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: 06/30/2013
Item 1 – Schedule of Investments
| Schedule of Investments June 30, 2013 (Unaudited) | BlackRock Balanced Capital Fund, Inc. | |||
| (Percentages shown are based on Net Assets) |
| Notes to Schedule of Investments |
| (a) | Represents the current yield as of report date. |
| (b) | Investments in issuers considered to be an affiliate of the Fund during the period ended June 30, 2013, 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 June 30, 2013 |
Income | ||||||||||||
| BlackRock Liquidity Funds, TempFund, Institutional Class |
6,285,043 | 5,231,751 | 11,516,794 | $ | 1,154 | |||||||||||
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 June 30, 2013, the value of the investments and the percentage owned by the Fund of Master Large Cap Core Portfolio and Master Total Return Portfolio was $518,685,480 and $290,018,875, respectively and 23.2% and 8.7%, respectively.
The Fund records its investments in the Master Portfolios at fair value. The Fund’s investments in the Master Portfolios are valued pursuant to the pricing policies approved by the Board of Directors of the Master Portfolios.
| Ÿ | 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: |
| Ÿ | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Master Portfolio has the ability to access |
| Ÿ | 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) |
| Ÿ | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Master Portfolio’s 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 fair value hierarchy classification 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 Fund’s policy regarding valuation of investments and derivative financial instruments, please refer to the Master Portfolios’ most recent financial statements as contained in their semi-annual reports.
As of June 30, 2013, the Fund’s investment in the Master Portfolios was classified as Level 2.
Certain of the Fund’s liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of
June 30, 2013, a bank overdraft of $79,299 is categorized as
Level 2 within the disclosure hierarchy.
There were no transfers between levels during the period ended June 30, 2013.
| BLACKROCK BALANCED CAPITAL FUND, INC. |
JUNE 30, 2013 |
1 |
| Schedule of Investments June 30, 2013 (Unaudited) | Master Large Cap Core Portfolio | |||
| (Percentages shown are based on Net Assets) |
| 2 | MASTER LARGE CAP SERIES LLC |
JUNE 30, 2013 |
| Schedule of Investments (continued) | Master Large Cap Core Portfolio | |
| (Percentages shown are based on Net Assets) |
| Notes to Schedule of Investments |
| * | As of June 30, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
| Tax cost |
$ | 1,774,698,086 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 516,572,549 | ||
| Gross unrealized depreciation |
(27,278,902 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 489,293,647 | ||
|
|
|
| (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 June 30, 2013, 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 |
Income | ||||||||||||
| BlackRock Liquidity Funds, TempFund, Institutional Class |
40,033,302 | (13,670,413 | ) | 26,362,889 | $ | 19,172 | ||||||||||
| BlackRock Liquidity Series LLC, Money Market Series |
$ | 22,802,709 | $ | 7,925,991 | $ | 30,728,700 | $ | 17,712 | ||||||||
| (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 BlackRock Liquidity Series, LLC Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day. |
| Ÿ | For Portfolio compliance purposes, the Portfolio’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Portfolio management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
| Ÿ | 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: |
| Ÿ | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Portfolio has the ability to access |
| Ÿ | 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) |
| Ÿ | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s own assumptions used in determining the fair value of investments) |
| MASTER LARGE CAP SERIES LLC |
JUNE 30, 2013 |
3 |
| Schedule of Investments (concluded) | Master Large Cap Core Portfolio |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Portfolio’s 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 Portfolio’s policy regarding valuation of investments, please refer to the Portfolio’s most recent financial statements as contained in its semi-annual report.
The following table summarizes the Portfolio’s investments categorized in the disclosure hierarchy as of June 30, 2013:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets: |
||||||||||||||||
| Investments: |
||||||||||||||||
| Long-Term Investments1 |
$ | 2,206,900,144 | — | — | $ | 2,206,900,144 | ||||||||||
| Short-Term Securities |
26,362,889 | $ | 30,728,700 | — | 57,091,589 | |||||||||||
| Total |
$ | 2,233,263,033 | $ | 30,728,700 | — | $ | 2,263,991,733 | |||||||||
|
|
|
|||||||||||||||
| 1 | See above Schedule of Investments for values in each industry. |
Certain of the Portfolio’s liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of June 30, 2013, collateral on securities loaned at value of $30,728,700 is categorized as Level 2 within the disclosure hierarchy.
There were no transfers between levels during the period ended June 30, 2013.
| 4 | MASTER LARGE CAP SERIES LLC |
JUNE 30, 2013 |
| Consolidated Schedule of Investments June 30, 2013 (Unaudited) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| Portfolio Abbreviations | ||||
| To simplify the listings of portfolio holdings in the Consolidated Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list: |
AUD Australian Dollar BRL Brazil Real CAD Canadian Dollar CHF Swiss Fanc CNY Chinese Yuan EUR Euro FKA Formerly Known As GBP British Pound INR Indian Rupee |
JPY Japanese Yen LIBOR London Interbank Offered Rate MXN Mexican Peso NOK Norwegian Krone RB Revenue Bonds SEK Swedish Krona TBA To-be-announced USD US Dollar | ||
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 1 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| 2 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 3 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| 4 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 5 |
| Consolidated Schedule of Investments (continued) |
|
Master Total Return Portfolio |
| |
| (Percentages shown are based on Net Assets) |
| 6 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 7 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| 8 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 9 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| 10 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 11 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| 12 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 13 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| Notes to Schedule of Investments |
| * | As of June 30, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
| Tax cost |
$ | 6,136,279,553 | ||||||
|
|
|
|||||||
| Gross unrealized appreciation |
$ | 65,833,566 | ||||||
| Gross unrealized depreciation |
(131,402,140 | ) | ||||||
|
|
|
|||||||
| Net unrealized depreciation |
$ | (65,568,574 | ) | |||||
|
|
|
| (a) | Variable rate security. Rate shown is as of report date. |
| (b) | 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. |
| (c) | Security is perpetual in nature and has no stated maturity date. |
| (d) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
| (e) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
| (f) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
| (g) | Investments in issuers considered to be an affiliate of the Master Portfolio during the period ended June 30, 2013, 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 June 30, 2013 |
Value at June 30, 2013 |
Income | ||||||||||||||||||
| BlackRock Capital Finance LP, Series 1997-R2, Class AP, |
$ | 8,543 | — | $ | (8,543 | ) | — | — | $ | 52 | ||||||||||||||
| BlackRock Liquidity Funds, TempFund, Institutional Class |
9,146,877 | 5,719,778 | 1 | — | 14,866,655 | 14,866,655 | $ | 9,313 | ||||||||||||||||
| iShares JPMorgan USD Emerging Markets Bond Fund |
114,500 | — | — | 114,500 | 12,541,185 | $ | 422,298 | |||||||||||||||||
| 1 | Represents net shares purchased. |
| (h) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
| (i) | Non-income producing security. |
| (j) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (k) | All or a portion of securities with an aggregate market value of $2,237,617,600 have been pledged as collateral in connection with open reverse repurchase agreements. |
| 14 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| (l) | Represents or includes a TBA transaction. Unsettled TBA transactions as of June 30, 2013 were as follows: |
| Counterparty | Value | Unrealized Appreciation (Depreciation) |
||||||
| Barclays Capital, Inc. |
$ | (6,809,764 | ) | $ | 211,247 | |||
| BNP Paribas Securities Corp. |
$ | (20,646,483 | ) | $ | 275,673 | |||
| Citigroup Global Markets, Inc. |
$ | (4,140,654 | ) | $ | (784,160 | ) | ||
| Credit Suisse Securities (USA) LLC |
$ | (174,884,293 | ) | $ | 2,282,639 | |||
| Deutsche Bank Securities, Inc. |
$ | (75,438,203 | ) | $ | (223,257 | ) | ||
| Goldman Sachs & Co. |
$ | 122,566,750 | $ | (1,805,243 | ) | |||
| J.P. Morgan Securities LLC |
$ | (11,061,328 | ) | $ | (266,695 | ) | ||
| Merrill Lynch, Pierce, Fenner & Smith, Inc. |
$ | 45,501,328 | $ | (1,105,523 | ) | |||
| Morgan Stanley & Co. LLC |
$ | 33,958,846 | $ | (546,744 | ) | |||
| RBC Capital Markets LLC |
$ | 3,633,070 | $ | (27,953 | ) | |||
| RBS Securities, Inc. |
$ | 21,760,702 | $ | (54,661 | ) | |||
| Wells Fargo Securities, LLC |
$ | 3,966,820 | $ | (7,430 | ) | |||
| (m) | Represents the current yield as of report date. |
| Ÿ | For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the Master Portfolio management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
| Ÿ | Reverse repurchase agreements outstanding as of June 30, 2013 were as follows: |
| Counterparty | Interest Rate |
Trade Date |
Maturity Date1 |
Face Value |
Face
Value Interest |
|||||||||||||
| Deutsche Bank Securities, Inc. |
0.28 | % | 10/10/12 | Open | $ | 11,616,506 | $ | 11,640,359 | ||||||||||
| Deutsche Bank Securities, Inc. |
0.28 | % | 10/10/12 | Open | 5,294,375 | 5,305,246 | ||||||||||||
| Deutsche Bank Securities, Inc. |
0.28 | % | 10/10/12 | Open | 2,245,688 | 2,250,299 | ||||||||||||
| Credit Suisse Securities (USA) LLC |
0.11 | % | 2/27/13 | Open | 40,578,597 | 40,593,972 | ||||||||||||
| Credit Suisse Securities (USA) LLC |
0.18 | % | 3/11/13 | Open | 33,035,979 | 33,054,314 | ||||||||||||
| Credit Suisse Securities (USA) LLC |
0.18 | % | 3/11/13 | Open | 10,665,710 | 10,671,629 | ||||||||||||
| BNP Paribas Securities Corp. |
0.14 | % | 3/22/13 | Open | 32,320,000 | 32,332,695 | ||||||||||||
| BNP Paribas Securities Corp. |
0.19 | % | 4/09/13 | Open | 13,031,400 | 13,037,108 | ||||||||||||
| Merrill Lynch, Pierce, Fenner & Smith, Inc. |
0.12 | % | 5/13/13 | Open | 37,381,500 | 37,387,606 | ||||||||||||
| Merrill Lynch, Pierce, Fenner & Smith, Inc. |
0.12 | % | 5/15/13 | Open | 5,563,556 | 5,564,428 | ||||||||||||
| HSBC Securities (USA), Inc. |
0.23 | % | 6/12/13 | 7/15/13 | 404,768,000 | 404,850,752 | ||||||||||||
| Deutsche Bank Securities, Inc. |
0.08 | % | 6/20/13 | Open | 8,745,000 | 8,745,136 | ||||||||||||
| Deutsche Bank Securities, Inc. |
0.08 | % | 6/20/13 | Open | 6,237,250 | 6,237,347 | ||||||||||||
| BNP Paribas Securities Corp. |
0.17 | % | 6/27/13 | 7/08/13 | 150,025,000 | 150,032,084 | ||||||||||||
| Credit Suisse Securities (USA) LLC |
0.02 | % | 6/28/13 | 7/01/13 | 118,929,740 | 118,929,938 | ||||||||||||
| Deutsche Bank Securities, Inc. |
0.12 | % | 6/28/13 | 7/01/13 | 265,729,762 | 265,732,420 | ||||||||||||
| Morgan Stanley & Co. LLC |
0.20 | % | 6/28/13 | 7/01/13 | 196,612,500 | 196,615,777 | ||||||||||||
| BNP Paribas Securities Corp. |
0.09 | % | 6/28/13 | 7/08/13 | 80,445,000 | 80,446,408 | ||||||||||||
| Deutsche Bank Securities, Inc. |
0.07 | % | 6/28/13 | 7/08/13 | 265,729,762 | 265,733,379 | ||||||||||||
| Deutsche Bank Securities, Inc. |
(0.05 | )% | 6/28/13 | 7/08/13 | 119,363,449 | 119,362,288 | ||||||||||||
| Merrill Lynch, Pierce, Fenner & Smith, Inc. |
0.10 | % | 6/28/13 | 7/08/13 | 50,202,169 | 50,203,145 | ||||||||||||
| Morgan Stanley & Co. LLC |
0.14 | % | 6/28/13 | 7/08/13 | 207,625,000 | 207,630,652 | ||||||||||||
| Total |
$ | 2,066,145,943 | $ | 2,066,356,982 | ||||||||||||||
|
|
|
|||||||||||||||||
| 1 | Certain agreements have no stated maturity and can be terminated by either party at any time. |
| Ÿ | Financial futures contracts as of June 30, 2013 were as follows: |
| Contracts (Sold) |
Issue | Exchange | Expiration |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
| 193 | Australian Government Bonds (10 Year) | Sydney | September 2013 | USD | 160,249,252 | $ | (115,067 | ) | ||||||||||||
| 61 | EURO STOXX 50 Index | Eurex | September 2013 | USD | 2,062,817 | 3,046 | ||||||||||||||
| 562 | U.S. Treasury Notes (2 Year) | Chicago Board of Trade | September 2013 | USD | 123,640,000 | (82,039 | ) | |||||||||||||
| 945 | U.S. Treasury Notes (5 Year) | Chicago Board of Trade | September 2013 | USD | 114,389,297 | (766,253 | ) | |||||||||||||
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 15 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | Financial futures contracts as of June 30, 2013 were as follows: (concluded) |
| Contracts (Sold) |
Issue | Exchange | Expiration |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
| 1,276 | U.S. Treasury Bonds (30 Year) | Chicago Board of Trade | September 2013 | USD | 173,336,625 | (3,745,821 | ) | |||||||||||||
| 180 | CBOE Volatility Index | Chicago Board of Trade | November 2013 | USD | 3,726,000 | (85,481 | ) | |||||||||||||
| 516 | Euro Dollar Futures | Chicago Mercantile | June 2014 | USD | 128,367,900 | 11,404 | ||||||||||||||
| 173 | Three Month Sterling | NYSE Liffe | June 2014 | USD | 32,650,636 | 71,498 | ||||||||||||||
| (98 | ) | CBOE Volatility Index | Chicago Board of Trade | July 2013 | USD | (1,768,900 | ) | 144,327 | ||||||||||||
| (521 | ) | Euro Dollar Futures | Chicago Mercantile | September 2013 | USD | (129,839,713 | ) | (66,289 | ) | |||||||||||
| (168 | ) | Euro-Bobl | Eurex | September 2013 | USD | (27,378,231 | ) | 86,782 | ||||||||||||
| (232 | ) | Euro-Bund | Eurex | September 2013 | USD | (42,736,365 | ) | 515,664 | ||||||||||||
| (16 | ) | Euro-Schatz | Eurex | September 2013 | USD | (2,298,284 | ) | 3,522 | ||||||||||||
| (116 | ) | Gilt British | Chicago Mercantile | September 2013 | USD | (19,742,656 | ) | 836,149 | ||||||||||||
| (279 | ) | S&P 500 E-Mini Index | Chicago Mercantile | September 2013 | USD | (22,309,538 | ) | (169,647 | ) | |||||||||||
| (3,352 | ) | U.S. Treasury Notes (10 Year) | Chicago Board of Trade | September 2013 | USD | (424,237,500 | ) | 1,249,509 | ||||||||||||
| (174 | ) | U.S. Ultra Treasury Bonds | Chicago Board of Trade | September 2013 | USD | (25,632,375 | ) | 935,719 | ||||||||||||
| (173 | ) | Three Month Sterling | NYSE Liffe | December 2013 | USD | (32,686,816 | ) | (43,639 | ) | |||||||||||
| (5 | ) | Euro Dollar Futures | Chicago Mercantile | September 2014 | USD | (1,242,937 | ) | (1,072 | ) | |||||||||||
| (5 | ) | Euro Dollar Futures | Chicago Mercantile | December 2014 | USD | (1,241,562 | ) | 115 | ||||||||||||
| (17 | ) | Euro Dollar Futures | Chicago Mercantile | March 2015 | USD | (4,214,937 | ) | 6,089 | ||||||||||||
| (29 | ) | Euro Dollar Futures | Chicago Mercantile | June 2015 | USD | (7,176,413 | ) | 16,518 | ||||||||||||
| (29 | ) | Euro Dollar Futures | Chicago Mercantile | September 2015 | USD | (7,159,738 | ) | (2,889 | ) | |||||||||||
| (29 | ) | Euro Dollar Futures | Chicago Mercantile | December 2015 | USD | (7,141,250 | ) | (2,552 | ) | |||||||||||
| (17 | ) | Euro Dollar Futures | Chicago Mercantile | March 2016 | USD | (4,174,988 | ) | (2,154 | ) | |||||||||||
| Total | $ | (1,202,561 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Ÿ | Foreign currency exchange contracts as of June 30, 2013 were as follows: |
| Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| JPY | 168,253,793 | USD | 1,735,000 | BNP Paribas S.A. | 7/10/13 | $ | (38,473 | ) | ||||||||||||||
| USD | 1,735,000 | JPY | 166,939,965 | BNP Paribas S.A. | 7/10/13 | 51,721 | ||||||||||||||||
| JPY | 166,015,210 | USD | 1,735,000 | Deutsche Bank AG | 7/11/13 | (61,039 | ) | |||||||||||||||
| JPY | 169,065,513 | USD | 1,735,000 | Deutsche Bank AG | 7/11/13 | (30,282 | ) | |||||||||||||||
| USD | 1,735,000 | JPY | 167,441,380 | Citibank N.A. | 7/11/13 | 46,658 | ||||||||||||||||
| USD | 1,735,000 | JPY | 166,539,180 | Citibank N.A. | 7/11/13 | 55,755 | ||||||||||||||||
| GBP | 5,735,000 | USD | 8,816,175 | The Bank of New York Mellon | 7/17/13 | (94,649 | ) | |||||||||||||||
| GBP | 1,675,000 | USD | 2,623,395 | The Bank of New York Mellon | 7/17/13 | (76,132 | ) | |||||||||||||||
| GBP | 1,220,000 | USD | 1,839,226 | The Bank of New York Mellon | 7/17/13 | 16,095 | ||||||||||||||||
| JPY | 85,753,000 | USD | 904,033 | The Bank of New York Mellon | 7/17/13 | (39,351 | ) | |||||||||||||||
| MXN | 8,553,000 | USD | 671,487 | The Bank of New York Mellon | 7/17/13 | (12,555 | ) | |||||||||||||||
| USD | 67,358,993 | GBP | 43,999,000 | Barclays Bank PLC | 7/17/13 | 447,325 | ||||||||||||||||
| EUR | 23,442,000 | USD | 30,147,139 | Citibank N.A. | 7/23/13 | 369,119 | ||||||||||||||||
| EUR | 58,511,000 | USD | 76,378,972 | Goldman Sachs Bank USA | 7/23/13 | (210,696 | ) | |||||||||||||||
| EUR | 862,739 | USD | 1,156,509 | The Bank of New York Mellon | 7/23/13 | (33,415 | ) | |||||||||||||||
| EUR | 500,000 | USD | 666,080 | The Bank of New York Mellon | 7/23/13 | (15,191 | ) | |||||||||||||||
| USD | 2,768,990 | EUR | 2,147,000 | Bank of America N.A. | 7/23/13 | (25,925 | ) | |||||||||||||||
| USD | 53,054,783 | EUR | 40,167,000 | Bank of America N.A. | 7/23/13 | 766,304 | ||||||||||||||||
| USD | 393,306,831 | EUR | 299,548,234 | Citibank N.A. | 7/23/13 | 3,361,817 | ||||||||||||||||
| USD | 344,285 | EUR | 265,000 | Deutsche Bank AG | 7/23/13 | (686 | ) | |||||||||||||||
| USD | 12,995,305 | EUR | 10,082,000 | Goldman Sachs Bank USA | 7/23/13 | (129,211 | ) | |||||||||||||||
| USD | 15,316,277 | EUR | 11,835,000 | Goldman Sachs Bank USA | 7/23/13 | (90,254 | ) | |||||||||||||||
| USD | 3,518,266 | EUR | 2,718,000 | Goldman Sachs Bank USA | 7/23/13 | (19,964 | ) | |||||||||||||||
| USD | 2,043,880 | EUR | 1,579,000 | Goldman Sachs Bank USA | 7/23/13 | (11,626 | ) | |||||||||||||||
| USD | 13,849,026 | EUR | 10,584,000 | Goldman Sachs Bank USA | 7/23/13 | 71,018 | ||||||||||||||||
| 16 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | Foreign currency exchange contracts as of June 30, 2013 were as follows: (concluded) |
| Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| USD | 1,318,454 | EUR | 1,014,000 | JPMorgan Chase Bank N.A. | 7/23/13 | $ | (1,548 | ) | ||||||||||||||
| USD | 1,373,169 | EUR | 1,052,000 | JPMorgan Chase Bank N.A. | 7/23/13 | 3,700 | ||||||||||||||||
| USD | 6,248,714 | EUR | 4,781,000 | JPMorgan Chase Bank N.A. | 7/23/13 | 24,918 | ||||||||||||||||
| USD | 31,213,777 | EUR | 23,772,000 | Morgan Stanley Capital Services LLC | 7/23/13 | 267,933 | ||||||||||||||||
| USD | 254,764 | EUR | 197,749 | The Bank of New York Mellon | 7/23/13 | (2,661 | ) | |||||||||||||||
| USD | 4,410,792 | EUR | 3,427,000 | UBS AG | 7/23/13 | (50,398 | ) | |||||||||||||||
| USD | 3,755,388 | EUR | 2,850,000 | JPMorgan Chase Bank N.A. | 7/24/13 | 45,308 | ||||||||||||||||
| CNY | 53,305,000 | USD | 8,393,166 | Standard Chartered Bank | 8/19/13 | 253,481 | ||||||||||||||||
| USD | 8,273,320 | CNY | 53,305,000 | Credit Suisse AG | 8/19/13 | (373,327 | ) | |||||||||||||||
| AUD | 10,735,000 | USD | 10,096,321 | Bank of America N.A. | 9/18/13 | (338,351 | ) | |||||||||||||||
| AUD | 13,000,000 | USD | 11,879,920 | Citibank N.A. | 9/18/13 | (63,095 | ) | |||||||||||||||
| AUD | 4,300,000 | USD | 3,946,325 | UBS AG | 9/18/13 | (37,683 | ) | |||||||||||||||
| CAD | 18,280,745 | USD | 17,310,000 | Canadian Imperial Bank of Commerce | 9/18/13 | 36,869 | ||||||||||||||||
| CHF | 1,678,504 | USD | 1,810,000 | Bank of America N.A. | 9/18/13 | (31,655 | ) | |||||||||||||||
| CHF | 1,717,512 | USD | 1,850,000 | Citibank N.A. | 9/18/13 | (30,326 | ) | |||||||||||||||
| GBP | 9,470,000 | USD | 14,585,969 | Barclays Bank PLC | 9/18/13 | (190,428 | ) | |||||||||||||||
| GBP | 7,500,000 | USD | 11,603,138 | Goldman Sachs Bank USA | 9/18/13 | (202,234 | ) | |||||||||||||||
| JPY | 1,632,511,395 | USD | 16,890,000 | BNP Paribas S.A. | 9/18/13 | (423,398 | ) | |||||||||||||||
| JPY | 1,196,132,075 | USD | 12,685,000 | Goldman Sachs Bank USA | 9/18/13 | (620,012 | ) | |||||||||||||||
| JPY | 1,059,312,198 | USD | 11,235,000 | Royal Bank of Scotland PLC | 9/18/13 | (550,069 | ) | |||||||||||||||
| JPY | 355,322,500 | USD | 3,625,000 | Royal Bank of Scotland PLC | 9/18/13 | (40,980 | ) | |||||||||||||||
| MXN | 146,864,141 | USD | 11,285,000 | JPMorgan Chase Bank N.A. | 9/18/13 | (34,778 | ) | |||||||||||||||
| MXN | 175,893,540 | USD | 13,560,000 | Morgan Stanley Capital Services LLC | 9/18/13 | (86,041 | ) | |||||||||||||||
| USD | 2,206,758 | AUD | 2,320,000 | Citibank N.A. | 9/18/13 | 97,910 | ||||||||||||||||
| USD | 27,218,085 | AUD | 29,830,000 | Goldman Sachs Bank USA | 9/18/13 | 103,018 | ||||||||||||||||
| USD | 16,067,550 | AUD | 17,000,000 | UBS AG | 9/18/13 | 614,780 | ||||||||||||||||
| USD | 17,310,000 | CAD | 17,721,459 | BNP Paribas S.A. | 9/18/13 | 493,846 | ||||||||||||||||
| USD | 2,780,000 | CHF | 2,579,698 | Bank of America N.A. | 9/18/13 | 46,855 | ||||||||||||||||
| USD | 3,660,000 | CHF | 3,366,157 | BNP Paribas S.A. | 9/18/13 | 93,616 | ||||||||||||||||
| USD | 21,410,427 | EUR | 16,050,000 | Bank of America N.A. | 9/18/13 | 511,239 | ||||||||||||||||
| USD | 1,974,119 | GBP | 1,260,000 | BNP Paribas S.A. | 9/18/13 | 58,767 | ||||||||||||||||
| USD | 26,583,335 | GBP | 16,970,000 | Credit Suisse International | 9/18/13 | 786,890 | ||||||||||||||||
| USD | 3,625,000 | JPY | 347,534,550 | Bank of America N.A. | 9/18/13 | 119,534 | ||||||||||||||||
| USD | 54,529,000 | JPY | 5,227,782,476 | Bank of America N.A. | 9/18/13 | 1,798,090 | ||||||||||||||||
| Total | $ | 6,576,133 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Ÿ | Exchange-traded options purchased as of June 30, 2013 were as follows: |
| Description | Put/ Call |
Strike Price |
Expiration Date |
Contracts |
Market Value |
|||||||||||||||||||
| E-Mini S&P 500 Index Futures |
Call | USD | 1,625.00 | 7/19/13 | 86 | $ | 48,375 | |||||||||||||||||
| E-Mini S&P 500 Index Futures |
Call | USD | 1,650.00 | 12/20/13 | 158 | 356,290 | ||||||||||||||||||
| SPDR S&P 500 ETF Trust |
Call | USD | 165.00 | 12/21/13 | 5,010 | 2,297,085 | ||||||||||||||||||
| EURO STOXX 50 Index |
Put | EUR | 2,700.00 | 7/19/13 | 76 | 113,368 | ||||||||||||||||||
| E-Mini S&P 500 Index Futures |
Put | USD | 1,475.00 | 12/20/13 | 158 | 307,310 | ||||||||||||||||||
| SPDR S&P 500 ETF Trust |
Put | USD | 148.00 | 12/21/13 | 5,010 | 2,061,615 | ||||||||||||||||||
| Total |
$ | 5,184,043 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 17 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | Over-the-counter options purchased as of June 30, 2013 were as follows: |
| Description | Counterparty |
Put/ Call |
Strike Price |
Expiration Date |
Contracts |
Notional Amount (000) |
Market Value |
|||||||||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Call | JPY | 100.00 | 7/05/13 | — | USD | 20,480 | $ | 108,431 | ||||||||||||||||||||||||
| USD Currency |
Citibank N.A. | Call | JPY | 97.50 | 7/10/13 | — | USD | 6,748 | 153,357 | |||||||||||||||||||||||||
| USD Currency |
Royal Bank of Scotland PLC | Call | JPY | 102.50 | 7/22/13 | — | USD | 8,730 | 39,077 | |||||||||||||||||||||||||
| USD Currency |
Royal Bank of Scotland PLC | Call | JPY | 104.00 | 8/07/13 | — | USD | 9,780 | 44,234 | |||||||||||||||||||||||||
| USD Currency |
Royal Bank of Scotland PLC | Call | JPY | 107.50 | 8/07/13 | — | USD | 9,415 | 12,452 | |||||||||||||||||||||||||
| EUR Currency |
Deutsche Bank AG | Call | CHF | 1.29 | 8/26/13 | — | EUR | 9,370 | 15,536 | |||||||||||||||||||||||||
| EUR Currency |
UBS AG | Call | CHF | 1.26 | 8/26/13 | — | EUR | 9,370 | 39,691 | |||||||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Call | JPY | 104.00 | 9/05/13 | — | USD | 18,360 | 157,683 | |||||||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Call | JPY | 108.00 | 9/05/13 | — | USD | 18,360 | 58,254 | |||||||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Call | JPY | 105.00 | 9/10/13 | — | USD | 5,440 | 39,579 | |||||||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Call | JPY | 100.30 | 9/12/13 | — | USD | 32,650 | 687,367 | |||||||||||||||||||||||||
| NOK Currency |
Barclays Bank PLC | Call | SEK | 1.14 | 9/20/13 | — | NOK | 51,030 | 30,141 | |||||||||||||||||||||||||
| USD Currency |
JPMorgan Chase Bank N.A. | Call | JPY | 100.00 | 10/31/13 | — | USD | 16,895 | 489,828 | |||||||||||||||||||||||||
| USD Currency |
JPMorgan Chase Bank N.A. | Call | JPY | 110.00 | 10/31/13 | — | USD | 16,895 | 90,104 | |||||||||||||||||||||||||
| USD Currency |
JPMorgan Chase Bank N.A. | Call | JPY | 100.00 | 10/31/13 | — | USD | 6,305 | 182,798 | |||||||||||||||||||||||||
| USD Currency |
JPMorgan Chase Bank N.A. | Call | JPY | 110.00 | 10/31/13 | — | USD | 6,305 | 33,626 | |||||||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Call | MXN | 13.16 | 11/18/13 | — | USD | 4,745 | 173,906 | |||||||||||||||||||||||||
| USD Currency |
Royal Bank of Scotland PLC | Call | MXN | 13.16 | 11/18/13 | — | USD | 4,750 | 174,089 | |||||||||||||||||||||||||
| EUR Currency |
Deutsche Bank AG | Call | CHF | 1.25 | 12/12/13 | — | EUR | 8,485 | 107,635 | |||||||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Put | JPY | 95.00 | 8/07/13 | — | USD | 9,780 | 55,391 | |||||||||||||||||||||||||
| AUD Currency |
UBS AG | Put | USD | 0.90 | 8/08/13 | — | AUD | 18,085 | 236,135 | |||||||||||||||||||||||||
| AUD Currency |
UBS AG | Put | USD | 0.93 | 8/08/13 | — | AUD | 9,145 | 259,246 | |||||||||||||||||||||||||
| GBP Currency |
Deutsche Bank AG | Put | NOK | 8.80 | 8/09/13 | — | GBP | 5,855 | 15,955 | |||||||||||||||||||||||||
| GBP Currency |
Deutsche Bank AG | Put | NOK | 8.60 | 8/09/13 | — | GBP | 5,660 | 4,901 | |||||||||||||||||||||||||
| AUD Currency |
Goldman Sachs Bank USA | Put | USD | 0.93 | 8/13/13 | — | AUD | 94,385 | 2,764,867 | |||||||||||||||||||||||||
| AUD Currency |
JPMorgan Chase Bank N.A. | Put | USD | 0.97 | 8/13/13 | — | AUD | 44,990 | 2,778,856 | |||||||||||||||||||||||||
| USD Currency |
Barclays Bank PLC | Put | MXN | 12.20 | 8/26/13 | — | USD | 7,500 | 13,356 | |||||||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Put | MXN | 11.80 | 8/26/13 | — | USD | 7,500 | 1,807 | |||||||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Put | MXN | 12.00 | 8/26/13 | — | USD | 3,695 | 2,590 | |||||||||||||||||||||||||
| AUD Currency |
Deutsche Bank AG | Put | USD | 0.85 | 9/10/13 | — | AUD | 9,130 | 60,369 | |||||||||||||||||||||||||
| USD Currency |
Bank of America N.A. | Put | JPY | 91.40 | 9/12/13 | — | USD | 32,650 | 156,217 | |||||||||||||||||||||||||
| GBP Currency |
Barclays Bank PLC | Put | USD | 1.50 | 9/19/13 | — | GBP | 5,980 | 112,972 | |||||||||||||||||||||||||
| GBP Currency |
Morgan Stanley Capital Services LLC | Put | USD | 1.53 | 9/19/13 | — | GBP | 5,980 | 192,349 | |||||||||||||||||||||||||
| EUR Currency |
Royal Bank of Scotland PLC | Put | USD | 1.24 | 10/01/13 | — | EUR | 67,700 | 452,317 | |||||||||||||||||||||||||
| EUR Currency |
Citibank N.A. | Put | USD | 1.25 | 11/18/13 | — | EUR | 11,395 | 146,556 | |||||||||||||||||||||||||
| EUR Currency |
Citibank N.A. | Put | USD | 1.21 | 11/18/13 | — | EUR | 11,395 | 73,246 | |||||||||||||||||||||||||
| EUR Currency |
Citibank N.A. | Put | USD | 1.29 | 11/18/13 | — | EUR | 10,590 | 259,930 | |||||||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Put | MXN | 12.00 | 11/18/13 | — | USD | 9,495 | 38,271 | |||||||||||||||||||||||||
| GBP Currency |
Barclays Bank PLC | Put | USD | 1.50 | 12/06/13 | — | GBP | 18,295 | 538,947 | |||||||||||||||||||||||||
| GBP Currency |
Deutsche Bank AG | Put | USD | 1.54 | 12/06/13 | — | GBP | 18,295 | 884,704 | |||||||||||||||||||||||||
| Total |
$ | 11,686,770 | ||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
| Ÿ | Over-the-counter interest rate swaptions purchased as of June 30, 2013 were as follows: |
| Description | Counterparty | Put/ Call |
Exercise Rate | Pay/Receive Exercise Rate |
Floating Rate Index |
Expiration Date |
Notional (000) |
Market Value |
||||||||||||||||||||||
| 10-Year Interest Rate Swap |
Deutsche Bank AG | Call | 1.65 | % | Receive | 3-month LIBOR | 7/29/13 | USD | 14,800 | $ | 1 | |||||||||||||||||||
| 18 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | Exchange-traded options written as of June 30, 2013 were as follows: |
| Description | Put/ Call |
Strike Price |
Expiration Date |
Contracts |
Market Value |
|||||||||||||||||||
| E-Mini S&P 500 Index Futures |
Call | USD | 1,650.00 | 7/19/13 | 86 | $ | (17,200 | ) | ||||||||||||||||
| E-Mini S&P 500 Index Futures |
Call | USD | 1,700.00 | 12/20/13 | 158 | (203,030 | ) | |||||||||||||||||
| SPDR S&P 500 ETF Trust |
Call | USD | 170.00 | 12/21/13 | 5,010 | (1,310,115 | ) | |||||||||||||||||
| E-Mini S&P 500 Index Futures |
Put | USD | 1,525.00 | 12/20/13 | 158 | (406,850 | ) | |||||||||||||||||
| SPDR S&P 500 ETF Trust |
Put | USD | 153.00 | 12/21/13 | 5,010 | (2,727,945 | ) | |||||||||||||||||
| Total |
$ | (4,665,140 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Ÿ | Over-the-counter options written as of June 30, 2013 were as follows: |
| Description | Counterparty | Put/ Call |
Strike Price |
Expiration Date |
Notional (000) |
Market Value |
||||||||||||||||||||||||
| USD Currency |
Barclays Bank PLC | Call | JPY | 100.00 | 7/05/13 | USD | 4,100 | $ | (21,707 | ) | ||||||||||||||||||||
| USD Currency |
BNP Paribas S.A. | Call | JPY | 100.00 | 7/05/13 | USD | 4,100 | (21,707 | ) | |||||||||||||||||||||
| USD Currency |
Morgan Stanley Capital Services LLC | Call | JPY | 100.00 | 7/05/13 | USD | 4,100 | (21,707 | ) | |||||||||||||||||||||
| USD Currency |
Morgan Stanley Capital Services LLC | Call | JPY | 100.00 | 7/05/13 | USD | 8,180 | (43,309 | ) | |||||||||||||||||||||
| USD Currency |
Citibank N.A. | Call | JPY | 101.50 | 7/10/13 | USD | 13,495 | (48,264 | ) | |||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Call | JPY | 107.50 | 8/07/13 | USD | 9,415 | (12,452 | ) | |||||||||||||||||||||
| USD Currency |
JPMorgan Chase Bank N.A. | Call | JPY | 104.00 | 8/07/13 | USD | 9,780 | (44,234 | ) | |||||||||||||||||||||
| EUR Currency |
UBS AG | Call | CHF | 1.29 | 8/26/13 | EUR | 9,370 | (15,536 | ) | |||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Call | JPY | 108.00 | 9/05/13 | USD | 18,360 | (58,254 | ) | |||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Call | JPY | 104.00 | 9/05/13 | USD | 18,360 | (157,683 | ) | |||||||||||||||||||||
| USD Currency |
Barclays Bank PLC | Call | JPY | 105.00 | 9/10/13 | USD | 5,440 | (39,579 | ) | |||||||||||||||||||||
| USD Currency |
Bank of America N.A. | Call | JPY | 100.30 | 9/12/13 | USD | 32,650 | (687,367 | ) | |||||||||||||||||||||
| USD Currency |
JPMorgan Chase Bank N.A. | Call | JPY | 105.00 | 10/31/13 | USD | 12,615 | (159,353 | ) | |||||||||||||||||||||
| USD Currency |
JPMorgan Chase Bank N.A. | Call | JPY | 105.00 | 10/31/13 | USD | 33,790 | (426,835 | ) | |||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Call | MXN | 13.16 | 11/18/13 | USD | 9,495 | (347,995 | ) | |||||||||||||||||||||
| EUR Currency |
Deutsche Bank AG | Call | CHF | 1.30 | 12/12/13 | EUR | 8,485 | (40,382 | ) | |||||||||||||||||||||
| USD Currency |
Royal Bank of Scotland PLC | Put | JPY | 95.00 | 8/07/13 | USD | 9,780 | (55,391 | ) | |||||||||||||||||||||
| AUD Currency |
UBS AG | Put | USD | 0.87 | 8/08/13 | AUD | 8,730 | (48,019 | ) | |||||||||||||||||||||
| AUD Currency |
UBS AG | Put | USD | 0.90 | 8/08/13 | AUD | 9,145 | (119,406 | ) | |||||||||||||||||||||
| AUD Currency |
UBS AG | Put | USD | 0.93 | 8/08/13 | AUD | 9,355 | (265,199 | ) | |||||||||||||||||||||
| GBP Currency |
Deutsche Bank AG | Put | NOK | 8.80 | 8/09/13 | GBP | 5,855 | (15,955 | ) | |||||||||||||||||||||
| AUD Currency |
Deutsche Bank AG | Put | USD | 0.93 | 8/13/13 | AUD | 49,395 | (1,446,952 | ) | |||||||||||||||||||||
| AUD Currency |
Goldman Sachs Bank USA | Put | USD | 0.97 | 8/13/13 | AUD | 44,990 | (2,778,856 | ) | |||||||||||||||||||||
| AUD Currency |
JPMorgan Chase Bank N.A. | Put | USD | 0.93 | 8/13/13 | AUD | 44,990 | (1,317,915 | ) | |||||||||||||||||||||
| USD Currency |
Barclays Bank PLC | Put | MXN | 11.80 | 8/26/13 | USD | 7,500 | (1,807 | ) | |||||||||||||||||||||
| AUD Currency |
Deutsche Bank AG | Put | USD | 0.80 | 9/10/13 | AUD | 9,130 | (18,383 | ) | |||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Put | JPY | 91.40 | 9/12/13 | USD | 32,650 | (156,217 | ) | |||||||||||||||||||||
| GBP Currency |
Barclays Bank PLC | Put | USD | 1.53 | 9/19/13 | GBP | 5,980 | (192,349 | ) | |||||||||||||||||||||
| GBP Currency |
Morgan Stanley Capital Services LLC | Put | USD | 1.50 | 9/19/13 | GBP | 5,980 | (112,972 | ) | |||||||||||||||||||||
| EUR Currency |
Citibank N.A. | Put | USD | 1.16 | 10/01/13 | EUR | 67,700 | (56,098 | ) | |||||||||||||||||||||
| EUR Currency |
Citibank N.A. | Put | USD | 1.21 | 11/18/13 | EUR | 11,395 | (73,246 | ) | |||||||||||||||||||||
| EUR Currency |
Citibank N.A. | Put | USD | 1.25 | 11/18/13 | EUR | 21,180 | (272,405 | ) | |||||||||||||||||||||
| USD Currency |
Deutsche Bank AG | Put | MXN | 12.00 | 11/18/13 | USD | 4,745 | (19,126 | ) | |||||||||||||||||||||
| USD Currency |
Royal Bank of Scotland PLC | Put | MXN | 12.00 | 11/18/13 | USD | 4,750 | (19,146 | ) | |||||||||||||||||||||
| GBP Currency |
Barclays Bank PLC | Put | USD | 1.54 | 12/06/13 | GBP | 18,295 | (884,704 | ) | |||||||||||||||||||||
| GBP Currency |
Deutsche Bank AG | Put | USD | 1.50 | 12/06/13 | GBP | 18,295 | (538,947 | ) | |||||||||||||||||||||
| Total |
$ | (10,539,457 | ) | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 19 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | Over-the-counter credit default swaptions written as of June 30, 2013 were as follows: |
| Description | Counterparty | Put/ Call |
Strike Price |
Pay/Receive Floating Rate Index |
Floating Rate Index |
Rating1 | Expiration Date |
Notional (000) |
Market Value |
|||||||||||||||||||||||||||||
| Bought protection on 5-Year Credit Default Swaps |
Credit Suisse International |
Call | USD | 100.00 | Receive | CDX.NA.IG Series 20 Version 1 |
BBB+ | 7/17/13 | USD | 21,550 | $ | (137,235 | ) | |||||||||||||||||||||||||
| Bought protection on 5-Year Credit Default Swaps |
Credit Suisse International |
Call | USD | 85.00 | Receive | CDX.NA.IG Series 20 Version 1 |
BBB+ | 7/17/13 | USD | 24,550 | (37,797 | ) | ||||||||||||||||||||||||||
| Bought protection on 5-Year Credit Default Swaps |
Credit Suisse International |
Call | USD | 90.00 | Receive | CDX.NA.IG Series 20 Version 1 |
BBB+ | 7/17/13 | USD | 26,600 | (74,323 | ) | ||||||||||||||||||||||||||
| Bought protection on 5-Year Credit Default Swaps |
Credit Suisse International |
Call | USD | 95.00 | Receive | CDX.NA.IG Series 20 Version 1 |
BBB+ | 7/17/13 | USD | 23,900 | (106,154 | ) | ||||||||||||||||||||||||||
| Sold protection on 5-Year Credit Default Swaps |
Credit Suisse International |
Put | USD | 100.00 | Pay | CDX.NA.IG Series 20 Version 1 |
BBB+ | 7/17/13 | USD | 21,550 | (16,662 | ) | ||||||||||||||||||||||||||
| Sold protection on 5-Year Credit Default Swaps |
Credit Suisse International |
Put | USD | 105.00 | Pay | CDX.NA.IG Series 20 Version 1 |
BBB+ | 7/17/13 | USD | 19,550 | (9,538 | ) | ||||||||||||||||||||||||||
| Sold protection on 5-Year Credit Default Swaps |
Credit Suisse International |
Put | USD | 110.00 | Pay | CDX.NA.IG Series 20 Version 1 |
BBB+ | 7/17/13 | USD | 17,800 | (6,536 | ) | ||||||||||||||||||||||||||
| Total |
$ | (388,245 | ) | |||||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||||
| 1 | Using S&P’s rating of the issuer or the underlying securities of the index, as applicable. |
| 2 | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
| Ÿ | Credit default swaps — buy protection outstanding as of June 30, 2013 were as follows: |
| Issuer/Index | Pay Fixed Rate |
Counterparty/ Clearinghouse |
Expiration Date |
Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Kingdom of Spain |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/14 | USD | 6,720 | $ | (71,897 | ) | |||||||||||
| Republic of Portugal |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/15 | USD | 12,800 | (352,534 | ) | ||||||||||||
| iTraxx Europe Series 18 Version 1 |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/15 | EUR | 55,200 | (169,309 | ) | ||||||||||||
| iTraxx Europe Series 18 Version 1 |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/15 | EUR | 53,486 | (164,052 | ) | ||||||||||||
| Republic of Portugal |
1.00 | % | Barclays Bank PLC | 12/20/15 | USD | 1,200 | (39,657 | ) | ||||||||||||
| Republic of Portugal |
1.00 | % | Deutsche Bank AG | 12/20/15 | USD | 1,350 | (44,614 | ) | ||||||||||||
| Banca Monte dei Paschi di Siena SpA |
5.00 | % | Deutsche Bank AG | 12/20/16 | EUR | 750 | 24,119 | |||||||||||||
| The New York Times Co. |
1.00 | % | Barclays Bank PLC | 12/20/16 | USD | 3,100 | (103,421 | ) | ||||||||||||
| Republic of Ireland |
1.00 | % | Citibank N.A. | 12/20/16 | USD | 4,000 | (607,634 | ) | ||||||||||||
| Transocean Worldwide, Inc. |
1.00 | % | Goldman Sachs Bank USA | 12/20/16 | USD | 5,750 | (126,957 | ) | ||||||||||||
| Banca Monte dei Paschi di Siena SpA |
5.00 | % | JPMorgan Chase Bank N.A. | 3/20/17 | EUR | 3,800 | 263,333 | |||||||||||||
| Republic of Ireland |
1.00 | % | Citibank N.A. | 3/20/17 | USD | 2,000 | (259,121 | ) | ||||||||||||
| Banco de Sabadell SA |
5.00 | % | BNP Paribas S.A. | 6/20/17 | EUR | 720 | (50,215 | ) | ||||||||||||
| Caja de Ahorros Y Pensiones de Barcelona |
3.00 | % | BNP Paribas S.A. | 6/20/17 | EUR | 720 | (31,503 | ) | ||||||||||||
| Caja de Ahorros Y Pensiones de Barcelona |
3.00 | % | BNP Paribas S.A. | 6/20/17 | EUR | 540 | (24,872 | ) | ||||||||||||
| CDX.NA.IG Series 18 Version 1 |
1.00 | % | Credit Suisse International | 6/20/17 | USD | 103,800 | (1,467,961 | ) | ||||||||||||
| Republic of Portugal |
1.00 | % | Citibank N.A. | 6/20/17 | USD | 6,000 | (1,057,461 | ) | ||||||||||||
| Banco Bilbao Vizcaya Argentaria SA |
3.00 | % | Citibank N.A. | 9/20/17 | EUR | 2,230 | (137,267 | ) | ||||||||||||
| Peugeot SA |
5.00 | % | BNP Paribas S.A. | 9/20/17 | EUR | 5,950 | (350,908 | ) | ||||||||||||
| CDX.NA.HY Series 19 Version 1 |
5.00 | % | Credit Suisse International | 12/20/17 | USD | 17,540 | (816,362 | ) | ||||||||||||
| CDX.NA.IG Series 19 Version 1 |
1.00 | % | Credit Suisse International | 12/20/17 | USD | 7,300 | (37,088 | ) | ||||||||||||
| Clariant AG |
1.00 | % | BNP Paribas S.A. | 12/20/17 | EUR | 1,300 | (91,036 | ) | ||||||||||||
| Clariant AG |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/17 | EUR | 2,070 | (333,246 | ) | ||||||||||||
| Compagnie de Saint-Gobain SA |
1.00 | % | Goldman Sachs International | 12/20/17 | EUR | 750 | (13,616 | ) | ||||||||||||
| Compagnie de Saint-Gobain SA |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/17 | EUR | 555 | (14,549 | ) | ||||||||||||
| Diageo PLC |
1.00 | % | Deutsche Bank AG | 12/20/17 | EUR | 3,650 | (21,417 | ) | ||||||||||||
| Henkel AG & Co. KGaA |
1.00 | % | Credit Suisse International | 12/20/17 | EUR | 1,950 | (23,842 | ) | ||||||||||||
| iTraxx Sub Financials Series 18 Version 1 |
1.00 | % | Barclays Bank PLC | 12/20/17 | EUR | 9,735 | (35,683 | ) | ||||||||||||
| 20 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | Credit default swaps — buy protection outstanding as of June 30, 2013 were as follows: (continued) |
| Issuer/Index | Pay Fixed Rate |
Counterparty/ Clearinghouse |
Expiration Date |
Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
| iTraxx Sub Financials Series 18 Version 1 |
1.00 | % | Citibank N.A. | 12/20/17 | EUR | 4,700 | $ | (10,864 | ) | |||||||||||
| Compagnie de Saint-Gobain SA |
1.00 | % | JPMorgan Chase Bank N.A. | 3/20/18 | EUR | 620 | (12,107 | ) | ||||||||||||
| Deutsche Bank AG |
1.00 | % | Barclays Bank PLC | 3/20/18 | EUR | 3,200 | (4,428 | ) | ||||||||||||
| Deutsche Bank AG |
1.00 | % | Citibank N.A. | 3/20/18 | EUR | 1,250 | (1,054 | ) | ||||||||||||
| Finmeccanica SpA |
5.00 | % | Bank of America N.A. | 3/20/18 | EUR | 470 | 2,035 | |||||||||||||
| Kingdom of Spain |
1.00 | % | Citibank N.A. | 3/20/18 | USD | 2,180 | 6,629 | |||||||||||||
| Kingdom of Spain |
1.00 | % | JPMorgan Chase Bank N.A. | 3/20/18 | USD | 2,180 | 6,629 | |||||||||||||
| Marks & Spencer PLC |
1.00 | % | Credit Suisse International | 3/20/18 | EUR | 1,330 | (3,171 | ) | ||||||||||||
| Republic of Ireland |
1.00 | % | Bank of America N.A. | 3/20/18 | USD | 800 | (8,971 | ) | ||||||||||||
| Republic of Ireland |
1.00 | % | Deutsche Bank AG | 3/20/18 | USD | 900 | (10,092 | ) | ||||||||||||
| Republic of Italy |
1.00 | % | Barclays Bank PLC | 3/20/18 | USD | 6,000 | 73,795 | |||||||||||||
| Apache Corp. |
1.00 | % | Barclays Bank PLC | 6/20/18 | USD | 1,579 | (19,955 | ) | ||||||||||||
| AXA SA |
1.00 | % | Barclays Bank PLC | 6/20/18 | EUR | 1,810 | 15,851 | |||||||||||||
| AXA SA |
1.00 | % | BNP Paribas S.A. | 6/20/18 | EUR | 925 | (17,623 | ) | ||||||||||||
| AXA SA |
1.00 | % | Credit Suisse International | 6/20/18 | EUR | 995 | (20,073 | ) | ||||||||||||
| Banco Bilbao Vizcaya Argentaria SA |
3.00 | % | BNP Paribas S.A. | 6/20/18 | EUR | 200 | 244 | |||||||||||||
| Banco Bilbao Vizcaya Argentaria SA |
3.00 | % | Goldman Sachs International | 6/20/18 | EUR | 330 | 613 | |||||||||||||
| CDX.NA.IG Series 20 Version 1 |
1.00 | % | Chicago Mercantile | 6/20/18 | USD | 168,800 | 183,178 | |||||||||||||
| Clariant AG |
1.00 | % | Goldman Sachs International | 6/20/18 | EUR | 80 | 310 | |||||||||||||
| Credit Agricole SA |
3.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 960 | (29,069 | ) | ||||||||||||
| Deutsche Telekom SA |
1.00 | % | Barclays Bank PLC | 6/20/18 | EUR | 90 | (376 | ) | ||||||||||||
| Finmeccanica SpA |
5.00 | % | Credit Suisse International | 6/20/18 | EUR | 570 | (1,336 | ) | ||||||||||||
| Finmeccanica SpA |
5.00 | % | Goldman Sachs International | 6/20/18 | EUR | 390 | 19,517 | |||||||||||||
| Finmeccanica SpA |
5.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 1,290 | 50,641 | |||||||||||||
| iTraxx Europe Crossover Series 19 Version 1 |
5.00 | % | Barclays Bank PLC | 6/20/18 | EUR | 1,940 | 23,654 | |||||||||||||
| iTraxx Europe Crossover Series 19 Version 1 |
5.00 | % | Citibank N.A. | 6/20/18 | EUR | 700 | 14,402 | |||||||||||||
| iTraxx Europe Crossover Series 19 Version 1 |
5.00 | % | Deutsche Bank AG | 6/20/18 | EUR | 4,680 | 219,221 | |||||||||||||
| iTraxx Europe Crossover Series 19 Version 1 |
5.00 | % | Deutsche Bank AG | 6/20/18 | EUR | 1,220 | 13,268 | |||||||||||||
| iTraxx Europe Crossover Series 19 Version 1 |
5.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 1,870 | 36,545 | |||||||||||||
| iTraxx Europe Crossover Series 19 Version 1 |
5.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 1,110 | 1,001 | |||||||||||||
| iTraxx Europe Series 19 Version 1 |
1.00 | % | Barclays Bank PLC | 6/20/18 | EUR | 5,990 | 5,184 | |||||||||||||
| iTraxx Europe Series 19 Version 1 |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 5,070 | 8,510 | |||||||||||||
| iTraxx Europe Series 9 3-6% |
5.00 | % | Citibank N.A. | 6/20/18 | EUR | 3,780 | 197,763 | |||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Barclays Bank PLC | 6/20/18 | EUR | 2,600 | 14,606 | |||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Barclays Bank PLC | 6/20/18 | EUR | 2,245 | (6,019 | ) | ||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Citibank N.A. | 6/20/18 | EUR | 2,130 | 17,326 | |||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Citibank N.A. | 6/20/18 | EUR | 2,130 | 13,475 | |||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Citibank N.A. | 6/20/18 | EUR | 2,080 | 20,158 | |||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Citibank N.A. | 6/20/18 | EUR | 1,770 | 10,473 | |||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 2,400 | (2,952 | ) | ||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 2,375 | (6,016 | ) | ||||||||||||
| Lafarge SA |
1.00 | % | Deutsche Bank AG | 6/20/18 | EUR | 15 | 277 | |||||||||||||
| Lafarge SA |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 60 | 1,480 | |||||||||||||
| Renault SA |
1.00 | % | Credit Suisse International | 6/20/18 | EUR | 1,250 | 8,870 | |||||||||||||
| Republic of France |
0.25 | % | Barclays Bank PLC | 6/20/18 | USD | 2,530 | 16,328 | |||||||||||||
| Republic of France |
0.25 | % | Citibank N.A. | 6/20/18 | USD | 2,740 | 11,189 | |||||||||||||
| Republic of France |
0.25 | % | JPMorgan Chase Bank N.A. | 6/20/18 | USD | 2,735 | 24,029 | |||||||||||||
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 21 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | Credit default swaps – buy protection outstanding as of June 30, 2013 were as follows: (concluded) |
| Issuer/Index | Pay Fixed Rate |
Counterparty/ Clearinghouse |
Expiration Date |
Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Société Générale SA |
3.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 960 | $ | (33,018 | ) | |||||||||||
| CMBX.NA Series 6 AAA |
0.50 | % | Morgan Stanley Capital Services LLC | 5/11/63 | USD | 2,385 | 102,444 | |||||||||||||
| Total |
$ | (5,226,249 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Ÿ | Credit default swaps – sold protection outstanding as of June 30, 2013 were as follows: |
| Issuer/Index | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 |
Notional Amount (000)2 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| ARAMARK Corp. |
5.00 | % | JPMorgan Chase Bank N.A. | 6/20/16 | B- | USD | 1,850 | $ | 153,669 | |||||||||||||||
| Banca Monte dei Paschi di Siena SpA |
3.00 | % | BNP Paribas S.A. | 9/20/16 | Not Rated | EUR | 2,000 | (268,078 | ) | |||||||||||||||
| Banca Monte dei Paschi di Siena SpA |
3.00 | % | JPMorgan Chase Bank N.A. | 9/20/16 | Not Rated | EUR | 2,200 | (402,409 | ) | |||||||||||||||
| Banca Monte dei Paschi di Siena SpA |
5.00 | % | Deutsche Bank AG | 9/20/16 | Not Rated | EUR | 750 | (108,438 | ) | |||||||||||||||
| Republic of Italy |
1.00 | % | Citibank N.A. | 12/20/16 | Not Rated | USD | 4,000 | 269,819 | ||||||||||||||||
| CDX.NA.IG Series 18 Version 1 |
1.00 | % | Citibank N.A. | 6/20/17 | BBB+ | USD | 103,800 | 1,384,631 | ||||||||||||||||
| Sunrise Communications Holdings SA |
5.00 | % | Citibank N.A. | 6/20/17 | B- | EUR | 1,160 | 153,171 | ||||||||||||||||
| Ardagh Packaging Finance PLC |
5.00 | % | Barclays Bank PLC | 9/20/17 | CCC+ | EUR | 370 | 39,386 | ||||||||||||||||
| Ardagh Packaging Finance PLC |
5.00 | % | Credit Suisse International | 9/20/17 | CCC+ | EUR | 550 | 59,893 | ||||||||||||||||
| CDX.NA.HY Series 19 Version 1 |
5.00 | % | Credit Suisse International | 12/20/17 | B+ | USD | 22,880 | 1,264,740 | ||||||||||||||||
| Deutsche Telekom AG |
1.00 | % | Deutsche Bank AG | 12/20/17 | BBB+ | EUR | 1,500 | 8,742 | ||||||||||||||||
| E.ON AG |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/17 | A- | EUR | 3,250 | 9,930 | ||||||||||||||||
| Imperial Tobacco Group PLC |
1.00 | % | Deutsche Bank AG | 12/20/17 | BBB | EUR | 1,500 | 12,297 | ||||||||||||||||
| iTraxx Europe Series 18 Version 1 |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/17 | A- | EUR | 41,400 | 192,412 | ||||||||||||||||
| iTraxx Europe Series 18 Version 1 |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/17 | A- | EUR | 27,600 | 128,275 | ||||||||||||||||
| iTraxx Sub Financials Series 18 Version 1 |
1.00 | % | Citibank N.A. | 12/20/17 | A | EUR | 4,930 | 6,771 | ||||||||||||||||
| iTraxx Sub Financials Series 18 Version 1 |
1.00 | % | Citibank N.A. | 12/20/17 | A | EUR | 4,700 | 18,403 | ||||||||||||||||
| iTraxx Sub Financials Series 18 Version 1 |
1.00 | % | Citibank N.A. | 12/20/17 | A | EUR | 2,360 | 10,865 | ||||||||||||||||
| iTraxx Sub Financials Series 18 Version 1 |
1.00 | % | Deutsche Bank AG | 12/20/17 | A | EUR | 2,350 | 7,318 | ||||||||||||||||
| iTraxx Sub Financials Series 18 Version 1 |
1.00 | % | Deutsche Bank AG | 12/20/17 | A | EUR | 340 | (1,017 | ) | |||||||||||||||
| iTraxx Sub Financials Series 18 Version 1 |
1.00 | % | Deutsche Bank AG | 12/20/17 | A | EUR | 50 | 189 | ||||||||||||||||
| iTraxx Sub Financials Series 18 Version 1 |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/17 | A | EUR | 9,620 | 55,327 | ||||||||||||||||
| iTraxx Sub Financials Series 18 Version 1 |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/17 | A | EUR | 5,775 | 9,708 | ||||||||||||||||
| Sunrise Communications Holdings SA |
5.00 | % | Credit Suisse International | 12/20/17 | B- | EUR | 610 | 6,301 | ||||||||||||||||
| Sunrise Communications Holdings SA |
5.00 | % | Goldman Sachs International | 12/20/17 | B- | EUR | 710 | 13,632 | ||||||||||||||||
| ThyssenKrupp AG |
1.00 | % | Credit Suisse International | 12/20/17 | BB | EUR | 1,500 | (10,089 | ) | |||||||||||||||
| ThyssenKrupp AG |
1.00 | % | Goldman Sachs International | 12/20/17 | BB | EUR | 725 | (2,290 | ) | |||||||||||||||
| ThyssenKrupp AG |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/17 | BB | EUR | 705 | (2,227 | ) | |||||||||||||||
| Ardagh Packaging Finance PLC |
5.00 | % | Credit Suisse International | 3/20/18 | CCC+ | EUR | 300 | (4,444 | ) | |||||||||||||||
| Ardagh Packaging Finance PLC |
5.00 | % | Deutsche Bank AG | 3/20/18 | CCC+ | EUR | 310 | (4,750 | ) | |||||||||||||||
| Glencore Xstrata PLC |
1.00 | % | JPMorgan Chase Bank N.A. | 3/20/18 | BBB | EUR | 2,690 | (77,895 | ) | |||||||||||||||
| Intesa Sanpaolo SpA |
1.00 | % | Bank of America N.A. | 3/20/18 | BBB+ | EUR | 2,230 | (61,583 | ) | |||||||||||||||
| Republic of Italy |
1.00 | % | Barclays Bank PLC | 3/20/18 | Not Rated | EUR | 4,500 | (55,442 | ) | |||||||||||||||
| Republic of Italy |
1.00 | % | Barclays Bank PLC | 3/20/18 | Not Rated | USD | 37 | 211 | ||||||||||||||||
| Schaeffler Finance BV |
5.00 | % | Barclays Bank PLC | 3/20/18 | B+ | EUR | 660 | 31,299 | ||||||||||||||||
| Schaeffler Finance BV |
5.00 | % | Barclays Bank PLC | 3/20/18 | B+ | EUR | 650 | 39,068 | ||||||||||||||||
| Schaeffler Finance BV |
5.00 | % | Credit Suisse International | 3/20/18 | B+ | EUR | 700 | 39,068 | ||||||||||||||||
| Schaeffler Finance BV |
5.00 | % | Credit Suisse International | 3/20/18 | B+ | EUR | 660 | 31,299 | ||||||||||||||||
| Sunrise Communications Holdings SA |
5.00 | % | Citibank N.A. | 3/20/18 | B- | EUR | 480 | 694 | ||||||||||||||||
| Sunrise Communications Holdings SA |
5.00 | % | Goldman Sachs International | 3/20/18 | B- | EUR | 500 | (1,943 | ) | |||||||||||||||
| Swiss Reinsurance Co. Ltd. |
1.00 | % | Barclays Bank PLC | 3/20/18 | AA- | EUR | 3,200 | 19,020 | ||||||||||||||||
| Swiss Reinsurance Co. Ltd. |
1.00 | % | Citibank N.A. | 3/20/18 | AA- | EUR | 1,250 | 7,891 | ||||||||||||||||
| ThyssenKrupp AG |
1.00 | % | Credit Suisse International | 3/20/18 | BB | EUR | 1,300 | (46,983 | ) | |||||||||||||||
| Ttmtin |
5.00 | % | Credit Suisse International | 3/20/18 | BB- | EUR | 1,000 | 1,763 | ||||||||||||||||
| UniCredit SpA |
3.00 | % | Barclays Bank PLC | 3/20/18 | BBB+ | EUR | 1,100 | (25,443 | ) | |||||||||||||||
| 22 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | Credit default swaps – sold protection outstanding as of June 30, 2013 were as follows: (continued) |
| Issuer/Index | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 |
Notional Amount (000)2 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| UniCredit SpA |
3.00 | % | JPMorgan Chase Bank N.A. | 3/20/18 | BBB+ | EUR | 2,230 | $ | (57,861 | ) | ||||||||||||||
| Accor SA |
1.00 | % | BNP Paribas S.A. | 6/20/18 | BBB- | EUR | 1,190 | (7,731 | ) | |||||||||||||||
| Allianz SE |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | AA | EUR | 2,110 | 34,211 | ||||||||||||||||
| ArcelorMittal |
1.00 | % | Deutsche Bank AG | 6/20/18 | BB+ | EUR | 15 | (544 | ) | |||||||||||||||
| ArcelorMittal |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | BB+ | EUR | 40 | (1,631 | ) | |||||||||||||||
| Aviva PLC |
1.00 | % | Barclays Bank PLC | 6/20/18 | Not Rated | EUR | 1,810 | (26,414 | ) | |||||||||||||||
| Aviva PLC |
1.00 | % | BNP Paribas S.A. | 6/20/18 | Not Rated | EUR | 925 | 13,358 | ||||||||||||||||
| Aviva PLC |
1.00 | % | Credit Suisse International | 6/20/18 | Not Rated | EUR | 995 | 14,090 | ||||||||||||||||
| Compagnie de Saint-Gobain SA |
1.00 | % | Bank of America N.A. | 6/20/18 | BBB | EUR | 1,190 | 1,750 | ||||||||||||||||
| Compagnie de Saint-Gobain SA |
1.00 | % | Bank of America N.A. | 6/20/18 | BBB | EUR | 700 | (84 | ) | |||||||||||||||
| Compagnie de Saint-Gobain SA |
1.00 | % | BNP Paribas S.A. | 6/20/18 | BBB | EUR | 670 | 1,190 | ||||||||||||||||
| Compagnie de Saint-Gobain SA |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | BBB | EUR | 700 | (928 | ) | |||||||||||||||
| Daimler AG |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | A- | EUR | 830 | (1,531 | ) | |||||||||||||||
| Deutsche Bank AG |
1.00 | % | Barclays Bank PLC | 6/20/18 | A+ | EUR | 1,260 | 3,110 | ||||||||||||||||
| Deutsche Telekom SA |
1.00 | % | Citibank N.A. | 6/20/18 | BBB+ | EUR | 850 | (226 | ) | |||||||||||||||
| Encana Corp. |
1.00 | % | Credit Suisse International | 6/20/18 | BBB | USD | 10,725 | (140,385 | ) | |||||||||||||||
| Encana Corp. |
1.00 | % | Credit Suisse International | 6/20/18 | BBB | USD | 3,570 | (53,130 | ) | |||||||||||||||
| France Telecom SA |
1.00 | % | Barclays Bank PLC | 6/20/18 | BBB+ | EUR | 90 | (133 | ) | |||||||||||||||
| Glencore Xstrata PLC |
1.00 | % | Goldman Sachs International | 6/20/18 | BBB | EUR | 350 | (2,607 | ) | |||||||||||||||
| Glencore Xstrata PLC |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | BBB | EUR | 350 | (5,007 | ) | |||||||||||||||
| Glencore Xstrata PLC |
1.00 | % | Citibank N.A. | 6/20/18 | BBB | EUR | 760 | (11,452 | ) | |||||||||||||||
| Glencore Xstrata PLC |
1.00 | % | Credit Suisse International | 6/20/18 | BBB | EUR | 830 | (37,363 | ) | |||||||||||||||
| Glencore Xstrata PLC |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | BBB | EUR | 850 | (36,739 | ) | |||||||||||||||
| Glencore Xstrata PLC |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | BBB | EUR | 700 | (4,016 | ) | |||||||||||||||
| Holcim Ltd. |
1.00 | % | Citibank N.A. | 6/20/18 | BBB | EUR | 1,420 | (6,372 | ) | |||||||||||||||
| Intesa Sanpaolo SpA |
3.00 | % | BNP Paribas S.A. | 6/20/18 | BBB+ | EUR | 200 | (336 | ) | |||||||||||||||
| iTraxx Europe Crossover Series 19 Version 1 |
1.00 | % | Barclays Bank PLC | 6/20/18 | B+ | EUR | 400 | (1,969 | ) | |||||||||||||||
| iTraxx Europe Crossover Series 19 Version 1 |
5.00 | % | Barclays Bank PLC | 6/20/18 | B+ | EUR | 3,420 | (71,815 | ) | |||||||||||||||
| iTraxx Europe Crossover Series 19 Version 1 |
5.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | B+ | EUR | 1,940 | (92,092 | ) | |||||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Barclays Bank PLC | 6/20/18 | B+ | EUR | 9,735 | 36,403 | ||||||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Barclays Bank PLC | 6/20/18 | B+ | EUR | 1,810 | (10,012 | ) | |||||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Citibank N.A. | 6/20/18 | B+ | EUR | 1,770 | (6,766 | ) | |||||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Citibank N.A. | 6/20/18 | B+ | EUR | 1,770 | (7,824 | ) | |||||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Deutsche Bank AG | 6/20/18 | B+ | EUR | 35 | (274 | ) | |||||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | B+ | EUR | 2,090 | 3,129 | ||||||||||||||||
| Koninklijke KPN NV |
1.00 | % | Deutsche Bank AG | 6/20/18 | BBB- | EUR | 80 | (612 | ) | |||||||||||||||
| Laxess AG |
1.00 | % | BNP Paribas S.A. | 6/20/18 | BBB | EUR | 850 | (12,238 | ) | |||||||||||||||
| Metro AG |
1.00 | % | Credit Suisse International | 6/20/18 | BBB- | EUR | 830 | (16,067 | ) | |||||||||||||||
| Muenchener Rueckversicherungs AG |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | Not Rated | EUR | 2,110 | 18,118 | ||||||||||||||||
| RWE AG |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | BBB+ | EUR | 1,190 | (5,617 | ) | |||||||||||||||
| Solvay SA |
1.00 | % | Credit Suisse International | 6/20/18 | BBB+ | EUR | 830 | (6,147 | ) | |||||||||||||||
| Techem GmbH |
5.00 | % | Credit Suisse International | 6/20/18 | B+ | EUR | 530 | 43 | ||||||||||||||||
| Telecom Italia SpA |
1.00 | % | Bank of America N.A. | 6/20/18 | BBB- | EUR | 700 | 2,237 | ||||||||||||||||
| Telecom Italia SpA |
1.00 | % | Barclays Bank PLC | 6/20/18 | BBB- | EUR | 350 | 5,088 | ||||||||||||||||
| Telecom Italia SpA |
1.00 | % | Goldman Sachs International | 6/20/18 | BBB- | EUR | 350 | (712 | ) | |||||||||||||||
| Tesco PLC |
1.00 | % | Goldman Sachs International | 6/20/18 | BBB+ | EUR | 1,180 | (15,882 | ) | |||||||||||||||
| Vinci SA |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | BBB+ | EUR | 830 | (10,580 | ) | |||||||||||||||
| Vivendi SA |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | BBB | EUR | 850 | (5,152 | ) | |||||||||||||||
| Volkswagen AG |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | A- | EUR | 850 | (993 | ) | |||||||||||||||
| Volkswagen AG |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | A- | EUR | 830 | (3,123 | ) | |||||||||||||||
| Holcim Ltd. |
1.00 | % | BNP Paribas S.A. | 9/20/18 | BBB | EUR | 330 | (582 | ) | |||||||||||||||
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 23 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | Credit default swaps – sold protection outstanding as of June 30, 2013 were as follows: (concluded) |
| Issuer/Index | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 |
Notional Amount (000)2 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| Telecom Italia SpA |
1.00 | % | Goldman Sachs International | 9/20/18 | BBB- | EUR | 890 | $ | 19,823 | |||||||||||||||
| Republic of France |
0.25 | % | Barclays Bank PLC | 6/20/23 | AA+ | USD | 1,550 | (15,389 | ) | |||||||||||||||
| Republic of France |
0.25 | % | Citibank N.A. | 6/20/23 | AA+ | USD | 1,670 | (9,353 | ) | |||||||||||||||
| Republic of France |
0.25 | % | JPMorgan Chase Bank N.A. | 6/20/23 | AA+ | USD | 1,670 | (18,995 | ) | |||||||||||||||
| CMBX.NA Series 2 AM |
0.50 | % | Deutsche Bank AG | 3/15/49 | A- | USD | 4,830 | 368,625 | ||||||||||||||||
| CMBX.NA Series 4 AM |
0.50 | % | Deutsche Bank AG | 2/17/51 | BB- | USD | 2,000 | 58,309 | ||||||||||||||||
| Total |
$ | 2,775,561 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| 1 | Using S&P’s rating of the issuer or the underlying securities of the index, as applicable. |
| 2 | The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement. |
| Ÿ | Interest rate swaps outstanding as of June 30, 2013 were as follows: |
| Fixed Rate | Floating Rate |
Counterparty/ Clearinghouse |
Expiration Date |
Notional |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| 6.97%1 |
1-day Overnight Mumbai Interbank Swap Rate | Citibank N.A. | 5/09/16 | INR | 7,100,000 | $ | (1,534,208 | ) | ||||||||||
| 3.27%2 |
3-month LIBOR | Deutsche Bank AG | 5/16/21 | USD | 9,510 | (694,069 | ) | |||||||||||
| 1.75%1 |
3-month LIBOR | Citibank N.A. | 12/14/22 | USD | 700 | (51,378 | ) | |||||||||||
| 2.32%1 |
3-month LIBOR | Bank of America N.A. | 5/31/23 | USD | 4,300 | (130,458 | ) | |||||||||||
| 2.30%2 |
3-month LIBOR | Chicago Mercantile | 6/11/23 | USD | 1,810 | 60,201 | ||||||||||||
| 2.89%2 |
3-month LIBOR | Bank of America N.A. | 1/14/43 | USD | 48,090 | 4,348,637 | ||||||||||||
| 3.02%2 |
3-month LIBOR | Credit Suisse International | 2/06/43 | USD | 17,672 | 1,206,101 | ||||||||||||
| 3.00%2 |
3-month LIBOR | Goldman Sachs International | 2/11/43 | USD | 28,200 | 2,008,743 | ||||||||||||
| 3.03%2 |
3-month LIBOR | Credit Suisse International | 2/19/43 | USD | 8,800 | 588,281 | ||||||||||||
| 2.80%2 |
3-month LIBOR | Bank of America N.A. | 4/23/43 | USD | 9,380 | 1,106,888 | ||||||||||||
| 2.80%2 |
3-month LIBOR | Barclays Bank PLC | 4/23/43 | USD | 9,340 | 1,097,166 | ||||||||||||
| 2.80%2 |
3-month LIBOR | Deutsche Bank AG | 4/23/43 | USD | 9,520 | 1,118,311 | ||||||||||||
| 3.04%2 |
3-month LIBOR | Barclays Bank PLC | 5/23/43 | USD | 38,600 | 2,895,539 | ||||||||||||
| 3.04%2 |
3-month LIBOR | Bank of America N.A. | 5/24/43 | USD | 57,905 | 4,229,513 | ||||||||||||
| 3.05%2 |
3-month LIBOR | Deutsche Bank AG | 5/24/43 | USD | 52,115 | 3,735,382 | ||||||||||||
| 3.15%1 |
3-month LIBOR | UBS AG | 6/10/43 | USD | 5,060 | (282,809 | ) | |||||||||||
|
3.23%2 |
3-month LIBOR | Goldman Sachs International | 6/11/43 | USD | 5,060 | 201,733 | ||||||||||||
| Total |
$ | 19,903,573 | ||||||||||||||||
|
|
|
|||||||||||||||||
| 1 | Master Portfolio pays the floating rate and receives the fixed rate. |
| 2 | Master Portfolio pays the fixed rate and receives the floating rate. |
| Ÿ | Total return swaps outstanding as of June 30, 2013 were as follows: |
| Reference Entity | Floating Rate | Counterparty | Expiration Date |
Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
| TRX.II.AAA Series 1 |
26.32%1 | Morgan Stanley Capital Services LLC | 10/01/13 | USD | 2,385 | $ | (37,854 | ) | ||||||||||||
| Nokia Oyj |
3-month EURIBOR2 | Citibank N.A. | 5/23/14 | EUR | 180 | (16,567 | ) | |||||||||||||
| Nokia Oyj |
3-month EURIBOR2 | JPMorgan Chase Bank N.A. | 5/26/14 | EUR | 180 | (17,105 | ) | |||||||||||||
| Nokia Oyj |
3-month EURIBOR2 | BNP Paribas S.A. | 6/20/14 | EUR | 15 | 528 | ||||||||||||||
| Total |
$ | (70,998 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 1 | Master Portfolio pays the total return of the reference entity. |
| 2 | Master Portfolio pays the total return of the reference entity and receives the fixed rate. Net payment made at termination. |
| 24 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | 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: |
| Ÿ | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access |
| Ÿ | 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) |
| Ÿ | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments 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 fair value hierarchy classification 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 Portfolio’s 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 Portfolio’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Master Portfolio’s most recent financial statements as contained in its semi-annual report.
The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy as of June 30, 2013:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets: |
||||||||||||||||
| Investments: |
||||||||||||||||
| Long-Term Investments: |
||||||||||||||||
| Asset-Backed Securities |
— | $ | 458,068,725 | $ | 138,436,695 | $ | 596,505,420 | |||||||||
| Common Stocks |
$ | 5,300,188 | — | — | 5,300,188 | |||||||||||
| Corporate Bonds |
— | 876,374,618 | 6,929,590 | 883,304,208 | ||||||||||||
| Floating Rate Loan Interests |
— | 39,006,492 | 45,514,359 | 84,520,851 | ||||||||||||
| Foreign Agency Obligations |
— | 98,303,005 | — | 98,303,005 | ||||||||||||
| Foreign Government Obligations |
— | 357,939,652 | — | 357,939,652 | ||||||||||||
| Investment Companies |
12,541,185 | — | — | 12,541,185 | ||||||||||||
| Non-Agency Mortgage-Backed Securities |
— | 467,654,163 | 33,303,824 | 500,957,987 | ||||||||||||
| Other Interests |
— | — | 1 | 1 | ||||||||||||
| Preferred Securities |
12,310,732 | 23,446,424 | — | 35,757,156 | ||||||||||||
| Taxable Municipal Bonds |
— | 10,526,696 | — | 10,526,696 | ||||||||||||
| U.S. Government Sponsored Agency Securities |
— | 2,015,487,439 | 837,000 | 2,016,324,439 | ||||||||||||
| U.S. Treasury Obligations |
— | 1,049,415,540 | — | 1,049,415,540 | ||||||||||||
| Short-Term Securities: |
||||||||||||||||
| Borrowed Bond Agreements |
— | 387,577,182 | — | 387,577,182 | ||||||||||||
| Money Market Fund |
14,866,655 | — | — | 14,866,655 | ||||||||||||
| Options Purchased: |
||||||||||||||||
| Equity Contracts |
5,022,300 | 161,743 | — | 5,184,043 | ||||||||||||
| Foreign Currency Exchange Contracts |
— | 11,686,770 | — | 11,686,770 | ||||||||||||
| Interest Rate Contracts |
— | 1 | — | 1 | ||||||||||||
| Liabilities: |
||||||||||||||||
| Investments in Securities: |
||||||||||||||||
| Investments Sold Short |
(168,091 | ) | — | — | (168,091 | ) | ||||||||||
| TBA Sale Commitments |
— | (1,012,801,107 | ) | — | (1,012,801,107 | ) | ||||||||||
| Borrowed Bonds |
— | (366,939,823 | ) | — | (366,939,823 | ) | ||||||||||
| Total |
$ | 49,872,969 | $ | 4,415,907,520 | $ | 225,021,469 | $ | 4,690,801,958 | ||||||||
|
|
|
|||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Derivative Financial Instruments1 |
||||||||||||||||
| Assets: |
||||||||||||||||
| Credit contracts |
— | $ | 5,962,373 | — | $ | 5,962,373 | ||||||||||
| Equity contracts |
$ | 147,373 | 528 | — | 147,901 | |||||||||||
| Foreign currency exchange contracts |
— | 10,542,566 | — | 10,542,566 | ||||||||||||
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 | 25 |
| Consolidated Schedule of Investments (concluded) | Master Total Return Portfolio |
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Derivative Financial Instruments1 |
||||||||||||||||
| Interest rate contracts |
$ | 3,732,969 | $ | 22,596,495 | — | $ | 26,329,464 | |||||||||
| Liabilities: |
||||||||||||||||
| Credit contracts |
— | (8,801,306 | ) | — | (8,801,306 | ) | ||||||||||
| Equity contracts |
(4,920,268 | ) | (71,526 | ) | — | (4,991,794 | ) | |||||||||
| Foreign currency exchange contracts |
— | (14,505,890 | ) | — | (14,505,890 | ) | ||||||||||
| Interest rate contracts |
(4,827,775 | ) | (2,692,922 | ) | — | (7,520,697 | ) | |||||||||
| Total |
$ | (5,867,701 | ) | $ | 13,030,318 | — | $ | 7,162,617 | ||||||||
|
|
|
|||||||||||||||
| 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. | ||||||||
| Certain of the Master Portfolio’s assets and/or liabilities are held at carrying amount or face value, which approximates fair value for financial reporting purposes. As of June 30, 2013, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
| ||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets: |
||||||||||||||||
| Cash |
$ | 303,728 | — | — | $ | 303,728 | ||||||||||
| Cash pledged for financial futures contracts |
2,030,000 | — | — | 2,030,000 | ||||||||||||
| Cash pledged as collateral for swaps |
12,293,000 | — | — | 12,293,000 | ||||||||||||
| Liabilities: |
||||||||||||||||
| Reverse repurchase agreements |
— | $ | (2,066,356,982 | ) | — | (2,066,356,982 | ) | |||||||||
| Cash received as collateral for swaps |
— | (18,973,810 | ) | — | (18,973,810 | ) | ||||||||||
| Total |
$ | 14,626,728 | $ | (2,085,330,792 | ) | — | $ | (2,070,704,064 | ) | |||||||
|
|
|
|||||||||||||||
There were no transfers between Level 1 and Level 2 during the period ended June 30, 2013.
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 |
Other Interests |
U.S. 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 32 |
7,530,000 | — | — | — | — | — | 7,530,000 | |||||||||||||||||||||
| Transfers out of Level 32 |
(4,164,292 | ) | — | (5,698,397 | ) | (34,564,259 | ) | — | — | (44,426,948 | ) | |||||||||||||||||
| Accrued discounts/premiums |
18,934 | (1,010 | ) | 38,855 | 13,355 | $ | 2 | — | 70,136 | |||||||||||||||||||
| Net realized gain (loss) |
4,378 | (3,357 | ) | 26,323 | 265,530 | — | — | 292,874 | ||||||||||||||||||||
| Net change in unrealized appreciation/depreciation3 |
767,034 | (6,043 | ) | (1,063,397 | ) | (3,990,774 | ) | (94 | ) | $ | 67,500 | (4,225,774 | ) | |||||||||||||||
| Purchases |
124,310,136 | 6,940,000 | 26,275,948 | 30,621,557 | 93 | 769,500 | 188,917,234 | |||||||||||||||||||||
| Sales |
(1,238,787 | ) | (18,466,000 | ) | (3,187,999 | ) | (7,173,994 | ) | — | — | (30,066,780 | ) | ||||||||||||||||
| Closing Balance, as of June 30, 2013 |
$ | 138,436,695 | $ | 6,929,590 | $ | 45,514,359 | $ | 33,303,824 | $ | 1 | $ | 837,000 | $ | 225,021,469 | ||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| 2 Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period. |
|
|||||||||||||||||||||||||||
| 3 The change in unrealized appreciation/depreciation on investments still held as of June 30, 2013 was $(1,257,882). |
|
|||||||||||||||||||||||||||
| Certain of the Master Portfolio’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value in such Level 3 investments. | ||||||||||||||||||||||||||||
| 26 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2013 |
| Item 2 – | Controls and Procedures | |
| 2(a) – | The registrants’ principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants’ disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. | |
| 2(b) – | There were no changes in the registrants’ internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants’ last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants’ internal control over financial reporting. | |
| Item 3 – | Exhibits | |
| Certifications – Attached hereto | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC
| By: | /s/ John M. Perlowski | |||
| John M. Perlowski | ||||
| Chief Executive Officer (principal executive officer) of | ||||
| BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC | ||||
| Date: August 23, 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: August 23, 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: August 23, 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: August 23, 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: August 23, 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 |