
|
7,224,685 |
|
Series
2007-C33, Class A4, |
|
|
9,310 |
|
|
10,128,738 |
|
|
|
|
|
|
|
378,585,589 |
|
Total
Non-Agency Mortgage-Backed |
|
|
|
|
|
550,058,814 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
Capital Trusts |
|
|
|
|
|
|
|
Capital Markets 0.2% |
|
|
|
|
|
|
|
Credit Suisse Guernsey Ltd., |
|
|
4,401 |
|
|
4,205,155 |
|
Lehman Brothers Holdings Capital |
|
|
1,888 |
|
|
189 |
|
State Street Capital Trust IV, |
|
|
770 |
|
|
623,400 |
|
UBS Preferred Funding Trust V, |
|
|
645 |
|
|
632,100 |
|
|
|
|
|
|
|
5,460,844 |
|
Commercial Banks 0.3% |
|
|
|
|
|
|
|
ABN AMRO North America Holding |
|
|
7,255 |
|
|
6,710,875 |
|
Barclays Bank Plc, 5.93%, (a)(b)(f) |
|
|
1,715 |
|
|
1,594,950 |
|
|
|
|
|
|
|||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
10 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
Par |
|
Value |
|
|
Commercial Banks (concluded) |
|
|
|
|
|
|
|
Fifth Third Capital Trust IV, 6.50%, |
|
USD |
3,335 |
|
$ |
3,276,637 |
|
Wachovia Capital Trust III, 5.57%, |
|
|
635 |
|
|
581,025 |
|
|
|
|
|
|
|
12,163,487 |
|
Insurance 0.2% |
|
|
|
|
|
|
|
Genworth Financial, Inc., 6.15%, |
|
|
1,005 |
|
|
731,138 |
|
Liberty Mutual Group, Inc., |
|
|
1,005 |
|
|
1,334,137 |
|
Lincoln National Corp., 6.05%, |
|
|
3,110 |
|
|
2,993,375 |
|
Swiss Re Capital I LP, 6.85%, |
|
USD |
6,125 |
|
|
5,889,096 |
|
|
|
|
|
|
|
10,947,746 |
|
Total Capital Trusts 0.7% |
|
|
|
|
|
28,572,077 |
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
Shares |
|
|
|
|
|
Thrifts & Mortgage Finance 0.0% |
|
|
|
|
|
|
|
Fannie Mae, Series S, 8.25% (c) |
|
|
110,000 |
|
|
236,500 |
|
Freddie Mac, Series Z, 8.38% (c) |
|
|
120,000 |
|
|
354,000 |
|
|
|
|
|
|
|
590,500 |
|
Total Preferred Stocks 0.0% |
|
|
|
|
|
590,500 |
|
|
|
|
|
|
|
|
|
Trust Preferreds |
|
|
|
|
|
|
|
Commercial Banks 0.0% |
|
|
|
|
|
|
|
SunTrust Capital VIII, 6.10%, |
|
|
640,000 |
|
|
627,200 |
|
|
|
|
|
|
|
627,200 |
|
Diversified Financial Services 0.4% |
|
|
|
|
|
|
|
Citigroup Capital XIII, 7.88%, |
|
|
4,400 |
|
|
4,889,280 |
|
GMAC Capital Trust I, Series 2, |
|
|
11,750 |
|
|
12,032,000 |
|
|
|
|
|
|
|
16,921,280 |
|
Total Trust Preferreds - 0.4% |
|
|
|
|
|
17,548,480 |
|
Total Preferred Securities 1.1% |
|
|
|
|
|
46,711,057 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Taxable Municipal Bonds |
|
Par |
|
Value |
|
||
New York City Municipal Water Finance |
|
|
|
|
|
|
|
5.38%, 6/15/43 |
|
USD |
4,410 |
|
$ |
4,666,177 |
|
5.50%, 6/15/43 |
|
|
5,285 |
|
|
5,684,123 |
|
State of California, GO, Various |
|
|
8,815 |
|
|
9,618,223 |
|
Total Taxable Municipal Bonds 0.5% |
|
|
|
|
|
19,968,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored |
|
|
|
|
|
|
|
Agency Obligations 2.0% |
|
|
|
|
|
|
|
Fannie Mae: |
|
|
|
|
|
|
|
1.75%, 5/07/13 |
|
|
3,450 |
|
|
3,527,518 |
|
5.00%, 5/11/17 (e) |
|
|
11,820 |
|
|
13,520,402 |
|
4.65%, 10/09/19 (k) |
|
|
13,295 |
|
|
9,306,899 |
|
6.63%, 11/15/30 |
|
|
1,450 |
|
|
1,831,560 |
|
Federal Home Loan Banks, 1.00%, |
|
|
4,300 |
|
|
4,317,613 |
|
Freddie Mac: |
|
|
|
|
|
|
|
2.13%, 3/23/12 |
|
|
2,000 |
|
|
2,026,250 |
|
2.13%, 9/21/12 |
|
|
4,500 |
|
|
4,596,646 |
|
2.50%, 4/23/14 (e) |
|
|
11,100 |
|
|
11,591,874 |
|
4.38%, 7/17/15 (e) |
|
|
7,950 |
|
|
8,817,051 |
|
4.88%, 6/13/18 |
|
|
4,300 |
|
|
4,887,298 |
|
3.75%, 3/27/19 |
|
|
3,650 |
|
|
3,862,163 |
|
3.53%, 9/30/19 (e) |
|
|
9,035 |
|
|
9,070,011 |
|
6.25%, 7/15/32 (e) |
|
|
4,300 |
|
|
5,302,743 |
|
|
|
|
|
|
|
82,658,028 |
|
Collateralized Mortgage Obligations 0.8% |
|
|
|
|
|
|
|
Freddie Mac Mortgage-Backed |
|
|
|
|
|
|
|
Series
K003, Class A3, 4.32%, |
|
|
105 |
|
|
112,427 |
|
Series
K013, Class A2, 3.97%, |
|
|
20,710 |
|
|
20,956,708 |
|
Fannie Mae Mortgage-Backed |
|
|
|
|
|
|
|
Series
2004-29, Class HC, |
|
|
312 |
|
|
327,017 |
|
Series
2005-48, Class AR, |
|
|
53 |
|
|
57,452 |
|
Series
2006-M2, Class A2A, |
|
|
4,600 |
|
|
5,059,458 |
|
Freddie Mac Mortgage-Backed |
|
|
|
|
|
|
|
Series
2825, Class VP, 5.50%, |
|
|
990 |
|
|
1,069,213 |
|
|
|
|
|
|
|
||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
11 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
U.S. Government Sponsored |
|
Par |
|
Value |
|
||
Collateralized Mortgage Obligations (concluded) |
|
|
|
|
|
|
|
Series 3068, Class VA, 5.50%, |
|
USD |
6,125 |
|
$ |
6,208,123 |
|
|
|
|
|
|
|
33,790,398 |
|
Interest Only Collateralized Mortgage Obligations 1.0% |
|
|
|
|
|
|
|
Ginnie Mae Mortgage-Backed |
|
|
|
|
|
|
|
Series
2009-106, Class SU, |
|
|
18,856 |
|
|
2,558,677 |
|
Series
2009-108, Class WI, |
|
|
10,343 |
|
|
2,162,702 |
|
Series
2010-43, Class JI, |
|
|
24,883 |
|
|
4,362,573 |
|
Series
2010-121, Class IB, |
|
|
15,272 |
|
|
3,467,414 |
|
Series
2010-158, Class AI, |
|
|
28,026 |
|
|
5,416,740 |
|
Series
2010-165, Class IP, |
|
|
39,198 |
|
|
6,690,638 |
|
Series
2011-41, Class AI, |
|
|
33,740 |
|
|
6,770,445 |
|
Series
2011-41, Class BI, |
|
|
59,121 |
|
|
11,298,457 |
|
|
|
|
|
|
|
42,727,646 |
|
Mortgage-Backed Securities 79.8% |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed |
|
|
|
|
|
|
|
3.04%, 3/01/41 (b) |
|
|
4,798 |
|
|
4,963,214 |
|
3.15%, 3/01/41 (b) |
|
|
6,779 |
|
|
7,004,582 |
|
3.32%, 12/01/40 (b) |
|
|
9,933 |
|
|
10,302,135 |
|
3.50%, 7/01/41 (m) |
|
|
106,576 |
|
|
104,316,271 |
|
4.00%, 6/01/41 7/01/41 (l)(m) |
|
|
600,444 |
|
|
613,277,343 |
|
4.50%, 7/01/41 (m) |
|
|
778,426 |
|
|
807,904,853 |
|
5.00%, 6/01/41 7/01/41 (m) |
|
|
220,722 |
|
|
221,868,802 |
|
5.01%, 8/01/38 (b) |
|
|
8,991 |
|
|
9,636,836 |
|
5.50%, 6/01/41 7/01/41 (m) |
|
|
402,043 |
|
|
435,812,089 |
|
5.58%, 10/01/38 (b) |
|
|
71 |
|
|
76,117 |
|
6.00%, 7/01/41 (l)(m) |
|
|
123,636 |
|
|
137,151,469 |
|
6.28%, 8/01/11 |
|
|
235 |
|
|
235,021 |
|
6.50%, 12/01/99 (m) |
|
|
49,200 |
|
|
55,703,650 |
|
Freddie Mac Mortgage-Backed |
|
|
|
|
|
|
|
3.06%, 2/01/41 (b) |
|
|
7,682 |
|
|
7,949,458 |
|
4.00%, 5/01/26 |
|
USD |
58,404 |
|
|
61,062,690 |
|
4.50%, 4/01/41 |
|
|
72,865 |
|
|
75,418,463 |
|
5.00%, 6/01/41 7/01/41 (m) |
|
|
249,750 |
|
|
265,265,367 |
|
5.32%, 2/01/37 (b) |
|
|
143 |
|
|
151,095 |
|
5.49%, 2/01/37 (b) |
|
|
93 |
|
|
98,440 |
|
5.50%, 7/01/41 (m) |
|
|
121,900 |
|
|
131,671,016 |
|
5.64%, 10/01/36 (b) |
|
|
77 |
|
|
80,112 |
|
Ginnie Mae Mortgage-Backed |
|
|
|
|
|
|
|
1.88%, 5/20/34 (b) |
|
|
1,577 |
|
|
1,623,756 |
|
4.50%, 6/01/41 (m) |
|
|
106,200 |
|
|
112,787,692 |
|
4.50%, 7/01/41 (m) |
|
|
106,200 |
|
|
112,074,134 |
|
5.00%, 7/01/41 (m) |
|
|
75,600 |
|
|
81,884,250 |
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored |
|
Par |
|
Value |
|
||
Mortgage-Backed Securities (concluded) |
|
|
|
|
|
|
|
Ginnie Mae Mortgage-Backed Securities |
|
|
|
|
|
|
|
5.50%, 7/01/41 (m) |
|
USD |
66,000 |
|
$ |
72,620,592 |
|
|
|
|
|
|
|
3,330,939,447 |
|
Total U.S.
Government Sponsored |
|
|
|
|
|
3,490,115,519 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations |
|
|
|
|
|
|
|
U.S. Treasury Bonds: |
|
|
|
|
|
|
|
4.75%, 2/15/41 |
|
|
2,890 |
|
|
3,071,980 |
|
4.38%, 5/15/41 |
|
|
158,482 |
|
|
158,234,768 |
|
U.S. Treasury Inflation Indexed Bonds: |
|
|
|
|
|
|
|
1.13%, 1/15/21 |
|
|
87,059 |
|
|
90,404,965 |
|
2.13%, 2/15/41 (n) |
|
|
18,380 |
|
|
19,969,077 |
|
U.S. Treasury Notes: |
|
|
|
|
|
|
|
0.50%, 5/31/13 (e) |
|
|
3,726 |
|
|
3,729,931 |
|
0.75%, 6/15/14 (e) |
|
|
175,074 |
|
|
174,868,813 |
|
1.75%, 5/31/16 |
|
|
5,700 |
|
|
5,726,733 |
|
1.50%, 6/30/16 (e) |
|
|
4,515 |
|
|
4,459,962 |
|
2.38%, 5/31/18 (e) |
|
|
172,740 |
|
|
171,822,751 |
|
3.13%, 5/15/21 (e) |
|
|
282,265 |
|
|
281,471,935 |
|
Total U.S. Treasury Obligations 21.9% |
|
|
|
|
|
913,760,915 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments |
|
|
|
|
|
7,188,114,730 |
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
|
Borrowed Bond Agreements |
|
|
|
|
|
|
|
Barclays Bank Plc, NY: |
|
|
|
|
|
|
|
1.03%, 7/01/11 |
|
EUR |
30,959 |
|
|
44,894,730 |
|
0.00%, 10/31/14 |
|
|
5,936 |
|
|
8,608,604 |
|
0.50%, 2/01/16 |
|
|
3,417 |
|
|
4,955,615 |
|
0.00%, 9/07/17 |
|
|
4,580 |
|
|
6,641,200 |
|
0.00%, 8/01/18 |
|
|
2,735 |
|
|
3,966,739 |
|
0.00%, 8/20/18 |
|
|
2,940 |
|
|
4,264,122 |
|
0.00%, 1/15/21 |
|
|
3,176 |
|
|
4,604,950 |
|
0.00%, 8/01/21 |
|
|
5,589 |
|
|
8,104,669 |
|
1.50%, 4/16/30 |
|
|
12,855 |
|
|
18,641,484 |
|
BNP Paribas SA (o) |
|
USD |
49,255 |
|
|
49,254,581 |
|
Citigroup, 0.25% |
|
EUR |
3,965 |
|
|
5,749,571 |
|
Credit Suisse (o) |
|
|
1,558 |
|
|
2,258,789 |
|
UBS AG (o) |
|
|
6,043 |
|
|
8,763,218 |
|
Total
Short-Term Securities |
|
|
|
|
|
170,708,272 |
|
|
|
|
|
|
|
||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
12 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
Value |
|
||
Exchange-Traded Call Options 0.0% |
|
|
|
|
|
|
|
10-Year U.S. Treasury Note, Strike |
|
|
630 |
|
$ |
1,191,094 |
|
Exchange-Traded Put Options 0.1% |
|
|
|
|
|
|
|
10-Year U.S. Treasury Note, Strike |
|
|
630 |
|
|
669,375 |
|
3-months Sterling Mid-Curve Future |
|
|
1,000 |
|
|
50,155 |
|
5-Year U.S. Treasury Note, Strike |
|
|
765 |
|
|
149,414 |
|
5-Year U.S. Treasury Note, Strike |
|
|
1,115 |
|
|
357,149 |
|
5-Year U.S. Treasury Note, Strike |
|
|
240 |
|
|
204,375 |
|
Advanced Micro Devices, Inc., Strike |
|
|
1,300 |
|
|
170,300 |
|
AK Steel Holding Corp., Strike Price |
|
|
1,500 |
|
|
43,500 |
|
AK Steel Holding Corp., Strike Price |
|
|
500 |
|
|
9,500 |
|
Assured Guaranty, Ltd., Strike Price |
|
|
1,375 |
|
|
173,937 |
|
Boyd Gaming Corp., Strike Price USD |
|
|
225 |
|
|
34,313 |
|
Boyd Gaming Corp., Strike Price USD |
|
|
1,220 |
|
|
106,750 |
|
Eurodollar 1-Year Mid-Curve Options, |
|
|
3,468 |
|
|
65,025 |
|
Eurodollar 1-Year Mid-Curve Options, |
|
|
2,499 |
|
|
109,331 |
|
iShares Russell 2000 Index Fund, |
|
|
905 |
|
|
152,493 |
|
MBIA, Inc., Strike Price USD 8.00, |
|
|
1,950 |
|
|
92,625 |
|
Royal Caribbean Cruises, Ltd., Strike |
|
|
1,200 |
|
|
16,800 |
|
S&P 500 Index Fund, Strike Price |
|
|
400 |
|
|
1,716,000 |
|
SUPERVALU, Inc., Strike Price USD |
|
|
2,700 |
|
|
209,250 |
|
|
|
|
|
|
|
4,330,292 |
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Notional |
|
Value |
|
||
Over-the-Counter Call Options 0.0% |
|
|
|
|
|
|
|
HKD Call Option, Strike Price USD |
|
USD |
480,136 |
|
$ |
75,381 |
|
JPY Call Option, Strike Price USD |
|
|
238,700 |
|
|
202,895 |
|
USD/SEK Call Option, Strike Price |
|
|
358 |
|
|
193,765 |
|
|
|
|
|
|
|
472,041 |
|
Over-the-Counter Call Swaptions 0.5% |
|
|
|
|
|
|
|
Receive a return based on return of |
|
|
31,250 |
|
|
77,824 |
|
Receive a return based on return of |
|
|
98,000 |
|
|
1,375,585 |
|
Receive a return based on return of |
|
|
62,500 |
|
|
203,131 |
|
Receive a return based on return of |
|
|
31,250 |
|
|
133,107 |
|
Receive a fixed rate of 1.76% and |
|
|
105,800 |
|
|
1,478,439 |
|
Receive a fixed rate of 3.89% and |
|
|
28,000 |
|
|
1,265,149 |
|
Receive a fixed rate of 3.86% and |
|
|
41,800 |
|
|
1,810,931 |
|
Receive a fixed rate of 3.84% and |
|
|
52,300 |
|
|
2,201,275 |
|
Receive a fixed rate of 3.86% and |
|
|
35,200 |
|
|
1,517,782 |
|
|
|
|
|
|
|||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
13 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Purchased |
|
Notional |
|
Value |
|
||
Over-the-Counter Call Swaptions (continued) |
|
|
|
|
|
|
|
Receive a fixed rate of 3.80% and |
|
USD |
35,100 |
$ |
|
1,415,183 |
|
Receive a fixed rate of 3.80% and |
|
|
19,400 |
|
|
782,181 |
|
Receive a fixed rate of 3.79% and |
|
|
30,500 |
|
|
1,214,339 |
|
Receive a fixed rate of 3.15% and |
|
|
15,400 |
|
|
244,600 |
|
Receive a fixed rate of 3.52% and |
|
|
53,500 |
|
|
1,487,466 |
|
Receive a fixed rate of 3.55% and |
|
|
19,900 |
|
|
578,704 |
|
Receive a fixed rate of 3.66% and |
|
|
22,000 |
|
|
738,936 |
|
Receive a fixed rate of 3.99% and |
|
|
23,700 |
|
|
1,024,148 |
|
Receive a fixed rate of 4.49% and |
|
|
5,400 |
|
|
315,932 |
|
Receive a fixed rate of 4.46% and |
|
|
40,100 |
|
|
2,301,527 |
|
Receive a fixed rate of 4.88% and |
|
|
18,500 |
|
|
1,232,080 |
|
Receive a fixed rate of 4.76% and |
|
|
20,100 |
|
|
1,254,813 |
|
|
|
|
|
|
|
22,653,132 |
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Notional |
|
Value |
|
||
Over-the-Counter Put Options 0.1% |
|
|
|
|
|
|
|
EUR Put Option, Strike Price USD |
|
USD |
24,440 |
|
$ |
355 |
|
EUR Put Option, Strike Price USD |
|
|
45,000 |
|
|
360,217 |
|
EUR Put Option, Strike Price USD |
|
|
180,080 |
|
|
3,334,796 |
|
ILS Put Option, Strike Price USD |
|
|
31,042 |
|
|
310 |
|
TWD Put Option, Strike Price USD |
|
|
143,955 |
|
|
15,835 |
|
|
|
|
|
|
|
3,711,513 |
|
Over-the-Counter Put Swaptions 0.5% |
|
|
|
|
|
|
|
Pay a fixed rate of 2.55% and receive |
|
|
133,300 |
|
|
204,815 |
|
Pay a return based on return of Dow |
|
|
75,000 |
|
|
1,031,731 |
|
Pay a fixed rate of 2.30% and receive |
|
|
103,600 |
|
|
949,567 |
|
Pay a fixed rate of 3.75% and receive |
|
|
61,800 |
|
|
608,409 |
|
Pay a fixed rate of 1.76% and receive |
|
|
105,800 |
|
|
141,285 |
|
Pay a fixed rate of 2.50% and receive |
|
|
48,000 |
|
|
19,915 |
|
Pay a fixed rate of 3.89% and receive |
|
|
28,000 |
|
|
734,790 |
|
Pay a fixed rate of 3.86% and receive |
|
|
41,800 |
|
|
1,152,940 |
|
|
|
|
|
|
|
||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
14 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Purchased |
|
Notional |
|
Value |
|
||
Over-the-Counter Put Swaptions (continued) |
|
|
|
|
|
|
|
Pay a fixed rate of 3.84% and receive |
|
USD |
52,300 |
|
$ |
1,492,930 |
|
Pay a fixed rate of 3.86% and receive |
|
|
35,200 |
|
|
980,887 |
|
Pay a fixed rate of 3.80% and receive |
|
|
35,100 |
|
|
1,047,910 |
|
Pay a fixed rate of 3.80% and receive |
|
|
19,400 |
|
|
579,187 |
|
Pay a fixed rate of 3.79% and receive |
|
|
30,500 |
|
|
940,382 |
|
Pay a fixed rate of 3.52% and receive |
|
|
53,500 |
|
|
2,481,287 |
|
Pay a fixed rate of 3.55% and receive |
|
|
19,900 |
|
|
917,615 |
|
Pay a fixed rate of 3.66% and receive |
|
|
22,000 |
|
|
909,786 |
|
Pay a fixed rate of 3.99% and receive |
|
|
23,700 |
|
|
1,364,753 |
|
Pay a fixed rate of 4.49% and receive |
|
|
5,400 |
|
|
328,924 |
|
Pay a fixed rate of 4.46% and receive |
|
|
40,100 |
|
|
2,491,870 |
|
Pay a fixed rate of 4.88% and receive |
|
|
18,500 |
|
|
1,291,637 |
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Notional |
|
Value |
|
||
Over-the-Counter Put Swaptions (concluded) |
|
|
|
|
|
|
|
Pay a fixed rate of 4.76% and receive |
|
USD |
20,100 |
|
$ |
1,481,318 |
|
|
|
|
|
|
|
21,151,938 |
|
Total
Options Purchased |
|
|
|
|
|
53,510,010 |
|
Total
Investments Before Borrowed |
|
|
|
|
|
7,412,333,012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bonds |
|
Par |
|
|
|
|
|
BNP Paribas SA, 5.43%, 9/07/17 |
|
EUR |
4,110 |
|
|
(6,247,154) |
|
Banco Espirito Santo SA, 3.88%, |
|
|
3,650 |
|
|
(4,125,480) |
|
Belgium Government Bond, 4.25%, |
|
|
5,910 |
|
|
(8,668,772) |
|
France Government Bond OAT, |
|
|
29,310 |
|
|
(44,518,571) |
|
Italy Buoni Poliennali Del Tesoro, |
|
|
18,075 |
|
|
(24,334,191) |
|
KBC Internationale |
|
|
3,650 |
|
|
(5,354,594) |
|
Portugal Obrigacoes do Tesouro |
|
|
1,700 |
|
|
(1,686,128) |
|
Societe Generale SA, 6.13%, |
|
|
2,600 |
|
|
(3,996,955) |
|
Spain Government Bond: |
|
|
|
|
|
|
|
3.30%, 10/31/14 |
|
|
5,900 |
|
|
(8,336,852) |
|
3.25%, 4/30/16 |
|
|
33,605 |
|
|
(45,737,193) |
|
Treasury Inflation Protected |
|
USD |
86,999 |
|
|
(90,342,686) |
|
U.S. Treasury Note: |
|
|
5,700 |
|
|
(5,726,733) |
|
UniCredit SpA, 3.95%, 2/01/16 |
|
EUR |
1,550 |
|
|
(2,106,183) |
|
Total
Borrowed Bonds |
|
|
|
|
|
(251,181,492) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
15 |
|
|
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
TBA Sale Commitments (m) |
|
Par |
|
Value |
|
||
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
3.50%, 7/01/41 |
|
USD |
32,200 |
|
$ |
(30,791,250) |
|
4.00%, 6/01/41 7/01/41 |
|
|
194,717 |
|
|
(201,526,589) |
|
4.50%, 7/01/41 |
|
|
297,600 |
|
|
(307,876,426) |
|
5.00%, 6/01/41 7/01/41 |
|
|
115,100 |
|
|
(122,305,736) |
|
5.50%, 6/01/41 7/01/41 |
|
|
408,002 |
|
|
(441,574,779) |
|
Freddie Mac Mortgage-Backed |
|
|
|
|
|
|
|
4.50%, 7/01/41 |
|
|
224,000 |
|
|
(231,385,056) |
|
5.00%, 6/01/41 7/01/41 |
|
|
116,000 |
|
|
(123,129,108) |
|
4.00%, 7/01/41 |
|
|
58,300 |
|
|
(60,677,532) |
|
Ginnie Mae Mortgage-Backed |
|
|
106,200 |
|
|
(112,787,692) |
|
Total TBA
Sale Commitments |
|
|
|
|
|
(1,632,054,168) |
|
|
|||||||
|
|
|
|
|
|
|
|
Options Written |
|
|
Contracts |
|
|
|
|
Exchange-Traded Call Options 0.0% |
|
|
|
|
|
|
|
30-Year U.S. Treasury Bond, Strike |
|
|
378 |
|
|
(626,062) |
|
Exchange-Traded Put Options 0.0% |
|
|
|
|
|
|
|
30-Year U.S. Treasury Bond, Strike |
|
|
378 |
|
|
(992,250) |
|
Eurodollar 1-Year Mid-Curve Options, |
|
|
3,468 |
|
|
(21,675) |
|
Eurodollar 1-Year Mid-Curve Options, |
|
|
2,499 |
|
|
(15,619) |
|
iShares Russell 2000 Index Fund, |
|
|
905 |
|
|
(62,445) |
|
SUPERVALU, Inc., Strike Price USD |
|
|
3,750 |
|
|
(84,375) |
|
|
|
|
|
|
|
(1,176,364) |
|
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
|||
Over-the-Counter Call Options 0.0% |
|
|
|
|
|
|
|
HKD Call Option, Strike Price USD |
|
USD |
480,136 |
|
|
(4,801) |
|
Over-the-Counter Call Swaptions (1.0)% |
|
|
|
|
|
|
|
Pay a return based on return of Dow |
|
|
60,000 |
|
|
(624,835) |
|
|
|
|
|
|
|
|
|
Options Written |
|
|
Notional |
|
Value |
|
|
Over-the-Counter Call Swaptions (continued) |
|
|
|
|
|
|
|
Pay a return based on return of Dow |
|
USD |
75,000 |
|
$ |
(641,190) |
|
Pay a return based on return of |
|
|
62,500 |
|
|
(48,794) |
|
Pay a return based on return of |
|
|
230,000 |
|
|
(1,369,012) |
|
Pay a return based on return of |
|
|
125,000 |
|
|
(154,504) |
|
Pay a return based on return of |
|
|
62,500 |
|
|
(115,341) |
|
Pay a fixed rate of 2.90% and receive |
|
|
106,200 |
|
|
(706,230) |
|
Pay a fixed rate of 3.00% and receive |
|
|
27,300 |
|
|
(246,710) |
|
Pay a fixed rate of 2.08% and receive |
|
|
96,300 |
|
|
(1,876,328) |
|
Pay a fixed rate of 4.03% and receive |
|
|
54,000 |
|
|
(2,889,497) |
|
Pay a fixed rate of 3.98% and receive |
|
|
20,500 |
|
|
(1,022,651) |
|
Pay a fixed rate of 3.98% and receive |
|
|
48,200 |
|
|
(2,404,476) |
|
Pay a fixed rate of 3.98% and receive |
|
|
26,600 |
|
|
(1,338,214) |
|
|
|
|
|
|
|
|
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
16 |
|
|
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Written |
|
|
Notional |
|
Value |
|
|
Over-the-Counter Call Swaptions (continued) |
|
|
|
|
|
|
|
Pay a fixed rate of 3.96% and receive |
|
USD |
48,600 |
|
$ |
(2,374,324) |
|
Pay a fixed rate of 3.93% and receive |
|
|
84,100 |
|
|
(3,950,623) |
|
Pay a fixed rate of 3.93% and receive |
|
|
70,100 |
|
|
(3,292,969) |
|
Pay a fixed rate of 3.72% and receive |
|
|
20,400 |
|
|
(740,795) |
|
Pay a fixed rate of 3.75% and receive |
|
|
27,100 |
|
|
(1,009,586) |
|
Pay a fixed rate of 3.79% and receive |
|
|
14,400 |
|
|
(573,856) |
|
Pay a fixed rate of 2.65% and receive |
|
|
15,400 |
|
|
(94,856) |
|
Pay a fixed rate of 2.90% and receive |
|
|
15,400 |
|
|
(156,536) |
|
Pay a fixed rate of 4.52% and receive |
|
|
26,400 |
|
|
(1,863,365) |
|
Pay a fixed rate of 3.26% and receive |
|
|
10,000 |
|
|
(227,490) |
|
Pay a fixed rate of 5.07% and receive |
|
|
41,300 |
|
|
(3,682,221) |
|
Pay a fixed rate of 5.08% and receive |
|
|
58,100 |
|
|
(5,211,617) |
|
Pay a fixed rate of 5.14% and receive |
|
|
13,800 |
|
|
(1,283,281) |
|
Pay a fixed rate of 5.06% and pay a |
|
|
15,000 |
|
|
(574,763) |
|
|
|
|
|
|
|
|
|
Options Written |
|
|
Notional |
|
Value |
|
|
Over-the-Counter Call Swaptions (concluded) |
|
|
|
|
|
|
|
Pay a fixed rate of 3.90% and receive |
|
USD |
65,900 |
|
$ |
(1,968,782) |
|
Pay a fixed rate of 3.96% and receive |
|
|
23,000 |
|
|
(722,879) |
|
|
|
|
|
|
|
(41,165,725) |
|
Over-the-Counter Put Options (0.1)% |
|
|
|
|
|
|
|
EUR Put Option, Strike Price USD |
|
|
24,440 |
|
|
(354) |
|
EUR Put Option, Strike Price USD |
|
|
180,080 |
|
|
(1,441,509) |
|
EUR Put Option, Strike Price USD |
|
|
45,000 |
|
|
(833,329) |
|
ILS Put Option, Strike Price USD |
|
|
31,042 |
|
|
(310) |
|
|
|
|
|
|
|
(2,275,502) |
|
Over-the-Counter Put Swaptions (0.7)% |
|
|
|
|
|
|
|
Receive a fixed rate of 2.15% and |
|
|
27,300 |
|
|
(201,201) |
|
Receive a return based on return of |
|
|
60,000 |
|
|
(1,539,567) |
|
Receive a return based on return of |
|
|
75,000 |
|
|
(2,159,308) |
|
Receive a fixed rate of 3.95% and |
|
|
106,200 |
|
|
(955,800) |
|
Receive a return based on return of |
|
|
167,000 |
|
|
(530,395) |
|
|
|
|
|
|
|||
|
|
|
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
17 |
|
|
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Written |
|
|
Notional |
|
Value |
|
|
Over-the-Counter Put Swaptions (continued) |
|
|
|
|
|
|
|
Receive a return based on return of |
|
USD |
167,000 |
|
$ |
(530,395) |
|
Receive a return based on return of |
|
|
167,000 |
|
|
(530,395) |
|
Receive a return based on return of |
|
|
167,000 |
|
|
(530,395) |
|
Receive a fixed rate of 4.00% and |
|
|
27,300 |
|
|
(308,916) |
|
Receive a fixed rate of 2.08% and |
|
|
96,300 |
|
|
(90,782) |
|
Receive a fixed rate of 4.03% and |
|
|
54,000 |
|
|
(1,110,834) |
|
Receive a fixed rate of 3.98% and |
|
|
20,500 |
|
|
(465,803) |
|
Receive a fixed rate of 3.98% and |
|
|
48,200 |
|
|
(1,095,205) |
|
Receive a fixed rate of 3.98% and |
|
|
26,600 |
|
|
(598,601) |
|
Receive a fixed rate of 3.96% and |
|
|
48,600 |
|
|
(1,141,954) |
|
Receive a fixed rate of 3.93% and |
|
|
84,100 |
|
|
(2,098,135) |
|
Receive a fixed rate of 3.93% and |
|
|
70,100 |
|
|
(1,748,862) |
|
|
|
|
|
|
|
|
|
Options Written |
|
|
Notional |
|
Value |
|
|
Over-the-Counter Put Swaptions (concluded) |
|
|
|
|
|
|
|
Receive a fixed rate of 3.72% and |
|
USD |
20,400 |
|
$ |
(691,799) |
|
Receive a fixed rate of 3.75% and |
|
|
27,100 |
|
|
(898,238) |
|
Receive a fixed rate of 5.07% and |
|
|
41,300 |
|
|
(1,570,152) |
|
Receive a fixed rate of 5.08% and |
|
|
58,100 |
|
|
(2,194,263) |
|
Receive a fixed rate of 5.14% and |
|
|
13,800 |
|
|
(500,841) |
|
Receive a fixed rate of 6.00% and |
|
|
14,000 |
|
|
(288,714) |
|
Receive a fixed rate of 5.06% and |
|
|
15,000 |
|
|
(1,328,754) |
|
Receive a fixed rate of 3.90% and |
|
|
65,900 |
|
|
(2,515,469) |
|
Receive a fixed rate of 3.96% and |
|
|
23,000 |
|
|
(845,751) |
|
Receive a fixed rate of 3.79% and |
|
|
14,400 |
|
|
(458,683) |
|
Receive a fixed rate of 4.52% and |
|
|
26,400 |
|
|
(863,481) |
|
Receive a fixed rate of 4.52% and |
|
|
10,000 |
|
|
(334,038) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(28,126,731) |
|
Total
Options Written |
|
|
|
|
|
(73,375,185) |
|
|
|
|
|
|
|||
|
|
|
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
18 |
|
|
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
Total
Investments, Net of Borrowed Bonds, TBA Sale |
|
|
5,455,722,167 |
|
|
|
|||
Liabilities in Excess of Other Assets (30.7)% |
|
|
(1,280,775,706 |
) |
Net Assets 100.0% |
|
$ |
4,174,946,461 |
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of June 30, 2011, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
|
|
Aggregate cost |
|
$ |
5,459,731,780 |
|
|
Gross unrealized appreciation |
|
$ |
113,046,197 |
|
|
Gross unrealized depreciation |
|
|
(117,055,810 |
|
|
Net unrealized depreciation |
|
$ |
(4,009,613 |
) |
|
|
(a) |
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. |
|
|
(b) |
Variable rate security. Rate shown is as of report date. |
|
|
(c) |
Non-income producing security. |
|
|
(d) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
(e) |
All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. |
|
|
(f) |
Security is perpetual in nature and has no stated maturity date. |
|
|
(g) |
Convertible security. |
|
|
(h) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
(i) |
Investments in companies considered to be an affiliate of the Master Portfolio during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
19 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Par/Shares |
|
Par/Shares |
|
Par/Shares |
|
Par/Shares |
|
Value
at |
|
Realized |
|
Income |
|
|||||||
BlackRock Capital Finance LP, Series 1997-R2, Class AP, 1.26%, 12/25/2035 |
|
$ |
9,158 |
|
|
|
|
$ |
(45 |
) |
$ |
9,113 |
|
$ |
9,113 |
|
|
|
|
$ |
591 |
|
BlackRock Liquidity Funds, TempFund, Institutional Class |
|
|
20,883,348 |
|
|
|
|
|
(20,883,348 |
)1 |
|
|
|
|
|
|
|
|
|
|
42,082 |
|
iShares JPMorgan USD Emerging Markets Bond Fund |
|
|
145,000 |
|
|
|
|
|
(30,500 |
) |
|
114,500 |
|
$ |
12,517,140 |
|
$ |
(171,926 |
) |
|
511,805 |
|
1 Represents net shares sold. |
|
|
|
|
|
|
|
|
|
|
|
|
(j) |
Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand. |
|
|
(k) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
(l) |
All or a portion of security has been pledged as collateral in connection with swaps. |
|
|
(m) |
Represents or includes TBA transactions. Unsettled TBA transactions as of report date were as follows: |
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
Unrealized |
|
||
Bank of America NA |
|
$ |
17,958,125 |
|
$ |
(68,984 |
) |
Barclays Capital |
|
$ |
(6,310,639 |
) |
$ |
26,212 |
|
BNP Paribas |
|
$ |
29,604,255 |
|
$ |
(22,011 |
) |
Citigroup Global Markets, Inc. |
|
$ |
92,000,347 |
|
$ |
82,433 |
|
Credit Suisse Securities LLC |
|
$ |
(3,068,818 |
) |
$ |
(40,412 |
) |
Deutsche Bank Securities, Inc. |
|
$ |
(94,436,801 |
) |
$ |
(233,817 |
) |
Deutsche Bank AG |
|
$ |
(5,632,078 |
) |
$ |
(18,203 |
) |
Goldman Sachs & Co. |
|
$ |
546,624,198 |
|
$ |
604,307 |
|
Greenwich Financial Services |
|
$ |
(19,834,054 |
) |
$ |
(52,683 |
) |
JPMorgan Securities, Ltd. |
|
$ |
(87,450,817 |
) |
$ |
569,066 |
|
Morgan Stanley Capital Services, Inc. |
|
$ |
49,383,820 |
|
$ |
(357,321 |
) |
Nomura Securities International, Inc. |
|
$ |
(53,550,000 |
) |
$ |
145,688 |
|
UBS Securities |
|
$ |
36,978,750 |
|
$ |
10,688 |
|
Wells Fargo Bank, NA |
|
$ |
(5,832,747 |
) |
$ |
(5,028 |
) |
|
|
(n) |
All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
|
|
(o) |
Rates shown are discount rates or a range of discount rates paid at the time of purchase. |
|
|
|
For Master LLCs compliance purposes, the Master LLCs industry classifications refer to any one or more of the industry sub- classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Master LLC management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
|
|
|||
|
|||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
20 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
Reverse repurchase agreements outstanding as of June 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Counterparty |
|
Interest |
|
Trade |
|
Maturity |
|
Net
Closing |
|
Face |
|
|||||||
Barclays Capital, Inc. |
|
|
|
0.07 |
% |
|
|
5/6/11 |
|
|
Open |
|
$ |
13,128,504 |
|
$ |
13,127,100 |
|
Barclays Capital, Inc. |
|
|
|
0.07 |
% |
|
|
5/6/11 |
|
|
Open |
|
|
9,115,031 |
|
|
9,114,056 |
|
Barclays Capital, Inc. |
|
|
|
0.07 |
% |
|
|
5/6/11 |
|
|
Open |
|
|
11,545,235 |
|
|
11,544,000 |
|
BNP Paribas |
|
|
|
0.02 |
% |
|
|
5/11/11 |
|
|
Open |
|
|
8,924,743 |
|
|
8,923,875 |
|
BNP Paribas |
|
|
|
0.02 |
% |
|
|
5/11/11 |
|
|
Open |
|
|
5,418,527 |
|
|
5,418,000 |
|
Deutsche Bank AG |
|
|
|
0.25 |
% |
|
|
6/23/11 |
|
|
Open |
|
|
1,902,532 |
|
|
1,902,440 |
|
BNP Paribas |
|
|
|
(0.40 |
)% |
|
|
6/30/11 |
|
|
7/1/11 |
|
|
175,072,055 |
|
|
175,074,000 |
|
Credit Suisse Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(USA) LLC |
|
|
|
0.01 |
% |
|
|
6/30/11 |
|
|
7/1/11 |
|
|
352,187,598 |
|
|
352,187,500 |
|
Deutsche Bank AG |
|
|
|
0.03 |
% |
|
|
6/30/11 |
|
|
7/1/11 |
|
|
4,481,141 |
|
|
4,481,138 |
|
Merrill Lynch |
|
|
|
0.00 |
% |
|
|
6/30/11 |
|
|
7/1/11 |
|
|
6,037,500 |
|
|
6,037,500 |
|
Merrill Lynch |
|
|
|
(0.07 |
)% |
|
|
6/30/11 |
|
|
7/1/11 |
|
|
173,171,513 |
|
|
173,172,182 |
|
Barclays Capital, Inc. |
|
|
|
0.02 |
% |
|
|
6/30/11 |
|
|
7/5/11 |
|
|
3,730,668 |
|
|
3,730,658 |
|
BNP Paribas |
|
|
|
0.16 |
% |
|
|
6/13/11 |
|
|
7/14/11 |
|
|
15,141,482 |
|
|
15,139,425 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
779,856,529 |
|
$ |
779,851,874 |
|
|
|
|
|
1 |
Certain agreements have no stated maturity and can be terminated by either party at any time. |
|
|
|
Financial futures contracts purchased as of June 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
Notional |
|
Appreciation |
|
||
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Value |
|
(Depreciation) |
|
||
2,259 |
|
2-Year US Treasury Note |
|
Chicago Board of Trade |
|
September 2011 |
|
$ |
495,472,544 |
|
$ |
24,987 |
|
753 |
|
30-Year US Treasury Bond |
|
Chicago Board of Trade |
|
September 2011 |
|
|
94,207,605 |
|
|
(1,565,073 |
) |
85 |
|
90-Day Euro-Dollar Future |
|
Chicago Mercantile |
|
September 2011 |
|
|
21,153,971 |
|
|
22,716 |
|
55 |
|
90-Day Euro-Dollar Future |
|
Chicago Mercantile |
|
December 2011 |
|
|
13,685,526 |
|
|
6,725 |
|
31 |
|
90-Day Euro-Dollar Future |
|
Chicago Mercantile |
|
March 2012 |
|
|
7,692,973 |
|
|
19,440 |
|
128 |
|
90-Day Euro-Dollar Future |
|
Chicago Mercantile |
|
June 2012 |
|
|
31,773,386 |
|
|
29,814 |
|
167 |
|
90-Day Euro-Dollar Future |
|
Chicago Mercantile |
|
September 2012 |
|
|
41,077,222 |
|
|
330,428 |
|
141 |
|
90-Day Euro-Dollar Future |
|
Chicago Mercantile |
|
December 2012 |
|
|
34,893,235 |
|
|
(20,410 |
) |
78 |
|
90-Day Euro-Dollar Future |
|
Chicago Mercantile |
|
March 2013 |
|
|
19,078,565 |
|
|
164,036 |
|
132 |
|
90-Day Euro-Dollar Future |
|
Chicago Mercantile |
|
June 2013 |
|
|
32,504,112 |
|
|
(27,162 |
) |
213 |
|
90-Day Euro-Dollar Future |
|
Chicago Mercantile |
|
September 2013 |
|
|
51,789,948 |
|
|
477,589 |
|
153 |
|
90-Day Euro-Dollar Future |
|
Chicago Mercantile |
|
December 2013 |
|
|
37,102,783 |
|
|
338,229 |
|
9 |
|
90-Day Euro-Dollar Future |
|
Chicago Mercantile |
|
March 2014 |
|
|
2,185,900 |
|
|
10,775 |
|
120 |
|
Euro Currency Future |
|
Chicago Mercantile |
|
September 2011 |
|
|
21,404,584 |
|
|
327,416 |
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
139,510 |
|
|
|
|
Financial futures contracts sold as of June 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
Notional |
|
Appreciation |
|
||
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Value |
|
(Depreciation) |
|
||
1,728 |
|
5-Year US Treasury Bond |
|
Chicago Board of Trade |
|
September 2011 |
|
$ |
206,317,261 |
|
$ |
347,760 |
|
2,452 |
|
10-Year US Treasury Note |
|
Chicago Board of Trade |
|
September 2011 |
|
|
300,648,065 |
|
|
699,502 |
|
38 |
|
Long Bond US Treasury Bond |
|
Chicago Board of Trade |
|
September 2011 |
|
|
2,864,514 |
|
|
28,384 |
|
254 |
|
Ultra U.S. Treasury Bond |
|
Chicago Board of Trade |
|
September 2011 |
|
|
32,910,964 |
|
|
843,464 |
|
7 |
|
CBOE Vix Future |
|
Chicago Board of Trade |
|
July 2011 |
|
|
126,334 |
|
|
(16 |
) |
19 |
|
Euro BOBL |
|
Eurex |
|
September 2011 |
|
|
2,207,399 |
|
|
(11,051 |
) |
70 |
|
Euro-Bund Future |
|
Eurex |
|
September 2011 |
|
|
8,828,407 |
|
|
64,977 |
|
29 |
|
Euro BUXL 30-Year Bond |
|
Eurex |
|
September 2011 |
|
|
3,067,008 |
|
|
116,865 |
|
28 |
|
Euro SCHATZ |
|
Eurex |
|
September 2011 |
|
|
3,018,229 |
|
|
9,700 |
|
27 |
|
U.K. Long Gilt Bond |
|
Chicago Board of Trade |
|
September 2011 |
|
|
3,264,433 |
|
|
32,714 |
|
15 |
|
S&P 500 EMini |
|
Chicago Mercantile |
|
September 2011 |
|
|
947,701 |
|
|
(38,924 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
$ |
2,093,375 |
|
|
|
|
|
|
|||
|
|||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
21 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
Foreign currency exchange contracts as of June 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Settlement Date |
|
Unrealized
Appreciation |
|
|||
EUR |
3,102,500 |
|
USD |
4,500,487 |
|
Citibank NA |
7/01/11 |
|
$ |
(1,397 |
) |
AUD |
12,767,000 |
|
CAD |
13,150,853 |
|
Citibank NA |
7/05/11 |
|
|
57,655 |
|
CAD |
12,949,951 |
|
AUD |
12,767,000 |
|
UBS AG |
7/05/11 |
|
|
(265,961 |
) |
CAD |
201,000 |
|
USD |
207,040 |
|
Citibank NA |
7/05/11 |
|
|
1,368 |
|
CAD |
201,000 |
|
USD |
203,709 |
|
Citibank NA |
7/07/11 |
|
|
4,689 |
|
GBP |
19,133,500 |
|
USD |
30,605,947 |
|
Royal Bank of Scotland Plc |
7/07/11 |
|
|
101,629 |
|
JPY |
639,045,000 |
|
USD |
7,544,217 |
|
Royal Bank of Scotland Plc |
7/07/11 |
|
|
393,813 |
|
USD |
21,500,250 |
|
GBP |
13,150,000 |
|
Citibank NA |
7/07/11 |
|
|
395,663 |
|
USD |
3,662,781 |
|
GBP |
2,243,000 |
|
Deutsche Bank AG |
7/07/11 |
|
|
62,964 |
|
USD |
3,648,045 |
|
GBP |
2,228,000 |
|
Deutsche Bank AG |
7/07/11 |
|
|
72,302 |
|
USD |
1,514,081 |
|
GBP |
932,500 |
|
UBS AG |
7/07/11 |
|
|
17,501 |
|
USD |
953,869 |
|
GBP |
580,000 |
|
UBS AG |
7/07/11 |
|
|
23,020 |
|
USD |
7,908,356 |
|
JPY |
642,908,220 |
|
Royal Bank of Scotland Plc |
7/07/11 |
|
|
(77,663 |
) |
IDR |
12,299,045,750 |
|
USD |
1,429,000 |
|
HSBC Bank |
7/11/11 |
|
|
3,914 |
|
USD |
1,409,167 |
|
IDR |
12,304,845,720 |
|
HSBC Bank |
7/11/11 |
|
|
(24,423 |
) |
USD |
1,638,221 |
|
NZD |
2,011,000 |
|
HSBC Bank |
7/11/11 |
|
|
(27,218 |
) |
CZK |
34,558,000 |
|
HUF |
379,515,956 |
|
JPMorgan Chase Bank NA |
7/13/11 |
|
|
(8,358 |
) |
CAD |
2,062,396 |
|
MXN |
24,856,000 |
|
JPMorgan Chase Bank NA |
7/18/11 |
|
|
17,210 |
|
MXN |
60,495,463 |
|
CAD |
4,923,000 |
|
Citibank NA |
7/20/11 |
|
|
57,538 |
|
AUD |
5,535,740 |
|
CAD |
5,550,000 |
|
Citibank NA |
7/21/11 |
|
|
173,072 |
|
RUB |
56,431,900 |
|
USD |
1,989,259 |
|
HSBC Bank |
7/21/11 |
|
|
28,299 |
|
USD |
2,045,000 |
|
HUF |
394,460,050 |
|
Citibank NA |
7/21/11 |
|
|
(103,378 |
) |
AUD |
2,872,391 |
|
MXN |
35,656,237 |
|
Royal Bank of Scotland |
7/22/11 |
|
|
33,314 |
|
CHF |
872,772 |
|
SEK |
6,390,000 |
|
UBS AG |
7/25/11 |
|
|
29,126 |
|
SEK |
22,657,000 |
|
CHF |
3,006,263 |
|
Citibank NA |
7/25/11 |
|
|
1,790 |
|
SEK |
12,848,000 |
|
CHF |
1,790,699 |
|
UBS AG |
7/25/11 |
|
|
(101,229 |
) |
CHF |
1,771,000 |
|
GBP |
1,332,130 |
|
UBS AG |
7/26/11 |
|
|
(30,745 |
) |
EUR |
2,896,942 |
|
GBP |
2,505,000 |
|
Citibank NA |
7/26/11 |
|
|
179,178 |
|
EUR |
1,953,093 |
|
GBP |
1,738,370 |
|
UBS AG |
7/26/11 |
|
|
41,343 |
|
EUR |
4,486,000 |
|
GBP |
3,994,514 |
|
UBS AG |
7/26/11 |
|
|
92,224 |
|
GBP |
1,182,461 |
|
CHF |
1,679,000 |
|
UBS AG |
7/26/11 |
|
|
(99,965 |
) |
CNY |
108,725,000 |
|
USD |
16,646,253 |
|
HSBC Bank |
7/27/11 |
|
|
172,258 |
|
CNY |
165,411,000 |
|
USD |
24,592,774 |
|
HSBC Bank |
7/27/11 |
|
|
994,411 |
|
CNY |
37,560,800 |
|
USD |
5,800,000 |
|
Royal Bank of Canada |
7/27/11 |
|
|
10,225 |
|
CNY |
106,010,000 |
|
USD |
16,375,994 |
|
Royal Bank of Canada |
7/27/11 |
|
|
22,537 |
|
EUR |
4,560,900 |
|
USD |
6,660,830 |
|
Citibank NA |
7/27/11 |
|
|
(50,889 |
) |
EUR |
2,542,400 |
|
USD |
3,597,402 |
|
Deutsche Bank AG |
7/27/11 |
|
|
87,203 |
|
GBP |
2,557,343 |
|
EUR |
2,873,000 |
|
UBS AG |
7/27/11 |
|
|
(60,427 |
) |
USD |
51,087,018 |
|
CNY |
342,272,803 |
|
HSBC Bank |
7/27/11 |
|
|
(1,858,660 |
) |
USD |
14,200,000 |
|
CNY |
92,513,000 |
|
HSBC Bank |
7/27/11 |
|
|
(110,700 |
) |
USD |
10,535,378 |
|
EUR |
7,335,000 |
|
Citibank NA |
7/27/11 |
|
|
(94,961 |
) |
USD |
1,108,488 |
|
EUR |
774,000 |
|
Citibank NA |
7/27/11 |
|
|
(13,241 |
) |
USD |
4,497,310 |
|
EUR |
3,102,500 |
|
Citibank NA |
7/27/11 |
|
|
973 |
|
USD |
22,605,728 |
|
EUR |
16,022,000 |
|
Royal Bank of Scotland Plc |
7/27/11 |
|
|
(614,353 |
) |
USD |
6,122,640 |
|
EUR |
4,339,500 |
|
Royal Bank of Scotland Plc |
7/27/11 |
|
|
(166,434 |
) |
USD |
8,410,597 |
|
EUR |
5,880,500 |
|
Royal Bank of Scotland Plc |
7/27/11 |
|
|
(111,790 |
) |
USD |
105,761,484 |
|
EUR |
72,742,800 |
|
Royal Bank of Scotland Plc |
7/27/11 |
|
|
338,084 |
|
USD |
2,664,576 |
|
EUR |
1,860,000 |
|
UBS AG |
7/27/11 |
|
|
(31,051 |
) |
USD |
1,877,948 |
|
EUR |
1,312,000 |
|
UBS AG |
7/27/11 |
|
|
(23,484 |
) |
KRW |
1,684,743,000 |
|
JPY |
124,842,015 |
|
HSBC Bank |
7/28/11 |
|
|
24,839 |
|
KRW |
2,587,741,000 |
|
JPY |
191,755,539 |
|
HSBC Bank |
7/28/11 |
|
|
38,152 |
|
KRW |
4,572,406,250 |
|
JPY |
335,988,937 |
|
HSBC Bank |
7/28/11 |
|
|
102,610 |
|
MYR |
23,749,369 |
|
USD |
7,724,000 |
|
UBS AG |
7/28/11 |
|
|
127,730 |
|
USD |
7,724,000 |
|
CNY |
50,140,346 |
|
UBS AG |
7/28/11 |
|
|
(32,104 |
) |
EUR |
14,590,000 |
|
USD |
20,857,076 |
|
Deutsche Bank AG |
8/09/11 |
|
|
279,979 |
|
EUR |
17,120,000 |
|
USD |
24,191,039 |
|
Deutsche Bank AG |
8/09/11 |
|
|
611,317 |
|
EUR |
8,925,000 |
|
USD |
12,681,122 |
|
Goldman Sachs International |
8/09/11 |
|
|
248,845 |
|
USD |
12,096,290 |
|
EUR |
8,565,000 |
|
Deutsche Bank AG |
8/09/11 |
|
|
(312,132 |
) |
|
|
|
|
|
|||
|
|||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
22 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Settlement Date |
|
Unrealized
Appreciation |
|
|||
USD |
12,653,570 |
|
EUR |
8,925,000 |
|
Deutsche Bank AG |
8/09/11 |
|
$ |
(276,396 |
) |
USD |
12,062,687 |
|
EUR |
8,555,000 |
|
Royal Bank of Scotland Plc |
8/09/11 |
|
|
(331,248 |
) |
USD |
20,610,126 |
|
EUR |
14,590,000 |
|
UBS AG |
8/09/11 |
|
|
(526,929 |
) |
USD |
165,000 |
|
TRY |
267,350 |
|
JPMorgan Chase Bank NA |
8/10/11 |
|
|
1,487 |
|
USD |
2,027,000 |
|
TRY |
3,184,417 |
|
JPMorgan Chase Bank NA |
8/10/11 |
|
|
79,380 |
|
AUD |
11,540,000 |
|
USD |
12,078,745 |
|
BNP Paribas |
8/17/11 |
|
|
231,409 |
|
USD |
12,180,747 |
|
AUD |
11,540,000 |
|
BNP Paribas |
8/17/11 |
|
|
(129,407 |
) |
CHF |
8,402,674 |
|
USD |
10,050,000 |
|
Royal Bank of Scotland Plc |
8/29/11 |
|
|
(52,440 |
) |
USD |
10,050,000 |
|
CHF |
8,424,191 |
|
Royal Bank of Scotland Plc |
8/29/11 |
|
|
26,839 |
|
USD |
27,173,645 |
|
JPY |
2,189,380,575 |
|
Royal Bank of Scotland Plc |
9/27/11 |
|
|
(34,985 |
) |
CLP |
490,084,400 |
|
USD |
1,027,000 |
|
HSBC Bank |
9/29/11 |
|
|
10,530 |
|
USD |
244,081 |
|
ZAR |
1,677,542 |
|
Citibank NA |
9/29/11 |
|
|
(927 |
) |
USD |
995,719 |
|
ZAR |
6,930,039 |
|
Deutsche Bank AG |
9/29/11 |
|
|
(16,423 |
) |
USD |
203,278 |
|
CAD |
201,000 |
|
Citibank NA |
10/07/11 |
|
|
(4,641 |
) |
USD |
30,572,788 |
|
GBP |
19,133,500 |
|
Royal Bank of Scotland Plc |
10/07/11 |
|
|
(100,530 |
) |
NZD |
174,492 |
|
USD |
139,571 |
|
Royal Bank of Scotland Plc |
10/11/11 |
|
|
4,045 |
|
NZD |
1,836,423 |
|
USD |
1,485,070 |
|
Royal Bank of Scotland Plc |
10/11/11 |
|
|
26,400 |
|
CAD |
13,002,206 |
|
AUD |
12,767,000 |
|
Citibank NA |
10/26/11 |
|
|
(57,118 |
) |
HKD |
41,696,563 |
|
USD |
5,365,221 |
|
HSBC Bank |
11/10/11 |
|
|
(2,411 |
) |
HKD |
47,265,000 |
|
USD |
6,073,319 |
|
HSBC Bank |
11/10/11 |
|
|
5,676 |
|
HKD |
47,265,000 |
|
USD |
6,073,319 |
|
HSBC Bank |
11/10/11 |
|
|
5,676 |
|
USD |
5,375,000 |
|
HKD |
41,696,563 |
|
HSBC Bank |
11/10/11 |
|
|
12,190 |
|
USD |
14,276,000 |
|
HKD |
110,725,084 |
|
HSBC Bank |
11/10/11 |
|
|
35,076 |
|
CZK |
265,010,337 |
|
EUR |
10,865,354 |
|
UBS AG |
11/21/11 |
|
|
94,345 |
|
EUR |
5,526,133 |
|
NOK |
44,071,919 |
|
Royal Bank of Scotland Plc |
11/21/11 |
|
|
(112,257 |
) |
GBP |
5,365,000 |
|
CZK |
150,269,036 |
|
Deutsche Bank AG |
11/21/11 |
|
|
(355,609 |
) |
NOK |
46,430,000 |
|
CZK |
141,347,453 |
|
State Street Bank |
11/21/11 |
|
|
106,362 |
|
EUR |
9,162,832 |
|
HUF |
2,504,187,325 |
|
Deutsche Bank AG |
11/25/11 |
|
|
(212,378 |
) |
HUF |
1,921,177,736 |
|
PLN |
27,883,000 |
|
Deutsche Bank AG |
11/25/11 |
|
|
288,755 |
|
PLN |
28,285,643 |
|
EUR |
7,113,863 |
|
UBS AG |
11/25/11 |
|
|
(102,735 |
) |
Total |
|
|
|
|
|
|
|
|
$ |
(762,052 |
) |
|
|
|
Credit default swaps on single-name issues - buy protection outstanding as of June 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
Issuer |
Pay |
Counterparty |
Expiration |
Notional |
|
Unrealized |
|
||
Radian Group, Inc. |
5.00% |
Citibank NA |
3/20/13 |
USD |
11,350 |
|
$ |
199,445 |
|
McClatchy Co. |
5.00% |
Goldman Sachs International |
6/20/13 |
USD |
500 |
|
|
(8,056 |
) |
MGIC Investment Corp. |
5.00% |
Goldman Sachs International |
6/20/13 |
USD |
1,500 |
|
|
45,715 |
|
Radian Group, Inc. |
5.00% |
Goldman Sachs International |
6/20/13 |
USD |
1,500 |
|
|
38,703 |
|
McClatchy Co. |
5.00% |
JPMorgan Chase Bank NA |
6/20/13 |
USD |
500 |
|
|
(3,424 |
) |
McClatchy Co. |
5.00% |
Morgan Stanley Capital Services, Inc. |
6/20/13 |
USD |
1,000 |
|
|
8,672 |
|
Eastman Chemical Co. |
0.68% |
Morgan Stanley Capital Services, Inc. |
9/20/13 |
USD |
3,800 |
|
|
(24,389 |
) |
Dean Foods Co. |
5.00% |
Barclays Bank Plc |
3/20/14 |
USD |
3,100 |
|
|
(131,440 |
) |
Radian Group, Inc. |
5.00% |
Citibank NA |
6/20/15 |
USD |
13,350 |
|
|
1,128,791 |
|
Hellenic Republic Government Bond |
1.00% |
Credit Suisse Securities (USA) LLC |
3/20/16 |
USD |
655 |
|
|
126,067 |
|
Ireland Government Bond |
1.00% |
Barclays Bank Plc |
3/20/16 |
USD |
5,502 |
|
|
377,883 |
|
Macys, Inc. |
1.00% |
Barclays Bank Plc |
3/20/16 |
USD |
3,330 |
|
|
(70,969 |
) |
Spain (Kingdom of) |
1.00% |
Citibank NA |
3/20/16 |
USD |
5,272 |
|
|
4,551 |
|
Spain (Kingdom of) |
1.00% |
JPMorgan Chase Bank NA |
3/20/16 |
USD |
13,178 |
|
|
38,419 |
|
Beazer Homes USA, Inc. |
5.00% |
Bank of America NA |
6/20/16 |
USD |
2,000 |
|
|
164,273 |
|
Best Buy Co., Inc. |
1.00% |
Bank of America NA |
6/20/16 |
USD |
2,900 |
|
|
34,438 |
|
Macys, Inc. |
1.00% |
BNP Paribas |
6/20/16 |
USD |
1,250 |
|
|
(23,016 |
) |
Portugal Government Bond |
1.00% |
Deutsche Bank AG |
6/20/16 |
USD |
2,200 |
|
|
63,812 |
|
|
|
|
|
|
|||
|
|||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
23 |
|
|
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
Pay |
|
Counterparty |
Expiration |
|
Notional |
|
Unrealized |
|
||
MGM Resorts |
5.00 |
% |
Goldman Sachs International |
6/20/16 |
|
USD |
3,000 |
|
$ |
(54,821 |
) |
Adecco SA |
1.00 |
% |
JPMorgan Chase Bank NA |
6/20/16 |
|
EUR |
4,000 |
|
|
51,285 |
|
Bertelsmann AG |
1.00 |
% |
JPMorgan Chase Bank NA |
6/20/16 |
|
EUR |
4,000 |
|
|
30,773 |
|
Gas Natural SDG SA |
1.00 |
% |
JPMorgan Chase Bank NA |
6/20/16 |
|
EUR |
3,650 |
|
|
18,483 |
|
Iberdrola SA |
1.00 |
% |
JPMorgan Chase Bank NA |
6/20/16 |
|
EUR |
3,650 |
|
|
24,322 |
|
Saint-Gobain
|
1.00 |
% |
JPMorgan Chase Bank NA |
6/20/16 |
|
EUR |
4,000 |
|
|
19,551 |
|
United
States Steel |
5.00 |
% |
JPMorgan Chase Bank NA |
6/20/16 |
|
USD |
5,000 |
|
|
(22,309 |
) |
Alcoa, Inc. |
1.00 |
% |
Bank of America NA |
9/20/16 |
|
USD |
3,300 |
|
|
(27,279 |
) |
Intesa Sanpaolo SpA |
3.00 |
% |
BNP Paribas |
9/20/16 |
|
EUR |
1,100 |
|
|
679 |
|
PostNL |
1.00 |
% |
BNP Paribas |
9/20/16 |
|
EUR |
3,500 |
|
|
76,135 |
|
Banco Bilbao
Vizcaya |
3.00 |
% |
Citibank NA |
9/20/16 |
|
EUR |
2,000 |
|
|
(71,445 |
) |
Hellenic
Republic |
1.00 |
% |
Citibank NA |
9/20/16 |
|
USD |
1,965 |
|
|
422,724 |
|
Hellenic
Republic |
1.00 |
% |
Citibank NA |
9/20/16 |
|
USD |
1,965 |
|
|
408,165 |
|
Peugeot SA |
1.00 |
% |
Citibank NA |
9/20/16 |
|
EUR |
1,500 |
|
|
(6,447 |
) |
The PMI Group, Inc. |
5.00 |
% |
Citibank NA |
9/20/16 |
|
|
6,017 |
|
|
1,599,775 |
|
Akzo Nobel NV |
1.00 |
% |
Credit Suisse Securities (USA) LLC |
9/20/16 |
|
EUR |
3,000 |
|
|
(1,522 |
) |
Assicurazioni
Generali |
1.00 |
% |
Credit Suisse Securities (USA) LLC |
9/20/16 |
|
EUR |
1,100 |
|
|
2,660 |
|
Henkel AG & Co. KGaA |
1.00 |
% |
Credit Suisse Securities (USA) LLC |
9/20/16 |
|
EUR |
4,000 |
|
|
(9,987 |
) |
Royal Bank
of Scotland |
1.00 |
% |
Credit Suisse Securities (USA) LLC |
9/20/16 |
|
EUR |
2,200 |
|
|
(19,583 |
) |
Xstrata Plc |
1.00 |
% |
Credit Suisse Securities (USA) LLC |
9/20/16 |
|
EUR |
2,520 |
|
|
(24,679 |
) |
Bilbao
Vizcaya |
3.00 |
% |
Deutsche Bank AG |
9/20/16 |
|
EUR |
2,200 |
|
|
(62,859 |
) |
Diageo plc |
1.00 |
% |
Deutsche Bank AG |
9/20/16 |
|
EUR |
3,650 |
|
|
(15,526 |
) |
WPP 2005 Ltd. |
1.00 |
% |
JPMorgan Chase Bank NA |
9/20/16 |
|
EUR |
4,000 |
|
|
(13,494 |
) |
Peugeot SA |
1.00 |
% |
Morgan Stanley Capital Services, Inc. |
9/20/16 |
|
EUR |
4,500 |
|
|
26,133 |
|
Rio Tinto Limited |
1.00 |
% |
UBS AG |
9/20/16 |
|
USD |
5,000 |
|
|
(16,709 |
) |
The New York Times Co. |
1.00 |
% |
Barclays Bank Plc |
12/20/16 |
|
USD |
20,100 |
|
|
260,250 |
|
Total |
|
|
|
|
|
|
|
|
$ |
4,563,750 |
|
|
|
|
Credit default swaps on single-name issues - sold protection outstanding as of June 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Issuer |
Receive |
|
Counterparty |
Expiration |
Issuer |
|
Notional |
|
Unrealized |
|
||
Aviva USA Corp. |
1.00% |
|
Deutsche Bank AG |
5/25/12 |
BBB+ |
|
USD |
12,610 |
|
$ |
7,760 |
|
MBIA
Insurance |
5.00% |
|
Citibank NA |
6/20/12 |
B- |
|
USD |
5,000 |
|
|
70,398 |
|
AMR Corp. |
5.00% |
|
Barclays Bank Plc |
6/20/13 |
CCC+ |
|
USD |
6,800 |
|
|
(184,722 |
) |
MBIA
Insurance |
5.00% |
|
Deutsche Bank AG |
6/20/13 |
B- |
|
USD |
5,000 |
|
|
(33,536 |
) |
MBIA
Insurance |
5.00% |
|
Deutsche Bank AG |
9/20/13 |
B- |
|
USD |
2,500 |
|
|
(28,216 |
) |
Beazer Homes
USA, |
5.00% |
|
Bank of America NA |
6/20/14 |
CCC |
|
USD |
2,750 |
|
|
(146,111 |
) |
Assured
Guaranty |
5.00% |
|
Citibank NA |
6/20/14 |
AA+ |
|
USD |
10,000 |
|
|
(449,059 |
) |
McClatchy Co. |
5.00% |
|
Bank of America NA |
9/20/14 |
CCC |
|
USD |
2,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
24 |
|
|
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
Receive |
|
Counterparty |
Expiration |
Issuer |
|
Notional |
|
Unrealized |
|
||
Boyd Gaming Corp. |
5.00% |
|
Morgan Stanley Capital Services, |
12/20/14 |
CCC+ |
|
USD |
2,000 |
|
$ |
70,090 |
|
AK Steel Corp. |
5.00% |
|
BNP Paribas |
6/20/15 |
BB |
|
USD |
8,000 |
|
|
45,281 |
|
SUPERVALU, Inc. |
5.00% |
|
Goldman Sachs International |
9/20/15 |
B |
|
USD |
2,500 |
|
|
|
|
Boyd Gaming Corp. |
5.00% |
|
Credit Suisse Securities (USA) LLC |
12/20/15 |
CCC+ |
|
USD |
2,000 |
|
|
31,159 |
|
Dean Foods Co. |
5.00% |
|
Barclays Bank Plc |
3/20/16 |
B- |
|
USD |
2,800 |
|
|
115,378 |
|
Advanced
Micro |
5.00% |
|
Barclays Bank Plc |
6/20/16 |
B+ |
|
USD |
2,500 |
|
|
(64,120 |
) |
Block Financial LLC |
5.00% |
|
Barclays Bank Plc |
6/20/16 |
BBB |
|
USD |
1,500 |
|
|
(48,707 |
) |
Anheuser-Busch
|
1.00% |
|
BNP Paribas |
6/20/16 |
A- |
|
EUR |
3,250 |
|
|
(12,424 |
) |
Forest Oil Corp. |
5.00% |
|
BNP Paribas |
6/20/16 |
BB- |
|
USD |
1,000 |
|
|
(28,281 |
) |
Advanced
Micro |
5.00% |
|
Citibank NA |
6/20/16 |
B+ |
|
USD |
5,000 |
|
|
(218,469 |
) |
Boyd Gaming Corp. |
5.00% |
|
Citibank NA |
6/20/16 |
CCC+ |
|
USD |
5,000 |
|
|
(193,105 |
) |
Amkor
Technology, |
5.00% |
|
Credit Suisse Securities |
6/20/16 |
AA+ |
|
USD |
5,000 |
|
|
(81,343 |
) |
Boyd Gaming Corp. |
5.00% |
|
Credit Suisse Securities |
6/20/16 |
CCC+ |
|
USD |
2,500 |
|
|
(98,354 |
) |
Pernod Ricard SA |
1.00% |
|
Credit Suisse Securities |
6/20/16 |
BB+ |
|
EUR |
2,750 |
|
|
(10,564 |
) |
Royal
Caribbean |
5.00% |
|
Credit Suisse Securities |
6/20/1634 |
BB |
|
USD |
9,000 |
|
|
(37,310 |
) |
SUPERVALU, Inc. |
5.00% |
|
Credit Suisse Securities |
6/20/16 |
B |
|
USD |
2,500 |
|
|
(75,312 |
) |
Boyd Gaming Corp. |
5.00% |
|
Deutsche Bank AG |
6/20/16 |
CCC+ |
|
USD |
2,500 |
|
|
(94,910 |
) |
Advanced
Micro |
5.00% |
|
Goldman Sachs International |
6/20/16 |
B+ |
|
USD |
5,000 |
|
|
(107,934 |
) |
Assured
Guaranty |
5.00% |
|
Goldman Sachs International |
6/20/16 |
AA+ |
|
USD |
5,000 |
|
|
(174,244 |
) |
ARAMARK Corp. |
5.00% |
|
JPMorgan Chase Bank NA |
6/20/16 |
B |
|
USD |
1,850 |
|
|
17,889 |
|
E.ON AG |
1.00% |
|
JPMorgan Chase Bank NA |
6/20/16 |
A |
|
USD |
3,250 |
|
|
3,360 |
|
Forest Oil Corp. |
5.00% |
|
JPMorgan Chase Bank NA |
6/20/16 |
BB- |
|
USD |
3,000 |
|
|
(125,931 |
) |
National Grid plc |
1.00% |
|
JPMorgan Chase Bank NA |
6/20/16 |
BBB+ |
|
USD |
3,250 |
|
|
(9,668 |
) |
Telefonica SA |
1.00% |
|
JPMorgan Chase Bank NA |
6/20/16 |
A- |
|
USD |
7,300 |
|
|
(94,465 |
) |
Boyd Gaming Corp. |
5.00% |
|
Morgan Stanley Capital |
6/20/16 |
CCC+ |
|
USD |
2,500 |
|
|
(94,328 |
) |
Banca Monte
dei |
3.00% |
|
BNP Paribas |
9/20/16 |
BBB+ |
|
USD |
2,000 |
|
|
30,763 |
|
Koninklijke
Philips |
1.00% |
|
BNP Paribas |
9/20/16 |
A- |
|
USD |
4,500 |
|
|
3,212 |
|
UniCredit SpA |
3.00% |
|
BNP Paribas |
9/20/16 |
A- |
|
USD |
1,100 |
|
|
12,897 |
|
Glencore |
1.00% |
|
Credit Suisse Securities (USA) LLC |
9/20/16 |
BBB |
|
USD |
1,800 |
|
|
24,610 |
|
Lloyds TSB Bank Plc |
1.00% |
|
Credit Suisse Securities (USA) LLC |
9/20/16 |
A+ |
|
USD |
2,200 |
|
|
16,673 |
|
Banca Monte
dei |
5.00% |
|
Deutsche Bank AG |
9/20/16 |
AA- |
|
USD |
2,200 |
|
|
30,072 |
|
Heineken NV |
1.00% |
|
Deutsche Bank AG |
9/20/16 |
A- |
|
USD |
3,650 |
|
|
5,247 |
|
Banca Monte
dei |
3.00% |
|
JPMorgan Chase Bank NA |
9/20/16 |
BBB+ |
|
USD |
2,200 |
|
|
(137,281 |
) |
BASF SE |
1.00% |
|
JPMorgan Chase Bank NA |
9/20/16 |
A+ |
|
USD |
2,000 |
|
|
(2,356 |
) |
Bayer AG |
1.00% |
|
JPMorgan Chase Bank NA |
9/20/16 |
A- |
|
USD |
2,000 |
|
|
4,628 |
|
Tesco Plc |
1.00% |
|
JPMorgan Chase Bank NA |
9/20/16 |
A- |
|
USD |
3,500 |
|
|
7,991 |
|
Total |
|
|
|
|
|
|
|
|
|
$ |
(2,053,342 |
) |
|
|
|||
1 |
Using Standard & Poors rating. |
|||
|
|
|||
2 |
The maximum potential amount the Master LLC may pay should a negative event take place as defined under the terms of agreement. |
|||
|
|
|
|
|
|
|
|
|
|
|
||||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
25 |
|
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
Credit default swaps on traded indexes - buy protection outstanding as of June 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||
iTraxx -
Europe Sub |
|
1.00 |
% |
|
Barclays Bank Plc |
|
12/20/15 |
|
EUR |
2,200 |
|
$ |
5,415 |
|
Dow Jones
CDX North |
|
1.00 |
% |
|
Citibank NA |
|
12/20/15 |
|
USD |
35,000 |
|
|
(95,924 |
) |
Dow Jones
CDX North |
|
1.00 |
% |
|
Citibank NA |
|
12/20/15 |
|
USD |
12,500 |
|
|
(65,725 |
) |
Dow Jones
CDX North |
|
1.00 |
% |
|
Credit Suisse Securities (USA) LLC |
|
12/20/15 |
|
USD |
7,500 |
|
|
(28,527 |
) |
iTraxx -
Europe Sub |
|
1.00 |
% |
|
Credit Suisse Securities (USA) LLC |
|
12/20/15 |
|
EUR |
2,000 |
|
|
(31,700 |
) |
Dow Jones
CDX |
|
5.00 |
% |
|
Morgan Stanley Capital Services, Inc. |
|
12/20/15 |
|
USD |
10,740 |
|
|
(96,294 |
) |
Dow Jones
CDX North |
|
1.00 |
% |
|
Morgan Stanley Capital Services, Inc. |
|
12/20/15 |
|
USD |
8,000 |
|
|
(64,891 |
) |
Dow Jones
CDX North |
|
1.00 |
% |
|
Morgan Stanley Capital Services, Inc. |
|
12/20/15 |
|
USD |
4,000 |
|
|
(30,334 |
) |
iTraxx
Europe Sub |
|
1.00 |
% |
|
Barclays Bank Plc |
|
6/20/16 |
|
EUR |
5,100 |
|
|
(67,957 |
) |
Dow Jones
CDX North |
|
1.00 |
% |
|
Credit Suisse Securities (USA) LLC |
|
6/20/16 |
|
USD |
43,650 |
|
|
(21,857 |
) |
Dow Jones
CDX North |
|
1.00 |
% |
|
Credit Suisse Securities (USA) LLC |
|
6/20/16 |
|
USD |
26,000 |
|
|
(95,482 |
) |
Dow Jones
CDX North |
|
1.00 |
% |
|
Credit Suisse Securities (USA) LLC |
|
6/20/16 |
|
USD |
87,210 |
|
|
(279,336 |
) |
iTraxx
Europe Sub |
|
1.00 |
% |
|
Credit Suisse Securities (USA) LLC |
|
6/20/16 |
|
EUR |
3,000 |
|
|
(63,623 |
) |
iTraxx
Europe Sub |
|
5.00 |
% |
|
Credit Suisse Securities (USA) LLC |
|
6/20/16 |
|
EUR |
5,900 |
|
|
(88,473 |
) |
Dow Jones
CDX North |
|
5.00 |
% |
|
Deutsche Bank AG |
|
6/20/16 |
|
USD |
5,000 |
|
|
(97,645 |
) |
Dow Jones
CDX North |
|
1.00 |
% |
|
Goldman Sachs International |
|
6/20/16 |
|
USD |
40,000 |
|
|
(139,855 |
) |
Dow Jones
CDX North |
|
1.00 |
% |
|
Morgan Stanley Capital Services, Inc. |
|
6/20/16 |
|
USD |
7,000 |
|
|
(22,828 |
) |
iTraxx
Europe Sub |
|
1.00 |
% |
|
Morgan Stanley Capital Services, Inc. |
|
6/20/16 |
|
EUR |
2,800 |
|
|
(20,351 |
) |
Dow Jones
CDX North |
|
5.00 |
% |
|
UBS AG |
|
6/20/16 |
|
USD |
5,000 |
|
|
(103,918 |
) |
|
|
|
|
|
|||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
26 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||
MCDX North
America |
|
1.00 |
% |
|
Morgan Stanley Capital Services, Inc. |
|
6/20/21 |
|
USD |
20,680 |
|
$ |
133,792 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,275,513 |
) |
|
|
|
Credit default swaps on traded indexes sold protection outstanding as of June 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Receive |
|
Counterparty |
|
Expiration |
|
Issuer |
|
Notional |
|
Unrealized |
|
|||
Dow Jones
CDX |
|
1.00 |
% |
|
Citibank NA |
|
12/20/15 |
|
BBB+ |
|
$ |
45,000 |
|
$ |
19,657 |
|
Dow Jones
CDX |
|
5.00 |
% |
|
Credit Suisse Securities (USA) LLC |
|
6/20/16 |
|
BBB+ |
|
$ |
6,000 |
|
|
|
|
MCDX North
America |
|
0.00 |
% |
|
Goldman Sachs International |
|
6/20/20 |
|
AA |
|
$ |
10,340 |
|
|
715,768 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
735,425 |
|
|
|
|
|
3 |
Using Standard & Poors rating of the underlying securities. |
|
|
|
|
4 |
The maximum potential amount the Master LLC may pay should a negative event take place as defined under the terms of agreement. |
|
|
|
|
Interest rate swaps outstanding as of June 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
0.69% (a) |
|
3-month LIBOR |
|
Barclays Bank Plc |
|
9/07/12 |
|
$ |
210,000 |
|
$ |
(643,469 |
) |
0.92% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
2/28/13 |
|
$ |
88,000 |
|
|
(507,148 |
) |
0.79% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
5/04/13 |
|
$ |
26,400 |
|
|
(73,799 |
) |
0.65% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
6/22/13 |
|
$ |
148,100 |
|
|
105,152 |
|
0.65% (a) |
|
3-month LIBOR |
|
UBS AG |
|
6/22/13 |
|
$ |
118,400 |
|
|
81,279 |
|
0.67% (a) |
|
3-month LIBOR |
|
Bank of America NA |
|
6/29/13 |
|
$ |
66,900 |
|
|
21,880 |
|
0.71% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
7/01/13 |
|
$ |
227,500 |
|
|
(110,793 |
) |
0.71% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
7/01/13 |
|
$ |
240,900 |
|
|
(81,419 |
) |
1.32% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
12/17/13 |
|
$ |
31,000 |
|
|
(330,308 |
) |
1.41% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
12/20/13 |
|
$ |
46,600 |
|
|
(596,587 |
) |
1.26% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
12/24/13 |
|
$ |
48,400 |
|
|
(432,863 |
) |
1.59% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
3/08/14 |
|
$ |
34,000 |
|
|
(543,679 |
) |
2.48% (a) |
|
3-month LIBOR |
|
Bank of America NA |
|
2/22/16 |
|
$ |
3,900 |
|
|
(108,080 |
) |
2.46% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
4/04/16 |
|
$ |
3,800 |
|
|
(95,249 |
) |
2.39% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
4/14/16 |
|
$ |
11,200 |
|
|
242,057 |
|
2.15% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
4/28/16 |
|
$ |
40,100 |
|
|
594,250 |
|
1.79% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
6/29/16 |
|
$ |
6,000 |
|
|
62,789 |
|
1.95% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
7/01/16 |
|
$ |
10,900 |
|
|
(32,437 |
) |
2.20% (b) |
|
3-month LIBOR |
|
Bank of America NA |
|
8/22/16 |
|
$ |
17,600 |
|
|
65,719 |
|
2.31% (b) |
|
3-month LIBOR |
|
Credit Suisse Securities (USA) LLC |
|
8/23/16 |
|
$ |
42,800 |
|
|
381,472 |
|
2.38% (a) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
11/17/17 |
|
$ |
300 |
|
|
2,090 |
|
3.51% (a) |
|
3-month LIBOR |
|
BNP Paribas |
|
5/20/20 |
|
$ |
400 |
|
|
(13,797 |
) |
3.57% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
2/28/21 |
|
$ |
21,400 |
|
|
661,317 |
|
3.66% (b) |
|
3-month LIBOR |
|
Royal Bank of Scotland Plc |
|
3/08/21 |
|
$ |
14,600 |
|
|
559,145 |
|
3.62% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
3/11/21 |
|
$ |
10,200 |
|
|
333,862 |
|
3.58% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
4/04/21 |
|
$ |
6,200 |
|
|
(190,153 |
) |
3.39% (a) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
5/04/21 |
|
$ |
7,100 |
|
|
(91,583 |
) |
3.29% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
5/10/21 |
|
$ |
13,200 |
|
|
55,760 |
|
3.23% (b) |
|
3-month LIBOR |
|
Credit Suisse Securities (USA) LLC |
|
5/10/21 |
|
$ |
15,200 |
|
|
(15,156 |
) |
|
|
|
|
|
|||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
27 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
3.27% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
5/16/21 |
|
$ |
20,700 |
|
$ |
(45,608 |
) |
3.27% (b) |
|
3-month LIBOR |
|
UBS AG |
|
5/20/21 |
|
$ |
21,100 |
|
|
49,814 |
|
3.19% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
5/27/21 |
|
$ |
2,700 |
|
|
(12,829 |
) |
3.24% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
5/31/21 |
|
$ |
30,300 |
|
|
(26,671 |
) |
3.06% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
6/10/21 |
|
$ |
3,900 |
|
|
(64,413 |
) |
3.06% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
6/14/21 |
|
$ |
19,000 |
|
|
(314,119 |
) |
3.06% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
6/15/21 |
|
$ |
2,800 |
|
|
(47,371 |
) |
2.62% (b) |
|
3-month LIBOR |
|
Bank of America NA |
|
6/27/21 |
|
$ |
23,250 |
|
|
(588,105 |
) |
2.63% (b) |
|
3-month LIBOR |
|
BNP Paribas |
|
6/27/21 |
|
$ |
23,250 |
|
|
(556,685 |
) |
3.10% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
6/30/21 |
|
$ |
7,900 |
|
|
(109,923 |
) |
3.25% (a) |
|
3-month LIBOR |
|
Credit Suisse Securities (USA) LLC |
|
7/05/21 |
|
$ |
2,500 |
|
|
2,967 |
|
3.25% (a) |
|
3-month LIBOR |
|
UBS AG |
|
7/05/21 |
|
$ |
13,500 |
|
|
|
|
4.34% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
4/14/41 |
|
$ |
9,700 |
|
|
(464,687 |
) |
4.35% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
4/14/41 |
|
$ |
7,600 |
|
|
(383,351 |
) |
4.02% (a) |
|
3-month LIBOR |
|
UBS AG |
|
7/01/41 |
|
$ |
6,500 |
|
|
63,991 |
|
4.06% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
7/05/41 |
|
$ |
8,100 |
|
|
25,547 |
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(3,171,191 |
) |
|
(a) Pays floating interest rate and receives fixed rate. |
|
(b) Pays fixed interest rate and receives floating rate. |
|
|
|
Total return swaps outstanding as of June 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Interest |
|
Interest |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||
|
|
4.50 |
% |
|
Bank of America NA |
|
1/12/40 |
|
$ |
11,456 |
|
$ |
(49,930 |
)(c) |
|
|
4.50 |
% |
|
JPMorgan Chase Bank NA |
|
1/12/40 |
|
$ |
7,745 |
|
|
(49,397 |
)(c) |
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
(99,327 |
) |
|
|
|
|
(c) |
Based on the change in the return of the Market IOS Index referencing the interest component of the 4.50% coupon, 30-year, fixed-rate Fannie Mae residential mortgage-backed securities pools. |
|
|
|
Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial reporting purposes 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 LLCs own assumptions used in determining the fair value of investments and derivative financial instruments) |
|
|
|
|
|
|||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
28 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio of Master Bond LLC |
The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Master LLCs perceived risk of investing in those securities. For information about the Master LLCs policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Master LLCs most recent financial statements as contained in its semi-annual report.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
|
|
|
$ |
246,419,381 |
|
$ |
40,622,314 |
|
$ |
287,041,695 |
|
Common Stocks |
|
$ |
630,719 |
|
|
|
|
|
|
|
|
630,719 |
|
Corporate Bonds |
|
|
|
|
|
1,603,330,230 |
|
|
|
|
|
1,603,330,230 |
|
Floating Rate Loan Interests |
|
|
|
|
|
102,282,041 |
|
|
35,175,679 |
|
|
137,457,720 |
|
Foreign Agency Obligations |
|
|
|
|
|
126,522,398 |
|
|
|
|
|
126,522,398 |
|
Investment Companies |
|
|
12,517,140 |
|
|
|
|
|
|
|
|
12,517,140 |
|
Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
524,212,552 |
|
|
25,846,262 |
|
|
550,058,814 |
|
Preferred Securities |
|
|
17,511,780 |
|
|
29,199,277 |
|
|
|
|
|
46,711,057 |
|
Taxable Municipal Bonds |
|
|
|
|
|
19,968,523 |
|
|
|
|
|
19,968,523 |
|
U.S. Government Sponsored Agency Securities |
|
|
|
|
|
3,490,115,519 |
|
|
|
|
|
3,490,115,519 |
|
U.S. Treasury Obligations |
|
|
|
|
|
913,760,915 |
|
|
|
|
|
913,760,915 |
|
Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bond Agreements |
|
|
|
|
|
170,708,272 |
|
|
|
|
|
170,708,272 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bonds |
|
|
|
|
|
(251,181,492 |
) |
|
|
|
|
(251,181,492 |
) |
TBA Sale Commitments |
|
|
|
|
|
(1,632,054,168 |
) |
|
|
|
|
(1,632,054,168 |
) |
Total |
|
$ |
30,659,639 |
|
$ |
5,343,283,448 |
|
$ |
101,644,255 |
|
$ |
5,475,587,342 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Derivative Financial Instruments1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
$ |
8,649,354 |
|
$ |
715,768 |
|
$ |
9,365,122 |
|
Equity risk |
|
$ |
2,725,468 |
|
|
|
|
|
|
|
|
2,725,468 |
|
Foreign currency transactions |
|
|
|
|
|
9,958,499 |
|
|
|
|
|
9,958,499 |
|
Interest rate contracts |
|
|
6,517,083 |
|
|
44,467,139 |
|
|
|
|
|
50,984,222 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
|
(13,347,555 |
) |
|
|
|
|
(13,347,555 |
) |
Equity risk |
|
|
(38,924 |
) |
|
(146,820 |
) |
|
|
|
|
(185,744 |
) |
Foreign currency transactions |
|
|
|
|
|
(8,817,300 |
) |
|
|
|
|
(8,817,300 |
) |
Interest rate contracts |
|
|
(1,623,712 |
) |
|
(68,654,213 |
) |
|
|
|
|
(70,277,925 |
) |
Credit contracts |
|
|
|
|
|
(99,327 |
) |
|
|
|
|
(99,327 |
) |
Total |
|
$ |
7,579,915 |
|
$ |
(27,990,223 |
) |
$ |
715,768 |
|
$ |
(19,694,540 |
) |
|
|
|
|
1 |
Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value. |
|
|
|
|
|
|||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
29 |
|
|
|
|
Schedule of Investments (concluded) |
Master Total Return Portfolio of Master Bond LLC |
|
|
|
|
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
Asset-Backed |
|
Floating Rate |
|
Non-Agency |
|
Total |
|
||||
Assets/Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of September 30, 2010 |
|
$ |
17,382,858 |
|
|
|
|
$ |
44,026,239 |
|
$ |
61,409,097 |
|
Accrued discounts/premiums |
|
|
19,767 |
|
$ |
5 |
|
|
11,039 |
|
|
30,811 |
|
Realized gain (loss) |
|
|
(423,584 |
) |
|
40,665 |
|
|
91,542 |
|
|
(291,377 |
) |
Net change in unrealized appreciation/depreciation2 |
|
|
1,403,544 |
|
|
530,032 |
|
|
(35,736 |
) |
|
1,897,840 |
|
Purchases |
|
|
34,676,083 |
|
|
39,123,265 |
|
|
27,080,521 |
|
|
100,879,869 |
|
Sales |
|
|
(12,436,354 |
) |
|
(4,518,288 |
) |
|
(16,609,105 |
) |
|
(33,563,747 |
) |
Transfers in6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out6 |
|
|
|
|
|
|
|
|
(28,718,238 |
) |
|
(28,718,238 |
) |
Balance, as of June 30, 2011 |
|
$ |
40,622,314 |
|
$ |
35,175,679 |
|
$ |
25,846,262 |
|
$ |
101,644,255 |
|
|
|
|
|
2 |
The change in unrealized appreciation/depreciation on investments still held at June 30, 2011 was $866,326. |
|
|
|
|
|
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
Credit Contracts |
|
Credit Contracts |
|
Interest Rate |
|
Total |
|
||||
Assets/Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of September 30, 2010 |
|
|
|
|
$ |
(448,869 |
) |
$ |
(163,781 |
) |
$ |
(612,650 |
) |
Accrued discounts/premiums |
|
|
|
|
|
(197 |
) |
|
(11,842 |
) |
|
(12,039 |
) |
Realized gain (loss) |
|
|
|
|
|
(177,914 |
) |
|
(1,701,403 |
) |
|
(1,879,317 |
) |
Net change in unrealized appreciation/depreciation3 |
|
$ |
715,768 |
|
|
448,869 |
|
|
163,781 |
|
|
1,328,418 |
|
Purchases |
|
|
|
|
|
|
|
|
|
|
|
|
|
Sales |
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuances4 |
|
|
|
|
|
145,265 |
|
|
568,919 |
|
|
714,184 |
|
Settlements5 |
|
|
|
|
|
32,846 |
|
|
1,144,326 |
|
|
1,177,172 |
|
Transfers in6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of June 30, 2011 |
|
$ |
715,768 |
|
$ |
|
|
$ |
|
|
$ |
715,768 |
|
|
|
|
|
3 |
The change in unrealized appreciation/depreciation on derivative financial instruments still held at June 30, 2011 was $1,081,228. |
|
|
|
|
4 |
Issuances represent upfront cash received on certain derivative financial instruments. |
|
|
|
|
5 |
Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments. |
|
|
|
|
6 |
The Master LLCs policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Master LLC had a significant amount of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets.
|
|
|
|
|
|||
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC |
JUNE 30, 2011 |
30 |
Item 2 – |
Controls and Procedures |
||
|
|
||
2(a) – |
The registrants’ principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants’ disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the ″1940 Act″)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
||
|
|
||
2(b) – |
There were no changes in the registrants’ internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants’ last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants’ internal control over financial reporting. |
||
|
|
||
Item 3 – |
Exhibits |
||
|
|
||
|
Certifications – Attached hereto |
||
|
|
||
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
||
|
|
||
|
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
||
|
|
||
|
By: | /s/ John M. Perlowski |
|
|
|
John M. Perlowski |
|
|
|
Chief Executive Officer (principal executive officer) of |
|
|
|
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
|
|
|
||
|
Date: August 24, 2011 |
||
|
|
||
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of each registrant and in the capacities and on the dates indicated. |
||
|
|
||
|
By: | /s/ John M. Perlowski |
|
|
|
John M. Perlowski |
|
|
|
Chief Executive Officer (principal executive officer) of |
|
|
|
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
|
|
|
||
|
Date: August 24, 2011 |
||
|
|
||
|
By: | /s/ Neal J. Andrews |
|
|
|
Neal J. Andrews |
|
|
|
Chief Financial Officer (principal financial officer) of |
|
|
|
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
|
|
|
|
|
|
Date: August 24, 2011 |
EX-99. CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002
I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC, certify that:
1. I have reviewed this report on Form N-Q of BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrants as of the end of the fiscal quarter for which the report is filed;
4. The registrants’ other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrants, including their consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the registrants’ disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
d) disclosed in this report any change in the registrants’ internal control over financial reporting that occurred during the registrants’ most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants’ internal control over financial reporting; and
5. The registrants’ other certifying officer(s) and I have disclosed to the registrants’ auditors and the audit committees of the registrants’ boards of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants’ ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants’ internal control over financial reporting.
Date: August 24, 2011
/s/ John M. Perlowski |
|
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC
EX-99. CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002
I, Neal J. Andrews, Chief Financial Officer (principal financial officer) of BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC, certify that:
1. I have reviewed this report on Form N-Q of BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrants as of the end of the fiscal quarter for which the report is filed;
4. The registrants’ other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrants, including their consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the registrants’ disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
d) disclosed in this report any change in the registrants’ internal control over financial reporting that occurred during the registrants’ most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants’ internal control over financial reporting; and
5. The registrants’ other certifying officer(s) and I have disclosed to the registrants’ auditors and the audit committees of the registrants’ boards of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants’ ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants’ internal control over financial reporting.
Date: August 24, 2011
/s/ Neal J. Andrews |
|
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC