UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-02405, 811-09739 and 811-21434
Name of Fund: BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC, 55 East 52nd Street, New York, NY 10055
Registrants telephone number, including area code: (800) 441-7762
Date of fiscal year end: 09/30/2013
Date of reporting period: 12/31/2012
Item 1 | | Schedule of Investments |
Schedule of Investments December 31, 2012 (Unaudited) | BlackRock Balanced Capital Fund, Inc. | |
(Percentages shown are based on Net Assets) |
Mutual Funds |
Value | |||||
Master Large Cap Core Portfolio of Master Large Cap Series LLC |
$ | 562,254,676 | ||||
Master Total Return Portfolio of Master Bond LLC |
365,786,984 | |||||
|
|
|||||
Total Investments (Cost - $827,438,783) 100.2% |
928,041,660 | |||||
Liabilities in Excess of Other Assets (0.2)% |
(1,697,593 | ) | ||||
|
|
|||||
Net Assets 100.0% |
$ | 926,344,067 | ||||
|
|
Investments in issuers considered to be an affiliate of the Fund during the period ended December 31, 2012, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliate |
Shares Held at September 30, 2012 |
Net Activity | Shares Held at December 31, 2012 |
Income | ||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
6,285,043 | (6,285,043 | ) | | $ | 1,803 |
BlackRock Balanced Capital Fund, Inc. (the Fund) seeks to achieve its investment objective by investing all of its assets in Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC (collectively the Master Portfolios), which have the same investment objectives and strategies as the Fund. As of December 31, 2012, the value of the investments and the percentage owned by the Fund of Master Large Cap Core Portfolio and Master Total Return Portfolio was $562,254,676 and $365,786,984, respectively and 25.3% and 10.5%, respectively.
The Fund records its investments in the Master Portfolios at fair value. The Funds investments in the Master Portfolios are valued pursuant to the pricing policies approved by the Board of Directors of the Master Portfolios.
| Fair Value Measurements Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
| Level 1 unadjusted price quotations in active markets/exchanges for identical assets and liabilities that each Master Portfolio has the ability to access |
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Master Portfolios own assumptions used in determining the fair value of investments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolios policies, 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 the Master Portfolios most recent financial statements as contained in their annual reports.
As of December 31, 2012, the Funds investment in the Master Portfolios was classified as Level 2.
Certain of the Funds liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of December 31, 2012, a bank overdraft of $638,222 is categorized as Level 2 within the disclosure hierarchy.
There were no transfers between levels during the period ended December 31, 2012.
BLACKROCK BALANCED CAPITAL FUND, INC. | DECEMBER 31, 2012 | 1 |
Schedule of Investments December 31, 2012 (Unaudited) | Master Large Cap Core Portfolio | |
(Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Consumer Discretionary 12.1% |
||||||||
Auto Components 1.4% |
||||||||
Lear Corp. |
255,400 | $ | 11,962,936 | |||||
TRW Automotive Holdings Corp.(a) |
339,493 | 18,200,220 | ||||||
|
|
|||||||
30,163,156 | ||||||||
|
|
|||||||
Media 7.4% |
||||||||
Comcast Corp., Class A |
1,643,700 | 61,441,506 | ||||||
News Corp., Class A |
2,089,250 | 53,359,445 | ||||||
Time Warner Cable, Inc. |
517,380 | 50,284,162 | ||||||
|
|
|||||||
165,085,113 | ||||||||
|
|
|||||||
Multiline Retail 1.0% |
||||||||
Dillards, Inc., Class A |
261,965 | 21,944,808 | ||||||
|
|
|||||||
Specialty Retail 1.0% |
||||||||
PetSmart, Inc. |
342,635 | 23,415,676 | ||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 1.3% |
||||||||
NIKE, Inc., Class B |
566,800 | 29,246,880 | ||||||
|
|
|||||||
Total Consumer Discretionary |
269,855,633 | |||||||
|
|
|||||||
Consumer Staples 7.2% |
||||||||
Beverages 2.7% |
||||||||
The Coca-Cola Co. |
1,180,875 | 42,806,719 | ||||||
Constellation Brands, Inc., Class A(a) |
453,600 | 16,052,904 | ||||||
|
|
|||||||
58,859,623 | ||||||||
|
|
|||||||
Food & Staples Retailing 4.4% |
||||||||
CVS Caremark Corp. |
988,725 | 47,804,854 | ||||||
Wal-Mart Stores, Inc. |
742,950 | 50,691,478 | ||||||
|
|
|||||||
98,496,332 | ||||||||
|
|
|||||||
Tobacco 0.1% |
||||||||
Philip Morris International, Inc. |
36,475 | 3,050,769 | ||||||
|
|
|||||||
Total Consumer Staples |
160,406,724 | |||||||
|
|
|||||||
Energy 11.2% |
||||||||
Energy Equipment & Services 0.5% |
||||||||
Oceaneering International, Inc. |
228,100 | 12,269,499 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 10.7% |
||||||||
Chevron Corp. |
487,575 | 52,726,360 | ||||||
Exxon Mobil Corp. |
948,600 | 82,101,330 | ||||||
Marathon Oil Corp. |
540,675 | 16,577,096 | ||||||
Marathon Petroleum Corp. |
645,650 | 40,675,950 | ||||||
Suncor Energy, Inc. |
1,371,540 | 45,233,389 | ||||||
|
|
|||||||
237,314,125 | ||||||||
|
|
|||||||
Total Energy |
249,583,624 | |||||||
|
|
|||||||
Financials 17.4% |
||||||||
Capital Markets 2.9% |
||||||||
The Goldman Sachs Group, Inc. |
453,731 | 57,877,926 | ||||||
State Street Corp. |
142,581 | 6,702,733 | ||||||
|
|
|||||||
64,580,659 | ||||||||
|
|
|||||||
Commercial Banks 2.7% |
||||||||
SunTrust Banks, Inc. |
243,452 | 6,901,864 | ||||||
US Bancorp |
1,682,175 | 53,728,670 | ||||||
|
|
|||||||
60,630,534 | ||||||||
|
|
|||||||
Consumer Finance 1.2% |
||||||||
Discover Financial Services |
668,300 | 25,762,965 | ||||||
|
|
|||||||
Diversified Financial Services 6.4% |
||||||||
Citigroup, Inc. |
1,667,118 | 65,951,188 | ||||||
JPMorgan Chase & Co. |
1,733,624 | 76,227,447 | ||||||
|
|
|||||||
142,178,635 | ||||||||
|
|
|||||||
Insurance 4.2% |
||||||||
Allied World Assurance Co. Holdings AG |
76,900 | 6,059,720 | ||||||
American Financial Group, Inc. |
124,900 | 4,936,048 | ||||||
American International Group, Inc.(a) |
780,100 | 27,537,530 | ||||||
The Chubb Corp. |
175,000 | 13,181,000 | ||||||
Everest Re Group Ltd. |
9,700 | 1,066,515 | ||||||
PartnerRe Ltd. |
144,200 | 11,606,658 | ||||||
The Travelers Cos., Inc. |
413,600 | 29,704,752 | ||||||
|
|
|||||||
94,092,223 | ||||||||
|
|
|||||||
Total Financials |
387,245,016 | |||||||
|
|
|||||||
Health Care 13.0% |
||||||||
Health Care Providers & Services 2.8% |
||||||||
McKesson Corp. |
300,025 | 29,090,424 | ||||||
UnitedHealth Group, Inc. |
588,075 | 31,897,188 | ||||||
|
|
|||||||
60,987,612 | ||||||||
|
|
|||||||
Life Sciences Tools & Services 1.2% |
||||||||
Agilent Technologies, Inc. |
653,700 | 26,762,478 | ||||||
|
|
|||||||
Pharmaceuticals 9.0% |
||||||||
Abbott Laboratories |
565,500 | 37,040,250 | ||||||
Eli Lilly & Co. |
409,775 | 20,210,103 | ||||||
Forest Laboratories, Inc.(a) |
682,700 | 24,112,964 | ||||||
Johnson & Johnson |
126,625 | 8,876,412 | ||||||
Merck & Co., Inc. |
1,078,550 | 44,155,837 | ||||||
Pfizer, Inc. |
2,631,275 | 65,992,377 | ||||||
|
|
|||||||
200,387,943 | ||||||||
|
|
|||||||
Total Health Care |
288,138,033 | |||||||
|
|
|||||||
Industrials 9.2% |
||||||||
Airlines 2.7% |
||||||||
Copa Holdings SA, Class A |
115,300 | 11,466,585 | ||||||
Delta Air Lines, Inc. (a) |
1,886,325 | 22,390,678 | ||||||
United Continental Holdings, Inc.(a)(b) |
1,110,839 | 25,971,416 | ||||||
|
|
|||||||
59,828,679 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.6% |
||||||||
Tyco International Ltd. |
477,800 | 13,975,650 | ||||||
|
|
|||||||
Construction & Engineering 1.1% |
||||||||
KBR, Inc. |
815,100 | 24,387,792 | ||||||
|
|
|||||||
Industrial Conglomerates 3.1% |
||||||||
3M Co. |
597,075 | 55,438,414 | ||||||
General Electric Co. |
616,750 | 12,945,582 | ||||||
|
|
|||||||
68,383,996 | ||||||||
|
|
MASTER LARGE CAP SERIES LLC | DECEMBER 31, 2012 | 1 |
Schedule of Investments (continued) | Master Large Cap Core Portfolio | |
(Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Industrials (concluded) |
| |||||||
Machinery 1.7% |
| |||||||
Ingersoll-Rand Plc |
546,100 | $ | 26,190,956 | |||||
Oshkosh Corp.(a) |
395,200 | 11,717,680 | ||||||
|
|
|||||||
37,908,636 | ||||||||
|
|
|||||||
Total Industrials |
|
204,484,753 | ||||||
|
|
|||||||
Information Technology 21.5% |
||||||||
Computers & Peripherals 6.0% |
||||||||
Apple, Inc. |
165,350 | 88,136,510 | ||||||
EMC Corp.(a)(b) |
1,233,900 | 31,217,670 | ||||||
Western Digital Corp. |
325,950 | 13,849,616 | ||||||
|
|
|||||||
133,203,796 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.6% |
||||||||
Avnet, Inc.(a) |
442,500 | 13,544,925 | ||||||
|
|
|||||||
Internet Software & Services 3.6% |
||||||||
Google, Inc., Class A(a) |
112,375 | 79,715,454 | ||||||
|
|
|||||||
IT Services 4.4% |
||||||||
International Business Machines Corp. |
110,650 | 21,195,008 | ||||||
MasterCard, Inc., Class A |
109,250 | 53,672,340 | ||||||
Teradata Corp.(a) |
390,600 | 24,174,234 | ||||||
|
|
|||||||
99,041,582 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 1.6% |
||||||||
KLA-Tencor Corp. |
752,075 | 35,919,102 | ||||||
|
|
|||||||
Software 5.3% |
||||||||
Activision Blizzard, Inc. |
2,078,800 | 22,076,856 | ||||||
Microsoft Corp. |
1,895,050 | 50,654,686 | ||||||
Oracle Corp. |
1,346,700 | 44,872,044 | ||||||
|
|
|||||||
117,603,586 | ||||||||
|
|
|||||||
Total Information Technology |
|
479,028,445 | ||||||
|
|
|||||||
Materials 4.5% |
||||||||
Containers & Packaging 2.0% |
||||||||
Packaging Corp. of America |
639,513 | 24,602,065 | ||||||
Rock-Tenn Co., Class A |
289,094 | 20,210,562 | ||||||
|
|
|||||||
44,812,627 | ||||||||
|
|
|||||||
Paper & Forest Products 2.5% |
||||||||
Domtar Corp. |
259,500 | 21,673,440 | ||||||
International Paper Co. |
857,300 | 34,154,832 | ||||||
|
|
|||||||
55,828,272 | ||||||||
|
|
|||||||
Total Materials |
100,640,899 | |||||||
|
|
|||||||
Telecommunication Services 1.3% |
||||||||
Diversified Telecommunication Services 1.3% |
||||||||
Verizon Communications, Inc. |
672,800 | 29,112,056 | ||||||
|
|
|||||||
Utilities 1.7% |
||||||||
Independent Power Producers & Energy Traders 1.1% |
||||||||
The AES Corp. |
1,139,400 | 12,191,580 | ||||||
NRG Energy, Inc. |
531,400 | 12,216,886 | ||||||
|
|
|||||||
24,408,466 | ||||||||
|
|
|||||||
Multi-Utilities 0.6% |
||||||||
Ameren Corp. |
397,200 | 12,201,984 | ||||||
|
|
|||||||
Total Utilities |
36,610,450 | |||||||
|
|
|||||||
Total Long-Term Investments (Cost $1,825,817,882) 99.1% |
2,205,105,633 | |||||||
|
|
|||||||
Short-Term Securities |
||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, |
||||||||
0.11%(c)(d) |
8,533,756 | 8,533,756 | ||||||
|
|
|||||||
Beneficial Interest (000) |
||||||||
BlackRock Liquidity Series LLC, Money Market Series, |
||||||||
0.29%(c)(d)(e) |
29,695 | 29,694,990 | ||||||
|
|
|||||||
Total Short-Term Securities (Cost $38,228,746) 1.7% |
38,228,746 | |||||||
|
|
|||||||
Total Investments (Cost$1,864,046,628*) 100.8% |
2,243,334,379 | |||||||
Liabilities in Excess of Other Assets (0.8)% |
(17,823,724 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 2,225,510,655 | ||||||
|
|
* | As of December 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes was as follows: |
Tax cost |
$ | 1,861,694,532 | ||
|
|
|||
Gross unrealized appreciation |
396,290,090 | |||
Gross unrealized depreciation |
(14,650,243 | ) | ||
|
|
|||
Net unrealized appreciation |
381,639,847 | |||
|
|
2 | MASTER LARGE CAP SERIES LLC | DECEMBER 31, 2012 |
Schedule of Investments (continued) | Master Large Cap Core Portfolio | |
Notes to Schedule of Investments
(a) | Non-income producing security. |
(b) | Security, or a portion of security, is on loan. |
(c) | Investments in issuers considered to be an affiliate of the Portfolio during the period ended December 31, 2012, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate |
Shares/ Beneficial Interest Held at September 30, 2012 |
Net Activity | Shares/ Beneficial Interest Held at December 31, 2012 |
Income | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
40,033,302 | (31,499,546 | ) | 8,533,756 | $ | 6,487 | ||||||||||
BlackRock Liquidity Series LLC, Money Market Series |
$ | 22,802,709 | $ | 6,892,281 | $ | 29,694,990 | $ | 6,165 |
(d) | Represents the current yield as of report date. |
(e) | Security was purchased with the cash collateral from loaned securities. The Portfolio may withdraw up to 25% of its investment daily, although the manager of the Money Market Series LLC, in its sole discretion, may permit an investor to withdraw more than 25% on any one day. |
| 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 to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
| Level 1 unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Portfolio has the ability to access |
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolios own assumptions used in determining the fair value of investments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Portfolios 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 Portfolios policy regarding valuation of investments and other significant accounting policies, please refer to the Portfolios most recent financial statements as contained in its annual report.
The following table summarizes the Portfolios investments categorized in the disclosure hierarchy as of December 31, 2012:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Investments: |
||||||||||||||||
Long-Term Investments1 |
$ | 2,205,105,633 | | | $ | 2,205,105,633 | ||||||||||
Short-Term Securities |
8,533,756 | $ | 29,694,990 | | 38,228,746 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 2,213,639,389 | $ | 29,694,990 | | $ | 2,243,334,379 | |||||||||
|
|
|
|
|
|
|
|
1 | See above Schedule of Investments for values in each industry. |
MASTER LARGE CAP SERIES LLC | DECEMBER 31, 2012 | 3 |
Schedule of Investments (concluded) | Master Large Cap Core Portfolio | |
Certain of the Portfolios liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of December 31, 2012, collateral on securities loaned at value in the amount of $29,694,990 is categorized as Level 2 within the disclosure hierarchy.
There were no transfers between levels during the period ended December 31, 2012.
4 | MASTER LARGE CAP SERIES LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments December 31, 2012 (Unaudited) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Asset-Backed Securities |
Par (000) |
Value | ||||||
321 Henderson Receivables I LLC, Class A(a): |
||||||||
Series 2010-1A, 5.56%, 7/15/59 |
USD | 7,926 | $ | 9,037,174 | ||||
Series 2010-2A, 4.07%, 1/15/48 |
3,967 | 4,269,712 | ||||||
Series 2010-3A, 3.82%, 12/15/48 |
7,674 | 8,093,439 | ||||||
Series 2012-3A, 3.22%, 9/15/65 |
4,239 | 4,232,436 | ||||||
ACE Securities Corp.(b): |
||||||||
Series 2003-OP1, Class A2, 0.93%, 12/25/33 |
581 | 496,149 | ||||||
Series 2006-CW1, Class A2C, 0.35%, 7/25/36 |
1,659 | 1,075,497 | ||||||
AH Mortgage Advance Co. Ltd., Series SART-3, Class 1A1, |
||||||||
2.98%, 3/13/43(a) |
5,685 | 5,709,366 | ||||||
AH Mortgage Servicer Advance Revolving Trust I, Series SART-1, Class A1R, |
||||||||
2.23%, 5/10/43(a) |
3,370 | 3,372,359 | ||||||
Alm Loan Funding, Series 2012-7A, Class A1, |
||||||||
1.70%, 10/19/24(a)(b) |
9,870 | 9,870,000 | ||||||
AmeriCredit Automobile Receivables Trust: |
||||||||
Series 2011-5, Class C, 3.44%, 10/08/17 |
4,050 | 4,278,278 | ||||||
Series 2012-2, Class C, 2.64%, 10/10/17 |
3,080 | 3,164,623 | ||||||
Series 2012-2, Class D, 3.38%, 4/09/18 |
4,230 | 4,378,202 | ||||||
Series 2012-3, Class C, 2.42%, 5/08/18 |
2,880 | 2,987,508 | ||||||
Series 2012-3, Class D, 3.03%, 7/09/18 |
1,910 | 1,954,514 | ||||||
Series 2012-4, Class B, 1.31%, 11/08/17 |
1,825 | 1,834,084 | ||||||
Series 2012-4, Class C, 1.93%, 8/08/18 |
2,865 | 2,887,685 | ||||||
Series 2012-4, Class D, 2.68%, 10/09/18 |
5,630 | 5,697,393 | ||||||
Series 2012-5, Class C, 1.69%, 11/08/18 |
3,440 | 3,440,551 | ||||||
Series 2012-5, Class D, 2.35%, 12/10/18 |
3,985 | 3,983,045 | ||||||
ARES CLO Ltd., Series 2012-2A, Class B1, |
||||||||
3.43%, 10/12/23(a)(b) |
3,015 | 3,041,381 | ||||||
Bear Stearns Asset-Backed Securities Trust, Series 2006-HE10, Class 21A1, |
||||||||
0.28%, 12/25/36(b) |
1,668 | 1,622,008 | ||||||
Capital One Multi-Asset Execution Trust, Series 4-3C, |
||||||||
6.63%, 6/17/14 |
GBP | 3,400 | 5,715,241 | |||||
Capital Trust Re CDO Ltd., Series 2006-4A, Class A1, |
||||||||
0.52%, 10/20/43(a)(b) |
USD | 4,910 | 4,516,614 | |||||
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class A, |
||||||||
1.78%, 1/20/25(a)(b) |
13,730 | 13,730,000 | ||||||
CarMax Auto Owner Trust, Series 2012-1: |
||||||||
Class B, 1.76%, 8/15/17 |
1,860 | 1,902,933 | ||||||
Class C, 2.20%, 10/16/17 |
1,150 | 1,177,804 | ||||||
Class D, 3.09%, 8/15/18 |
1,430 | 1,466,138 | ||||||
Chesapeake Funding LLC, Series 2012-1A(a)(b): |
||||||||
Class B, 1.81%, 11/07/23 |
2,630 | 2,636,131 | ||||||
Class C, 2.21%, 11/07/23 |
1,690 | 1,693,919 | ||||||
CIFC Funding Ltd., Series 2012-3A(a)(b)(c): |
||||||||
Class A1L, 1.69%, 1/29/25 |
5,000 | 5,000,000 | ||||||
Class A2L, 2.56%, 1/29/25 |
4,480 | 4,390,400 | ||||||
Countrywide Asset-Backed Certificates(b): |
||||||||
Series 2003-BC3, Class A2, 0.83%, 9/25/33 |
672 | 619,236 | ||||||
Series 2004-5, Class A, 0.66%, 10/25/34 |
752 | 718,401 | ||||||
Series 2006-17, Class 2A2, 0.36%, 3/25/47 |
947 | 772,588 | ||||||
Series 2007-12, Class 2A1, 0.56%, 8/25/47 |
27 | 27,035 | ||||||
Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A, |
||||||||
1.52%, 3/16/20(a) |
4,165 | 4,166,162 | ||||||
DT Auto Owner Trust(a): |
||||||||
Series 2011-2A, Class B, 2.12%, 2/16/16 |
1,794 | 1,794,793 | ||||||
Series 2011-3A, Class C, 4.03%, 2/15/17 |
2,460 | 2,488,415 | ||||||
Series 2012-1A, Class B, 2.26%, 10/16/17 |
2,700 | 2,705,116 | ||||||
Series 2012-1A, Class C, 3.38%, 10/16/17 |
1,780 | 1,784,954 | ||||||
Series 2012-1A, Class D, 4.94%, 7/16/18 |
3,885 | 3,937,960 | ||||||
Series 2012-2, Class B, 1.85%, 4/17/17 |
530 | 530,843 | ||||||
Series 2012-2, Class C, 2.72%, 4/17/17 |
200 | 200,429 | ||||||
ECP CLO Ltd., Series 2012-4A, Class A1, |
||||||||
1.66%, 6/19/24(a)(b) |
4,910 | 4,859,967 | ||||||
Ford Credit Floorplan Master Owner Trust: |
||||||||
Series 2010-5, Class D, 2.41%, 9/15/15(a) |
1,620 | 1,630,253 | ||||||
Series 2011-2, Class C, 2.37%, 9/15/15 |
3,860 | 3,892,852 | ||||||
Series 2011-2, Class D, 2.86%, 9/15/15 |
2,685 | 2,690,757 | ||||||
Series 2012-1, Class C, 1.71%, 1/15/16(b) |
4,380 | 4,402,956 |
MASTER TOTAL RETURN PORTFOLIO | DECEMBER 31, 2012 | 1 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Asset-Backed Securities |
Par (000) |
Value | ||||||
Ford Credit Floorplan Master Owner Trust (concluded): |
||||||||
Series 2012-1, Class D, 2.31%, 1/15/16(b) |
USD | 4,100 | $ | 4,132,169 | ||||
Series 2012-2, Class C, 2.86%, 1/15/19 |
1,030 | 1,066,969 | ||||||
Series 2012-2, Class D, 3.50%, 1/15/19 |
1,820 | 1,884,168 | ||||||
Series 2012-4, Class C, 1.39%, 9/15/16 |
2,125 | 2,133,341 | ||||||
Series 2012-4, Class D, 2.09%, 9/15/16 |
3,710 | 3,712,300 | ||||||
GSAA Home Equity Trust, Series 2006-5, Class 2A1, |
||||||||
0.28%, 3/25/36(b) |
30 | 15,756 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Series 2012-T2(a): |
||||||||
Class A1, 1.34%, 10/15/43 |
1,535 | 1,538,837 | ||||||
Class A2, 1.99%, 10/15/45 |
1,815 | 1,841,091 | ||||||
Home Equity Asset Trust, Series 2007-2, Class 2A1, |
||||||||
0.32%, 7/25/37(b) |
38 | 37,906 | ||||||
Hyundai Auto Receivables Trust, Series 2012-A, Class D, |
||||||||
2.61%, 5/15/18 |
2,555 | 2,587,893 | ||||||
ING Investment Management, Class A(a)(b): |
||||||||
Series 2012-2A, 1.97%, 10/15/22 |
7,045 | 7,045,000 | ||||||
Series 2012-3A, 1.77%, 10/15/22 |
12,895 | 12,895,000 | ||||||
KKR Financial CLO Corp., Series 2007-A, Class A, |
||||||||
1.09%, 10/15/17(a)(b) |
9,504 | 9,409,106 | ||||||
Morgan Stanley ABS Capital I, Series 2005-HE1, Class A2MZ, |
||||||||
0.81%, 12/25/34(b) |
820 | 758,928 | ||||||
Nelnet Student Loan Trust(b): |
||||||||
Series 2006-1, Class A5, 0.42%, 8/23/27 |
6,505 | 6,196,520 | ||||||
Series 2008-3, Class A4, 1.96%, 11/25/24 |
5,600 | 5,873,286 | ||||||
New Century Home Equity Loan Trust, Series 2005-2, Class A2MZ, |
||||||||
0.47%, 6/25/35(b) |
2,543 | 2,519,177 | ||||||
Northwoods Capital Corp./Northwoods Capital Ltd., Series 2012-9A(a)(b): |
||||||||
Class A, 1.79%, 1/18/24 |
4,300 | 4,300,000 | ||||||
Class B1, 2.62%, 1/18/24 |
4,090 | 4,008,200 | ||||||
Option One Mortgage Loan Trust, Series 2003-4, Class A2, |
||||||||
0.85%, 7/25/33(b) |
1,454 | 1,302,367 | ||||||
OZLM Funding Ltd., Series 2012-2A, Class A1, |
||||||||
2.21%, 10/30/23(a)(b) |
7,530 | 7,574,427 | ||||||
PFS Financing Corp., Series 2012-AA, Class A, |
||||||||
1.41%, 2/15/16(a)(b) |
4,400 | 4,436,058 | ||||||
RAAC, Series 2005-SP2, Class 2A, |
||||||||
0.51%, 6/25/44(b) |
5,594 | 4,664,640 | ||||||
Residential Asset Securities Corp., Series 2003-KS5, Class AIIB, |
||||||||
0.79%, 7/25/33(b) |
695 | 538,170 | ||||||
Santander Consumer Acquired Receivables Trust(a): |
||||||||
Series 2011-S1A, Class B, 1.66%, 8/15/16 |
5,086 | 5,128,444 | ||||||
Series 2011-S1A, Class C, 2.01%, 8/15/16 |
3,741 | 3,758,828 | ||||||
Series 2011-WO, Class C, 3.19%, 10/15/15 |
6,580 | 6,744,901 | ||||||
Santander Drive Auto Receivables Trust: |
||||||||
Series 2010-2, Class C, 3.89%, 7/17/17 |
9,885 | 10,222,237 | ||||||
Series 2011-1, Class D, 4.01%, 2/15/17 |
8,000 | 8,356,312 | ||||||
Series 2011-S1A, Class B, 1.48%, 5/15/17(a) |
3,428 | 3,438,501 | ||||||
Series 2011-S1A, Class D, 3.10%, 5/15/17(a) |
2,498 | 2,505,307 | ||||||
Series 2012-1, Class B, 2.72%, 5/16/16 |
2,260 | 2,317,759 | ||||||
Series 2012-1, Class C, 3.78%, 11/15/17 |
3,045 | 3,183,688 | ||||||
Series 2012-2, Class C, 3.20%, 2/15/18 |
6,490 | 6,697,459 | ||||||
Series 2012-2, Class D, 3.87%, 2/15/18 |
4,020 | 4,215,569 | ||||||
Series 2012-3, Class B, 1.94%, 12/15/16 |
6,245 | 6,322,401 | ||||||
Series 2012-3, Class C, 3.01%, 4/16/18 |
8,515 | 8,780,523 | ||||||
Series 2012-3, Class D, 3.64%, 5/15/18 |
7,005 | 7,278,973 | ||||||
Series 2012-4, Class C, 2.94%, 12/15/17 |
4,600 | 4,756,713 | ||||||
Series 2012-4, Class D, 3.50%, 6/15/18 |
6,210 | 6,459,269 | ||||||
Series 2012-5, Class B, 1.56%, 8/15/18 |
4,090 | 4,107,542 | ||||||
Series 2012-5, Class C, 2.70%, 8/15/18 |
1,950 | 2,014,993 | ||||||
Series 2012-5, Class D, 3.30%, 9/17/18 |
1,660 | 1,710,135 | ||||||
Series 2012-6, Class B, 1.33%, 5/15/17 |
3,565 | 3,564,355 | ||||||
Series 2012-6, Class C, 1.94%, 3/15/18 |
2,460 | 2,458,945 | ||||||
Series 2012-AA, Class B, 1.21%, 10/16/17(a) |
9,060 | 9,060,906 | ||||||
Series 2012-AA, Class C, 1.78%, 11/15/18(a) |
16,880 | 16,874,936 | ||||||
Series 2012-AA, Class D, 2.46%, 12/17/18(a) |
7,400 | 7,397,780 |
2 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Asset-Backed Securities |
Par (000) |
Value | ||||||
Scholar Funding Trust, Series 2011-A, Class A, |
||||||||
1.21%, 10/28/43(a)(b) |
USD | 4,602 | $ | 4,596,426 | ||||
SLM Student Loan Trust: |
||||||||
Series 2004-B, Class A2, 0.51%, 6/15/21(b) |
5,122 | 5,053,771 | ||||||
Series 2005-A, Class A3, 0.51%, 6/15/23(b) |
10,935 | 9,800,767 | ||||||
Series 2008-5, Class A4, 2.02%, 7/25/23(b) |
4,690 | 4,949,845 | ||||||
Series 2011-B, Class A2, 3.74%, 2/15/29(a) |
1,420 | 1,539,293 | ||||||
Series 2011-C, Class A2B, 4.54%, 10/17/44(a) |
4,120 | 4,602,988 | ||||||
Series 2012-A, Class A1, 1.61%, 8/15/25(a)(b) |
2,797 | 2,835,207 | ||||||
Series 2012-A, Class A2, 3.83%, 1/17/45(a) |
2,750 | 2,970,162 | ||||||
Series 2012-B, Class A2, 3.48%, 10/15/30(a) |
730 | 778,822 | ||||||
Series 2012-C, Class A1, 1.31%, 8/15/23(a)(b) |
5,567 | 5,613,897 | ||||||
Series 2012-C, Class A2, 3.31%, 10/15/46(a) |
10,125 | 10,741,167 | ||||||
Series 2012-D, Class A2, 2.95%, 2/15/46(a) |
12,220 | 12,796,857 | ||||||
Series 2012-E, Class A1, 0.96%, 10/16/23(a)(b) |
5,368 | 5,387,244 | ||||||
Small Business Administration: |
||||||||
Series 2003-P10A, Class 1, 4.52%, 2/10/13 |
2 | 2,306 | ||||||
Series 2004-P10A, Class 1, 4.50%, 2/10/14 |
90 | 92,723 | ||||||
Structured Asset Securities Corp.: |
||||||||
Series 2003-AL2, Class A, 3.36%, 1/25/31(a) |
1,183 | 1,186,363 | ||||||
Series 2004-23XS, Class 2A1, 0.51%, 1/25/35(b) |
1,952 | 1,656,304 | ||||||
Series 2005-GEL2, Class A, 0.49%, 4/25/35(b) |
515 | 491,451 | ||||||
Series 2007-BC1, Class A2, 0.26%, 2/25/37(b) |
156 | 155,087 | ||||||
Vibrant CLO Ltd., Series 2012-1A(a)(b)(c): |
||||||||
Class A1, 1.66%, 7/17/24 |
13,740 | 13,740,000 | ||||||
Class A2, 2.56%, 7/17/24 |
2,600 | 2,545,400 | ||||||
World Financial Network Credit Card Master Trust: |
||||||||
Series 2012-C, Class A, 2.23%, 8/15/22 |
8,570 | 8,670,371 | ||||||
Series 2012-C, Class B, 3.57%, 8/15/22 |
3,000 | 3,173,109 | ||||||
Series 2012-C, Class C, 4.55%, 8/15/22 |
5,030 | 5,342,252 | ||||||
Series 2012-D, Class A, 2.15%, 4/17/23 |
11,030 | 11,199,862 | ||||||
Series 2012-D, Class B, 3.34%, 4/17/23 |
3,551 | 3,586,146 | ||||||
Series 2012-D, Class M, 3.09%, 4/17/23 |
2,725 | 2,720,118 | ||||||
|
|
|||||||
Total Asset-Backed Securities 14.9% |
518,933,024 | |||||||
|
|
|||||||
Corporate Bonds |
||||||||
Aerospace & Defense 0.1% |
||||||||
Meccanica Holdings USA, Inc., |
||||||||
6.25%, 7/15/19(a) |
2,254 | 2,260,537 | ||||||
|
|
|||||||
Airlines 0.0% |
||||||||
Scandinavian Airlines System Denmark-Norway-Sweden, |
||||||||
9.65%, 6/16/14 |
EUR | 600 | 788,049 | |||||
|
|
|||||||
Auto Components 0.3% |
||||||||
BorgWarner, Inc., |
||||||||
4.63%, 9/15/20 |
USD | 2,925 | 3,218,667 | |||||
Continental Rubber of America Corp., |
||||||||
4.50%, 9/15/19(a) |
5,370 | 5,495,626 | ||||||
Valeo SA, |
||||||||
4.88%, 5/11/18 |
EUR | 1,600 | 2,348,528 | |||||
|
|
|||||||
11,062,821 | ||||||||
|
|
|||||||
Automobiles 0.2% |
||||||||
BMW Finance NV, |
||||||||
3.38%, 12/14/18 |
GBP | 1,700 | 2,939,020 | |||||
BMW UK Capital Plc, |
||||||||
5.00%, 10/02/17 |
615 | 1,132,997 | ||||||
Porsche International Financing Plc, |
||||||||
3.88%, 2/01/16 |
EUR | 1,610 | 2,279,853 | |||||
|
|
|||||||
6,351,870 | ||||||||
|
|
|||||||
Beverages 0.7% |
||||||||
Anheuser-Busch InBev Worldwide, Inc., |
||||||||
2.50%, 7/15/22 |
USD | 2,770 | 2,787,340 | |||||
Davide Campari-Milano SpA, |
||||||||
4.50%, 10/25/19 |
EUR | 708 | 981,332 | |||||
Heineken NV(a): |
||||||||
1.40%, 10/01/17 |
USD | 1,110 | 1,106,649 | |||||
2.75%, 4/01/23 |
6,755 | 6,632,640 | ||||||
Pernod-Ricard SA: |
||||||||
4.88%, 3/18/16 |
EUR | 1,600 | 2,345,713 | |||||
4.45%, 1/15/22(a) |
USD | 9,019 | 9,974,807 | |||||
SABMiller Holdings, Inc., |
||||||||
1.88%, 1/20/20 |
EUR | 1,280 | 1,692,240 | |||||
|
|
|||||||
25,520,721 | ||||||||
|
|
|||||||
Biotechnology 0.1% |
||||||||
Amgen, Inc., |
||||||||
4.38%, 12/05/18 |
1,600 | 2,454,281 | ||||||
|
|
|||||||
Building Products 0.1% |
||||||||
Momentive Performance Materials, Inc., |
||||||||
8.88%, 10/15/20(a) |
USD | 2,035 | 2,055,350 | |||||
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 3 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Corporate Bonds |
Par (000) |
Value | ||||||
Capital Markets 1.0% |
||||||||
The Goldman Sachs Group, Inc., |
||||||||
5.75%, 1/24/22 |
USD | 14,856 | $ | 17,562,942 | ||||
Morgan Stanley, |
||||||||
5.50%, 7/28/21(f) |
15,000 | 17,030,610 | ||||||
|
|
|||||||
34,593,552 | ||||||||
|
|
|||||||
Chemicals 0.5% |
||||||||
INEOS Finance Plc, |
||||||||
7.50%, 5/01/20(a) |
565 | 591,837 | ||||||
LyondellBasell Industries NV, |
||||||||
5.75%, 4/15/24(f) |
5,000 | 5,875,000 | ||||||
Rockwood Specialties Group, Inc., |
||||||||
4.63%, 10/15/20 |
2,355 | 2,437,425 | ||||||
Tronox Finance LLC, |
||||||||
6.38%, 8/15/20(a) |
7,645 | 7,721,450 | ||||||
|
|
|||||||
16,625,712 | ||||||||
|
|
|||||||
Commercial Banks 2.9% |
||||||||
Banco Santander SA, |
||||||||
3.25%, 2/17/15 |
EUR | 2,100 | 2,806,268 | |||||
Bank of India, |
||||||||
6.25%, 2/16/21 |
USD | 4,670 | 5,081,180 | |||||
Bankinter SA, |
||||||||
3.88%, 10/30/15 |
EUR | 1,550 | 2,051,419 | |||||
Caixa Economica Federal(a): |
||||||||
2.38%, 11/06/17 |
USD | 3,100 | 3,076,750 | |||||
3.50%, 11/07/22 |
2,110 | 2,136,375 | ||||||
Caixa Geral de Depositos SA, |
||||||||
5.63%, 12/04/15 |
EUR | 2,000 | 2,722,399 | |||||
Canadian Imperial Bank of Commerce, |
||||||||
2.60%, 7/02/15(a) |
USD | 5,910 | 6,210,228 | |||||
Discover Bank: |
||||||||
8.70%, 11/18/19 |
470 | 611,603 | ||||||
7.00%, 4/15/20 |
5,720 | 7,102,501 | ||||||
Eksportfinans ASA: |
||||||||
5.50%, 5/25/16 |
1,310 | 1,363,626 | ||||||
5.50%, 6/26/17 |
275 | 289,417 | ||||||
HSBC Bank Brasil SA - Banco Multiplo, |
||||||||
4.00%, 5/11/16(a) |
15,610 | 16,214,888 | ||||||
HSBC Bank Plc, |
||||||||
3.10%, 5/24/16(a) |
7,630 | 8,066,970 | ||||||
ICICI Bank Ltd., |
||||||||
4.75%, 11/25/16(a) |
6,450 | 6,761,064 | ||||||
ING Bank NV, |
||||||||
0.99%, 5/23/16(b) |
600 | 563,879 | ||||||
Intesa Sanpaolo SpA, |
||||||||
3.75%, 3/02/20(b) |
EUR | 600 | 669,215 | |||||
Lloyds TSB Bank Plc: |
||||||||
11.88%, 12/16/21(b) |
4,680 | 7,759,023 | ||||||
6.50%, 9/17/40 |
GBP | 350 | 709,297 | |||||
National Agricultural Cooperative Federation, |
||||||||
3.50%, 2/08/17(a) |
USD | 8,300 | 8,715,091 | |||||
Oversea-Chinese Banking Corp. Ltd., |
||||||||
3.75%, 11/15/22(b) |
10,000 | 10,528,900 | ||||||
Sberbank of Russia Via SB Capital SA, |
||||||||
6.13%, 2/07/22 |
3,260 | 3,724,550 | ||||||
Together Housing Finance Plc, |
||||||||
4.50%, 12/17/42 |
GBP | 1,185 | 1,954,073 | |||||
WM Treasury Plc, |
||||||||
4.63%, 12/03/42 |
1,140 | 1,877,427 | ||||||
|
|
|||||||
100,996,143 | ||||||||
|
|
|||||||
Communications Equipment 0.1% |
||||||||
Nokia Oyj, |
||||||||
5.00%, 10/26/17 |
EUR | 2,100 | 3,769,779 | |||||
|
|
|||||||
Construction & Engineering 0.0% |
||||||||
H&E Equipment Services, Inc., |
||||||||
7.00%, 9/01/22(a) |
USD | 1,605 | 1,709,325 | |||||
|
|
|||||||
Construction Materials 0.1% |
||||||||
Buzzi Unicem SpA, |
||||||||
6.25%, 9/28/18 |
EUR | 1,892 | 2,664,572 | |||||
Rain CII Carbon LLC/CII Carbon Corp., |
||||||||
8.50%, 1/15/21 |
1,160 | 1,582,819 | ||||||
|
|
|||||||
4,247,391 | ||||||||
|
|
|||||||
Consumer Finance 1.0% |
||||||||
Discover Financial Services, |
||||||||
3.85%, 11/21/22(a) |
USD | 1,510 | 1,558,130 | |||||
Ford Motor Credit Co. LLC: |
||||||||
2.75%, 5/15/15 |
7,960 | 8,123,737 | ||||||
6.63%, 8/15/17 |
3,018 | 3,526,430 | ||||||
5.00%, 5/15/18 |
2,088 | 2,303,974 | ||||||
4.25%, 9/20/22 |
4,814 | 5,090,252 | ||||||
SLM Corp.: |
||||||||
6.25%, 1/25/16 |
7,120 | 7,743,000 | ||||||
6.00%, 1/25/17 |
5,000 | 5,412,500 | ||||||
Series A, 0.62%, 1/27/14(b) |
35 | 34,671 | ||||||
|
|
|||||||
33,792,694 | ||||||||
|
|
|||||||
Containers & Packaging 0.2% |
||||||||
GCL Holdings SCA, |
||||||||
9.38%, 4/15/18 |
EUR | 924 | 1,308,058 | |||||
Rock-Tenn Co., |
||||||||
4.00%, 3/01/23(a) |
USD | 5,293 | 5,377,111 | |||||
|
|
|||||||
6,685,169 | ||||||||
|
|
|||||||
Distributors 0.1% |
||||||||
VWR Funding, Inc., |
||||||||
7.25%, 9/15/17(a) |
3,926 | 4,122,300 | ||||||
|
|
|||||||
Diversified Consumer Services 0.1% |
||||||||
313 Group, Inc., |
||||||||
6.38%, 12/01/19(a) |
2,282 | 2,262,032 | ||||||
|
|
|||||||
Diversified Financial Services 4.2% |
||||||||
Aircastle Ltd., |
||||||||
6.25%, 12/01/19(a) |
2,100 | 2,189,250 | ||||||
AyT Cedulas Cajas Global: |
||||||||
4.00%, 3/21/17 |
EUR | 1,100 | 1,342,810 | |||||
Series 2, 3.50%, 3/14/16 |
800 | 980,052 | ||||||
Series 8, 4.25%, 6/14/18 |
200 | 239,254 | ||||||
AyT Cedulas Cajas IX Fondo de Titulizacion, |
||||||||
3.75%, 3/31/15 |
3,200 | 4,041,068 | ||||||
AyT Cedulas Cajas VIII Fondo de Titulizacion de Activos, Series VIII, |
||||||||
4.25%, 11/18/19 |
300 | 340,248 |
4 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Corporate Bonds |
Par (000) |
Value | ||||||
Diversified Financial Services (concluded) |
||||||||
AyT Cedulas Cajas X Fondo de Titulizacion: |
||||||||
Series X, 0.26%, 6/30/15(b) |
EUR | 600 | $ | 688,655 | ||||
Series X, 3.75%, 6/30/25 |
2,900 | 2,789,903 | ||||||
Bank of America Corp.: |
||||||||
3.88%, 3/22/17 |
USD | 5,130 | 5,563,593 | |||||
Series L, 5.65%, 5/01/18 |
22,815 | 26,543,952 | ||||||
7.63%, 6/01/19 |
3,000 | 3,838,713 | ||||||
5.70%, 1/24/22 |
14,587 | 17,541,582 | ||||||
Cedulas TDA 6 Fondo de Titulizacion de Activos: |
||||||||
3.88%, 5/23/25 |
EUR | 900 | 874,906 | |||||
Series A-6, 4.25%, 4/10/31 |
2,600 | 2,414,120 | ||||||
Cedulas TDA 7 Fondo de Titulizacion de Activos, |
||||||||
Series 7, 3.50%, 6/20/17 |
100 | 116,367 | ||||||
Citigroup, Inc.: |
||||||||
4.59%, 12/15/15 |
USD | 23,100 | 25,219,425 | |||||
4.45%, 1/10/17 |
1,900 | 2,104,820 | ||||||
Co-Operative Group Ltd.(g): |
||||||||
5.63%, 7/08/20 |
GBP | 1,150 | 1,929,668 | |||||
6.25%, 7/08/26 |
1,270 | 2,145,833 | ||||||
Gala Group Finance Plc, |
||||||||
8.88%, 9/01/18 |
1,277 | 2,198,888 | ||||||
JPMorgan Chase & Co., |
||||||||
3.25%, 9/23/22 |
USD | 6,381 | 6,571,033 | |||||
LeasePlan Corp. NV, |
||||||||
3.00%, 10/23/17(a) |
2,775 | 2,802,103 | ||||||
Reynolds Group Issuer, Inc.: |
||||||||
7.88%, 8/15/19 |
5,260 | 5,851,750 | ||||||
6.88%, 2/15/21 |
3,120 | 3,361,800 | ||||||
Tiers Trust, Series 2012-1, |
||||||||
2.06%, 5/12/14(a)(b) |
18,466 | 18,512,165 | ||||||
TMX Finance LLC, |
||||||||
13.25%, 7/15/15 |
4,000 | 4,440,000 | ||||||
ZFS Finance (USA) Trust V, |
||||||||
6.50%, 5/09/37(a)(b) |
2,513 | 2,679,486 | ||||||
|
|
|||||||
147,321,444 | ||||||||
|
|
|||||||
Diversified Telecommunication Services 0.5% |
||||||||
AT&T, Inc.: |
||||||||
2.63%, 12/01/22 |
4,472 | 4,479,356 | ||||||
5.35%, 9/01/40 |
4,235 | 4,931,861 | ||||||
Level 3 Financing, Inc., |
||||||||
8.13%, 7/01/19 |
4,474 | 4,876,660 | ||||||
OTE Plc, |
||||||||
7.25%, 2/12/15 |
EUR | 684 | 879,372 | |||||
Verizon Communications, Inc., |
||||||||
6.40%, 2/15/38 |
USD | 1,878 | 2,542,570 | |||||
|
|
|||||||
17,709,819 | ||||||||
|
|
|||||||
Electric Utilities 2.6% |
||||||||
Alabama Power Co., |
||||||||
3.95%, 6/01/21(h) |
5,015 | 5,605,401 | ||||||
The Cleveland Electric Illuminating Co.: |
||||||||
8.88%, 11/15/18 |
1,199 | 1,596,922 | ||||||
5.95%, 12/15/36 |
2,175 | 2,473,449 | ||||||
Duke Energy Carolinas LLC, |
||||||||
4.25%, 12/15/41 |
3,915 | 4,099,800 | ||||||
Electricite de France SA, |
||||||||
2.75%, 3/10/23 |
EUR | 2,500 | 3,344,759 | |||||
Enel Finance International NV, |
||||||||
4.88%, 4/17/23 |
1,889 | 2,609,327 | ||||||
Florida Power & Light Co., |
||||||||
5.95%, 2/01/38 |
USD | 3,645 | 4,851,911 | |||||
Florida Power Corp., |
||||||||
6.40%, 6/15/38 |
2,646 | 3,563,900 | ||||||
Georgia Power Co., |
||||||||
3.00%, 4/15/16 |
8,985 | 9,604,291 | ||||||
Hydro-Quebec: |
||||||||
8.40%, 1/15/22 |
8,220 | 11,793,661 | ||||||
8.05%, 7/07/24(f) |
21,145 | 31,095,139 | ||||||
Jersey Central Power & Light Co., |
||||||||
7.35%, 2/01/19 |
2,730 | 3,487,081 | ||||||
Southern California Edison Co., Series 08-A, |
||||||||
5.95%, 2/01/38 |
2,825 | 3,705,962 | ||||||
Trans-Allegheny Interstate Line Co., |
||||||||
4.00%, 1/15/15(a) |
2,815 | 2,957,084 | ||||||
|
|
|||||||
90,788,687 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.1% |
||||||||
Techem Energy Metering Service GmbH & Co. KG, |
||||||||
7.88%, 10/01/20 |
EUR | 1,280 | 1,850,043 | |||||
|
|
|||||||
Energy Equipment & Services 1.8% |
||||||||
Calfrac Holdings LP, |
||||||||
7.50%, 12/01/20(a)(f) |
USD | 1,050 | 1,039,500 | |||||
EOG Resources, Inc., |
||||||||
2.63%, 3/15/23 |
4,416 | 4,447,071 | ||||||
FTS International Services LLC/FTS International Bonds, Inc., |
||||||||
8.13%, 11/15/18(a) |
1,750 | 1,806,875 | ||||||
MEG Energy Corp.(a): |
||||||||
6.50%, 3/15/21 |
4,100 | 4,315,250 | ||||||
6.38%, 1/30/23 |
1,580 | 1,647,150 | ||||||
Peabody Energy Corp., |
||||||||
6.25%, 11/15/21 |
4,540 | 4,823,750 | ||||||
Pride International, Inc., |
||||||||
6.88%, 8/15/20 |
2,650 | 3,351,482 | ||||||
Seadrill Ltd., |
||||||||
5.63%, 9/15/17(a) |
4,840 | 4,803,700 | ||||||
Transocean, Inc.: |
||||||||
5.05%, 12/15/16 |
8,125 | 9,046,554 | ||||||
2.50%, 10/15/17 |
7,450 | 7,528,374 | ||||||
6.00%, 3/15/18 |
13,984 | 16,218,489 | ||||||
3.80%, 10/15/22 |
3,204 | 3,283,882 | ||||||
|
|
|||||||
62,312,077 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.0% |
||||||||
Bakkavor Finance 2 Plc, |
||||||||
8.25%, 2/15/18 |
GBP | 520 | 853,161 | |||||
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 5 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Corporate Bonds |
Par (000) |
Value | ||||||
Food Products 0.7% |
||||||||
Kraft Foods Group, Inc.(a): |
||||||||
3.50%, 6/06/22 |
USD | 6,012 | $ | 6,417,010 | ||||
5.00%, 6/04/42 |
3,505 | 3,941,369 | ||||||
Mondelez International, Inc.: |
||||||||
6.50%, 8/11/17 |
6,049 | 7,388,140 | ||||||
6.50%, 2/09/40 |
3,653 | 4,907,261 | ||||||
|
|
|||||||
22,653,780 | ||||||||
|
|
|||||||
Gas Utilities 0.1% |
||||||||
Snam SpA, |
||||||||
3.88%, 3/19/18 |
EUR | 2,483 | 3,512,863 | |||||
|
|
|||||||
Health Care Equipment & Supplies 0.4% |
||||||||
Boston Scientific Corp., |
||||||||
6.25%, 11/15/15 |
USD | 13,154 | 14,820,941 | |||||
|
|
|||||||
Health Care Providers & Services 0.7% |
||||||||
Coventry Health Care, Inc., |
||||||||
5.45%, 6/15/21 |
3,862 | 4,590,199 | ||||||
HCA, Inc., |
||||||||
7.25%, 9/15/20 |
3,925 | 4,346,938 | ||||||
Tenet Healthcare Corp.: |
||||||||
10.00%, 5/01/18 |
147 | 167,213 | ||||||
6.25%, 11/01/18 |
4,905 | 5,383,237 | ||||||
8.88%, 7/01/19 |
2,660 | 2,979,200 | ||||||
4.75%, 6/01/20(a) |
1,977 | 2,006,655 | ||||||
UnitedHealth Group, Inc., |
||||||||
3.38%, 11/15/21 |
1,630 | 1,736,558 | ||||||
WellPoint, Inc., |
||||||||
3.30%, 1/15/23 |
2,595 | 2,662,483 | ||||||
|
|
|||||||
23,872,483 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 0.5% |
||||||||
Accor SA, |
||||||||
2.88%, 6/19/17 |
EUR | 400 | 546,187 | |||||
Cirsa Funding Luxembourg SA, |
||||||||
8.75%, 5/15/18 |
813 | 1,067,754 | ||||||
Enterprise Inns Plc, |
||||||||
6.50%, 12/06/18 |
GBP | 500 | 787,046 | |||||
Lottomatica Group SpA, |
||||||||
3.50%, 3/05/20 |
EUR | 1,300 | 1,757,994 | |||||
Punch Taverns Finance B Ltd.: |
||||||||
Series A6, 5.94%, 12/30/24 |
GBP | 176 | 251,595 | |||||
Series A7, 4.77%, 6/30/33 |
934 | 1,334,509 | ||||||
The Unique Pub Finance Co. Plc: |
||||||||
Series A3, 6.54%, 3/30/21 |
500 | 775,675 | ||||||
Series A4, 5.66%, 6/30/27 |
6,491 | 9,199,905 | ||||||
|
|
|||||||
15,720,665 | ||||||||
|
|
|||||||
Household Durables 0.2% |
||||||||
Algeco Scotsman Global Finance Plc, |
||||||||
9.00%, 10/15/18 |
EUR | 1,790 | 2,433,593 | |||||
K. Hovnanian Enterprises, Inc., |
||||||||
7.25%, 10/15/20(a) |
USD | 3,615 | 3,886,125 | |||||
|
|
|||||||
6,319,718 | ||||||||
|
|
|||||||
Household Products 0.0% |
||||||||
Ontex IV SA, |
||||||||
9.00%, 4/15/19 |
EUR | 370 | 515,243 | |||||
|
|
|||||||
Independent Power Producers & Energy Traders 0.4% |
||||||||
Energy Future Intermediate Holding Co. LLC, |
||||||||
10.00%, 12/01/20 |
USD | 7,690 | 8,670,475 | |||||
Laredo Petroleum, Inc.: |
||||||||
9.50%, 2/15/19 |
1,925 | 2,151,187 | ||||||
7.38%, 5/01/22 |
655 | 710,675 | ||||||
NRG Energy, Inc., |
||||||||
6.63%, 3/15/23(a) |
2,105 | 2,252,350 | ||||||
|
|
|||||||
13,784,687 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.3% |
||||||||
General Electric Co.: |
||||||||
2.70%, 10/09/22 |
3,958 | 4,034,417 | ||||||
4.13%, 10/09/42 |
2,366 | 2,433,781 | ||||||
Siemens Financieringsmaatschappij NV, |
||||||||
2.75%, 9/10/25 |
GBP | 2,600 | 4,116,967 | |||||
|
|
|||||||
10,585,165 | ||||||||
|
|
|||||||
Insurance 3.7% |
||||||||
Allianz Finance II BV, |
||||||||
5.75%, 7/08/41(b) |
EUR | 4,400 | 6,642,507 | |||||
American International Group, Inc.: |
||||||||
3.80%, 3/22/17 |
USD | 8,028 | 8,688,977 | |||||
5.45%, 5/18/17 |
4,150 | 4,766,337 | ||||||
4.88%, 6/01/22 |
11,609 | 13,253,078 | ||||||
8.18%, 5/15/68(b) |
2,670 | 3,477,675 | ||||||
Aviva Plc, |
||||||||
5.90%(b)(i) |
GBP | 1,160 | 1,695,926 | |||||
Hartford Life Global Funding Trusts, |
||||||||
0.49%, 6/16/14(b) |
USD | 13,275 | 13,222,922 | |||||
Lincoln National Corp., |
||||||||
7.00%, 6/15/40 |
1,460 | 1,900,256 | ||||||
Manulife Financial Corp., |
||||||||
3.40%, 9/17/15 |
12,215 | 12,844,219 | ||||||
Metropolitan Life Global Funding I(a): |
||||||||
2.50%, 1/11/13(f) |
24,245 | 24,256,032 | ||||||
5.13%, 6/10/14 |
1,600 | 1,700,960 | ||||||
Prudential Financial, Inc.: |
||||||||
4.75%, 9/17/15 |
18,230 | 19,982,760 | ||||||
7.38%, 6/15/19 |
3,690 | 4,685,806 | ||||||
5.38%, 6/21/20 |
2,085 | 2,437,425 | ||||||
5.88%, 9/15/42(b) |
7,704 | 8,089,200 | ||||||
|
|
|||||||
127,644,080 | ||||||||
|
|
|||||||
IT Services 0.1% |
||||||||
First Data Corp.(a): |
||||||||
7.38%, 6/15/19 |
2,290 | 2,370,150 | ||||||
8.25%, 1/15/21 |
199 | 199,000 | ||||||
|
|
|||||||
2,569,150 | ||||||||
|
|
|||||||
Machinery 0.2% |
||||||||
UR Merger Sub Corp.(a): |
||||||||
5.75%, 7/15/18 |
753 | 811,358 | ||||||
7.38%, 5/15/20 |
4,565 | 5,010,087 | ||||||
7.63%, 4/15/22 |
1,874 | 2,094,195 | ||||||
|
|
|||||||
7,915,640 | ||||||||
|
|
|||||||
Media 3.2% |
||||||||
CBS Corp.: |
||||||||
4.63%, 5/15/18 |
1,785 | 2,006,213 | ||||||
8.88%, 5/15/19 |
3,440 | 4,639,734 | ||||||
5.75%, 4/15/20 |
2,820 | 3,377,692 |
6 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Corporate Bonds |
Par (000) |
Value | ||||||
Media (concluded) |
||||||||
Clear Channel Worldwide Holdings, Inc., |
||||||||
6.50%, 11/15/22(a) |
USD | 4,844 | $ | 5,025,650 | ||||
Comcast Cable Communications Holdings, Inc., |
||||||||
9.46%, 11/15/22 |
2,225 | 3,363,886 | ||||||
Comcast Corp.: |
||||||||
5.88%, 2/15/18 |
6,350 | 7,652,074 | ||||||
4.65%, 7/15/42 |
10,370 | 10,930,633 | ||||||
Cox Communications, Inc.(a): |
||||||||
3.25%, 12/15/22 |
4,000 | 4,125,032 | ||||||
8.38%, 3/01/39 |
6,180 | 9,484,125 | ||||||
4.70%, 12/15/42 |
2,159 | 2,202,983 | ||||||
Intelsat Jackson Holdings SA, |
||||||||
7.25%, 4/01/19 |
4,072 | 4,377,400 | ||||||
NBC Universal Media LLC: |
||||||||
5.15%, 4/30/20 |
3,508 | 4,158,576 | ||||||
2.88%, 1/15/23 |
10,493 | 10,537,648 | ||||||
The New York Times Co., |
||||||||
6.63%, 12/15/16 |
4,100 | 4,510,000 | ||||||
Time Warner Cable, Inc.: |
||||||||
4.00%, 9/01/21 |
4,862 | 5,336,847 | ||||||
5.50%, 9/01/41 |
3,590 | 3,994,471 | ||||||
4.50%, 9/15/42 |
10,958 | 10,686,757 | ||||||
Time Warner, Inc., |
||||||||
4.70%, 1/15/21 |
2,080 | 2,367,978 | ||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, |
||||||||
5.75%, 1/15/23 |
EUR | 1,485 | 2,067,934 | |||||
Virgin Media Secured Finance Plc: |
||||||||
6.50%, 1/15/18 |
USD | 3,740 | 4,025,175 | |||||
5.25%, 1/15/21 |
4,870 | 5,686,363 | ||||||
|
|
|||||||
110,557,171 | ||||||||
|
|
|||||||
Metals & Mining 0.5% |
||||||||
ArcelorMittal, |
||||||||
7.50%, 10/15/39 |
1,342 | 1,261,480 | ||||||
Freeport-McMoRan Copper & Gold, Inc., |
||||||||
3.55%, 3/01/22 |
1,216 | 1,206,000 | ||||||
New Gold, Inc., |
||||||||
7.00%, 4/15/20(a) |
690 | 736,575 | ||||||
Novelis, Inc., |
||||||||
8.75%, 12/15/20 |
6,865 | 7,654,475 | ||||||
Rio Tinto Finance Plc, |
||||||||
2.00%, 5/11/20 |
EUR | 3,045 | 4,083,265 | |||||
Schmolz + Bickenbach Luxembourg SA, |
||||||||
9.88%, 5/15/19 |
1,081 | 1,184,299 | ||||||
Steel Dynamics, Inc., |
||||||||
6.38%, 8/15/22(a) |
USD | 1,345 | 1,425,700 | |||||
|
|
|||||||
17,551,794 | ||||||||
|
|
|||||||
Multi-Utilities 0.2% |
||||||||
Dominion Resources, Inc., |
||||||||
1.95%, 8/15/16 |
6,345 | 6,520,636 | ||||||
|
|
|||||||
Multiline Retail 0.5% |
||||||||
Dufry Finance SCA, |
||||||||
5.50%, 10/15/20(a) |
1,760 | 1,821,600 | ||||||
Macys Retail Holdings, Inc.: |
||||||||
5.90%, 12/01/16 |
2,152 | 2,528,630 | ||||||
7.45%, 7/15/17 |
8,380 | 10,331,006 | ||||||
Marks & Spencer Plc, |
||||||||
4.75%, 6/12/25 |
GBP | 630 | 1,038,536 | |||||
|
|
|||||||
15,719,772 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 4.6% |
||||||||
Access Midstream Partners LP, |
||||||||
4.88%, 5/15/23 |
USD | 1,345 | 1,365,175 | |||||
CONSOL Energy, Inc., |
||||||||
8.25%, 4/01/20 |
549 | 594,293 | ||||||
El Paso Corp., |
||||||||
7.75%, 1/15/32 |
2,000 | 2,349,986 | ||||||
Energy Transfer Partners LP, |
||||||||
6.50%, 2/01/42 |
8,087 | 9,901,213 | ||||||
Enterprise Products Operating LLC, Series L, |
||||||||
6.30%, 9/15/17 |
3,460 | 4,185,323 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc.: |
||||||||
6.88%, 5/01/19 |
1,260 | 1,367,100 | ||||||
7.75%, 9/01/22 |
1,525 | 1,616,500 | ||||||
Kinder Morgan Energy Partners LP: |
||||||||
5.95%, 2/15/18 |
2,900 | 3,472,208 | ||||||
3.45%, 2/15/23 |
6,795 | 6,998,170 | ||||||
Linn Energy LLC, |
||||||||
6.25%, 11/01/19(a) |
6,000 | 6,030,000 | ||||||
MarkWest Energy Partners LP, |
||||||||
5.50%, 2/15/23 |
1,525 | 1,654,625 | ||||||
MidAmerican Energy Holdings Co., |
||||||||
6.50%, 9/15/37 |
25 | 33,205 | ||||||
Murphy Oil Corp.: |
||||||||
2.50%, 12/01/17 |
4,853 | 4,882,928 | ||||||
4.00%, 6/01/22 |
1,217 | 1,226,680 | ||||||
3.70%, 12/01/22 |
9,572 | 9,535,569 | ||||||
Nexen, Inc.: |
||||||||
5.88%, 3/10/35 |
240 | 296,681 | ||||||
6.40%, 5/15/37 |
6,260 | 8,092,941 | ||||||
7.50%, 7/30/39 |
3,565 | 5,159,731 | ||||||
Novatek OAO via Novatek Finance Ltd., |
||||||||
4.42%, 12/13/22(a)(c) |
2,725 | 2,742,031 | ||||||
OGX Petroleo e Gas Participacoes SA(a): |
||||||||
8.50%, 6/01/18 |
401 | 360,900 | ||||||
8.38%, 4/01/22 |
2,190 | 1,828,650 | ||||||
PDC Energy, Inc., |
||||||||
7.75%, 10/15/22(a) |
1,085 | 1,112,125 | ||||||
Petrobras International Finance Co.: |
||||||||
3.88%, 1/27/16 |
15,335 | 16,178,471 | ||||||
5.75%, 1/20/20 |
15,835 | 18,025,867 | ||||||
Range Resources Corp.: |
||||||||
7.25%, 5/01/18 |
7,335 | 7,701,750 | ||||||
5.75%, 6/01/21 |
2,235 | 2,391,450 | ||||||
Rosneft Oil Co. via Rosneft International Finance Ltd., |
||||||||
4.20%, 3/06/22(a) |
1,753 | 1,783,678 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 7 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Corporate Bonds |
Par (000) |
Value | ||||||
Oil, Gas & Consumable Fuels (concluded) |
||||||||
Sabine Pass Liquified Natural Gas LP: |
||||||||
7.50%, 11/30/16 |
USD | 5,000 | $ | 5,512,500 | ||||
6.50%, 11/01/20(a) |
1,225 | 1,246,438 | ||||||
SandRidge Energy, Inc., |
||||||||
7.50%, 3/15/21 |
3,325 | 3,557,750 | ||||||
Valero Energy Corp., |
||||||||
6.63%, 6/15/37 |
4,083 | 5,030,427 | ||||||
Western Gas Partners LP: |
||||||||
5.38%, 6/01/21 |
10,607 | 12,127,938 | ||||||
4.00%, 7/01/22 |
2,516 | 2,648,065 | ||||||
The Williams Cos., Inc.: |
||||||||
7.88%, 9/01/21 |
3,249 | 4,185,846 | ||||||
3.70%, 1/15/23 |
3,165 | 3,192,390 | ||||||
|
|
|||||||
158,388,604 | ||||||||
|
|
|||||||
Paper & Forest Products 0.6% |
||||||||
Fibria Overseas Finance Ltd., |
||||||||
6.75%, 3/03/21 |
519 | 574,793 | ||||||
International Paper Co.: |
||||||||
4.75%, 2/15/22 |
13,165 | 14,896,671 | ||||||
6.00%, 11/15/41 |
3,420 | 4,049,728 | ||||||
Mondi Finance Plc, |
||||||||
5.75%, 4/03/17 |
EUR | 1,600 | 2,428,171 | |||||
|
|
|||||||
21,949,363 | ||||||||
|
|
|||||||
Pharmaceuticals 0.6% |
||||||||
AbbVie, Inc.(a): |
||||||||
2.00%, 11/06/18 |
USD | 5,180 | 5,246,951 | |||||
2.90%, 11/06/22 |
3,433 | 3,496,099 | ||||||
Teva Pharmaceutical Finance Co. BV: |
||||||||
2.95%, 12/18/22 |
5,683 | 5,748,684 | ||||||
Series 2, 3.65%, 11/10/21 |
2,120 | 2,268,892 | ||||||
Teva Pharmaceutical Finance IV BV, |
||||||||
3.65%, 11/10/21 |
5,000 | 5,351,160 | ||||||
|
|
|||||||
22,111,786 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITs) 0.4% |
||||||||
Gecina SA, |
||||||||
4.75%, 4/11/19 |
EUR | 400 | 584,235 | |||||
Hammerson Plc, |
||||||||
2.75%, 9/26/19 |
1,268 | 1,720,344 | ||||||
Ventas Realty LP/Ventas Capital Corp., |
||||||||
4.75%, 6/01/21 |
USD | 3,040 | 3,324,477 | |||||
Vornado Realty LP, |
||||||||
5.00%, 1/15/22 |
8,255 | 9,108,583 | ||||||
|
|
|||||||
14,737,639 | ||||||||
|
|
|||||||
Real Estate Management & Development 0.4% |
||||||||
Annington Finance No 4 Plc, |
||||||||
1.48%, 1/10/23(b) |
GBP | 3,257 | 5,111,497 | |||||
China Resources Land Ltd., |
||||||||
4.63%, 5/19/16 |
USD | 3,000 | 3,178,584 | |||||
Great Places Housing Group Ltd., |
||||||||
4.75%, 10/22/42 |
GBP | 1,086 | 1,818,831 | |||||
IVG Immobilien AG, |
||||||||
8.00%(b)(d)(e)(i) |
EUR | 1,300 | 869,122 | |||||
Realogy Corp., |
||||||||
7.88%, 2/15/19(a)(f) |
USD | 4,210 | 4,588,900 | |||||
|
|
|||||||
15,566,934 | ||||||||
|
|
|||||||
Road & Rail 0.2% |
||||||||
Burlington Northern Santa Fe LLC, |
||||||||
3.05%, 9/01/22 |
6,080 | 6,283,419 | ||||||
|
|
|||||||
Software 0.1% |
||||||||
BMC Software, Inc., |
||||||||
4.25%, 2/15/22 |
1,360 | 1,380,926 | ||||||
SAP AG: |
||||||||
1.00%, 11/13/15 |
EUR | 1,170 | 1,543,601 | |||||
2.13%, 11/13/19 |
1,360 | 1,814,090 | ||||||
|
|
|||||||
4,738,617 | ||||||||
|
|
|||||||
Specialty Retail 0.2% |
||||||||
House of Fraser Funding Plc, |
||||||||
8.88%, 8/15/18 |
GBP | 944 | 1,610,155 | |||||
QVC, Inc., |
||||||||
7.50%, 10/01/19(a) |
USD | 4,225 | 4,661,523 | |||||
|
|
|||||||
6,271,678 | ||||||||
|
|
|||||||
Thrifts & Mortgage Finance 0.1% |
||||||||
Northern Rock Asset Management Plc, |
||||||||
5.63%, 6/22/17(a) |
4,145 | 4,816,237 | ||||||
|
|
|||||||
Tobacco 0.0% |
||||||||
Imperial Tobacco Finance Plc, |
||||||||
4.50%, 7/05/18 |
EUR | 941 | 1,418,967 | |||||
|
|
|||||||
Transportation Infrastructure 0.2% |
||||||||
Autoroutes du Sud de la France SA, |
||||||||
4.13%, 4/13/20 |
2,250 | 3,346,317 | ||||||
DP World Sukuk Ltd., |
||||||||
6.25%, 7/02/17 |
USD | 3,530 | 3,966,837 | |||||
|
|
|||||||
7,313,154 | ||||||||
|
|
|||||||
Wireless Telecommunication Services 2.1% |
||||||||
America Movil SAB de CV: |
||||||||
2.38%, 9/08/16 |
8,025 | 8,341,049 | ||||||
3.13%, 7/16/22 |
3,153 | 3,204,860 | ||||||
4.38%, 7/16/42 |
1,512 | 1,571,165 | ||||||
CC Holdings GS V LLC, |
||||||||
3.85%, 4/15/23(a) |
3,706 | 3,770,155 | ||||||
Cricket Communications, Inc., |
||||||||
7.75%, 5/15/16 |
3,869 | 4,096,304 | ||||||
Crown Castle International Corp., |
||||||||
5.25%, 1/15/23(a) |
2,235 | 2,391,450 | ||||||
Crown Castle Towers LLC, |
||||||||
6.11%, 1/15/20(a) |
16,500 | 19,873,969 | ||||||
Eutelsat SA, |
||||||||
3.13%, 10/10/22 |
EUR | 1,800 | 2,450,729 | |||||
MetroPCS Wireless, Inc., |
||||||||
7.88%, 9/01/18 |
USD | 282 | 305,265 | |||||
Phones4u Finance Plc, |
||||||||
9.50%, 4/01/18 |
GBP | 990 | 1,680,575 | |||||
SBA Tower Trust, |
||||||||
5.10%, 4/17/17(a) |
USD | 3,700 | 4,172,016 | |||||
Sprint Capital Corp., |
||||||||
6.88%, 11/15/28 |
2,003 | 2,083,120 | ||||||
Sprint Nextel Corp., |
||||||||
9.00%, 11/15/18(a) |
10,660 | 13,165,100 | ||||||
VimpelCom Holdings BV, |
||||||||
7.50%, 3/01/22 |
845 | 968,581 |
8 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Corporate Bonds |
Par (000) |
Value | ||||||
Wireless Telecommunication Services (concluded) |
||||||||
Vodafone Group Plc, |
||||||||
8.13%, 11/26/18 |
GBP | 2,300 | $ | 4,935,536 | ||||
|
|
|||||||
73,009,874 | ||||||||
|
|
|||||||
Total Corporate Bonds 37.9% |
1,317,003,017 | |||||||
|
|
|||||||
Floating Rate Loan Interests (b) |
||||||||
Capital Markets 0.1% |
||||||||
Nuveen Investments, Inc., Extended Term Loan, |
||||||||
5.81%, 5/12/17 |
USD | 3,000 | 3,011,250 | |||||
|
|
|||||||
Chemicals 0.1% |
||||||||
Styron Sarl LLC, Term Loan B, |
||||||||
8.00%, 8/02/17 |
2,174 | 2,114,926 | ||||||
|
|
|||||||
Consumer Finance 0.1% |
||||||||
Springleaf Financial Funding Co., Term Loan, |
||||||||
5.50%, 5/10/17 |
4,000 | 3,973,560 | ||||||
|
|
|||||||
Diversified Telecommunication Services 0.2% |
||||||||
Level 3 Financing, Inc., Term Loan, |
||||||||
4.75%, 8/01/19 |
8,000 | 8,033,360 | ||||||
|
|
|||||||
Energy Equipment & Services 0.2% |
||||||||
Dynegy Midwest Generation LLC, Coal Co., Term Loan, |
||||||||
9.25%, 8/04/16 |
2,347 | 2,437,066 | ||||||
Dynegy Power LLC, Gas Co., Term Loan, |
||||||||
9.25%, 8/04/16 |
3,788 | 3,953,918 | ||||||
|
|
|||||||
6,390,984 | ||||||||
|
|
|||||||
Food Products 0.1% |
||||||||
Del Monte Foods Co., Term Loan, |
||||||||
4.50%, 3/08/18 |
2,397 | 2,398,408 | ||||||
|
|
|||||||
Health Care Providers & Services 0.1% |
||||||||
inVentiv Health, Inc., Combined Term Loan, |
||||||||
6.50%, 8/04/16 |
2,649 | 2,569,257 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure 0.2% |
||||||||
Motel 6, Mezzanine Term Loan, |
||||||||
10.00%, 10/15/17 |
6,030 | 6,030,000 | ||||||
|
|
|||||||
IT Services 0.2% |
||||||||
First Data Corp., Extended 2018, Term Loan B, |
||||||||
4.21%, 3/23/18 |
6,090 | 5,784,727 | ||||||
|
|
|||||||
Machinery 0.0% |
||||||||
Terex Corp., Term Loan B, |
||||||||
4.50%, 4/28/17 |
988 | 999,257 | ||||||
|
|
|||||||
Media 0.3% |
||||||||
Intelsat Jackson Holdings Ltd., Term Loan B-1, |
||||||||
4.50%, 4/02/18 |
12,517 | 12,610,437 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.3% |
||||||||
Obsidian Natural Gas Trust, Term Loan, |
||||||||
7.00%, 11/02/15 |
9,124 | 9,215,041 | ||||||
Pharmaceuticals 0.0% |
||||||||
Pharmaceutical Product Development, Inc., Term Loan B, |
||||||||
6.25%, 12/05/18 |
990 | 1,004,672 | ||||||
|
|
|||||||
Professional Services 0.0% |
||||||||
Emdeon, Inc., Term Loan B1, |
||||||||
5.00%, 11/02/18 |
926 | 934,351 | ||||||
|
|
|||||||
Real Estate Investment Trusts (REITs) 0.0% |
||||||||
iStar Financial, Inc., Term Loan, |
||||||||
5.75%, 9/28/17 |
549 | 553,010 | ||||||
|
|
|||||||
Real Estate Management & Development 0.1% |
||||||||
Realogy Corp.: |
||||||||
Extended Letter of Credit Loan, |
||||||||
4.46%, 10/10/16 |
198 | 198,766 | ||||||
Extended Term Loan, |
||||||||
4.46%, 10/10/16 |
2,742 | 2,747,892 | ||||||
|
|
|||||||
2,946,658 | ||||||||
|
|
|||||||
Wireless Telecommunication Services 0.2% |
||||||||
Vodafone Americas Finance 2, Inc., Term Loan B, |
||||||||
6.25%, 7/11/16 |
7,219 | 7,417,265 | ||||||
|
|
|||||||
Total Floating Rate Loan Interests 2.2% |
75,987,163 | |||||||
|
|
|||||||
Foreign Agency Obligations |
||||||||
Argentine Republic Government International Bond: |
||||||||
2.50%, 12/31/38(g) |
11,780 | 4,229,020 | ||||||
5.25%, 12/31/38 |
2,350 | 843,650 | ||||||
Autonomous Community of Madrid Spain: |
||||||||
3.00%, 11/05/13 |
CHF | 1,250 | 1,347,647 | |||||
3.00%, 7/29/14 |
410 | 432,346 | ||||||
Autonomous Community of Valencia Spain: |
||||||||
2.13%, 2/22/13 |
EUR | 3,390 | 3,667,275 | |||||
5.50%, 4/26/13 |
200 | 261,799 | ||||||
4.75%, 3/20/14 |
980 | 1,244,655 | ||||||
3.25%, 7/06/15 |
1,090 | 1,270,845 | ||||||
4.38%, 7/16/15 |
1,570 | 1,857,630 | ||||||
Brazilian Government International Bond, |
||||||||
7.13%, 1/20/37 |
USD | 1,725 | 2,639,250 | |||||
Bundesobligation, |
||||||||
0.50%, 4/07/17 |
EUR | 5,700 | 7,611,875 | |||||
Bundesrepublik Deutschland, |
||||||||
4.25%, 7/04/18 |
4,960 | 7,905,711 | ||||||
Cyprus Government International Bond: |
||||||||
3.75%, 6/03/13 |
820 | 925,417 | ||||||
4.38%, 7/15/14 |
1,510 | 1,545,368 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 9 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Foreign Agency Obligations |
Par (000) |
Value | ||||||
Deutsche Bundesrepublik Inflation Linked Bond, |
||||||||
0.10%, 4/15/23 |
EUR | 46,767 | $ | 64,868,979 | ||||
Italy Buoni Poliennali Del Tesoro: |
||||||||
4.75%, 6/01/17 |
38,495 | 54,081,023 | ||||||
5.25%, 8/01/17 |
8,695 | 12,480,518 | ||||||
5.50%, 11/01/22 |
2,760 | 3,938,608 | ||||||
Mexican Bonos: |
||||||||
Series M10, 7.75%, 12/14/17 |
MXN | 190,870 | 1,643,609 | |||||
Series M30, 8.50%, 11/18/38 |
269,400 | 2,633,708 | ||||||
Mexico Government International Bond: |
||||||||
5.63%, 1/15/17 |
USD | 3,840 | 4,454,400 | |||||
5.13%, 1/15/20 |
8,275 | 9,888,625 | ||||||
Netherlands Government Bond(a): |
||||||||
4.50%, 7/15/17 |
EUR | 111,910 | 174,568,043 | |||||
1.25%, 1/15/18 |
8,835 | 12,028,248 | ||||||
Poland Government International Bond: |
||||||||
6.38%, 7/15/19 |
USD | 1,280 | 1,595,802 | |||||
5.13%, 4/21/21 |
4,130 | 4,898,180 | ||||||
Portugal Government International Bond, |
||||||||
3.50%, 3/25/15 |
12,800 | 12,256,000 | ||||||
Russian Foreign Bond Eurobond, |
||||||||
7.50%, 3/31/30 |
13,388 | 17,195,708 | ||||||
South Africa Government International Bond, |
||||||||
5.50%, 3/09/20 |
3,165 | 3,750,525 | ||||||
Spain Government Bond, |
||||||||
4.50%, 1/31/18 |
EUR | 2,300 | 3,054,852 | |||||
Spain Letras del Tesoro, |
||||||||
2.64%, 4/16/14(k) |
5,200 | 6,648,991 | ||||||
Turkey Government International Bond: |
||||||||
7.00%, 3/11/19 |
USD | 2,670 | 3,320,145 | |||||
5.63%, 3/30/21 |
3,870 | 4,595,625 | ||||||
6.25%, 9/26/22 |
2,760 | 3,440,340 | ||||||
|
|
|||||||
Total Foreign Agency Obligations 12.6% |
437,124,417 | |||||||
|
|
|||||||
Investment Companies |
Shares | |||||||
Diversified Financial Services 0.4% |
||||||||
iShares JPMorgan USD Emerging Markets Bond Fund(l) |
114,500 | 14,060,600 | ||||||
|
|
|||||||
Municipal Bonds |
Par (000) |
|||||||
New York City Municipal Water Finance Authority, Refunding RB, Second General Resolution, Series EE: |
||||||||
5.38%, 6/15/43 |
USD | 4,410 | 5,152,247 | |||||
5.50%, 6/15/43 |
5,285 | 6,265,103 | ||||||
|
|
|||||||
Total Municipal Bonds 0.3% |
|
11,417,350 | ||||||
|
|
|||||||
Non-Agency Mortgage-Backed Securities |
||||||||
Collateralized Mortgage Obligations 4.7% |
||||||||
BlackRock Capital Finance LP, Series 1997-R2, Class AP, |
||||||||
1.12%, 12/25/35(a)(b)(l) |
4 | 4,488 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2007-2, Class 2A, |
||||||||
6.00%, 11/25/36 |
256 | 257,316 | ||||||
Collateralized Mortgage Obligation Trust, Series 57, Class D, |
||||||||
9.90%, 2/01/19 |
9 | 9,960 | ||||||
Countrywide Alternative Loan Trust: |
||||||||
Series 2005-21CB, Class A17, 6.00%, 6/25/35 |
14,262 | 14,142,900 | ||||||
Series 2006-43CB, Class 1A10, 6.00%, 2/25/37 |
6,094 | 4,789,753 | ||||||
Series 2006-J4, Class 2A8, 6.00%, 7/25/36 |
11,616 | 9,174,619 | ||||||
Series 2006-OA10, Class 1A1, 1.01%, 8/25/46(b) |
2,351 | 1,571,148 | ||||||
Series 2006-OA21, Class A1, 0.40%, 3/20/47(b) |
22,996 | 15,196,117 | ||||||
Series 2007-22, Class 2A16, 6.50%, 9/25/37 |
13,645 | 10,003,294 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust(b): |
||||||||
Series 2004-29, Class 1A1, 0.75%, 2/25/35 |
866 | 787,775 | ||||||
Series 2006-OA5, Class 2A1, 0.41%, 4/25/46 |
3,782 | 2,508,715 | ||||||
Series 2006-OA5, Class 3A1, 0.41%, 4/25/46 |
5,629 | 4,167,478 | ||||||
Credit Suisse Mortgage Capital Certificates(a)(b): |
||||||||
Series 2010-20R, Class 9A1, 3.06%, 1/27/36 |
7,442 | 7,352,156 | ||||||
Series 2011-2R, Class 1A1, 2.77%, 3/27/37 |
4,521 | 4,328,658 | ||||||
Series 2011-2R, Class 2A1, 2.61%, 7/27/36 |
14,002 | 13,800,016 | ||||||
Series 2011-5R, Class 3A1, 5.91%, 9/27/47 |
6,312 | 6,194,911 | ||||||
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, |
||||||||
0.36%, 12/25/36(b) |
5,600 | 4,119,971 | ||||||
First Horizon Asset Securities, Inc., |
||||||||
Series 2005-AR3, Class 3A1, 2.60%, 8/25/35(b) |
1,956 | 1,808,735 |
10 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Non-Agency Mortgage-Backed Securities |
Par (000) |
Value | ||||||
Collateralized Mortgage Obligations (concluded) |
||||||||
Fosse Master Issuer Plc, Series 2012-1A, Class 2A2, |
||||||||
1.72%, 10/18/54(a)(b) |
USD | 3,645 | $ | 3,719,486 | ||||
Gemgarto, Series 2012-1, Class A1, |
||||||||
3.47%, 5/14/45(b) |
GBP | 1,841 | 3,110,211 | |||||
GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, |
||||||||
2.89%, 4/25/35(b) |
USD | 5,585 | 5,430,736 | |||||
Homebanc Mortgage Trust, Class A1(b): |
||||||||
Series 2005-4, 0.48%, 10/25/35 |
22,673 | 17,764,005 | ||||||
Series 2006-2, 0.39%, 12/25/36 |
6,502 | 4,994,050 | ||||||
Impac Secured Assets CMN Owner Trust, Series 2004-3, Class 1A4, |
||||||||
1.01%, 11/25/34(b) |
948 | 911,819 | ||||||
JPMorgan Mortgage Trust: |
||||||||
Series 2006-S2, Class 2A2, 5.88%, 6/25/21 |
3,646 | 3,556,212 | ||||||
Series 2007-S1, Class 1A2, 5.50%, 3/25/22 |
1,056 | 1,031,597 | ||||||
Lanark Master Issuer Plc, Series 2012-2X, Class 2A, |
||||||||
2.15%, 12/22/54(b) |
GBP | 2,673 | 4,516,661 | |||||
New York Securitization Trust, Series 2012-1, Class A, |
||||||||
6.71%, 12/27/47(a)(b) |
USD | 12,069 | 12,069,000 | |||||
Residential Mortgage Securities Ltd., |
||||||||
2.77%, 2/14/41(b) |
GBP | 2,037 | 3,434,048 | |||||
Silk Road Finance Number Three Plc, |
||||||||
1.87%, 6/21/55(b) |
1,911 | 3,171,616 | ||||||
|
|
|||||||
163,927,451 | ||||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 8.9% |
||||||||
Banc of America Large Loan, Inc., Series 2010, Class HLTN, |
||||||||
2.51%, 11/15/15(a)(b) |
USD | 11,343 | 11,319,447 | |||||
Banc of America Merrill Lynch Commercial Mortgage, Inc.: |
||||||||
Series 2005-3, Class A3A, 4.62%, 7/10/43 |
850 | 851,241 | ||||||
Series 2007-3, Class A4, 5.59%, 6/10/49(b) |
2,730 | 3,164,436 | ||||||
Series 2007-3, Class AM, 5.59%, 6/10/49(b) |
4,015 | 4,388,568 | ||||||
BB-UBS Trust, Series 2012-TFT, Class C, |
||||||||
3.47%, 6/05/30 (a)(b) |
920 | 873,095 | ||||||
Bear Stearns Commercial Mortgage Securities(b): |
||||||||
Series 2005-PW10, Class AM, 5.45%, 12/11/40 |
1,350 | 1,488,320 | ||||||
Series 2006-PW11, Class A4, 5.45%, 3/11/39 |
175 | 197,452 | ||||||
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class AM, |
||||||||
5.70%, 12/10/49 (b) |
4,000 | 4,536,028 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B, |
||||||||
5.21%, 12/11/49 |
1,388 | 1,407,879 | ||||||
Commercial Mortgage Pass-Through Certificates(a): |
||||||||
Series 2010-RR1, Class GEB, 5.54%, 12/11/49(b) |
2,260 | 2,547,192 | ||||||
Series 2012-LTRT, Class A2, 3.40%, 10/05/30 |
5,485 | 5,743,278 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2010-RR1, Class 2A, |
||||||||
5.70%, 9/15/40(a)(b) |
4,730 | 5,487,292 | ||||||
Credit Suisse First Boston Mortgage Securities Corp.: |
||||||||
Series 2003-C3, Class A5, 3.94%, 5/15/38 |
2,046 | 2,052,048 | ||||||
Series 2003-CPN1, Class A2, 4.60%, 3/15/35 |
105 | 104,857 | ||||||
Series 2005-C3, Class AJ, 4.77%, 7/15/37 |
920 | 948,274 | ||||||
DBRR Trust (a): |
||||||||
Series 2011-C32, Class A3A, 5.74%, 6/17/49(b) |
3,800 | 4,452,760 | ||||||
Series 2012-EZ1, Class A, 0.95%, 9/25/45 |
15,525 | 15,565,643 | ||||||
GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A2, |
||||||||
5.42%, 12/10/49 |
19,572 | 19,544,661 | ||||||
GMAC Commercial Mortgage Securities, Inc., Series 2003-C2, Class A2, |
||||||||
5.44%, 5/10/40(b) |
2,774 | 2,814,904 | ||||||
Greenwich Capital Commercial Funding Corp.: |
||||||||
Series 2005-GG3, Class A3, 4.57%, 8/10/42 |
1,273 | 1,275,494 | ||||||
Series 2006-GG7, Class AJ, 5.87%, 7/10/38(b) |
3,370 | 3,270,275 | ||||||
Series 2007-GG11, Class A4, 5.74%, 12/10/49 |
1,850 | 2,180,787 | ||||||
Series 2007-GG9, Class AM, 5.48%, 3/10/39 |
1,500 | 1,632,974 | ||||||
GS Mortgage Securities Corp. II: |
||||||||
Series 2005-GG4, Class A4, 4.76%, 7/10/39 |
13,351 | 14,388,773 | ||||||
Series 2006-GG8, Class AJ, 5.62%, 11/10/39 |
3,580 | 3,267,419 | ||||||
Series 2006-GG8, Class AM, 5.59%, 11/10/39 |
1,470 | 1,651,324 | ||||||
Series 2007-GG10, Class A4, 5.79%, 8/10/45(b)(f) |
4,400 | 5,072,786 | ||||||
Series 2012-SHOP, Class C, 3.63%, 6/05/31(a) |
820 | 843,742 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 11 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Non-Agency Mortgage-Backed Securities |
Par (000) |
Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
||||||||
JPMorgan Chase Commercial Mortgage Securities Corp.(b): |
||||||||
Series 2006-CB14, Class AM, 5.45%, 12/12/44 |
USD | 5,065 | $ | 5,505,316 | ||||
Series 2007-CB19, Class AM, 5.73%, 2/12/49 |
2,000 | 2,174,414 | ||||||
Series 2007-CB20, Class AJ, 6.08%, 2/12/51 |
3,705 | 3,547,219 | ||||||
Series 2007-CB20, Class AM, 5.88%, 2/12/51 |
6,118 | 7,093,931 | ||||||
Series 2007-LD11, Class A2, 5.80%, 6/15/49 |
16,636 | 17,158,624 | ||||||
Series 2008-C2, Class ASB, 6.13%, 2/12/51 |
2,486 | 2,711,474 | ||||||
Series 2012-HSBC, Class D, 4.52%, 7/05/32(a) |
4,000 | 4,249,824 | ||||||
LB-UBS Commercial Mortgage Trust(b): |
||||||||
Series 2003-C7, Class A3, 4.56%, 9/15/27 |
66 | 66,326 | ||||||
Series 2005-C2, Class AJ, 5.21%, 4/15/30 |
3,055 | 3,223,300 | ||||||
Series 2007-C6, Class A4, 5.86%, 7/15/40 |
8,450 | 10,087,509 | ||||||
Series 2007-C7, Class A3, 5.87%, 9/15/45 |
3,800 | 4,530,466 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust: |
||||||||
Series 2006-2, Class A2, 5.88%, 6/12/46(b) |
1,489 | 1,492,796 | ||||||
Series 2007-9, Class ASB, 5.64%, 9/12/49 |
24,147 | 25,299,046 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV, Class CK, |
||||||||
4.30%, 10/15/30(a) |
8,496 | 7,709,798 | ||||||
Morgan Stanley Capital I Trust: |
||||||||
Series 1998-WF2, Class G, 6.34%, 7/15/30(a)(b) |
5,026 | 5,142,734 | ||||||
Series 2007-HQ11, Class A2, 5.36%, 2/12/44 |
3,553 | 3,559,823 | ||||||
Series 2007-HQ12, Class AM, 5.57%, 4/12/49(b) |
1,590 | 1,681,020 | ||||||
Series 2007-HQ12, Class A2FX, 5.57%, 4/12/49(b) |
819 | 859,422 | ||||||
Series 2007-IQ15, Class AM, 5.88%, 6/11/49(b) |
4,505 | 4,962,131 | ||||||
Series 2007-XLC1, Class A2, 0.56%, 7/17/17 |
1,800 | 1,728,313 | ||||||
Morgan Stanley Reremic Trust(a)(b): |
||||||||
Series 2007-LD11, Class A2, 5.80%, 6/15/49 |
3,660 | 3,653,009 | ||||||
Series 2008-C2, Class ASB, 6.13%, 2/12/51 |
2,680 | 2,592,471 | ||||||
Series 2012-XA, Class A, 2.00%, 7/27/49 |
6,093 | 6,154,075 | ||||||
Motel 6 Trust, Series 2012-MTL6, Class B, |
||||||||
2.74%, 10/05/25(a) |
2,655 | 2,680,371 | ||||||
ORES NPL LLC, Series 2012-LV1, Class A, |
||||||||
4.00%, 9/25/44(a) |
2,198 | 2,206,370 | ||||||
RBSCF Trust, Series 2010-RR3, Class WBTA, |
||||||||
6.12%, 2/16/51(a)(b) |
14,186 | 16,700,285 | ||||||
RCMC LLC, Series 2012-CRE1, Class A, |
||||||||
5.62%, 11/15/44(a) |
7,569 | 7,606,417 | ||||||
SMA Issuer I LLC, Series 2012-LV1, Class A, |
||||||||
3.50%, 8/20/25(a) |
6,915 | 6,941,277 | ||||||
STRIPs Ltd., Series 2012-1, Class A, |
||||||||
1.50%, 12/25/44(a) |
10,300 | 10,179,696 | ||||||
Wachovia Bank Commercial Mortgage Trust: |
||||||||
Series 2006-C28, Class A2 5.50%, 10/15/48 |
4,325 | 4,345,774 | ||||||
Series 2007-C33, Class AM, 5.92%, 2/15/51(b) |
3,791 | 4,241,002 | ||||||
Series 2007-C33, Class A4 5.92%, 2/15/51(b) |
4,310 | 5,056,583 | ||||||
WaMu Commercial Mortgage Securities Trust, Series 2005-C1A, Class X, |
||||||||
1.09%, 5/25/36(a)(b) |
2,325 | 38,254 | ||||||
|
|
|||||||
306,250,019 | ||||||||
|
|
|||||||
Interest Only Commercial Mortgage-Backed Securities 1.1% |
||||||||
Commercial Mortgage Pass Through Certificates (b): |
||||||||
Series 2012-CR1, Class XA, 2.26%, 5/15/45 |
43,881 | 6,066,317 | ||||||
Series 2012-CR3, Class XA, 2.22%, 11/15/45 |
45,659 | 6,521,963 | ||||||
Series CR5, Class XA, 1.95%, 12/10/45 |
45,500 | 5,571,971 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-CBX, Class XA, |
||||||||
2.05%, 6/15/45(b) |
20,975 | 2,421,614 | ||||||
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA, |
||||||||
2.70%, 3/15/45(a)(b) |
41,842 | 6,105,449 | ||||||
Morgan Stanley Reremic Trust, Series 2011, Class A, |
||||||||
2.50%, 3/23/51 |
2,297 | 2,318,684 | ||||||
Wells Fargo Reremic Trust, Series 2012, Class A, |
||||||||
1.75%, 8/20/21(a) |
5,983 | 6,004,835 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C10, Class XA, |
||||||||
1.86%, 12/15/45(a)(b) |
47,560 | 5,954,179 | ||||||
|
|
|||||||
40,965,012 | ||||||||
|
|
12 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Non-Agency Mortgage-Backed Securities |
Par (000) |
Value | ||||||
Principal Only Collaterized Mortgage Obligations 0.2% |
||||||||
Morgan Stanley Reremic Trust, |
||||||||
Series 2009, Class B, 7/17/56(a) |
USD | 6,500 | $ | 5,793,775 | ||||
|
|
|||||||
Total Non-Agency Mortgage-Backed Securities 14.9% |
516,936,257 | |||||||
|
|
|||||||
Preferred Securities |
||||||||
Capital Trusts |
||||||||
Capital Markets 0.0% |
||||||||
State Street Capital Trust IV, |
||||||||
1.31%, 6/01/77(b) |
770 | 598,887 | ||||||
|
|
|||||||
598,887 | ||||||||
|
|
|||||||
Commercial Banks 0.2% |
||||||||
BNP Paribas Fortis SA, |
||||||||
4.63%(b)(i) |
EUR | 850 | 1,061,412 | |||||
Fifth Third Capital Trust IV, |
||||||||
6.50%, 4/15/67(b) |
USD | 5,410 | 5,410,000 | |||||
|
|
|||||||
6,471,412 | ||||||||
|
|
|||||||
Consumer Finance 0.2% |
||||||||
Capital One Capital VI, |
||||||||
8.88%, 5/15/40 |
6,845 | 6,845,000 | ||||||
|
|
|||||||
Insurance 0.5% |
||||||||
Achmea BV, |
||||||||
5.13%(i) |
EUR | 1,110 | 1,425,586 | |||||
MetLife Capital Trust IV, |
||||||||
7.88%, 12/15/67(a) |
USD | 6,045 | 7,405,125 | |||||
Swiss Re Capital I LP, |
||||||||
6.85%(a)(b)(i) |
6,125 | 6,419,625 | ||||||
XL Group Plc, Series E, |
||||||||
6.50%(b)(i) |
2,890 | 2,702,150 | ||||||
17,952,486 | ||||||||
|
|
|||||||
Total Capital Trusts 0.9% |
31,867,785 | |||||||
|
|
|||||||
Preferred Stocks |
Shares | |||||||
Thrifts & Mortgage Finance 0.0% |
||||||||
Fannie Mae, Series S I, |
||||||||
8.25%(b) |
110,000 | 183,700 | ||||||
Freddie Mac, Series Z I, |
||||||||
8.38%(b) |
120,000 | 210,000 | ||||||
|
|
|||||||
Total Preferred Stocks 0.0% |
393,700 | |||||||
|
|
|||||||
Commercial Banks 0.1% |
||||||||
Citigroup Capital XIII, |
||||||||
7.88%, 10/30/40(b)(m) |
149,440 | 4,119,524 | ||||||
|
|
|||||||
Total Preferred Securities 1.0% |
36,381,009 | |||||||
|
|
|||||||
US Government Sponsored Agency Securities |
Par (000) |
|||||||
Agency Obligations 1.2% |
||||||||
Fannie Mae: |
||||||||
1.75%, 5/07/13(f) |
3,450 | 3,468,909 | ||||||
1.96%, 10/09/19(f)(k) |
13,295 | 11,647,178 | ||||||
6.63%, 11/15/30(f) |
1,450 | 2,208,356 | ||||||
Freddie Mac: |
||||||||
2.50%, 4/23/14(f) |
6,100 | 6,283,768 | ||||||
4.38%, 7/17/15(f) |
7,950 | 8,755,979 | ||||||
4.88%, 6/13/18(f) |
4,300 | 5,190,814 | ||||||
3.75%, 3/27/19(n) |
3,650 | 4,219,101 | ||||||
|
|
|||||||
41,774,105 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 0.9% |
||||||||
Fannie Mae Mortgage-Backed Securities: |
||||||||
Series 2006-M2, Class A2A, 5.27%, 10/25/32(b) |
4,333 | 5,373,399 | ||||||
Series 2003-W5, Class A, 0.43%, 4/25/33(b) |
8 | 8,099 | ||||||
Series 2005-48, Class AR, 5.50%, 2/25/35 |
33 | 36,477 | ||||||
Freddie Mac Mortgage-Backed Securities: |
||||||||
Series 2825, Class VP, 5.50%, 6/15/15 |
642 | 665,226 | ||||||
Series K013, Class A2, 3.97%, 1/25/21(b) |
4,060 | 4,650,702 | ||||||
Series K017, Class A2, 2.87%, 12/25/21 |
14,020 | 14,868,224 | ||||||
Ginnie Mae Mortgage-Backed Securities, Series 2009-63, Class AC, |
||||||||
4.18%, 1/16/38 |
4,350 | 4,570,584 | ||||||
|
|
|||||||
30,172,711 | ||||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 0.2% |
||||||||
Freddie Mac Mortgage-Backed Securities(a)(b): |
||||||||
Series K706, Class C, 4.02%, 11/25/44 |
1,520 | 1,488,050 | ||||||
Series 2012-K23, Class B, 3.66%, 10/25/45 |
6,240 | 6,087,120 | ||||||
|
|
|||||||
7,575,170 | ||||||||
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 13 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
US Government Sponsored Agency Securities |
Par (000) |
Value | ||||||
Interest Only Collateralized Mortgage Obligations 0.5% |
||||||||
Fannie Mae Mortgage-Backed Securities(b): |
||||||||
Series 2011-123, Class CS, 6.40%, 10/25/41 |
USD | 20,342 | $ | 2,875,182 | ||||
Series 2012-94, Class IK, 4.00%, 9/25/42 |
20,568 | 2,752,745 | ||||||
Freddie Mac Mortgage-Backed Securities(b): |
||||||||
Series K707, Class X1, 1.56%, 12/25/18 |
22,986 | 1,817,632 | ||||||
Series K710, Class X1, 1.78%, 5/25/19 |
17,085 | 1,629,308 | ||||||
Series K009, Class X1, 1.51%, 8/25/20 |
43,941 | 3,628,567 | ||||||
Series K019, Class X1, 1.75%, 3/25/22 |
10,270 | 1,282,631 | ||||||
Series K023, Class X1, 1.32%, 8/25/22 |
28,160 | 2,781,901 | ||||||
Ginne Mae Mortgage-Backed Securities, Series 2012-120, |
||||||||
1.01%, 2/16/53(b) |
24,050 | 2,017,378 | ||||||
|
|
|||||||
18,785,344 | ||||||||
|
|
|||||||
Mortgage-Backed Securities 89.8% |
||||||||
Fannie Mae Mortgage-Backed Securities: |
||||||||
2.24%, 10/01/42(b) |
7,305 | 7,591,855 | ||||||
2.50%, 4/01/27 1/15/28(f)(o) |
147,126 | 154,163,638 | ||||||
3.00%, 3/01/41(b) |
3,229 | 3,378,503 | ||||||
3.00%, 9/01/27 1/15/43(b)(f)(o) |
252,373 | 264,880,672 | ||||||
3.14%, 3/01/41(b) |
3,982 | 4,165,794 | ||||||
3.29%, 12/01/40(b) |
6,343 | 6,723,601 | ||||||
3.50%, 7/01/26 2/15/43(f)(o) |
469,697 | 500,876,776 | ||||||
4.00%, 2/01/25 2/15/43(f)(o) |
586,955 | 630,462,718 | ||||||
4.50%, 2/01/25 2/15/43(f)(o) |
436,582 | 472,084,568 | ||||||
5.00%, 8/01/38(b) |
4,843 | 4,745,455 | ||||||
5.00%, 9/01/33 2/15/43(b)(f)(o) |
281,056 | 305,549,194 | ||||||
5.50%, 12/01/32 2/15/43(f)(o) |
72,001 | 78,645,418 | ||||||
5.53%, 10/01/38(b) |
37 | 40,355 | ||||||
6.00%, 2/01/34 1/15/43(f)(o) |
51,876 | 57,196,160 | ||||||
6.50%, 5/01/40 2/15/43(f)(o) |
32,093 | 35,978,859 | ||||||
Freddie Mac Mortgage-Backed Securities: |
||||||||
2.31%, 10/01/36(b) |
53 | 56,569 | ||||||
2.66%, 2/01/37(b) |
148 | 158,465 | ||||||
2.92%, 6/01/42(b) |
6,612 | 6,957,584 | ||||||
3.00%, 1/15/28(o) |
12,400 | 13,020,000 | ||||||
3.02%, 2/01/41(b) |
5,166 | 5,415,516 | ||||||
3.50%, 1/15/28 1/15/43(f)(o) |
35,457 | 37,666,268 | ||||||
4.00%, 1/15/28 1/15/43(o) |
57,400 | 61,156,562 | ||||||
4.50%, 10/01/41 1/15/43(f)(o) |
66,016 | 70,838,147 | ||||||
5.00%, 10/01/36 5/01/39(f) |
40,197 | 43,354,508 | ||||||
5.50%, 4/01/38 1/01/40(f) |
25,552 | 27,600,406 | ||||||
Ginnie Mae Mortgage-Backed Securities: |
||||||||
1.75%, 5/20/34(b) |
1,344 | 1,406,611 | ||||||
3.50%, 9/20/42 1/15/43(f)(o) |
26,807 | 29,154,197 | ||||||
4.00%, 10/15/40 1/15/43(f)(o) |
140,439 | 153,481,964 | ||||||
4.50%, 5/20/40 2/15/42(f) |
87,086 | 96,092,595 | ||||||
5.00%, 10/20/39 1/15/43(f)(o) |
45,111 | 49,530,823 | ||||||
|
|
|||||||
3,122,373,781 | ||||||||
|
|
|||||||
Total US Government Sponsored Agency Securities 92.6% |
3,220,681,111 | |||||||
|
|
|||||||
US Treasury Obligations |
||||||||
US Treasury Bonds, |
||||||||
2.75%, 11/15/42(f) |
132,430 | 127,588,480 | ||||||
US Treasury Inflation Indexed Bonds: |
||||||||
0.13%, 4/15/17 |
23,291 | 24,941,906 | ||||||
2.13%, 2/15/41(f) |
6,945 | 10,255,429 | ||||||
0.75%, 2/15/42 |
12,018 | 13,162,783 | ||||||
US Treasury Notes(f): |
||||||||
0.25%, 12/15/15 |
226,185 | 225,513,457 | ||||||
1.00%, 11/30/19 |
47,279 | 46,821,258 | ||||||
1.63%, 8/15/22 |
19,035 | 18,910,092 | ||||||
1.63%, 11/15/22 |
53,628 | 53,041,516 | ||||||
|
|
|||||||
Total US Treasury Obligations 14.9% |
520,234,921 | |||||||
|
|
|||||||
Total Long-Term Investments |
6,668,758,869 | |||||||
|
|
|||||||
Short-Term Securities |
Shares | |||||||
Money Market Funds 0.3% |
||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, |
||||||||
0.11%(l)(p) |
10,933,237 | 10,933,237 | ||||||
|
|
|||||||
Par (000) |
||||||||
Borrowed Bond Agreements 8.3% |
||||||||
Barclays Bank Plc, NY: |
||||||||
(0.10)%, open |
EUR | 5,793 | 7,646,190 | |||||
(0.08)%, open |
61,556 | 81,250,000 | ||||||
0.05%, open |
827 | 1,092,032 |
14 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
(Percentages shown are based on Net Assets) |
Short-Term Securities |
Par (000) |
Value | ||||||
Borrowed Bond Agreements (concluded) |
||||||||
BNP Paribas Securities Corp.: |
||||||||
0.18%, open |
USD | 1,096 | $ | 1,096,250 | ||||
0.20%, open |
17,939 | 17,938,638 | ||||||
Citigroup Global Markets Ltd.: |
||||||||
(0.10)%, open |
EUR | 59,609 | 78,680,287 | |||||
(0.05)%, open |
USD | 2,771 | 2,771,250 | |||||
(0.03)%, open |
EUR | 16,241 | 21,437,321 | |||||
(0.02)%, open |
8,026 | 10,594,173 | ||||||
0.00%, open |
8,180 | 10,797,329 | ||||||
Credit Suisse Securities (USA) LLC, |
||||||||
0.20%, open |
USD | 25,157 | 25,157,200 | |||||
Deutsche Bank Securities Inc., |
||||||||
(0.05)%, open |
18,572 | 18,571,875 | ||||||
UBS AG, |
||||||||
(0.05)%, open |
EUR | 7,302 | 9,638,281 | |||||
|
|
|||||||
286,670,826 | ||||||||
|
|
|||||||
Total Short-Term Securities |
297,604,063 | |||||||
|
|
|||||||
Options Purchased (Cost $18,418,277) 0.7% |
24,652,878 | |||||||
|
|
|||||||
Total Investments Before Borrowed Bonds, TBA Sale Commitments and Options Written (Cost $6,836,753,183*) 201.0% |
6,991,015,810 | |||||||
|
|
|||||||
Borrowed Bonds |
||||||||
ArcelorMittal, 7.50%, 10/15/39 |
USD | 3,000 | (2,820,000 | ) | ||||
Belgium Government Bond: |
||||||||
3.25%, 9/28/16 |
EUR | 1,955 | (2,843,560 | ) | ||||
5.50%, 9/28/17 |
1,640 | (2,639,550 | ) | |||||
4.25%, 9/28/21 |
3,365 | (5,304,644 | ) | |||||
Bundesrepublik Deutschland, |
||||||||
2.00%, 1/04/22 |
14,900 | (21,017,916 | ) | |||||
France Government Bond OAT: |
||||||||
3.75%, 4/25/17 |
7,320 | (10,976,077 | ) | |||||
4.25%, 10/25/17 |
6,085 | (9,380,457 | ) | |||||
4.00%, 4/25/18 |
4,960 | (7,626,222 | ) | |||||
France Telecom SA, |
||||||||
4.13%, 9/14/21 |
USD | 2,500 | (2,754,857 | ) | ||||
French Treasury Note BTAN, |
||||||||
1.00%, 7/25/17 |
EUR | 117,030 | (157,022,042 | ) | ||||
Morgan Stanley, |
||||||||
4.88%, 11/01/22 |
USD | 15,000 | (15,530,910 | ) | ||||
Spain Government Bond: |
||||||||
3.40%, 4/30/14 |
EUR | 805 | (1,070,147 | ) | ||||
4.10%, 7/30/18 |
2,330 | (3,034,520 | ) | |||||
Treasury Inflation Protected Security: |
||||||||
0.13%, 4/15/17 |
USD | 23,505 | $ | (25,170,931 | ) | |||
0.13%, 7/15/22 |
16,441 | (17,847,774 | ) | |||||
US Treasury Bonds, |
||||||||
3.13%, 11/15/41 |
1,000 | (1,046,719 | ) | |||||
|
|
|||||||
Total Borrowed Bonds |
(286,086,326 | ) | ||||||
|
|
|||||||
TBA Sale Commitments (o) |
||||||||
Fannie Mae Mortgage-Backed Securities: |
||||||||
2.50%, 1/15/28 2/15/28 |
134,000 | (140,011,094 | ) | |||||
3.00%, 1/15/28 1/15/43 |
153,600 | (160,986,875 | ) | |||||
3.50%, 1/15/28 2/15/43 |
371,000 | (395,218,255 | ) | |||||
4.00%, 1/15/28 2/15/43 |
410,000 | (439,377,609 | ) | |||||
4.50%, 1/15/28 2/15/43 |
377,900 | (408,161,053 | ) | |||||
5.00%, 1/15/43 |
252,100 | (273,075,703 | ) | |||||
5.50%, 1/15/43 |
19,800 | (21,510,843 | ) | |||||
6.00%, 1/15/43 |
500 | (546,094 | ) | |||||
6.50%, 1/15/43 |
11,200 | (12,468,750 | ) | |||||
Ginnie Mae Mortgage-Backed Securities: |
||||||||
3.50%, 1/15/43 |
100 | (108,648 | ) | |||||
4.00%, 1/15/43 |
141,500 | (154,769,304 | ) | |||||
4.50%, 1/15/43 |
12,800 | (14,014,001 | ) | |||||
|
|
|||||||
Total TBA Sale Commitments |
(2,020,248,229 | ) | ||||||
|
|
|||||||
Options Written |
||||||||
|
|
|||||||
(Premiums Received $20,170,890) (0.8)% |
(27,133,075 | ) | ||||||
|
|
|||||||
Total Investments, Net of Borrowed Bonds, TBA Sale Commitments and Options Written 133.9% |
4,657,548,180 | |||||||
Liabilities in Excess of Other Assets (33.9)% |
(1,179,728,956 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 3,477,819,224 | ||||||
|
|
* | As of December 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
Tax cost |
$ | 6,845,286,134 | ||||
|
|
|||||
Gross unrealized appreciation |
$ | 167,795,545 | ||||
Gross unrealized depreciation |
(22,065,869 | ) | ||||
|
|
|||||
Net unrealized appreciation |
$ | 145,729,676 | ||||
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 15 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Notes to Schedule of Investments
(a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(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 Appreciation |
||||||
JPMorgan Chase & Co |
$ | 12,132,431 | $ | 19 | ||||
Citigroup Inc |
$ | 16,285,400 | |
(d) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
(e) | Non-income producing security. |
(f) | All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. |
(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) | All or a portion of security has been pledged as collateral in connection with swaps. |
(i) | Security is perpetual in nature and has no stated maturity date. |
(j) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
(k) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
(l) | Investments in issuers considered to be an affiliate of the Master Portfolio during the period ended December 31, 2012, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate |
Par/Shares Held at September 30, 2012 |
Par/Shares Purchased |
Par/Shares Sold |
Par/Shares Held at December 31, 2012 |
Value at December 31, 2012 |
Income | ||||||||||||||||||
BlackRock Capital Finance LP, Series 1997-R2, Class AP, 1.12%, 12/25/35 |
$ | 8,543 | | $ | (4,055 | ) | $ | 4,488 | $ | 4,488 | $ | 95 | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class. |
9,146,877 | $ | 1,786,360 | 1 | | 10,933,237 | $ | 10,933,237 | $ | 5,647 | ||||||||||||||
iShares JPMorgan USD Emerging Markets Bond Fund |
114,500 | | | 114,500 | $ | 14,060,600 | |
1 | Represents the net shares purchased. |
(m) | Convertible security. |
(n) | All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
(o) | Represents or includes a TBA transaction. Unsettled TBA transactions as of December 31, 2012 were as follows: |
Counterparty |
Value | Unrealized Appreciation (Depreciation) |
||||||
Bank of America Corp |
$ | 5,343,640 | $ | 6,468 | ||||
Barclays Plc |
$ | (73,453,280 | ) | $ | (130,155 | ) | ||
BNP Paribas SA |
$ | 91,922 | $ | 578 | ||||
Citigroup, Inc |
$ | (108,484,159 | ) | $ | (168,733 | ) | ||
Credit Suisse Group AG |
$ | 33,393,651 | $ | 110,886 | ||||
Deutsche Bank AG |
$ | (84,241,169 | ) | $ | 112,198 | |||
Goldman Sachs Group, Inc. |
$ | 59,473,759 | $ | (221,375 | ) | |||
JPMorgan Chase & Co. |
$ | 29,439,084 | $ | (38,482 | ) | |||
Morgan Stanley |
$ | 14,136,539 | $ | (148,000 | ) | |||
Nomura Trust and Banking Co., Ltd. |
$ | (66,837,532 | ) | $ | (17,828 | ) | ||
Royal Bank of Scotland Group Plc |
$ | 2,389,406 | $ | 4,109 | ||||
UBS AG |
$ | (28,804,668 | ) | $ | (27,980 | ) | ||
Wells Fargo & Co |
$ | 6,929,863 | $ | 5,332 |
(p) | Represents the current yield as of report date. |
16 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Portfolio Abbreviations
To simplify the listings of portfolio holdings in the Consolidated Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list: | AUD | Australian Dollar | LIBOR | London Interbank Offered Rate | ||||
CAD | Canadian Dollar | MXN | Mexican New Peso | |||||
CHF | Swiss Franc | RB | Revenue Bonds | |||||
CNY | Chinese Renminbi | S&P | Standard and Poors | |||||
ETF | Exchange-Traded Fund | SPDR | Standard and Poors Depositary Receipts | |||||
EUR | Euro | TBA | To Be Announced | |||||
GBP | British Pound | TRX | Turkish Lira/USD | |||||
HUF | Hungarian Forint | USD | US Dollar | |||||
JPY | Japanese Yen |
| 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 Master Portfolio management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 17 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
| Reverse repurchase agreements outstanding as of December 31, 2012 were as follows: |
Counterparty |
Interest Rate |
Trade Date |
Maturity Date1 |
Face Value | Face Value Including Accrued Interest |
|||||||||||
UBS Securities LLC |
(0.25 | )% | 7/02/12 | Open | $ | 855,750 | $ | 854,663 | ||||||||
Credit Suisse Securities (USA) LLC |
0.21 | % | 7/24/12 | Open | 9,232,072 | 9,240,743 | ||||||||||
Deutsche Bank Securities, Inc. |
0.23 | % | 7/25/12 | Open | 18,754,750 | 18,773,922 | ||||||||||
UBS Securities LLC |
0.10 | % | 10/02/12 | Open | 1,192,140 | 1,192,438 | ||||||||||
Deutsche Bank Securities, Inc. |
0.28 | % | 10/10/12 | Open | 19,156,569 | 19,168,935 | ||||||||||
Credit Suisse Securities (USA) LLC |
0.32 | % | 10/18/12 | Open | 43,739,002 | 43,768,162 | ||||||||||
Credit Suisse Securities (USA) LLC |
0.23 | % | 10/23/12 | Open | 125,535,927 | 125,592,069 | ||||||||||
Deutsche Bank Securities, Inc. |
(0.63 | )% | 10/24/12 | Open | 3,888,987 | 3,884,329 | ||||||||||
BNP Paribas Securities Corp. |
0.22 | % | 11/19/12 | Open | 10,429,594 | 10,432,334 | ||||||||||
HSBC Securities (USA), Inc. |
0.38 | % | 12/11/12 | 1/14/13 | 617,475,387 | 617,606,200 | ||||||||||
Deutsche Bank Securities, Inc. |
0.23 | % | 12/12/12 | Open | 19,153,969 | 19,156,416 | ||||||||||
Morgan Stanley & Co. LLC |
0.38 | % | 12/13/12 | 1/14/13 | 27,618,756 | 27,624,295 | ||||||||||
Citigroup Global Markets, Inc. |
0.00 | % | 12/18/12 | Open | 4,807,000 | 4,807,000 | ||||||||||
HSBC Securities (USA), Inc. |
0.38 | % | 12/18/12 | 1/14/13 | 71,260,052 | 71,270,583 | ||||||||||
Credit Suisse Securities (USA) LLC |
0.37 | % | 12/19/12 | Open | 39,926,731 | 39,932,066 | ||||||||||
Credit Suisse Securities (USA) LLC |
0.37 | % | 12/27/12 | Open | 30,343,075 | 30,344,322 | ||||||||||
Credit Suisse Securities (USA) LLC |
(0.13 | )% | 12/31/12 | 1/02/13 | 46,924,705 | 46,924,536 | ||||||||||
Credit Suisse Securities (USA) LLC |
(0.16 | )% | 12/31/12 | 1/02/13 | 53,359,960 | 53,359,722 | ||||||||||
Deutsche Bank Securities, Inc. |
0.20 | % | 12/31/12 | 1/02/13 | 225,619,538 | 225,620,792 | ||||||||||
Morgan Stanley & Co. LLC |
0.22 | % | 12/31/12 | 1/02/13 | 97,875,000 | 97,875,598 | ||||||||||
|
|
|
|
|||||||||||||
Total |
$ | 1,467,148,964 | $ | 1,467,429,125 | ||||||||||||
|
|
|
|
1 | Certain agreements have no stated maturity and can be terminated by either party at any time. |
| Financial futures contracts as of December 31, 2012 were as follows: |
Contracts Purchased/ (Sold) |
Issue |
Exchange |
Expiration | Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
38 | CAC 40 Index | Euronext Paris | January 2013 | USD | 1,826,759 | $ | (2,608 | ) | ||||||||||
1,563 | 2-Year US Treasury Note | Chicago Board of Trade | March 2013 | USD | 344,592,656 | (57,675 | ) | |||||||||||
769 | 30-Year US Treasury Bond | Chicago Board of Trade | March 2013 | USD | 113,427,500 | 246,016 | ||||||||||||
908 | 5-Year US Treasury Note | Chicago Board of Trade | March 2013 | USD | 112,967,969 | (55,353 | ) | |||||||||||
7 | DAX 30 Index | Eurex Deutschland | March 2013 | USD | 1,759,808 | (1,405 | ) | |||||||||||
457 | VSTOXX Mini 50 Index | Eurex Deutschland | March 2013 | USD | 1,342,159 | 92,292 | ||||||||||||
1,075 | 90-Day Euro-Dollar | Chicago Mercantile | March 2016 | USD | 266,035,625 | (83,768 | ) | |||||||||||
(457) | VSTOXX Mini 50 Index | Eurex Deutschland | January 2013 | USD | 1,293,901 | (167,091 | ) | |||||||||||
(1,427) | 10-Year US Treasury Note | Chicago Board of Trade | March 2013 | USD | 189,478,844 | (736,120 | ) | |||||||||||
(457) | Euro BOBL | Eurex Deutschland | March 2013 | USD | 77,103,262 | (510,692 | ) |
18 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
| Financial futures contracts as of December 31, 2012 were as follows (concluded): |
Contracts Purchased/ (Sold) |
Issue |
Exchange | Expiration | Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||
(403) | Euro Bund | Eurex Deutschland | March 2013 | USD | 77,471,766 | $ | (234,779 | ) | ||||||
(35) | Euro-Schatz | Eurex Deutschland | March 2013 | USD | 5,121,310 | (5,364 | ) | |||||||
(159) | Long Gilt Bond | London Financial Futures | March 2013 | USD | 30,715,554 | (63,065 | ) | |||||||
(361) | Ultra Long US Treasury Bond | Chicago Board of Trade | March 2013 | USD | 58,696,344 | 678,956 | ||||||||
(175) | 90-Day Euro-Dollar | Chicago Mercantile | June 2016 | USD | 43,246,875 | 41,211 | ||||||||
(1,427) | 90-Day Euro-Dollar | Chicago Mercantile | September 2016 | USD | 352,112,250 | 343,009 | ||||||||
(175) | 90-Day Euro-Dollar | Chicago Mercantile | December 2016 | USD | 43,111,250 | 43,809 | ||||||||
|
|
|||||||||||||
Total |
|
$ | (472,627 | ) | ||||||||||
|
|
| Foreign currency exchange contracts as of December 31, 2012 were as follows: |
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||
USD | 15,520,166 | GBP | 9,656,000 | BNP Paribas SA | 1/16/13 | $ | (164,973 | ) | ||||||||||
GBP | 19,908,000 | USD | 31,600,645 | Citigroup, Inc. | 1/16/13 | 737,771 | ||||||||||||
USD | 2,131,637 | GBP | 1,327,000 | Citigroup, Inc. | 1/16/13 | (23,933 | ) | |||||||||||
USD | 1,739,455 | GBP | 1,076,000 | Citigroup, Inc. | 1/16/13 | (8,392 | ) | |||||||||||
GBP | 19,510,000 | USD | 31,414,982 | Deutsche Bank AG | 1/16/13 | 276,926 | ||||||||||||
USD | 4,360,145 | CHF | 4,057,943 | Deutsche Bank AG | 1/16/13 | (77,552 | ) | |||||||||||
USD | 26,291,342 | GBP | 16,405,000 | Deutsche Bank AG | 1/16/13 | (356,826 | ) | |||||||||||
USD | 5,140,621 | GBP | 3,241,000 | Deutsche Bank AG | 1/16/13 | (124,036 | ) | |||||||||||
USD | 3,514,319 | GBP | 2,213,730 | Deutsche Bank AG | 1/16/13 | (81,649 | ) | |||||||||||
USD | 3,625,444 | GBP | 2,268,703 | Deutsche Bank AG | 1/16/13 | (59,821 | ) | |||||||||||
USD | 4,099,181 | GBP | 2,559,737 | Deutsche Bank AG | 1/16/13 | (58,838 | ) | |||||||||||
USD | 1,004,372 | GBP | 632,293 | Deutsche Bank AG | 1/16/13 | (22,720 | ) | |||||||||||
USD | 507,295 | GBP | 318,636 | Deutsche Bank AG | 1/16/13 | (10,295 | ) | |||||||||||
USD | 342,417 | GBP | 212,695 | Deutsche Bank AG | 1/16/13 | (3,084 | ) | |||||||||||
USD | 154,977 | GBP | 96,805 | Deutsche Bank AG | 1/16/13 | (2,273 | ) | |||||||||||
USD | 67,243,187 | GBP | 41,952,500 | Goldman Sachs Group, Inc. | 1/16/13 | (904,162 | ) | |||||||||||
USD | 2,915,099 | GBP | 1,828,000 | Goldman Sachs Group, Inc. | 1/16/13 | (54,292 | ) | |||||||||||
USD | 2,950,400 | GBP | 1,844,000 | Goldman Sachs Group, Inc. | 1/16/13 | (44,981 | ) | |||||||||||
GBP | 1,203,000 | USD | 1,934,235 | Royal Bank of Scotland Group Plc | 1/16/13 | 19,910 | ||||||||||||
GBP | 5,399,000 | USD | 8,676,495 | Royal Bank of Scotland Group Plc | 1/16/13 | 93,603 | ||||||||||||
USD | 1,593,559 | GBP | 1,000,000 | Royal Bank of Scotland Group Plc | 1/16/13 | (30,834 | ) | |||||||||||
USD | 948,755 | GBP | 589,000 | UBS AG | 1/16/13 | (8,012 | ) | |||||||||||
EUR | 9,135,000 | USD | 11,853,348 | BNP Paribas SA | 1/23/13 | 206,458 | ||||||||||||
USD | 27,260,715 | EUR | 21,427,000 | Citigroup, Inc. | 1/23/13 | (1,026,691 | ) | |||||||||||
USD | 90,663,460 | EUR | 69,358,000 | Citigroup, Inc. | 1/23/13 | (901,291 | ) | |||||||||||
USD | 14,657,682 | EUR | 11,300,000 | Citigroup, Inc. | 1/23/13 | (260,304 | ) | |||||||||||
USD | 6,430,641 | EUR | 5,039,000 | Citigroup, Inc. | 1/23/13 | (221,725 | ) | |||||||||||
USD | 13,153,236 | EUR | 10,129,000 | Citigroup, Inc. | 1/23/13 | (218,825 | ) | |||||||||||
USD | 5,432,553 | EUR | 4,187,000 | Deutsche Bank AG | 1/23/13 | (95,023 | ) | |||||||||||
USD | 3,105,134 | EUR | 2,374,284 | Deutsche Bank AG | 1/23/13 | (29,338 | ) | |||||||||||
EUR | 32,132,000 | USD | 41,672,248 | Royal Bank of Scotland Group Plc | 1/23/13 | 747,640 | ||||||||||||
USD | 12,069,507 | EUR | 9,308,000 | Royal Bank of Scotland Group Plc | 1/23/13 | (218,689 | ) | |||||||||||
EUR | 23,346,000 | USD | 29,933,004 | UBS AG | 1/23/13 | 887,820 | ||||||||||||
USD | 338,571,257 | EUR | 257,776,400 | UBS AG | 1/23/13 | (1,738,900 | ) | |||||||||||
USD | 12,979,704 | EUR | 9,970,000 | UBS AG | 1/23/13 | (182,449 | ) |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 19 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
| Foreign currency exchange contracts as of December 31, 2012 were as follows (concluded): |
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||
USD |
11,418,696 | EUR | 8,738,000 | UBS AG | 1/23/13 | $ | (117,000 | ) | ||||||||||
USD |
2,994,390 | EUR | 2,308,000 | UBS AG | 1/23/13 | (52,576 | ) | |||||||||||
USD |
5,208,484 | EUR | 3,957,000 | UBS AG | 1/23/13 | (15,451 | ) | |||||||||||
CAD |
2,750,053 | AUD | 2,665,000 | Barclays Plc | 2/04/13 | 1,989 | ||||||||||||
USD |
2,304,860 | AUD | 2,220,000 | Deutsche Bank AG | 2/04/13 | 4,963 | ||||||||||||
GBP |
1,153,235 | AUD | 1,780,000 | JPMorgan Chase & Co. | 2/04/13 | 29,150 | ||||||||||||
MXN |
15,109,668 | AUD | 1,120,000 | Citigroup, Inc. | 2/05/13 | 5,305 | ||||||||||||
CAD |
3,527,405 | MXN | 45,790,980 | BNP Paribas SA | 2/20/13 | 15,546 | ||||||||||||
AUD |
3,345,000 | CAD | 3,472,849 | Citigroup, Inc. | 2/20/13 | (26,581 | ) | |||||||||||
CAD |
8,768,109 | EUR | 6,860,000 | Citigroup, Inc. | 2/20/13 | (252,588 | ) | |||||||||||
MXN |
220,340,961 | USD | 17,200,000 | Citigroup, Inc. | 2/20/13 | (227,914 | ) | |||||||||||
USD |
8,640,720 | EUR | 6,600,000 | Citigroup, Inc. | 2/20/13 | (74,576 | ) | |||||||||||
USD |
5,960,000 | EUR | 4,552,659 | Citigroup, Inc. | 2/20/13 | (51,784 | ) | |||||||||||
CAD |
25,753,114 | AUD | 24,800,000 | Deutsche Bank AG | 2/20/13 | 202,327 | ||||||||||||
JPY |
2,845,115,100 | USD | 34,110,000 | Deutsche Bank AG | 2/20/13 | (1,257,988 | ) | |||||||||||
USD |
21,710,492 | EUR | 16,488,000 | Deutsche Bank AG | 2/20/13 | (61,902 | ) | |||||||||||
USD |
24,567,553 | EUR | 18,570,000 | Deutsche Bank AG | 2/20/13 | 45,880 | ||||||||||||
USD |
8,740,000 | JPY | 724,187,660 | Deutsche Bank AG | 2/20/13 | 377,940 | ||||||||||||
USD |
5,950,105 | JPY | 495,030,885 | Royal Bank of Scotland Group Plc | 2/20/13 | 234,076 | ||||||||||||
USD |
8,720,000 | JPY | 733,406,936 | Royal Bank of Scotland Group Plc | 2/20/13 | 251,487 | ||||||||||||
USD |
11,470,000 | JPY | 944,021,145 | Royal Bank of Scotland Group Plc | 2/20/13 | 569,564 | ||||||||||||
MXN |
45,717,749 | AUD | 3,395,000 | UBS AG | 2/20/13 | 8,447 | ||||||||||||
MXN |
114,126,045 | AUD | 8,475,000 | UBS AG | 2/20/13 | 21,087 | ||||||||||||
MXN |
114,467,332 | EUR | 6,860,000 | UBS AG | 2/20/13 | (241,611 | ) | |||||||||||
USD |
8,800,000 | JPY | 725,348,800 | UBS AG | 2/20/13 | 424,533 | ||||||||||||
USD |
8,800,000 | JPY | 724,350,000 | UBS AG | 2/20/13 | 436,066 | ||||||||||||
USD |
35,080,000 | JPY | 2,927,226,044 | UBS AG | 2/20/13 | 1,279,868 | ||||||||||||
CNY |
51,320,000 | USD | 8,102,305 | HSBC Holdings Plc | 6/07/13 | 24,639 | ||||||||||||
CNY |
51,320,000 | USD | 8,097,830 | Standard Chartered Plc | 6/07/13 | 29,114 | ||||||||||||
USD |
7,973,897 | CNY | 51,320,000 | Standard Chartered Plc | 6/07/13 | (153,047 | ) | |||||||||||
USD |
7,987,549 | CNY | 51,320,000 | Standard Chartered Plc | 6/07/13 | (139,395 | ) | |||||||||||
USD |
8,273,320 | CNY | 53,305,000 | Credit Suisse Group AG | 8/19/13 | (160,995 | ) | |||||||||||
CNY |
53,305,000 | USD | 8,393,166 | Standard Chartered Plc | 8/19/13 | 41,149 | ||||||||||||
|
|
|||||||||||||||||
Total |
|
$ | (2,790,058 | ) | ||||||||||||||
|
|
| Exchange-traded options purchased as of December 31, 2012 were as follows: |
Description |
Put/ Call |
Strike Price |
Expiration Date |
Contracts | Market Value |
|||||||||||||
SPDR S&P 500 ETF Trust |
Call | USD | 145.00 | 1/19/13 | 734 | $ | 71,198 | |||||||||||
SPDR Gold Trust |
Call | USD | 165.00 | 2/16/13 | 2,500 | 435,000 | ||||||||||||
Euro-Dollar 2-Year Mid-Curve Options |
Put | USD | 99.25 | 9/13/13 | 992 | 440,200 | ||||||||||||
|
|
|||||||||||||||||
Total |
$ | 946,398 | ||||||||||||||||
|
|
20 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
| Over-the-counter options purchased as of December 31, 2012 were as follows: |
Description |
Counterparty |
Put/ Call |
Strike Price |
Expiration Date |
Contracts | Notional Amount (000) |
Market Value |
|||||||||||||||||||||||
USD Currency |
Barclays Plc |
Call | USD | 84.00 | 4/03/13 | | JPY | 138,670 | $ | 5,112,763 | ||||||||||||||||||||
USD Currency |
Citigroup, Inc. |
Call | USD | 81.50 | 4/03/13 | | JPY | 70,135 | 4,261,753 | |||||||||||||||||||||
DAX 30 Index |
Merrill Lynch International |
Put | EUR | 7,600.00 | 1/18/13 | 79 | | 49,953 | ||||||||||||||||||||||
CAC 40 Index |
Societe Generale |
Put | EUR | 3,600.00 | 1/18/13 | 102 | | 51,568 | ||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
Total |
|
$ | 9,476,037 | |||||||||||||||||||||||||||
|
|
| Over-the-counter interest rate swaptions purchased as of December 31, 2012 were as follows: |
Description |
Counterparty |
Put/ Call |
Exercise Rate |
Pay/Receive Exercise Rate |
Floating Rate |
Expiration Date |
Notional Amount (000) |
Market Value |
||||||||||||||||||||||
10-Year Interest Rate Swap |
JPMorgan Chase & Co. | Call | 1.50 | % | Receive | 3-month LIBOR | 2/15/13 | USD | 19,100 | $ | 9,698 | |||||||||||||||||||
7-Year Interest Rate Swap |
Citigroup, Inc. | Put | 1.50 | % | Pay | 3-month LIBOR | 2/15/13 | 47,700 | 96,372 | |||||||||||||||||||||
7-Year Interest Rate Swap |
Credit Suisse Group AG |
Put | 1.50 | % | Pay | 3-month LIBOR | 2/15/13 | 28,400 | 58,108 | |||||||||||||||||||||
20-Year Interest Rate Swap |
Citigroup, Inc. | Put | 1.88 | % | Pay | 3-month LIBOR | 11/18/13 | JPY | 2,722,145 | 816,652 | ||||||||||||||||||||
30-Year Interest Rate Swap |
Citigroup, Inc. | Put | 1.20 | % | Pay | 3-month LIBOR | 11/20/14 | USD | 658,600 | 5,093,053 | ||||||||||||||||||||
3-Year Interest Rate Swap |
Citigroup, Inc. | Put | 1.20 | % | Pay | 3-month LIBOR | 11/28/14 | 445,400 | 3,547,312 | |||||||||||||||||||||
3-Year Interest Rate Swap |
Citigroup, Inc. | Put | 1.20 | % | Pay | 3-month LIBOR | 12/15/14 | 554,200 | 4,609,248 | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
Total |
$ | 14,230,443 | ||||||||||||||||||||||||||||
|
|
| Exchange-traded options written as of December 31, 2012 were as follows: |
Description |
Put/ Call |
Strike Price |
Expiration Date |
Contracts | Market Value |
|||||||||||||
SPDR Gold Trust |
Call | USD | 175.00 | 2/16/13 | 2,500 | $ | (68,750 | ) | ||||||||||
|
|
| Over-the-counter options written as of December 31, 2012 were as follows: |
Description |
Counterparty |
Put/ Call |
Strike Price |
Expiration Date |
Notional Amount (000) |
Market Value |
||||||||||||||||
USD Currency |
Barclays Plc | Call | 81.50 | 4/03/13 | JPY | 70,135 | $ | (4,262,314 | ) | |||||||||||||
USD Currency |
Barclays Plc | Call | 88.00 | 4/03/13 | JPY | 94,380 | (1,203,062 | ) | ||||||||||||||
USD Currency |
HSBC Holdings Plc | Call | 84.00 | 4/03/13 | JPY | 44,290 | (1,632,707 | ) | ||||||||||||||
|
|
|||||||||||||||||||||
Total |
$ | (7,098,083 | ) | |||||||||||||||||||
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 21 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
| Over-the-counter credit default swaptions written as of December 31, 2012 were as follows: |
Description |
Counterparty |
Put/ Call |
Strike Price |
Pay/Receive Floating Rate Index |
Floating Rate |
Rating2 | Expiration Date |
Notional Amount (000) |
Market Value |
|||||||||||||||
Bought Protection on 5-Year Credit Default Swap |
JPMorgan |
Call | USD | 80.00 | Pay | Dow Jones CDX North America Series 19, Version 1 |
BBB+ | 1/16/13 | USD | 30,875 | $ | (5,584 | ) | |||||||||||
Bought Protection on 5-Year Credit Default Swap |
JPMorgan |
Call | USD | 85.00 | Pay | Dow Jones CDX North America Series 19, Version 1 |
BBB+ | 1/16/13 | USD | 27,355 | (6,468 | ) | ||||||||||||
Bought Protection on 5-Year Credit Default Swap |
JPMorgan |
Call | USD | 90.00 | Pay | Dow Jones CDX North America Series 19, Version 1 |
BBB+ | 1/16/13 | USD | 24,405 | (15,406 | ) | ||||||||||||
Sold Protection on 5-Year Credit Default Swap |
JPMorgan |
Put | USD | 90.00 | Receive | Dow Jones CDX North America Series 19, Version 1 |
BBB+ | 1/16/13 | USD | 24,405 | (88,298 | ) | ||||||||||||
Sold Protection on 5-Year Credit Default Swap |
JPMorgan |
Put | USD | 95.00 | Receive | Dow Jones CDX North America Series 19, Version 1 |
BBB+ | 1/16/13 | USD | 21,910 | (46,854 | ) | ||||||||||||
Sold Protection on 5-Year Credit Default Swap |
JPMorgan |
Put | USD | 100.00 | Receive | Dow Jones CDX North America Series 19, Version 1 |
BBB+ | 1/16/13 | USD | 19,760 | (24,284 | ) | ||||||||||||
Sold Protection on 5-Year Credit Default Swap |
JPMorgan |
Put | USD | 105.00 | Receive | Dow Jones CDX North America Series 19, Version 1 |
BBB+ | 1/16/13 | USD | 17,930 | (12,955 | ) | ||||||||||||
Sold Protection on 5-Year Credit Default Swap |
JPMorgan |
Put | USD | 105.00 | Receive | Dow Jones CDX North America Series 19, Version 1 |
BBB+ | 1/16/13 | USD | 11,450 | (8,273 | ) | ||||||||||||
Sold Protection on 5-Year Credit Default Swap |
JPMorgan |
Put | USD | 110.00 | Receive | Dow Jones CDX North America Series 19, Version 1 |
BBB+ | 1/16/13 | USD | 16,330 | (6,932 | ) | ||||||||||||
Sold Protection on 5-Year Credit Default Swap |
JPMorgan |
Put | USD | 110.00 | Receive | Dow Jones CDX North America Series 19, Version 1 |
BBB+ | 1/16/13 | USD | 11,450 | (4,860 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Total |
$ | (219,914 | ) | |||||||||||||||||||||
|
|
2 | Using Standard & Poors (S&P) rating of the underlying securities. |
22 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
| Over-the-counter interest rate swaptions written as of December 31, 2012 were as follows: |
Description |
Counterparty |
Put/ Call |
Exercise Rate |
Pay/Receive Exercise Rate |
Floating Rate |
Expiration Date |
Notional Amount (000) |
Market Value |
||||||||||||||||||
30-Year Interest Rate Swap |
Citigroup, Inc. |
Put | 2.90 | % | Receive | 3-month LIBOR |
2/15/13 | USD | 17,900 | $ | (224,752 | ) | ||||||||||||||
30-Year Interest Rate Swap |
Credit Suisse Group AG |
Put | 2.90 | % | Receive | 3-month LIBOR |
2/15/13 | USD | 10,600 | (133,264 | ) | |||||||||||||||
5-Year Interest Rate Swap |
Royal Bank of Scotland Plc |
Call | 3.90 | % | Pay | 3-month LIBOR |
6/09/14 | USD | 30,000 | (3,638,693 | ) | |||||||||||||||
5-Year Interest Rate Swap |
Royal Bank of Scotland Plc |
Put | 3.90 | % | Receive | 3-month LIBOR |
6/09/14 | USD | 30,000 | (28,581 | ) | |||||||||||||||
30-Year Interest Rate Swap |
Citigroup, Inc. |
Put | 2.90 | % | Receive | 3-month LIBOR |
11/20/14 | USD | 94,100 | (9,367,526 | ) | |||||||||||||||
30-Year Interest Rate Swap |
Citigroup, Inc. |
Put | 2.90 | % | Receive | 3-month LIBOR |
11/28/14 | USD | 63,300 | (6,353,512 | ) | |||||||||||||||
|
|
|||||||||||||||||||||||||
Total |
$ | (19,746,328 | ) | |||||||||||||||||||||||
|
|
| Credit default swaps buy protection outstanding as of December 31, 2012 were as follows: |
Issuer/Index |
Pay Fixed Rate |
Counterparty |
Expiration |
Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
|||||||||||
Spain Government Bond |
1.00 | % | JPMorgan Chase & Co. | 6/20/14 | USD | 6,720 | $ | (62,364 | ) | |||||||
iTraxx - Europe Sub Financial Index Series 9 |
5.00 | % | JPMorgan Chase & Co. | 6/20/15 | EUR | 5,915 | (630,475 | ) | ||||||||
Portugal Government Bond |
1.00 | % | JPMorgan Chase & Co. | 6/20/15 | USD | 12,800 | (206,140 | ) | ||||||||
iTraxx - Europe Sub Financial Index Series 18, Version 1 |
1.00 | % | JPMorgan Chase & Co. | 12/20/15 | EUR | 53,486 | 22,120 | |||||||||
iTraxx - Europe Sub Financial Index Series 18, Version 1 |
1.00 | % | JPMorgan Chase & Co. | 12/20/15 | EUR | 55,200 | 22,828 | |||||||||
Portugal Government Bond |
1.00 | % | Barclays Plc | 12/20/15 | USD | 1,200 | (24,490 | ) | ||||||||
Portugal Government Bond |
1.00 | % | Deutsche Bank AG | 12/20/15 | USD | 1,350 | (27,551 | ) | ||||||||
The New York Times Co. |
1.00 | % | Barclays Plc | 12/20/16 | USD | 3,100 | (42,418 | ) | ||||||||
Ireland Government Bond |
1.00 | % | Citigroup, Inc. | 12/20/16 | USD | 4,000 | (594,696 | ) | ||||||||
Banca Monte dei Paschi di Siena SpA |
5.00 | % | Deutsche Bank AG | 12/20/16 | EUR | 750 | (24,084 | ) | ||||||||
Transocean Worldwide, Inc. |
1.00 | % | Goldman Sachs Group, Inc. | 12/20/16 | USD | 5,750 | (111,874 | ) | ||||||||
Ireland Government Bond |
1.00 | % | Citigroup, Inc. | 3/20/17 | USD | 2,000 | (241,794 | ) | ||||||||
Banca Monte dei Paschi di Siena SpA |
5.00 | % | JPMorgan Chase & Co. | 3/20/17 | EUR | 3,800 | 38,443 | |||||||||
Ireland Government Bond |
1.00 | % | Goldman Sachs Group, Inc. | 3/20/17 | USD | 11,000 | (1,607,483 | ) | ||||||||
Banco de Sabadell SA |
5.00 | % | BNP Paribas SA | 6/20/17 | EUR | 720 | (57,149 | ) | ||||||||
Caixa Bank SA |
3.00 | % | BNP Paribas SA | 6/20/17 | EUR | 540 | (9,146 | ) | ||||||||
Caja De Ahorrog Y Pension |
3.00 | % | BNP Paribas SA | 6/20/17 | EUR | 720 | (10,329 | ) |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 23 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Credit default swaps - buy protection outstanding as of December 31, 2012 (continued):
Issuer/Index |
Pay Fixed Rate |
Counterparty |
Expiration Date |
Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Portugal Government Bond |
1.00 | % | Citigroup, Inc. | 6/20/17 | USD | 6,000 | $ | (1,076,107 | ) | |||||||||
Dow Jones CDX North America Investment Grade Index Series 18, Version 1 |
1.00 | % | Credit Suisse Group AG | 6/20/17 | USD | 103,800 | (635,871 | ) | ||||||||||
Spain Government Bond |
1.00 | % | Barclays Plc | 9/20/17 | USD | 1,400 | (135,539 | ) | ||||||||||
Spain Government Bond |
1.00 | % | Barclays Plc | 9/20/17 | USD | 985 | (101,273 | ) | ||||||||||
Barclays Plc |
1.00 | % | BNP Paribas SA | 9/20/17 | EUR | 2,000 | (86,014 | ) | ||||||||||
Peugeot SA |
5.00 | % | BNP Paribas SA | 9/20/17 | EUR | 5,950 | (402,756 | ) | ||||||||||
Spain Government Bond |
1.00 | % | BNP Paribas SA | 9/20/17 | USD | 130 | (11,145 | ) | ||||||||||
Banco Bilbao Vizcaya Argentaria SA |
3.00 | % | Citigroup, Inc. | 9/20/17 | EUR | 2,230 | (148,825 | ) | ||||||||||
Société Générale SA |
3.00 | % | Deutsche Bank AG | 9/20/17 | EUR | 1,200 | (85,540 | ) | ||||||||||
Société Générale SA |
3.00 | % | JPMorgan Chase & Co. | 9/20/17 | EUR | 1,200 | (89,428 | ) | ||||||||||
Clariant AG |
1.00 | % | BNP Paribas SA | 12/20/17 | EUR | 1,300 | (42,655 | ) | ||||||||||
Cie De Saint-Gobain |
1.00 | % | Goldman Sachs Group, Inc. | 12/20/17 | EUR | 750 | (354 | ) | ||||||||||
Barclays Plc |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | EUR | 2,290 | (48,016 | ) | ||||||||||
Barclays Plc |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | EUR | 2,290 | (48,016 | ) | ||||||||||
Cie De Saint-Gobain |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | EUR | 555 | (5,227 | ) | ||||||||||
Clariant AG |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | EUR | 3,540 | (69,977 | ) | ||||||||||
Diageo Plc |
1.00 | % | Deutsche Bank AG | 12/20/17 | EUR | 3,650 | (922 | ) | ||||||||||
Dow Jones CDX North America High Yield Index Series 19, Version 1 |
5.00 | % | Credit Suisse Group AG | 12/20/17 | USD | 17,540 | 15,067 | |||||||||||
Dow Jones CDX North America Investment Grade, Series 19, Version 1 |
1.00 | % | Credit Suisse Group AG | 12/20/17 | USD | 11,990 | 18,602 | |||||||||||
Dow Jones CDX North America Investment Grade, Series 19, Version 1 |
1.00 | % | Credit Suisse Group AG | 12/20/17 | USD | 13,310 | 36,747 | |||||||||||
Dow Jones CDX North America Investment Grade, Series 19, Version 1 |
1.00 | % | Credit Suisse Group AG | 12/20/17 | USD | 14,815 | 63,668 | |||||||||||
Dow Jones CDX North America Investment Grade, Series 19, Version 1 |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | USD | 7,365 | 28,471 | |||||||||||
Dow Jones CDX North America Investment Grade, Series 19, Version 1 |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | USD | 5,955 | 4,657 | |||||||||||
Dow Jones CDX North America Investment Grade, Series 19, Version 1 |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | USD | 6,635 | 14,233 |
24 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Credit default swaps - buy protection outstanding as of December 31, 2012 (continued):
Issuer/Index |
Pay Fixed Rate |
Counterparty |
Expiration |
Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
|||||||||||
Dow Jones CDX North America Investment Grade, Series 19, Version 1 |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | USD | 10,980 | $ | 40,908 | ||||||||
Dow Jones CDX North America Investment Grade, Series 19, Version 1 |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | USD | 32,000 | 57,918 | |||||||||
Dow Jones CDX North America Investment Grade, Series 19, Version 1 |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | USD | 4,845 | (6,245 | ) | ||||||||
Henkel AG & Co. KGaA |
1.00 | % | Credit Suisse Group AG | 12/20/17 | EUR | 1,950 | (11,606 | ) | ||||||||
iTRAXX - Crossover Index Series 18, Version 1 |
5.00 | % | Barclays Plc | 12/20/17 | EUR | 3,700 | (125,847 | ) | ||||||||
iTRAXX - Crossover Index Series 18, Version 1 |
5.00 | % | Citigroup, Inc. | 12/20/17 | EUR | 920 | (21,384 | ) | ||||||||
iTRAXX - Crossover Index Series 18, Version 1 |
5.00 | % | Citigroup, Inc. | 12/20/17 | EUR | 800 | (33,934 | ) | ||||||||
iTRAXX - Crossover Index Series 18, Version 1 |
5.00 | % | JPMorgan Chase & Co. | 12/20/17 | EUR | 750 | 2,785 | |||||||||
iTRAXX - Crossover Index Series 18, Version 1 |
5.00 | % | JPMorgan Chase & Co. | 12/20/17 | EUR | 7,450 | (235,098 | ) | ||||||||
iTRAXX - Crossover Index Series 18, Version 1 |
5.00 | % | JPMorgan Chase & Co. | 12/20/17 | EUR | 3,700 | (124,922 | ) | ||||||||
iTRAXX - Crossover Index Series 18, Version 1 |
5.00 | % | JPMorgan Chase & Co. | 12/20/17 | EUR | 3,750 | (87,837 | ) | ||||||||
iTRAXX - Crossover Index Series 18, Version 1 |
5.00 | % | JPMorgan Chase & Co. | 12/20/17 | EUR | 3,750 | (109,017 | ) | ||||||||
iTraxx - Europe Financial Index Series 18, Version 1 |
1.00 | % | UBS AG | 12/20/17 | EUR | 4,700 | (68,485 | ) | ||||||||
iTraxx - Europe Sub Financial Index Series 18, Version 1 |
1.00 | % | Citigroup, Inc. | 12/20/17 | EUR | 1,240 | (8,757 | ) | ||||||||
Lafarge SA |
1.00 | % | Barclays Plc | 12/20/17 | EUR | 750 | (27,217 | ) | ||||||||
Lafarge SA |
1.00 | % | Credit Suisse Group AG | 12/20/17 | EUR | 750 | (27,598 | ) | ||||||||
Société Générale SA |
3.00 | % | Barclays Plc | 12/20/17 | EUR | 2,280 | (50,384 | ) | ||||||||
Société Générale SA |
3.00 | % | Citigroup, Inc. | 12/20/17 | EUR | 750 | (26,611 | ) | ||||||||
Société Générale SA |
3.00 | % | Deutsche Bank AG | 12/20/17 | EUR | 800 | (27,901 | ) | ||||||||
Société Générale SA |
3.00 | % | JPMorgan Chase & Co. | 12/20/17 | EUR | 780 | (19,042 | ) | ||||||||
Société Générale SA |
3.00 | % | UBS AG | 12/20/17 | EUR | 970 | (20,179 | ) | ||||||||
Telekom Austria AG |
1.00 | % | Deutsche Bank AG | 12/20/17 | EUR | 4,380 | 99,977 | |||||||||
Telenor ASA |
1.00 | % | Barclays Plc | 12/20/17 | EUR | 3,660 | (23,859 | ) | ||||||||
UPM-Kymmene Oyj |
5.00 | % | JPMorgan Chase & Co. | 12/20/17 | EUR | 1,770 | (67,957 | ) | ||||||||
Wolters Kluwer NV |
1.00 | % | Citigroup, Inc. | 12/20/17 | EUR | 3,470 | 848 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 25 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Credit default swaps - buy protection outstanding as of December 31, 2012 (concluded):
Issuer |
Pay Fixed Rate |
Counterparty |
Expiration |
Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
|||||||||||
Spain Government Bond |
1.00 | % | Citigroup, Inc. | 3/20/18 | USD3,000 | $ | 358 | |||||||||
|
|
|||||||||||||||
Total |
$ | (7,293,908 | ) | |||||||||||||
|
|
| Credit default swaps - sold protection outstanding as of December 31, 2012 were as follows: |
Index/Issuer |
Receive Fixed Rate |
Counterparty |
Expiration |
Credit |
Notional Amount (000)4 |
Unrealized Appreciation (Depreciation) |
||||||||||||
iTraxx - Europe Sub Financial Index Series 9 |
5.00 | % | JPMorgan Chase & Co. | 6/20/13 | BBB+ | EUR | 3,020 | $ | 263,566 | |||||||||
iTraxx - Europe Sub Financial Index Series 9 |
5.00 | % | Morgan Stanley | 6/20/13 | BBB+ | EUR | 1,185 | 198,578 | ||||||||||
ARAMARK Corp. |
5.00 | % | JPMorgan Chase & Co. | 6/20/16 | B | USD | 1,850 | 147,008 | ||||||||||
Banca Monte dei Paschi di Siena SpA |
3.00 | % | BNP Paribas SA | 9/20/16 | B- | EUR | 2,000 | (173,831 | ) | |||||||||
Banca Monte dei Paschi di Siena SpA |
3.00 | % | JPMorgan Chase & Co. | 9/20/16 | B- | EUR | 2,200 | (314,386 | ) | |||||||||
Banca Monte dei Paschi di Siena SpA |
5.00 | % | Deutsche Bank AG | 9/20/16 | B- | EUR | 750 | (71,563 | ) | |||||||||
Italy Government Bond |
1.00 | % | Citigroup, Inc. | 12/20/16 | NR | USD | 4,000 | 275,620 | ||||||||||
Energy Transfer Partners LP |
1.00 | % | Credit Suisse Group AG | 3/20/17 | BBB- | USD | 5,000 | 246,563 | ||||||||||
Anadarko Petroleum Corp. |
1.00 | % | Credit Suisse Group AG | 6/20/17 | BBB- | USD | 11,580 | 351,623 | ||||||||||
Anadarko Petroleum Corp. |
1.00 | % | Morgan Stanley | 6/20/17 | BBB- | USD | 3,700 | 129,823 | ||||||||||
Anadarko Petroleum Corp. |
1.00 | % | UBS AG | 6/20/17 | BBB- | USD | 2,931 | 100,474 | ||||||||||
Dow Jones CDX North America Investment Grade Index Series 18, Version 1 |
1.00 | % | Citigroup, Inc. | 6/20/17 | A- | USD | 103,800 | 542,198 | ||||||||||
Sunrise Communications Holdings S.A. |
5.00 | % | Citigroup, Inc. | 6/20/17 | B- | EUR | 1,160 | 171,229 | ||||||||||
Anadarko Petroleum Corp. |
1.00 | % | Citigroup, Inc. | 9/20/17 | BBB- | USD | 5,000 | 14,425 | ||||||||||
Ardagh Packaging Finance Plc |
5.00 | % | Barclays Plc | 9/20/17 | CCC+ | EUR | 370 | 37,550 | ||||||||||
Ardagh Packaging Finance Plc |
5.00 | % | Credit Suisse Group AG | 9/20/17 | CCC+ | EUR | 550 | 57,336 | ||||||||||
BNP Paribas SA |
1.00 | % | Citigroup, Inc. | 9/20/17 | A+ | EUR | 1,200 | 68,825 | ||||||||||
BNP Paribas SA |
1.00 | % | Deutsche Bank AG | 9/20/17 | A+ | EUR | 1,200 | 59,644 |
26 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
Credit default swaps - sold protection outstanding as of December 31, 2012 (continued): |
Index/Issuer |
Receive Fixed Rate |
Counterparty |
Expiration Date |
Credit Rating3 |
Notional Amount (000)4 |
Unrealized Appreciation (Depreciation) |
||||||||||||||
Credit Suisse Group AG |
1.00 | % | BNP Paribas SA | 9/20/17 | A | EUR | 2,000 | $ | 116,494 | |||||||||||
Repsol YPF SA |
1.00 | % | Barclays Plc | 9/20/17 | BBB- | EUR | 750 | 115,063 | ||||||||||||
Credit Suisse Group AG |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | A | EUR | 2,290 | 50,065 | ||||||||||||
Deutsche Bank AG |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | A+ | EUR | 2,290 | 83,288 | ||||||||||||
Deutsche Telekom AG |
1.00 | % | Citigroup, Inc. | 12/20/17 | BBB+ | EUR | 550 | (2,114 | ) | |||||||||||
Deutsche Telekom AG |
1.00 | % | Deutsche Bank AG | 12/20/17 | BBB+ | EUR | 1,500 | (3,663 | ) | |||||||||||
Dow Jones CDX North America High Yield Index Series 19, Version 1 |
5.00 | % | Credit Suisse Group AG | 12/20/17 | BBB+ | USD | 22,880 | 202,202 | ||||||||||||
Dow Jones CDX North America Investment Grade Index Series 19, Version 1 |
1.00 | % | Credit Suisse Group AG | 12/20/17 | A- | USD | 4,910 | 1,648 | ||||||||||||
Dow Jones CDX North America Investment Grade Index Series 19, Version 1 |
1.00 | % | Credit Suisse Group AG | 12/20/17 | A- | USD | 9,285 | (4,094 | ) | |||||||||||
Dow Jones CDX North America Investment Grade Index Series 19, Version 1 |
1.00 | % | Credit Suisse Group AG | 12/20/17 | A- | USD | 9,280 | (12,415 | ) | |||||||||||
Dow Jones CDX North America Investment Grade Index Series 19, Version 1 |
1.00 | % | Credit Suisse Group AG | 12/20/17 | A- | USD | 9,265 | (17,941 | ) | |||||||||||
Dow Jones CDX North America Investment Grade Index Series 19, Version 1 |
1.00 | % | Credit Suisse Group AG | 12/20/17 | A- | USD | 9,185 | (23,778 | ) | |||||||||||
Dow Jones CDX North America Investment Grade Index Series 19, Version 1 |
1.00 | % | Credit Suisse Group AG | 12/20/17 | A- | USD | 9,185 | (33,132 | ) | |||||||||||
Dow Jones CDX North America Investment Grade Index Series 19, Version 1 |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | A- | USD | 11,280 | (42,012 | ) | |||||||||||
E.ON AG |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | A- | EUR | 3,250 | (12,695 | ) | |||||||||||
France Telecom SA |
1.00 | % | Citigroup, Inc. | 12/20/17 | A- | EUR | 1,220 | (3,284 | ) | |||||||||||
Gas Natural SDG, S.A. |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | BBB | EUR | 1,240 | 72,938 | ||||||||||||
Holcim Ltd. |
1.00 | % | Goldman Sachs Group, Inc. | 12/20/17 | BBB | EUR | 700 | (212 | ) |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 27 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Credit default swaps - sold protection outstanding as of December 31, 2012 (concluded):
Index/Issuer |
Receive Fixed Rate |
Counterparty |
Expiration |
Credit |
Notional Amount (000)4 |
Unrealized Appreciation (Depreciation) |
||||||||||||
Holcim Ltd. |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | BBB | EUR | 1,370 | $ | (414 | ) | ||||||||
Imperial Tobacco Group Plc |
1.00 | % | Deutsche Bank AG | 12/20/17 | BBB | EUR | 1,500 | (7,665 | ) | |||||||||
iTRAXX - Crossover Index Series 18, Version 1 |
5.00 | % | Barclays Plc | 12/20/17 | BB- | EUR | 2,130 | (6,199 | ) | |||||||||
iTRAXX - Crossover Index Series 18, Version 1 |
5.00 | % | Citigroup, Inc. | 12/20/17 | BB- | EUR | 3,700 | 115,659 | ||||||||||
iTRAXX - Crossover Index Series 18, Version 1 |
5.00 | % | Deutsche Bank AG | 12/20/17 | BB- | EUR | 500 | 19,370 | ||||||||||
iTRAXX - Crossover Index Series 18, Version 1 |
5.00 | % | JPMorgan Chase & Co. | 12/20/17 | BB- | EUR | 3,750 | 88,788 | ||||||||||
iTraxx - Europe Sub Financial Index Series 18, Version 1 |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | A- | EUR | 27,600 | (27,019 | ) | |||||||||
iTraxx - Europe Sub Financial Index Series 18, Version 1 |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | A- | EUR | 41,400 | (40,528 | ) | |||||||||
ONO Finance II Plc |
5.00 | % | BNP PARIBAS | 12/20/17 | B- | EUR | 750 | 22,136 | ||||||||||
Pearson Plc |
1.00 | % | Citigroup, Inc. | 12/20/17 | BBB+ | EUR | 3,470 | 5,564 | ||||||||||
Stora Enso Oyj |
5.00 | % | JPMorgan Chase & Co. | 12/20/17 | BB | EUR | 1,770 | 105,668 | ||||||||||
Sunrise Communications Holdings S.A. |
5.00 | % | Credit Suisse Group AG | 12/20/17 | B- | EUR | 610 | 7,184 | ||||||||||
Sunrise Communications Holdings S.A. |
5.00 | % | Goldman Sachs Group, Inc. | 12/20/17 | B- | EUR | 710 | 15,361 | ||||||||||
Tesco Plc |
1.00 | % | Deutsche Bank AG | 12/20/17 | A- | EUR | 3,500 | 26,835 | ||||||||||
Thyssenkrupp AG |
1.00 | % | Credit Suisse Group AG | 12/20/17 | BB | EUR | 1,500 | 20,449 | ||||||||||
Thyssenkrupp AG |
1.00 | % | Goldman Sachs Group, Inc. | 12/20/17 | BB | EUR | 725 | 12,695 | ||||||||||
Thyssenkrupp AG |
1.00 | % | JPMorgan Chase & Co. | 12/20/17 | BB | EUR | 705 | 12,344 | ||||||||||
Vodafone Group Plc |
1.00 | % | Citigroup, Inc. | 12/20/17 | A- | EUR | 910 | 3,407 | ||||||||||
Markit CMBX North America AM Index Series 2 |
0.50 | % | Deutsche Bank AG | 3/15/49 | A- | USD | 4,830 | 367,499 | ||||||||||
Markit CMBX North America AM Index Series 4 |
0.50 | % | Deutsche Bank AG | 2/17/51 | A | USD | 2,000 | 58,645 | ||||||||||
|
|
|||||||||||||||||
Total |
|
$ | 3,390,819 | |||||||||||||||
|
|
3 | Using S&P rating of the underlying securities of the indexes. |
4 | The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement. |
28 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Interest rate swaps outstanding as of December 31, 2012 were as follows: |
Fixed |
Floating Rate |
Counterparty |
Expiration Date |
Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
0.75%5 | 3-month LIBOR | JPMorgan Chase & Co. | 11/13/17 | USD | 18,000 | $ | (76,104 | ) | ||||||||||||||
1.07%5 | 3-month LIBOR | Citigroup, Inc. | 11/24/17 | USD | 282,300 | (551,219 | ) | |||||||||||||||
1.07%5 | 3-month LIBOR | Citigroup, Inc. | 12/02/17 | USD | 192,300 | (431,252 | ) | |||||||||||||||
1.10%5 | 3-month LIBOR | Barclays Plc | 12/17/17 | USD | 235,600 | (449,101 | ) | |||||||||||||||
1.74%5 | 3-month LIBOR | Deutsche Bank AG | 3/30/18 | USD | 12,800 | 501,770 | ||||||||||||||||
3.27%6 | 3-month LIBOR | Deutsche Bank AG | 5/16/21 | USD | 9,510 | (1,287,909 | ) | |||||||||||||||
1.75%6 | 3-month LIBOR | Citigroup, Inc. | 12/14/22 | USD | 4,600 | (37,152 | ) | |||||||||||||||
2.77%6 | 3-month LIBOR | Citigroup, Inc. | 11/25/44 | USD | 35,300 | 1,967,869 | ||||||||||||||||
2.77%6 | 3-month LIBOR | Citigroup, Inc. | 12/02/44 | USD | 24,900 | 1,401,646 | ||||||||||||||||
|
|
|||||||||||||||||||||
Total |
|
$ | 1,038,548 | |||||||||||||||||||
|
|
(5) | Master Portfolio pays the floating rate and receives the fixed rate. |
(6) | Master Portfolio pays the fixed rate and receives the floating rate. |
| Total return swaps outstanding as of December 31, 2012 were as follows: |
Reference Entity |
Fixed Rate |
Counterparty |
Expiration Date |
Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Gross Return on the Markit TRX |
12.06 | %7 | Credit Suisse Group AG | 4/01/13 | USD | 7,420 | $ | 2,645 | ||||||||||||||
Change in Return of the Consumer Price Index for All Urban Consumers |
2.18 | %8 | Bank of America Corp. | 10/06/21 | USD | 19,240 | (772,578 | ) | ||||||||||||||
|
|
|||||||||||||||||||||
Total |
$ | (769,933 | ) | |||||||||||||||||||
|
|
7 | Master Portfolio receives the total return of the reference entity and pays the fixed rate. Net payment made at termination. |
8 | Master Portfolio pays the total return of the reference entity and receives the fixed rate. Net payment made at termination. |
| Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
| Level 1 unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Master Portfolio has the ability to access |
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolios own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolios 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 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 the Master Portfolios most recent financial statements as contained in its annual report.
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 29 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |
The following tables summarize the Master Portfolios investments and derivative financial instruments categorized in the disclosure hierarchy as of December 31, 2012:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Investments: |
||||||||||||||||
Long-Term Investments: |
||||||||||||||||
Asset-Backed Securities |
| $ | 404,493,851 | $ | 114,439,173 | $ | 518,933,024 | |||||||||
Corporate Bonds |
| 1,298,490,852 | 18,512,165 | 1,317,003,017 | ||||||||||||
Floating Rate Loan Interests |
| 50,755,600 | 25,231,563 | 75,987,163 | ||||||||||||
Foreign Agency Obligations |
| 437,124,417 | | 437,124,417 | ||||||||||||
Investment Companies |
$ | 14,060,600 | | | 14,060,600 | |||||||||||
Municipal Bonds |
| 11,417,350 | | 11,417,350 | ||||||||||||
Non-Agency Mortgage-Backed Securities |
| 444,400,685 | 72,535,572 | 516,936,257 | ||||||||||||
Preferred Securities |
4,513,224 | 31,867,785 | | 36,381,009 | ||||||||||||
US Government Sponsored Agency Securities |
| 3,214,593,991 | 6,087,120 | 3,220,681,111 | ||||||||||||
US Treasury Obligations |
| 520,234,921 | | 520,234,921 | ||||||||||||
Short-Term Securities: |
||||||||||||||||
Borrowed Bond Agreements |
| 286,670,826 | | 286,670,826 | ||||||||||||
Money Market Fund |
10,933,237 | | | 10,933,237 | ||||||||||||
Options Purchased: |
||||||||||||||||
Exchange-traded options |
946,398 | | | 946,398 | ||||||||||||
Over-the-counter options |
| 9,476,037 | | 9,476,037 | ||||||||||||
Over-the-counter interest rate swaptions |
| 14,230,443 | | 14,230,443 | ||||||||||||
Liabilities: |
||||||||||||||||
Investments: |
||||||||||||||||
Borrowed Bonds |
| (286,086,326 | ) | | (286,086,326 | ) | ||||||||||
TBA Sale Commitments |
| (2,020,248,229 | ) | | (2,020,248,229 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 30,453,459 | $ | 4,417,422,203 | $ | 236,805,593 | $ | 4,684,681,255 | ||||||||
|
|
|
|
|
|
|
|
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments1 |
||||||||||||||||
Assets: |
||||||||||||||||
Credit contracts |
| $ | 4,658,039 | | $ | 4,658,039 | ||||||||||
Equity contracts |
$ | 92,292 | | | 92,292 | |||||||||||
Foreign currency exchange contracts |
| 6,973,258 | | 6,973,258 | ||||||||||||
Interest rate contracts |
1,353,001 | 3,871,285 | | 5,224,286 | ||||||||||||
Liabilities: |
||||||||||||||||
Credit contracts |
| (8,778,397 | ) | | (8,778,397 | ) | ||||||||||
Equity contracts |
(1,053,754 | ) | | | (1,053,754 | ) | ||||||||||
Foreign currency exchange contracts |
| (16,861,399 | ) | | (16,861,399 | ) | ||||||||||
Interest rate contracts |
(932,916 | ) | (22,579,065 | ) | | (23,511,981 | ) | |||||||||
Other contracts |
| (772,578 | ) | | (772,578 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (541,377 | ) | $ | (33,488,857 | ) | | $ | (34,030,234 | ) | ||||||
|
|
|
|
|
|
|
|
1 | Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options written. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value. |
30 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 |
Consolidated Schedule of Investments (concluded) | Master Total Return Portfolio | |
Certain of the Master Portfolios assets and liabilities are held at carrying amount or face value, which approximates fair value for financial reporting purposes. As of December 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Cash |
$ | 678,451 | | | $ | 678,451 | ||||||||||
Cash pledged as collateral for financial futures contracts |
645,000 | | | 645,000 | ||||||||||||
Cash pledged as collateral for swaps |
9,860,000 | | | 9,860,000 | ||||||||||||
Cash pledged as collateral for reverse repurchase agreements |
5,343,861 | | | 5,343,861 | ||||||||||||
Foreign currency at value |
16,453,174 | | | 16,453,174 | ||||||||||||
Liabilities: |
||||||||||||||||
Cash received as collateral for swaps |
| $ | (99,000 | ) | | (99,000 | ) | |||||||||
Reverse repurchase agreements |
| (1,467,148,964 | ) | | (1,467,148,964 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 32,980,486 | $ | (1,467,247,964 | ) | | $ | (1,434,267,478 | ) | |||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1 and Level 2 during the period ended December 31, 2012.
Certain of the Master Portfolios investments are categorized as Level 3 and were valued utilizing transaction prices or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.
A reconciliation of Level 3 investments is presented when the Master Portfolio had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Asset- Backed Securities |
Corporate Bonds |
Floating Rate Loan Interests |
Non-Agency Mortgage-Backed Securities |
US Government Sponsored Agency Securities |
Total | |||||||||||||||||||
Assets: |
||||||||||||||||||||||||
Opening Balance, as of September 30, 2012 |
$ | 11,209,292 | $ | 18,466,000 | $ | 29,123,026 | $ | 48,132,409 | | $ | 106,930,727 | |||||||||||||
Transfers into Level 31 |
20,381,918 | | | | | 20,381,918 | ||||||||||||||||||
Transfers out of Level 31 |
(4,164,292 | ) | | | (12,397,626 | ) | | (16,561,918 | ) | |||||||||||||||
Accrued discounts/premiums |
(1,053 | ) | (831 | ) | 6,189 | 10,180 | | 14,485 | ||||||||||||||||
Net realized gain (loss) |
10,305 | | 1,716 | 218,781 | | 230,802 | ||||||||||||||||||
Net change in unrealized appreciation/depreciation2 |
75,972 | 46,996 | 172,502 | 162,038 | $ | (32,323 | ) | 425,185 | ||||||||||||||||
Purchases |
88,266,640 | | | 43,013,794 | 6,119,443 | 137,399,877 | ||||||||||||||||||
Sales |
(1,339,609 | ) | | (4,071,870 | ) | (6,604,004 | ) | | (12,015,483 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Closing Balance, as of December 31, 2012 |
$ | 114,439,173 | $ | 18,512,165 | $ | 25,231,563 | $ | 72,535,572 | $ | 6,087,120 | $ | 236,805,593 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
1 | Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period |
2 | The change in unrealized appreciation/depreciation on securities still held as of December 31, 2012 was $171,961. |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2012 | 31 |
Item 2 | | Controls and Procedures | ||
2(a) | | The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. | ||
2(b) | | There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. | ||
Item 3 | | Exhibits |
Certifications Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC
By: |
/s/ John M. Perlowski |
|||||
John M. Perlowski | ||||||
Chief Executive Officer (principal executive officer) of | ||||||
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
Date: February 22, 2013
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: February 22, 2013
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: February 22, 2013
EX-99. CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF
THE SARBANES-OXLEY ACT OF 2002
I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC, certify that:
1. I have reviewed this report on Form N-Q of BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrants as of the end of the fiscal quarter for which the report is filed;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrants, including their consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
d) disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committees of the registrants boards of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: February 22, 2013
/s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC
EX-99. CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF
THE SARBANES-OXLEY ACT OF 2002
I, Neal J. Andrews, Chief Financial Officer (principal financial officer) of BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC, certify that:
1. I have reviewed this report on Form N-Q of BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrants as of the end of the fiscal quarter for which the report is filed;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrants, including their consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
d) disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committees of the registrants boards of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: February 22, 2013
/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