UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-02405, 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: 09/30/2012
Date of reporting period: 03/31/2012
Item 1 Report to Stockholders
|
|
|
March 31, 2012 |
|
|
Semi-Annual Report (Unaudited) |
|
|
|
BlackRock Balanced Capital Fund, Inc. |
|
Not FDIC Insured § No Bank Guarantee § May Lose Value |
|
|
|
|
Table of Contents |
|
|
|
|
Page |
|
|
3 |
|
Semi-Annual Report: |
|
4 |
|
6 |
|
6 |
|
7 |
|
7 |
|
Fund Financial Statements: |
|
8 |
|
9 |
|
10 |
|
11 |
|
16 |
|
20 |
|
Master Large Cap Core Portfolio Financial Statements: |
|
21 |
|
24 |
|
25 |
|
26 |
|
26 |
|
Master Large Cap Core Portfolio Notes to Financial Statements |
27 |
30 |
|
31 |
|
Master Total Return Portfolio Financial Statements: |
|
32 |
|
51 |
|
52 |
|
53 |
|
53 |
|
54 |
|
64 |
|
65 |
|
67 |
|
|
|
|
|
|
2 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
Twelve months ago, risk assets were charging forward, only to be met with a sharp reversal in May 2011 when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe. Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5, 2011, Standard & Poors made history by downgrading the US governments credit rating, and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as the European debt crisis intensified. Macro news flow became a greater influence on trading decisions than the fundamentals of the securities traded, resulting in high correlations between asset prices. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.
October brought enough positive economic data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming the regions debt crisis. Investors began to reenter the markets, putting risk assets on the road to recovery. Improving investor sentiment carried over into the first several months of 2012. Debt problems in Europe stabilized as policymakers secured a bailout plan for Greece and completed the nations debt restructuring without significant market disruptions. While concerns about slowing growth in China and a European recession weighed on the outlook for the global economy, an acceleration of the US recovery lifted sentiment. Several consecutive months of stronger jobs data signaled solid improvement in the US labor market, a pivotal factor for economic growth. Meanwhile, the European Central Bank revived financial markets with additional liquidity through its long-term refinancing operations. The improving market conditions and generally better-than-expected economic news lured investors still holding cash on the sidelines back to risk assets. Stocks, commodities and high yield bonds rallied through the first two months of the year while rising Treasury yields pressured higher-quality fixed income assets. The rally softened in late March, however, as concerns about slowing growth in China were refueled by negative signals from the worlds second-largest economy. Additionally, concerns over the European debt crisis resurfaced given uncertainty around policies for sovereign debt financing in peripheral countries and rising yields in Portugal and Spain.
Thanks in large part to an exceptionally strong first quarter of 2012, risk assets, including equities and high yield bonds, posted solid returns for the 6-month period ended March 31, 2012. On a 12-month basis, US large-cap stocks and high yield bonds delivered positive results, while small-cap stocks finished in slightly negative territory. International and emerging markets, which experienced significant downturns in 2011, lagged the broader rebound. Fixed income securities experienced mixed results, given recent volatility in yields. US Treasury bonds performed particularly well for the 12-month period; however, an early-2012 sell-off resulted in a negative return for the 6month period. Municipal bonds staged a solid advance over the past year. Continued low short-term interest rates kept yields on money market securities near their all-time lows.
While markets have improved in recent months, considerable headwinds remain. Europe faces a prolonged recession and the financial situations in Italy, Portugal and Spain remain worrisome. Higher oil and gasoline prices along with slowing growth in China and other emerging-market countries weigh heavily on the future of the global economy. But, we believe that with these challenges come opportunities. We remain committed to working with you and your financial professional to identify actionable ideas for your portfolio. We encourage you to visit www.blackrock.com/newworld for more information.
|
Sincerely, |
|
Rob Kapito |
President, BlackRock Advisors, LLC |
|
|
|
While markets have improved in recent months, considerable headwinds remain. |
|
Rob Kapito |
President, BlackRock Advisors, LLC |
|
|
Total Returns as of March 31, 2012 |
|
|
|
|
|
|
|
|
|
|
6-month |
|
12-month |
|
||
US large cap equities |
|
|
25.89 |
% |
|
8.54 |
% |
(S&P 500® Index) |
|
|
|
|
|
|
|
US small cap equities |
|
|
29.83 |
|
|
(0.18 |
) |
(Russell 2000® Index) |
|
|
|
|
|
|
|
International equities |
|
|
14.56 |
|
|
(5.77 |
) |
(MSCI Europe, Australasia, |
|
|
|
|
|
|
|
Far East Index) |
|
|
|
|
|
|
|
Emerging market |
|
|
19.12 |
|
|
(8.81 |
) |
equities (MSCI Emerging |
|
|
|
|
|
|
|
Markets Index) |
|
|
|
|
|
|
|
3-month Treasury |
|
|
0.01 |
|
|
0.06 |
|
bill (BofA Merrill Lynch |
|
|
|
|
|
|
|
3-Month Treasury |
|
|
|
|
|
|
|
Bill Index) |
|
|
|
|
|
|
|
US Treasury securities |
|
|
(1.05 |
) |
|
14.92 |
|
(BofA Merrill Lynch 10- |
|
|
|
|
|
|
|
Year US Treasury Index) |
|
|
|
|
|
|
|
US investment grade |
|
|
1.43 |
|
|
7.71 |
|
bonds (Barclays US |
|
|
|
|
|
|
|
Aggregate Bond Index) |
|
|
|
|
|
|
|
Tax-exempt municipal |
|
|
4.16 |
|
|
12.56 |
|
bonds (S&P Municipal |
|
|
|
|
|
|
|
Bond Index) |
|
|
|
|
|
|
|
US high yield bonds |
|
|
12.17 |
|
|
6.43 |
|
(Barclays US Corporate |
|
|
|
|
|
|
|
High Yield 2% Issuer |
|
|
|
|
|
|
|
Capped Index) |
|
|
|
|
|
|
|
|
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
|
|
|
|
|
|
|
|
THIS PAGE NOT PART OF YOUR FUND REPORT |
3 |
|
|
|
|
|
|
|
Investment Objective |
|
|
|
BlackRock Balanced Capital Fund, Inc.s (the Fund) investment objective is to seek the highest total investment return through a fully managed investment policy utilizing equity, debt (including money market) and convertible securities. |
|
|
|
|
|
Portfolio Management Commentary |
|
|
|
|
How did the Fund perform? |
|
|
|
For the six-month period ended March 31,2012, the Fund, through its investments in Master Large Cap Core Portfolio of Master Large Cap Series LLC (the equity allocation or the Master Large Cap Core Portfolio) and Master Total Return Portfolio of Master Bond LLC (the fixed income allocation or the Master Total Return Portfolio) (collectively, the Master Portfolios), outperformed its blended reference benchmark (60% Russell 1000® Index/40% Barclays US Aggregate Bond Index). For the same period, the Fund outperformed the fixed income benchmark, the Barclays US Aggregate Bond Index, and underperformed the equity benchmark, the Russell 1000® Index. |
|
|
|
What factors influenced performance? |
|
|
|
From an asset allocation perspective, the Fund benefited from increasing its equity allocation over the period as risk assets broadly rallied. However, the largest contributor to the Funds outperformance versus its blended reference benchmark was strong performance in the Master Portfolios, each of which outperformed its benchmark index. |
|
|
|
In the Master Large Cap Core Portfolio, positive performance in the information technology (IT), materials and health care sectors offset negative results in financials, industrials and consumer discretionary. The leading contributor to outperformance in the IT sector was stock selection in computers & peripherals. Key holdings in the industry successfully completed strategic acquisitions during the period, providing a further boost to earnings, which resulted in increased dividends and stock buy-back programs. In the materials sector, select holdings in chemical companies benefited from input cost advantages stemming from their reliance on low-cost US natural gas versus higher-priced crude oil. Natural gas prices declined to new lows during the six-month period, lifting profit margins for the chemicals industry. |
|
|
|
The Master Total Return Portfolio benefited from its overweight to non-government spread sectors, resulting in outperformance versus its fixed income benchmark, the Barclays US Aggregate Bond Index. Spread sectors performed well during the period as US economic data continued to improve and liquidity risk in the euro zone was alleviated by the European Central Banks long-term refinancing operations. In particular, an overweight allocation to investment grade credit and security selection among industrial and financial names contributed positively to returns. An overweight in commercial mortgage-backed securities (CMBS) had a positive impact, as did exposure to high yield debt and non-agency residential mortgage-backed securities (MBS), neither of which are represented in the benchmark index. Security selection within agency MBS boosted returns while the sector continued to benefit from muted prepayment activity and speculation that the US Federal Reserve would implement additional monetary easing policies that focus exclusively on agency MBS. Additionally, a shorter duration bias (lower sensitivity to interest rates) relative to the fixed income benchmark index proved beneficial as interest rates began to rise in early 2012. |
|
|
|
Detracting from performance in the Master Large Cap Core Portfolio was an underweight to financials, especially in the diversified financial services, commercial banks and capital markets industries. Similarly, an underweight to the industrials sector, particularly in machinery, hindered returns. In the Master Total Return Portfolio, the use of credit default swaps and equity options designed to protect the portfolio against market volatility detracted from performance during the period. Interest rate swaps used to manage duration (sensitivity to interest rate movements) and yield curve positioning also had a negative impact on returns. |
|
|
|
Describe recent portfolio activity. |
|
|
|
With respect to broad asset allocation, the Fund increased exposure to equities over the six-month period, moving to an overweight relative to the blended reference benchmark in early 2012. In equities, the Master Large Cap Core Portfolio significantly increased exposure to the industrials and energy sectors and added to financials, while reducing exposure to health care, materials and IT. In fixed income, the Master Total Return Portfolio actively managed duration while maintaining a short duration bias. The Master Total Return Portfolio tactically managed investment grade credits throughout the period, cautiously seeking to take advantage of relative value opportunities in industrials and financials. However, following good performance in corporate credit in early 2012, exposure to the sector was reduced toward period end. The allocation to MBS was also reduced, primarily by decreasing exposure to lower-coupon issues. The Master Total Return Portfolio added exposure to CMBS, which continued to benefit from improving commercial real estate markets, and the more liquid sectors of the securitized market, such as auto loan asset-backed securities (ABS). |
|
|
|
Describe portfolio positioning at period end. |
|
|
|
At period end, the Fund was overweight relative to the blended reference benchmark in equities and underweight in fixed income. In equities, the Master Large Cap Core Portfolio continued to reflect a balance between domestic cyclical stocks and less cyclical growth names. The largest sector overweights relative to the Russell 1000® Index as of period end included health care, energy and consumer discretionary, while the most significant underweights were financials and consumer staples. In fixed income, the Master Total Return Portfolio was generally underweight relative to the Barclays US Aggregate Bond Index in government-owned/government-related sectors in favor of non-government spread sectors. Spread-sector holdings included overweight exposure to investment grade corporate credit, CMBS, ABS and out-of-index positions in high yield debt and non-agency residential MBS. Within the government sectors, the Master Total Return Portfolio was underweight in US Treasuries and agency debentures, but held an overweight position in agency MBS. The Master Total Return Portfolio ended the period with a short duration stance as compared to the Barclays US Aggregate Bond Index. |
|
|
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
|
|
|
|
|
|
4 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
Total Return Based on a $10,000 Investment |
|
|
|
|
|
|
|
|
|
|
1 |
Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge. |
|
|
|
|
2 |
The Fund invests in equity securities (including common stock, preferred stock, securities convertible into common stock, or securities or other instruments whose price is linked to the value of common stock) and fixed-income securities (including debt securities, convertible securities and short term securities). |
|
|
|
|
3 |
This unmanaged market-weighted index is comprised of investment grade corporate bonds (rated BBB or better), mortgages and US Treasury and government agency issues with at least one year to maturity. |
|
|
|
|
4 |
This unmanaged broad-based index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index. |
|
|
|
|
5 |
The Fund compares its performance to that of a customized weighted index comprised of the returns of the Russell 1000® Index (60%) and Barclays US Aggregate Bond Index (40%). |
|
Performance Summary for the Period Ended March 31, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Annual Total Returns6 |
|
||||||||||||||||
|
|
|
|
|
1 Year |
|
5 Years |
|
10 Years |
|
||||||||||||
|
|
6-Month |
|
w/o sales |
|
w/sales |
|
w/o sales |
|
w/sales |
|
w/o sales |
|
w/sales |
|
|||||||
Institutional |
|
17.00 |
% |
|
5.25 |
% |
|
N/A |
|
|
2.02 |
% |
|
N/A |
|
|
3.98 |
% |
|
N/A |
|
|
Investor A |
|
16.87 |
|
|
4.97 |
|
|
(0.54 |
)% |
|
1.71 |
|
|
0.62 |
% |
|
3.69 |
|
|
3.13 |
% |
|
Investor B |
|
16.20 |
|
|
3.87 |
|
|
(0.63 |
) |
|
0.75 |
|
|
0.42 |
|
|
3.00 |
|
|
3.00 |
|
|
Investor C |
|
16.35 |
|
|
4.09 |
|
|
3.09 |
|
|
0.90 |
|
|
0.90 |
|
|
2.87 |
|
|
2.87 |
|
|
Class R |
|
16.57 |
|
|
4.50 |
|
|
N/A |
|
|
1.27 |
|
|
N/A |
|
|
3.41 |
|
|
N/A |
|
|
Barclays US Aggregate Bond Index |
|
1.43 |
|
|
7.71 |
|
|
N/A |
|
|
6.25 |
|
|
N/A |
|
|
5.80 |
|
|
N/A |
|
|
Russell 1000® Index |
|
26.27 |
|
|
7.86 |
|
|
N/A |
|
|
2.19 |
|
|
N/A |
|
|
4.53 |
|
|
N/A |
|
|
60% Russell 1000® Index/40% Barclays |
|
15.89 |
|
|
8.20 |
|
|
N/A |
|
|
4.27 |
|
|
N/A |
|
|
5.40 |
|
|
N/A |
|
|
|
|
|
|
6 |
Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See About Fund Performance on page 6 for a detailed description of share classes, including any related sales charges and fees. |
|
|
|
|
|
N/A Not applicable as share class and index do not have a sales charge. |
|
|
|
|
|
Past performance is not indicative of future results. |
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
5 |
|
|
|
|
|
Institutional Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to eligible investors. |
|
|
|
Investor A Shares incur a maximum initial sales charge (front-end load) of 5.25% and a service fee of 0.25% per year (but no distribution fee). |
|
|
|
Investor B Shares are subject to a maximum contingent deferred sales charge (CDSC) of 4.50% declining to 0% after six years. In addition, these shares are subject to a distribution fee of 0.75% per year and a service fee of 0.25% per year. These shares automatically convert to Investor A Shares after approximately eight years. (There is no initial sales charge for automatic share conversions.) All returns for periods greater than eight years reflect this conversion. These shares of the Fund are only available through exchanges, dividend reinvestment by existing shareholders or for purchase by certain qualified employee benefit plans. |
|
|
|
Investor C Shares are subject to a 1.00% CDSC if redeemed within one year of purchase. In addition, these shares are subject to a distribution fee of 0.75% per year and a service fee of 0.25% per year. |
|
|
|
Class R Shares do not incur a maximum initial sales charge (front-end load) or CDSC. These shares are subject to a distribution fee of 0.25% per year and a service fee of 0.25% per year. Class R Shares are available only to certain retirement plans. Prior to January 3, 2003, Class R Share performance results are those of Institutional Shares (which have no distribution or service fees) restated to reflect Class R Share fees. |
Performance information reflects past performance and does not guarantee future results. The performance information for periods prior to October 1, 2003 does not reflect any investment by the Fund in the Master Total Return Portfolio, and the performance information for periods prior to February 2009 does not reflect any investment by the Fund in the Master Large Cap Core Portfolio. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds to obtain performance data current to the most recent month end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance table on the previous page assume reinvestment of all dividends and distributions, if any, at net asset value (NAV) on the ex-dividend date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The Funds investment advisor, BlackRock Advisors, LLC (the Manager), waived and/or reimbursed a portion of the Funds expenses. Without such waiver and/or reimbursement, the Funds performance would have been lower. The Manager is under no obligation to waive or reimburse or to continue waiving or reimbursing its fees after the applicable termination date. See Note 2 of the Notes to Financial Statements for additional information on waivers and reimbursements. Dividends paid to each class of shares will vary because of the different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.
|
|
Shareholders of the Fund may incur the following charges: (a) expenses related to transactions, including sales charges and exchange fees; and (b) operating expenses, including advisory fees, service and distribution fees, including 12b-1 fees, and other Fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on October 1, 2011 and held through March 31, 2012) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The table provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled Expenses Paid During the Period.
The table also provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in this Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in other funds shareholder reports.
The expenses shown in the table are intended to highlight shareholders ongoing costs only and do not reflect any transactional expenses, such as sales charges or exchange fees, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
|
Expense Example |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Actual |
|
Hypothetical2 |
|
|
|
|
||||||||||||||
|
|
Beginning |
|
Ending |
|
Expenses Paid |
|
Beginning |
|
Ending |
|
Expenses Paid |
|
Annualized |
|
|||||||
Institutional |
|
$ |
1,000.00 |
|
$ |
1,170.00 |
|
$ |
3.85 |
|
$ |
1,000.00 |
|
$ |
1,021.45 |
|
$ |
3.59 |
|
|
0.71 |
% |
Investor A |
|
$ |
1,000.00 |
|
$ |
1,168.70 |
|
$ |
5.64 |
|
$ |
1,000.00 |
|
$ |
1,019.80 |
|
$ |
5.25 |
|
|
1.04 |
% |
Investor B |
|
$ |
1,000.00 |
|
$ |
1,162.00 |
|
$ |
11.67 |
|
$ |
1,000.00 |
|
$ |
1,014.20 |
|
$ |
10.88 |
|
|
2.16 |
% |
Investor C |
|
$ |
1,000.00 |
|
$ |
1,163.50 |
|
$ |
9.84 |
|
$ |
1,000.00 |
|
$ |
1,015.90 |
|
$ |
9.17 |
|
|
1.82 |
% |
Class R |
|
$ |
1,000.00 |
|
$ |
1,165.70 |
|
$ |
7.96 |
|
$ |
1,000.00 |
|
$ |
1,017.65 |
|
$ |
7.41 |
|
|
1.47 |
% |
|
|
|
|
1 |
For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown). Because the Fund invests significantly in the Master Portfolios, the expense table example reflects the expenses of both the Fund and the Master Portfolios in which it invests. |
|
|
|
|
2 |
Hypothetical 5% annual return before expenses is calculated by pro rating the number of days in the most recent fiscal half year divided by 366. |
|
|
|
|
|
|
6 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
The Master Total Return Portfolio may utilize leverage to seek to enhance its yield. However, this objective cannot be achieved in all interest rate environments.
The Master Total Return Portfolio may utilize leverage through entering into reverse repurchase agreements and treasury roll transactions. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by the Master Total Return Portfolio on its longer-term portfolio investments. To the extent that the total assets of the Master Total Return Portfolio (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Master Total Return Portfolios investors will benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the net assets. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Master Total Return Portfolio had not used leverage.
If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Master Total Return Portfolio pays higher short-term interest rates whereas the Master Total Return Portfolios total portfolio earns income based on lower long-term interest rates.
Furthermore, the value of the Master Total Return Portfolios investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. As a result, changes in interest rates can influence the Master Total Return Portfolios net assets positively or negatively in addition to the impact on the Master Total Return Portfolios performance from leverage discussed above.
The use of leverage may enhance opportunities for increased income to the Master Total Return Portfolio, but as described above, it also creates risks as short- or long-term interest rates fluctuate. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Master Total Return Portfolios net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, the Master Total Return Portfolios net income will be less than if leverage had not been used. The Master Total Return Portfolio may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Master Total Return Portfolio to incur losses. The use of leverage may limit the Master Total Return Portfolios ability to invest in certain types of securities or use certain types of hedging strategies. The Master Total Return Portfolio will incur expenses in connection with the use of leverage, all of which are borne by the Master Total Return Portfolio investors and may reduce income.
|
|
The Master Total Return Portfolio may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps, as specified in Note 2 of the Master Total Return Portfolios Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate, foreign currency exchange rate and/or other risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Master Total Return Portfolios ability to use a derivative financial instrument successfully depends on the investment advisors ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require the Master Total Return Portfolio to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation the Master Total Return Portfolio can realize on an investment, may result in lower dividends paid to shareholders or may cause the Master Total Return Portfolio to hold an investment that it might otherwise sell. The Master Total Return Portfolios investments in these instruments are discussed in detail in the Master Total Return Portfolios Notes to Financial Statements.
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
7 |
|
|
|
|
|
|
|
March 31, 2012 (Unaudited) |
|
|
|
|
Assets |
|
|
|
|
Investments in Master Large Cap Core Portfolio (cost $508,306,424) |
|
$ |
601,989,386 |
|
Investments in Master Total Return Portfolio (cost $363,446,160) |
|
|
370,165,293 |
|
Investments in BlackRock Liquidity Funds, TempFund, Institutional Class, 0.14% (shares 10,000,287; cost $10,000,287) |
|
|
10,000,287 |
|
Capital shares sold receivable |
|
|
394,214 |
|
Prepaid expenses |
|
|
27,572 |
|
Total assets |
|
|
982,576,752 |
|
|
|
|
|
|
Liabilities |
|
|
|
|
Capital shares redeemed payable |
|
|
1,616,248 |
|
Investment advisory fees payable |
|
|
110,473 |
|
Service and distribution fees payable |
|
|
158,929 |
|
Officers fees payable |
|
|
23,710 |
|
Other accrued expenses payable |
|
|
439,756 |
|
Total liabilities |
|
|
2,349,116 |
|
Net Assets |
|
$ |
980,227,636 |
|
|
|
|
|
|
Net Assets Consist of |
|
|
|
|
Paid-in capital |
|
$ |
847,743,395 |
|
Undistributed net investment income |
|
|
3,892,809 |
|
Accumulated net realized gain |
|
|
28,189,337 |
|
Net unrealized appreciation/depreciation |
|
|
100,402,095 |
|
Net Assets |
|
$ |
980,227,636 |
|
|
|
|
|
|
Net Asset Value |
|
|
|
|
Institutional Based on net assets of $433,161,331 and 18,550,173 shares outstanding, 400 million shares authorized, $0.10 par value |
|
$ |
23.35 |
|
Investor A Based on net assets of $465,016,552 and 19,986,819 shares outstanding, 200 million shares authorized, $0.10 par value |
|
$ |
23.27 |
|
Investor B Based on net assets of $8,157,752 and 360,464 shares outstanding, 500 million shares authorized, $0.10 par value |
|
$ |
22.63 |
|
Investor C Based on net assets of $64,622,103 and 2,998,751 shares outstanding, 200 million shares authorized, $0.10 par value |
|
$ |
21.55 |
|
Class R Based on net assets of $9,269,898 and 416,931 shares outstanding, 500 million shares authorized, $0.10 par value |
|
$ |
22.23 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
8 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
|
|
|
Six Months Ended March 31, 2012 (Unaudited) |
|
|
|
|
Investment Income |
|
|
|
|
Interest affiliated |
|
$ |
2,920 |
|
Other income |
|
|
387 |
|
Net investment income allocated from the Master Portfolios: |
|
|
|
|
Interest unaffiliated |
|
|
10,248,613 |
|
Dividends unaffiliated |
|
|
6,952,010 |
|
Securities lending affiliated |
|
|
189,016 |
|
Dividends affiliated |
|
|
35,646 |
|
Interest affiliated |
|
|
44 |
|
Total expenses |
|
|
(2,517,554 |
) |
Less fees waived |
|
|
1,934 |
|
Total income |
|
|
14,913,016 |
|
|
|
|
|
|
Expenses |
|
|
|
|
Investment advisory |
|
|
2,292,819 |
|
Service Investor A |
|
|
564,467 |
|
Service and distribution Investor B |
|
|
43,108 |
|
Service and distribution Investor C |
|
|
306,413 |
|
Service and distribution Class R |
|
|
22,184 |
|
Transfer agent Institutional |
|
|
232,935 |
|
Transfer agent Investor A |
|
|
358,152 |
|
Transfer agent Investor B |
|
|
22,950 |
|
Transfer agent Investor C |
|
|
58,038 |
|
Transfer agent Class R |
|
|
14,973 |
|
Printing |
|
|
75,265 |
|
Registration |
|
|
39,236 |
|
Professional |
|
|
39,205 |
|
Officer |
|
|
19,000 |
|
Custodian |
|
|
1,636 |
|
Miscellaneous |
|
|
18,951 |
|
Total expenses |
|
|
4,109,332 |
|
Less fees waived by advisor |
|
|
(1,635,109 |
) |
Total expenses after fees waived |
|
|
2,474,223 |
|
Net investment income |
|
|
12,438,793 |
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) Allocated from the Master Portfolios |
|
|
|
|
Net realized gain from investments, financial futures contracts, options written, swaps, borrowed bonds and foreign currency transactions |
|
|
20,114,567 |
|
Net change in unrealized appreciation/depreciation on investments, financial futures contracts, options written, swaps, borrowed bonds and foreign currency transactions |
|
|
134,113,214 |
|
Total realized and unrealized gain |
|
|
154,227,781 |
|
Net Increase in Net Assets Resulting from Operations |
|
$ |
166,666,574 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
9 |
|
|
|
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets: |
|
Six
Months |
|
Year
Ended |
|
||
Operations |
|
|
|
|
|
|
|
Net investment income |
|
$ |
12,438,793 |
|
$ |
23,367,158 |
|
Net realized gain |
|
|
20,114,567 |
|
|
94,751,693 |
|
Net change in unrealized appreciation/depreciation |
|
|
134,113,214 |
|
|
(92,806,045 |
) |
Net increase in net assets resulting from operations |
|
|
166,666,574 |
|
|
25,312,806 |
|
|
|
|
|
|
|
|
|
Dividends to Shareholders From |
|
|
|
|
|
|
|
Net investment income: |
|
|
|
|
|
|
|
Institutional |
|
|
(5,872,909 |
) |
|
(12,488,493 |
) |
Investor A |
|
|
(4,151,830 |
) |
|
(9,251,539 |
) |
Investor B |
|
|
(32,756 |
) |
|
(107,449 |
) |
Investor C |
|
|
(375,144 |
) |
|
(802,573 |
) |
Class R |
|
|
(67,395 |
) |
|
(149,993 |
) |
Decrease in net assets resulting from dividends to shareholders |
|
|
(10,500,034 |
) |
|
(22,800,047 |
) |
|
|
|
|
|
|
|
|
Capital Share Transactions |
|
|
|
|
|
|
|
Net decrease in net assets derived from capital share transactions |
|
|
(187,728,160 |
) |
|
(111,659,303 |
) |
|
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
|
|
Total decrease in net assets |
|
|
(31,561,620 |
) |
|
(109,146,544 |
) |
Beginning of period |
|
|
1,011,789,256 |
|
|
1,120,935,800 |
|
End of period |
|
$ |
980,227,636 |
|
$ |
1,011,789,256 |
|
Undistributed net investment income |
|
$ |
3,892,809 |
|
$ |
1,954,050 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
10 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional |
|
||||||||||||||||
|
|
Six Months |
|
|
|
||||||||||||||
|
|
|
|
|
|||||||||||||||
|
|
|
|
|
|||||||||||||||
|
|
|
Year Ended September 30, |
|
|||||||||||||||
|
|
|
2011 |
|
2010 |
|
2009 |
|
2008 |
|
2007 |
|
|||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
20.18 |
|
$ |
20.28 |
|
$ |
19.17 |
|
$ |
21.96 |
|
$ |
29.29 |
|
$ |
27.71 |
|
Net investment income1 |
|
|
0.28 |
|
|
0.51 |
|
|
0.46 |
|
|
0.54 |
|
|
0.71 |
|
|
0.71 |
|
Net realized and unrealized gain (loss) |
|
|
3.13 |
|
|
(0.13 |
) |
|
1.20 |
|
|
(1.60 |
) |
|
(5.31 |
) |
|
2.98 |
|
Net increase (decrease) from investment operations |
|
|
3.41 |
|
|
0.38 |
|
|
1.66 |
|
|
(1.06 |
) |
|
(4.60 |
) |
|
3.69 |
|
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.24 |
) |
|
(0.48 |
) |
|
(0.55 |
) |
|
(0.62 |
) |
|
(0.76 |
) |
|
(0.77 |
) |
Net realized gain |
|
|
|
|
|
|
|
|
|
|
|
(1.11 |
) |
|
(1.97 |
) |
|
(1.34 |
) |
Total dividends and distributions |
|
|
(0.24 |
) |
|
(0.48 |
) |
|
(0.55 |
) |
|
(1.73 |
) |
|
(2.73 |
) |
|
(2.11 |
) |
Net asset value, end of period |
|
$ |
23.35 |
|
$ |
20.18 |
|
$ |
20.28 |
|
$ |
19.17 |
|
$ |
21.96 |
|
$ |
29.29 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
17.00 |
%3 |
|
1.67 |
% |
|
8.75 |
%4 |
|
(3.53 |
)%5 |
|
(16.99 |
)% |
|
13.85 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
1.02 |
%7 |
|
1.07 |
% |
|
1.08 |
% |
|
0.85 |
% |
|
0.58 |
% |
|
0.57 |
% |
Total expenses after fees waived |
|
|
0.71 |
%7 |
|
0.76 |
% |
|
0.76 |
% |
|
0.64 |
% |
|
0.56 |
% |
|
0.55 |
% |
Net investment income |
|
|
2.54 |
%7 |
|
2.33 |
% |
|
2.28 |
% |
|
3.12 |
% |
|
2.72 |
% |
|
2.50 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
433,161 |
|
$ |
511,458 |
|
$ |
547,721 |
|
$ |
626,711 |
|
$ |
806,612 |
|
$ |
1,271,031 |
|
Portfolio turnover of the Fund8 |
|
|
|
|
|
|
|
|
|
|
|
94 |
%9 |
|
27 |
% |
|
22 |
% |
Portfolio turnover of the Master Total Return Portfolio |
|
|
616 |
%10 |
|
1,771 |
%11 |
|
1,754 |
%12 |
|
708 |
%13 |
|
|
|
|
|
|
Portfolio turnover of the Master Large Cap Core Portfolio |
|
|
59 |
% |
|
129 |
% |
|
173 |
% |
|
168 |
%14 |
|
|
|
|
|
|
|
|
|
|
1 |
Based on average shares outstanding. |
|
|
|
|
2 |
Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
|
|
|
|
3 |
Aggregate total investment return. |
|
|
|
|
4 |
Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Funds total return. Not including these proceeds, the total return would have been 8.32%. |
|
|
|
|
5 |
Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Funds total return. Not including these proceeds, the total return would have been (3.88)%. |
|
|
|
|
6 |
Includes the Funds share of the Master Portfolios allocated expenses and/or net investment income. |
|
|
|
|
7 |
Annualized. |
|
|
|
|
8 |
Excludes transactions in the Master Portfolios. |
|
|
|
|
9 |
Represents portfolio turnover for the period October 1, 2008 to January 30, 2009. |
|
|
|
|
10 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 496%. |
|
|
|
|
11 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,379%. |
|
|
|
|
12 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,248%. |
|
|
|
|
13 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 469%. |
|
|
|
|
14 |
Represents portfolio turnover for the period November 1, 2008 to September 30, 2009. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
11 |
|
|
|
|
Financial Highlights (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investor A |
|
||||||||||||||||
|
|
Six Months |
|
|
|
||||||||||||||
|
|
|
|
|
|||||||||||||||
|
|
|
|
|
|||||||||||||||
|
|
|
Year Ended September 30, |
|
|||||||||||||||
|
|
|
2011 |
|
2010 |
|
2009 |
|
2008 |
|
2007 |
|
|||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
20.10 |
|
$ |
20.21 |
|
$ |
19.11 |
|
$ |
21.88 |
|
$ |
29.19 |
|
$ |
27.63 |
|
Net investment income1 |
|
|
0.24 |
|
|
0.40 |
|
|
0.39 |
|
|
0.48 |
|
|
0.62 |
|
|
0.63 |
|
Net realized and unrealized gain (loss) |
|
|
3.13 |
|
|
(0.10 |
) |
|
1.19 |
|
|
(1.58 |
) |
|
(5.28 |
) |
|
2.97 |
|
Net increase (decrease) from investment operations |
|
|
3.37 |
|
|
0.30 |
|
|
1.58 |
|
|
(1.10 |
) |
|
(4.66 |
) |
|
3.60 |
|
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.20 |
) |
|
(0.41 |
) |
|
(0.48 |
) |
|
(0.56 |
) |
|
(0.68 |
) |
|
(0.70 |
) |
Net realized gain |
|
|
|
|
|
|
|
|
|
|
|
(1.11 |
) |
|
(1.97 |
) |
|
(1.34 |
) |
Total dividends and distributions |
|
|
(0.20 |
) |
|
(0.41 |
) |
|
(0.48 |
) |
|
(1.67 |
) |
|
(2.65 |
) |
|
(2.04 |
) |
Net asset value, end of period |
|
$ |
23.27 |
|
$ |
20.10 |
|
$ |
20.21 |
|
$ |
19.11 |
|
$ |
21.88 |
|
$ |
29.19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
16.87 |
%3 |
|
1.31 |
% |
|
8.38 |
%4 |
|
(3.79 |
)%5 |
|
(17.25 |
)% |
|
13.52 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
1.34 |
%7 |
|
1.39 |
% |
|
1.40 |
% |
|
1.17 |
% |
|
0.88 |
% |
|
0.84 |
% |
Total expenses after fees waived |
|
|
1.04 |
%7 |
|
1.07 |
% |
|
1.08 |
% |
|
0.95 |
% |
|
0.85 |
% |
|
0.82 |
% |
Net investment income |
|
|
2.21 |
%7 |
|
1.83 |
% |
|
1.96 |
% |
|
2.80 |
% |
|
2.42 |
% |
|
2.23 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
465,017 |
|
$ |
426,819 |
|
$ |
488,087 |
|
$ |
529,120 |
|
$ |
655,429 |
|
$ |
913,955 |
|
Portfolio turnover of the Fund8 |
|
|
|
|
|
|
|
|
|
|
|
94 |
%9 |
|
27 |
% |
|
22 |
% |
Portfolio turnover of the Master Total Return Portfolio |
|
|
616 |
%10 |
|
1,771 |
%11 |
|
1,754 |
%12 |
|
708 |
%13 |
|
|
|
|
|
|
Portfolio turnover of the Master Large Cap Core Portfolio |
|
|
59 |
% |
|
129 |
% |
|
173 |
% |
|
168 |
%14 |
|
|
|
|
|
|
|
|
|
|
1 |
Based on average shares outstanding. |
|
|
|
|
2 |
Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
|
|
|
|
3 |
Aggregate total investment return. |
|
|
|
|
4 |
Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Funds total return. Not including these proceeds, the total return would have been 7.95%. |
|
|
|
|
5 |
Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Funds total return. Not including these proceeds, the total return would have been (4.19)%. |
|
|
|
|
6 |
Includes the Funds share of the Master Portfolios allocated expenses and/or net investment income. |
|
|
|
|
7 |
Annualized. |
|
|
|
|
8 |
Excludes transactions in the Master Portfolios. |
|
|
|
|
9 |
Represents portfolio turnover for the period October 1, 2008 to January 30, 2009. |
|
|
|
|
10 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 496%. |
|
|
|
|
11 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,379%. |
|
|
|
|
12 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,248%. |
|
|
|
|
13 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 469%. |
|
|
|
|
14 |
Represents portfolio turnover for the period November 1, 2008 to September 30, 2009. |
|
|
|
See Notes to Financial Statements. |
||
|
|
|
12 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Financial Highlights (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investor B |
|
||||||||||||||||
|
|
Six Months |
|
|
|
||||||||||||||
|
|
|
|
|
|||||||||||||||
|
|
|
|
|
|||||||||||||||
|
|
|
Year Ended September 30, |
|
|||||||||||||||
|
|
|
2011 |
|
2010 |
|
2009 |
|
2008 |
|
2007 |
|
|||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
19.55 |
|
$ |
19.65 |
|
$ |
18.56 |
|
$ |
21.24 |
|
$ |
28.36 |
|
$ |
26.87 |
|
Net investment income1 |
|
|
0.11 |
|
|
0.18 |
|
|
0.20 |
|
|
0.32 |
|
|
0.39 |
|
|
0.39 |
|
Net realized and unrealized gain (loss) |
|
|
3.05 |
|
|
(0.10 |
) |
|
1.16 |
|
|
(1.55 |
) |
|
(5.13 |
) |
|
2.87 |
|
Net increase (decrease) from investment operations |
|
|
3.16 |
|
|
0.08 |
|
|
1.36 |
|
|
(1.23 |
) |
|
(4.74 |
) |
|
3.26 |
|
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.08 |
) |
|
(0.18 |
) |
|
(0.27 |
) |
|
(0.34 |
) |
|
(0.41 |
) |
|
(0.43 |
) |
Net realized gain |
|
|
|
|
|
|
|
|
|
|
|
(1.11 |
) |
|
(1.97 |
) |
|
(1.34 |
) |
Total dividends and distributions |
|
|
(0.08 |
) |
|
(0.18 |
) |
|
(0.27 |
) |
|
(1.45 |
) |
|
(2.38 |
) |
|
(1.77 |
) |
Net asset value, end of period |
|
$ |
22.63 |
|
$ |
19.55 |
|
$ |
19.65 |
|
$ |
18.56 |
|
$ |
21.24 |
|
$ |
28.36 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
16.20 |
%3 |
|
0.34 |
% |
|
7.37 |
%4 |
|
(4.69 |
)%5 |
|
(17.96 |
)% |
|
12.57 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
2.46 |
%7 |
|
2.36 |
% |
|
2.34 |
% |
|
2.09 |
% |
|
1.75 |
% |
|
1.67 |
% |
Total expenses after fees waived |
|
|
2.16 |
%7 |
|
2.04 |
% |
|
2.02 |
% |
|
1.90 |
% |
|
1.73 |
% |
|
1.65 |
% |
Net investment income |
|
|
1.10 |
%7 |
|
0.86 |
% |
|
1.03 |
% |
|
1.93 |
% |
|
1.56 |
% |
|
1.43 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
8,158 |
|
$ |
8,786 |
|
$ |
14,374 |
|
$ |
23,963 |
|
$ |
51,371 |
|
$ |
100,808 |
|
Portfolio turnover of the Fund8 |
|
|
|
|
|
|
|
|
|
|
|
94 |
%9 |
|
27 |
% |
|
22 |
% |
Portfolio turnover of the Master Total Return Portfolio |
|
|
616 |
%10 |
|
1,771 |
%11 |
|
1,754 |
%12 |
|
708 |
%13 |
|
|
|
|
|
|
Portfolio turnover of the Master Large Cap Core Portfolio |
|
|
59 |
% |
|
129 |
% |
|
173 |
% |
|
168 |
%14 |
|
|
|
|
|
|
|
|
|
|
1 |
Based on average shares outstanding. |
|
|
|
|
2 |
Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
|
|
|
|
3 |
Aggregate total investment return. |
|
|
|
|
4 |
Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Funds total return. Not including these proceeds, the total return would have been 6.82%. |
|
|
|
|
5 |
Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Funds total return. Not including these proceeds, the total return would have been (5.10)%. |
|
|
|
|
6 |
Includes the Funds share of the Master Portfolios allocated expenses and/or net investment income. |
|
|
|
|
7 |
Annualized. |
|
|
|
|
8 |
Excludes transactions in the Master Portfolios. |
|
|
|
|
9 |
Represents portfolio turnover for the period October 1, 2008 to January 30, 2009. |
|
|
|
|
10 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 496%. |
|
|
|
|
11 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,379%. |
|
|
|
|
12 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,248%. |
|
|
|
|
13 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 469%. |
|
|
|
|
14 |
Represents portfolio turnover for the period November 1, 2008 to September 30, 2009. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
13 |
|
|
|
|
Financial Highlights (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investor C |
|
||||||||||||||||
|
|
Six Months |
|
|
|
||||||||||||||
|
|
|
|
|
|||||||||||||||
|
|
|
|
|
|||||||||||||||
|
|
|
Year Ended September 30, |
|
|||||||||||||||
|
|
|
2011 |
|
2010 |
|
2009 |
|
2008 |
|
2007 |
|
|||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
18.64 |
|
$ |
18.77 |
|
$ |
17.79 |
|
$ |
20.51 |
|
$ |
27.52 |
|
$ |
26.17 |
|
Net investment income1 |
|
|
0.14 |
|
|
0.21 |
|
|
0.21 |
|
|
0.32 |
|
|
0.39 |
|
|
0.39 |
|
Net realized and unrealized gain (loss) |
|
|
2.90 |
|
|
(0.08 |
) |
|
1.12 |
|
|
(1.50 |
) |
|
(4.95 |
) |
|
2.79 |
|
Net increase (decrease) from investment operations |
|
|
3.04 |
|
|
0.13 |
|
|
1.33 |
|
|
(1.18 |
) |
|
(4.56 |
) |
|
3.18 |
|
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.13 |
) |
|
(0.26 |
) |
|
(0.35 |
) |
|
(0.43 |
) |
|
(0.48 |
) |
|
(0.49 |
) |
Net realized gain |
|
|
|
|
|
|
|
|
|
|
|
(1.11 |
) |
|
(1.97 |
) |
|
(1.34 |
) |
Total dividends and distributions |
|
|
(0.13 |
) |
|
(0.26 |
) |
|
(0.35 |
) |
|
(1.54 |
) |
|
(2.45 |
) |
|
(1.83 |
) |
Net asset value, end of period |
|
$ |
21.55 |
|
$ |
18.64 |
|
$ |
18.77 |
|
$ |
17.79 |
|
$ |
20.51 |
|
$ |
27.52 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
16.35 |
%3 |
|
0.55 |
% |
|
7.53 |
%4 |
|
(4.56 |
)%5 |
|
(17.90 |
)% |
|
12.62 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
2.13 |
%7 |
|
2.18 |
% |
|
2.20 |
% |
|
1.97 |
% |
|
1.67 |
% |
|
1.63 |
% |
Total expenses after fees waived |
|
|
1.82 |
%7 |
|
1.87 |
% |
|
1.88 |
% |
|
1.76 |
% |
|
1.65 |
% |
|
1.60 |
% |
Net investment income |
|
|
1.42 |
%7 |
|
1.04 |
% |
|
1.16 |
% |
|
2.00 |
% |
|
1.63 |
% |
|
1.45 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
64,622 |
|
$ |
56,608 |
|
$ |
61,017 |
|
$ |
60,461 |
|
$ |
72,694 |
|
$ |
100,572 |
|
Portfolio turnover of the Fund8 |
|
|
|
|
|
|
|
|
|
|
|
94 |
%9 |
|
27 |
% |
|
22 |
% |
Portfolio turnover of the Master Total Return Portfolio |
|
|
616 |
%10 |
|
1,771 |
%11 |
|
1,754 |
%12 |
|
708 |
%13 |
|
|
|
|
|
|
Portfolio turnover of the Master Large Cap Core Portfolio |
|
|
59 |
% |
|
129 |
% |
|
173 |
% |
|
168 |
%14 |
|
|
|
|
|
|
|
|
|
|
1 |
Based on average shares outstanding. |
|
|
|
|
2 |
Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
|
|
|
|
3 |
Aggregate total investment return. |
|
|
|
|
4 |
Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Funds total return. Not including these proceeds, the total return would have been 7.12%. |
|
|
|
|
5 |
Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Funds total return. Not including these proceeds, the total return would have been (4.94)%. |
|
|
|
|
6 |
Includes the Funds share of the Master Portfolios allocated expenses and/or net investment income. |
|
|
|
|
7 |
Annualized. |
|
|
|
|
8 |
Excludes transactions in the Master Portfolios. |
|
|
|
|
9 |
Represents portfolio turnover for the period October 1, 2008 to January 30, 2009. |
|
|
|
|
10 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 496%. |
|
|
|
|
11 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,379%. |
|
|
|
|
12 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,248%. |
|
|
|
|
13 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 469%. |
|
|
|
|
14 |
Represents portfolio turnover for the period November 1, 2008 to September 30, 2009. |
|
|
|
See Notes to Financial Statements. |
||
|
|
|
14 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Financial Highlights (concluded) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class R |
|
||||||||||||||||
|
|
Six Months |
|
|
|
||||||||||||||
|
|
|
|
|
|||||||||||||||
|
|
|
|
|
|||||||||||||||
|
|
|
Year Ended September 30, |
|
|||||||||||||||
|
|
|
2011 |
|
2010 |
|
2009 |
|
2008 |
|
2007 |
|
|||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
19.22 |
|
$ |
19.33 |
|
$ |
18.31 |
|
$ |
21.06 |
|
$ |
28.22 |
|
$ |
26.81 |
|
Net investment income1 |
|
|
0.18 |
|
|
0.30 |
|
|
0.29 |
|
|
0.38 |
|
|
0.49 |
|
|
0.50 |
|
Net realized and unrealized gain (loss) |
|
|
2.99 |
|
|
(0.09 |
) |
|
1.14 |
|
|
(1.54 |
) |
|
(5.08 |
) |
|
2.90 |
|
Net increase (decrease) from investment operations |
|
|
3.17 |
|
|
0.21 |
|
|
1.43 |
|
|
(1.16 |
) |
|
(4.59 |
) |
|
3.40 |
|
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.16 |
) |
|
(0.32 |
) |
|
(0.41 |
) |
|
(0.48 |
) |
|
(0.60 |
) |
|
(0.65 |
) |
Net realized gain |
|
|
|
|
|
|
|
|
|
|
|
(1.11 |
) |
|
(1.97 |
) |
|
(1.34 |
) |
Total dividends and distributions |
|
|
(0.16 |
) |
|
(0.32 |
) |
|
(0.41 |
) |
|
(1.59 |
) |
|
(2.57 |
) |
|
(1.99 |
) |
Net asset value, end of period |
|
$ |
22.23 |
|
$ |
19.22 |
|
$ |
19.33 |
|
$ |
18.31 |
|
$ |
21.06 |
|
$ |
28.22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
16.57 |
%3 |
|
0.96 |
% |
|
7.87 |
%4 |
|
(4.25 |
)%5 |
|
(17.59 |
)% |
|
13.18 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
1.77 |
%7 |
|
1.77 |
% |
|
1.84 |
% |
|
1.64 |
% |
|
1.31 |
% |
|
1.16 |
% |
Total expenses after fees waived |
|
|
1.47 |
%7 |
|
1.46 |
% |
|
1.52 |
% |
|
1.42 |
% |
|
1.29 |
% |
|
1.14 |
% |
Net investment income |
|
|
1.78 |
%7 |
|
1.44 |
% |
|
1.51 |
% |
|
2.29 |
% |
|
1.98 |
% |
|
1.87 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
9,270 |
|
$ |
8,118 |
|
$ |
9,737 |
|
$ |
10,194 |
|
$ |
9,655 |
|
$ |
10,117 |
|
Portfolio turnover of the Fund8 |
|
|
|
|
|
|
|
|
|
|
|
94 |
%9 |
|
27 |
% |
|
22 |
% |
Portfolio turnover of the Master Total Return Portfolio |
|
|
616 |
%10 |
|
1,771 |
%11 |
|
1,754 |
%12 |
|
708 |
%13 |
|
|
|
|
|
|
Portfolio turnover of the Master Large Cap Core Portfolio |
|
|
59 |
% |
|
129 |
% |
|
173 |
% |
|
168 |
%14 |
|
|
|
|
|
|
|
|
|
|
1 |
Based on average shares outstanding. |
|
|
|
|
2 |
Where applicable, total investment returns include the reinvestment of dividends and distributions. |
|
|
|
|
3 |
Aggregate total investment return. |
|
|
|
|
4 |
Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Funds total return. Not including these proceeds, the total return would have been 7.53%. |
|
|
|
|
5 |
Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Funds total return. Not including these proceeds, the total return would have been (4.62)%. |
|
|
|
|
6 |
Includes the Funds share of the Master Portfolios allocated expenses and/or net investment income. |
|
|
|
|
7 |
Annualized. |
|
|
|
|
8 |
Excludes transactions in the Master Portfolios. |
|
|
|
|
9 |
Represents portfolio turnover for the period October 1, 2008 to January 30, 2009. |
|
|
|
|
10 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 496%. |
|
|
|
|
11 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,379%. |
|
|
|
|
12 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,248%. |
|
|
|
|
13 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 469%. |
|
|
|
|
14 |
Represents portfolio turnover for the period November 1, 2008 to September 30, 2009. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
15 |
|
|
1. Organization and Significant Accounting Policies:
BlackRock Balanced Capital Fund, Inc. (the Fund) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a diversified, open-end management investment company. The Fund is organized as a Maryland corporation. The Fund seeks to achieve its investment objective by investing the fixed income portion of its assets in Master Total Return Portfolio (the Master Total Return Portfolio) of Master Bond LLC, a mutual fund that has an investment objective and strategy consistent with that of the fixed income portion of the Fund and investing the equity portion of its assets in Master Large Cap Core Portfolio (the Master Large Cap Core Portfolio) of Master Large Cap Series LLC, a mutual fund that has an investment objective and strategy consistent with that of the equity portion of the Fund. Master Total Return Portfolio and Master Large Cap Core Portfolio are collectively referred to as the Master Portfolios. The value of the Funds investment in the Master Portfolios reflects the Funds proportionate interest in the net assets of the Master Portfolios. The percentages of the Master Large Cap Core Portfolio and Master Total Return Portfolio owned by the Fund at March 31, 2012 were 23.8% and 11.0%, respectively. The performance of the Fund is directly affected by the performance of the Master Portfolios. The financial statements of the Master Portfolios, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Funds financial statements. The Funds financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund offers multiple classes of shares. Institutional Shares are sold without a sales charge and only to certain eligible investors. Investor A Shares are generally sold with a front-end sales charge. Investor B and Investor C Shares may be subject to a CDSC. Class R Shares are sold without a sales charge and only to certain retirement and other similar plans. All classes of shares have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that Investor A, Investor B, Investor C and Class R Shares bear certain expenses related to the shareholder servicing of such shares, and Investor B, Investor C and Class R Shares also bear certain expenses related to the distribution of such shares. Investor B Shares automatically convert to Investor A Shares after approximately eight years. Investor B Shares are only available through exchanges, dividend reinvestment by existing shareholders or for purchase by certain qualified employee benefit plans. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures (except that Investor B shareholders may vote on material changes to the Investor A distribution plan).
The following is a summary of significant accounting policies followed by the Fund:
Valuation: US GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds policy is to fair value its financial instruments at market value. The Fund records its investment in the Master Portfolios at fair value based on the Funds proportionate interest in the net assets of the Master Portfolios. Valuation of securities held by the Master Portfolios is discussed in Note 1 of the Master Portfolios Notes to Financial Statements, which are included elsewhere in this report. Investments in open-end registered investment companies are valued at NAV each business day.
|
|
|
|
Fair Value Measurements Various inputs are used in determining the fair value of investments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
|
|
|
|
|
|
Level 1 unadjusted 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 Funds own assumptions used in determining the fair value of investments) |
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Funds policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Funds policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following table summarizes the inputs used as of March 31, 2012 in determining the fair valuation of the Funds investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term |
|
$ |
10,000,287 |
|
|
|
|
|
|
|
$ |
10,000,287 |
|
Foreign Currency Transactions: The Funds books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Funds investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.
|
|
|
|
|
|
16 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
Notes to Financial Statements (continued) |
The Fund does not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated on the Statement of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.
Investment Transactions and Investment Income: For financial reporting purposes, contributions to and withdrawals from the Master Portfolios are accounted on a trade date basis. The Fund records daily its proportionate share of the Master Portfolios income, expenses and realized and unrealized gains and losses. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Dividends and Distributions: Dividends and distributions paid by the Fund are recorded on the ex-dividend dates. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.
Income Taxes: It is the Funds policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.
The Fund files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds US federal tax returns remains open for each of the four years ended September 30, 2011. The statutes of limitations on the Funds state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or class. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Fund and other shared expenses pro rated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
The Fund has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.
2. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (PNC) and Barclays Bank PLC (Barclays) are the largest stockholders of BlackRock, Inc. (BlackRock). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.
The Fund entered into an Investment Advisory Agreement with the Manager, the Funds investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Funds portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Fund. For such services, the Fund pays the Manager a monthly fee based on a percentage of the Funds average daily net assets at the following annual rates:
|
|
|
|
|
Average Daily Net Assets |
|
Investment |
|
|
First $250 million |
|
|
0.500 |
% |
$250 million $300 million |
|
|
0.450 |
% |
$300 million $400 million |
|
|
0.425 |
% |
Greater than $400 million |
|
|
0.400 |
% |
The Fund also pays an investment advisory fee to the Manager, which is the investment advisor of Master Total Return Portfolio and Master Large Cap Core Portfolio, to the extent it invests in the Master Total Return Portfolio and Master Large Cap Core Portfolio. The Manager has contractually agreed to waive its investment advisory fee in the amount the Fund pays in connection with its investments in the Master Portfolios, which is included in fees waived by advisor in the Statement of Operations.
Investments in companies considered to be an affiliate of the Fund, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares
Held at |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
BlackRock Liquidity |
|
|
4,080,774 |
|
|
5,919,513 |
|
|
10,000,287 |
|
$ |
2,920 |
|
The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Funds investment in other affiliated investment companies, if any. This amount is shown as, or included in, fees waived by advisor in the Statement of Operations.
The Manager entered into a sub-advisory agreement with BlackRock Investment Management, LLC (BIM), an affiliate of the Manager. The Manager pays BIM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Fund to the Manager.
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
17 |
|
|
Notes to Financial Statements (continued) |
The Fund entered into a Distribution Agreement and Distribution and Service Plan with BlackRock Investments, LLC (BRIL), an affiliate of the Manager. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the shares of the Fund as follows:
|
|
|
|
|
|
|
|
|
|
Service |
|
Distribution |
|
||
Investor A |
|
|
0.25 |
% |
|
|
|
Investor B |
|
|
0.25 |
% |
|
0.75 |
% |
Investor C |
|
|
0.25 |
% |
|
0.75 |
% |
Class R |
|
|
0.25 |
% |
|
0.25 |
% |
Pursuant to sub-agreements with BRIL, broker-dealers and BRIL provide shareholder servicing and distribution services to the Fund. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to Investor A, Investor B, Investor C and Class R shareholders.
For the six months ended March 31, 2012, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Funds Investor A Shares, which totaled $3,002.
For the six months ended March 31, 2012, affiliates received the following CDSCs:
|
|
|
|
|
Investor B |
|
$ |
2,575 |
|
Investor C |
|
$ |
797 |
|
The Manager maintains a call center, which is responsible for providing certain shareholder services to the Fund, such as responding to shareholder inquiries and processing transactions based upon instructions from shareholders with respect to the subscription and redemption of Fund shares. For the six months ended March 31, 2012, the Fund reimbursed the Manager the following amounts for costs incurred in running the call center, which are included in transfer agent class specific in the Statement of Operations:
|
|
|
|
|
Institutional |
|
$ |
4,458 |
|
Investor A |
|
$ |
6,588 |
|
Investor B |
|
$ |
390 |
|
Investor C |
|
$ |
882 |
|
Class R |
|
$ |
66 |
|
During the six months ended March 31, 2012, the Fund received a reimbursement of $69 from an affiliate, which is included in capital share transactions on the Statements of Changes in Net Assets, relating to processing errors.
Certain officers and/or directors of the Fund are officers and/or directors of BlackRock or its affiliates. The Fund reimburses the Manager for compensation paid to the Funds Chief Compliance Officer.
3. Borrowings:
The Fund, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expires in November 2012 and was subsequently renewed until November 2013. The Fund may borrow under the credit agreement to fund shareholder redemptions. Effective November 2010 to November 2011, the credit agreement had the following terms: a commitment fee of 0.08% per annum based on the Funds pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.00% per annum or (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Fund paid administration and arrangement fees which were allocated to the Fund based on its net assets as of October 31, 2010. The credit agreement, which expired in November 2011, was renewed until November 2012. Effective November 2011 to November 2012, the credit agreement has with the following terms: a commitment fee of 0.065% per annum based on the Funds pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed. In addition, the Fund paid administration and arrangement fees which were allocated to the Fund based on its net assets as of October 31, 2011. The Fund did not borrow under the credit agreement during the six months ended March 31, 2012.
4. Income Tax Information:
As of September 30, 2011, the Fund had capital loss carryforwards available to offset future realized capital gains through the indicated expiration date as follows:
|
|
|
|
|
Expires September 30, |
|
|
|
|
2018 |
|
$ |
4,651,676 |
|
Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Fund after September 30, 2011 will not be subject to expiration. In addition any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.
|
|
|
|
|
|
18 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
Notes to Financial Statements (concluded) |
|
5. Capital Share Transactions: |
|
Transactions in capital shares for each class were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six
Months Ended |
|
Year
Ended |
|
||||||||
|
|
Shares |
|
Amount |
|
Shares |
|
Amount |
|
||||
Institutional |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
|
780,840 |
|
$ |
17,402,335 |
|
|
1,158,426 |
|
$ |
25,597,416 |
|
Shares issued to shareholders in reinvestment of dividends and distributions |
|
|
239,018 |
|
|
5,098,135 |
|
|
488,160 |
|
|
10,847,909 |
|
Shares redeemed |
|
|
(7,819,093 |
) |
|
(179,997,283 |
) |
|
(3,307,829 |
) |
|
(72,519,465 |
) |
Net decrease |
|
|
(6,799,235 |
) |
$ |
(157,496,813 |
) |
|
(1,661,243 |
) |
$ |
(36,074,140 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investor A |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold and automatic conversion of shares |
|
|
304,627 |
|
$ |
6,730,530 |
|
|
770,278 |
|
$ |
16,870,066 |
|
Shares issued to shareholders in reinvestment of dividends and distributions |
|
|
168,238 |
|
|
3,578,328 |
|
|
360,637 |
|
|
7,983,661 |
|
Shares redeemed |
|
|
(1,717,419 |
) |
|
(37,688,200 |
) |
|
(4,054,903 |
) |
|
(88,449,400 |
) |
Net decrease |
|
|
(1,244,554 |
) |
$ |
(27,379,342 |
) |
|
(2,923,988 |
) |
$ |
(63,595,673 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investor B |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
|
5,586 |
|
$ |
119,852 |
|
|
13,683 |
|
$ |
292,143 |
|
Shares issued to shareholders in reinvestment of dividends and distributions |
|
|
1,290 |
|
|
26,763 |
|
|
4,128 |
|
|
88,587 |
|
Shares redeemed and automatic conversion of shares |
|
|
(95,735 |
) |
|
(2,045,660 |
) |
|
(300,093 |
) |
|
(6,371,328 |
) |
Net decrease |
|
|
(88,859 |
) |
$ |
(1,899,045 |
) |
|
(282,282 |
) |
$ |
(5,990,598 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investor C |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
|
277,766 |
|
$ |
5,597,820 |
|
|
324,297 |
|
$ |
6,590,893 |
|
Shares issued to shareholders in reinvestment of dividends and distributions |
|
|
16,317 |
|
|
322,087 |
|
|
33,421 |
|
|
688,346 |
|
Shares redeemed |
|
|
(332,961 |
) |
|
(6,757,324 |
) |
|
(571,434 |
) |
|
(11,571,863 |
) |
Net decrease |
|
|
(38,878 |
) |
$ |
(837,417 |
) |
|
(213,716 |
) |
$ |
(4,292,624 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class R |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
|
64,483 |
|
$ |
1,348,695 |
|
|
176,442 |
|
$ |
3,675,542 |
|
Shares issued to shareholders in reinvestment of dividends and distributions |
|
|
3,296 |
|
|
67,071 |
|
|
7,078 |
|
|
149,993 |
|
Shares redeemed |
|
|
(73,169 |
) |
|
(1,531,309 |
) |
|
(264,842 |
) |
|
(5,531,803 |
) |
Net decrease |
|
|
(5,390 |
) |
$ |
(115,543 |
) |
|
(81,322 |
) |
$ |
(1,706,268 |
) |
Total Net Decrease |
|
|
(8,176,916 |
) |
$ |
(187,728,160 |
) |
|
(5,162,551 |
) |
$ |
(111,659,303 |
) |
6. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
19 |
|
|
|
|
Master Large Cap Core Portfolio |
|
|
|
As of March 31, 2012 |
|
|
|
|
|
|
Ten Largest Holdings |
|
Percent
of |
|
|
Apple, Inc. |
|
|
3 |
% |
Chevron Corp. |
|
|
3 |
|
Pfizer, Inc. |
|
|
2 |
|
Exxon Mobil Corp. |
|
|
2 |
|
ConocoPhillips |
|
|
2 |
|
UnitedHealth Group, Inc. |
|
|
2 |
|
Abbott Laboratories |
|
|
1 |
|
Apache Corp. |
|
|
1 |
|
Eli Lilly & Co. |
|
|
1 |
|
General Dynamics Corp. |
|
|
1 |
|
|
|
|
|
|
Sector Allocations |
|
Percent
of |
|
|
Information Technology |
|
|
20 |
% |
Health Care |
|
|
16 |
|
Consumer Discretionary |
|
|
15 |
|
Energy |
|
|
14 |
|
Industrials |
|
|
12 |
|
Consumer Staples |
|
|
8 |
|
Financials |
|
|
6 |
|
Materials |
|
|
4 |
|
Utilities |
|
|
3 |
|
Telecommunication Services |
|
|
2 |
|
For Portfolio compliance purposes, the Portfolios sector classifications refer to any one or more of the sector 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 sub-classifications for reporting ease.
|
|
|
|
|
|
20 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
Master Large Cap Core Portfolio |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
Value |
|
||
Consumer Discretionary 15.2% |
|
|
|
|
|
|
|
Auto Components 0.7% |
|
|
|
|
|
|
|
Lear Corp. |
|
|
390,000 |
|
$ |
18,131,100 |
|
Diversified Consumer Services 2.5% |
|
|
|
|
|
|
|
Apollo Group, Inc., Class A (a) |
|
|
670,000 |
|
|
25,888,800 |
|
Career Education Corp. (a) |
|
|
820,000 |
|
|
6,609,200 |
|
H&R Block, Inc. |
|
|
400,000 |
|
|
6,588,000 |
|
ITT Educational Services, Inc. (a)(b) |
|
|
380,000 |
|
|
25,133,200 |
|
|
|
|
|
|
|
64,219,200 |
|
Hotels, Restaurants & Leisure 0.9% |
|
|
|
|
|
|
|
Brinker International, Inc. |
|
|
10,000 |
|
|
275,500 |
|
Wyndham Worldwide Corp. |
|
|
480,000 |
|
|
22,324,800 |
|
|
|
|
|
|
|
22,600,300 |
|
Internet & Catalog Retail 1.0% |
|
|
|
|
|
|
|
Expedia, Inc. |
|
|
740,000 |
|
|
24,745,600 |
|
Media 4.4% |
|
|
|
|
|
|
|
DISH Network Corp., Class A (a) |
|
|
810,000 |
|
|
26,673,300 |
|
Gannett Co., Inc. |
|
|
1,690,000 |
|
|
25,907,700 |
|
The Interpublic Group of Cos., Inc. |
|
|
2,430,000 |
|
|
27,726,300 |
|
Time Warner Cable, Inc. |
|
|
370,000 |
|
|
30,155,000 |
|
|
|
|
|
|
|
110,462,300 |
|
Multiline Retail 1.1% |
|
|
|
|
|
|
|
Dillards, Inc., Class A |
|
|
420,000 |
|
|
26,468,400 |
|
Specialty Retail 4.6% |
|
|
|
|
|
|
|
Best Buy Co., Inc. |
|
|
1,070,000 |
|
|
25,337,600 |
|
Foot Locker, Inc. |
|
|
830,000 |
|
|
25,771,500 |
|
GameStop Corp., Class A (b) |
|
|
1,150,000 |
|
|
25,116,000 |
|
Limited Brands, Inc. |
|
|
310,000 |
|
|
14,880,000 |
|
PetSmart, Inc. |
|
|
460,000 |
|
|
26,321,200 |
|
|
|
|
|
|
|
117,426,300 |
|
Total Consumer Discretionary |
|
|
|
|
|
384,053,200 |
|
Consumer Staples 8.0% |
|
|
|
|
|
|
|
Beverages 1.9% |
|
|
|
|
|
|
|
Constellation Brands, Inc., Class A (a) |
|
|
1,100,000 |
|
|
25,949,000 |
|
Dr. Pepper Snapple Group, Inc. |
|
|
530,000 |
|
|
21,311,300 |
|
|
|
|
|
|
|
47,260,300 |
|
Food & Staples Retailing 2.2% |
|
|
|
|
|
|
|
The Kroger Co. |
|
|
1,240,000 |
|
|
30,045,200 |
|
Safeway, Inc. |
|
|
1,340,000 |
|
|
27,081,400 |
|
|
|
|
|
|
|
57,126,600 |
|
Food Products 1.9% |
|
|
|
|
|
|
|
ConAgra Foods, Inc. |
|
|
980,000 |
|
|
25,734,800 |
|
Smithfield Foods, Inc. (a) |
|
|
990,000 |
|
|
21,809,700 |
|
|
|
|
|
|
|
47,544,500 |
|
Household Products 0.4% |
|
|
|
|
|
|
|
The Procter & Gamble Co. |
|
|
140,000 |
|
|
9,409,400 |
|
Personal Products 0.7% |
|
|
|
|
|
|
|
Herbalife Ltd. |
|
|
270,000 |
|
|
18,581,400 |
|
Tobacco 0.9% |
|
|
|
|
|
|
|
Philip Morris International, Inc. |
|
|
250,000 |
|
|
22,152,500 |
|
Total Consumer Staples |
|
|
|
|
|
202,074,700 |
|
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
Value |
|
||
Energy 14.2% |
|
|
|
|
|
|
|
Energy Equipment & Services 0.7% |
|
|
|
|
|
|
|
Nabors Industries Ltd. (a) |
|
|
1,040,000 |
|
$ |
18,189,600 |
|
Oil, Gas & Consumable Fuels 13.5% |
|
|
|
|
|
|
|
Apache Corp. |
|
|
340,000 |
|
|
34,149,600 |
|
Chevron Corp. |
|
|
600,000 |
|
|
64,344,000 |
|
ConocoPhillips |
|
|
570,000 |
|
|
43,325,700 |
|
Exxon Mobil Corp. |
|
|
670,000 |
|
|
58,109,100 |
|
HollyFrontier Corp. |
|
|
600,000 |
|
|
19,290,000 |
|
Marathon Oil Corp. |
|
|
850,000 |
|
|
26,945,000 |
|
Marathon Petroleum Corp. |
|
|
520,000 |
|
|
22,547,200 |
|
Murphy Oil Corp. |
|
|
330,000 |
|
|
18,569,100 |
|
Tesoro Corp. (a) |
|
|
990,000 |
|
|
26,571,600 |
|
Valero Energy Corp. |
|
|
1,120,000 |
|
|
28,862,400 |
|
|
|
|
|
|
|
342,713,700 |
|
Total Energy |
|
|
|
|
|
360,903,300 |
|
Financials 5.7% |
|
|
|
|
|
|
|
Commercial Banks 0.2% |
|
|
|
|
|
|
|
Wells Fargo & Co. |
|
|
140,000 |
|
|
4,779,600 |
|
Consumer Finance 1.1% |
|
|
|
|
|
|
|
Discover Financial Services |
|
|
860,000 |
|
|
28,672,400 |
|
Diversified Financial Services 1.2% |
|
|
|
|
|
|
|
JPMorgan Chase & Co. |
|
|
150,000 |
|
|
6,897,000 |
|
The NASDAQ OMX Group, Inc. (a) |
|
|
860,000 |
|
|
22,274,000 |
|
|
|
|
|
|
|
29,171,000 |
|
Insurance 3.2% |
|
|
|
|
|
|
|
Allied World Assurance Co. Holdings AG |
|
|
110,000 |
|
|
7,553,700 |
|
American Financial Group, Inc. |
|
|
130,000 |
|
|
5,015,400 |
|
Assurant, Inc. |
|
|
630,000 |
|
|
25,515,000 |
|
Protective Life Corp. |
|
|
280,000 |
|
|
8,293,600 |
|
Prudential Financial, Inc. |
|
|
130,000 |
|
|
8,240,700 |
|
Reinsurance Group of America, Inc. |
|
|
60,000 |
|
|
3,568,200 |
|
Unum Group |
|
|
950,000 |
|
|
23,256,000 |
|
|
|
|
|
|
|
81,442,600 |
|
Total Financials |
|
|
|
|
|
144,065,600 |
|
Health Care 16.5% |
|
|
|
|
|
|
|
Biotechnology 0.2% |
|
|
|
|
|
|
|
Myriad Genetics, Inc. (a) |
|
|
250,000 |
|
|
5,915,000 |
|
Health Care Equipment & Supplies 1.1% |
|
|
|
|
|
|
|
Zimmer Holdings, Inc. |
|
|
430,000 |
|
|
27,640,400 |
|
Health Care Providers & Services 8.8% |
|
|
|
|
|
|
|
Aetna, Inc. |
|
|
620,000 |
|
|
31,099,200 |
|
AmerisourceBergen Corp. |
|
|
710,000 |
|
|
28,172,800 |
|
Cardinal Health, Inc. |
|
|
460,000 |
|
|
19,830,600 |
|
Coventry Health Care, Inc. |
|
|
760,000 |
|
|
27,033,200 |
|
Humana, Inc. |
|
|
190,000 |
|
|
17,571,200 |
|
McKesson Corp. |
|
|
330,000 |
|
|
28,964,100 |
|
UnitedHealth Group, Inc. |
|
|
670,000 |
|
|
39,489,800 |
|
WellPoint, Inc. |
|
|
420,000 |
|
|
30,996,000 |
|
|
|
|
|
|
|
223,156,900 |
|
Pharmaceuticals 6.4% |
|
|
|
|
|
|
|
Abbott Laboratories |
|
|
580,000 |
|
|
35,548,200 |
|
Eli Lilly & Co. |
|
|
820,000 |
|
|
33,021,400 |
|
Forest Laboratories, Inc. (a)(b) |
|
|
780,000 |
|
|
27,058,200 |
|
Johnson & Johnson |
|
|
120,000 |
|
|
7,915,200 |
|
Pfizer, Inc. |
|
|
2,570,000 |
|
|
58,236,200 |
|
|
|
|
|
|
|
161,779,200 |
|
Total Health Care |
|
|
|
|
|
418,491,500 |
|
|
|
|
See Notes to Financial Statements. |
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
21 |
|
|
Schedule of Investments (continued) |
Master Large Cap Core Portfolio |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
Value |
|
||
Industrials 11.7% |
|
|
|
|
|
|
|
Aerospace & Defense 4.6% |
|
|
|
|
|
|
|
General Dynamics Corp. |
|
|
430,000 |
|
$ |
31,553,400 |
|
L-3 Communications Holdings, Inc. |
|
|
380,000 |
|
|
26,892,600 |
|
Lockheed Martin Corp. |
|
|
330,000 |
|
|
29,653,800 |
|
Northrop Grumman Corp. |
|
|
460,000 |
|
|
28,096,800 |
|
|
|
|
|
|
|
116,196,600 |
|
Commercial Services & Supplies 0.2% |
|
|
|
|
|
|
|
Corrections Corp. of America (a) |
|
|
140,000 |
|
|
3,823,400 |
|
Construction & Engineering 1.4% |
|
|
|
|
|
|
|
Chicago Bridge & Iron Co. NV |
|
|
530,000 |
|
|
22,890,700 |
|
URS Corp. |
|
|
320,000 |
|
|
13,606,400 |
|
|
|
|
|
|
|
36,497,100 |
|
Industrial Conglomerates 1.8% |
|
|
|
|
|
|
|
General Electric Co. |
|
|
710,000 |
|
|
14,249,700 |
|
Tyco International Ltd. |
|
|
540,000 |
|
|
30,337,200 |
|
|
|
|
|
|
|
44,586,900 |
|
Machinery 3.7% |
|
|
|
|
|
|
|
AGCO Corp. (a) |
|
|
540,000 |
|
|
25,493,400 |
|
CNH Global NV (a) |
|
|
130,000 |
|
|
5,161,000 |
|
ITT Corp. |
|
|
1,120,000 |
|
|
25,692,800 |
|
Oshkosh Corp. (a) |
|
|
430,000 |
|
|
9,963,100 |
|
Parker Hannifin Corp. |
|
|
330,000 |
|
|
27,901,500 |
|
|
|
|
|
|
|
94,211,800 |
|
Total Industrials |
|
|
|
|
|
295,315,800 |
|
Information Technology 20.3% |
|
|
|
|
|
|
|
Computers & Peripherals 7.3% |
|
|
|
|
|
|
|
Apple, Inc. (a) |
|
|
130,000 |
|
|
77,931,100 |
|
Dell, Inc. (a) |
|
|
1,830,000 |
|
|
30,378,000 |
|
Lexmark International, Inc., Class A |
|
|
780,000 |
|
|
25,927,200 |
|
Seagate Technology Plc |
|
|
910,000 |
|
|
24,524,500 |
|
Western Digital Corp. (a) |
|
|
640,000 |
|
|
26,489,600 |
|
|
|
|
|
|
|
185,250,400 |
|
Electronic
Equipment, Instruments & |
|
|
|
|
|
|
|
Avnet, Inc. (a) |
|
|
740,000 |
|
|
26,928,600 |
|
Ingram Micro, Inc., Class A (a) |
|
|
650,000 |
|
|
12,064,000 |
|
Jabil Circuit, Inc. |
|
|
1,030,000 |
|
|
25,873,600 |
|
Tech Data Corp. (a) |
|
|
300,000 |
|
|
16,278,000 |
|
Vishay Intertechnology, Inc. (a) |
|
|
2,050,000 |
|
|
24,928,000 |
|
|
|
|
|
|
|
106,072,200 |
|
Internet Software & Services 0.9% |
|
|
|
|
|
|
|
AOL, Inc. (a) |
|
|
650,000 |
|
|
12,330,500 |
|
Google, Inc., Class A (a) |
|
|
10,000 |
|
|
6,412,400 |
|
IAC/InterActiveCorp. |
|
|
110,000 |
|
|
5,399,900 |
|
|
|
|
|
|
|
24,142,800 |
|
IT Services 5.8% |
|
|
|
|
|
|
|
Accenture Plc, Class A |
|
|
50,000 |
|
|
3,225,000 |
|
Alliance Data Systems Corp. (a)(b) |
|
|
210,000 |
|
|
26,451,600 |
|
Computer Sciences Corp. |
|
|
380,000 |
|
|
11,377,200 |
|
Global Payments, Inc. |
|
|
490,000 |
|
|
23,260,300 |
|
International Business Machines Corp. |
|
|
110,000 |
|
|
22,951,500 |
|
Lender Processing Services, Inc. |
|
|
860,000 |
|
|
22,360,000 |
|
SAIC, Inc. (a) |
|
|
730,000 |
|
|
9,636,000 |
|
The Western Union Co. |
|
|
1,520,000 |
|
|
26,752,000 |
|
|
|
|
|
|
|
146,013,600 |
|
Software 2.1% |
|
|
|
|
|
|
|
Microsoft Corp. |
|
|
790,000 |
|
|
25,477,500 |
|
Symantec Corp. (a) |
|
|
1,510,000 |
|
|
28,237,000 |
|
|
|
|
|
|
|
53,714,500 |
|
Total Information Technology |
|
|
|
|
|
515,193,500 |
|
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
Value |
|
||
Materials 3.7% |
|
|
|
|
|
|
|
Chemicals 2.2% |
|
|
|
|
|
|
|
CF Industries Holdings, Inc. |
|
|
150,000 |
|
$ |
27,397,500 |
|
Cytec Industries, Inc. |
|
|
450,000 |
|
|
27,355,500 |
|
|
|
|
|
|
|
54,753,000 |
|
Paper & Forest Products 1.5% |
|
|
|
|
|
|
|
Domtar Corp. |
|
|
270,000 |
|
|
25,752,600 |
|
International Paper Co. |
|
|
390,000 |
|
|
13,689,000 |
|
|
|
|
|
|
|
39,441,600 |
|
Total Materials |
|
|
|
|
|
94,194,600 |
|
Telecommunication Services 2.0% |
|
|
|
|
|
|
|
Diversified Telecommunication Services 1.0% |
|
|
|
|
|
|
|
AT&T, Inc. |
|
|
240,000 |
|
|
7,495,200 |
|
Verizon Communications, Inc. |
|
|
440,000 |
|
|
16,821,200 |
|
|
|
|
|
|
|
24,316,400 |
|
Wireless Telecommunication Services 1.0% |
|
|
|
|
|
|
|
MetroPCS Communications, Inc. (a) |
|
|
2,830,000 |
|
|
25,526,600 |
|
Total Telecommunication Services |
|
|
|
|
|
49,843,000 |
|
Utilities 2.8% |
|
|
|
|
|
|
|
Independent
Power Producers & |
|
|
|
|
|
|
|
The AES Corp. (a) |
|
|
2,110,000 |
|
|
27,577,700 |
|
NRG Energy, Inc. (a) |
|
|
1,200,000 |
|
|
18,804,000 |
|
|
|
|
|
|
|
46,381,700 |
|
Multi-Utilities 1.0% |
|
|
|
|
|
|
|
Ameren Corp. |
|
|
790,000 |
|
|
25,738,200 |
|
Total Utilities |
|
|
|
|
|
72,119,900 |
|
Total
Long-Term Investments |
|
|
|
|
|
2,536,255,100 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Short-Term Securities |
|
Beneficial |
|
|
|
|
|
BlackRock Liquidity Series, LLC |
|
$ |
87,183 |
|
|
87,182,715 |
|
Total
Short-Term Securities |
|
|
|
|
|
87,182,715 |
|
Total Investments (Cost $2,177,773,044*) 103.6% |
|
|
|
|
|
2,623,437,815 |
|
Liabilities in Excess of Other Assets (3.6)% |
|
|
|
|
|
(90,753,442 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
2,532,684,373 |
|
|
|
|
* |
As of March 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
|
|
|
|
|
Tax cost |
|
$ |
2,194,281,551 |
|
Gross unrealized appreciation |
|
$ |
492,512,247 |
|
Gross unrealized depreciation |
|
|
(63,355,983 |
) |
Net unrealized appreciation |
|
$ |
429,156,264 |
|
|
|
(a) |
Non-income producing security. |
|
|
(b) |
Security, or a portion of security, is on loan. |
|
|
|
See Notes to Financial Statements. |
|
|
|
|
|
22 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Schedule of Investments (concluded) |
Master Large Cap Core Portfolio |
|
|
(c) |
Investments in companies considered to be an affiliate of the Portfolio during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares/ |
|
Net |
|
Shares/ |
|
Income |
|
||||
BlackRock Liquidity |
|
|
|
|
|
|
|
|
|
|
$ |
790 |
|
BlackRock Liquidity |
|
$ |
72,082,895 |
|
$ |
15,099,820 |
|
$ |
87,182,715 |
|
$ |
768,236 |
|
|
|
|
(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. |
|
|
|
|
|
Fair Value Measurements Various inputs are used in determining the fair value of investments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
|
|
|
|
|
|
Level 1 unadjusted 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) |
|
|
|
|
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Portfolios policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
|
|
|
|
|
The following table summarizes the inputs used as of March 31, 2012 in determining the fair valuation of the Portfolios investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
$ |
2,536,255,100 |
|
|
|
|
|
|
|
$ |
2,536,255,100 |
|
Short-Term |
|
|
|
|
$ |
87,182,715 |
|
|
|
|
|
87,182,715 |
|
Total |
|
$ |
2,536,255,100 |
|
$ |
87,182,715 |
|
|
|
|
$ |
2,623,437,815 |
|
|
|
|
1 |
See above Schedule of Investments for values in each sector and industry. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
23 |
|
|
|
|
Master Large Cap Core Portfolio |
|
|
|
|
|
March 31, 2012 (Unaudited) |
|
|
|
|
Assets |
|
|
|
|
Investments at value unaffiliated1,2 |
|
$ |
2,536,255,100 |
|
Investments at value affiliated3 |
|
|
87,182,715 |
|
Investments sold receivable |
|
|
11,860,184 |
|
Dividends receivable unaffiliated |
|
|
2,035,752 |
|
Securities lending income receivable affiliated |
|
|
304,519 |
|
Prepaid expenses |
|
|
33,801 |
|
Total assets |
|
|
2,637,672,071 |
|
|
|
|
|
|
Liabilities |
|
|
|
|
Collateral on securities loaned, at value |
|
|
87,182,715 |
|
Bank overdraft |
|
|
4,592,397 |
|
Investments purchased payable |
|
|
7,419,604 |
|
Investment advisory fees payable |
|
|
1,168,061 |
|
Other affiliates payable |
|
|
17,880 |
|
Directors fees payable |
|
|
32,921 |
|
Withdrawals payable to investors |
|
|
4,392,663 |
|
Other accrued expenses payable |
|
|
181,457 |
|
Total liabilities |
|
|
104,987,698 |
|
Net Assets |
|
$ |
2,532,684,373 |
|
|
|
|
|
|
Net Assets Consist of |
|
|
|
|
Investors capital |
|
$ |
2,087,019,602 |
|
Net unrealized appreciation/depreciation |
|
|
445,664,771 |
|
Net Assets |
|
$ |
2,532,684,373 |
|
1 Investments at cost unaffiliated |
|
$ |
2,090,590,329 |
|
2 Securities loaned at value |
|
$ |
84,592,325 |
|
3 Investments at cost affiliated |
|
$ |
87,182,715 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
24 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Master Large Cap Core Portfolio |
|
|
|
|
|
Six Months Ended March 31, 2012 (Unaudited) |
|
|
|
|
Investment Income |
|
|
|
|
Dividends unaffiliated |
|
$ |
28,857,623 |
|
Foreign tax withheld |
|
|
(553,988 |
) |
Securities lending affiliated |
|
|
768,236 |
|
Dividends affiliated |
|
|
790 |
|
Total income |
|
|
29,072,661 |
|
|
|
|
|
|
Expenses |
|
|
|
|
Investment advisory |
|
|
6,032,059 |
|
Accounting services |
|
|
245,110 |
|
Custodian |
|
|
92,980 |
|
Professional |
|
|
56,088 |
|
Directors |
|
|
38,234 |
|
Printing |
|
|
6,916 |
|
Miscellaneous |
|
|
29,434 |
|
Total expenses |
|
|
6,500,821 |
|
Less fees waived by advisor |
|
|
(689 |
) |
Total expenses after fees waived |
|
|
6,500,132 |
|
Net investment income |
|
|
22,572,529 |
|
|
|
|
|
|
Realized and Unrealized Gain |
|
|
|
|
Net realized gain from investments |
|
|
84,596,612 |
|
Net change in unrealized appreciation/depreciation on investments |
|
|
517,981,627 |
|
Total realized and unrealized gain |
|
|
602,578,239 |
|
Net Increase in Net Assets Resulting from Operations |
|
$ |
625,150,768 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
25 |
|
|
|
|
Master Large Cap Core Portfolio |
|
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets: |
|
Six
Months |
|
Year
Ended |
|
||
Operations |
|
|
|
|
|
|
|
Net investment income |
|
$ |
22,572,529 |
|
$ |
36,709,241 |
|
Net realized gain |
|
|
84,596,612 |
|
|
416,733,032 |
|
Net change in unrealized appreciation/depreciation |
|
|
517,981,627 |
|
|
(385,934,163 |
) |
Net increase in net assets resulting from operations |
|
|
625,150,768 |
|
|
67,508,110 |
|
|
|
|
|
|
|
|
|
Capital Transactions |
|
|
|
|
|
|
|
Proceeds from contributions |
|
|
232,807,352 |
|
|
406,268,108 |
|
Value of withdrawals |
|
|
(631,987,324 |
) |
|
(1,376,548,462 |
) |
Net decrease in net assets derived from capital transactions |
|
|
(399,179,972 |
) |
|
(970,280,354 |
) |
|
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
|
|
Total increase (decrease) in net assets |
|
|
225,970,796 |
|
|
(902,772,244 |
) |
Beginning of period |
|
|
2,306,713,577 |
|
|
3,209,485,821 |
|
End of period |
|
$ |
2,532,684,373 |
|
$ |
2,306,713,577 |
|
|
|
|
|
Master Large Cap Core Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six
Months |
|
|
|
|
|
Period |
|
|
|
|
|
|
|
|||||||
|
|
|
Year
Ended |
|
|
|
|
|
|
|
|
|||||||||||
|
|
|
|
|
Year Ended October 31, |
|
||||||||||||||||
|
|
|
2011 |
|
2010 |
|
|
2008 |
|
2007 |
|
2006 |
|
|||||||||
Total Investment Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment return |
|
|
27.98 |
%1 |
|
(1.61 |
)% |
|
6.16 |
% |
|
12.63 |
%1,2 |
|
(38.84 |
)% |
|
13.94 |
% |
|
17.32 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
0.51 |
%3 |
|
0.49 |
% |
|
0.49 |
% |
|
0.50 |
%3 |
|
0.50 |
% |
|
0.49 |
% |
|
0.49 |
% |
Total expenses after fees waived |
|
|
0.51 |
%3 |
|
0.49 |
% |
|
0.49 |
% |
|
0.50 |
%3 |
|
0.50 |
% |
|
0.49 |
% |
|
0.49 |
% |
Net investment income |
|
|
1.76 |
%3 |
|
1.13 |
% |
|
1.11 |
% |
|
1.56 |
%3 |
|
0.93 |
% |
|
0.63 |
% |
|
0.58 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
2,532,684 |
|
$ |
2,306,714 |
|
$ |
3,209,486 |
|
$ |
3,946,322 |
|
$ |
2,843,515 |
|
$ |
5,649,731 |
|
$ |
3,876,639 |
|
Portfolio turnover |
|
|
59 |
% |
|
129 |
% |
|
173 |
% |
|
168 |
% |
|
109 |
% |
|
96 |
% |
|
88 |
% |
|
|
1 |
Aggregate total investment return. |
|
|
2 |
Includes proceeds received from a settlement of litigation, which impacted the Portfolios total investment return. Not including these proceeds, the Portfolios total investment return would have been 12.39%. |
|
|
3 |
Annualized. |
|
|
|
See Notes to Financial Statements. |
||
|
|
|
26 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Master Large Cap Core Portfolio |
1. Organization and Significant Accounting Policies:
Master Large Cap Core Portfolio (the Portfolio) is a series of the Master Large Cap Series LLC (the Master LLC). The Master LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Delaware limited liability company. The Fund is classified as diversified. The Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the Board) to issue non-transferable interests in the Master LLC, subject to certain limitations. The Portfolios financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Portfolio:
Valuation: US GAAP defines fair value as the price the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Portfolio fair values its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (NASDAQ) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior days price will be used, unless it is determined that such prior days price no longer reflects the fair value of the security. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.
The Portfolio values its investments in BlackRock Liquidity Series, LLC Money Market Series (the Money Market Series) at fair value, which is ordinarily based upon its pro rata ownership in the underlying funds net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments will follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act. The Portfolio may withdraw up to 25% of its investment daily, although the manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.
In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (Fair Value Assets). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that the Portfolio might reasonably expect to receive from the current sale of that asset in an arms-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.
Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Portfolio is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.
Securities Lending: The Portfolio may lend securities to approved borrowers, such as banks, brokers and other financial institutions. The borrower pledges cash, securities issued or guaranteed by the US government or irrevocable letters of credit issued by a bank as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of the Portfolio and any additional required collateral is delivered to the Portfolio on the next business day. Securities lending income, as disclosed in the Statement of Operations, represents the income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the securities lending agent. During the term of the loan, the Portfolio earns dividend or interest income on the securities loaned but does not receive dividend or interest income on the securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Portfolio could experience delays and costs in gaining access to the collateral. The Portfolio also could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. During the six months ended March 31, 2012, any securities on loan were collateralized by cash.
Income Taxes: The Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Portfolio is treated as the owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Portfolio. Therefore, no federal income tax provision is required. It is intended that the Portfolios assets will be managed so an investor in the Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Portfolio files US federal and various state and local tax returns. The statute of limitations on the Portfolios US federal tax returns remains open for each of the two years ended September 30, 2011, the period ended September 30, 2009 and the year ended October 31, 2008. The statute of
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
27 |
|
|
|
|
Notes to Financial Statements (continued) |
Master Large Cap Core Portfolio |
limitations on the portfolios state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
Recent Accounting Standard: In May 2011, the Financial Accounting Standards Board (the FASB) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed as well as disclosure of the level in the fair value hierarchy of assets and liabilities not recorded at fair value but where fair value is disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Portfolios financial statements and disclosures.
In December 2011, the FASB issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset in the Statement of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Portfolios financial statement disclosures.
Other: Expenses directly related to the Portfolio are charged to the Portfolio. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.
The Portfolio has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.
2. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (PNC) and Barclays Bank PLC (Barclays) are the largest stockholders of BlackRock, Inc. (BlackRock). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.
The Master LLC, on behalf of the Portfolio, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the Manager), the Portfolios investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Portfolios portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Portfolio. For such services, the Portfolio pays the Manager a monthly fee based on a percentage of the Portfolios average daily assets at the following annual rate:
|
|
|
|
|
Average Daily Net Assets |
|
|
Rate |
|
Not exceeding $1 billion |
|
|
0.50 |
% |
In excess of $1 billion but not exceeding $5 billion |
|
|
0.45 |
% |
In excess of $5 billion |
|
|
0.40 |
% |
The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Portfolio pays to the Manager indirectly through its investment in affiliated money market funds, however the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Portfolios investment in other affiliated investment companies, if any. This amount is shown as, or included in, fees waived by advisor in the Statement of Operations.
The Manager entered into a sub-advisory agreement with BlackRock Investment Management, LLC (BIM), an affiliate of the Manager. The Manager pays BIM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Portfolio to the Manager.
For the six months ended March 31, 2012, the Portfolio reimbursed the Manager $19,917 for certain accounting services, which are included in accounting services in the Statement of Operations.
The Portfolio received an exemptive order from the SEC permitting it, among other things, to pay an affiliated securities lending agent a fee based on a share of the income derived from the securities lending activities and has retained BIM as the securities lending agent. BIM may, on behalf of the Portfolio, invest cash collateral received by the Portfolio for such loans, among other things, in a private investment company managed by the Manager or in registered money market funds advised by the Manager or its affiliates. As securities lending agent, BIM is responsible for all transaction fees and other operational costs relating to securities lending activities, other than extraordinary expenses. BIM does not receive any fees for managing the cash collateral. The market value of securities on loan and the value of the related collateral, if applicable, are shown in the Statement of Assets and Liabilities as securities loaned at value and collateral on securities loaned at value, respectively. The cash collateral invested by BIM is disclosed in the Schedule of Investments, if any. Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of rebates paid to, or fees paid by, borrowers of securities. The Portfolio retains 65% of securities lending income and pays a fee to BIM equal to 35% of such income. The share of income earned by the Portfolio on the reinvestment of cash collateral is shown as securities lending affiliated in the Statement of Operations. For the six months ended March 31, 2012, BIM received $413,516 in securities lending agent fees related to securities lending activities for the Portfolio.
Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.
|
|
|
|
|
|
28 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Notes to Financial Statements (concluded) |
Master Large Cap Core Portfolio |
3. Investments:
Purchases and sales of investments, excluding short-term securities for the six months ended March 31, 2012, were $1,488,911,894 and $1,865,811,756, respectively.
4. Borrowings:
The Master LLC, on behalf of the Portfolio, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders. The Portfolio may borrow under the credit agreement to fund shareholder redemptions. Effective November 2010 to November 2011, the credit agreement had the following terms: a commitment fee of 0.08% per annum based on the Portfolios pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.00% per annum or (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Portfolio paid administration and arrangement fees which were allocated to the Portfolio based on its net assets as of October 31, 2010. The credit agreement which expired in November 2011, was renewed until November 2012. Effective November 2011 to November 2012, the credit agreement has the following terms: a commitment fee of 0.065% per annum based on the Portfolios pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed. In addition, the Portfolio paid administration and arrangement fees which were allocated to the Portfolio based on their net assets as of October 31, 2011. The Portfolio did not borrow under the credit agreement during the six months ended March 31, 2012.
5. Concentration, Market and Credit Risk:
In the normal course of business, the Portfolio invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Portfolio may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Portfolio; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Portfolio may be exposed to counterparty credit risk, or the risk that an entity with which the Portfolio has unsettled or open transactions may fail to or be unable to perform on its commitments. The Portfolio manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Portfolios exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Portfolios Statement of Assets and Liabilities, less any collateral held by the Portfolio.
As of March 31, 2012, the Master Large Cap Core Portfolio invested a significant portion of its assets in securities in the information technology sector. Changes in economic conditions affecting the information technology sector would have a greater impact on the Portfolio and could affect the value, income and/or liquidity of positions in such securities.
6. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
29 |
|
|
|
|
Ronald W. Forbes, Co-Chairman of the Board and Director |
Rodney D. Johnson, Co-Chairman of the Board and Director |
Paul L. Audet, Director |
David O. Beim, Director |
Henry Gabbay, Director |
Dr. Matina S. Horner, Director |
Herbert I. London, Director |
Cynthia A. Montgomery, Director |
Joseph P. Platt, Director |
Robert C. Robb, Jr., Director |
Toby Rosenblatt, Director |
Kenneth L. Urish, Director |
Frederick W. Winter, Director |
John M. Perlowski, President and Chief Executive Officer |
Brendan Kyne, Vice President |
Neal Andrews, Chief Financial Officer |
Jay Fife, Treasurer |
Brian Kindelan, Chief Compliance Officer and |
Anti-Money Laundering Officer |
Ira P. Shapiro, Secretary |
|
Investment Advisor |
BlackRock Advisors, LLC |
Wilmington, DE 19809 |
|
Sub-Advisor |
BlackRock Investment Management, LLC |
Princeton, NJ 08540 |
|
Custodian |
Brown Brothers Harriman & Co. |
Boston, MA 02109 |
|
Accounting Agent |
State Street Bank and Trust Company |
Boston, MA 02110 |
|
Distributor |
BlackRock Investments, LLC |
New York, NY 10022 |
|
Independent Registered Public Accounting Firm |
Deloitte & Touche LLP |
Boston, MA 02116 |
|
Legal Counsel |
Sidley Austin LLP |
New York, NY 10019 |
|
|
|
|
|
|
30 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Master Total Return Portfolio |
|
|
|
As of March 31, 2012 |
|
|
|
|
|
Portfolio Composition |
|
Percent
of |
|
|
US Government Sponsored Agency Securities |
|
51 |
% |
|
Corporate Bonds |
|
21 |
|
|
US Treasury Obligations |
|
14 |
|
|
Non-Agency Mortgage-Backed Securities |
|
7 |
|
|
Asset-Backed Securities |
|
4 |
|
|
Floating Rate Loan Interests |
|
1 |
|
|
Foreign Agency Obligations |
|
1 |
|
|
Preferred Securities |
|
1 |
|
|
|
|
|
|
|
Credit Quality Allocations1 |
|
Percent
of |
|
|
AAA/Aaa2 |
|
77 |
% |
|
AA/Aa |
|
3 |
|
|
A |
|
7 |
|
|
BBB/Baa |
|
8 |
|
|
BB/Ba |
|
3 |
|
|
B |
|
2 |
|
|
|
|
1 |
Using the higher of Standard & Poors (S&Ps) or Moodys Investors Service (Moodys). |
|
|
2 |
Includes US Government Sponsored Agency Securities and US Treasury Obligations, which are deemed AAA/Aaa by the investment advisor. |
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
31 |
|
|
|
|
Master Total Return Portfolio |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
321 Henderson Receivables I LLC (a): |
|
|
|
|
|
|
|
Series 2010-1A, Class A, 5.56%, 7/15/59 |
|
USD |
8,513 |
|
$ |
9,258,730 |
|
Series 2010-2A, Class A, 4.07%, 1/15/48 |
|
|
4,364 |
|
|
4,444,595 |
|
Series 2010-3A, Class A, 3.82%, 12/15/48 |
|
|
8,396 |
|
|
8,390,276 |
|
Series 2012-1A, Class A, 4.21%, 2/16/65 |
|
|
4,510 |
|
|
4,550,868 |
|
ACE Securities Corp. (b): |
|
|
|
|
|
|
|
Series 2003-OP1, Class A2, 0.96%, |
|
|
581 |
|
|
448,750 |
|
Series 2006-CW1, Class A2C, 0.38%, |
|
|
1,680 |
|
|
998,043 |
|
AEP Texas Central Transition Funding LLC, |
|
|
10,440 |
|
|
10,313,445 |
|
AH Mortgage Advance Trust, Series SART-3, |
|
|
5,685 |
|
|
5,685,000 |
|
AmeriCredit Automobile Receivables Trust, |
|
|
4,050 |
|
|
4,130,184 |
|
Bear Stearns Asset-Backed Securities Trust, |
|
|
2,442 |
|
|
2,287,703 |
|
Capital One Multi-Asset Execution Trust, |
|
GBP |
3,400 |
|
|
5,533,577 |
|
CarMax Auto Owner Trust: |
|
|
|
|
|
|
|
Series 2012-1, Class B, 1.76%, 8/15/17 |
|
USD |
1,860 |
|
|
1,852,151 |
|
Series 2012-1, Class C, 2.20%, 10/16/17 |
|
|
1,150 |
|
|
1,144,939 |
|
Series 2012-1, Class D, 3.09%, 8/15/18 |
|
|
1,430 |
|
|
1,423,825 |
|
Carrington Mortgage Loan Trust, Series 2006-NC5, |
|
|
13 |
|
|
13,402 |
|
CenterPoint Energy Transition Bond Co. LLC, |
|
|
10,300 |
|
|
10,368,655 |
|
Countrywide Asset-Backed Certificates (b): |
|
|
|
|
|
|
|
Series 2003-BC3, Class A2, 0.86%, |
|
|
677 |
|
|
586,832 |
|
Series 2004-5, Class A, 0.69%, 10/25/34 |
|
|
973 |
|
|
829,803 |
|
Series 2006-13, Class 3AV2, 0.39%, |
|
|
2,091 |
|
|
1,439,950 |
|
Series 2006-17, Class 2A2, 0.39%, |
|
|
1,065 |
|
|
635,633 |
|
Series 2007-1, Class 2A1, 0.29%, 7/25/37 |
|
|
67 |
|
|
65,524 |
|
Series 2007-11, Class 2A1, 0.30%, |
|
|
5 |
|
|
4,613 |
|
Series 2007-12, Class 2A1, 0.59%, |
|
USD |
55 |
|
|
53,760 |
|
DT Auto Owner Trust (a): |
|
|
|
|
|
|
|
Series 2011-2A, Class B, 2.12%, 2/16/16 |
|
|
3,899 |
|
|
3,902,292 |
|
Series 2011-3A, Class C, 4.03%, 2/15/17 |
|
|
2,460 |
|
|
2,460,869 |
|
Fannie Mae Mortgage-Backed Securities, |
|
|
11 |
|
|
10,823 |
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
Ford Credit Floorplan Master Owner Trust: |
|
|
|
|
|
|
|
Series 2010-5, Class C, 2.07%, |
|
USD |
3,035 |
|
$ |
3,057,092 |
|
Series 2010-5, Class D, 2.41%, |
|
|
1,620 |
|
|
1,631,586 |
|
Series 2011-2, Class C, 2.37%, 9/15/15 |
|
|
3,860 |
|
|
3,866,125 |
|
Series 2011-2, Class D, 2.86%, 9/15/15 |
|
|
2,685 |
|
|
2,689,059 |
|
Series 2012-1, Class B, 1.14%, |
|
|
1,670 |
|
|
1,670,000 |
|
Series 2012-1, Class C, 1.74%, |
|
|
4,380 |
|
|
4,379,998 |
|
Series 2012-1, Class D, 2.34%, |
|
|
4,100 |
|
|
4,099,996 |
|
Series 2012-2, Class B, 2.32%, 1/15/19 |
|
|
2,244 |
|
|
2,234,598 |
|
Series 2012-2, Class C, 2.86%, 1/15/19 |
|
|
1,030 |
|
|
1,023,537 |
|
Series 2012-2, Class D, 3.51%, 1/15/19 |
|
|
1,820 |
|
|
1,808,665 |
|
Globaldrive BV, Series 2008-2, Class A, 4.00%, |
|
EUR |
1,946 |
|
|
2,617,275 |
|
GSAA Home Equity Trust, Series 2006-5, |
|
USD |
32 |
|
|
14,696 |
|
Home Equity Asset Trust, Series 2007-2, |
|
|
89 |
|
|
87,356 |
|
Hyundai Auto Receivables Trust, Series 2012-A, |
|
|
2,555 |
|
|
2,548,122 |
|
Morgan Stanley ABS Capital I, Series 2005-HE1, |
|
|
820 |
|
|
690,148 |
|
Nelnet Student Loan Trust (b): |
|
|
|
|
|
|
|
Series 2006-1, Class A5, 0.60%, 8/23/27 |
|
|
6,505 |
|
|
6,164,826 |
|
Series 2008-3, Class A4, 2.14%, 11/25/24 |
|
|
5,600 |
|
|
5,772,190 |
|
New Century Home Equity Loan Trust, Series |
|
|
2,543 |
|
|
2,406,847 |
|
Option One Mortgage Loan Trust, Series 2003-4, |
|
|
1,650 |
|
|
1,296,570 |
|
PFS Financing Corp., Series 2012-AA, Class A, |
|
|
4,400 |
|
|
4,399,999 |
|
RAAC, Series 2005-SP2, Class 2A, 0.54%, |
|
|
6,022 |
|
|
4,282,523 |
|
Residential Asset Securities Corp., Series |
|
|
738 |
|
|
453,823 |
|
Santander Consumer Acquired |
|
|
|
|
|
|
|
Series 2011-S1A, Class B, 1.66%, 8/15/16 |
|
|
6,186 |
|
|
6,134,661 |
|
Series 2011-S1A, Class C, 2.01%, 8/15/16 |
|
|
4,829 |
|
|
4,786,705 |
|
Series 2011-WO, Class C, 3.19%, 10/15/15 |
|
|
6,580 |
|
|
6,569,405 |
|
Santander Drive Auto Receivables Trust: |
|
|
|
|
|
|
|
Series 2010-2, Class B, 2.24%, 12/15/14 |
|
|
8,380 |
|
|
8,412,158 |
|
Series 2010-2, Class C, 3.89%, 7/17/17 |
|
|
9,885 |
|
|
10,045,829 |
|
Series 2010-B, Class B, 2.10%, |
|
|
7,668 |
|
|
7,707,470 |
|
Series 2010-B, Class C, 3.02%, |
|
|
8,015 |
|
|
7,965,431 |
|
|
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 |
EUR |
Euro |
EURIBOR |
Euro Interbank Offered Rate |
FKA |
Formerly Known As |
GBP |
British Pound |
JPY |
Japanese Yen |
LIBOR |
London Interbank Offered Rate |
PHP |
Philippine Peso |
RB |
Revenue Bonds |
SGD |
Singapore Dollar |
TBA |
To Be Announced |
USD |
US Dollar |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
32 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
Santander Drive Auto Receivables Trust |
|
|
|
|
|
|
|
Series 2011-1, Class D, 4.01%, 2/15/17 |
|
USD |
8,000 |
|
$ |
8,026,855 |
|
Series 2011-S1A, Class B, 1.48%, |
|
|
5,311 |
|
|
5,298,181 |
|
Series 2011-S1A, Class D, 3.10%, |
|
|
4,019 |
|
|
4,009,970 |
|
Series 2012-1, Class B, 2.72%, 5/16/16 |
|
|
2,260 |
|
|
2,298,145 |
|
Series 2012-1, Class C, 3.78%, 11/15/17 |
|
|
3,045 |
|
|
3,115,096 |
|
Series 2012-2, Class C, 3.20%, 2/15/18 |
|
|
6,490 |
|
|
6,504,144 |
|
Series 2012-2, Class D, 3.87%, 2/15/18 |
|
|
4,020 |
|
|
4,033,620 |
|
Scholar Funding Trust, Series 2011-A, Class A, |
|
|
6,158 |
|
|
5,923,409 |
|
SLM Student Loan Trust: |
|
|
|
|
|
|
|
Series 2004-B, Class A2, 0.67%, |
|
|
6,087 |
|
|
5,829,739 |
|
Series 2008-5, Class A3, 1.86%, |
|
|
4,285 |
|
|
4,377,048 |
|
Series 2008-5, Class A4, 2.26%, |
|
|
4,690 |
|
|
4,857,769 |
|
Series 2012-A, Class A1, 1.64%, |
|
|
3,253 |
|
|
3,260,679 |
|
Series 2012-A, Class A2, 3.83%, |
|
|
2,750 |
|
|
2,740,711 |
|
Small Business Administration: |
|
|
|
|
|
|
|
Series 2002-P10, Class 1, 5.20%, 8/10/12 |
|
|
77 |
|
|
78,471 |
|
Series 2003-P10A, Class 1, 4.52%, |
|
|
9 |
|
|
9,135 |
|
Series 2004-P10, Class 1, 4.50%, 2/10/14 |
|
|
192 |
|
|
198,029 |
|
Soundview Home Equity Loan Trust, Series |
|
|
88 |
|
|
86,804 |
|
Structured Asset Securities Corp.: |
|
|
|
|
|
|
|
Series 2003-Al2, Class A, 3.36%, |
|
|
1,321 |
|
|
1,211,314 |
|
Series 2004-23XS, Class 2A1, 0.54%, |
|
|
2,190 |
|
|
1,570,455 |
|
Series 2005-GEL2, Class A, 0.52%, |
|
|
689 |
|
|
615,693 |
|
Series 2006-BC6, Class A2, 0.32%, |
|
|
1,262 |
|
|
1,245,680 |
|
Series 2007-BC1, Class A2, 0.29%, |
|
|
334 |
|
|
323,938 |
|
Total Asset-Backed Securities 7.6% |
|
|
|
|
|
255,265,817 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
|
|
|
|
|
Air Freight & Logistics 0.2% |
|
|
|
|
|
|
|
PostNL NV, 5.38%, 11/14/17 |
|
EUR |
3,500 |
|
|
5,139,850 |
|
Auto Components 0.1% |
|
|
|
|
|
|
|
BorgWarner, Inc., 4.63%, 9/15/20 |
|
USD |
2,925 |
|
|
3,126,699 |
|
Jaguar Land Rover Plc, 8.25%, 3/15/20 |
|
GBP |
1,098 |
|
|
1,761,345 |
|
|
|
|
|
|
|
4,888,044 |
|
Capital Markets 1.6% |
|
|
|
|
|
|
|
Credit Suisse AG: |
|
|
|
|
|
|
|
1.63%, 3/06/15 (a) |
|
USD |
10,740 |
|
|
10,714,487 |
|
2.60%, 5/27/16 (a) |
|
|
6,330 |
|
|
6,453,454 |
|
5.40%, 1/14/20 |
|
|
2,460 |
|
|
2,532,467 |
|
Deutsche Bank AG, 1.67%, 3/09/17 (b) |
|
EUR |
2,850 |
|
|
3,403,455 |
|
The Goldman Sachs Group, Inc., 5.75%, |
|
USD |
20,545 |
|
|
21,135,463 |
|
Morgan Stanley, 5.50%, 7/28/21 |
|
|
10,260 |
|
|
10,026,934 |
|
|
|
|
|
|
|
54,266,260 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
Value |
|
|
Chemicals 0.8% |
|
|
|
|
|
|
|
CF Industries, Inc., 7.13%, 5/01/20 |
|
USD |
6,863 |
|
$ |
8,175,549 |
|
The Dow Chemical Co., 4.13%, 11/15/21 |
|
|
3,570 |
|
|
3,672,620 |
|
Kerling Plc, 10.63%, 2/01/17 |
|
EUR |
1,292 |
|
|
1,714,524 |
|
Lyondell Chemical Co., 11.00%, 5/01/18 |
|
USD |
4,812 |
|
|
5,317,607 |
|
LyondellBasell Industries NV, 5.75%, |
|
|
5,000 |
|
|
4,987,500 |
|
Nova Chemicals Corp., 8.38%, 11/01/16 |
|
|
2,500 |
|
|
2,775,000 |
|
|
|
|
|
|
|
26,642,800 |
|
Commercial Banks 4.5% |
|
|
|
|
|
|
|
Banco Santander SA, 3.25%, 2/17/15 |
|
EUR |
1,800 |
|
|
2,410,637 |
|
Bank of India, 6.25%, 2/16/21 |
|
USD |
4,670 |
|
|
4,665,820 |
|
BNP Paribas Home Loan SFH, 3.13%, 3/22/22 |
|
EUR |
3,800 |
|
|
5,087,317 |
|
BNP Paribas SA, 5.43%, 9/07/17 |
|
|
1,240 |
|
|
1,756,643 |
|
CIT Group, Inc., 7.00%, 5/02/17 (a) |
|
USD |
790 |
|
|
791,975 |
|
Commerzbank AG, 6.38%, 3/22/19 |
|
EUR |
1,250 |
|
|
1,419,056 |
|
Cooperatieve Centrale Raiffeisen- |
|
|
4,825 |
|
|
6,680,278 |
|
Discover Bank: |
|
|
|
|
|
|
|
8.70%, 11/18/19 |
|
USD |
1,980 |
|
|
2,463,894 |
|
7.00%, 4/15/20 |
|
|
5,720 |
|
|
6,563,448 |
|
Eksportfinans ASA: |
|
|
|
|
|
|
|
5.50%, 5/25/16 |
|
|
1,310 |
|
|
1,282,350 |
|
5.50%, 6/26/17 |
|
|
275 |
|
|
267,617 |
|
HSBC Bank Brasil SA Banco Multiplo, 4.00%, |
|
|
15,610 |
|
|
15,727,075 |
|
HSBC Bank Plc, 3.10%, 5/24/16 (a) |
|
|
7,630 |
|
|
7,772,010 |
|
HSBC Holdings Plc, 6.10%, 1/14/42 |
|
|
3,120 |
|
|
3,630,195 |
|
ICICI Bank Ltd., 4.75%, 11/25/16 (a) |
|
|
6,450 |
|
|
6,417,286 |
|
ING Bank NV: |
|
|
|
|
|
|
|
1.17%, 5/23/16 (b) |
|
|
600 |
|
|
555,900 |
|
4.00%, 12/23/16 |
|
EUR |
1,750 |
|
|
2,448,194 |
|
KBC IFIMA NV, 5.00%, 3/16/16 |
|
|
3,650 |
|
|
5,060,485 |
|
Lloyds TSB Bank Plc: |
|
|
|
|
|
|
|
11.88%, 12/16/21 (b) |
|
|
3,000 |
|
|
4,421,214 |
|
5.13%, 3/07/25 |
|
GBP |
2,250 |
|
|
3,797,665 |
|
6.50%, 9/17/40 |
|
|
350 |
|
|
531,327 |
|
National Agricultural Cooperative Federation, |
|
USD |
8,300 |
|
|
8,328,411 |
|
Oversea-Chinese Banking Corp., Ltd., 3.75%, |
|
|
10,000 |
|
|
9,967,650 |
|
Sparebanken 1 Boligkreditt (a): |
|
|
|
|
|
|
|
1.25%, 10/25/13 |
|
|
17,090 |
|
|
17,185,174 |
|
2.30%, 6/30/17 |
|
|
8,220 |
|
|
8,192,052 |
|
Société Générale SA, 6.13%, 8/20/18 |
|
EUR |
3,400 |
|
|
4,663,370 |
|
UBS AG, 2.25%, 3/30/17 (a) |
|
USD |
10,450 |
|
|
10,424,513 |
|
Wells Fargo & Co., 3.50%, 3/08/22 |
|
|
10,035 |
|
|
9,879,146 |
|
|
|
|
|
|
|
152,390,702 |
|
Commercial Services & Supplies 0.3% |
|
|
|
|
|
|
|
ACCO Brands Corp., 10.63%, 3/15/15 |
|
USD |
1,700 |
|
|
1,855,142 |
|
RSC Equipment Rental, Inc., 10.00%, |
|
|
3,500 |
|
|
4,060,000 |
|
Verisure Holding AB: |
|
|
|
|
|
|
|
8.75%, 9/01/18 |
|
EUR |
2,179 |
|
|
2,986,631 |
|
8.75%, 12/01/18 |
|
|
601 |
|
|
733,422 |
|
|
|
|
|
|
|
9,635,195 |
|
Construction & Engineering 0.1% |
|
|
|
|
|
|
|
ABB Finance BV, 2.63%, 3/26/19 |
|
|
3,271 |
|
|
4,377,958 |
|
Consumer Finance 0.5% |
|
|
|
|
|
|
|
Ford Motor Credit Co. LLC, 6.63%, 8/15/17 |
|
USD |
3,018 |
|
|
3,344,345 |
|
SLM Corp.: |
|
|
|
|
|
|
|
6.25%, 1/25/16 |
|
|
7,120 |
|
|
7,404,800 |
|
6.00%, 1/25/17 |
|
|
5,000 |
|
|
5,150,000 |
|
Series A, 0.86%, 1/27/14 (b) |
|
|
35 |
|
|
33,430 |
|
|
|
|
|
|
|
15,932,575 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
33 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Diversified Financial Services 3.4% |
|
|
|
|
|
|
|
Bank of America Corp.: |
|
|
|
|
|
|
|
3.88%, 3/22/17 |
|
USD |
5,130 |
|
$ |
5,158,292 |
|
6.00%, 9/01/17 |
|
|
7,000 |
|
|
7,624,120 |
|
7.63%, 6/01/19 |
|
|
3,000 |
|
|
3,459,348 |
|
5.70%, 1/24/22 |
|
|
2,275 |
|
|
2,408,279 |
|
Capital One Financial Corp., 4.75%, 7/15/21 |
|
|
7,745 |
|
|
8,149,459 |
|
Cedulas TDA 6 Fondo de Titulizacion de Activos, |
|
EUR |
1,700 |
|
|
1,326,312 |
|
Citigroup, Inc.: |
|
|
|
|
|
|
|
5.00%, 9/15/14 |
|
USD |
9,060 |
|
|
9,382,799 |
|
4.59%, 12/15/15 |
|
|
23,100 |
|
|
24,326,610 |
|
Gala Group Finance Plc, 8.88%, 9/01/18 |
|
GBP |
792 |
|
|
1,064,116 |
|
Imperial Tobacco Finance Plc, 5.00%, |
|
EUR |
1,144 |
|
|
1,699,175 |
|
JPMorgan Chase & Co., 3.88%, 9/23/20 |
|
|
1,000 |
|
|
1,393,167 |
|
JPMorgan Chase Bank NA: |
|
|
|
|
|
|
|
6.00%, 7/05/17 |
|
USD |
13,805 |
|
|
15,643,826 |
|
Series BKNT, 6.00%, 10/01/17 |
|
|
13,350 |
|
|
15,275,217 |
|
Reynolds Group Issuer, Inc. (a): |
|
|
|
|
|
|
|
7.88%, 8/15/19 |
|
|
6,190 |
|
|
6,654,250 |
|
6.88%, 2/15/21 |
|
|
5,710 |
|
|
5,909,850 |
|
TMX Finance LLC, 13.25%, 7/15/15 |
|
|
4,000 |
|
|
4,420,000 |
|
|
|
|
|
|
|
113,894,820 |
|
Diversified Telecommunication Services 0.6% |
|
|
|
|
|
|
|
AT&T, Inc., 5.35%, 9/01/40 |
|
|
4,235 |
|
|
4,503,118 |
|
Level 3 Financing, Inc., 8.13%, 7/01/19 (a) |
|
|
4,474 |
|
|
4,619,405 |
|
Telefonica Emisiones SAU, 5.60%, 3/12/20 |
|
GBP |
1,800 |
|
|
2,817,449 |
|
Verizon Communications, Inc.: |
|
|
|
|
|
|
|
3.50%, 11/01/21 |
|
USD |
5,110 |
|
|
5,227,847 |
|
6.40%, 2/15/38 |
|
|
1,878 |
|
|
2,274,851 |
|
|
|
|
|
|
|
19,442,670 |
|
Electric Utilities 2.7% |
|
|
|
|
|
|
|
Alabama Power Co., 3.95%, 6/01/21 |
|
|
5,015 |
|
|
5,345,027 |
|
Cleveland Electric Illuminating Co.: |
|
|
|
|
|
|
|
8.88%, 11/15/18 |
|
|
1,199 |
|
|
1,582,983 |
|
5.95%, 12/15/36 |
|
|
2,175 |
|
|
2,339,080 |
|
Duke Energy Carolinas LLC, 4.25%, 12/15/41 |
|
|
3,915 |
|
|
3,906,234 |
|
Florida Power & Light Co., 5.95%, 2/01/38 |
|
|
3,645 |
|
|
4,581,874 |
|
Florida Power Corp., 6.40%, 6/15/38 |
|
|
2,646 |
|
|
3,442,666 |
|
Georgia Power Co., 3.00%, 4/15/16 |
|
|
8,985 |
|
|
9,502,231 |
|
Hydro-Quebec: |
|
|
|
|
|
|
|
9.40%, 2/01/21 |
|
|
4,365 |
|
|
6,398,095 |
|
8.40%, 1/15/22 |
|
|
8,220 |
|
|
11,599,546 |
|
8.05%, 7/07/24 |
|
|
21,145 |
|
|
30,434,358 |
|
Jersey Central Power & Light Co., 7.35%, 2/01/19 |
|
|
2,730 |
|
|
3,416,098 |
|
Southern California Edison Co., Series 08-A, |
|
|
2,825 |
|
|
3,561,444 |
|
Trans-Allegheny Interstate Line Co., 4.00%, |
|
|
2,815 |
|
|
2,971,480 |
|
|
|
|
|
|
|
89,081,116 |
|
Energy Equipment & Services 1.7% |
|
|
|
|
|
|
|
Calfrac Holdings LP, 7.50%, 12/01/20 (a)(d) |
|
|
1,310 |
|
|
1,316,550 |
|
Ensco Plc: |
|
|
|
|
|
|
|
3.25%, 3/15/16 |
|
|
1,880 |
|
|
1,961,327 |
|
4.70%, 3/15/21 |
|
|
3,915 |
|
|
4,223,823 |
|
Frac Tech Services LLC, 7.63%, 11/15/18 (a) |
|
|
2,407 |
|
|
2,515,315 |
|
MEG Energy Corp., 6.50%, 3/15/21 (a) |
|
|
4,100 |
|
|
4,294,750 |
|
Noble Holding International Ltd., 5.25%, |
|
|
3,125 |
|
|
3,104,453 |
|
Peabody Energy Corp., 6.25%, 11/15/21 (a) |
|
|
7,895 |
|
|
7,737,100 |
|
Pride International, Inc., 6.88%, 8/15/20 |
|
|
2,650 |
|
|
3,231,582 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Energy Equipment & Services (concluded) |
|
|
|
|
|
|
|
Transocean, Inc.: |
|
|
|
|
|
|
|
5.05%, 12/15/16 |
|
USD |
8,125 |
|
$ |
8,701,274 |
|
6.50%, 11/15/20 |
|
|
4,025 |
|
|
4,500,449 |
|
6.38%, 12/15/21 |
|
|
14,980 |
|
|
16,855,017 |
|
|
|
|
|
|
|
58,441,640 |
|
Food & Staples Retailing 0.1% |
|
|
|
|
|
|
|
Wal-Mart Stores, Inc., 5.63%, 4/01/40 |
|
|
2,343 |
|
|
2,813,938 |
|
Food Products 0.4% |
|
|
|
|
|
|
|
Kraft Foods, Inc.: |
|
|
|
|
|
|
|
6.50%, 8/11/17 |
|
|
6,049 |
|
|
7,297,060 |
|
6.50%, 2/09/40 |
|
|
4,500 |
|
|
5,537,398 |
|
|
|
|
|
|
|
12,834,458 |
|
Health Care Equipment & Supplies 0.4% |
|
|
|
|
|
|
|
Boston Scientific Corp., 6.25%, 11/15/15 |
|
|
13,154 |
|
|
14,525,633 |
|
Health Care Providers & Services 0.7% |
|
|
|
|
|
|
|
Crown Newco 3 Plc, 7.00%, 2/15/18 |
|
GBP |
1,225 |
|
|
1,876,115 |
|
HCA, Inc.: |
|
|
|
|
|
|
|
6.50%, 2/15/20 |
|
USD |
4,168 |
|
|
4,376,400 |
|
7.25%, 9/15/20 |
|
|
3,925 |
|
|
4,273,344 |
|
Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
10.00%, 5/01/18 |
|
|
147 |
|
|
168,315 |
|
6.25%, 11/01/18 (a) |
|
|
4,905 |
|
|
5,064,412 |
|
8.88%, 7/01/19 |
|
|
5,365 |
|
|
6,008,800 |
|
UnitedHealth Group, Inc., 3.38%, 11/15/21 |
|
|
1,630 |
|
|
1,673,136 |
|
|
|
|
|
|
|
23,440,522 |
|
Hotels, Restaurants & Leisure 1.0% |
|
|
|
|
|
|
|
Enterprise Inns Plc, 6.50%, 12/06/18 |
|
GBP |
500 |
|
|
663,793 |
|
Gategroup Finance Luxembourg SA, 6.75%, |
|
EUR |
1,170 |
|
|
1,558,494 |
|
International Game Technology, 7.50%, |
|
USD |
11,199 |
|
|
13,117,814 |
|
MGM Resorts International: |
|
|
|
|
|
|
|
10.38%, 5/15/14 |
|
|
4,020 |
|
|
4,557,675 |
|
11.13%, 11/15/17 |
|
|
4,954 |
|
|
5,604,212 |
|
Punch Taverns Finance Plc, Series A1R, 7.27%, |
|
GBP |
760 |
|
|
1,115,332 |
|
Wyndham Worldwide Corp., 4.25%, 3/01/22 |
|
USD |
6,430 |
|
|
6,303,490 |
|
|
|
|
|
|
|
32,920,810 |
|
Household Durables 0.0% |
|
|
|
|
|
|
|
Spie BondCo 3 SCA, 11.00%, 8/15/19 |
|
EUR |
1,165 |
|
|
1,573,182 |
|
Independent
Power Producers & |
|
|
|
|
|
|
|
Constellation Energy Group Inc., 5.15%, |
|
USD |
670 |
|
|
737,833 |
|
Constellation Energy Group, Inc., 7.60%, |
|
|
1,600 |
|
|
2,080,243 |
|
Energy Future Intermediate Holding Co. LLC, |
|
|
7,690 |
|
|
8,382,100 |
|
Laredo Petroleum, Inc., 9.50%, 2/15/19 |
|
|
2,000 |
|
|
2,225,000 |
|
|
|
|
|
|
|
13,425,176 |
|
Industrial Conglomerates 0.1% |
|
|
|
|
|
|
|
Sequa Corp., 11.75%, 12/01/15 (a) |
|
|
2,500 |
|
|
2,656,250 |
|
Insurance 4.1% |
|
|
|
|
|
|
|
Allianz Finance II BV, 5.75%, 7/08/41 (b) |
|
EUR |
4,400 |
|
|
5,551,978 |
|
American International Group, Inc.: |
|
|
|
|
|
|
|
3.80%, 3/22/17 |
|
USD |
8,028 |
|
|
8,128,800 |
|
5.45%, 5/18/17 |
|
|
4,150 |
|
|
4,461,416 |
|
8.18%, 5/15/58 (b) |
|
|
1,970 |
|
|
2,085,245 |
|
AXA SA, 5.25%, 4/16/40 (b) |
|
EUR |
3,000 |
|
|
3,423,356 |
|
Fairfax Financial Holdings Ltd., 5.80%, |
|
USD |
3,968 |
|
|
3,787,285 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
34 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Insurance (concluded) |
|
|
|
|
|
|
|
Fidelity International Ltd., 7.13%, 2/13/24 |
|
GBP |
5,250 |
|
$ |
8,434,497 |
|
Hartford Financial Services Group, Inc., |
|
USD |
3,450 |
|
|
3,768,632 |
|
Hartford Life Global Funding Trusts, 0.65%, |
|
|
13,275 |
|
|
12,605,980 |
|
ING Groep NV, 4.13%, 3/23/15 |
|
EUR |
4,745 |
|
|
6,587,610 |
|
ING Verzekeringen NV, 2.69%, 6/21/21 (b) |
|
|
2,880 |
|
|
3,572,488 |
|
Lincoln National Corp., 7.00%, 6/15/40 |
|
USD |
2,860 |
|
|
3,358,824 |
|
Manulife Financial Corp., 3.40%, 9/17/15 |
|
|
12,215 |
|
|
12,573,938 |
|
Metropolitan Life Global Funding I (a): |
|
|
|
|
|
|
|
2.88%, 9/17/12 |
|
|
8,375 |
|
|
8,452,611 |
|
2.50%, 1/11/13 |
|
|
24,245 |
|
|
24,497,463 |
|
5.13%, 6/10/14 |
|
|
1,600 |
|
|
1,737,514 |
|
Muenchener Rueckversicherungs AG (b): |
|
|
|
|
|
|
|
6.00%, 5/26/41 |
|
EUR |
2,700 |
|
|
3,566,981 |
|
6.63%, 5/26/42 |
|
GBP |
1,900 |
|
|
3,045,069 |
|
Prudential Financial, Inc.: |
|
|
|
|
|
|
|
4.75%, 9/17/15 |
|
USD |
10,790 |
|
|
11,712,642 |
|
7.38%, 6/15/19 |
|
|
3,690 |
|
|
4,561,272 |
|
5.38%, 6/21/20 |
|
|
2,085 |
|
|
2,335,323 |
|
|
|
|
|
|
|
138,248,924 |
|
IT Services 0.1% |
|
|
|
|
|
|
|
First Data Corp. (a): |
|
|
|
|
|
|
|
7.38%, 6/15/19 |
|
|
2,290 |
|
|
2,332,937 |
|
8.25%, 1/15/21 |
|
|
285 |
|
|
278,587 |
|
|
|
|
|
|
|
2,611,524 |
|
Machinery 0.3% |
|
|
|
|
|
|
|
Joy Global, Inc., 5.13%, 10/15/21 |
|
|
2,240 |
|
|
2,425,481 |
|
UR Financing Escrow Corp. (a): |
|
|
|
|
|
|
|
5.75%, 7/15/18 |
|
|
753 |
|
|
770,884 |
|
7.38%, 5/15/20 |
|
|
4,565 |
|
|
4,667,712 |
|
7.63%, 4/15/22 |
|
|
1,874 |
|
|
1,925,535 |
|
|
|
|
|
|
|
9,789,612 |
|
Media 3.5% |
|
|
|
|
|
|
|
CBS Corp.: |
|
|
|
|
|
|
|
4.63%, 5/15/18 |
|
|
1,785 |
|
|
1,943,587 |
|
8.88%, 5/15/19 |
|
|
3,440 |
|
|
4,519,582 |
|
5.75%, 4/15/20 |
|
|
2,820 |
|
|
3,242,086 |
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
6,675 |
|
|
7,609,500 |
|
Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
1,854 |
|
|
2,023,177 |
|
Series B, 9.25%, 12/15/17 |
|
|
6,242 |
|
|
6,842,792 |
|
Comcast Cable Communications Holdings, Inc., |
|
|
2,225 |
|
|
3,225,534 |
|
Comcast Corp.: |
|
|
|
|
|
|
|
5.88%, 2/15/18 |
|
|
6,350 |
|
|
7,515,015 |
|
6.45%, 3/15/37 |
|
|
3,686 |
|
|
4,411,475 |
|
Cox Communications, Inc., 8.38%, 3/01/39 (a) |
|
|
6,180 |
|
|
8,701,168 |
|
CSC Holdings LLC, 8.50%, 4/15/14 |
|
|
2,742 |
|
|
3,050,475 |
|
DIRECTV Holdings LLC: |
|
|
|
|
|
|
|
6.38%, 3/01/41 |
|
|
4,422 |
|
|
4,990,497 |
|
5.15%, 3/15/42 (a) |
|
|
2,033 |
|
|
1,980,516 |
|
Intelsat Jackson Holdings SA, 7.25%, 4/01/19 |
|
|
4,072 |
|
|
4,280,690 |
|
NBC Universal Media LLC, 5.15%, 4/30/20 |
|
|
3,508 |
|
|
3,970,372 |
|
The New York Times Co., 6.63%, 12/15/16 |
|
|
20,100 |
|
|
20,954,250 |
|
News America, Inc., 6.40%, 12/15/35 |
|
|
315 |
|
|
357,120 |
|
Time Warner Cable, Inc.: |
|
|
|
|
|
|
|
5.88%, 11/15/40 |
|
|
5,025 |
|
|
5,414,327 |
|
5.50%, 9/01/41 |
|
|
4,990 |
|
|
5,227,165 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Media (concluded) |
|
|
|
|
|
|
|
Time Warner, Inc.: |
|
|
|
|
|
|
|
4.70%, 1/15/21 |
|
USD |
2,080 |
|
$ |
2,272,450 |
|
6.10%, 7/15/40 |
|
|
1,370 |
|
|
1,533,245 |
|
Unitymedia Hessen GmbH & Co. KG (FKA UPC |
|
|
5,000 |
|
|
5,400,000 |
|
Virgin Media Secured Finance Plc: |
|
|
|
|
|
|
|
6.50%, 1/15/18 |
|
|
3,740 |
|
|
4,062,575 |
|
5.25%, 1/15/21 |
|
|
4,870 |
|
|
5,235,294 |
|
|
|
|
|
|
|
118,762,892 |
|
Metals & Mining 0.7% |
|
|
|
|
|
|
|
Cliffs Natural Resources, Inc., 6.25%, 10/01/40 |
|
|
4,480 |
|
|
4,757,433 |
|
Eco-Bat Finance Plc, 7.75%, 2/15/17 |
|
EUR |
1,723 |
|
|
2,303,709 |
|
Freeport-McMoRan Copper & Gold, Inc., |
|
USD |
4,920 |
|
|
4,725,257 |
|
Newcrest Finance Property Ltd., 4.45%, |
|
|
3,460 |
|
|
3,495,482 |
|
Novelis, Inc., 8.75%, 12/15/20 |
|
|
6,865 |
|
|
7,517,175 |
|
|
|
|
|
|
|
22,799,056 |
|
Multi-Utilities 0.2% |
|
|
|
|
|
|
|
Centrica Plc, 4.38%, 3/13/29 |
|
GBP |
1,220 |
|
|
1,908,396 |
|
Dominion Resources, Inc., 1.95%, 8/15/16 |
|
USD |
6,345 |
|
|
6,432,288 |
|
|
|
|
|
|
|
8,340,684 |
|
Multiline Retail 0.8% |
|
|
|
|
|
|
|
Dollar General Corp., 11.88%, 7/15/17 (b)(e) |
|
|
6,985 |
|
|
7,578,795 |
|
Macys Retail Holdings, Inc.: |
|
|
|
|
|
|
|
5.90%, 12/01/16 |
|
|
9,259 |
|
|
10,625,175 |
|
7.45%, 7/15/17 |
|
|
6,220 |
|
|
7,551,173 |
|
|
|
|
|
|
|
25,755,143 |
|
Oil, Gas & Consumable Fuels 6.7% |
|
|
|
|
|
|
|
Anadarko Petroleum Corp.: |
|
|
|
|
|
|
|
5.95%, 9/15/16 |
|
|
14,541 |
|
|
16,764,275 |
|
6.38%, 9/15/17 |
|
|
8,643 |
|
|
10,269,760 |
|
Boston Gas Co., 4.49%, 2/15/42 (a) |
|
|
2,575 |
|
|
2,585,024 |
|
BP Capital Markets Plc, 3.13%, 10/01/15 |
|
|
23,849 |
|
|
25,207,630 |
|
Chesapeake Oilfield Operating LLC, 6.63%, |
|
|
1,180 |
|
|
1,171,150 |
|
Consol Energy, Inc.: |
|
|
|
|
|
|
|
8.00%, 4/01/17 |
|
|
2,536 |
|
|
2,643,780 |
|
8.25%, 4/01/20 |
|
|
624 |
|
|
652,080 |
|
DCP Midstream Operating LP, 4.95%, 4/01/22 |
|
|
3,200 |
|
|
3,207,805 |
|
El Paso Corp.: |
|
|
|
|
|
|
|
7.00%, 6/15/17 |
|
|
2,000 |
|
|
2,227,088 |
|
7.75%, 1/15/32 |
|
|
2,000 |
|
|
2,277,486 |
|
El Paso Pipeline Partners Operating Co., LLC, |
|
|
6,445 |
|
|
7,202,281 |
|
Enterprise Products Operating LLC: |
|
|
|
|
|
|
|
6.13%, 10/15/39 |
|
|
4,600 |
|
|
5,180,304 |
|
Series L, 6.30%, 9/15/17 |
|
|
6,350 |
|
|
7,485,875 |
|
KeySpan Gas East Corp., 5.82%, 4/01/41 (a) |
|
|
2,780 |
|
|
3,323,126 |
|
Kinder Morgan Energy Partners LP: |
|
|
|
|
|
|
|
5.95%, 2/15/18 |
|
|
2,900 |
|
|
3,386,971 |
|
6.55%, 9/15/40 |
|
|
1,245 |
|
|
1,394,406 |
|
6.38%, 3/01/41 |
|
|
1,760 |
|
|
1,931,778 |
|
Kinder Morgan Finance Co., ULC, 5.70%, 1/05/16 |
|
|
5,205 |
|
|
5,491,275 |
|
Linn Energy LLC, 6.25%, 11/01/19 (a) |
|
|
6,000 |
|
|
5,820,000 |
|
Marathon Petroleum Corp., 6.50%, 3/01/41 |
|
|
8,300 |
|
|
8,965,992 |
|
MidAmerican Energy Holdings Co.: |
|
|
|
|
|
|
|
5.95%, 5/15/37 |
|
|
7,150 |
|
|
8,350,192 |
|
6.50%, 9/15/37 |
|
|
25 |
|
|
31,235 |
|
Nexen, Inc.: |
|
|
|
|
|
|
|
6.40%, 5/15/37 |
|
|
4,050 |
|
|
4,452,886 |
|
7.50%, 7/30/39 |
|
|
6,395 |
|
|
7,852,114 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
35 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
OGX Petroleo e Gas Participacoes SA (a): |
|
|
|
|
|
|
|
8.50%, 6/01/18 (d) |
|
USD |
3,655 |
|
$ |
3,797,545 |
|
8.38%, 4/01/22 |
|
|
2,555 |
|
|
2,580,550 |
|
Petrobras International Finance Co.: |
|
|
|
|
|
|
|
3.88%, 1/27/16 |
|
|
15,335 |
|
|
16,141,667 |
|
5.75%, 1/20/20 |
|
|
15,835 |
|
|
17,542,013 |
|
Phillips 66, 2.95%, 5/01/17 (a) |
|
|
6,600 |
|
|
6,708,253 |
|
Pioneer Natural Resources Co., 6.88%, 5/01/18 |
|
|
2,900 |
|
|
3,410,884 |
|
Plains Exploration & Production Co.: |
|
|
|
|
|
|
|
10.00%, 3/01/16 |
|
|
4,825 |
|
|
5,331,625 |
|
6.75%, 2/01/22 |
|
|
2,595 |
|
|
2,711,775 |
|
Range Resources Corp.: |
|
|
|
|
|
|
|
7.25%, 5/01/18 |
|
|
7,335 |
|
|
7,738,425 |
|
5.75%, 6/01/21 |
|
|
2,235 |
|
|
2,346,750 |
|
Rockies Express Pipeline LLC, 3.90%, |
|
|
7,772 |
|
|
7,150,240 |
|
Valero Energy Corp., 6.63%, 6/15/37 |
|
|
2,000 |
|
|
2,176,808 |
|
Western Gas Partners LP, 5.38%, 6/01/21 |
|
|
7,870 |
|
|
8,436,640 |
|
Woodside Finance, Ltd., 4.60%, 5/10/21 (a) |
|
|
2,270 |
|
|
2,361,002 |
|
|
|
|
|
|
|
226,308,690 |
|
Paper & Forest Products 0.3% |
|
|
|
|
|
|
|
International Paper Co.: |
|
|
|
|
|
|
|
7.50%, 8/15/21 |
|
|
600 |
|
|
756,305 |
|
4.75%, 2/15/22 |
|
|
4,105 |
|
|
4,325,902 |
|
6.00%, 11/15/41 |
|
|
4,420 |
|
|
4,797,782 |
|
|
|
|
|
|
|
9,879,989 |
|
Pharmaceuticals 0.4% |
|
|
|
|
|
|
|
Teva Pharmaceutical Finance Co. BV, Series 2, |
|
|
2,120 |
|
|
2,146,032 |
|
Teva Pharmaceutical Finance II BV, 3.00%, |
|
|
4,610 |
|
|
4,852,223 |
|
Teva Pharmaceutical Finance IV BV: |
|
|
|
|
|
|
|
2.88%, 4/15/19 |
|
EUR |
2,314 |
|
|
3,100,532 |
|
3.65%, 11/10/21 |
|
USD |
5,000 |
|
|
5,061,395 |
|
|
|
|
|
|
|
15,160,182 |
|
Real Estate Investment Trusts (REITs) 0.7% |
|
|
|
|
|
|
|
ERP Operating LP, 4.63%, 12/15/21 |
|
|
5,085 |
|
|
5,354,185 |
|
Mercialys SA, 4.13%, 3/26/19 |
|
EUR |
1,600 |
|
|
2,137,816 |
|
Ventas Realty LP/Ventas Capital Corp., 4.75%, |
|
USD |
3,040 |
|
|
3,067,254 |
|
Vornado Realty LP, 5.00%, 1/15/22 |
|
|
12,075 |
|
|
12,337,631 |
|
|
|
|
|
|
|
22,896,886 |
|
Real
Estate Management & |
|
|
|
|
|
|
|
China Resources Land, Ltd., 4.63%, 5/19/16 |
|
|
3,000 |
|
|
3,007,629 |
|
Franshion Development, Ltd., 6.75%, |
|
|
2,500 |
|
|
2,181,250 |
|
IVG Immobilien AG, 8.00% (b)(f) |
|
EUR |
600 |
|
|
552,152 |
|
Realogy Corp., 7.88%, 2/15/19 (a)(d) |
|
USD |
4,865 |
|
|
4,865,000 |
|
The Unique Pub Finance Co. Plc, Series A4, |
|
GBP |
4,712 |
|
|
5,633,794 |
|
WEA Finance LLC, 4.63%, 5/10/21 (a) |
|
USD |
3,410 |
|
|
3,449,532 |
|
|
|
|
|
|
|
19,689,357 |
|
Road & Rail 0.3% |
|
|
|
|
|
|
|
Burlington Northern Santa Fe LLC, 5.75%, |
|
|
8,660 |
|
|
9,887,391 |
|
Software 0.2% |
|
|
|
|
|
|
|
BMC Software, Inc., 4.25%, 2/15/22 |
|
|
1,360 |
|
|
1,363,418 |
|
Oracle Corp., 5.38%, 7/15/40 |
|
|
4,500 |
|
|
5,203,210 |
|
|
|
|
|
|
|
6,566,628 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Specialty Retail 0.2% |
|
|
|
|
|
|
|
House of Fraser Funding Plc, 8.88%, 8/15/18 |
|
GBP |
944 |
|
$ |
1,389,135 |
|
QVC, Inc., 7.50%, 10/01/19 (a) |
|
USD |
4,225 |
|
|
4,636,937 |
|
|
|
|
|
|
|
6,026,072 |
|
Thrifts & Mortgage Finance 0.3% |
|
|
|
|
|
|
|
Nationwide Building Society, 6.75%, 7/22/20 |
|
EUR |
545 |
|
|
679,118 |
|
Northern Rock Plc, 5.63%, 6/22/17 (a) |
|
USD |
4,145 |
|
|
4,438,702 |
|
Radian Group, Inc., 5.38%, 6/15/15 |
|
|
8,350 |
|
|
6,346,000 |
|
|
|
|
|
|
|
11,463,820 |
|
Tobacco 0.1% |
|
|
|
|
|
|
|
BAT International Finance Plc, 3.63%, |
|
EUR |
2,045 |
|
|
2,827,670 |
|
Wireless Telecommunication Services 1.6% |
|
|
|
|
|
|
|
America Movil SAB de CV, 2.38%, 9/08/16 |
|
USD |
8,025 |
|
|
8,123,908 |
|
Cricket Communications, Inc., 7.75%, 5/15/16 |
|
|
3,869 |
|
|
4,081,795 |
|
Crown Castle Towers LLC, 6.11%, 1/15/20 (a) |
|
|
16,500 |
|
|
18,338,562 |
|
Matterhorn Mobile Holdings SA, 8.25%, |
|
EUR |
663 |
|
|
919,613 |
|
Matterhorn Mobile SA, 6.75%, 5/15/19 |
|
CHF |
1,850 |
|
|
2,110,890 |
|
MetroPCS Wireless, Inc., 7.88%, 9/01/18 |
|
USD |
282 |
|
|
296,805 |
|
SBA Tower Trust, 5.10%, 4/15/17 (a) |
|
|
3,700 |
|
|
3,993,184 |
|
Sprint Capital Corp., 6.88%, 11/15/28 |
|
|
2,003 |
|
|
1,532,295 |
|
Sprint Nextel Corp., 9.00%, 11/15/18 (a) |
|
|
12,660 |
|
|
13,894,350 |
|
|
|
|
|
|
|
53,291,402 |
|
Total Corporate Bonds 40.7% |
|
|
|
|
|
1,368,629,521 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
|
|
|
|
|
|
Capital Markets 0.1% |
|
|
|
|
|
|
|
Nuveen Investments, Inc. (First Lien), Term Loan, |
|
|
3,000 |
|
|
2,994,390 |
|
Chemicals 0.1% |
|
|
|
|
|
|
|
Styron Sarl LLC, Term Loan B, 6.00%, 8/02/17 |
|
|
3,576 |
|
|
3,261,801 |
|
Consumer Finance 0.1% |
|
|
|
|
|
|
|
Springleaf Finance Corp. (FKA AGFS Funding Co.), |
|
|
4,000 |
|
|
3,673,320 |
|
Diversified Financial Services 0.1% |
|
|
|
|
|
|
|
Reynolds Group Holdings, Inc., Tranche C |
|
|
2,461 |
|
|
2,490,586 |
|
Diversified Telecommunication Services 0.3% |
|
|
|
|
|
|
|
Level 3 Financing, Inc., Term Loan B2, 5.75%, |
|
|
8,000 |
|
|
8,071,680 |
|
Energy Equipment & Services 0.3% |
|
|
|
|
|
|
|
Dynegy Midwest Generation LLC, Coal Co. |
|
|
2,707 |
|
|
2,762,341 |
|
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, |
|
|
4,954 |
|
|
5,168,518 |
|
|
|
|
|
|
|
7,930,859 |
|
Food Products 0.1% |
|
|
|
|
|
|
|
Advance Pierre Foods, Term Loan (Second Lien), |
|
|
1,980 |
|
|
1,977,970 |
|
Del Monte Corp., Term Loan, 4.50%, 3/08/18 |
|
|
2,481 |
|
|
2,443,684 |
|
|
|
|
|
|
|
4,421,654 |
|
Health Care Providers & Services 0.2% |
|
|
|
|
|
|
|
inVentiv Health, Inc., Combined Term Loan B, |
|
|
5,935 |
|
|
5,618,534 |
|
Hotels, Restaurants & Leisure 0.3% |
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc., |
|
|
10,000 |
|
|
9,514,100 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
36 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
|
Value |
|
|
Industrial Conglomerates 0.0% |
|
|
|
|
|
|
|
Sequa Corp., Incremental Term Loan, 6.25%, |
|
USD |
673 |
|
$ |
674,787 |
|
IT Services 0.2% |
|
|
|
|
|
|
|
First Data Corp.: |
|
|
|
|
|
|
|
Extended Term Loan B, 4.24%, 3/23/18 |
|
|
6,090 |
|
|
5,544,846 |
|
Initial Tranche B-2 Term Loan, 2.99%, |
|
|
542 |
|
|
521,355 |
|
|
|
|
|
|
|
6,066,201 |
|
Machinery 0.0% |
|
|
|
|
|
|
|
Terex Corp., Term Loan B, 5.50%, 4/28/17 |
|
|
995 |
|
|
1,001,527 |
|
Media 0.4% |
|
|
|
|
|
|
|
Intelsat Jackson Holdings SA (FKA Intelsat |
|
|
|
|
|
|
|
Jackson
Holdings Ltd.), Tranche B Term Loan, |
|
|
12,580 |
|
|
12,662,462 |
|
UPC Financing Partnership, New Term Loan, |
|
|
1,152 |
|
|
1,153,692 |
|
|
|
|
|
|
|
13,816,154 |
|
Oil, Gas & Consumable Fuels 0.5% |
|
|
|
|
|
|
|
Obsidian Natural Gas Trust, Term Loan, 7.00%, |
|
|
17,336 |
|
|
17,422,911 |
|
Pharmaceuticals 0.0% |
|
|
|
|
|
|
|
Pharmaceutical Product Development, Inc., |
|
|
998 |
|
|
1,008,881 |
|
Professional Services 0.0% |
|
|
|
|
|
|
|
Emdeon, Inc., Term Loan B, 6.75%, 11/02/18 |
|
|
998 |
|
|
1,010,388 |
|
Real Estate Investment Trusts (REITs) 0.0% |
|
|
|
|
|
|
|
iStar Financial, Inc., Term Loan (Second Lien), |
|
|
1,162 |
|
|
1,160,080 |
|
Real
Estate Management & |
|
|
|
|
|
|
|
Realogy Corp.: |
|
|
|
|
|
|
|
Extended Synthetic Letter of Credit, 4.53%, |
|
|
215 |
|
|
200,376 |
|
Extended Term Loan B, 4.77%, 10/10/16 |
|
|
2,742 |
|
|
2,554,348 |
|
|
|
|
|
|
|
2,754,724 |
|
Wireless Telecommunication Services 0.2% |
|
|
|
|
|
|
|
Vodafone Americas Finance 2, Inc., Term Loan B, |
|
|
7,219 |
|
|
7,236,797 |
|
Total Floating Rate Loan Interests 3.0% |
|
|
|
|
|
100,129,374 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
|
|
|
|
|
|
Brazilian Government International Bond, |
|
|
1,725 |
|
|
2,367,562 |
|
Bundesschatzanweisungen, 1.00%, 12/14/12 |
|
EUR |
1,900 |
|
|
2,549,740 |
|
Italy Buoni Poliennali Del Tesoro, 5.00%, |
|
|
16,700 |
|
|
22,058,966 |
|
Mexico Government International Bond: |
|
|
|
|
|
|
|
5.63%, 1/15/17 |
|
USD |
3,840 |
|
|
4,440,960 |
|
5.13%, 1/15/20 |
|
|
8,275 |
|
|
9,495,562 |
|
Peruvian Government International Bond, |
|
|
1,000 |
|
|
1,274,000 |
|
Poland Government International Bond: |
|
|
|
|
|
|
|
6.38%, 7/15/19 |
|
|
1,280 |
|
|
1,488,000 |
|
5.13%, 4/21/21 |
|
|
4,130 |
|
|
4,410,840 |
|
Russia Government International Bond, 4.50%, |
|
|
1,800 |
|
|
1,794,600 |
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
Par |
|
|
Value |
|
|
Russian Foreign Bond Eurobond, 7.50%, |
|
USD |
14,425 |
|
$ |
17,255,458 |
|
South Africa Government International Bond, |
|
|
3,165 |
|
|
3,528,975 |
|
Turkey Government International Bond: |
|
|
|
|
|
|
|
7.00%, 3/11/19 |
|
|
2,670 |
|
|
3,050,475 |
|
5.63%, 3/30/21 |
|
|
3,870 |
|
|
4,038,345 |
|
6.25%, 9/26/22 |
|
|
2,760 |
|
|
2,967,000 |
|
Total Foreign Agency Obligations 2.4% |
|
|
|
|
|
80,720,483 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Investment Companies |
|
Shares |
|
|
|
|
|
Diversified Financial Services 0.4% |
|
|
|
|
|
|
|
iShares JPMorgan USD
Emerging Markets |
|
|
114,500 |
|
|
12,905,295 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
Par |
|
|
|
|
|
Collateralized Mortgage Obligations 4.2% |
|
|
|
|
|
|
|
BlackRock Capital Finance LP, Series 1997-R2, |
|
USD |
9 |
|
|
9,098 |
|
Citigroup Mortgage Loan Trust, Inc., Series |
|
|
289 |
|
|
277,701 |
|
Collateralized Mortgage Obligation Trust, |
|
|
11 |
|
|
12,277 |
|
Countrywide Alternative Loan Trust: |
|
|
|
|
|
|
|
Series 2005-21B, Class A17, 6.00%, |
|
|
15,742 |
|
|
14,668,412 |
|
Series 2006-01A0, Class 1A1, 1.05%, |
|
|
2,546 |
|
|
1,361,022 |
|
Series 2006-0A21, Class A1, 0.43%, |
|
|
24,334 |
|
|
13,039,284 |
|
Series 2006-43CB, Class 1A10, 6.00%, |
|
|
6,925 |
|
|
4,712,837 |
|
Series 2006-J4, Class 2A8, 6.00%, |
|
|
13,030 |
|
|
8,425,645 |
|
Countrywide Home Loan Mortgage |
|
|
|
|
|
|
|
Series 2004-29, Class1A1, 0.78%, 2/25/35 |
|
|
913 |
|
|
756,052 |
|
Series 2006-0A5, Class 2A1, 0.44%, |
|
|
4,086 |
|
|
2,305,857 |
|
Series 2006-0A5, Class 3A1, 0.44%, |
|
|
6,237 |
|
|
3,973,117 |
|
Credit Suisse Mortgage Capital Certificates (a)(b): |
|
|
|
|
|
|
|
Series 2010-20R, Class 9A1, 2.98%, |
|
|
8,383 |
|
|
8,173,158 |
|
Series 2011-2R, Class 1A1, 2.83%, 3/27/37 |
|
|
5,954 |
|
|
5,604,473 |
|
Series 2011-2R, Class 2A1, 2.69%, 7/27/36 |
|
|
15,609 |
|
|
14,973,605 |
|
Series 2011-5R, Class 3A1, 5.22%, 9/27/47 |
|
|
7,072 |
|
|
6,762,237 |
|
Deutsche ALT-A Securities, Inc. Alternate |
|
|
|
|
|
|
|
Series 2005-2, Class 1A1, 0.64%, 4/25/35 |
|
|
1,338 |
|
|
988,017 |
|
Series 2006-0A1, Class A1, 0.44%, 2/25/47 |
|
|
7,749 |
|
|
4,618,701 |
|
First Horizon Asset Securities, Inc., Series |
|
|
2,191 |
|
|
1,882,594 |
|
Fosse Master Issuer Plc, Series 2010-3, |
|
GBP |
1,900 |
|
|
3,054,098 |
|
Gemgarto, 2.95%, 5/14/45 (b)(c) |
|
|
1,890 |
|
|
3,023,057 |
|
GSR Mortgage Loan Trust, Series 2005-AR2, |
|
USD |
6,330 |
|
|
5,489,558 |
|
Harborview Mortgage Loan Trust, Series 2006-11, |
|
|
766 |
|
|
413,912 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|||
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
37 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
Par |
|
Value |
|
||
Collateralized
Mortgage Obligations |
|
|
|
|
|
|
|
Homebanc Mortgage Trust (b): |
|
|
|
|
|
|
|
Series 2005-4, Class A1, 0.51%, 10/25/35 |
|
USD |
24,488 |
|
$ |
17,188,052 |
|
Series 2006-2, Class A1, 0.42%, 12/25/36 |
|
|
7,176 |
|
|
4,715,583 |
|
Impac Secured Assets CMN Owner Trust, Series |
|
|
1,054 |
|
|
999,099 |
|
JPMorgan Mortgage Trust: |
|
|
|
|
|
|
|
Series 2006-S2, Class 2A2, 5.88%, 6/25/21 |
|
|
4,531 |
|
|
4,421,545 |
|
Series 2007-S1, Class 1A2, 5.50%, 3/25/22 |
|
|
1,347 |
|
|
1,245,815 |
|
Permanent Master Issuer Plc, Series 2010-1X, |
|
GBP |
3,000 |
|
|
4,770,153 |
|
WaMu Mortgage Pass-Through Certificates, |
|
|
|
|
|
|
|
Series
2007-0A4, Class 1A, 0.93%, |
|
USD |
4,135 |
|
|
2,753,637 |
|
|
|
|
|
|
|
140,618,596 |
|
Commercial
Mortgage-Backed |
|
|
|
|
|
|
|
Banc of America Large Loan, Inc., Series |
|
|
9,398 |
|
|
8,787,535 |
|
Banc of America Merrill Lynch Commercial |
|
|
|
|
|
|
|
Series 2005-3, Class A3A, 4.62%, 7/10/43 |
|
|
850 |
|
|
861,710 |
|
Series 2006-5, Class AM, 5.45%, 9/10/47 |
|
|
1,110 |
|
|
1,075,111 |
|
Series 2007-3, Class A4, 5.84%, 6/10/49 (b) |
|
|
2,730 |
|
|
3,031,640 |
|
Bear Stearns Commercial Mortgage Securities: |
|
|
|
|
|
|
|
Series 2002-TOP6, Class A2, 6.46%, |
|
|
26 |
|
|
26,370 |
|
Series 2005-PW10, Class AM, 5.45%, |
|
|
1,350 |
|
|
1,403,513 |
|
Series 2006-PW11, Class A4, 5.62%, |
|
|
175 |
|
|
196,038 |
|
Citigroup/Deutsche Bank Commercial Mortgage |
|
|
3,853 |
|
|
3,886,276 |
|
Credit Suisse Mortgage Capital Certificates, |
|
|
4,730 |
|
|
5,250,806 |
|
CS First Boston Mortgage Securities Corp.: |
|
|
|
|
|
|
|
Series 2002-CKN2, Class A3, 6.13%, |
|
|
21 |
|
|
21,085 |
|
Series 2003-C3, Class A5, 3.94%, 5/15/38 |
|
|
3,466 |
|
|
3,535,613 |
|
Series 2003-CPN1, Class A2, 4.60%, |
|
|
896 |
|
|
911,720 |
|
DBRR Trust, Series 2011-C32, Class A3A, 5.93%, |
|
|
3,800 |
|
|
4,228,750 |
|
Extended Stay America Trust, Series |
|
|
|
|
|
|
|
Class C, 4.86%, 11/05/27 |
|
|
1,935 |
|
|
1,959,253 |
|
Class D, 5.50%, 11/05/27 |
|
|
2,510 |
|
|
2,536,925 |
|
GE Capital Commercial Mortgage Corp., Series |
|
|
28,389 |
|
|
28,371,146 |
|
GMAC Commercial Mortgage Securities, Inc. (b): |
|
|
|
|
|
|
|
Series 2000-C2, Class A2, 5.64%, 5/10/40 |
|
|
2,775 |
|
|
2,919,644 |
|
Series 2006-C1, Class AM, 5.29%, 11/10/45 |
|
|
1,980 |
|
|
2,021,212 |
|
Greenwich Capital Commercial Funding Corp.: |
|
|
|
|
|
|
|
Series 2005-GG3, Class A3, 4.57%, 8/10/42 |
|
|
2,445 |
|
|
2,512,597 |
|
Series 2006-GG7, Class AJ, 6.08%, |
|
|
3,370 |
|
|
2,870,202 |
|
GS Mortgage Securities Corp. II: |
|
|
|
|
|
|
|
Series 2004-GG2, Class A4, 4.96%, 8/10/38 |
|
|
1,236 |
|
|
1,252,260 |
|
Series 2005-GG4, Class A4, 4.76%, 7/10/39 |
|
|
13,351 |
|
|
14,235,530 |
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
Par |
|
Value |
|
||
Commercial
Mortgage-Backed |
|
|
|
|
|
|
|
JPMorgan Chase Commercial Mortgage |
|
|
|
|
|
|
|
Series 2006-CB14, Class AM, 5.63%, |
|
USD |
3,735 |
|
$ |
3,846,030 |
|
Series 2007-CB19, Class AM, 5.93%, |
|
|
2,000 |
|
|
1,971,598 |
|
Series 2007-LD1, Class A2, 5.99%, 6/15/49 |
|
|
28,913 |
|
|
29,069,984 |
|
Series 2008-C2, Class ASB, 6.13%, 2/12/51 |
|
|
2,595 |
|
|
2,799,598 |
|
LB-UBS Commercial Mortgage Trust: |
|
|
|
|
|
|
|
Series 2003-C7, Class A3, 4.56%, |
|
|
194 |
|
|
195,454 |
|
Series 2006-C4, Class AM, 6.09%, |
|
|
1,402 |
|
|
1,487,498 |
|
Series 2006-C7, Class AM, 5.38%, |
|
|
1,410 |
|
|
1,413,942 |
|
Series 2007-C6, Class A4, 5.86%, |
|
|
5,255 |
|
|
5,943,268 |
|
Merrill Lynch Mortgage Trust, Series 2004-KEY2, |
|
|
7,190 |
|
|
7,716,215 |
|
Merrill Lynch/Countrywide Commercial |
|
|
|
|
|
|
|
Series 2006-2, Class A2, 5.88%, |
|
|
5,771 |
|
|
5,928,725 |
|
Series 2007-9, Class ASB, 5.64%, 9/12/49 |
|
|
25,000 |
|
|
26,636,750 |
|
Morgan Stanley, Series 2007-XLC1, Class A2, |
|
|
5,575 |
|
|
5,240,678 |
|
Morgan Stanley Capital I: |
|
|
|
|
|
|
|
Series 1998-WF2, Class G, 6.34%, |
|
|
5,026 |
|
|
5,291,247 |
|
Series 2004-HQ4, Class A7, 4.97%, |
|
|
8,900 |
|
|
9,461,483 |
|
Series 2007-HQ11, Class A2, 5.36%, |
|
|
9,147 |
|
|
9,154,581 |
|
Series 2007-HQ12, Class A2FX, 5.78%, |
|
|
1,006 |
|
|
1,061,948 |
|
Series 2007-HQ13, Class A1, 5.36%, |
|
|
47 |
|
|
47,216 |
|
Series 2012-C4, Class C, 5.71%, |
|
|
6,100 |
|
|
6,056,092 |
|
Series 2012-C4, Class D, 5.71%, |
|
|
6,500 |
|
|
5,525,000 |
|
Series 2012-C4, Class XA, 2.90%, |
|
|
42,269 |
|
|
6,553,386 |
|
Series 2012-XA, Class A, 2.00%, |
|
|
7,315 |
|
|
7,315,000 |
|
Morgan Stanley Reremic Trust, Series |
|
|
5,375 |
|
|
6,062,871 |
|
RBSCF Trust, Series 2010-RR3, Class WBTA, |
|
|
15,388 |
|
|
17,164,806 |
|
Titan Europe Plc, Series 2006-4FSX, Class A1, |
|
GBP |
1,706 |
|
|
2,701,560 |
|
Wachovia Bank Commercial Mortgage Trust: |
|
|
|
|
|
|
|
Series 2006-C28, Class A2, 5.50%, |
|
USD |
4,651 |
|
|
4,670,221 |
|
Series 2007-C33, Class A4, 6.10%, |
|
|
9,310 |
|
|
10,315,294 |
|
WaMu Commercial Mortgage Securities Trust, |
|
|
3,263 |
|
|
54,686 |
|
Wells Fargo-RBS Commercial Mortgage Trust, |
|
|
7,000 |
|
|
5,793,200 |
|
|
|
|
|
|
|
281,373,267 |
|
|
|
|
See Notes to Financial Statements. |
|
|
|
|
|
38 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
Par |
|
Value |
|
||
Interest
Only Commercial Mortgage-Backed |
|
|
|
|
|
|
|
Morgan Stanley Reremic Trust (a): |
|
|
|
|
|
|
|
Series 2009-IO, Class B, 10.57%, |
|
USD |
6,500 |
|
$ |
5,703,750 |
|
Series 2011-IO, Class A, 2.50%, 3/23/51 |
|
|
3,632 |
|
|
3,650,190 |
|
|
|
|
|
|
|
9,353,940 |
|
Total
Non-Agency Mortgage-Backed |
|
|
|
|
|
431,345,803 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
Capital Trusts |
|
|
|
|
|
|
|
Capital Markets 0.0% |
|
|
|
|
|
|
|
State Street Capital Trust IV, 1.47%, 6/01/67 (b) |
|
|
770 |
|
|
565,943 |
|
Commercial Banks 0.3% |
|
|
|
|
|
|
|
Barclays Bank Plc, 5.93% (a)(b)(f) |
|
|
1,715 |
|
|
1,586,375 |
|
Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b) |
|
|
5,410 |
|
|
5,382,950 |
|
JPMorgan Chase Capital XXV, Series Y, 6.80%, |
|
|
2,060 |
|
|
2,071,536 |
|
|
|
|
|
|
|
9,040,861 |
|
Consumer Finance 0.2% |
|
|
|
|
|
|
|
Capital One Capital VI, 8.88%, 5/15/40 |
|
|
6,845 |
|
|
6,890,999 |
|
Insurance 0.6% |
|
|
|
|
|
|
|
Lincoln National Corp., 6.05%, 4/20/67 (b) |
|
|
3,110 |
|
|
2,900,075 |
|
MetLife Capital Trust IV, 7.88%, 12/15/37 (a) |
|
|
6,045 |
|
|
6,619,275 |
|
Swiss Re Capital I LP, 6.85% (a)(b)(f) |
|
|
6,125 |
|
|
5,781,822 |
|
XL Group Plc, Series E, 6.50% (b)(f) |
|
|
5,290 |
|
|
4,456,825 |
|
|
|
|
|
|
|
19,757,997 |
|
Total Capital Trusts 1.1% |
|
|
|
|
|
36,255,800 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Preferred Stocks |
|
Shares |
|
|
|
|
|
Thrifts & Mortgage Finance 0.0% |
|
|
|
|
|
|
|
Fannie Mae, 8.25%, Series S I |
|
|
110,000 |
|
|
151,800 |
|
Freddie Mac, 8.38%, Series Z I |
|
|
120,000 |
|
|
166,800 |
|
Total Preferred Stocks 0.0% |
|
|
|
|
|
318,600 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Trust Preferreds |
|
|
|
|
|
|
|
Commercial Banks 0.1% |
|
|
|
|
|
|
|
Citigroup Capital XIII, 7.88%, 10/30/40 (b)(j) |
|
|
149,440 |
|
|
4,014,916 |
|
Consumer Finance 0.1% |
|
|
|
|
|
|
|
Capital One Financial Corp. Capital V, 10.25%, |
|
|
86,000 |
|
|
2,209,125 |
|
Total Trust Preferreds 0.2% |
|
|
|
|
|
6,224,041 |
|
Total Preferred Securities 1.3% |
|
|
|
|
|
42,798,441 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Taxable Municipal Bonds |
|
Par |
|
|
|
||
New York City Municipal Water Finance Authority, |
|
|
|
|
|
|
|
5.38%, 6/15/43 |
|
USD |
4,410 |
|
|
4,944,933 |
|
5.50%, 6/15/43 |
|
|
5,285 |
|
|
6,000,008 |
|
Total Taxable Municipal Bonds 0.3% |
|
|
|
|
|
10,944,941 |
|
|
|
|
|
|
|
|
|
US Government Sponsored Agency Securities |
|
Par |
|
Value |
|
||
Agency Obligations 1.3% |
|
|
|
|
|
|
|
Fannie Mae: |
|
|
|
|
|
|
|
1.75%, 5/07/13 (d) |
|
USD |
3,450 |
|
$ |
3,504,344 |
|
4.49%, 10/09/19 (i)(k) |
|
|
13,295 |
|
|
10,281,303 |
|
6.63%, 11/15/30 (k) |
|
|
1,450 |
|
|
2,057,333 |
|
Freddie Mac: |
|
|
|
|
|
|
|
2.13%, 9/21/12 (k) |
|
|
4,500 |
|
|
4,541,530 |
|
2.50%, 4/23/14 (d) |
|
|
6,100 |
|
|
6,362,904 |
|
4.38%, 7/17/15 (d) |
|
|
7,950 |
|
|
8,892,743 |
|
4.88%, 6/13/18 (k) |
|
|
4,300 |
|
|
5,128,984 |
|
3.75%, 3/27/19 (l) |
|
|
3,650 |
|
|
4,095,592 |
|
|
|
|
|
|
|
44,864,733 |
|
Collateralized Mortgage Obligations 1.0% |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 2004-29, Class HC, 7.50%, 7/25/30 |
|
|
70 |
|
|
70,464 |
|
Series 2005-48, Class AR, 5.50%, 2/25/35 |
|
|
43 |
|
|
46,664 |
|
Series 2006-M2, Class A2A, 5.27%, |
|
|
4,600 |
|
|
4,996,971 |
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 2012-K706, Class C, 4.02%, |
|
|
1,520 |
|
|
1,363,513 |
|
Series 2825, Class VP, 5.50%, 6/15/15 |
|
|
820 |
|
|
872,847 |
|
Series K013, Class A2, 3.97%, 1/25/21 (b) |
|
|
4,060 |
|
|
4,421,787 |
|
Series K017, Class A2, 2.87%, 12/25/21 |
|
|
18,060 |
|
|
18,113,602 |
|
Ginnie Mae Mortgage-Backed Securities, Series |
|
|
4,350 |
|
|
4,610,674 |
|
|
|
|
|
|
|
34,496,522 |
|
Interest
Only Collateralized Mortgage |
|
|
|
|
|
|
|
Freddie Mac Mortgage-Backed Securities (b): |
|
|
|
|
|
|
|
Series K009, Class X1, IO, 1.68%, 8/25/20 |
|
|
44,383 |
|
|
3,897,648 |
|
Series K706, Class X1, 1.73%, 10/25/18 |
|
|
23,902 |
|
|
2,097,458 |
|
Ginnie Mae Mortgage-Backed Securities (b): |
|
|
|
|
|
|
|
Series 2010-146, Class LS, 6.46%, 4/20/39 |
|
|
9,098 |
|
|
1,420,923 |
|
Series 2010-147, Class SA, 5.93%, 5/20/40 |
|
|
27,525 |
|
|
4,889,557 |
|
Series 2010-20, Class SE, 6.01%, 2/20/40 |
|
|
8,733 |
|
|
1,526,687 |
|
Series 2010-24, Class BS, 6.19%, 12/20/38 |
|
|
8,278 |
|
|
1,269,574 |
|
Series 2010-26, Class QS, 6.01%, 2/20/40 |
|
|
74,517 |
|
|
14,482,098 |
|
Series 2010-98, Class YS, 6.36%, 12/20/39 |
|
|
31,035 |
|
|
5,411,720 |
|
Series 2011-80, Class KS, 6.43%, 6/20/41 |
|
|
19,330 |
|
|
3,346,497 |
|
|
|
|
|
|
|
38,342,162 |
|
Mortgage-Backed Securities 95.4% |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
3.00%, 4/15/27 5/15/27 (m) |
|
|
31,300 |
|
|
32,372,764 |
|
3.09%, 3/01/41 (b) |
|
|
4,160 |
|
|
4,345,322 |
|
3.15%, 3/01/41 (b) |
|
|
5,257 |
|
|
5,474,633 |
|
3.31%, 12/01/40 (b) |
|
|
8,466 |
|
|
8,895,701 |
|
3.50%, 7/01/26 4/15/42 (m) |
|
|
461,605 |
|
|
474,860,822 |
|
4.00%, 2/01/25 1/15/42 (m) |
|
|
347,587 |
|
|
366,337,664 |
|
4.50%, 4/15/26 6/15/42 (m) |
|
|
503,709 |
|
|
536,973,563 |
|
5.00%, 9/01/33 4/15/42 (m) |
|
|
125,690 |
|
|
135,916,188 |
|
5.03%, 8/01/38 (b) |
|
|
7,233 |
|
|
7,723,773 |
|
5.50%, 12/01/32 5/15/42 (m) |
|
|
273,080 |
|
|
297,961,721 |
|
5.58%, 10/01/38 (b) |
|
|
59 |
|
|
63,145 |
|
6.00%, 2/01/34 5/15/42 (k)(m) |
|
|
415,354 |
|
|
457,735,596 |
|
6.50%, 12/01/37 4/15/42 (m) |
|
|
45,467 |
|
|
51,049,891 |
|
2.27%, 10/01/36 (b) |
|
|
63 |
|
|
66,481 |
|
3.05%, 2/01/41 (b) |
|
|
6,476 |
|
|
6,762,517 |
|
3.32%, 2/01/37 (b) |
|
|
124 |
|
|
132,236 |
|
3.50%, 5/15/42 (m) |
|
|
12,400 |
|
|
12,740,516 |
|
4.00%, 4/15/42 5/15/42 (m) |
|
|
92,600 |
|
|
96,716,364 |
|
4.50%, 4/15/42 5/15/42 (m) |
|
|
139,600 |
|
|
147,921,468 |
|
5.00%, 4/15/42 5/15/42 (m) |
|
|
108,400 |
|
|
116,610,449 |
|
5.25%, 2/01/37 (b) |
|
|
69 |
|
|
73,522 |
|
5.50%, 4/15/42 5/15/42 (m) |
|
|
91,700 |
|
|
99,574,770 |
|
6.00%, 4/15/42 5/15/42 (m) |
|
|
76,600 |
|
|
84,355,750 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|||
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
39 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
US Government Sponsored Agency Securities |
|
Par |
|
Value |
|
||
Mortgage-Backed Securities (concluded) |
|
|
|
|
|
|
|
Ginnie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
1.75%, 5/20/34 (b) |
|
USD |
1,450 |
|
$ |
1,503,666 |
|
4.00%, 4/15/42 (m) |
|
|
34,000 |
|
|
36,481,563 |
|
4.50%, 4/15/42 (m) |
|
|
82,000 |
|
|
89,199,848 |
|
5.00%, 4/15/42 (m) |
|
|
57,900 |
|
|
63,834,563 |
|
5.50%, 4/15/42 (m) |
|
|
31,000 |
|
|
34,560,625 |
|
6.00%, 4/15/42 (m) |
|
|
28,300 |
|
|
31,893,531 |
|
|
|
|
|
|
|
3,202,138,652 |
|
Total US
Government Sponsored Agency |
|
|
|
|
|
3,319,842,069 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
US Treasury Obligations |
|
|
|
|
|
|
|
US Treasury Bonds, 3.13%, 2/15/42 (d) |
|
|
142,060 |
|
|
136,177,864 |
|
US Treasury Inflation Indexed Bonds: |
|
|
|
|
|
|
|
0.13%, 4/15/16 (d) |
|
|
85,494 |
|
|
90,302,749 |
|
2.13%, 2/15/41 |
|
|
15,761 |
|
|
20,783,684 |
|
0.75%, 2/15/42 |
|
|
17,866 |
|
|
17,029,512 |
|
US Treasury Notes: |
|
|
|
|
|
|
|
0.25%, 2/28/14 (d) |
|
|
9,690 |
|
|
9,675,620 |
|
0.25%, 2/15/15 (d) |
|
|
207,825 |
|
|
206,331,154 |
|
0.38%, 3/15/15 (d) |
|
|
31,655 |
|
|
31,533,824 |
|
0.88%, 2/28/17 (d) |
|
|
10,453 |
|
|
10,379,505 |
|
1.00%, 3/31/17 |
|
|
94,965 |
|
|
94,764,719 |
|
1.25%, 1/31/19 (d) |
|
|
157,675 |
|
|
154,373,601 |
|
2.00%, 2/15/22 (d) |
|
|
179,689 |
|
|
176,235,557 |
|
Total US Treasury Obligations 28.2% |
|
|
|
|
|
947,587,789 |
|
Total
Long-Term Investments |
|
|
|
|
|
6,570,169,533 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Short-Term Securities |
|
Shares |
|
|
|
|
|
Money Market Funds 0.1% |
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempFund, |
|
|
2,682,201 |
|
|
2,682,201 |
|
|
|
|
|
|
|
|
|
|
|
Par |
|
|
|
||
Borrowed Bond Agreements 7.5% |
|
|
|
|
|
|
|
Bank of America NA, 0.14%, Open |
|
EUR |
61,539 |
|
|
61,539,000 |
|
Barclays Bank Plc, NY: |
|
|
|
|
|
|
|
0.05%, Open |
|
|
2,006 |
|
|
2,674,868 |
|
0.05%, Open |
|
|
815 |
|
|
1,087,074 |
|
0.10%, Open |
|
|
4,162 |
|
|
5,550,410 |
|
0.10%, Open |
|
|
4,757 |
|
|
6,344,143 |
|
(0.10)%, Open |
|
USD |
10,350 |
|
|
10,350,000 |
|
0.15%, Open |
|
EUR |
9,251 |
|
|
12,337,517 |
|
0.15%, Open |
|
|
1,472 |
|
|
1,962,846 |
|
0.15%, Open |
|
|
1,931 |
|
|
2,575,082 |
|
0.30%, Open |
|
|
3,486 |
|
|
4,648,850 |
|
0.35%, Open |
|
|
1,469 |
|
|
1,958,858 |
|
0.38%, Open |
|
|
2,509 |
|
|
3,345,919 |
|
(0.63)%, Open |
|
|
2,794 |
|
|
3,725,959 |
|
(0.63)%, Open |
|
|
89 |
|
|
118,288 |
|
(0.75)%, Open |
|
|
342 |
|
|
456,545 |
|
1.25%, Open |
|
|
2,975 |
|
|
3,967,614 |
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
Par |
|
Value |
|
||
Borrowed Bond Agreements (concluded) |
|
|
|
|
|
|
|
BNP Paribas, 0.15%, Open |
|
USD |
1,014 |
|
$ |
1,013,750 |
|
Citigroup: |
|
|
|
|
|
|
|
(0.25)%, Open |
|
EUR |
3,965 |
|
|
5,287,869 |
|
0.00%, Open |
|
|
11,079 |
|
|
14,776,659 |
|
0.00%, Open |
|
|
16,438 |
|
|
21,922,721 |
|
Deutsche Bank AG: |
|
|
|
|
|
|
|
(0.19)%, Open |
|
USD |
183 |
|
|
183,150 |
|
(0.27)%, Open |
|
|
25,856 |
|
|
25,855,625 |
|
Credit Suisse, 0.15%, Open |
|
EUR |
1,558 |
|
|
2,077,404 |
|
UBS AG: |
|
|
|
|
|
|
|
(0.10)%, Open |
|
|
17,944 |
|
|
23,931,573 |
|
(0.25)%, Open |
|
|
25,122 |
|
|
33,505,703 |
|
|
|
|
|
|
|
251,197,427 |
|
Total
Short-Term Securities |
|
|
|
|
|
253,879,628 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
|
|
|
|
Exchange-Traded Put Options 0.0% |
|
|
|
|
|
|
|
Euro Stoxx 50 Index: |
|
|
|
|
|
|
|
Strike Price USD 2,475.00, Expires 4/20/12 |
|
|
55 |
|
|
35,429 |
|
Strike Price USD 2,600.00, Expires 4/20/12 |
|
|
95 |
|
|
171,554 |
|
Eurodollar 2-Year Mid-Curve Options, |
|
|
2,056 |
|
|
552,550 |
|
|
|
|
|
|
|
759,533 |
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
|
Over-the-Counter Call Options 0.1% |
|
|
|
|
|
|
|
USD Currency: |
|
|
|
|
|
|
|
Strike Price JPY 85.00, Expires 8/24/12, |
|
USD |
59,620 |
|
|
973,476 |
|
Strike Price JPY 85.00, Expires 8/24/12, |
|
|
59,620 |
|
|
973,475 |
|
|
|
|
|
|
|
1,946,951 |
|
Over-the-Counter
Interest Rate |
|
|
|
|
|
|
|
Receive a fixed rate of 2.65% and pay a |
|
|
32,200 |
|
|
43,757 |
|
Receive a fixed rate of 1.90% and pay a |
|
|
31,200 |
|
|
39,346 |
|
|
|
|
|
|
|
83,103 |
|
Over-the-Counter Put Options 0.0% |
|
|
|
|
|
|
|
AUD Currency, Strike Price USD 1.00, |
|
AUD |
79,370 |
|
|
1,196,398 |
|
EUR Currency, Strike Price USD 1.30, |
|
EUR |
100,710 |
|
|
94,156 |
|
|
|
|
|
|
|
1,290,554 |
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
|
|
|
|
S&P 500 Index Fund: |
|
|
|
|
|
|
|
Strike Price USD 1,345.79, Expires 4/20/12 |
|
|
3,900 |
|
|
15,717 |
|
Strike Price USD 1,200.00, Expires 12/21/12 |
|
|
48,193 |
|
|
427,177 |
|
|
|
|
|
|
|
442,894 |
|
|
|
|
See Notes to Financial Statements. |
|
|
|
|
|
40 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Purchased |
|
Notional |
|
Value |
|
||
Over-the-Counter Credit Default |
|
|
|
|
|
|
|
Pay a return based on the return of iTraxx |
|
EUR |
9,000 |
|
$ |
116,887 |
|
Over-the-Counter Interest Rate |
|
|
|
|
|
|
|
Pay a fixed rate of
2.75% and receive a |
|
USD |
36,500 |
|
|
69,525 |
|
Pay a fixed rate of 2.95% and receive a |
|
|
12,500 |
|
|
596,280 |
|
Pay a fixed rate of 2.70% and receive a |
|
|
31,000 |
|
|
290,780 |
|
Pay a fixed rate of 2.13% and receive a |
|
|
57,000 |
|
|
517,668 |
|
Pay a fixed rate of 4.50% and receive a |
|
|
20,100 |
|
|
864,791 |
|
|
|
|
|
|
|
2,339,044 |
|
Total
Options Purchased |
|
|
|
|
|
6,978,966 |
|
Total
Investments Before Borrowed Bonds, |
|
|
|
|
|
6,831,028,127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bonds |
|
Par |
|
|
|
|
|
Belgium Government Bond: |
|
|
|
|
|
|
|
3.25%, 9/28/16 |
|
EUR |
8,790 |
|
|
(12,233,180 |
) |
4.25%, 9/28/21 |
|
|
5,725 |
|
|
(8,155,632 |
) |
BNP Paribas SA, 5.43%, 9/07/17 |
|
|
2,890 |
|
|
(4,094,111 |
) |
France Government Bond OAT: |
|
|
|
|
|
|
|
3.75%, 4/25/17 |
|
|
14,660 |
|
|
(21,387,973 |
) |
3.25%, 10/25/21 |
|
|
34,890 |
|
|
(48,210,939 |
) |
Halliburton Co., 3.25%, 11/15/21 |
|
USD |
10,000 |
|
|
(10,270,330 |
) |
KBC IFIMA NV, 5.00%, 3/16/16 |
|
EUR |
3,650 |
|
|
(5,060,485 |
) |
Portugal Obrigacoes do Tesouro OT, 4.20%, |
|
|
1,700 |
|
|
(1,509,788 |
) |
Société Générale SA, 6.13%, 8/20/18 |
|
|
4,850 |
|
|
(6,652,160 |
) |
Société Générale SFH, 3.25%, 6/06/16 |
|
|
3,400 |
|
|
(4,663,370 |
) |
Spain Government Bond: |
|
|
|
|
|
|
|
4.00%, 7/30/15 |
|
|
1,800 |
|
|
(2,445,984 |
) |
3.15%, 1/31/16 |
|
|
4,000 |
|
|
(5,190,759 |
) |
4.60%, 7/30/19 |
|
|
4,800 |
|
|
(6,304,375 |
) |
5.85%, 1/31/22 |
|
|
16,500 |
|
|
(22,706,057 |
) |
UniCredit SpA, 3.95%, 2/01/16 |
|
|
450 |
|
|
(552,771 |
) |
US Treasury Bond, 3.13%, 11/15/41 |
|
USD |
1,000 |
|
|
(959,219 |
) |
US Treasury Inflation Indexed Bonds, 0.13%, |
|
|
25,262 |
|
|
(25,861,797 |
) |
US Treasury Notes: |
|
|
|
|
|
|
|
2.00%, 4/30/16 |
|
|
58,400 |
|
|
(61,178,555 |
) |
1.38%, 2/28/19 |
|
|
185 |
|
|
(182,370 |
) |
Total
Borrowed Bonds |
|
|
|
|
|
(247,619,855 |
) |
|
|
|
|
|
|
|
|
TBA Sale Commitments (m) |
|
|
Par |
|
|
Value |
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
3.00%, 4/15/27 |
|
USD |
10,400 |
|
$ |
(10,765,625 |
) |
3.50%, 4/15/27 4/15/42 |
|
|
407,140 |
|
|
(418,180,325 |
) |
4.00%, 4/15/27 5/15/42 |
|
|
341,105 |
|
|
(358,088,474 |
) |
4.50%, 4/15/27 5/15/42 |
|
|
347,000 |
|
|
(368,923,299 |
) |
5.00%, 4/15/42 5/15/42 |
|
|
69,100 |
|
|
(74,592,387 |
) |
5.50%, 4/15/42 5/15/42 |
|
|
314,600 |
|
|
(342,651,531 |
) |
6.00%, 4/15/42 5/15/42 |
|
|
288,300 |
|
|
(317,539,749 |
) |
6.50%, 4/15/42 5/15/42 |
|
|
11,200 |
|
|
(12,540,500 |
) |
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
4.00%, 4/15/42 |
|
|
46,300 |
|
|
(48,405,205 |
) |
4.50%, 4/15/42 |
|
|
69,800 |
|
|
(74,009,813 |
) |
5.00%, 4/15/42 |
|
|
54,200 |
|
|
(58,347,568 |
) |
5.50%, 5/15/42 |
|
|
54,900 |
|
|
(59,646,768 |
) |
6.00%, 4/15/42 5/15/42 |
|
|
44,800 |
|
|
(49,365,812 |
) |
Ginnie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
5.00%, 4/15/42 |
|
|
8,200 |
|
|
(9,030,250 |
) |
5.50%, 4/15/42 |
|
|
7,200 |
|
|
(8,046,000 |
) |
6.00%, 4/15/42 |
|
|
6,400 |
|
|
(7,222,000 |
) |
Total TBA
Sale Commitments |
|
|
|
|
|
(2,217,355,306 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
|
Notional |
|
|
|
|
Over-the-Counter Call Options (0.0)% |
|
|
|
|
|
|
|
USD Currency: |
|
|
|
|
|
|
|
Strike Price JPY 90.00, Expires 8/24/12, |
|
|
119,240 |
|
|
(596,439 |
) |
Strike Price JPY 90.00, Expires 8/24/12, |
|
|
59,620 |
|
|
(298,219 |
) |
|
|
|
|
|
|
(894,658 |
) |
Over-the-Counter
Interest Rate |
|
|
|
|
|
|
|
Pay a fixed rate of 4.03% and receive a |
|
|
54,000 |
|
|
(8,541,644 |
) |
Pay a fixed rate of 1.38% and receive a |
|
|
34,000 |
|
|
(227,123 |
) |
Pay a fixed rate of 1.51% and receive a |
|
|
34,000 |
|
|
(341,044 |
) |
Pay a fixed rate of 3.90% and receive a |
|
|
65,900 |
|
|
(5,182,277 |
) |
Pay a fixed rate of 3.65% and receive a |
|
|
8,900 |
|
|
(601,725 |
) |
|
|
|
|
|
|
(14,893,813 |
) |
Over-the-Counter Put Options (0.0)% |
|
|
|
|
|
|
|
EUR Currency, Strike Price USD 1.25, |
|
EUR |
100,710 |
|
|
(2,686 |
) |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
41 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Written |
|
Notional |
|
Value |
|
||
Over-the-Counter
Interest Rate |
|
|
|
|
|
|
|
Receive a fixed rate of 4.03% and pay a |
|
USD |
54,000 |
|
$ |
(5 |
) |
Receive a fixed rate of 1.72% and pay a |
|
|
60,100 |
|
|
(140,490 |
) |
Receive a fixed rate of 1.62% and pay a |
|
|
26,200 |
|
|
(90,796 |
) |
Receive a fixed rate of 1.70% and pay a |
|
|
35,200 |
|
|
(161,364 |
) |
Receive a fixed rate of 1.85% and pay a |
|
|
173,700 |
|
|
(586,550 |
) |
Receive a fixed rate of 2.90% and pay a |
|
|
56,900 |
|
|
(1,062,215 |
) |
Receive a fixed rate of 3.90% and pay a |
|
|
65,900 |
|
|
(540,578 |
) |
Receive a fixed rate of 6.00% and pay a |
|
|
40,200 |
|
|
(795,924 |
) |
Receive a fixed rate of 3.65% and pay a |
|
|
8,900 |
|
|
(607,225 |
) |
|
|
|
|
|
|
(3,985,147 |
) |
Total Options
Written |
|
|
|
|
|
(19,776,304 |
) |
Total
Investments, Net of Borrowed Bonds, TBA Sale |
|
|
|
|
|
4,346,276,662 |
|
Liabilities in Excess of Other Assets (29.4)% |
|
|
|
|
|
(988,622,379 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
3,357,654,283 |
|
|
|
* |
As of March 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
|
|
|
|
|
Tax cost |
|
$ |
6,769,685,983 |
|
Gross unrealized appreciation |
|
$ |
99,170,104 |
|
Gross unrealized depreciation |
|
|
(37,827,960 |
) |
Net unrealized appreciation |
|
$ |
61,342,144 |
|
|
|
(a) |
Security exempt from registration pursuant to Rule 144a under 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) |
When-issued security. Unsettled when-issued transactions were as follows: |
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
Unrealized |
|
||
Evolution Group Plc |
|
$ |
3,023,057 |
|
|
|
|
JPMorgan Securities, Ltd. |
|
$ |
4,987,500 |
|
$ |
(12,500 |
) |
Morgan Stanley Capital Services, Inc. |
|
$ |
7,315,000 |
|
$ |
(21,145 |
) |
|
|
(d) |
All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. |
|
|
(e) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
(f) |
Security is perpetual in nature and has no stated maturity date. |
|
|
(g) |
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
|
|
(h) |
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: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Par/Shares |
|
Par/Shares |
|
Par/Shares |
|
Par/Shares |
|
Value
at |
|
Realized |
|
Income |
|
|||||||
BlackRock Capital Finance LP, Series 1997-R2, Class AP, |
|
$ |
9,098 |
|
|
|
|
|
|
|
$ |
9,098 |
|
$ |
9,098 |
|
|
|
|
$ |
403 |
|
BlackRock Liquidity Funds, TempFund, Institutional Class |
|
|
208,292,969 |
|
|
|
|
|
(205,610,968 |
)1 |
|
2,682,001 |
|
$ |
2,682,201 |
|
$ |
456 |
|
$ |
21,048 |
|
iShares JPMorgan USD Emerging Markets Bond Fund |
|
|
114,500 |
|
|
|
|
|
|
|
|
114,500 |
|
$ |
12,905,295 |
|
|
|
|
$ |
300,549 |
|
|
|
|
|
1 |
Represents net shares sold. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
42 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
|
|
(i) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
(j) |
Convertible security. |
|
|
(k) |
All or a portion of security has been pledged as collateral in connection with swaps. |
|
|
(l) |
All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
|
|
(m) |
Represents or includes a TBA transaction. Unsettled TBA transactions as of March 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
Unrealized |
|
||
Bank of America NA |
|
$ |
(56,855,579 |
) |
$ |
(73,384 |
) |
Barclays Capital |
|
$ |
62,705,708 |
|
$ |
119,958 |
|
BNP Paribas |
|
$ |
48,020,656 |
|
$ |
(348,297 |
) |
Citigroup Global Markets, Inc. |
|
$ |
99,752,220 |
|
$ |
(68,483 |
) |
Credit Suisse Securities LLC |
|
$ |
260,860,336 |
|
$ |
459,399 |
|
Deutsche Bank Securities, Inc. |
|
$ |
(272,415,464 |
) |
$ |
(219,031 |
) |
Goldman Sachs & Co. |
|
$ |
138,955,350 |
|
$ |
(51,532 |
) |
JPMorgan Securities, Ltd. |
|
$ |
(22,536,673 |
) |
$ |
70,058 |
|
Morgan Stanley Capital Services, Inc. |
|
$ |
(53,954,919 |
) |
$ |
(554,243 |
) |
Nomura Securities International, Inc. |
|
$ |
(181,475,370 |
) |
$ |
(194,823 |
) |
RBS Securities, Inc. |
|
$ |
(4,335,152 |
) |
$ |
(4,098 |
) |
UBS Securities |
|
$ |
39,091,299 |
|
$ |
(181,861 |
) |
Wells Fargo Bank NA |
|
$ |
142,326,598 |
|
$ |
(11,402 |
) |
|
|
(n) |
Represents the current yield as of report date. |
|
|
|
Reverse repurchase agreements outstanding as of March 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Interest |
|
Trade |
|
Maturity |
|
Net
Closing |
|
Face |
|
|||
BNP Paribas |
|
|
(0.51 |
)% |
3/30/12 |
|
4/02/12 |
|
$ |
10,400,146 |
|
$ |
10,400,735 |
|
Bank of |
|
|
0.12 |
% |
3/30/12 |
|
4/02/12 |
|
|
27,125,362 |
|
|
27,125,000 |
|
Bank of |
|
|
0.11 |
% |
3/30/12 |
|
4/02/12 |
|
|
152,287,099 |
|
|
152,285,238 |
|
Bank of |
|
|
(0.28 |
)% |
3/30/12 |
|
4/02/12 |
|
|
9,677,586 |
|
|
9,677,887 |
|
Bank of |
|
|
0.03 |
% |
3/30/12 |
|
4/02/12 |
|
|
206,267,000 |
|
|
206,266,313 |
|
Bank of |
|
|
0.05 |
% |
3/30/12 |
|
4/02/12 |
|
|
155,113,643 |
|
|
155,112,781 |
|
Bank of |
|
|
0.02 |
% |
3/30/12 |
|
4/02/12 |
|
|
31,536,364 |
|
|
31,536,294 |
|
Credit Suisse |
|
|
(0.25 |
)% |
3/30/12 |
|
Open |
|
|
3,915,364 |
|
|
3,915,419 |
|
Deutsche |
|
|
0.21 |
% |
3/20/12 |
|
Open |
|
|
18,901,573 |
|
|
18,900,250 |
|
Morgan |
|
|
(0.05 |
)% |
3/30/12 |
|
4/02/12 |
|
|
177,081,466 |
|
|
177,082,450 |
|
UBS |
|
|
(0.50 |
)% |
1/17/12 |
|
Open |
|
|
3,846,636 |
|
|
3,850,647 |
|
UBS |
|
|
(0.25 |
)% |
2/01/12 |
|
Open |
|
|
1,103,215 |
|
|
1,103,675 |
|
Total |
|
|
|
|
|
|
|
|
$ |
797,255,454 |
|
$ |
797,256,689 |
|
|
|
|
Financial futures contracts purchased as of March 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
809 |
|
2-Year
US |
|
Chicago
Board |
|
June 2012 |
|
$ |
178,093,766 |
|
$ |
(46,909 |
) |
171 |
|
5-Year
US |
|
Chicago
Board |
|
June 2012 |
|
$ |
20,954,180 |
|
|
(22,231 |
) |
722 |
|
30-Year
US |
|
Chicago
Board |
|
June 2012 |
|
$ |
99,455,500 |
|
|
756,078 |
|
12 |
|
90-Day |
|
Chicago |
|
December |
|
$ |
2,984,400 |
|
|
1,167 |
|
9 |
|
90-Day |
|
Chicago |
|
September |
|
$ |
2,238,975 |
|
|
425 |
|
55 |
|
90-Day |
|
Chicago |
|
December |
|
$ |
13,642,750 |
|
|
12,436 |
|
88 |
|
90-Day |
|
Chicago |
|
September |
|
$ |
21,850,400 |
|
|
14,308 |
|
19 |
|
90-Day |
|
Chicago |
|
December |
|
$ |
4,686,588 |
|
|
5,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
720,834 |
|
|
|
|
Financial futures contracts sold as of March 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
1,426 |
|
10-Year
US |
|
Chicago
Board |
|
June 2012 |
|
USD |
184,644,719 |
|
$ |
29,995 |
|
477 |
|
Ultra |
|
Chicago
Board |
|
June 2012 |
|
USD |
72,012,094 |
|
|
1,419,465 |
|
37 |
|
90-Day |
|
Chicago |
|
June 2012 |
|
USD |
9,206,525 |
|
|
1,911 |
|
45 |
|
90-Day |
|
Chicago |
|
March 2013 |
|
USD |
11,188,125 |
|
|
(1,024 |
) |
3 |
|
90-Day |
|
Chicago |
|
June 2013 |
|
USD |
745,463 |
|
|
51 |
|
90 |
|
90-Day |
|
Chicago |
|
March 2014 |
|
USD |
22,302,000 |
|
|
19,803 |
|
31 |
|
90-Day |
|
Chicago |
|
June 2014 |
|
USD |
7,671,725 |
|
|
8,213 |
|
5 |
|
90-Day |
|
Chicago |
|
September |
|
USD |
1,235,563 |
|
|
486 |
|
750 |
|
90-Day |
|
Chicago |
|
March 2015 |
|
USD |
184,668,750 |
|
|
222,254 |
|
|
|
|
See Notes to Financial Statements. |
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
43 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
Financial futures contracts sold as of March 31, 2012 were as follows (concluded):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
773 |
|
90-Day |
|
Chicago |
|
June 2015 |
|
USD |
189,964,750 |
|
$ |
265,729 |
|
773 |
|
90-Day |
|
Chicago |
|
September |
|
USD |
189,607,238 |
|
|
292,867 |
|
773 |
|
90-Day |
|
Chicago |
|
December |
|
USD |
189,259,388 |
|
|
312,905 |
|
105 |
|
Euro BOBL |
|
Eurex |
|
June 2012 |
|
EUR |
17,380,174 |
|
|
(134,324 |
) |
117 |
|
Euro-Bund |
|
Eurex |
|
June 2012 |
|
EUR |
21,610,376 |
|
|
(171,619 |
) |
123 |
|
Long
Gilt |
|
London |
|
June 2012 |
|
GBP |
22,528,539 |
|
|
81,534 |
|
530 |
|
S&P
500 |
|
Chicago |
|
June 2012 |
|
USD |
37,186,125 |
|
|
(224,040 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
$ |
2,124,206 |
|
|
|
|
Foreign currency exchange contracts as of March 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
Currency Sold |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
|||
AUD |
13,971,065 |
|
USD |
14,640,000 |
|
BNP Paribas |
|
4/03/12 |
|
$ |
(168,076 |
) |
AUD |
14,000 |
|
USD |
14,474 |
|
UBS AG |
|
4/03/12 |
|
|
28 |
|
CAD |
27,861,391 |
|
USD |
27,935,000 |
|
Royal
Bank of |
|
4/03/12 |
|
|
(2,931 |
) |
USD |
14,640,000 |
|
AUD |
13,984,972 |
|
Citibank NA |
|
4/03/12 |
|
|
153,671 |
|
USD |
27,935,000 |
|
CAD |
27,860,972 |
|
BNP Paribas |
|
4/03/12 |
|
|
3,351 |
|
USD |
8,765,072 |
|
AUD |
8,247,500 |
|
Citibank NA |
|
4/10/12 |
|
|
228,674 |
|
USD |
17,519,669 |
|
AUD |
16,495,000 |
|
UBS AG |
|
4/10/12 |
|
|
446,873 |
|
USD |
1,141,099 |
|
AUD |
1,100,000 |
|
Royal
Bank of |
|
4/11/12 |
|
|
2,697 |
|
USD |
4,497,999 |
|
CAD |
4,593,500 |
|
Royal
Bank of |
|
4/11/12 |
|
|
(106,428 |
) |
USD |
2,029,846 |
|
CHF |
1,850,000 |
|
Citibank NA |
|
4/11/12 |
|
|
(19,743 |
) |
USD |
4,541,838 |
|
GBP |
2,910,000 |
|
Citibank NA |
|
4/11/12 |
|
|
(112,469 |
) |
USD |
7,783,676 |
|
GBP |
4,909,000 |
|
Deutsche |
|
4/11/12 |
|
|
(67,868 |
) |
USD |
6,173,989 |
|
GBP |
3,900,000 |
|
Deutsche |
|
4/11/12 |
|
|
(63,743 |
) |
USD |
2,342,141 |
|
GBP |
1,490,000 |
|
Royal
Bank of |
|
4/11/12 |
|
|
(41,115 |
) |
USD |
1,772,128 |
|
GBP |
1,120,000 |
|
Royal
Bank of |
|
4/11/12 |
|
|
(19,221 |
) |
USD |
32,351,531 |
|
GBP |
21,104,500 |
|
UBS AG |
|
4/11/12 |
|
|
(1,403,392 |
) |
USD |
8,379,210 |
|
GBP |
5,300,000 |
|
UBS AG |
|
4/11/12 |
|
|
(97,707 |
) |
AUD |
23,470,000 |
|
USD |
24,319,027 |
|
Citibank NA |
|
4/12/12 |
|
|
(32,407 |
) |
USD |
24,320,905 |
|
AUD |
23,470,000 |
|
Citibank NA |
|
4/12/12 |
|
|
34,285 |
|
USD |
8,737,721 |
|
AUD |
8,245,000 |
|
UBS AG |
|
4/12/12 |
|
|
205,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange contracts as of March 31, 2012 were as follows (concluded): |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
Currency Sold |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
|||
PHP |
236,322,400 |
|
USD |
5,360,000 |
|
Royal
Bank of |
|
4/17/12 |
|
$ |
138,512 |
|
PHP |
242,440,000 |
|
USD |
5,500,000 |
|
Standard |
|
4/17/12 |
|
|
140,851 |
|
SGD |
7,106,550 |
|
USD |
5,500,000 |
|
Royal
Bank of |
|
4/17/12 |
|
|
153,418 |
|
SGD |
6,930,480 |
|
USD |
5,360,000 |
|
Standard |
|
4/17/12 |
|
|
153,350 |
|
USD |
5,360,000 |
|
PHP |
228,925,600 |
|
Morgan |
|
4/17/12 |
|
|
33,589 |
|
USD |
5,500,000 |
|
PHP |
234,905,000 |
|
Morgan |
|
4/17/12 |
|
|
34,466 |
|
USD |
5,360,000 |
|
SGD |
6,765,017 |
|
Royal
Bank of |
|
4/17/12 |
|
|
(21,721 |
) |
USD |
5,500,000 |
|
SGD |
6,940,945 |
|
Standard |
|
4/17/12 |
|
|
(21,676 |
) |
EUR |
28,962,000 |
|
USD |
38,599,974 |
|
Citibank NA |
|
4/18/12 |
|
|
29,097 |
|
EUR |
7,830,000 |
|
USD |
10,371,101 |
|
Citibank NA |
|
4/18/12 |
|
|
72,433 |
|
EUR |
8,733,000 |
|
USD |
11,504,889 |
|
Citibank NA |
|
4/18/12 |
|
|
143,052 |
|
EUR |
10,820,000 |
|
USD |
14,445,512 |
|
Royal
Bank of |
|
4/18/12 |
|
|
( 13,962 |
) |
USD |
28,299,704 |
|
EUR |
21,520,000 |
|
Citibank NA |
|
4/18/12 |
|
|
(403,342 |
) |
USD |
22,591,810 |
|
EUR |
17,000,000 |
|
Citibank NA |
|
4/18/12 |
|
|
(82,529 |
) |
USD |
6,492,145 |
|
EUR |
5,000,000 |
|
Deutsche |
|
4/18/12 |
|
|
(176,778 |
) |
USD |
1,325,973 |
|
EUR |
1,000,000 |
|
Deutsche |
|
4/18/12 |
|
|
(7,812 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
USD |
140,605,956 |
|
EUR |
108,000,000 |
|
Royal
Bank of |
|
4/18/12 |
|
|
(3,442,786 |
) |
USD |
5,273,336 |
|
EUR |
4,000,000 |
|
Royal
Bank of |
|
4/18/12 |
|
|
(61,803 |
) |
USD |
787,580 |
|
EUR |
600,000 |
|
Royal
Bank of |
|
4/18/12 |
|
|
(12,691 |
) |
USD |
9,410,000 |
|
JPY |
776,089,750 |
|
Citibank NA |
|
6/18/12 |
|
|
27,127 |
|
USD |
8,940,000 |
|
JPY |
747,309,798 |
|
Deutsche |
|
6/18/12 |
|
|
(94,925 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
$ |
(4,473,808 |
) |
|
|
|
Credit default swaps on single-name issues buy protection outstanding as of March 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
Eastman |
|
0.68 |
% |
Morgan |
|
9/20/13 |
|
USD |
3,800 |
|
$ |
(24,963 |
) |
Radian Group, Inc. |
|
5.00 |
% |
Citibank NA |
|
6/20/15 |
|
USD |
8,350 |
|
|
1,882,040 |
|
The New York |
|
1.00 |
% |
Barclays |
|
12/20/16 |
|
USD |
20,100 |
|
|
80,014 |
|
Ireland |
|
1.00 |
% |
Citibank NA |
|
12/20/16 |
|
USD |
4,000 |
|
|
(147,179 |
) |
|
|
|
See Notes to Financial Statements. |
|
|
|
|
|
44 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
Credit default swaps on single-name issues buy protection outstanding as of March 31, 2012 were as follows (continued):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
Valero |
|
1.00% |
|
Credit Suisse |
|
12/20/16 |
|
USD |
5,000 |
|
$ |
(199,260 |
) |
Energy Corp. |
|
|
|
Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
(USA) LLC |
|
|
|
|
|
|
|
|
|
Banca Monte |
|
5.00% |
|
Deutsche |
|
12/20/16 |
|
EUR |
750 |
|
|
(59,534 |
) |
dei Paschi di |
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
Siena SpA |
|
|
|
|
|
|
|
|
|
|
|
|
|
Transocean |
|
1.00% |
|
Goldman Sachs |
|
12/20/16 |
|
USD |
5,750 |
|
|
(100,027 |
) |
Worldwide, Inc. |
|
|
|
International |
|
|
|
|
|
|
|
|
|
Svenska Cellulosa |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
EUR |
2,565 |
|
|
(78,850 |
) |
Aktiebolaget SCA |
|
|
|
Stanley Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
Services, Inc. |
|
|
|
|
|
|
|
|
|
Lincoln |
|
1.00% |
|
UBS AG |
|
12/20/16 |
|
USD |
5,000 |
|
|
(213,505 |
) |
National Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
Henkel AG & |
|
1.00% |
|
Barclays Bank Plc |
|
3/20/17 |
|
EUR |
1,950 |
|
|
(22,393 |
) |
Co. KGaA |
|
|
|
|
|
|
|
|
|
|
|
|
|
PostNL NV |
|
1.00% |
|
BNP Paribas |
|
3/20/17 |
|
EUR |
3,500 |
|
|
(331,940 |
) |
Ireland |
|
1.00% |
|
Citibank NA |
|
3/20/17 |
|
USD |
2,000 |
|
|
(2,389 |
) |
Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ireland |
|
1.00% |
|
Goldman Sachs |
|
3/20/17 |
|
USD |
5,000 |
|
|
(149,605 |
) |
Government Bond |
|
|
|
International |
|
|
|
|
|
|
|
|
|
Ireland |
|
1.00% |
|
Goldman Sachs |
|
3/20/17 |
|
USD |
11,000 |
|
|
(341,081 |
) |
Government Bond |
|
|
|
International |
|
|
|
|
|
|
|
|
|
Banca Monte |
|
5.00% |
|
JPMorgan |
|
3/20/17 |
|
EUR |
3,800 |
|
|
(136,166 |
) |
dei Paschi di Siena SpA |
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
Sara Lee Corp. |
|
1.00% |
|
JPMorgan |
|
3/20/17 |
|
USD |
4,216 |
|
|
(5,905 |
) |
|
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
Telenor ASA |
|
1.00% |
|
JPMorgan |
|
3/20/17 |
|
EUR |
2,000 |
|
|
(7,210 |
) |
|
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
WPP 2005 Ltd. |
|
1.00% |
|
JPMorgan |
|
3/20/17 |
|
EUR |
2,000 |
|
|
(49,332 |
) |
|
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
Koninklijke |
|
1.00% |
|
Barclays Bank Plc |
|
6/20/17 |
|
EUR |
2,500 |
|
|
(6,393 |
) |
Philips |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronics NV |
|
|
|
|
|
|
|
|
|
|
|
|
|
Akzo Nobel NV |
|
1.00% |
|
BNP Paribas |
|
6/20/17 |
|
EUR |
1,550 |
|
|
1,132 |
|
Banco |
|
1.00% |
|
BNP Paribas |
|
6/20/17 |
|
EUR |
5,000 |
|
|
34,588 |
|
Bilbao Vizcaya |
|
|
|
|
|
|
|
|
|
|
|
|
|
Argentina SA |
|
|
|
|
|
|
|
|
|
|
|
|
|
Banco |
|
3.00% |
|
BNP Paribas |
|
6/20/17 |
|
EUR |
2,000 |
|
|
101,045 |
|
Bilbao Vizcaya |
|
|
|
|
|
|
|
|
|
|
|
|
|
Argentina SA |
|
|
|
|
|
|
|
|
|
|
|
|
|
Banco |
|
5.00% |
|
BNP Paribas |
|
6/20/17 |
|
EUR |
3,300 |
|
|
22,737 |
|
Bilbao Vizcaya |
|
|
|
|
|
|
|
|
|
|
|
|
|
Argentina SA |
|
|
|
|
|
|
|
|
|
|
|
|
|
Deutsche Bank AG |
|
1.00% |
|
BNP Paribas |
|
6/20/17 |
|
EUR |
4,000 |
|
|
29,133 |
|
Peugeot SA |
|
1.00% |
|
BNP Paribas |
|
6/20/17 |
|
EUR |
6,000 |
|
|
(45,614 |
) |
Saint-Gobai |
|
1.00% |
|
BNP Paribas |
|
6/20/17 |
|
EUR |
2,555 |
|
|
8,800 |
|
Nederland BV |
|
|
|
|
|
|
|
|
|
|
|
|
|
Veolia |
|
1.00% |
|
BNP Paribas |
|
6/20/17 |
|
EUR |
2,565 |
|
|
(65,933 |
) |
Environnement |
|
|
|
|
|
|
|
|
|
|
|
|
|
Portugal |
|
1.00% |
|
Citibank NA |
|
6/20/17 |
|
USD |
6,000 |
|
|
(101,593 |
) |
Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
Vivendi SA |
|
1.00% |
|
Citibank NA |
|
6/20/17 |
|
EUR |
2,565 |
|
|
1,055 |
|
Credit default swaps on single-name issues buy protection outstanding as of March 31, 2012 were as follows (concluded):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
Clariant AG |
|
1.00% |
|
Deutsche |
|
6/20/17 |
|
EUR |
1,500 |
|
$ |
252 |
|
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
Diageo Plc |
|
1.00% |
|
Deutsche |
|
6/20/17 |
|
EUR |
3,650 |
|
|
(2,300 |
) |
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
Royal Bank of |
|
1.00% |
|
Deutsche |
|
6/20/17 |
|
EUR |
2,200 |
|
|
2,859 |
|
Scotland Plc |
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
Telekom AG |
|
1.00% |
|
Deutsche |
|
6/20/17 |
|
EUR |
3,710 |
|
|
(21,184 |
) |
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
Veolia |
|
1.00% |
|
Deutsche |
|
6/20/17 |
|
EUR |
1,500 |
|
|
(11,225 |
) |
Environnement |
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
Bertelsmann AG |
|
1.00% |
|
Goldman Sachs |
|
6/20/17 |
|
EUR |
4,000 |
|
|
(5,028 |
) |
|
|
|
|
International |
|
|
|
|
|
|
|
|
|
Royal Bank of |
|
5.00% |
|
JPMorgan |
|
6/20/17 |
|
EUR |
1,000 |
|
|
(2,496 |
) |
Scotland Plc |
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
Peugeot SA |
|
1.00% |
|
Morgan |
|
6/20/17 |
|
EUR |
1,000 |
|
|
27,618 |
|
|
|
|
|
Stanley Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
Services, Inc. |
|
|
|
|
|
|
|
|
|
Valeo SA |
|
1.00% |
|
Morgan |
|
6/20/17 |
|
EUR |
2,000 |
|
|
12,119 |
|
|
|
|
|
Stanley Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
Services, Inc. |
|
|
|
|
|
|
|
|
|
Wolters Kluwer NV |
|
1.00% |
|
Morgan |
|
6/20/17 |
|
EUR |
2,000 |
|
|
(2,259 |
) |
|
|
|
|
Stanley Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
Services, Inc. |
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
70,028 |
|
|
|
|
Credit default swaps on single-name issues sold protection outstanding as of March 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Receive |
|
Counterparty |
|
Expiration |
|
Issuer |
|
Notional |
|
Unrealized |
|
||
Aviva USA |
|
1.00% |
|
Deutsche |
|
5/25/12 |
|
Not Rated |
|
USD |
12,610 |
|
$ |
717 |
|
Corp. |
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
|
|
ARAMARK |
|
5.00% |
|
JPMorgan |
|
6/20/16 |
|
B+ |
|
USD |
1,850 |
|
|
104,426 |
|
Corp. |
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Bank of |
|
9/20/16 |
|
A |
|
USD |
30 |
|
|
1,045 |
|
|
|
|
|
America NA |
|
|
|
|
|
|
|
|
|
|
|
Banca Monte |
|
3.00% |
|
BNP Paribas |
|
9/20/16 |
|
BBB |
|
EUR |
2,000 |
|
|
(130,629 |
) |
dei Paschi di |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Siena SpA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Landesbank |
|
1.00% |
|
BNP Paribas |
|
9/20/16 |
|
A |
|
EUR |
1,200 |
|
|
24,872 |
|
Hessen- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thüringen |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Credit Suisse |
|
9/20/16 |
|
A |
|
USD |
1,055 |
|
|
44,358 |
|
|
|
|
|
Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(USA) LLC |
|
|
|
|
|
|
|
|
|
|
|
Banca Monte |
|
5.00% |
|
Deutsche |
|
9/20/16 |
|
BBB |
|
EUR |
750 |
|
|
(57,265) |
|
dei Paschi di |
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
|
|
Siena SpA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Deutsche |
|
9/20/16 |
|
A |
|
USD |
3,680 |
|
|
128,938 |
|
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Goldman Sachs |
|
9/20/16 |
|
A |
|
USD |
2,825 |
|
|
93,292 |
|
|
|
|
|
International |
|
|
|
|
|
|
|
|
|
|
|
Banca Monte |
|
3.00% |
|
JPMorgan |
|
9/20/16 |
|
BBB |
|
EUR |
2,200 |
|
|
(290,047 |
) |
dei Paschi di |
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
|
|
Siena SpA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
45 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
Credit default swaps on single-name issues sold protection outstanding as of March 31, 2012 were as follows (concluded):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Receive |
|
Counterparty |
|
Expiration |
|
Issuer |
|
Notional |
|
Unrealized |
|
||
MetLife, Inc. |
|
1.00% |
|
Morgan |
|
9/20/16 |
|
A |
|
USD |
4,580 |
|
$ |
153,823 |
|
|
|
|
|
Stanley Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Services, Inc. |
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Morgan |
|
9/20/16 |
|
A |
|
USD |
2,770 |
|
|
71,011 |
|
|
|
|
|
Stanley Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Services, Inc. |
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Bank of |
|
12/20/16 |
|
A |
|
USD |
5,000 |
|
|
226,772 |
|
|
|
|
|
America NA |
|
|
|
|
|
|
|
|
|
|
|
Italy |
|
1.00% |
|
Citibank NA |
|
12/20/16 |
|
BBB+ |
|
USD |
4,000 |
|
|
133,344 |
|
Government |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bond |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Citibank NA |
|
12/20/16 |
|
A |
|
USD |
3,060 |
|
|
75,065 |
|
MetLife, Inc. |
|
1.00% |
|
Citibank NA |
|
12/20/16 |
|
A |
|
USD |
2,880 |
|
|
87,318 |
|
MetLife, Inc. |
|
1.00% |
|
JPMorgan |
|
12/20/16 |
|
A |
|
USD |
5,000 |
|
|
226,648 |
|
|
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
|
|
Siemens AG |
|
1.00% |
|
Barclays |
|
3/20/17 |
|
A+ |
|
EUR |
2,500 |
|
|
48,675 |
|
|
|
|
|
Bank Plc |
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Citibank NA |
|
3/20/17 |
|
A |
|
USD |
6,740 |
|
|
80,823 |
|
Energy |
|
1.00% |
|
Credit Suisse |
|
3/20/17 |
|
BB |
|
USD |
5,000 |
|
|
130,466 |
|
Transfer |
|
|
|
Securities |
|
|
|
|
|
|
|
|
|
|
|
Partners LP |
|
|
|
(USA) LLC |
|
|
|
|
|
|
|
|
|
|
|
Tesco Plc |
|
1.00% |
|
Goldman Sachs |
|
3/20/17 |
|
A |
|
EUR |
3,500 |
|
|
28,610 |
|
|
|
|
|
International |
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
UBS AG |
|
3/20/17 |
|
A |
|
USD |
4,930 |
|
|
59,118 |
|
Credit Suisse |
|
1.00% |
|
BNP Paribas |
|
6/20/17 |
|
A+ |
|
EUR |
4,000 |
|
|
(26,493 |
) |
Group AG |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banco |
|
3.00% |
|
Citibank NA |
|
6/20/17 |
|
BB |
|
EUR |
2,000 |
|
|
(23,047 |
) |
Santander SA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Vodafone |
|
1.00% |
|
Citibank NA |
|
6/20/17 |
|
A |
|
EUR |
910 |
|
|
(695 |
) |
Group Plc |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deutsche |
|
1.00% |
|
Deutsche |
|
6/20/17 |
|
BBB+ |
|
EUR |
550 |
|
|
677 |
|
Telekom AG |
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
|
|
E.ON AG |
|
1.00% |
|
Deutsche |
|
6/20/17 |
|
BBB |
|
EUR |
3,250 |
|
|
(4,961 |
) |
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
|
|
France |
|
1.00% |
|
Deutsche |
|
6/20/17 |
|
A |
|
EUR |
550 |
|
|
(40 |
) |
Telecom SA |
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
|
|
Lloyds TSB |
|
1.00% |
|
Deutsche |
|
6/20/17 |
|
A |
|
EUR |
2,200 |
|
|
(13,898 |
) |
Bank Plc |
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
|
|
Alstom SA |
|
1.00% |
|
Goldman Sachs |
|
6/20/17 |
|
BBB |
|
EUR |
2,000 |
|
|
(27,535 |
) |
|
|
|
|
International |
|
|
|
|
|
|
|
|
|
|
|
Anheuser- |
|
1.00% |
|
JPMorgan |
|
6/20/17 |
|
A |
|
EUR |
3,250 |
|
|
6,755 |
|
Busch |
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
|
|
InBev NV |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lloyds TSB |
|
5.00% |
|
JPMorgan |
|
6/20/17 |
|
A |
|
EUR |
1,000 |
|
|
(3,224 |
) |
Bank Plc |
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
|
|
Finmeccanica |
|
5.00% |
|
UBS AG |
|
6/20/17 |
|
BBB |
|
EUR |
1,000 |
|
|
6,595 |
|
SpA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,155,514 |
|
|
|
|
|
1 |
Using S&Ps rating. |
|
|
|
|
2 |
The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of agreement. |
|
|
|
Credit default swaps on traded indexes buy protection outstanding as of March 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
iTraxx Europe |
|
5.00% |
|
JPMorgan |
|
6/20/15 |
|
EUR |
7,095 |
|
$ |
11,797 |
|
Sub Financial |
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
Index Series 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX |
|
5.00% |
|
Morgan |
|
12/20/15 |
|
USD |
10,740 |
|
|
(65,447) |
|
Emerging Markets |
|
|
|
Stanley Capital |
|
|
|
|
|
|
|
|
|
Series 14, Version 1 |
|
|
|
Services, Inc. |
|
|
|
|
|
|
|
|
|
Dow Jones CDX |
|
5.00% |
|
Barclays Bank Plc |
|
6/20/16 |
|
USD |
58,200 |
|
|
(2,689,795) |
|
North America |
|
|
|
|
|
|
|
|
|
|
|
|
|
High Yield Index |
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 16, Version 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX |
|
1.00% |
|
Credit Suisse |
|
6/20/16 |
|
USD |
25,000 |
|
|
(290,158) |
|
North America |
|
|
|
Securities |
|
|
|
|
|
|
|
|
|
Investment Grade |
|
|
|
(USA) LLC |
|
|
|
|
|
|
|
|
|
Index Series 16, |
|
|
|
|
|
|
|
|
|
|
|
|
|
Version 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX |
|
1.00% |
|
Credit Suisse |
|
6/20/16 |
|
USD |
3,960 |
|
|
(66,916) |
|
North America |
|
|
|
Securities |
|
|
|
|
|
|
|
|
|
Investment Grade |
|
|
|
(USA) LLC |
|
|
|
|
|
|
|
|
|
Index Series 16, |
|
|
|
|
|
|
|
|
|
|
|
|
|
Version 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
iTraxx Europe |
|
5.00% |
|
Credit Suisse |
|
6/20/16 |
|
EUR |
2,950 |
|
|
155,828 |
|
Sub Financial |
|
|
|
Securities |
|
|
|
|
|
|
|
|
|
Index Series 15, |
|
|
|
(USA) LLC |
|
|
|
|
|
|
|
|
|
Version 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX |
|
1.00% |
|
Goldman Sachs |
|
6/20/16 |
|
USD |
6,508 |
|
|
(83,295) |
|
North America |
|
|
|
International |
|
|
|
|
|
|
|
|
|
Investment Grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
Index Series 16, |
|
|
|
|
|
|
|
|
|
|
|
|
|
Version 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX |
|
1.00% |
|
JPMorgan |
|
6/20/16 |
|
USD |
223 |
|
|
(3,320) |
|
North America |
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
Investment Grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
Index Series 16, |
|
|
|
|
|
|
|
|
|
|
|
|
|
Version 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
iTraxx Europe |
|
5.00% |
|
UBS AG |
|
6/20/16 |
|
EUR |
605 |
|
|
16,736 |
|
Sub Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
Index Series 15, |
|
|
|
|
|
|
|
|
|
|
|
|
|
Version 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
iTraxx Europe |
|
5.00% |
|
Barclays Bank Plc |
|
12/20/16 |
|
EUR |
2,364 |
|
|
(195,031) |
|
Sub Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
Index Series 16, |
|
|
|
|
|
|
|
|
|
|
|
|
|
Version 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX |
|
1.00% |
|
Goldman Sachs |
|
12/20/16 |
|
USD |
110,000 |
|
|
(1,082,877) |
|
North America |
|
|
|
International |
|
|
|
|
|
|
|
|
|
Investment Grade |
|
|
|
|
|
|
|
|
|
|
|
|
|
Index Series 17, |
|
|
|
|
|
|
|
|
|
|
|
|
|
Version 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
USD |
55,000 |
|
|
(1,115,297) |
|
North America |
|
|
|
Stanley Capital |
|
|
|
|
|
|
|
|
|
Investment Grade |
|
|
|
Services, Inc. |
|
|
|
|
|
|
|
|
|
Index Series 17, |
|
|
|
|
|
|
|
|
|
|
|
|
|
Version 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
USD |
39,910 |
|
|
(680,970) |
|
North America |
|
|
|
Stanley Capital |
|
|
|
|
|
|
|
|
|
Investment Grade |
|
|
|
Services, Inc. |
|
|
|
|
|
|
|
|
|
Index Series 17, |
|
|
|
|
|
|
|
|
|
|
|
|
|
Version 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
46 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
|
Credit default swaps on traded indexes buy protection outstanding as of March 31, 2012 were as follows (concluded): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
iTraxx Europe |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
EUR |
55,000 |
|
$ |
(532,915 |
) |
iTraxx Europe |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
EUR |
55,000 |
|
|
(390,552 |
) |
iTraxx Europe |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
EUR |
95,200 |
|
|
(576,159 |
) |
iTraxx Europe |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
EUR |
47,600 |
|
|
(238,154 |
) |
iTraxx Europe |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
EUR |
95,200 |
|
|
(388,938 |
) |
iTraxx Europe |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
EUR |
3,550 |
|
|
(165,699 |
) |
iTraxx Europe |
|
1.00% |
|
UBS AG |
|
6/20/17 |
|
EUR |
24,470 |
|
|
173,927 |
|
MCDX North |
|
1.00% |
|
Morgan |
|
6/20/21 |
|
USD |
20,680 |
|
|
364,792 |
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(7,842,443 |
) |
|
|
|
Credit default swaps on traded indexes sold protection outstanding as of March 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Receive |
|
Counterparty |
|
Expiration |
|
Credit |
|
Notional |
|
Unrealized |
|
||
iTraxx Europe |
|
5.00% |
|
JPMorgan |
|
6/20/13 |
|
A |
|
EUR |
4,730 |
|
$ |
(215,700 |
) |
Dow Jones |
|
5.00% |
|
Goldman
Sachs |
|
6/20/16 |
|
B+ |
|
USD |
58,200 |
|
|
699,756 |
|
Dow Jones |
|
1.00% |
|
Credit
Suisse |
|
12/20/16 |
|
A |
|
USD |
20,000 |
|
|
301,120 |
|
|
Credit default swaps on traded indexes sold protection outstanding as of March 31, 2012 were as follows (concluded): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Receive |
|
Counterparty |
|
Expiration |
|
Credit |
|
|
|
Notional |
|
Unrealized |
|
|
Dow Jones |
|
1.00% |
|
Goldman
Sachs |
|
12/20/16 |
|
A |
|
USD |
|
55,000 |
|
$ |
714,855 |
|
iTraxx Europe |
|
1.00% |
|
JPMorgan |
|
12/20/16 |
|
BB |
|
EUR |
|
12,500 |
|
|
(179,785 |
) |
iTraxx Europe |
|
5.00% |
|
JPMorgan |
|
12/20/16 |
|
BB |
|
EUR |
|
1,970 |
|
|
61,372 |
|
iTraxx Europe |
|
5.00% |
|
JPMorgan |
|
12/20/16 |
|
BB |
|
EUR |
|
394 |
|
|
12,012 |
|
iTraxx Europe |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
BB |
|
EUR |
|
47,000 |
|
|
(145,023 |
) |
iTraxx Europe |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
BB |
|
EUR |
|
66,500 |
|
|
(1,606,929 |
) |
iTraxx Europe |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
BB |
|
EUR |
|
23,800 |
|
|
418,535 |
|
iTraxx Europe |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
BB |
|
EUR |
|
55,000 |
|
|
1,060,945 |
|
iTraxx Europe |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
BB |
|
EUR |
|
47,600 |
|
|
898,230 |
|
iTraxx Europe |
|
1.00% |
|
Morgan |
|
12/20/16 |
|
BB |
|
EUR |
|
47,600 |
|
|
774,664 |
|
iTraxx Europe |
|
1.00% |
|
JPMorgan |
|
6/20/17 |
|
A |
|
EUR |
|
4,500 |
|
|
(44,982 |
) |
MCDX North |
|
0.00% |
|
Goldman
Sachs |
|
6/20/20 |
|
AA |
|
USD |
|
10,340 |
|
|
160,616 |
|
Markit CMBX |
|
0.08% |
|
Morgan |
|
12/13/49 |
|
A+ |
|
USD |
|
5,430 |
|
|
257,202 |
|
Markit CMBX |
|
0.35% |
|
Morgan |
|
2/17/51 |
|
A |
|
USD |
|
5,430 |
|
|
262,750 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
3,429,638 |
|
|
|
|
|
1 |
Using S&Ps rating of the underlying securities. |
|
|
|
|
2 |
The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of agreement. event take place as defined under the terms of agreement. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
47 |
|
|
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
|
|
|
|
Interest rate swaps outstanding as of March 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
|
Notional |
|
Unrealized |
|
|
0.69%1 |
|
3-month LIBOR |
|
Barclays Bank Plc |
|
9/07/12 |
|
USD |
210,000 |
|
$ |
(184,768 |
) |
0.92%1 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
2/28/13 |
|
USD |
88,000 |
|
|
(331,457 |
) |
1.32%1 |
|
3-month LIBOR |
|
Citibank NA |
|
12/17/13 |
|
USD |
31,000 |
|
|
(403,189 |
) |
1.41%1 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
12/20/13 |
|
USD |
23,600 |
|
|
(344,216 |
) |
1.26%1 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
12/24/13 |
|
USD |
48,400 |
|
|
(581,034 |
) |
0.60%1 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
3/15/14 |
|
USD |
47,900 |
|
|
(16,219 |
) |
1.26%2 |
|
6-month EURIBOR |
|
Deutsche Bank AG |
|
2/14/15 |
|
EUR |
1,900 |
|
|
3,124 |
|
2.46%1 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
4/04/16 |
|
USD |
3,800 |
|
|
(216,092 |
) |
2.39%2 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
4/14/16 |
|
USD |
7,700 |
|
|
418,590 |
|
1.25%1 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
10/05/16 |
|
USD |
34,100 |
|
|
(155,020 |
) |
1.39%1 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
3/19/17 |
|
USD |
120,600 |
|
|
(718,299 |
) |
1.39%1 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
3/19/17 |
|
USD |
52,000 |
|
|
(309,714 |
) |
1.36%2 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
3/26/17 |
|
USD |
19,000 |
|
|
75,684 |
|
1.26%2 |
|
3-month LIBOR |
|
Citibank NA |
|
3/29/17 |
|
USD |
5,000 |
|
|
(3,256 |
) |
1.38%2 |
|
3-month LIBOR |
|
Citibank NA |
|
8/21/17 |
|
USD |
34,000 |
|
|
(124,862 |
) |
1.51%2 |
|
3-month LIBOR |
|
Citibank NA |
|
9/18/17 |
|
USD |
34,000 |
|
|
24,643 |
|
2.04%2 |
|
6-month EURIBOR |
|
Deutsche Bank AG |
|
10/06/17 |
|
EUR |
24,245 |
|
|
594,194 |
|
2.38%1 |
|
3-month LIBOR |
|
Morgan |
|
11/17/17 |
|
USD |
300 |
|
|
(15,160 |
) |
1.74%2 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
3/30/18 |
|
USD |
8,400 |
|
|
97,623 |
|
1.74%2 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
3/30/18 |
|
USD |
22,700 |
|
|
263,815 |
|
2.88%2 |
|
6-month EURIBOR |
|
Deutsche Bank AG |
|
7/21/18 |
|
EUR |
2,250 |
|
|
186,189 |
|
3.51%1 |
|
3-month LIBOR |
|
BNP Paribas |
|
5/20/20 |
|
USD |
400 |
|
|
(45,973 |
) |
|
Interest rate swaps outstanding as of March 31, 2012 were as follows (concluded): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
Notional |
|
|
Unrealized |
|
||
3.27%1 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
5/16/21 |
|
USD |
|
9,510 |
|
$ |
(884,390 |
) |
2.10%1 |
|
3-month LIBOR |
|
Morgan |
|
1/05/22 |
|
USD |
|
2,500 |
|
|
36,218 |
|
2.24%1 |
|
3-month LIBOR |
|
Morgan |
|
3/16/22 |
|
USD |
|
8,600 |
|
|
36,512 |
|
2.34%2 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
3/19/22 |
|
USD |
|
38,400 |
|
|
182,072 |
|
2.36%2 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
3/20/22 |
|
USD |
|
5,800 |
|
|
38,081 |
|
2.46%1 |
|
3-month LIBOR |
|
Goldman
Sachs |
|
3/22/22 |
|
USD |
|
37,800 |
|
|
(587,791 |
) |
2.36%1 |
|
3-month LIBOR |
|
Citibank NA |
|
3/26/22 |
|
USD |
|
16,800 |
|
|
(110,734 |
) |
2.22%2 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
4/03/22 |
|
USD |
|
5,000 |
|
|
(33,457 |
) |
2.29%2 |
|
3-month LIBOR |
|
Morgan |
|
4/03/22 |
|
USD |
|
9,200 |
|
|
|
|
2.70%1 |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
1/11/42 |
|
USD |
|
9,200 |
|
|
651,974 |
|
2.85%1 |
|
3-month LIBOR |
|
Bank
of |
|
2/09/42 |
|
USD |
|
4,600 |
|
|
186,701 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,270,211 |
) |
|
|
|
|
1 |
Master Portfolio pays a fixed interest rate and receives floating rate. |
|
|
|
|
2 |
Master Portfolio pays a floating interest rate and receives fixed rate. |
|
|
|
Total return swaps outstanding as of March 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Entity |
|
Master
Portfolio |
|
Fixed
Rate/ |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
Change in Return of the Consumer Price Index for |
|
Pays |
|
2.18%3 |
|
Bank of America NA |
|
10/06/21 |
|
$ |
19,240 |
|
$ |
(786,526 |
) |
Change in Return on Markit IOS Index 4.50%, 30-year, |
|
Receives |
|
1-month LIBOR |
|
Goldman Sachs International |
|
1/12/40 |
|
$ |
10,356 |
|
|
(14,215 |
) |
Change in Return on Markit IOS Index 4.50%, 30-year, |
|
Receives |
|
1-month LIBOR |
|
Barclays Bank Plc |
|
1/12/41 |
|
$ |
3,256 |
|
|
(3,115 |
) |
Change in Return on Markit IOS Index 4.50%, 30-year, |
|
Pays |
|
1-month LIBOR |
|
Citibank NA |
|
1/12/41 |
|
$ |
13,645 |
|
|
(303,100 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,106,956 |
) |
|
|
3 |
Net payment made at termination. |
|
|
|
See Notes to Financial Statements. |
||
|
|
|
48 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Schedule of Investments (continued) |
Master Total Return Portfolio |
|
|
|
|
For Master Portfolio compliance purposes, the Master Portfolios 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 the Master Portfolio management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
|
|
Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
|
|
|
|
|
|
Level 1 unadjusted 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 marketcorroborated inputs) |
|
|
|
|
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolios own assumptions used in determining the fair value of investments and derivative financial instruments) |
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. 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 is not necessarily an indication of the risks associated with investing in those securities. For information about the Master Portfolios policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of March 31, 2012 in determining the fair valuation of the Master Portfolios investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
|
|
|
$ |
240,433,283 |
|
$ |
14,832,534 |
|
$ |
255,265,817 |
|
Corporate Bonds |
|
|
|
|
|
1,368,629,521 |
|
|
|
|
|
1,368,629,521 |
|
Floating Rate Loan Interests |
|
|
|
|
|
75,469,666 |
|
|
24,659,708 |
|
|
100,129,374 |
|
Foreign Agency Obligations |
|
|
|
|
|
80,720,483 |
|
|
|
|
|
80,720,483 |
|
Investment Companies |
|
$ |
12,905,295 |
|
|
|
|
|
|
|
|
12,905,295 |
|
Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
401,471,302 |
|
|
29,874,501 |
|
|
431,345,803 |
|
Preferred Securities |
|
|
4,333,516 |
|
|
38,464,925 |
|
|
|
|
|
42,798,441 |
|
Taxable Municipal Bonds |
|
|
|
|
|
10,944,941 |
|
|
|
|
|
10,944,941 |
|
US Government Sponsored Agency Securities |
|
|
|
|
|
3,319,842,069 |
|
|
|
|
|
3,319,842,069 |
|
US Treasury Obligations |
|
|
|
|
|
947,587,789 |
|
|
|
|
|
947,587,789 |
|
Short-Term Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Market Fund |
|
|
2,682,201 |
|
|
|
|
|
|
|
|
2,682,201 |
|
Borrowed Bond Agreements |
|
|
|
|
|
251,197,427 |
|
|
|
|
|
251,197,427 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bonds |
|
|
|
|
|
(247,619,855 |
) |
|
|
|
|
(247,619,855 |
) |
TBA Sale Commitments |
|
|
|
|
|
(2,217,355,306 |
) |
|
|
|
|
(2,217,355,306 |
) |
Total |
|
$ |
19,921,012 |
|
$ |
4,269,786,245 |
|
$ |
69,366,743 |
|
$ |
4,359,074,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Derivative Financial Instruments1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
$ |
10,237,431 |
|
$ |
161,333 |
|
$ |
10,398,764 |
|
Equity contracts |
|
$ |
206,983 |
|
|
442,894 |
|
|
|
|
|
649,877 |
|
Foreign currency transactions |
|
|
|
|
|
5,238,822 |
|
|
|
|
|
5,238,822 |
|
Interest rate contracts |
|
|
3,997,737 |
|
|
5,217,567 |
|
|
|
|
|
9,215,304 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
|
(13,469,140 |
) |
|
|
|
|
(13,469,140 |
) |
Equity contracts |
|
|
(224,040 |
) |
|
|
|
|
|
|
|
(224,040 |
) |
Foreign currency transactions |
|
|
|
|
|
(7,372,469 |
) |
|
|
|
|
(7,372,469 |
) |
Interest rate contracts |
|
|
(376,107 |
) |
|
(24,265,021 |
) |
|
|
|
|
(24,641,128 |
) |
Other contracts |
|
|
|
|
|
(786,526 |
) |
|
|
|
|
(786,526 |
) |
Total |
|
$ |
3,604,573 |
|
$ |
(24,756,442 |
) |
$ |
161,333 |
|
$ |
(20,990,536 |
) |
|
|
|
|
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. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
49 |
|
|
|
|
Schedule of Investments (concluded) |
Master Total Return Portfolio |
|
|
|
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: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of September 30, 2011 |
|
$ |
43,570,827 |
|
$ |
27,890,171 |
|
$ |
11,648,206 |
|
$ |
83,109,204 |
|
Accrued discounts/premiums |
|
|
(176 |
) |
|
31,625 |
|
|
(1,725 |
) |
|
29,724 |
|
Net realized gain (loss) |
|
|
31 |
|
|
30,750 |
|
|
95,049 |
|
|
125,830 |
|
Net change in unrealized appreciation/depreciation1 |
|
|
22,371 |
|
|
7,352 |
|
|
(45,012 |
) |
|
(15,289 |
) |
Purchases |
|
|
|
|
|
218,750 |
|
|
28,798,291 |
|
|
29,017,041 |
|
Sales |
|
|
(885,068 |
) |
|
(3,518,940 |
) |
|
(6,727,888 |
) |
|
(11,131,896 |
) |
Transfers in2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out2 |
|
|
(27,875,451 |
) |
|
|
|
|
(3,892,420 |
) |
|
(31,767,871 |
) |
Balance, as of March 31, 2012 |
|
$ |
14,832,534 |
|
$ |
24,659,708 |
|
$ |
29,874,501 |
|
$ |
69,366,743 |
|
|
|
|
|
1 |
Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on investments still held at March 31, 2012 was $(15,289). |
|
|
|
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 |
|
|
Assets/Liabilities: |
|
|
|
|
Balance, as of September 30, 2011 |
|
$ |
(440,436 |
) |
Accrued discounts/premiums |
|
|
272,833 |
|
Net realized gain (loss) |
|
|
|
|
Net change in unrealized appreciation/depreciation3 |
|
|
601,769 |
|
Purchases |
|
|
|
|
Issuances4 |
|
|
|
|
Sales |
|
|
|
|
Settlements5 |
|
|
(272,833 |
) |
Transfers in2 |
|
|
|
|
Transfers out2 |
|
|
|
|
Balance, as of March 31, 2012 |
|
$ |
161,333 |
|
|
|
|
|
2 |
The Master Portfolios 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. |
|
|
|
|
3 |
Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held at March 31, 2012 was $601,769. |
|
|
|
|
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. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Master Portfolio had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets.
|
|
|
See Notes to Financial Statements. |
||
|
|
|
50 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Master Total Return Portfolio |
|
|
|
|
|
March 31, 2012 (Unaudited) |
|
|
|
|
Assets |
|
|
|
|
Investments at value unaffiliated (cost $6,750,238,187) |
|
$ |
6,815,431,533 |
|
Investments at value affiliated (cost $15,214,920) |
|
|
15,596,594 |
|
Unrealized appreciation on swaps |
|
|
13,077,297 |
|
Unrealized appreciation on foreign currency exchange contracts |
|
|
2,001,317 |
|
Foreign currency at value (cost $20,911,827) |
|
|
20,971,302 |
|
Cash |
|
|
94,473 |
|
TBA sale commitments receivable |
|
|
2,214,951,759 |
|
Investments sold receivable |
|
|
650,170,959 |
|
Swap premiums paid |
|
|
48,689,173 |
|
Interest receivable |
|
|
32,023,171 |
|
Cash pledged as collateral for swaps |
|
|
9,520,000 |
|
Cash pledged as collateral for financial futures contracts |
|
|
3,621,000 |
|
Swaps receivable |
|
|
3,598,096 |
|
Cash pledged as collateral for reverse repurchase agreements |
|
|
1,530,000 |
|
Variation margin receivable |
|
|
950,254 |
|
Principal paydown receivable |
|
|
261,458 |
|
Prepaid expenses |
|
|
25,566 |
|
Other assets |
|
|
2,292 |
|
Total assets |
|
|
9,832,516,244 |
|
|
|
|
|
|
Liabilities |
|
|
|
|
Investments purchased payable |
|
|
3,104,352,732 |
|
TBA sale commitments at value (proceeds $2,214,951,759) |
|
|
2,217,355,306 |
|
Borrowed bonds at value (proceeds $245,775,176) |
|
|
247,619,855 |
|
Reverse repurchase agreements |
|
|
797,256,689 |
|
Swap premiums received |
|
|
38,113,608 |
|
Options written at value (premiums received $14,771,099) |
|
|
19,776,304 |
|
Unrealized depreciation on swaps |
|
|
19,641,727 |
|
Interest expense payable |
|
|
6,964,174 |
|
Withdrawals payable to investors |
|
|
6,581,942 |
|
Unrealized depreciation on foreign currency exchange contracts |
|
|
6,475,125 |
|
Swaps payable |
|
|
4,521,658 |
|
Cash held as collateral for options and swaps |
|
|
3,340,000 |
|
Cash held as collateral for reverse repurchase agreements |
|
|
232,000 |
|
Investment advisory fees payable |
|
|
210,827 |
|
Directors fees payable |
|
|
48,152 |
|
Other affiliates payable |
|
|
25,068 |
|
Other accrued expenses payable |
|
|
422,935 |
|
Other liabilities |
|
|
1,923,859 |
|
Total liabilities |
|
|
6,474,861,961 |
|
Net Assets |
|
$ |
3,357,654,283 |
|
|
|
|
|
|
Net Assets Consist of |
|
|
|
|
Investors capital |
|
$ |
3,308,716,416 |
|
Net unrealized appreciation |
|
|
48,937,867 |
|
Net Assets |
|
$ |
3,357,654,283 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
51 |
|
|
|
|
Master Total Return Portfolio |
|
|
|
|
|
Six Months Ended March 31, 2012 (Unaudited) |
|
|
|
|
Investment Income |
|
|
|
|
Interest unaffiliated |
|
$ |
88,484,347 |
|
Interest affiliated |
|
|
403 |
|
Dividends affiliated |
|
|
321,597 |
|
Foreign taxes withheld |
|
|
(34,155 |
) |
Total income |
|
|
88,772,192 |
|
|
|
|
|
|
Expenses |
|
|
|
|
Investment advisory |
|
|
1,301,739 |
|
Accounting services |
|
|
376,143 |
|
Custodian |
|
|
290,798 |
|
Professional |
|
|
111,661 |
|
Directors |
|
|
48,319 |
|
Printing |
|
|
3,559 |
|
Miscellaneous |
|
|
69,808 |
|
Total expenses excluding interest expense |
|
|
2,202,027 |
|
Interest expense |
|
|
5,641,622 |
|
Total expenses |
|
|
7,843,649 |
|
Less fees waived by advisor |
|
|
(15,214 |
) |
Total expenses after fees waived |
|
|
7,828,435 |
|
Net investment income |
|
|
80,943,757 |
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) |
|
|
|
|
Net realized gain (loss) from: |
|
|
|
|
Investments unaffiliated |
|
|
(24,129,667 |
) |
Investments affiliated |
|
|
456 |
|
Financial futures contracts |
|
|
(13,234,011 |
) |
Options written |
|
|
17,539,392 |
|
Securities sold short |
|
|
(647,352 |
) |
Borrowed bonds |
|
|
28,496 |
|
Swaps |
|
|
5,290,734 |
|
Foreign currency transactions |
|
|
9,215,237 |
|
|
|
|
(5,936,715 |
) |
Net change in unrealized appreciation/depreciation on: |
|
|
|
|
Investments unaffiliated |
|
|
79,622,384 |
|
Financial futures contracts |
|
|
1,608,432 |
|
Options written |
|
|
14,345,997 |
|
Swaps |
|
|
(20,144,883 |
) |
Borrowed bonds |
|
|
(4,875,996 |
) |
Foreign currency transactions |
|
|
(11,257,999 |
) |
|
|
|
59,297,935 |
|
Total realized and unrealized gain |
|
|
53,361,220 |
|
Net Increase in Net Assets Resulting from Operations |
|
$ |
134,304,977 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
52 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
|
Master Total Return Portfolio |
|
|
|
|
|
|
|
|
Increase (Decrease) in Net Assets: |
|
Six
Months |
|
Year
Ended |
|
||
Operations |
|
|
|
|
|
|
|
Net investment income |
|
$ |
80,943,757 |
|
$ |
188,832,427 |
|
Net realized loss |
|
|
(5,936,715 |
) |
|
(4,253,006 |
) |
Net change in unrealized appreciation/depreciation |
|
|
59,297,935 |
|
|
(68,039,857 |
) |
Net increase in net assets resulting from operations |
|
|
134,304,977 |
|
|
116,539,564 |
|
|
|
|
|
|
|
|
|
Capital Transactions |
|
|
|
|
|
|
|
Proceeds from contributions |
|
|
509,723,155 |
|
|
1,794,583,835 |
|
Value of withdrawals |
|
|
(1,185,737,918 |
) |
|
(1,603,649,352 |
) |
Net increase (decrease) in net assets derived from capital transactions |
|
|
(676,014,763 |
) |
|
190,934,483 |
|
|
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
|
|
Total increase (decrease) in net assets |
|
|
(541,709,786 |
) |
|
307,474,047 |
|
Beginning of period |
|
|
3,899,364,069 |
|
|
3,591,890,022 |
|
End of period |
|
$ |
3,357,654,283 |
|
$ |
3,899,364,069 |
|
|
|
|
|
Master Total Return Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six
Months |
|
|
|
||||||||||||||
|
|
|
2011 |
|
2010 |
|
2009 |
|
2008 |
|
2007 |
|
|||||||
Total Investment Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment return |
|
|
3.76 |
%1 |
|
2.82 |
% |
|
13.05 |
% |
|
10.95 |
% |
|
(5.76 |
)% |
|
4.45 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
0.42 |
%2 |
|
0.56 |
% |
|
0.58 |
% |
|
0.17 |
% |
|
0.15 |
% |
|
0.10 |
% |
Total expenses after fees waived and paid indirectly |
|
|
0.42 |
%2 |
|
0.56 |
% |
|
0.58 |
% |
|
0.17 |
% |
|
0.15 |
% |
|
0.10 |
% |
Total expenses after fees waived and paid indirectly and excluding interest expense |
|
|
0.12 |
%2 |
|
0.11 |
% |
|
0.13 |
% |
|
0.13 |
% |
|
0.10 |
% |
|
0.10 |
% |
Net investment income |
|
|
4.37 |
%2 |
|
4.67 |
% |
|
4.97 |
% |
|
6.10 |
% |
|
5.59 |
% |
|
5.35 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
3,357,654 |
|
$ |
3,899,364 |
|
$ |
3,591,890 |
|
$ |
3,123,655 |
|
$ |
3,244,949 |
|
$ |
3,980,172 |
|
Portfolio turnover |
|
|
616 |
%3 |
|
1,771 |
%4 |
|
1,754 |
%5 |
|
708 |
%6 |
|
1,081 |
%7 |
|
153 |
% |
|
|
|
|
1 |
Aggregate total investment return. |
|
|
|
|
2 |
Annualized. |
|
|
|
|
3 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 496%. |
|
|
|
|
4 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,379%. |
|
|
|
|
5 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,248%. |
|
|
|
|
6 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 469%. |
|
|
|
|
7 |
Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 418%. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
53 |
|
|
|
|
Master Total Return Portfolio |
1. Organization and Significant Accounting Policies:
Master Total Return Portfolio (the Master Portfolio) is a series of Master Bond LLC (the Master LLC) and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the 1940 Act). The Master LLC is organized as a Delaware limited liability company. The Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the Board) to issue nontransferable interests in the Master LLC, subject to certain limitations. The Master Portfolios financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Master Portfolio:
Valuation: US GAAP defines fair value as the price the Master Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Master Portfolio fair values its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The Master Portfolio values its bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (TBA) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Master Portfolios pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.
Municipal investments (including commitments to purchase such investments on a when-issued basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.
Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (NASDAQ) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior days price will be used, unless it is determined that such prior days price no longer reflects the fair value of the security.
Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (NYSE). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.
Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior days price will be used, unless it is determined that the prior days price no longer reflects the fair value of the option. Over-the-counter (OTC) options and swaptions are valued by an independent pricing service using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.
In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (Fair Value Assets). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that the Master Portfolio might reasonably expect to receive from the current sale of that asset in an arms-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Master Portfolios net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board.
|
|
|
|
|
|
54 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Notes to Financial Statements (continued) |
Master Total Return Portfolio |
Foreign Currency Transactions: The Master Portfolios books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Master Portfolios investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.
The Master Portfolio does not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated on the Statement of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Master Portfolio reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.
Asset-Backed and Mortgage-Backed Securities: The Master Portfolio may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If the Master Portfolio has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
The Master Portfolio may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through Certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.
Inflation-Indexed Bonds: The Master Portfolio may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of US Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
Multiple Class Pass-Through Securities: The Master Portfolio may invest in multiple class pass-through securities, including collateralized mortgage obligations (CMOs) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, US government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the Mortgage Assets), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (IOs), principal only (POs), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Master Portfolio may not fully recoup its initial investment in IOs.
Stripped Mortgage-Backed Securities: The Master Portfolio may invest in stripped mortgage-backed securities issued by the US government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. The Master Portfolio also may invest in stripped mortgage-backed securities that are privately issued.
Zero-Coupon Bonds: The Master Portfolio may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.
Capital Trusts: The Master Portfolio may invest in capital trusts. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
55 |
|
|
|
|
Notes to Financial Statements (continued) |
Master Total Return Portfolio |
be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing companys senior debt securities.
Preferred Stock: The Master Portfolio may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuers board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Floating Rate Loan Interests: The Master Portfolio may invest in floating rate loan interests. The floating rate loan interests the Master Portfolio holds are typically issued to companies (the borrower) by banks, other financial institutions, and privately and publicly offered corporations (the lender). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Master Portfolio may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as LIBOR (London Interbank Offered Rate), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Master Portfolio considers these investments to be investments in debt securities for purposes of its investment policies.
When the Master Portfolio purchases a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Master Portfolio may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Master Portfolio upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Master Portfolio may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrowers option. The Master Portfolio may invest in such loans in the form of participations in loans (Participations) or assignments (Assignments) of all or a portion of loans from third parties. Participations typically will result in the Master Portfolio having a contractual relationship only with the lender, not with the borrower. The Master Portfolio will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Master Portfolio generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Master Portfolio may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Master Portfolio will assume the credit risk of both the borrower and the lender that is selling the Participation. The Master Portfolios investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Master Portfolio may be treated as general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Master Portfolio having a direct contractual relationship with the borrower, and the Master Portfolio may enforce compliance by the borrower with the terms of the loan agreement.
Borrowed Bond Agreements: The Master Portfolio may enter into borrowed bond agreements. In a borrowed bond agreement, the Master Portfolio borrows a bond from a counterparty in exchange for cash collateral with the commitment that the security and the cash will be returned to the counterparty and the Master Portfolio, respectively, at a mutually agreed upon rate and date. Certain agreements have no stated maturity and can be terminated by either party at any time. Borrowed bond agreements are entered into primarily in connection with short sales of bonds. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between the Master Portfolio and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the coun-terparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. Full realization of the collateral by the Master Portfolio may be limited if the value of an investment purchased with the cash collateral by the lender decreases. The Master Portfolio may also experience delays in gaining access to the collateral.
Short Sales: The Master Portfolio may enter into short sale transactions in which the Master Portfolio sells a security it does not hold in anticipation of a decline in the market price of that security. When the Master Portfolio makes a short sale, it will borrow the security sold short (borrowed bond) and deliver it to the counterparty to which it sold the security short. An amount equal to the proceeds received by the Master Portfolio is reflected
|
|
|
|
|
|
56 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Notes to Financial Statements (continued) |
Master Total Return Portfolio |
as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Master Portfolio is required to repay the counterparty any interest received on the security sold short, which is shown as interest expense in the Statement of Operations. The Master Portfolio may pay a fee on the assets borrowed from the counterparty, which is shown as stock loan fees in the Statement of Operations. The Master Portfolio maintains a segregated account of securities or deposits cash with the broker-dealer as collateral for the short sales. The Master Portfolio may receive interest on its cash collateral deposited with the broker-dealer. The Master Portfolio is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of a theoretically unlimited loss since there is a theoretically unlimited potential for the market price of the security sold short to increase. A gain, limited to the price at which the Master Portfolio sold the security short, or a loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the market price is greater or less than the proceeds originally received. There is no assurance the Master Portfolio will be able to close out a short position at a particular time or at an acceptable price.
Forward Commitments and When-Issued Delayed Delivery Securities: The Master Portfolio may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Master Portfolio may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Master Portfolio may be required to pay more at settlement than the security is worth. In addition, the Master Portfolio is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Master Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Master Portfolios maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedule of Investments.
TBA Commitments: The Master Portfolio may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Master Portfolio generally enters into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
Mortgage Dollar Roll Transactions: The Master Portfolio may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Master Portfolio will not be entitled to receive interest and principal payments on the securities sold. The Master Portfolio accounts for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. These transactions may increase the Master Portfolios portfolio turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Master Portfolio is required to purchase may decline below the agreed upon repurchase price of those securities.
Treasury Roll Transactions: The Master Portfolio may enter into treasury roll transactions. In a treasury roll transaction the Master Portfolio sells a Treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. The Master Portfolio receives cash from the sale of the Treasury security to use for other investment purposes. The difference between the sale price and repurchase price represents net interest income or net interest expense reflective of an agreed upon rate between the Master Portfolio and the counterparty over the term of the borrowing. For US GAAP purposes, a treasury roll transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, interest income from the Treasury security and the related interest expense on the secured borrowing is recorded by the Master Portfolio on an accrual basis. The Master Portfolio will benefit from the transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense incurred by the Master Portfolio. If the interest expense exceeds the income earned, the Master Portfolios net investment income and dividends to shareholders may be adversely impacted. Treasury roll transactions involve the risk that the market value of the securities that the Master Portfolio is required to repurchase may decline below the agreed upon repurchase price of those securities.
Reverse Repurchase Agreements: The Master Portfolio may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Master Portfolio sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. Securities sold under reverse repurchase agreements are recorded at face value as a liability in the Statement of Assets and Liabilities. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. During the term of the reverse repurchase agreement, the Master Portfolio continues to receive the principal and interest payments on these securities. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Master Portfolio may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Master Portfolio is obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Master Portfolios use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Master Portfolios obligation to repurchase the securities.
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
57 |
|
|
|
|
Notes to Financial Statements (continued) |
Master Total Return Portfolio |
Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (SEC) require that the Master Portfolio either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, foreign currency exchange contracts, swaps, short sales and options written), or certain borrowings (e.g., reverse repurchase agreements and treasury roll transactions), the Master Portfolio will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.
Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statement of Operations.
Income Taxes: The Master Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Master Portfolio is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no federal income tax provision is required. It is intended that the Master Portfolios assets will be managed so an investor in the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Master Portfolio files US federal and various state and local tax returns. In May 2011, the Internal Revenue Service commenced an examination of Master Total Returns US federal tax return for the year ended September 30, 2009. The examination was completed in February 2012 and did not result in any adjustments to the tax return. No income tax returns are currently under examination. The statute of limitations on the Master Portfolios US federal tax returns remains open for each of the four years ended September 30, 2011. The statutes of limitations on the Master Portfolios state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
Recent Accounting Standards: In May 2011, the Financial Accounting Standards Board (the FASB) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed as well as disclosure of the level in the fair value hierarchy of assets and liabilities not recorded at fair value but where fair value is disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Master Portfolios financial statement disclosures.
In December 2011, the FASB issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset in the Statement of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Master Portfolios financial statement disclosures.
Other: Expenses directly related to the Master Portfolio are charged to the Master Portfolio. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.
The Master Portfolio has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.
2. Derivative Financial Instruments:
The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to economically hedge, or protect, its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk or other risk (inflation risk). These contracts may be transacted on an exchange or OTC.
Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract.
The Master Portfolios maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Master Portfolio bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counterparty fail to perform under the contracts. Options written by the Master Portfolio do not give rise to counterparty credit risk, as options written obligate the Master Portfolio to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts and options and centrally cleared swaps is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.
|
|
|
|
|
|
58 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Notes to Financial Statements (continued) |
Master Total Return Portfolio |
The Master Portfolio may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (ISDA Master Agreement) implemented between the Master Portfolio and each of its respective counterparties. An ISDA Master Agreement allows the Master Portfolio to offset with each separate counterparty certain derivative financial instruments payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Master Portfolio from its counterparties are not fully collateralized contractually or otherwise, the Master Portfolio bears the risk of loss from counterparty non-performance. See Note 1 Segregation and Collateralization for information with respect to collateral practices. In addition, the Master Portfolio manages counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Master Portfolios net assets decline by a stated percentage or the Master Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the Master Portfolio to accelerate payment of any net liability owed to the counterparty.
Financial Futures Contracts: The Master Portfolio purchases or sells financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Master Portfolio and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Master Portfolio as unrealized appreciation or depreciation. When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.
Foreign Currency Exchange Contracts: The Master Portfolio enters into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Master Portfolio, help to manage the overall exposure to the currencies in which some of the investments held by the Master Portfolio are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Master Portfolio as an unrealized gain or loss. When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.
Options: The Master Portfolio purchases and writes call and put options to increase or decrease its exposure to underlying instruments (including credit risk, foreign currency exchange rate risk, equity risk and interest rate risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Master Portfolio purchases (writes) an option, an amount equal to the premium paid (received) by the Master Portfolio is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Master Portfolio enters into a closing transaction), the Master Portfolio realizes a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Master Portfolio writes a call option, such option is covered, meaning that the Master Portfolio holds the underlying instrument subject to being called by the option counterparty. When the Master Portfolio writes a put option, such option is covered by cash in an amount sufficient to cover the obligation.
Options on swaps (swaptions) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.
The Master Portfolio also purchases or sells listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold. Such transactions may be effected with respect to hedges on non-US dollar denominated instruments owned by the Master Portfolio but not yet delivered, or committed or anticipated to be purchased by the Master Portfolio.
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
59 |
|
|
|
|
Notes to Financial Statements (continued) |
Master Total Return Portfolio |
In purchasing and writing options, the Master Portfolio bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Master Portfolio may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Master Portfolio purchasing or selling a security at a price different from the current market value.
Swaps: The Master Portfolio enters into swap agreements, in which the Master Portfolio and a counterparty agree to either make periodic net payments on a specified notional amount or net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be executed on a registered financial and commodities exchange (centrally cleared swaps). In a centrally cleared swap, the Master Portfolio typically enters into an agreement with a counterparty; however, performance is guaranteed by the central clearinghouse reducing or eliminating the Master Portfolios exposure to the credit risk of the counterparty. These payments received or made by the Master Portfolio are recorded in the Statement of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swaps, if any, is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. When the swap is terminated, the Master Portfolio will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Master Portfolios basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
|
|
|
Credit default swaps The Master Portfolio enters into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it is not otherwise exposed (credit risk). The Master Portfolio enters into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Master Portfolio may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Master Portfolio will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Master Portfolio will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. |
|
|
|
Total return swaps The Master Portfolio enters into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Master Portfolio will receive a payment from or make a payment to the counterparty. |
|
|
|
Interest rate swaps The Master Portfolio enters into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another partys stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time. |
|
|
|
|
|
|
60 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Notes to Financial Statements (continued) |
Master Total Return Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Asset Derivatives |
|
Liability Derivatives |
|
||||||||
|
|
Statement
of Assets and |
|
Value |
|
Statement
of Assets and |
|
Value |
|
||
Interest rate contracts |
|
Net unrealized
appreciation/depreciation1; |
|
$ |
9,215,304 |
|
Net unrealized
appreciation/depreciation1; |
|
$ |
24,641,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange contracts |
|
Unrealized appreciation on
foreign |
|
|
5,238,822 |
|
Unrealized depreciation on
foreign |
|
|
7,372,469 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
Unrealized appreciation on
swaps1; |
|
|
10,398,764 |
|
Unrealized depreciation on swaps1 |
|
|
13,469,140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity contracts |
|
Investments at value unaffiliated2 |
|
|
649,877 |
|
Net unrealized appreciation/depreciation1 |
|
|
224,040 |
|
Other contracts |
|
Unrealized appreciation on swaps1 |
|
|
|
|
Unrealized depreciation on swaps1 |
|
|
786,526 |
|
Total |
|
|
|
$ |
25,502,767 |
|
|
|
$ |
46,493,303 |
|
|
|
|
|
1 |
Includes cumulative unrealized appreciation/depreciation on financial futures contracts and centrally cleared swaps as reported in the Schedule of Investments. Only the current days variation margin is reported within the Statement of Assets and Liabilities. |
|
|
|
|
2 |
Includes options purchased at value as reported in the Schedule of Investments. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Effect of Derivative Financial Instruments in the
Statement of Operations |
|
||||||||||||
|
|
Net Realized Gain (Loss) From |
|
||||||||||
|
|
Financial
Futures |
|
Swaps |
|
Options3 |
|
Foreign
Currency |
|
||||
Interest rate contracts |
|
$ |
(10,201,570 |
) |
$ |
5,485,649 |
|
$ |
(2,477,842 |
) |
|
|
|
Foreign currency exchange contracts |
|
|
(390,306 |
) |
|
|
|
|
(1,928,755 |
) |
$ |
14,634,805 |
|
Credit contracts |
|
|
|
|
|
(1,163,494 |
) |
|
|
|
|
|
|
Equity contracts |
|
|
(2,642,135 |
) |
|
|
|
|
(890,142 |
) |
|
|
|
Other contracts |
|
|
|
|
|
968,579 |
|
|
|
|
|
|
|
Total |
|
$ |
(13,234,011 |
) |
$ |
5,290,734 |
|
$ |
(5,296,739 |
) |
$ |
14,634,805 |
|
|
|
|
|
||||||||||
|
|
Financial
Futures |
|
Swaps |
|
Options3 |
|
Foreign
Currency |
|
||||
Interest rate contracts |
|
$ |
2,544,716 |
|
$ |
(8,616,945 |
) |
$ |
9,924,725 |
|
|
|
|
Foreign currency exchange contracts |
|
|
(54,221 |
) |
|
(9,667,648 |
) |
|
(4,119,767 |
) |
$ |
(12,112,172 |
) |
Credit contracts |
|
|
|
|
|
|
|
|
39,565 |
|
|
|
|
Equity contracts |
|
|
(882,063 |
) |
|
|
|
|
(796,869 |
) |
|
|
|
Other contracts |
|
|
|
|
|
(1,860,290 |
) |
|
|
|
|
|
|
Total |
|
$ |
1,608,432 |
|
$ |
(20,144,883 |
) |
$ |
5,047,654 |
|
$ |
(12,112,172 |
) |
|
|
|
|
3 |
Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments. |
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
61 |
|
|
|
|
Notes to Financial Statements (continued) |
Master Total Return Portfolio |
For the six months ended March 31, 2012, the average quarterly balances of outstanding derivative financial instruments were as follows:
|
|
|
|
|
Financial futures contracts: |
|
|
|
|
Average number of contracts purchased |
|
|
3,616 |
|
Average number of contracts sold |
|
|
7,535 |
|
Average notional value of contracts purchased |
|
$ |
884,658,129 |
|
Average notional value of contracts sold |
|
$ |
1,235,030,958 |
|
Foreign currency exchange contracts: |
|
|
|
|
Average number of contracts US dollars purchased |
|
|
26 |
|
Average number of contracts US dollars sold |
|
|
12 |
|
Average US dollar amounts purchased |
|
$ |
361,183,366 |
|
Average US dollar amounts sold |
|
$ |
137,792,656 |
|
Options: |
|
|
|
|
Average number of option contracts purchased |
|
|
455,918 |
|
Average number of option contracts written |
|
|
352,153 |
|
Average notional value of option contracts purchased |
|
$ |
557,654,019 |
|
Average notional value of option contracts written |
|
$ |
368,955,946 |
|
Average number of swaption contracts purchased |
|
|
10 |
|
Average number of swaption contracts written |
|
|
16 |
|
Average notional value of swaption contracts purchased |
|
$ |
459,628,120 |
|
Average notional value of swaption contracts written |
|
$ |
775,098,125 |
|
Credit default swaps: |
|
|
|
|
Average number of contracts buy protection |
|
|
66 |
|
Average number of contracts sell protection |
|
|
46 |
|
Average notional value buy protection |
|
$ |
683,586,499 |
|
Average notional value sell protection |
|
$ |
405,510,000 |
|
Interest rate swaps: |
|
|
|
|
Average number of contracts pays fixed rate |
|
|
18 |
|
Average number of contracts receives fixed rate |
|
|
21 |
|
Average notional value pays fixed rate |
|
$ |
666,350,000 |
|
Average notional value receives fixed rate |
|
$ |
552,100,000 |
|
Total return swaps: |
|
|
|
|
Average number of contracts |
|
|
7 |
|
Average notional value |
|
$ |
93,535,400 |
|
3. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (PNC) and Barclays Bank PLC (Barclays) are the largest stockholders of BlackRock, Inc. (BlackRock). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.
The Master LLC, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the Manager), the Master LLCs investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Master Portfolios portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Master Portfolio. For such services, the Master Portfolio pays the Manager a monthly fee based on the percentage of the Master Portfolios average daily net assets at the following annual rates:
|
|
|
|
|
Average Daily Net Assets |
|
Investment |
|
|
First $250 million |
|
|
0.20 |
% |
$250 million $500 million |
|
|
0.15 |
% |
$500 million $750 million |
|
|
0.10 |
% |
Greater than $750 million |
|
|
0.05 |
% |
The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds, However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolios investment in other affiliated investment companies, if any. This amount is shown as fees waived by advisor in the Statement of Operations.
The Manager entered into sub-advisory agreements with BlackRock Financial Management, Inc. (BFM) and BlackRock International Limited (BIL), each an affiliate of the Manager. The Manager pays each of BFM and BIL, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Master Portfolio to the Manager.
For the six months ended March 31, 2012, the Master LLC reimbursed the Manager $26,417 for certain accounting services, which is included in accounting services in the Statement of Operations.
Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates. The Master Portfolio reimburses the Manager for compensation paid to the Master LLCs Chief Compliance Officer.
4. Investments:
Purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities and US government securities for the six months ended March 31, 2012, were $18,603,431,894 and $19,408,718,658, respectively.
Purchases and sales of US government securities for the six months ended March 31, 2012, were $9,794,963,195 and $9,435,146,447, respectively.
For the six months ended March 31, 2012, purchases and sales of mortgage dollar rolls were $5,537,950,154 and $5,949,902,879, respectively.
|
|
|
|
|
|
62 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
Notes to Financial Statements (concluded) |
Master Total Return Portfolio |
Transactions in options written for the six months ended March 31, 2012, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls |
|
Puts |
|
|||||||||||||||
|
|
Option |
|
Swaptions |
|
Premiums |
|
Option |
|
Swaptions |
|
Premiums |
|
|||||||
Outstanding options, beginning of period |
|
|
1,328 |
|
$ |
1,401,122 |
|
$ |
9,048,993 |
|
|
|
|
|
$ |
663,265 |
|
$ |
10,586,781 |
|
Options written |
|
|
3,424 |
|
|
1,389,440 |
|
|
23,339,694 |
|
|
|
7,234 |
|
|
1,347,405 |
|
|
29,919,605 |
|
Options exercised |
|
|
(140 |
) |
|
(79,600 |
) |
|
(530,068 |
) |
|
|
|
|
|
|
|
|
|
|
Options expired |
|
|
(1,884 |
) |
|
(1,280,502 |
) |
|
(4,907,369 |
) |
|
|
(541 |
) |
|
(1,045,501 |
) |
|
(20,421,643 |
) |
Options closed |
|
|
(2,728 |
) |
|
(1,054,800 |
) |
|
(20,663,730 |
) |
|
|
(6,693 |
) |
|
(343,359 |
) |
|
(11,601,164 |
) |
Outstanding options, end of period |
|
|
|
|
$ |
375,660 |
|
$ |
6,287,520 |
|
|
|
|
|
$ |
621,810 |
|
$ |
8,483,579 |
|
5. Borrowings:
The Master LLC, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders. The Master Portfolio may borrow under the credit agreement to fund shareholder redemptions. Effective November 2010 to November 2011, the credit agreement had the following terms: a commitment fee of 0.08% per annum based on the Master Portfolios pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.00% per annum or (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Master Portfolio paid administration and arrangement fees which were allocated to the Master Portfolio based on its net assets as of October 31, 2010. The credit agreement, which expired in November 2011, was renewed until November 2012. Effective November 2011 to November 2012, the credit agreement has the following terms: a commitment fee of 0.065% per annum based on the Master Portfolios pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed. In addition, the Master Portfolio paid administration and arrangement fees which were allocated to the Master Portfolio based on its net assets as of October 31, 2011. The Master Portfolio did not borrow under the credit agreement during the six months ended March 31, 2012.
For the six months ended March 31, 2012, the average amount of outstanding transactions considered as borrowings and the daily weighted average interest rate from reverse repurchase agreements and treasury roll transactions were $784,252,182 and 0.49%, respectively.
6. Concentration, Market and Credit Risk:
In the normal course of business, the Master Portfolio invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Master Portfolio; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity with which the Master Portfolio has unsettled or open transactions may fail to or be unable to perform on its commitments. The Master Portfolio manages coun-terparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolios exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Master Portfolios Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.
The Master Portfolio invests a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedule of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.
7. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Master Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
63 |
|
|
|
Robert M. Hernandez, Chairman of the Board and Director |
Fred G. Weiss, Vice Chairman of the Board and Director |
Paul L. Audet, Director |
James H. Bodurtha, Director |
Bruce R. Bond, Director |
Donald W. Burton, Director |
Honorable Stuart E. Eizenstat, Director |
Laurence D. Fink, Director |
Kenneth A. Froot, Director |
Henry Gabbay, Director |
John F. OBrien, Director |
Roberta Cooper Ramo, Director |
David H. Walsh, Director |
John M. Perlowski, President and Chief Executive Officer |
Brendan Kyne, Vice President |
Neal Andrews, Chief Financial Officer |
Jay Fife, Treasurer |
Brian Kindelan, Chief Compliance Officer and |
Anti-Money Laundering Officer |
Ira P. Shapiro, Secretary |
|
Investment Advisor |
BlackRock Advisors, LLC |
Wilmington, DE 19809 |
|
Sub-Advisor |
BlackRock Investment Management, LLC |
Princeton, NJ 08540 |
|
Custodian |
Bank of New York Mellon |
New York, NY 10286 |
|
Transfer Agent |
BNY Mellon Investment Servicing (US) Inc. |
Wilmington, DE 19809 |
|
Accounting Agent |
State Street Bank and Trust Company |
Boston, MA 02110 |
|
Distributor |
BlackRock Investments, LLC |
New York, NY 10022 |
|
Independent Registered Public Accounting Firm |
Deloitte & Touche LLP |
Boston, MA 02116 |
|
Legal Counsel |
Willkie Farr & Gallagher LLP |
New York, NY 10019 |
|
Address of the Fund |
100 Bellevue Parkway |
Wilmington, DE 19809 |
|
|
|
|
|
|
|
|
64 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
|
General Information |
Electronic Delivery
Electronic copies of most financial reports and prospectuses are available on the Funds website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports and prospectuses by enrolling in the Funds electronic delivery program.
To enroll:
Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly with BlackRock:
1) Access the BlackRock website at http://www.blackrock.com/edelivery
2) Select eDelivery under the More Information section
3) Log into your account
Householding
The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called householding and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Fund at (800) 441-7762.
Availability of Quarterly Schedule of Investments
The Fund/Master Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds/Master Portfolios Forms N-Q are available on the SECs website at http://www.sec.gov and may also be reviewed and copied at the SECs Public Reference Room in Washington, D.C. Information on how to access documents on the SECs website without charge may be obtained by calling (800) SEC-0330. The Funds/Master Portfolios Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund/Master Portfolios use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SECs website at http://www.sec.gov.
Availability of Proxy Voting Record
Information about how the Fund/Master Portfolios voted proxies relating to securities held in the Funds/Master Portfolios portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SECs website at http://www.sec.gov.
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
65 |
|
|
Additional Information (concluded) |
|
Shareholder Privileges |
Account Information
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.
Automatic Investment Plans
Investor Class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor Class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
|
BlackRock Privacy Principles |
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, Clients) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
|
|
|
|
|
|
|
|
66 |
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
|
|
|
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed income and tax-exempt investing.
|
Equity Funds |
|
BlackRock ACWI ex-US Index Fund |
BlackRock All-Cap Energy & Resources Portfolio |
BlackRock Balanced Capital Fund |
BlackRock Basic Value Fund |
BlackRock Capital Appreciation Fund |
BlackRock China Fund |
BlackRock Commodity Strategies Fund |
BlackRock Emerging Markets Fund |
BlackRock Emerging Markets Long/Short Equity Fund |
BlackRock Energy & Resources Portfolio |
BlackRock Equity Dividend Fund |
BlackRock EuroFund |
BlackRock Focus Growth Fund |
BlackRock Global Allocation Fund |
BlackRock Global Dividend Income Portfolio |
BlackRock Global Dynamic Equity Fund |
BlackRock Global Opportunities Portfolio |
BlackRock Global SmallCap Fund |
BlackRock Health Sciences Opportunities Portfolio |
BlackRock Index Equity Portfolio |
BlackRock India Fund |
BlackRock International Fund |
BlackRock International Index Fund |
BlackRock International Opportunities Portfolio |
BlackRock Large Cap Core Fund |
BlackRock Large Cap Core Plus Fund |
BlackRock Large Cap Growth Fund |
BlackRock Large Cap Value Fund |
BlackRock Latin America Fund |
BlackRock Managed Volatility Portfolio |
BlackRock Mid-Cap Growth Equity Portfolio |
BlackRock Mid-Cap Value Equity Portfolio |
BlackRock Mid Cap Value Opportunities Fund |
BlackRock Natural Resources Trust |
BlackRock Pacific Fund |
BlackRock Russell 1000 Index Fund |
BlackRock Science & Technology Opportunities Portfolio |
BlackRock Small Cap Growth Equity Portfolio |
BlackRock Small Cap Growth Fund II |
BlackRock Small Cap Index Fund |
BlackRock S&P 500 Index Fund |
BlackRock S&P 500 Stock Fund |
BlackRock U.S. Opportunities Portfolio |
BlackRock Value Opportunities Fund |
BlackRock World Gold Fund |
|
Fixed Income Funds |
|
BlackRock Bond Index Fund |
BlackRock Core Bond Portfolio |
BlackRock CoreAlpha Bond Fund |
BlackRock Emerging Market Debt Portfolio |
BlackRock Floating Rate Income Portfolio |
BlackRock Global Long/Short Credit Fund |
BlackRock GNMA Portfolio |
BlackRock High Yield Bond Portfolio |
BlackRock Inflation Protected Bond Portfolio |
BlackRock International Bond Portfolio |
BlackRock Long Duration Bond Portfolio |
BlackRock Low Duration Bond Portfolio |
BlackRock Multi-Asset Income Portfolio |
BlackRock Multi-Sector Bond Portfolio |
BlackRock Strategic Income Opportunities Portfolio |
BlackRock Total Return Fund |
BlackRock US Government Bond Portfolio |
BlackRock US Mortgage Portfolio |
BlackRock World Income Fund |
|
Municipal Bond Funds |
|
BlackRock California Municipal Bond Fund |
BlackRock High Yield Municipal Fund |
BlackRock Intermediate Municipal Fund |
BlackRock National Municipal Fund |
BlackRock New Jersey Municipal Bond Fund |
BlackRock New York Municipal Bond Fund |
BlackRock Pennsylvania Municipal Bond Fund |
BlackRock Short-Term Municipal Fund |
|
Target Risk & Target Date Funds |
|
BlackRock Prepared Portfolios |
|
BlackRock Lifecycle Prepared Portfolios |
2015 |
2020 |
2025 |
2030 |
2035 |
2040 |
2045 |
2050 |
|
LifePath Portfolios |
2020 |
2025 |
2030 |
2035 |
2040 |
2045 |
2050 |
2055 |
|
LifePath Index Portfolios |
2020 |
2025 |
2030 |
2035 |
2040 |
2045 |
2050 |
2055 |
|
|
|
Mixed asset fund. |
BlackRock mutual funds are currently distributed by BlackRock Investments, LLC. You should consider the investment objectives, risks, charges and expenses of the funds under consideration carefully before investing. Each funds prospectus contains this and other information and is available at www.blackrock.com or by calling (800) 441-7762 or from your financial advisor. The prospectus should be read carefully before investing.
|
|
|
|
|
|
|
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. |
MARCH 31, 2012 |
67 |
This report is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless accompanied or preceded by the Funds current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
|
|
|
|
|
|
|
|
|
#10252-3/12-SAR |
|
Item 2 |
Code of Ethics Not Applicable to this semi-annual report |
|
|
Item 3 |
Audit Committee Financial Expert Not Applicable to this semi-annual report |
|
|
Item 4 |
Principal Accountant Fees and Services Not Applicable to this semi-annual report |
|
|
Item 5 |
Audit Committee of Listed Registrants Not Applicable |
|
|
Item 6 |
Investments |
|
(a) The registrants Schedules of Investments are included as part of the Report to Stockholders filed under Item 1 of this Form. |
|
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing. |
|
|
Item 7 |
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies Not Applicable |
|
|
Item 8 |
Portfolio Managers of Closed-End Management Investment Companies Not Applicable |
|
|
Item 9 |
Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers Not Applicable |
|
|
Item 10 |
Submission of Matters to a Vote of Security Holders There have been no material changes to these procedures. |
|
|
Item 11 |
Controls and Procedures |
|
|
(a) |
The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
|
|
(b) |
There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. |
|
|
Item 12 |
Exhibits attached hereto |
|
|
(a)(1) |
Code of Ethics Not Applicable to this semi-annual report |
|
|
(a)(2) |
Certifications Attached hereto |
|
|
(a)(3) |
Not Applicable |
|
|
(b) |
Certifications Attached hereto |
|
|
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. | ||
|
| ||
|
BlackRock 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: June 4, 2012 | |||
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: June 4, 2012 | |||
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: June 4, 2012 | |||
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-CSR 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrants as of, and for, the periods presented in this report;
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 second fiscal quarter of the period covered by this report 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: June 4, 2012
/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-CSR 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrants as of, and for, the periods presented in this report;
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 second fiscal quarter of the period covered by this report 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: June 4, 2012
/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
Exhibit 99.1350CERT
Certification Pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002
Pursuant to 18 U.S.C. § 1350, the undersigned 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 (the registrants), hereby certifies, to the best of his knowledge, that the registrants' Report on Form N-CSR for the period ended March 31, 2012 (the Report) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrants.
Date: June 4, 2012
/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
Pursuant to 18 U.S.C. § 1350, the undersigned 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 (the registrants), hereby certifies, to the best of his knowledge, that the registrants' Report on Form N-CSR for the period ended March 31, 2012 (the Report) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrants.
Date: June 4, 2012
/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
This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission.
6UAMXSF,[+13^K)/=]7"E9M_1YL^O&8[3BN
MF+=O0#=W`'_\B:^JG_K4_E?Y0?\`L6_C7YG_`+.762(;JKJO+9C7\UO')Y6`
M_P#@7?\`]U/SHKZ*5K\S\.;>NUI7N&^E7T^P^UK/!6[2KV37"FX?7TZRE_PJ
MG9WFV_.T_P!%M.UUUY5=3'&L48CB01QCL1`%4?".-7V$LNZ..,KIIH0QH*C"?2BQQ>6M,B,C+
M,UO,MS);B-8XFEBYXAY:@MRHXQ=OX!KKPH9=M)!%+IS%#:=FM$,/)6ORQ^/M
MH'DK7Y8_'VT#R5K\L?C[:!Y*U^6/Q]M`\E:_+'X^V@>2M?EC\?;0/)6ORQ^/
MMH'DK7Y8_'VT#R5K\L?C[:!Y*U^6/Q]M`\E:_+'X^V@>2M?EC\?;0/)6ORQ^
M/MH'DK7Y8_'VT#R5K\L?C[:!Y*U^6/Q]M`\E:_+'X^V@>2M?EC\?;00LO?\`
M3F&MC=9:YM[&W'_$GD":_8H)U8_=7=-=KSBL9]?$=$X^3J?,#@SPZK91?YI)^P@?9P_S5MI
MV,Q'5LGHK\_@R7[N)GII'5/R1[?Z7YSJ.=+_`.HN6;(!3OBP-D3#8Q'T,5T+
M_P#;Q&NI[RNN,:8Q_P"4\W,=M:_'9.?9')]#Q^.L,=:1V6/MH[2TB&D<$*A$
M'[!6"UIM.9G,ME:Q$8CDD5RDH%`H%`H%`H%`H%`[J!0*!0*!0*!0*!0*!0:Y
M9X(5W32+&OI=@O\`C00KS/XRU94>0R2.H=$B4N2I[#J.'&I&%SDLD6066/:5
M9$5Q+(0BC=W$>D4'MS;YV=UY5U':1%%WJJ[W#Z>+0GNU[*!
';0:)NH,)!,(9KV*.3Q\&.@'++*VYM-JZ%&'$\2#IV4
M2D6-_9WULMS:2B:!B5#C4<5.C`A@""#V@BB$B@4$:_R-CCX.?>S""'70NP)`
MT&I)T!T``U)[`.VB6,N5QL4\=O+