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: 09/30/2014
Date of reporting period: 12/31/2013
Item 1 – Schedule of Investments
| Schedule of Investments December 31, 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 December 31, 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, 2013 |
Net Activity |
Shares Held at December 31, 2013 |
Income | ||||||||||||
| BlackRock Liquidity Funds, TempFund, Institutional Class |
16,206,029 | 12,336,323 | 3,869,706 | $ | 2,652 | |||||||||||
BlackRock Balanced Capital Fund, Inc. (the “Fund”) seeks to achieve its investment objective by investing all of its assets in Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC (collectively the “Master Portfolios”), which have the same investment objectives and strategies as the Fund. As of December 31, 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 $592,858,904 and $278,586,772, respectively and 24.9% and 8.5%, 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, vola- tilities, 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 annual reports.
As of December 31, 2013, the Fund’s investment in the Master Portfolios was classified as Level 2.
The carrying amount for certain of the Fund’s assets and/or liabilities approximates fair value for financial reporting purposes. As of December 31, 2013, cash of $398 is categorized as Level 1 within the disclosure hierarchy.
There were no transfers between levels during the period ended December 31, 2013.
| BLACKROCK BALANCED CAPITAL FUND, INC. | DECEMBER 31, 2013 | 1 |
| Schedule of Investments December 31, 2013 (Unaudited) | Master Large Cap Core Portfolio | |||
| (Percentages shown are based on Net Assets) |
| 2 | BLACKROCK LARGE CAP SERIES FUNDS, INC. | DECEMBER 31, 2013 |
| Schedule of Investments (continued) | Master Large Cap Core Portfolio | |||
| (Percentages shown are based on Net Assets) |
| Notes to Schedule of Investments |
| * | As of December 31,2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
| Tax cost |
$ | 1,677,566,182 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 721,555,475 | ||
| Gross unrealized depreciation |
(15,211,419 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 706,344,056 | ||
|
|
|
| (a) | Non-income producing security. |
| (b) | Security, or a portion of security, is on loan. |
| (c) | Investments in issuers considered to be an affiliate of the Portfolio during the period ended December 31, 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, 2013 |
Net Activity |
Shares/Beneficial Interest Held at December 31, 2013 |
Income | ||||||||||||
| BlackRock Liquidity Funds, TempFund, Institutional Class |
47,573,194 | (19,212,025 | ) | 28,361,169 | $ | 774 | ||||||||||
| BlackRock Liquidity Series, LLC, Money Market Series |
$ | 18,691,623 | $ | (12,085,323 | ) | $ | 6,606,300 | $ | 2,919 | |||||||
| (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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
| BLACKROCK LARGE CAP SERIES FUNDS, INC. | DECEMBER 31, 2013 | 3 |
| Schedule of Investments (concluded) | Master Large Cap Core Portfolio |
| 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) |
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 annual report.
The following table summarizes the Portfolio’s investments categorized in the disclosure hierarchy as of December 31, 2013:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets: |
||||||||||||||||
| Investments: |
||||||||||||||||
| Long-Term Investments1 |
$ | 2,348,942,769 | — | — | $ | 2,348,942,769 | ||||||||||
| Short-Term Securities |
28,361,169 | $ | 6,606,300 | — | 34,967,469 | |||||||||||
| Total |
$ | 2,377,303,938 | $ | 6,606,300 | — | $ | 2,383,910,238 | |||||||||
|
|
|
|||||||||||||||
| 1 See above Schedule of Investments for values in each industry. |
| |||||||||||||||
| The carrying amount for certain of the Portfolio’s assets and/or liabilities approximates fair value for financial reporting purposes. As of December 31, 2013, such assets and/ or liabilities are categorized within the disclosure hierarchy as follows: | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets: |
||||||||||||||||
| Cash |
$ | 203,478 | — | — | $ | 203,478 | ||||||||||
| Liabilities: |
||||||||||||||||
| Collateral on securities loaned at value |
— | $ | (6,606,300 | ) | — | (6,606,300 | ) | |||||||||
| Total |
$ | 203,478 | $ | (6,606,300 | ) | — | $ | (6,402,822 | ) | |||||||
|
|
|
|||||||||||||||
There were no transfers between levels during the period ended December 31, 2013.
| 4 | BLACKROCK LARGE CAP SERIES FUNDS, INC. | DECEMBER 31, 2013 |
| Consolidated Schedule of Investments December 31, 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 BRL CAD CHF ETF EUR EURIBOR FKA GBP INR JPY |
Australian Dollar Brazilian Real Canadian Dollar Swiss Franc Exchange-Traded Fund Euro Euro Interbank Offered Rate Formerly Known As British Pound Indian Rupee Japanese Yen |
LIBOR MXN OTC PLN RB SEK SPDR TBA TRY USD |
London Interbank Offered Rate Mexican Peso Over-the-counter Polish Zloty Revenue Bonds Swedish Krona Standard & Poor’s Depositary Receipts To-be-announced Turkish Lira US Dollar | ||||
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 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 | DECEMBER 31, 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 | DECEMBER 31, 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 | DECEMBER 31, 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 | DECEMBER 31, 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 | DECEMBER 31, 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 | DECEMBER 31, 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 | DECEMBER 31, 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 | DECEMBER 31, 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 | DECEMBER 31, 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 | DECEMBER 31, 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 | DECEMBER 31, 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 | DECEMBER 31, 2013 | 13 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
| (Percentages shown are based on Net Assets) |
| Notes to Consolidated Schedule of Investments |
| * | As of December 31, 2013, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows: |
| Tax cost |
$ | 5,076,367,720 | ||||||
|
|
|
|||||||
| Gross unrealized appreciation |
$ | 87,730,557 | ||||||
| Gross unrealized depreciation |
(56,830,068 | ) | ||||||
|
|
|
|||||||
| Net unrealized appreciation |
$ | 30,900,489 | ||||||
|
|
|
| (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) | 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. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| 14 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| (e) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
| (f) | Investments in issuers considered to be an affiliate of the Master Portfolio during the period ended December 31, 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, 2013 |
Par/Shares Purchased |
Par/Shares Sold |
Par/Shares Held at December 31, 2013 |
Value at December 31, 2013 |
Income | ||||||||||||||||||
| BlackRock Liquidity Funds, TempFund, Institutional Class |
51,436,621 | — | 37,345,044 | 1 | 14,091,577 | $ | 14,091,577 | $ | 2,724 | |||||||||||||||
| iShares iBoxx $ High Yield Corporate Bond ETF |
190,000 | — | — | 190,000 | $ | 17,647,200 | $ | 344,318 | ||||||||||||||||
| iShares JPMorgan USD Emerging Markets Bond Fund |
114,500 | — | 114,500 | — | — | $ | 99,593 | |||||||||||||||||
| 1 | Represents net shares sold. |
| (g) | Zero-coupon bond. |
| (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 security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
| (l) | All or a portion of security has been pledged in connection with outstanding financial futures contracts. |
| (m) | Represents or includes a TBA transaction. Unsettled TBA transactions as of December 31, 2013 were as follows: |
| Counterparty | Value | Unrealized Appreciation (Depreciation) |
||||||
| Citigroup Global Markets, Inc. |
$ | (36,952,279 | ) | $ | 7,158 | |||
| Credit Suisse Securities (USA) LLC |
$ | (54,682,150 | ) | $ | (132,333 | ) | ||
| Deutsche Bank Securities, Inc. |
$ | (11,457,079 | ) | $ | 4,237 | |||
| Goldman Sachs & Co. |
$ | 105,953,289 | $ | (699,601 | ) | |||
| J.P. Morgan Securities LLC |
$ | 126,790,887 | $ | (622,122 | ) | |||
| Merrill Lynch, Pierce, Fenner & Smith, Inc. |
$ | 41,028,098 | $ | (67,182 | ) | |||
| Morgan Stanley & Co. LLC |
$ | (7,127,414 | ) | $ | 189,753 | |||
| Nomura Securities International, Inc. |
$ | (22,446,297 | ) | $ | 86,078 | |||
| RBS Securities, Inc. |
$ | (20,484,562 | ) | $ | 115,824 | |||
| Wells Fargo Securities, LLC |
$ | (362,207 | ) | $ | 98 | |||
| 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 investment advisor. 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 December 31, 2013 were as follows: |
| Counterparty | Interest Rate |
Trade Date |
Maturity Date |
Face Value |
Face
Value Interest |
|||||||||||||
| BNP Paribas Securities Corp. |
0.03 | % | 4/09/13 | Open1 | $ | 13,031,400 | $ | 13,034,310 | ||||||||||
| Deutsche Bank Securities, Inc. |
0.05 | % | 6/20/13 | Open1 | 8,745,000 | 8,747,332 | ||||||||||||
| Deutsche Bank Securities, Inc. |
0.05 | % | 6/20/13 | Open1 | 6,237,250 | 6,238,913 | ||||||||||||
| Morgan Stanley & Co. LLC |
0.00 | % | 11/05/13 | Open1 | 46,286,419 | 46,286,419 | ||||||||||||
| HSBC Securities (USA), Inc. |
0.20 | % | 11/15/13 | 1/16/14 | 56,859,000 | 56,877,637 | ||||||||||||
| Bank of Montreal |
0.19 | % | 11/20/13 | 1/21/14 | 115,012,772 | 115,049,800 | ||||||||||||
| BNP Paribas Securities Corp. |
(0.38 | %) | 12/02/13 | Open1 | 19,975,000 | 19,968,464 | ||||||||||||
| Bank of Montreal |
0.01 | % | 12/05/13 | Open1 | 97,750,000 | 97,750,760 | ||||||||||||
| BNP Paribas Securities Corp. |
0.01 | % | 12/05/13 | Open1 | 24,343,750 | 24,343,939 | ||||||||||||
| RBC Capital Markets LLC |
0.00 | % | 12/05/13 | Open1 | 59,250,000 | 59,250,000 | ||||||||||||
| Credit Suisse Securities (USA) LLC |
0.05 | % | 12/10/13 | Open1 | 8,439,488 | 8,439,757 | ||||||||||||
| Credit Suisse Securities (USA) LLC |
0.05 | % | 12/10/13 | Open1 | 27,379,950 | 27,380,825 | ||||||||||||
| Credit Suisse Securities (USA) LLC |
0.05 | % | 12/10/13 | Open1 | 31,756,000 | 31,757,014 | ||||||||||||
| HSBC Securities (USA), Inc. |
0.19 | % | 12/11/13 | 1/13/14 | 43,322,000 | 43,329,545 | ||||||||||||
| Merrill Lynch, Pierce, Fenner & Smith, Inc. |
0.09 | % | 12/11/13 | Open1 | 39,350,000 | 39,352,164 | ||||||||||||
| Barclays Capital, Inc. |
0.22 | % | 12/16/13 | 1/13/14 | 188,508,000 | 188,539,104 | ||||||||||||
| HSBC Securities (USA), Inc. |
0.20 | % | 12/16/13 | 1/16/14 | 40,017,000 | 40,023,670 | ||||||||||||
| BNP Paribas Securities Corp. |
0.00 | % | 12/31/13 | 1/02/14 | 103,145,906 | 103,145,906 | ||||||||||||
| Deutsche Bank Securities, Inc. |
0.00 | % | 12/31/13 | 1/02/14 | 171,220,506 | 171,220,506 | ||||||||||||
| Total |
$ | 1,100,629,441 | $ | 1,100,736,065 | ||||||||||||||
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|
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| 1 | Certain agreements have no stated maturity and can be terminated by either party at any time. |
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2013 | 15 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | Financial futures contracts outstanding as of December 31, 2013 were as follows: |
| Contracts (Sold) |
Issue | Exchange | Expiration |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
| 259 | Canadian Bankers Acceptance | Montreal | March 2014 | USD | 60,187,479 | $ | 9,965 | |||||||||||||
| 749 | U.S. Treasury Bonds (30 Year) | Chicago Board of Trade | March 2014 | USD | 96,106,063 | (1,790,343 | ) | |||||||||||||
| 4 | U.S. Ultra Treasury Bonds | Chicago Board Options | March 2014 | USD | 545,000 | (232 | ) | |||||||||||||
| 404 | 90-day Australian Bank Bill | Sydney | June 2014 | USD | 85,316,878 | (37,165 | ) | |||||||||||||
| 396 | Euro Dollar Futures | Chicago Mercantile | June 2014 | USD | 98,688,150 | (18,519 | ) | |||||||||||||
| 115 | Euro Dollar Futures | Chicago Mercantile | December 2014 | USD | 28,626,375 | 2,720 | ||||||||||||||
| (22 | ) | Euro Dollar Futures | Chicago Mercantile | June 2015 | USD | 5,462,875 | 1,078 | |||||||||||||
| (357 | ) | Euro Dollar Futures | Chicago Mercantile | December 2015 | USD | 88,245,937 | 155,670 | |||||||||||||
| 274 | Euro Dollar Futures | Chicago Mercantile | June 2016 | USD | 67,304,675 | (17,977 | ) | |||||||||||||
| (137 | ) | Euro Dollar Futures | Chicago Mercantile | June 2017 | USD | 33,251,613 | 12,183 | |||||||||||||
| (230 | ) | Euro-Bobl | Eurex | March 2014 | USD | 39,371,165 | 426,630 | |||||||||||||
| (180 | ) | Euro-Bund | Eurex | March 2014 | USD | 34,462,237 | 496,962 | |||||||||||||
| (31 | ) | Euro-Schatz | Eurex | March 2014 | USD | 4,703,948 | 8,169 | |||||||||||||
| (64 | ) | Gilt British | NYSE Liffe | March 2014 | USD | 11,293,369 | 269,112 | |||||||||||||
| (33 | ) | U.S. Treasury Notes (2 Year) | Chicago Board of Trade | March 2014 | USD | 7,253,813 | 11,308 | |||||||||||||
| (626 | ) | U.S. Treasury Notes (5 Year) | Chicago Board Options | March 2014 | USD | 74,689,625 | 216,002 | |||||||||||||
| (1,600 | ) | U.S. Treasury Notes (10 Year) | Chicago Board of Trade | March 2014 | USD | 196,875,000 | 2,096,281 | |||||||||||||
| 210 | Euro Dollar Futures | Chicago Mercantile | March 2015 | USD | 52,221,750 | (3,867 | ) | |||||||||||||
| (347 | ) | Euro Dollar Futures | Chicago Mercantile | September 2015 | USD | 85,995,274 | 79,226 | |||||||||||||
| 274 | Euro Dollar Futures | Chicago Mercantile | March 2016 | USD | 67,520,450 | (17,525 | ) | |||||||||||||
| 96 | 3-month EURIBOR | NYSE Liffe | September 2016 | USD | 32,587,701 | (40,169 | ) | |||||||||||||
| (22 | ) | Euro Dollar Futures | Chicago Mercantile | March 2017 | USD | 5,354,800 | 1,795 | |||||||||||||
| (96 | ) | 3-month EURIBOR | NYSE Liffe | September 2017 | USD | 32,379,695 | 54,686 | |||||||||||||
| (115 | ) | Euro Dollar Futures | Chicago Mercantile | March 2018 | USD | 27,729,375 | (4,456 | ) | ||||||||||||
| Total | $ | 1,911,534 | ||||||||||||||||||
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| Ÿ | Foreign currency exchange contracts outstanding as of December 31, 2013 were as follows: |
| Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| USD | 4,175,000 | TRY | 9,030,212 | BNP Paribas S.A. | 1/06/14 | $ | (21,610 | ) | ||||||||||||||
| USD | 1,600,000 | TRY | 3,345,760 | Deutsche Bank AG | 1/06/14 | 45,125 | ||||||||||||||||
| USD | 3,245,000 | TRY | 7,010,823 | Deutsche Bank AG | 1/06/14 | (13,140 | ) | |||||||||||||||
| USD | 2,670,000 | TRY | 5,588,310 | Morgan Stanley Capital Services LLC | 1/06/14 | 72,945 | ||||||||||||||||
| AUD | 3,160,000 | CAD | 3,049,084 | Deutsche Bank AG | 1/15/14 | (50,615 | ) | |||||||||||||||
| CAD | 656,601 | AUD | 695,000 | Bank of America N.A. | 1/15/14 | (2,047 | ) | |||||||||||||||
| CAD | 2,347,617 | USD | 2,197,304 | Deutsche Bank AG | 1/15/14 | 11,902 | ||||||||||||||||
| USD | 2,197,303 | AUD | 2,465,000 | Deutsche Bank AG | 1/15/14 | (1,462 | ) | |||||||||||||||
| MXN | 15,094,410 | USD | 1,160,000 | BNP Paribas S.A. | 1/21/14 | (6,007 | ) | |||||||||||||||
| MXN | 15,093,108 | USD | 1,160,000 | Deutsche Bank AG | 1/21/14 | (6,107 | ) | |||||||||||||||
| EUR | 13,916,000 | USD | 19,137,694 | BNP Paribas S.A. | 1/22/14 | 6,328 | ||||||||||||||||
| USD | 345,605,269 | EUR | 255,933,000 | Barclays Bank PLC | 1/22/14 | (6,477,723 | ) | |||||||||||||||
| USD | 309,188 | EUR | 230,000 | BNP Paribas S.A. | 1/22/14 | (7,219 | ) | |||||||||||||||
| USD | 2,587,529 | EUR | 1,877,000 | Goldman Sachs Bank USA | 1/22/14 | 5,370 | ||||||||||||||||
| USD | 374,189 | EUR | 277,000 | JPMorgan Chase Bank N.A. | 1/22/14 | (6,876 | ) | |||||||||||||||
| USD | 1,735,968 | EUR | 1,283,000 | JPMorgan Chase Bank N.A. | 1/22/14 | (29,035 | ) | |||||||||||||||
| USD | 2,100,509 | EUR | 1,553,000 | JPMorgan Chase Bank N.A. | 1/22/14 | (35,929 | ) | |||||||||||||||
| USD | 513,910 | EUR | 380,000 | UBS AG | 1/22/14 | (8,850 | ) | |||||||||||||||
| GBP | 1,133,000 | USD | 1,798,761 | The Bank of New York Mellon | 1/23/14 | 77,142 | ||||||||||||||||
| GBP | 1,491,000 | USD | 2,390,652 | The Bank of New York Mellon | 1/23/14 | 77,991 | ||||||||||||||||
| GBP | 3,387,000 | USD | 5,406,668 | The Bank of New York Mellon | 1/23/14 | 201,174 | ||||||||||||||||
| USD | 52,761,170 | GBP | 32,690,000 | Barclays Bank PLC | 1/23/14 | (1,363,529 | ) | |||||||||||||||
| 16 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | Foreign currency exchange contracts outstanding as of December 31, 2013 were as follows: (concluded) |
| Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| USD | 1,295,238 | GBP | 800,000 | HSBC Bank USA N.A. | 1/23/14 | $ | (29,319 | ) | ||||||||||||||
| USD | 4,063,699 | MXN | 52,261,000 | JPMorgan Chase Bank N.A. | 1/23/14 | 68,947 | ||||||||||||||||
| AUD | 14,005,000 | USD | 12,394,649 | Westpac Banking Corp. | 3/19/14 | 46,784 | ||||||||||||||||
| INR | 506,059,680 | USD | 7,980,000 | BNP Paribas S.A. | 3/19/14 | 51,418 | ||||||||||||||||
| INR | 2,056,694,128 | USD | 32,720,000 | UBS AG | 3/19/14 | (79,243 | ) | |||||||||||||||
| MXN | 88,615,775 | USD | 6,835,000 | Deutsche Bank AG | 3/19/14 | (90,090 | ) | |||||||||||||||
| MXN | 272,624,110 | USD | 20,807,500 | Royal Bank of Canada | 3/19/14 | (56,960 | ) | |||||||||||||||
| PLN | 24,793,698 | EUR | 5,900,000 | Citibank N.A. | 3/19/14 | 51,152 | ||||||||||||||||
| USD | 12,420,950 | AUD | 14,005,000 | Bank of America N.A. | 3/19/14 | (20,482 | ) | |||||||||||||||
| USD | 8,464,000 | JPY | 867,009,840 | Barclays Bank PLC | 3/19/14 | 227,801 | ||||||||||||||||
| Total | $ | (7,362,164 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Ÿ | Exchange-traded options purchased as of December 31, 2013 were as follows: |
| Description | Put/ Call |
Strike Price |
Expiration Date |
Contracts |
Market Value |
|||||||||||||||||||
| E-Mini S&P 500 Index Futures |
Call | USD | 1,850.00 | 1/17/14 | 61 | $ | 45,750 | |||||||||||||||||
| EURO STOXX 50 Index |
Call | EUR | 3,050.00 | 1/17/14 | 132 | 145,638 | ||||||||||||||||||
| EURO STOXX 50 Index |
Call | EUR | 3,000.00 | 1/17/14 | 53 | 88,516 | ||||||||||||||||||
| WisdomTree Japan Hedged Equity Fund |
Call | USD | 50.38 | 1/18/14 | 461 | 48,405 | ||||||||||||||||||
| Euro Dollar 3-Year Mid-Curve |
Call | USD | 97.63 | 6/13/14 | 616 | 165,550 | ||||||||||||||||||
| SPDR S&P 500 ETF Trust |
Put | USD | 183.00 | 1/10/14 | 1,095 | 78,840 | ||||||||||||||||||
| Euro Dollar 2-Year Mid-Curve |
Put | USD | 98.75 | 3/14/14 | 1,621 | 1,094,175 | ||||||||||||||||||
| Euro Dollar 3-Year Mid-Curve |
Put | USD | 97.50 | 3/14/14 | 179 | 120,825 | ||||||||||||||||||
| Euro Dollar 3-Year Mid-Curve |
Put | USD | 97.25 | 6/13/14 | 143 | 143,000 | ||||||||||||||||||
| Total |
$ | 1,930,699 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Ÿ | OTC options purchased as of December 31, 2013 were as follows: |
| Description | Counterparty | Put/ Call |
Strike Price |
Expiration Date |
Notional (000) |
Market Value |
||||||||||||||||||||||||
| USD Currency |
Morgan Stanley Capital Services LLC | Put | TRY | 1.99 | 1/03/14 | USD | 8,415 | $ | 1 | |||||||||||||||||||||
| AUD Currency |
UBS AG | Put | CAD | 0.97 | 1/13/14 | AUD | 7,100 | 112,250 | ||||||||||||||||||||||
| AUD Currency |
UBS AG | Put | CAD | 0.94 | 1/13/14 | AUD | 7,100 | 15,006 | ||||||||||||||||||||||
| AUD Currency |
Deutsche Bank AG | Put | USD | 0.93 | 1/17/14 | AUD | 36,155 | 1,434,159 | ||||||||||||||||||||||
| AUD Currency |
Royal Bank of Scotland PLC | Put | USD | 0.93 | 1/17/14 | AUD | 44,190 | 1,752,880 | ||||||||||||||||||||||
| EUR Currency |
Deutsche Bank AG | Put | GBP | 0.84 | 1/17/14 | EUR | 6,480 | 64,831 | ||||||||||||||||||||||
| EUR Currency |
Royal Bank of Scotland PLC | Put | GBP | 0.84 | 1/17/14 | EUR | 6,610 | 66,132 | ||||||||||||||||||||||
| AUD Currency |
Royal Bank of Scotland PLC | Put | CAD | 0.97 | 1/21/14 | AUD | 6,535 | 137,273 | ||||||||||||||||||||||
| USD Currency |
Morgan Stanley Capital Services LLC | Put | TRY | 1.98 | 1/21/14 | USD | 8,415 | 534 | ||||||||||||||||||||||
| EUR Currency |
UBS AG | Put | USD | 1.36 | 1/29/14 | EUR | 11,370 | 59,767 | ||||||||||||||||||||||
| AUD Currency |
Deutsche Bank AG | Put | USD | 0.89 | 2/07/14 | AUD | 111,365 | 1,430,766 | ||||||||||||||||||||||
| EUR Currency |
HSBC Bank USA N.A. | Put | USD | 1.30 | 5/23/14 | EUR | 6,105 | 39,370 | ||||||||||||||||||||||
| EUR Currency |
Barclays Bank PLC | Put | USD | 1.30 | 6/06/14 | EUR | 5,885 | 43,020 | ||||||||||||||||||||||
| EUR Currency |
Citibank N.A. | Put | USD | 1.30 | 6/06/14 | EUR | 5,985 | 43,751 | ||||||||||||||||||||||
| Total |
$ | 5,199,740 | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| Ÿ | OTC credit default swaptions purchased as of December 31, 2013 were as follows: |
| Description | Counterparty | Put/ Call |
Strike Price |
Pay/Receive Floating Rate Index |
Floating Rate Index |
Expiration Date |
Notional (000) |
Market Value |
||||||||||||||||||||||
| Bought protection on 5-Year Credit Default Swaps |
JPMorgan Chase Bank N.A. |
Put | 350.00 | % | Receive | iTraxx Crossover Series 20 Version 1 |
1/15/14 | EUR | 6,050 | $ | 1,794 | |||||||||||||||||||
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2013 | 17 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | Exchange-traded options written as of December 31, 2013 were as follows: |
| Description | Put/ Call |
Strike Price |
Expiration Date |
Contracts |
Market Value |
|||||||||||||||||||
| Euro Dollar 2-Year Mid-Curve |
Call | USD | 98.63 | 6/13/14 | 616 | $ | (177,100 | ) | ||||||||||||||||
| SPDR S&P 500 ETF Trust |
Put | USD | 183.00 | 1/03/14 | 1,095 | (18,615 | ) | |||||||||||||||||
| Euro Dollar 2-Year Mid-Curve |
Put | USD | 98.25 | 3/14/14 | 1,621 | (263,413 | ) | |||||||||||||||||
| Euro Dollar 3-Year Mid-Curve |
Put | USD | 97.13 | 3/14/14 | 179 | (44,750 | ) | |||||||||||||||||
| Euro Dollar 3-Year Mid-Curve |
Put | USD | 96.88 | 6/13/14 | 143 | (79,544 | ) | |||||||||||||||||
| Total |
$ | (583,422 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Ÿ | OTC options written as of December 31, 2013 were as follows: |
| Description | Counterparty | Put/ Call |
Strike Price |
Expiration Date |
Notional (000) |
Market Value |
||||||||||||||||||||||||
| USD Currency |
Morgan Stanley Capital Services LLC | Call | TRY | 2.10 | 1/03/14 | USD | 8,415 | $ | (208,274 | ) | ||||||||||||||||||||
| USD Currency |
Morgan Stanley Capital Services LLC | Call | TRY | 2.15 | 1/21/14 | USD | 8,415 | (145,962 | ) | |||||||||||||||||||||
| AUD Currency |
HSBC Bank USA N.A. | Put | CAD | 0.97 | 1/13/14 | AUD | 7,100 | (112,250 | ) | |||||||||||||||||||||
| AUD Currency |
UBS AG | Put | CAD | 0.94 | 1/13/14 | AUD | 7,100 | (15,006 | ) | |||||||||||||||||||||
| AUD Currency |
Deutsche Bank AG | Put | USD | 0.93 | 1/17/14 | AUD | 36,155 | (1,434,159 | ) | |||||||||||||||||||||
| AUD Currency |
Deutsche Bank AG | Put | USD | 0.93 | 1/17/14 | AUD | 44,190 | (1,752,882 | ) | |||||||||||||||||||||
| EUR Currency |
JPMorgan Chase Bank N.A. | Put | GBP | 0.84 | 1/17/14 | EUR | 13,090 | (130,963 | ) | |||||||||||||||||||||
| AUD Currency |
HSBC Bank USA N.A. | Put | CAD | 0.97 | 1/21/14 | AUD | 7,100 | (149,367 | ) | |||||||||||||||||||||
| AUD Currency |
Citibank N.A. | Put | USD | 0.85 | 2/07/14 | AUD | 37,120 | (53,995 | ) | |||||||||||||||||||||
| AUD Currency |
Deutsche Bank AG | Put | USD | 0.85 | 2/07/14 | AUD | 37,120 | (53,995 | ) | |||||||||||||||||||||
| AUD Currency |
Deutsche Bank AG | Put | USD | 0.85 | 2/07/14 | AUD | 37,125 | (54,003 | ) | |||||||||||||||||||||
| Total |
$ | (4,110,856 | ) | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| Ÿ | OTC credit default swaptions written as of December 31, 2013 were as follows: |
| Description | Counterparty | Put/ Call |
Strike Price |
Pay/Receive Floating Rate Index |
Floating Rate Index |
Credit Rating1 |
Expiration Date |
Notional Amount |
Market Value |
|||||||||||||||||||||||||||
| Sold protection on 5-Year Credit Default Swaps |
JPMorgan Chase Bank N.A. |
Put | 450.00 | % | Pay | iTraxx Crossover Series 20 Version 1 |
BB- | 1/15/14 | EUR | 6,050 | $ | (14 | ) | |||||||||||||||||||||||
| 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 | Centrally cleared credit default swaps — buy protection outstanding as of December 31, 2013 were as follows: |
| Issuer/Index | Pay Fixed Rate |
Clearinghouse | Expiration Date |
Notional Amount (000) |
Unrealized (Depreciation) |
|||||||||||||||
| iTraxx Europe Crossover Series 20 Version 1 |
5.00 | % | InterContinental Exchange | 12/20/18 | EUR | 3,660 | $ | (125,169 | ) | |||||||||||
| iTraxx Europe Series 20 Version 1 |
1.00 | % | InterContinental Exchange | 12/20/18 | EUR | 46,401 | (770,298 | ) | ||||||||||||
| CDX.NA.HY Series 21 Version 1 |
5.00 | % | Chicago Mercantile | 12/20/18 | USD | 46,515 | (994,620 | ) | ||||||||||||
| Total |
$ | (1,890,087 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Ÿ | Centrally cleared interest rate swaps outstanding as of December 31, 2013 were as follows: |
| Fixed Rate | Floating Rate |
Clearinghouse | Effective Date |
Expiration Date |
Notional Amount (000) |
Unrealized Appreciation |
||||||||||||||||
| 0.65%1 |
3-month LIBOR | Chicago Mercantile | N/A | 11/26/16 | USD | 12,695 | $ | 63,005 | ||||||||||||||
| 2.82%1 |
3-month LIBOR | Chicago Mercantile | N/A | 11/18/23 | USD | 5,615 | 99,999 | |||||||||||||||
| 0.82%1 |
6-month JPY LIBOR | Chicago Mercantile | N/A | 11/25/23 | JPY | 1,675,380 | 146,288 | |||||||||||||||
|
0.79%1 |
6-month JPY LIBOR | Chicago Mercantile | N/A | 11/28/23 | JPY | 1,827,685 | 206,176 | |||||||||||||||
| Total |
$ | 515,468 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| 1 | Master Portfolio pays the fixed rate and receives the floating rate. |
| 18 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | OTC credit default swaps — buy protection outstanding as of December 31, 2013 were as follows: |
| Issuer/Index | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional Amount (000) |
Market Value |
Premiums Paid (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||
| Republic of Portugal |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/15 | USD | 12,800 | $ | 167,767 | $ | 550,415 | $ | (382,648 | ) | |||||||||||||||
| Republic of Portugal |
1.00 | % | Barclays Bank PLC | 12/20/15 | USD | 1,200 | 28,305 | 73,186 | (44,881 | ) | ||||||||||||||||||
| Republic of Portugal |
1.00 | % | Deutsche Bank AG | 12/20/15 | USD | 1,350 | 31,843 | 82,335 | (50,492 | ) | ||||||||||||||||||
| Banca Monte dei Paschi di Siena SpA |
5.00 | % | Deutsche Bank AG | 12/20/16 | EUR | 750 | 13,449 | 99,785 | (86,336 | ) | ||||||||||||||||||
| Republic of Ireland |
1.00 | % | Citibank N.A. | 12/20/16 | USD | 4,000 | (38,179 | ) | 544,362 | (582,541 | ) | |||||||||||||||||
| Transocean Worldwide, Inc. |
1.00 | % | Goldman Sachs Bank USA | 12/20/16 | USD | 5,750 | (155,926 | ) | (32,652 | ) | (123,274 | ) | ||||||||||||||||
| Jaguar Land Rover Automotive PLC |
5.00 | % | Credit Suisse International | 3/20/17 | EUR | 130 | (22,441 | ) | (20,409 | ) | (2,032 | ) | ||||||||||||||||
| Jaguar Land Rover Automotive PLC |
5.00 | % | Credit Suisse International | 3/20/17 | EUR | 130 | (22,441 | ) | (20,409 | ) | (2,032 | ) | ||||||||||||||||
| Jaguar Land Rover Automotive PLC |
5.00 | % | Credit Suisse International | 3/20/17 | EUR | 120 | (20,716 | ) | (19,227 | ) | (1,489 | ) | ||||||||||||||||
| Banca Monte dei Paschi di Siena SpA |
5.00 | % | JPMorgan Chase Bank N.A. | 3/20/17 | EUR | 3,800 | 78,601 | 419,003 | (340,402 | ) | ||||||||||||||||||
| Republic of Ireland |
1.00 | % | Citibank N.A. | 3/20/17 | USD | 2,000 | (17,575 | ) | 241,660 | (259,235 | ) | |||||||||||||||||
| Banco de Sabadell SA |
5.00 | % | BNP Paribas S.A. | 6/20/17 | EUR | 720 | (117,534 | ) | 23,812 | (141,346 | ) | |||||||||||||||||
| Caja de Ahorros Y Pensiones de Barcelona |
3.00 | % | BNP Paribas S.A. | 6/20/17 | EUR | 720 | (73,232 | ) | (7,134 | ) | (66,098 | ) | ||||||||||||||||
| Caja de Ahorros Y Pensiones de Barcelona |
3.00 | % | BNP Paribas S.A. | 6/20/17 | EUR | 540 | (54,924 | ) | (4,268 | ) | (50,656 | ) | ||||||||||||||||
| Republic of Portugal |
1.00 | % | Citibank N.A. | 6/20/17 | USD | 6,000 | 368,624 | 1,387,883 | (1,019,259 | ) | ||||||||||||||||||
| CDX.NA.IG Series 18 Version 1 |
1.00 | % | Credit Suisse International | 6/20/17 | USD | 103,800 | (2,236,247 | ) | (8,544 | ) | (2,227,703 | ) | ||||||||||||||||
| Peugeot SA |
5.00 | % | BNP Paribas S.A. | 9/20/17 | EUR | 2,975 | (412,684 | ) | 279,338 | (692,022 | ) | |||||||||||||||||
| Banco Bilbao Vizcaya Argentaria SA |
3.00 | % | Citibank N.A. | 9/20/17 | EUR | 2,230 | (234,997 | ) | 93,767 | (328,764 | ) | |||||||||||||||||
| Clariant AG |
1.00 | % | BNP Paribas S.A. | 12/20/17 | EUR | 1,300 | (22,384 | ) | 98,756 | (121,140 | ) | |||||||||||||||||
| Henkel AG & Co. KGaA |
1.00 | % | Credit Suisse International | 12/20/17 | EUR | 1,950 | (79,564 | ) | (33,749 | ) | (45,815 | ) | ||||||||||||||||
| Diageo PLC |
1.00 | % | Deutsche Bank AG | 12/20/17 | EUR | 3,650 | (145,043 | ) | (59,509 | ) | (85,534 | ) | ||||||||||||||||
| Clariant AG |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/17 | EUR | 2,070 | (35,699 | ) | 592,204 | (627,903 | ) | |||||||||||||||||
| Finmeccanica SpA |
5.00 | % | Bank of America N.A. | 3/20/18 | EUR | 470 | (65,789 | ) | (35,610 | ) | (30,179 | ) | ||||||||||||||||
| Deutsche Bank AG |
1.00 | % | Barclays Bank PLC | 3/20/18 | EUR | 3,200 | (63,114 | ) | (1,538 | ) | (61,576 | ) | ||||||||||||||||
| Deutsche Bank AG |
1.00 | % | Citibank N.A. | 3/20/18 | EUR | 1,250 | (24,654 | ) | (1,205 | ) | (23,449 | ) | ||||||||||||||||
| Marks & Spencer PLC |
1.00 | % | Credit Suisse International | 3/20/18 | EUR | 1,330 | (1,232 | ) | 57,859 | (59,091 | ) | |||||||||||||||||
| Republic of Ireland |
1.00 | % | Bank of America N.A. | 3/20/18 | USD | 800 | (781 | ) | 24,944 | (25,725 | ) | |||||||||||||||||
| Republic of Italy |
1.00 | % | Barclays Bank PLC | 3/20/18 | USD | 6,000 | 110,582 | 310,489 | (199,907 | ) | ||||||||||||||||||
| Republic of Ireland |
1.00 | % | Deutsche Bank AG | 3/20/18 | USD | 900 | (879 | ) | 28,062 | (28,941 | ) | |||||||||||||||||
| AXA SA |
1.00 | % | Barclays Bank PLC | 6/20/18 | EUR | 1,810 | (34,412 | ) | 44,311 | (78,723 | ) | |||||||||||||||||
| Deutsche Telekom SA |
1.00 | % | Barclays Bank PLC | 6/20/18 | EUR | 90 | (2,763 | ) | (595 | ) | (2,168 | ) | ||||||||||||||||
| AXA SA |
1.00 | % | BNP Paribas S.A. | 6/20/18 | EUR | 925 | (17,586 | ) | 45,582 | (63,168 | ) | |||||||||||||||||
| iTraxx Europe Series 9 3-6% |
5.00 | % | Citibank N.A. | 6/20/18 | EUR | 3,780 | (251,899 | ) | 467,712 | (719,611 | ) | |||||||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Citibank N.A. | 6/20/18 | EUR | 540 | (7,480 | ) | 11,332 | (18,812 | ) | |||||||||||||||||
| AXA SA |
1.00 | % | Credit Suisse International | 6/20/18 | EUR | 995 | (18,917 | ) | 50,028 | (68,945 | ) | |||||||||||||||||
| Finmeccanica SpA |
5.00 | % | Credit Suisse International | 6/20/18 | EUR | 570 | (77,997 | ) | (35,836 | ) | (42,161 | ) | ||||||||||||||||
| Banco Bilbao Vizcaya Argentaria SA |
3.00 | % | Goldman Sachs International | 6/20/18 | EUR | 330 | (37,422 | ) | (1,604 | ) | (35,818 | ) | ||||||||||||||||
| Finmeccanica SpA |
5.00 | % | Goldman Sachs International | 6/20/18 | EUR | 90 | (12,315 | ) | (9,852 | ) | (2,463 | ) | ||||||||||||||||
| Credit Agricole SA |
3.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 960 | (119,718 | ) | (41,718 | ) | (78,000 | ) | ||||||||||||||||
| Finmeccanica SpA |
5.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 1,290 | (176,519 | ) | (128,778 | ) | (47,741 | ) | ||||||||||||||||
| Société Générale SA |
3.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 960 | (124,572 | ) | (40,689 | ) | (83,883 | ) | ||||||||||||||||
| Republic of France |
0.25 | % | Barclays Bank PLC | 6/20/18 | USD | 2,530 | 22,743 | 40,623 | (17,880 | ) | ||||||||||||||||||
| Republic of France |
0.25 | % | Citibank N.A. | 6/20/18 | USD | 2,740 | 24,632 | 49,828 | (25,196 | ) | ||||||||||||||||||
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2013 | 19 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | OTC credit default swaps – buy protection outstanding as of December 31, 2013 were as follows: (concluded) |
| Issuer/Index | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional (000) |
Market Value |
Premiums Paid (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||
| Republic of France |
0.25 | % | JPMorgan Chase Bank N.A. | 6/20/18 | USD | 2,735 | $ | 24,586 | $ | 38,187 | $ | (13,601 | ) | |||||||||||||||
| Pernod-Ricard SA |
1.00 | % | Barclays Bank PLC | 9/20/18 | EUR | 100 | (2,071 | ) | 130 | (2,201 | ) | |||||||||||||||||
| Peugeot SA |
5.00 | % | Barclays Bank PLC | 9/20/18 | EUR | 2,975 | (383,688 | ) | 100,842 | (484,530 | ) | |||||||||||||||||
| Finmeccanica SpA |
5.00 | % | Barclays Bank PLC | 12/20/18 | EUR | 530 | (68,657 | ) | (59,800 | ) | (8,857 | ) | ||||||||||||||||
| iTraxx Sub Financials Series 20 Version 1 |
1.00 | % | Citibank N.A. | 12/20/18 | EUR | 4,050 | (35,149 | ) | 55,474 | (90,623 | ) | |||||||||||||||||
| Banco Bilbao Vizcaya Argentaria SA |
3.00 | % | Deutsche Bank AG | 12/20/18 | EUR | 270 | (31,685 | ) | (19,627 | ) | (12,058 | ) | ||||||||||||||||
| iTraxx Sub Financials Series 20 Version 1 |
1.00 | % | Deutsche Bank AG | 12/20/18 | EUR | 4,000 | (34,715 | ) | 54,948 | (89,663 | ) | |||||||||||||||||
| CMBX.NA Series 6 AAA |
0.50 | % | Credit Suisse International | 5/11/63 | USD | 1,180 | 29,772 | 39,450 | (9,678 | ) | ||||||||||||||||||
| CMBX.NA Series 6 AAA |
0.50 | % | Morgan Stanley Capital Services LLC | 5/11/63 | USD | 3,493 | 88,129 | 130,388 | (42,259 | ) | ||||||||||||||||||
| Total |
$ | (4,294,567 | ) | $ | 5,453,942 | $ | (9,748,509 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Ÿ | OTC credit default swaps – sold protection outstanding as of December 31, 2013 were as follows: |
| Issuer/Index | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 |
Notional Amount (000)2 |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Norske Skogindustrier ASA |
5.00 | % | Credit Suisse International | 12/20/14 | CCC | EUR | 590 | $ | (47,788 | ) | $ | (108,007 | ) | $ | 60,219 | |||||||||||||||||
| Banca Monte dei Paschi di Siena SpA |
3.00 | % | BNP Paribas S.A. | 9/20/16 | Not Rated | EUR | 2,000 | (169,565 | ) | (193,693 | ) | 24,128 | ||||||||||||||||||||
| Banca Monte dei Paschi di Siena SpA |
5.00 | % | Deutsche Bank AG | 9/20/16 | Not Rated | EUR | 750 | (11,095 | ) | (20,681 | ) | 9,586 | ||||||||||||||||||||
| Banca Monte dei Paschi di Siena SpA |
3.00 | % | JPMorgan Chase Bank N.A. | 9/20/16 | Not Rated | EUR | 2,200 | (186,522 | ) | (121,985 | ) | (64,537 | ) | |||||||||||||||||||
| Republic of Italy |
1.00 | % | Citibank N.A. | 12/20/16 | BBB | USD | 4,000 | (16,432 | ) | (374,638 | ) | 358,206 | ||||||||||||||||||||
| CDX.NA.IG Series 18 Version 1 |
1.00 | % | Citibank N.A. | 6/20/17 | BBB+ | USD | 103,800 | 2,236,247 | 81,242 | 2,155,005 | ||||||||||||||||||||||
| Sunrise Communications Holdings SA |
5.00 | % | Citibank N.A. | 6/20/17 | B- | EUR | 1,160 | 174,205 | (67,325 | ) | 241,530 | |||||||||||||||||||||
| Ardagh Packaging Finance PLC |
5.00 | % | Barclays Bank PLC | 9/20/17 | CCC+ | EUR | 370 | 44,325 | (28,242 | ) | 72,567 | |||||||||||||||||||||
| Ardagh Packaging Finance PLC |
5.00 | % | Credit Suisse International | 9/20/17 | CCC+ | EUR | 550 | 65,887 | (43,146 | ) | 109,033 | |||||||||||||||||||||
| E.ON AG |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/17 | A- | EUR | 3,250 | 92,175 | 33,460 | 58,715 | ||||||||||||||||||||||
| Imperial Tobacco Group PLC |
1.00 | % | Deutsche Bank AG | 12/20/17 | BBB | EUR | 1,500 | 43,281 | 8,629 | 34,652 | ||||||||||||||||||||||
| Sunrise Communications Holdings SA |
5.00 | % | Credit Suisse International | 12/20/17 | B- | EUR | 610 | 93,263 | 21,897 | 71,366 | ||||||||||||||||||||||
| Sunrise Communications Holdings SA |
5.00 | % | Goldman Sachs International | 12/20/17 | B- | EUR | 282 | 43,142 | 7,920 | 35,222 | ||||||||||||||||||||||
| ThyssenKrupp AG |
1.00 | % | Credit Suisse International | 12/20/17 | BB | EUR | 1,500 | (66,100 | ) | (131,101 | ) | 65,001 | ||||||||||||||||||||
| ThyssenKrupp AG |
1.00 | % | Goldman Sachs International | 12/20/17 | BB | EUR | 725 | (31,948 | ) | (65,715 | ) | 33,767 | ||||||||||||||||||||
| ThyssenKrupp AG |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/17 | BB | EUR | 525 | (23,135 | ) | (47,587 | ) | 24,452 | ||||||||||||||||||||
| Ardagh Packaging Finance PLC |
5.00 | % | Credit Suisse International | 3/20/18 | CCC+ | EUR | 300 | 33,315 | 3,048 | 30,267 | ||||||||||||||||||||||
| Ardagh Packaging Finance PLC |
5.00 | % | Deutsche Bank AG | 3/20/18 | CCC+ | EUR | 310 | 34,426 | 3,290 | 31,136 | ||||||||||||||||||||||
| Republic of Italy |
1.00 | % | Barclays Bank PLC | 3/20/18 | BBB | EUR | 4,500 | (57,404 | ) | (235,580 | ) | 178,176 | ||||||||||||||||||||
| Republic of Italy |
1.00 | % | Barclays Bank PLC | 3/20/18 | BBB | USD | 37 | (683 | ) | (2,510 | ) | 1,827 | ||||||||||||||||||||
| Schaeffler Finance BV |
5.00 | % | Barclays Bank PLC | 3/20/18 | B+ | EUR | 660 | 132,343 | 34,860 | 97,483 | ||||||||||||||||||||||
| Schaeffler Finance BV |
5.00 | % | Barclays Bank PLC | 3/20/18 | B+ | EUR | 650 | 130,338 | 26,839 | 103,499 | ||||||||||||||||||||||
| Schaeffler Finance BV |
5.00 | % | Credit Suisse International | 3/20/18 | B+ | EUR | 660 | 132,343 | 34,860 | 97,483 | ||||||||||||||||||||||
| Sunrise Communications Holdings SA |
5.00 | % | Citibank N.A. | 3/20/18 | B- | EUR | 480 | 73,822 | 17,431 | 56,391 | ||||||||||||||||||||||
| 20 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | OTC credit default swaps – sold protection outstanding as of December 31, 2013 were as follows: (continued) |
| Issuer/Index | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 |
Notional (000)2 |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Sunrise Communications Holdings SA |
5.00 | % | Goldman Sachs International | 3/20/18 | B- | EUR | 500 | $ | 76,899 | $ | 20,528 | $ | 56,371 | |||||||||||||||||||
| Swiss Reinsurance Co. Ltd. |
1.00 | % | Barclays Bank PLC | 3/20/18 | AA- | EUR | 3,200 | 110,521 | 5,881 | 104,640 | ||||||||||||||||||||||
| Swiss Reinsurance Co. Ltd. |
1.00 | % | Citibank N.A. | 3/20/18 | AA- | EUR | 1,250 | 43,173 | 1,886 | 41,287 | ||||||||||||||||||||||
| Tata Motors Finance Ltd. |
5.00 | % | Credit Suisse International | 3/20/18 | BB | EUR | 720 | 140,039 | 73,427 | 66,612 | ||||||||||||||||||||||
| Allianz SE |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | AA | EUR | 2,110 | 83,104 | (4,966 | ) | 88,070 | |||||||||||||||||||||
| Aviva PLC |
1.00 | % | Barclays Bank PLC | 6/20/18 | Not Rated | EUR | 1,810 | 31,256 | (41,416 | ) | 72,672 | |||||||||||||||||||||
| Aviva PLC |
1.00 | % | BNP Paribas S.A. | 6/20/18 | Not Rated | EUR | 925 | 15,973 | (45,118 | ) | 61,091 | |||||||||||||||||||||
| Aviva PLC |
1.00 | % | Credit Suisse International | 6/20/18 | Not Rated | EUR | 995 | 17,181 | (48,283 | ) | 65,464 | |||||||||||||||||||||
| Deutsche Bank AG |
1.00 | % | Barclays Bank PLC | 6/20/18 | A | EUR | 1,260 | 22,585 | (3,796 | ) | 26,381 | |||||||||||||||||||||
| France Telecom SA |
1.00 | % | Barclays Bank PLC | 6/20/18 | BBB+ | EUR | 90 | 1,888 | (748 | ) | 2,636 | |||||||||||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Barclays Bank PLC | 6/20/18 | A | EUR | 2,830 | 39,198 | (105,604 | ) | 144,802 | |||||||||||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Barclays Bank PLC | 6/20/18 | A | EUR | 1,082 | 14,986 | (21,557 | ) | 36,543 | |||||||||||||||||||||
| iTraxx Sub Financials Series 19 Version 1 |
1.00 | % | Deutsche Bank AG | 6/20/18 | A | EUR | 2,570 | 35,597 | (53,363 | ) | 88,960 | |||||||||||||||||||||
| Muenchener Rueckversicherungs AG |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | Not Rated | EUR | 2,110 | 83,085 | 16,940 | 66,145 | ||||||||||||||||||||||
| RWE AG |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | BBB+ | EUR | 1,190 | 23,193 | 12,796 | 10,397 | ||||||||||||||||||||||
| Solvay SA |
1.00 | % | Credit Suisse International | 6/20/18 | BBB+ | EUR | 830 | 20,528 | 805 | 19,723 | ||||||||||||||||||||||
| Techem GmbH |
5.00 | % | Credit Suisse International | 6/20/18 | B+ | EUR | 530 | 76,071 | 46,263 | 29,808 | ||||||||||||||||||||||
| Telecom Italia SpA |
1.00 | % | Bank of America N.A. | 6/20/18 | BB+ | EUR | 700 | (42,147 | ) | (78,937 | ) | 36,790 | ||||||||||||||||||||
| Telecom Italia SpA |
1.00 | % | Barclays Bank PLC | 6/20/18 | BB+ | EUR | 350 | (21,073 | ) | (43,092 | ) | 22,019 | ||||||||||||||||||||
| Telecom Italia SpA |
1.00 | % | Goldman Sachs International | 6/20/18 | BB+ | EUR | 350 | (21,073 | ) | (37,828 | ) | 16,755 | ||||||||||||||||||||
| Tesco PLC |
1.00 | % | Goldman Sachs International | 6/20/18 | BBB+ | EUR | 1,180 | 27,524 | 18,060 | 9,464 | ||||||||||||||||||||||
| Vinci SA |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | BBB+ | EUR | 830 | 19,190 | 1,273 | 17,917 | ||||||||||||||||||||||
| General Electric Capital Corp. |
1.00 | % | Deutsche Bank AG | 9/20/18 | AA+ | USD | 4,250 | 75,242 | (33,898 | ) | 109,140 | |||||||||||||||||||||
| Goldman Sachs Group, Inc. |
1.00 | % | Bank of America N.A. | 9/20/18 | A- | USD | 7,435 | 54,416 | (140,518 | ) | 194,934 | |||||||||||||||||||||
| Goldman Sachs Group, Inc. |
1.00 | % | Deutsche Bank AG | 9/20/18 | A- | USD | 4,425 | 32,386 | (66,446 | ) | 98,832 | |||||||||||||||||||||
| RWE AG |
1.00 | % | Barclays Bank PLC | 9/20/18 | BBB+ | EUR | 100 | 1,721 | 104 | 1,617 | ||||||||||||||||||||||
| Telecom Italia SpA |
1.00 | % | Goldman Sachs International | 9/20/18 | BB+ | EUR | 890 | (62,178 | ) | (125,846 | ) | 63,668 | ||||||||||||||||||||
| Bayerische Landesbank Gtd. |
1.00 | % | Barclays Bank PLC | 12/20/18 | Not Rated | EUR | 790 | 4,231 | 2,508 | 1,723 | ||||||||||||||||||||||
| CDX.EM Series 20 Version 1 |
5.00 | % | Bank of America N.A. | 12/20/18 | BB+ | USD | 2,548 | 263,064 | 290,583 | (27,519 | ) | |||||||||||||||||||||
| CDX.EM Series 20 Version 1 |
5.00 | % | Barclays Bank PLC | 12/20/18 | BB+ | USD | 4,895 | 505,374 | 548,522 | (43,148 | ) | |||||||||||||||||||||
| CDX.EM Series 20 Version 1 |
5.00 | % | Barclays Bank PLC | 12/20/18 | BB+ | USD | 4,487 | 463,252 | 502,803 | (39,551 | ) | |||||||||||||||||||||
| CDX.EM Series 20 Version 1 |
5.00 | % | Barclays Bank PLC | 12/20/18 | BB+ | USD | 2,550 | 263,269 | 294,389 | (31,120 | ) | |||||||||||||||||||||
| CNH Industrial NV |
5.00 | % | Bank of America N.A. | 12/20/18 | BB+ | EUR | 7 | 1,465 | 1,331 | 134 | ||||||||||||||||||||||
| CNH Industrial NV |
5.00 | % | Bank of America N.A. | 12/20/18 | BB+ | EUR | 6 | 1,256 | 1,143 | 113 | ||||||||||||||||||||||
| CNH Industrial NV |
5.00 | % | Citibank N.A. | 12/20/18 | BB+ | EUR | 3 | 628 | 589 | 39 | ||||||||||||||||||||||
| CNH Industrial NV |
5.00 | % | Credit Suisse International | 12/20/18 | BB+ | EUR | 7 | 1,466 | 1,335 | 131 | ||||||||||||||||||||||
| CNH Industrial NV |
5.00 | % | Credit Suisse International | 12/20/18 | BB+ | EUR | 3 | 628 | 585 | 43 | ||||||||||||||||||||||
| CNH Industrial NV |
5.00 | % | Deutsche Bank AG | 12/20/18 | BB+ | EUR | 6 | 1,257 | 1,144 | 113 | ||||||||||||||||||||||
| Fiat Industrial Finance Europe SA |
5.00 | % | Barclays Bank PLC | 12/20/18 | BB+ | EUR | 5 | 1,047 | 949 | 98 | ||||||||||||||||||||||
| Fiat Industrial Finance Europe SA |
5.00 | % | Credit Suisse International | 12/20/18 | BB+ | EUR | 5 | 1,047 | 953 | 94 | ||||||||||||||||||||||
| Fiat Industrial Finance Europe SA |
5.00 | % | Credit Suisse International | 12/20/18 | BB+ | EUR | 3 | 628 | 571 | 57 | ||||||||||||||||||||||
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2013 | 21 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | OTC credit default swaps – sold protection outstanding as of December 31, 2013 were as follows: (concluded) |
| Issuer/Index | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 |
Notional (000)2 |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Goldman Sachs Group, Inc. |
1.00 | % | Deutsche Bank AG | 12/20/18 | A- | USD | 11,900 | $ | 67,366 | $ | (101,484 | ) | $ | 168,850 | ||||||||||||||||||
| Norske Skogindustrier ASA |
5.00 | % | Credit Suisse International | 12/20/18 | CCC | EUR | 130 | (75,174 | ) | (66,944 | ) | (8,230 | ) | |||||||||||||||||||
| UniCredit SpA |
5.00 | % | Credit Suisse International | 12/20/18 | BB+ | EUR | 5 | 1,046 | 951 | 95 | ||||||||||||||||||||||
| UniCredit SpA |
3.00 | % | Deutsche Bank AG | 12/20/18 | BBB | EUR | 270 | 28,140 | 10,824 | 17,316 | ||||||||||||||||||||||
| Republic of France |
0.25 | % | Barclays Bank PLC | 6/20/23 | AA | USD | 1,550 | (92,199 | ) | (113,584 | ) | 21,385 | ||||||||||||||||||||
| Republic of France |
0.25 | % | Citibank N.A. | 6/20/23 | AA | USD | 1,670 | (99,337 | ) | (129,239 | ) | 29,902 | ||||||||||||||||||||
| Republic of France |
0.25 | % | JPMorgan Chase Bank N.A. | 6/20/23 | AA | USD | 1,670 | (99,337 | ) | (120,087 | ) | 20,750 | ||||||||||||||||||||
| CMBX.NA Series 2 AM |
0.50 | % | Deutsche Bank AG | 3/15/49 | A- | USD | 4,830 | (118,703 | ) | (678,685 | ) | 559,982 | ||||||||||||||||||||
| CMBX.NA Series 3 AM |
0.50 | % | Credit Suisse International | 12/13/49 | BBB- | USD | 920 | (54,385 | ) | (89,846 | ) | 35,461 | ||||||||||||||||||||
| CMBX.NA Series 3 AM |
0.50 | % | JPMorgan Chase Bank N.A. | 12/13/49 | BBB- | USD | 5,000 | (295,569 | ) | (469,204 | ) | 173,635 | ||||||||||||||||||||
| CMBX.NA Series 3 AM |
0.50 | % | Royal Bank of Scotland PLC | 12/13/49 | BBB- | USD | 2,320 | (137,144 | ) | (229,435 | ) | 92,291 | ||||||||||||||||||||
| CMBX.NA Series 4 AM |
0.50 | % | Deutsche Bank AG | 2/17/51 | BB- | USD | 2,000 | (136,878 | ) | (294,524 | ) | 157,646 | ||||||||||||||||||||
| Total |
$ | 4,114,163 | $ | (2,454,039 | ) | $ | 6,568,202 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| 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 | OTC interest rate swaps outstanding as of December 31, 2013 were as follows: |
| Fixed Rate | Floating Rate |
Counterparty | Effective Date |
Expiration Date |
Notional Amount (000) |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
| 11.43%1 |
1-day Overnight Brazil Interbank Deposit Rate | Barclays Bank PLC | N/A | 1/04/16 | BRL | 40,980 | $ | (31,522 | ) | (3,491 | ) | $ | (28,031 | ) | ||||||||||||||
| 11.41%1 |
1-day Overnight Brazil Interbank Deposit Rate | Credit Suisse International | N/A | 1/04/16 | BRL | 11,965 | (12,054 | ) | — | (12,054 | ) | |||||||||||||||||
| 3.27%2 |
3-month LIBOR | Deutsche Bank AG | N/A | 5/16/21 | USD | 9,510 | (500,144 | ) | — | (500,144 | ) | |||||||||||||||||
| 6.36%1 |
28-day Mexican Interbank Rate | Deutsche Bank AG | N/A | 10/18/23 | MXN | 43,590 | (120,770 | ) | — | (120,770 | ) | |||||||||||||||||
| 6.75%1 |
28-day Mexican Interbank Rate | JPMorgan Chase Bank N.A. | N/A | 10/26/23 | MXN | 31,855 | (15,844 | ) | (200 | ) | (15,644 | ) | ||||||||||||||||
|
6.83%1 |
28-day Mexican Interbank Rate | JPMorgan Chase Bank N.A. | N/A | 11/03/23 | MXN | 85,035 | 323 | — | 323 | |||||||||||||||||||
| Total |
$ | (680,011 | ) | (3,691 | ) | $ | (676,320 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| 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 | OTC total return swaps outstanding as of December 31, 2013 were as follows: |
| Reference Entity | Fixed Rate/ Floating Rate |
Counterparty | Expiration Date |
Notional Amount/ Contract Amount (000) |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| Telecom Italia SpA |
3-month EURIBOR minus 0.25% | JPMorgan Chase Bank N.A. | 11/08/14 | EUR | 1,244 | $ | (1,734,228 | ) | $ | (1,658,869 | ) | $ | (75,359 | ) | ||||||||||||
| Repsol SA |
3-month EURIBOR minus 0.50% | Citibank N.A. | 11/12/14 | EUR | 51 | (73,013 | ) | (67,667 | ) | (5,346 | ) | |||||||||||||||
| Return on Markit IOS 3.50%, 30-year,fixed rate Fannie Mae |
1-month LIBOR1 | Citibank N.A. | 1/12/41 | USD | 2,674 | 2,795 | 418 | 2,377 | ||||||||||||||||||
| 22 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2013 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Ÿ | OTC total return swaps outstanding as of December 31, 2013 were as follows: (concluded) |
| Reference Entity | Fixed Rate/ Floating Rate |
Counterparty | Expiration Date |
Notional (000) |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 1,393 | $ | (1,456 | ) | $ | (9,392 | ) | $ | 7,936 | |||||||||||||
| Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 2,603 | (9,507 | ) | (21,110 | ) | 11,603 | ||||||||||||||||
| Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Goldman Sachs Bank USA | 1/12/41 | USD | 2,786 | (2,911 | ) | (16,775 | ) | 13,864 | ||||||||||||||||
| Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR1 | JPMorgan Chase Bank N.A. | 1/12/41 | USD | 4,179 | 4,367 | (43,945 | ) | 48,312 | |||||||||||||||||
| Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | JPMorgan Chase Bank N.A. | 1/12/41 | USD | 4,179 | (4,367 | ) | (24,962 | ) | 20,595 | ||||||||||||||||
| Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR1 | JPMorgan Chase Bank N.A. | 1/12/41 | USD | 2,786 | 2,911 | (36,797 | ) | 39,708 | |||||||||||||||||
| Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR1 | JPMorgan Chase Bank N.A. | 1/12/41 | USD | 2,786 | 2,912 | (30,167 | ) | 33,079 | |||||||||||||||||
| Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR1 | JPMorgan Chase Bank N.A. | 1/12/41 | USD | 1,393 | 1,456 | (18,398 | ) | 19,854 | |||||||||||||||||
| Return on Markit IOS 3.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR1 | Credit Suisse International | 1/12/43 | USD | 2,750 | 2,580 | (9,450 | ) | 12,030 | |||||||||||||||||
| Return on Markit IOS 3.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Deutsche Bank AG | 1/12/43 | USD | 2,750 | (2,579 | ) | 10,333 | (12,912 | ) | ||||||||||||||||
| Total |
$ | (1,811,040 | ) | $ | (1,926,781 | ) | $ | 115,741 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| 1 | Fund pays the floating rate and receives the total return of the reference entity. |
| 2 | Fund pays the total return of the reference entity and receives the floating rate. |
| 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.
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2013 | 23 |
| Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
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, please refer to the Master Portfolio’s most recent financial statements as contained in its annual report.
The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy as of December 31, 2013:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets: |
||||||||||||||||
| Investments: |
||||||||||||||||
| Long-Term Investments: |
||||||||||||||||
| Asset-Backed Securities |
— | $ | 582,178,191 | $ | 121,738,464 | $ | 703,916,655 | |||||||||
| Common Stocks |
— | 583,289 | — | 583,289 | ||||||||||||
| Corporate Bonds |
— | 923,786,366 | 5,478,600 | 929,264,966 | ||||||||||||
| Floating Rate Loan Interests |
— | 52,769,279 | 18,744,716 | 71,513,995 | ||||||||||||
| Foreign Agency Obligations |
— | 31,539,971 | — | 31,539,971 | ||||||||||||
| Foreign Government Obligations |
— | 214,044,740 | — | 214,044,740 | ||||||||||||
| Investment Companies |
$ | 17,647,200 | — | — | 17,647,200 | |||||||||||
| Non-Agency Mortgage-Backed Securities |
— | 530,127,166 | 35,100,930 | 565,228,096 | ||||||||||||
| Other Interests |
— | — | 1 | 1 | ||||||||||||
| Preferred Securities |
9,766,934 | 26,892,322 | — | 36,659,256 | ||||||||||||
| Taxable Municipal Bonds |
— | 10,232,985 | — | 10,232,985 | ||||||||||||
| U.S. Government Sponsored Agency Securities |
— | 1,632,576,817 | — | 1,632,576,817 | ||||||||||||
| U.S. Treasury Obligations |
— | 666,730,563 | — | 666,730,563 | ||||||||||||
| Short-Term Securities: |
||||||||||||||||
| Borrowed Bond Agreements |
— | 205,097,671 | — | 205,097,671 | ||||||||||||
| Money Market Fund |
14,091,577 | — | — | 14,091,577 | ||||||||||||
| Options Purchased: |
||||||||||||||||
| Credit Contracts |
— | 1,794 | — | 1,794 | ||||||||||||
| Equity Contracts |
127,245 | 234,154 | — | 361,399 | ||||||||||||
| Foreign Currency Exchange Contracts |
— | 5,199,740 | — | 5,199,740 | ||||||||||||
| Interest Rate Contracts |
1,569,300 | 1,008,194 | — | 2,577,494 | ||||||||||||
| Liabilities: |
||||||||||||||||
| Investments in Securities: |
||||||||||||||||
| TBA Sale Commitments |
— | (539,658,156 | ) | — | (539,658,156 | ) | ||||||||||
| Borrowed Bonds |
— | (204,129,224 | ) | — | (204,129,224 | ) | ||||||||||
| Total |
$ | 43,202,256 | $ | 4,139,215,862 | $ | 181,062,711 | $ | 4,363,480,829 | ||||||||
|
|
|
|||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Derivative Financial Instruments1 |
||||||||||||||||
| Assets: |
||||||||||||||||
| Credit contracts |
— | $ | 6,782,307 | — | $ | 6,782,307 | ||||||||||
| Foreign currency exchange contracts |
— | 944,079 | — | 944,079 | ||||||||||||
| Interest rate contracts |
$ | 3,841,787 | 725,149 | — | 4,566,936 | |||||||||||
| Liabilities: |
||||||||||||||||
| Credit contracts |
— | (11,852,715 | ) | — | (11,852,715 | ) | ||||||||||
| Equity contracts |
(18,615 | ) | (80,705 | ) | — | (99,320 | ) | |||||||||
| Foreign currency exchange contracts |
— | (12,417,099 | ) | — | (12,417,099 | ) | ||||||||||
| Interest rate contracts |
(2,495,060 | ) | (970,335 | ) | — | (3,465,395 | ) | |||||||||
| Total |
$ | 1,328,112 | $ | (16,869,319 | ) | — | $ | (15,541,207 | ) | |||||||
|
|
|
|||||||||||||||
| 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. | ||||||||
| 24 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2013 |
| Consolidated Schedule of Investments (concluded) | Master Total Return Portfolio |
The carrying amount or face value including accrued interest for certain of the Master Portfolio’s assets and/or liabilities approximates fair value for financial reporting purposes. As of December 31, 2013, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets: |
||||||||||||||||
| Cash |
$ | 33,039,662 | — | — | $ | 33,039,662 | ||||||||||
| Cash pledged for financial futures contracts |
29,000 | — | — | 29,000 | ||||||||||||
| Cash pledged as collateral for OTC derivatives |
7,480,042 | — | — | 7,480,042 | ||||||||||||
| Cash pledged for centrally cleared swaps |
3,560,000 | — | — | 3,560,000 | ||||||||||||
| Cash pledged as collateral for reverse repurchase agreements |
3,850,080 | — | — | 3,850,080 | ||||||||||||
| Liabilities: |
||||||||||||||||
| Reverse repurchase agreements |
— | $ | (1,100,736,065 | ) | — | (1,100,736,065 | ) | |||||||||
| Cash received as collateral for OTC derivatives |
— | (2,480,000 | ) | — | (2,480,000 | ) | ||||||||||
| Total |
$ | 47,958,784 | $ | (1,103,216,065 | ) | — | $ | (1,055,257,281 | ) | |||||||
|
|
|
|||||||||||||||
There were no transfers between Level 1 and Level 2 during the period ended December 31, 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 |
Total | |||||||||||||||||||
| Assets: |
||||||||||||||||||||||||
| Opening Balance, as of September 30, 2013 |
$ | 179,198,390 | $ | 7,684,364 | $ | 19,411,401 | $ | 36,708,955 | $ | 1 | $ | 243,003,111 | ||||||||||||
| Transfers into Level 3 |
— | — | — | — | — | — | ||||||||||||||||||
| Transfers out of Level 31 |
(68,239,620 | ) | (7,684,364 | ) | — | (10,874,982 | ) | — | (86,798,966 | ) | ||||||||||||||
| Accrued discounts/premiums |
(11,472 | ) | 1,664 | 6,259 | 1,864 | — | (1,685 | ) | ||||||||||||||||
| Net realized gain (loss) |
(75,597 | ) | — | 3,282 | 9,569 | — | (62,746 | ) | ||||||||||||||||
| Net change in unrealized appreciation/depreciation2 |
140,172 | 67,336 | 124,100 | (53,802 | ) | — | 277,806 | |||||||||||||||||
| Purchases |
27,651,133 | 5,409,600 | — | 11,068,000 | — | 44,128,733 | ||||||||||||||||||
| Sales |
(16,924,542 | ) | — | (800,326 | ) | (1,758,674 | ) | — | (19,483,542 | ) | ||||||||||||||
| Closing Balance, as of December 31, 2013 |
$ | 121,738,464 | $ | 5,478,600 | $ | 18,744,716 | $ | 35,100,930 | $ | 1 | $ | 181,062,711 | ||||||||||||
|
|
|
|||||||||||||||||||||||
| 1 | As of September 30, 2013, the Master Portfolio used significant unobservable inputs in determining the value of certain investments. As of December 31, 2013, the Master Portfolio used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $86,798,966 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
| 2 | The change in unrealized appreciation/depreciation on investments still held as of December 31, 2013 was $168,304. |
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.
| MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | DECEMBER 31, 2013 | 25 |
| Item 2 – |
Controls and Procedures | |
| 2(a) – |
The registrants’ principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants’ disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. | |
| 2(b) – |
There were no changes in the registrants’ internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants’ last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants’ internal control over financial reporting. | |
| Item 3 – |
Exhibits | |
| Certifications – Attached hereto | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC
| By: | /s/ John M. Perlowski | |
| John M. Perlowski | ||
| Chief Executive Officer (principal executive officer) of | ||
| BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC | ||
| Date: February 24, 2014 | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of each registrant and in the capacities and on the dates indicated.
| By: | /s/ John M. Perlowski | |
| John M. Perlowski | ||
| Chief Executive Officer (principal executive officer) of | ||
| BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC | ||
| Date: February 24, 2014 | ||
| By: | /s/ Neal J. Andrews | |
| Neal J. Andrews | ||
| Chief Financial Officer (principal financial officer) of | ||
| BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC | ||
| Date: February 24, 2014 | ||
EX-99. CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF
THE SARBANES-OXLEY ACT OF 2002
I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC, certify that:
1. I have reviewed this report on Form N-Q of BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrants as of the end of the fiscal quarter for which the report is filed;
4. The registrants’ other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrants, including their consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the registrants’ disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
d) disclosed in this report any change in the registrants’ internal control over financial reporting that occurred during the registrants’ most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants’ internal control over financial reporting; and
5. The registrants’ other certifying officer(s) and I have disclosed to the registrants’ auditors and the audit committees of the registrants’ boards of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants’ ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants’ internal control over financial reporting.
Date: February 24, 2014
| /s/ John M. Perlowski |
| John M. Perlowski |
| Chief Executive Officer (principal executive officer) of |
| BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
EX-99. CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF
THE SARBANES-OXLEY ACT OF 2002
I, Neal J. Andrews, Chief Financial Officer (principal financial officer) of BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC, certify that:
1. I have reviewed this report on Form N-Q of BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrants as of the end of the fiscal quarter for which the report is filed;
4. The registrants’ other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrants, including their consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the registrants’ disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
d) disclosed in this report any change in the registrants’ internal control over financial reporting that occurred during the registrants’ most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants’ internal control over financial reporting; and
5. The registrants’ other certifying officer(s) and I have disclosed to the registrants’ auditors and the audit committees of the registrants’ boards of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants’ ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants’ internal control over financial reporting.
Date: February 24, 2014
| /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 |